Anonymity and continuous social choice

Continuity of social choice is reformulated in terms of the quotient topology on profiles of individual preferences induced by the equivalence class corresponding to anonymity. It is shown that Chichilnisky's impossibility continues to hold.     

THE RISK STRUCTURE OF INTEREST RATES AND INTERDEPENDENT BORROWING COSTS: THE IMPACT OF MAJOR DEFAULTS

This paper develops a new methodology for evaluating the impact of economic events on bond yields. Term structure information and implicit forward rates are used to generate expected bond yields, and the difference between actual and expected yields is interpreted as the information effect of the event. The methodology is applied to two studies of municipal default: the New York City default and the more recent Washington Public Power Supply System (WPPSS) default. The analysis provides evidence that the New York City default did have a significant impact on the interest cost of municipal financing in general. In the case of WPPSS, however, there is no indication of a significant default impact.     

Analysis of ultra-high-frequency financial data using advanced Fourier transforms

This paper presents a novel application of advanced methods from Fourier analysis to the study of ultra-high-frequency financial data. The use of Lomb–Scargle Fourier transform, provides a robust framework to take into account the irregular spacing in time, minimising the computational effort. Likewise, it avoids complex model specifications (e.g. ACD or intensity models) or resorting to traditional methods, such as (linear or cubic) interpolation and regular resampling, which not only cause artifacts in the data and loss of information, but also lead to the generation and use of spurious information.     

The transition from social insecurity

The paper analyses the insecurity of state relative to private pensions. It considers issues such as moral hazard, policy-induced risk and the way in which property rights accrue to a scheme's beneficiaries. The article concludes that state schemes are fundamentally more insecure than private schemes and that the difficulties of state schemes have not arisen simply because of an accident of demographics. The difficulties of private pension schemes are also discussed as well as the transition problems arising from moving from state to private arrangements.     

Contingent Valuation Versus Choice Experiments: Estimating the Benefits of Environmentally Sensitive Areas in Scotland

This paper reports results from a study of the economic value of the conservation benefits of Environmentally Sensitive Areas (ESAs) in Scotland. The main novelty of the approach taken is in comparing two direct valuation methods, namely contingent valuation and choice experiments, to value these benefits. The Contingent Valuation Method (CVM) is well-established as a technique for valuing the sorts of landscape and wildlife enhancements associated with ESAs. The CVM experiment reported here uses a dichotomous choice format, and includes a new correction for part-whole bias. Choice experiments are much less used as an environmental valuation technique. We note several advantages of such experiments over CVM, and then report characteristic values and ‘programme values’ estimated using the method. This application brings to light some problems in applying the choice experiment method. Finally, we discuss the issue of benefits transfer in the context of these two approaches to valuation.     

Reactions of the London Stock Exchange to Company Trading Statement Announcements

Using event study methodology, we examine market reactions to nearly 2,000 trading statements during the period 1995‐2001. We find that profit warnings outnumber upgrades by 50%, and, in line with previous US studies, we find that market reaction to the actual announcements is considerably greater for profit warnings than for upgrades.Sub-samples demonstrate significant market reaction to profit warnings for all sizecontrolled portfolios, but that reaction to the announcements is greatest for small companies.Examination of pre- and post-announcement CARs shows no pre-announcement market anticipation of the announcements.Post-announcement there is a significant positive abnormal return on the day after the announcement of bad news for the small company subsample.Other post-announcement results are small and insignificant.Trading volume results are consistent with this picture. Finally, when the trading statements are examined for news on turnover and margin changes, we find that the market reaction to margin changes is greater than market reaction to turnover changes.