Financial Integration in the 1920s: A Cointegration Approach

Financial Integration in the 1920s: A Cointegration Approach. - This paper applies the concept of cointegration to analyze the foreign exchange market during the 1920s. The data set consists of daily spot and forward exchange rates for the U. S. dollar, French franc, Belgian franc, Italian lira and German mark, each quoted with respect to the British pound. The authors find that the future spot and forward exchange rates for the U.S., France, Belgium, and Italy are cointegrated. Using a multivariate test for cointegration, they find no evidence of cointegration across markets. There is weak evidence of cointegration among the two neighboring economies of France and Belgium.     

The approximate purification of mixed strategies with finite observation sets

This note provides a finite result on the approximate purification of strategies in a class of two-person games.     

Investor interest, trading volume, and the choice of IPO mechanism in France

This paper investigates the relationship between underpricing and investor interest level prior to and after the IPO date. Empirical tests show a significant 3-day buy-and-hold abnormal return of 19.15%. It is positively related to the share demand-to-offer ratio in the pre-market period and to trading volume in the aftermarket. Despite a high initial underpricing for some book-built issues, the book-building procedure allows for more effective pricing and a lower divergence of opinion among investors in the aftermarket than the auction-like procedure.     

The effects of corporate governance and audit and non-audit fees on IPO Value

This paper examines the effects of non-executive board members, audit committee composition and financial expertise, and fees paid to audit firms on the value of 375 UK initial public offerings (IPOs). Empirical findings show that underpricing decreases in audit fees whereas it increases in non-audit fees. A higher proportion of non-executive directors on the firm’s board and audit committees with a higher proportion of non-executive directors and financial accounting expertise of their members positively moderate the inter-relationships between underpricing and both audit and non-audit fees paid by companies going through an IPO. Further investigations using the adjusted price-to-book value as a proxy for firm value at IPO confirm our main findings that internal governance mechanisms may complement services provided by the auditors in terms of generating higher valuations. Controlling for the simultaneous determination of audit and non-audit fees, our results remain consistent.     

Eco‐efficiency of high‐yielding variety rice cultivation after accounting for on‐farm environmental damage as an undesirable output: an empirical analysis from Bangladesh

This study computes the eco‐efficiency of high‐yielding variety (HYV) rice production by including an on‐farm environmental damage index (OFEDI) as an undesirable output using data envelopment analysis. It then identifies its determinants by applying an interval regression procedure on a sample of 317 farmers from north‐western Bangladesh. Results reveal that the mean level of the OFEDI‐adjusted production efficiency (i.e. eco‐efficiency) is 89 per cent, whereas ignoring OFEDI adjustment (i.e. with OFEDI = 0) reduces the mean level of efficiency to 69 per cent, implying that the production of undesirable output or on‐farm environmental damage induces an efficiency loss of 20 per cent with significant differences across regions. The proportion of farmers’ income from HYV rice agriculture, land ownership, extension services and socio‐environmental living standard are the significant determinants of improving eco‐efficiency. Policy implications include investments in extension services and land reform measures to increase land ownership, which will synergistically improve eco‐efficiency of HYV rice production in Bangladesh.     

Collusion,Co-option and Capture: Social Accountability and Social Audits in Karnataka,India

The concept of accountability has generated extensive discussion in studies of international development, linking it with good governance, democratisation, participatory development and empowerment. India's national rural employment guarantee scheme, which aims to improve the rural infrastructure and reduce poverty by providing wage work to the rural poor, involves mandatory social audit by the beneficiaries of the scheme, in order to ensure accountability of those implementing the scheme. In this paper, we examine the social audit process in a district in the state of Karnataka to ascertain the role played by the beneficiaries in achieving such accountability. We find that Vigilance and Monitoring Committees, entrusted to spearhead the social audit process in villages, consist mainly of males and cultivators, some of whom are large landowners. We also find that social audits are dominated by the local elite who stifle “voices” from below.     

Long-run abnormal return after IPOs and optimistic analysts' forecasts

This empirical study examines whether the optimistic forecasts of analysts explain the long-run abnormal return following initial public offerings (IPOs). Consistent with prior research, this paper concludes that the analysis of earning forecasts for firms going public has an upward bias. While the usually calculated buy-and-hold abnormal return is not significantly negative on average, a proper control for risk confirms the long-run underperformance hypothesis for the 1-year period following IPOs. The risk-adjusted return is positively correlated to the surprise effect and earning forecast revisions, and appears to be the response to new information about the true earnings perspectives.