The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis

This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level of information asymmetry. Second, retail trading activity increases dramatically after earnings announcements but there is a significant decline in institutional trading surrounding earnings announcements, particularly in the pre‐announcement period. Last, the decline in information asymmetry around earnings announcements is closely associated with a lower participation rate in the pre‐announcement period and more active trading of retail investors after earnings releases.     

Optimality conditions¶and bubbles in sequential economies¶and bounded relative risk-aversion

We provide specific qualifications in order that Kuhn–Tucker type Euler equations and transversality conditions at infinity hold in stochastic equilibrium models with heterogeneous agents and where assets are traded in sequential markets. It is not assumed that uncertainty is modeled as an event-tree structure or that preferences are necessarily bounded. We also describe an important class of preferences based on bounded relative risk aversion which yields relevant simplifications. Our results are used to establish conditions that rule out asset pricing bubbles. Specific examples of economies with bubbles are also discussed. Received: 28 January 2002 / Accepted: 19 July 2002 We are grateful to the editor and an anonymous referee for their valuable comments. This research was partially supported by MURST (Italy), National Group on “Nonlinear Dynamics and Stochastic Models in Economics and Finance”.     

Endogenous Growth and Negative Externalities

Received March 5, 2001; revised version received August 5, 2002 Published online: April 30, 2003     

Fixed Exchange Rates and Disinflation in Emerging Markets: How Large Is the Effect?

We examine developing countries which have institutional quality ratings for the effects of exchange rate rigidity on inflation. The level of institutional development exerts no effect on the impact of currency regimes. However, the interaction of institutional quality and exchange rates has, in the most plausible specifications, a negative impact on inflation. This suggests that fixed exchange rates exert at most a contingent effect on inflation, and indicates that countries in Eastern Europe and Latin America contemplating currency pegs would be better off improving institutional quality prior to adopting the euro or dollar and expecting a large subsequent disinflationary effect. JEL no.  F31, O11     

Towards a complete real-time electricity market design

The general design for the real-time electricity market presented in this paper optimizes and prices both real and reactive power simultaneously in an AC setting, where all assets—generation, load and transmission—are allowed to bid and are financially settled at the locational price times energy consumed or produced. The result is that transmission lines are compensated for both capacity and admittance, providing incentives for efficient operation of transmission-related assets such as FACTS devices, if price-taking behavior is assumed. Losses are incorporated into the design and become an operating cost for transmission. The market design is shown to be revenue neutral and, under some assumptions, nonconfiscatory.      

Bayesian MCMC Mapping of Quantitative Trait Loci in a Half-sib Design: a Graphical Model Perspective

Graphical models provide a powerful and flexible approach to the analysis of complex problems in genetics. While task-specific software may be extremely efficient for any particular analysis, it is often difficult to adapt to new computational challenges. By viewing these genetic applications in a more general framework, many problems can be handled by essentially the same software. This is advantageous in an area where fast methodological development is essential. Once a method has been fully developed and tested, problem-specific software may then be required. The aim of this paper is to illustrate the potential use of a graphical model approach to genetic analyses by taking a very simple and well-understood problem by way of example.     

IntraLATA long-distance demand: carrier choice, usage demand and price elasticities

Competition in the long-distance market in the US continues to intensify; the 1996 Telecommunications Act has led to increased competition in long-distance telephony especially as the Regional Bell Operating Companies have begun to gain entry to long-haul, long-distance markets. In order to better understand the implications of having increased service offerings, models of how customers choose between carriers (and the impact of this choice on subsequent usage) will be useful. We develop the first publicly available models that simultaneously estimate choice and usage for intraLATA long-distance in the US. Utilizing a generalized Tobit model, the price responsiveness of usage and carrier choice are estimated. The results are generally consistent with expectations both in terms of theory and of practical experience in the industry.