What Role Taxes and Regulation? A Second Look at Open Market Share Buyback Activity in the UK

This paper re-examines the evidence on open market share repurchase activity reported by Rau and Vermaelen (2002) for the UK. Using data from the Securities Data Corporation (SDC), Rau and Vermaelen conclude that the level of repurchase activity is trivial. They attribute the low repurchase volume to regulatory restrictions that limit companies' ability to take advantage of an undervalued stock price and conclude that the bulk of repurchase activity that does occur is driven by the desire to generate tax credits for pension funds. Using data collected from a variety of sources, we find that the SDC substantially understates UK open market buyback activity. Based on our more comprehensive dataset we conclude that (a) pension funds' tax considerations are not the primary cause of UK share repurchases and (b) despite the prevailing regulatory environment, underpricing still represents an important determinant of repurchase activity.     

How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

EDUCATION AND MODERNITY

Modernity is the combination of capitalism and democracy. Its economic core is based on property rights, which mobilise the organisation of resources. It also requires mass education to select intellectual talent for a complex division of labour. Western education paradoxically lacks developed property rights and a class of owners who seek profits through the satisfaction of consumer (educational) demand. Most of the intellectual ills in our society reflect this absence of modernity in our educational arrangements.     

THE INFLUENCE OF ORGANIZATION STRUCTURE ON THE UTILITY OF AN ENTREPRENEURIAL TOP MANAGEMENT STYLE

This study examined the influence of organization structure on the relationship between top management's entrepreneurial orientation and financial performance. Moderated regression analysis was used to analyse data collected from 80 business organizations. the findings suggest that an entrepreneurial top management style has a positive effect on the performance of organically-structured firms and a negative effect on the performance of mechanistically-structured firms.     

Abstracts

Quality & Quantity -     

An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets

This research analyzes the dynamic properties of the difference equation that arises when markets exhibit serial correlation and mean reversion. We identify the correlation and reversion parameters for which prices will overshoot equilibrium ("cycles") and/or diverge permanently from equilibrium. We then estimate the serial correlation and mean reversion coefficients from a large panel data set of 62 metro areas from 1979 to 1995 conditional on a set of economic variables that proxy for information costs, supply costs and expectations. Serial correlation is higher in metro areas with higher real incomes, population growth and real construction costs. Mean reversion is greater in large metro areas and faster growing cities with lower construction costs. The average fitted values for mean reversion and serial correlation lie in the convergent oscillatory region, but specific observations fall in both the damped and oscillatory regions and in both the convergent and divergent regions. Thus, the dynamic properties of housing markets are specific to the given time and location being considered.