The Impact of Option Introduction on Stock Return Variances: The Role of Bid-Ask Spreads, Return Autocorrelations, and Intrinsic Variances

The purpose of this paper is to examine changes in stock return variances following option introduction. The sample consists of National Market System stocks and employs both transaction returns and returns based on bid and ask quotes. Variances are decomposed into portions attributable to bid-ask spreads, return autocorrelations, and intrinsic variances. Spreads play a negligible role in explaining variance changes. A generally positive component to short-term autocorrelations falls following option introduction, increasing variances over short holding periods. Intrinsic variances fall prior to the October 1987 crash, but do not change after the crash with option introduction.     

Competitive and Information Effects of Cross-Border Stock Listings

We examine the effect of 269 cross‐border listings on rivals in the listing and domestic markets and find that U.S. rivals experience significant gains whereas domestic rivals do not. Both competitive and information effects are important in explaining the reaction of U.S. rivals. Regarding the competitive effects, the reaction of rivals is less favorable when listings originate in developed countries and more favorable when listing firms do not have prior operating presence in the United States. Regarding the information effects, the reaction is less favorable when listings are combined with equity offerings and more favorable when the listing is the first to occur within an industry.     

How are China''s state-owned enterprises doing in the 1990s? Evidence from three interior provinces

Since its inception in the early 1980s, the success of China's enterprise reforms remains hotly debated. This paper introduces a new element into the analysis of state-owned enterprise performance by drawing on the recent increase in inter-regional income disparities. It is argued that as a result of less favourable structural conditions and stronger fiscal dependence on the central government, reform implementation in the interior provinces has lagged behind the progress made along the coast. This hypothesis is investigated using enterprise survey data from three interior provinces which is compared to a similar survey carried out earlier in four coastal cities. The evidence generally supports the view of larger administrative restrictions in the interior and relatively poor economic performance.     

The financial health of voluntary hospitals in interwar Britain

This article re–evaluates the gravity of the financial problems facing British voluntary hospitals in the interwar period. A relational database of statistics on hospital provision, finance (at both current and constant prices), and activity is used to derive consistent sets of hospitals for reporting purposes. The article presents novel analyses of the extent and pattern of hospital surpluses and deficits; of the capital accounts of selected individual hospitals; of trends in hospital expenditure; of the diversification of hospital income, emphasizing the declining importance of traditional philanthropy; and of the effect of these changes on hospital provision and utilization.     

Bank mergers and components of risk: An evaluation

The present study empirically examines the contribution of the acquired banks in only the nonconglomerate types of mergers (i.e., banks with banks), where the bulk of the payment is in the form of equity to the acquiring bank and finds overwhelmingly statistically significant evidence that nonconglomerate types of mergers definitely reduce the total as well as the unsystematic risk while having no statistically significant effect on systematic risk. Therefore, it seems that diversification may be a possible motive for bank mergers.     

A note on interactions-driven business cycles

Within the standard Keynesian multiplier framework, extended by a micro-model of interactive formation of individual consumption propensities, we demonstrate that socioeconomic interactions can lead to cyclical fluctuations in aggregate economic activity. The underlying micro-model of direct interactions is a version of Alan Kirman’s generic opinion formation model, with an additional feedback effect from macroscopic variables on the transition probabilities. Our model engenders cyclical fluctuations of economic variables, despite the fact that neither the Keynesian multiplier model nor Kirman’s model does so on its own.