The UK equity market around the ex-split date

Using UK stock market data this study unveils positive abnormal returns on and around the ex-split date. These excess returns are partially predictable using the publicly available information prior to the ex-split date. There is also a persistent increase in the post-split volatility of these stocks with the results being robust to the choice of the volatility proxy. Post-split volatility is found to be positively related to trading activity. Contrary to the US findings, volatility dynamics following the stock split are better captured by changes in the daily trading volume rather than by the number of trades.     

Cost efficiency of the banking industry in the South Eastern European region

This paper analyses cost efficiency in the banking sector of six South Eastern European countries over the period 1998–2003. A stochastic frontier approach, incorporating firm-specific and country-related variables, indicates a generally low level of cost efficiency, with significant inefficiency differences among countries. Foreign banks and banks with higher foreign bank ownership involvement are associated with lower inefficiency. Furthermore, we observe a negative correlation of cost inefficiency with bank capitalization and firm market share, and a positive one with the fraction of loans in the asset portfolio.     

Efficiency and productivity growth in the banking industry of Central and Eastern Europe

We employ the directional technology distance function and provide estimates of bank efficiency and productivity change across Central and Eastern European (CEE) countries and across banks with different ownership status for the period 1998–2003. Our results demonstrate the strong links of competition and concentration with bank efficiency. They also show that productivity for the whole region initially declined but has improved more recently with further progress on institutional and structural reforms. Input-biased technical change has been consistently positive throughout the entire period suggesting that the reforms have induced favorable changes in relative input prices and input mix. However we find evidence of diverging trends in productivity growth patterns across banking industries and that foreign banks outperform domestic private and state-owned banks both in terms of efficiency and productivity gains. Overall, we find that productivity change in CEE is driven by technological change rather than efficiency change.     

Does FDI increase productivity? The role of regulation in upstream industries

In view of substantial changes having taken place in the regulatory environment and in the light of the increasing role of inter industry linkages, we examine whether the total factor productivity (TFP) growth impact of foreign direct investment (FDI) is determined by regulation in upstream sectors. Econometric estimates illustrate that FDI exerts a positive impact on the growth of OECD industries which slows down as upstream regulation rises. To raise the reliability of our estimates, we use instruments for FDI and regulation that are as free as possible of endogenous association with TFP growth. Our instrumental variable estimates verify that the influence of FDI on TFP growth depends negatively on the level of upstream regulation. Non‐parametric estimates confirm that the highest impact of FDI takes place at the lowest levels of entry regulation and public ownership.     

Testing for the effects of credit crunch on agriculture investment in the EU

There are several research papers focusing on the detrimental effects of the credit crunch on the economic performance. A sector of the economy where the implications of the credit crunch have not been thoroughly studied is the agriculture. This is surprising given the importance of agriculture for the European economy. We focus on agriculture in fourteen European Union (EU) Member States in the aftermath of the credit crunch. To this end, we employ the micro-econometric data set of Farm Accountancy Data Network (FADN) of EU at NUTS 2 level. From a methodological point of view, we model agriculture investment based on a flexible panel Vector Autoregressive (VAR) model that provides impulse response functions (IRFs) and variance decompositions (VDCs). The empirical estimates indicate that agriculture investment has been constrained by negative shocks in interest paid and total liabilities. Unless those financial constraints are eased, agriculture investment in EU would remain rather sluggish at best.     

An event study analysis of international ventures between banks and insurance firms

The current study examines the effects on shareholders wealth as a result of the bank–insurance interface. Using a global sample of financial intermediaries and an event-study framework the findings reveal significant abnormal returns surrounding the announcement of bank–insurance ventures. A control sample using financial institutions that do not pursue bank–insurance deals shows negative abnormal returns with much higher magnitude in absolute terms. When the sample is separated on the basis of the bidder's nature, then bank-bidders earn significant positive returns, while the insurance-bidders experience significant losses. The analysis further unveils either statistically significant negative returns or insignificant values for bank–insurance divestments. Finally, profitability, size and functional diversification are all found significant in determining abnormal returns over various intervals.     

The impact of bank competition and concentration on industrial growth

This paper studies whether bank competition affects growth of non-banking industries. We find that non-cooperative bank competition and stability promote industrial growth robustly. Bank concentration may also affect growth positively; the latter effect increases for higher levels of competition.     

Linkages between property asset returns and interest rates: evidence for the UK

This paper considers the effect of short- and long-term interest rates, and interest rate spreads upon real estate index returns in the UK. Using Johansen's vector autoregressive framework, it is found that the real estate index cointegrates with the term spread, but not with the short or long rates themselves. Granger causality tests indicate that movements in short term interest rates and the spread cause movements in the returns series. However, decomposition of the forecast error variances from VAR models indicate that changes in these variables can only explain a small proportion of the overall variability of the returns, and that the effect has fully worked through after two months. The results suggest that these financial variables could potentially be used as leading indicators for real estate markets, with corresponding implications for return predictability.     

The Banking Exposure to International Lending: Regional Differences or Common Fundamentals?

The present study unveils the importance of regional characteristics of sovereign debt crises in Latin America and South East Asia. It proposes and empirically corroborates a refinement of the logit approach, for assessing sovereign risk, which draws upon a region‐specific parameterization—composite estimator. The analysis identifies some common features of debt crises that largely reflect domestic solvency, liquidity factors and, to a lesser extent, trade‐balance variables and external shocks. Nonetheless, heterogeneity effects and regional signals point towards the use of region‐specific models. Such approach depicts specific risk factors such as openness and debt burden for Latin America and reserves, output and government expenditure for Asia, thereby suggesting distinctive aspects to debt crises. Out‐of‐sample forecast comparisons further support the use of the composite estimator. The latter outperforms the simple pooled and random effects approach on the basis of various criteria, albeit slightly biased towards false non‐crises predictions.