Time-varying risk in the German stock market

This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize the driving factors of variances and covariances of returns. In addition to a variety of diagnostic tests we evaluate the validity of the one-factor restriction in the CAPM. The main findings are that risk is time dependent and very variable and also that more than one factor is needed to fit the data set.     

An Investigation of Policy Administrative Costs Using Panel Data for the English Environmentally Sensitive Areas

This paper explores transactions costs in the context of agri‐environmental policy schemes based on management agreements. While transactions costs encompass a wide range of organisational costs, the focus here is on the public‐sector administrative costs of policy implementation. Empirical administrative cost functions were estimated to investigate the factors affecting the magnitude of such costs, using panel data spanning five years for the 22 English Environmentally Sensitive Areas. The extent of participation appears to be important in explaining administrative cost variability across areas. The data suggested the existence of size economics with regard to the numbers of agreements made in any one ESA, and a significant effect of scheme experience in exerting downwards‐pressure on administrative costs. Policy budgeting and evaluation should take into account the non‐trivial costs of organisation, particularly if agri‐environmental schemes based on the procurement of conservation goods through management agreements are to be extended in future.     

Organizational ambidexterity and financial performance in the banking industry: evidence from a developing economy

Journal of Financial Services Marketing - The paper examined the relationship between organizational ambidexterity on the attitude of employees and the financial performance of the banking sector...     

Monitoring or payroll maximization? What happens when workers enter the boardroom?

Review of Accounting Studies - We examine whether worker representation on corporate boards results in improved monitoring or payroll maximization. Several economic theories predict that worker...     

Joint tests of contagion with applications

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not necessarily detected by traditional tests based on correlations. The empirical results have important implications for pricing risk and constructing well diversified portfolios.     

The Differential Impact of IFRS Adoption on Aspects of Seasoned Equity Offerings in the UK and France

We examine the potential for IFRS to influence the market for SEOs in the UK and France. The divergence between the UK domestic accounting standards and IFRS is minor (low-divergence firms) whereas domestic accounting standards in France differ materially from IFRS (high-divergence firms); however, both countries have similar legal enforcement and institutional settings that might confound the effect of IFRS adoption. We argue that IFRS adoption serves to mitigate information asymmetry and improve accounting quality. Accordingly, we find that, following IFRS adoption, earnings management activities decrease among high-divergence firms prior to issuing SEOs. As a result of the lower levels of earnings management and information asymmetry, we predict and find that the market reaction to issuing SEOs improves significantly for high-divergence firms following IFRS. Given that equity financing becomes less costly, we find that the propensity to issue new SEOs increases among high-divergence firms after IFRS adoption. We find no similar changes among low-divergence firms. The results persist after running a matched-sample analysis and controlling for potential self-selection bias.