PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION

This paper studies the price‐setting problem of market makers under risk neutrality and perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed. Bid and ask prices are defined as conditional expectations of a true value of the asset given the market makers' partial information that includes the customers' trading decisions. The true value is modeled as a Markov process that can be observed by the customers with some noise at Poisson times. A mathematically rigorous analysis of the price‐setting problem is carried out, solving a filtering problem with endogenous filtration that depends on the bid and ask price processes quoted by the market maker. The existence and uniqueness of the bid and ask price processes is shown under some conditions.     

Entrepreneurial Marketing: Geringer Mitteleinsatz mit hoher Wirkung

Entrepreneurial Marketing (EM) will dem schwindenden Einfluss klassischer Medien entgegentreten. Bei den Konsumenten soll ein glaubwürdiges, anschlussf?higes Produktimage ankommen. So baut EM auf unkonventionelle Ma?nahmen zur Erzeugung von Aufmerksamkeit (Buzz Marketing), die exponentielle Diffusion von Kommunikationsinhalten (Viral Marketing), die Nutzung von Communities (Community Marketing) oder die (Aus-)Nutzung der Marketingma?nahmen der Konkurrenz (Ambush Marketing), und versucht, mit geringem Mitteleinsatz hohe Wirkungen zu erzielen (Guerilla Marketing).     

Daily pricing of emerging market sovereign CDS before and during the global financial crisis

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDSs) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia than to country-specific risk factors. This result is particularly evident during the second subsample (August 2007–December 2011), where neither macroeconomic variables nor country ratings significantly explain CDS spread changes. Second, measures of US bond, equity, and CDX High Yield returns, as well as emerging market credit returns, are the most dominant drivers of CDS spread changes. Finally, our analysis suggests that CDS spreads are more strongly influenced by international spillover effects during periods of market stress than during normal times.     

射频识别技术在商品储运领域的应用

文中介绍了RFID技术在商品储运领域中的优势,然后从危险品跟踪、集装箱跟踪、食品跟踪和仓库管理等方面列举了RFID在商品储运领域的典型应用,最后分析RFID在商品储运领域的应用环节。     

Virtual travel agencies

NETNOMICS: Economic Research and Electronic Networking -     

TAX EVASION AND STATE PRODUCTIVITY—AN EXPERIMENTAL STUDY

In an overlapping generations experiment with multiple families participants can support their parents directly and thereby reduce their tax burden or rely on tax‐financed old‐age support. State productivity is captured by the factor with which total tax revenues are multiplied to determine old‐age support. This factor is systematically varied from 0.75 to 1.25. Tax payments depend on declared endowment. Tax evasion is possible, but monitored. Our results suggest that state productivity influences neither direct support of own parents nor tax evasion. The main effect is that rich endowment triggers relatively low support of own parents and high (and more frequent) tax evasion.     

ADRs,Analysts, and Accuracy: Does Cross Listing in the United States Improve a Firm's Information Environment and Increase Market Value?

This paper investigates the relation between cross listing in the United States and the information environment of non‐U.S. firms. We find that firms that cross list on U.S. exchanges have greater analyst coverage and increased forecast accuracy than firms that are not cross listed. A time‐series analysis shows that a change in analyst coverage and forecast accuracy occurs around cross listing. We also document that firms that have more analyst coverage and higher forecast accuracy have higher valuations. Furthermore, the change in firm value around cross listing is correlated with changes in analyst following and forecast accuracy, suggesting that cross listing enhances firm value through its effect on the firm's information environment. Our findings support the hypothesis that cross‐listed firms have better information environments, which are associated with higher market valuations.     

Spread ladder swaps—an analysis of controversial interest rate derivatives

This article analyzes spread ladder swaps traded by Deutsche Bank to several medium-size companies and municipalities. The value of these contracts is highly sensitive to correlations between forward rates. For a contract that was challenged by the medium-size company Ille at the Federal Court of Germany, it turns out that the derivative was originated at a negative market value of −90,000 to −115,000 euros (depending on the number of factors used in the model). Moreover, the model correctly predicts the range for the terminal payment after an adverse development of the term structure of approximately 567,000 euros. We also investigate a product feature that limits the upside potential from the viewpoint of the customer and show that it has a substantial impact on market values. According to the judgment handed down by the court, the bank should have informed the customer about the market value of the product in light of special circumstances. This raises questions as to which products must meet this requirement. Moreover, especially for exotic contracts, market prices are mostly model prices: for spread ladder swaps, substantially different prices are obtained even when investors agree on the variance/covariance matrix but disagree on the number of factors to apply in an implementation of a model.