Volatility and trading activity in Short Sterling futures

The objective of the present study is to examine the interplay between information, trading volume and volatility in Short Sterling futures. More specifically, the paper concentrates on the role of liquidity variables as conduits of information arrival and whether such variables could be an exclusive platform of the market's information set. The analytical framework employed to examine the interaction among those factors is based on the conditional volatility family of techniques. The approach is well suited as it naturally leads to examine the interaction among volatility and sources of information. In an attempt to identify proxies of information and their role in determining volatility, four main conclusions have emerged. First, the empirical findings suggest that both volume and open interest exhibit a positive correlation with volatility. Second, based on the current methodology, one can observe the persistence and importance of GARCH effects after accounting for liquidity. Third, the liquidity variables remain significantly exogenous compared with other studies. Finally, although both liquidity variables are found significant, their role as vehicles of transmitting information is proved to be weak with respect to the information itself.     

City size and household food consumption: demand elasticities in Spain

Are food price elasticities different across city sizes? The aim of this article is to estimate expenditure and own-price elasticities for 10 aggregated food product groups using the Spanish Household Budget Survey for the year 2010. These products are the ones for which the survey provides information regarding prices and quantities, thus allowing the application of an Almost Ideal Demand System (AIDS) model with censored data. The estimation procedure allows not only comparisons to be made among households with different levels of income, but also the contribution of residence characteristics to variations in demand. The results confirm that the size of the city in which the household resides has a similar significant and relevant effect on consumption patterns as family income level. This is especially clear with own-price elasticities. In Spain, large central cities show a greater response to price changes than smaller cities or rural peripheral areas.     

Tratamiento contable de las transacciones separadas en las combinaciones de negocios Proceso armonizador de la normativa contable internacional (IFRS) y americana (FAS)

Amendments made to 2007 Financial Accounting Standards ¾FAS 141 (R)¾ and 2008 International Financial Reporting Standards ¾IFRS 3 (R)¾ in order to harmonize the accounting aspects of operations concerning a business combination, have shown the existence of certain transactions that are not part of the combination itself, which are called “separate transactions”. The definition and delimitation of business combinations “separate transactions” is dispersed in both standards, at times with a little clarifying result. Therefore, this paper aims to facilitate the reader’s understanding of their accounting treatment to address the problem of identifying those transactions that occur, or not, as a result of a business combination, the accounting treatment for this dilemma and its effect on the recognition and valuation of goodwill.     

Do powerful chief executives influence the financial performance of UK firms?

Drawing on a framework from agency theory, we examine the relation between the decision-making power of Chief Executive Officers (CEOs) and the financial performance of 468 United Kingdom (UK) publicly listed companies (plcs) using a dynamic panel data estimation method for the six years 2003–2008. We measure CEO power using a ‘power index’ which captures the extent to which the autonomy of the CEO to make unilateral decisions could influence firms' financial performance. To test for robustness, our analysis is conducted using different measures of financial performance. Our results reveal that, consistent with previous UK research, CEO power, as defined by CEO-Chair duality, CEO-tenure and CEO share ownership, is negatively related to financial performance. We also find that concentrated ownership is inversely related to the performance of UK plcs. CEO's compensation and board structure, however, do not appear to be related to the financial performance of the UK plcs.     

Entry strategies into China: The choice between Joint Ventures and Wholly Foreign-Owned Enterprises: An application to the Italian manufacturing sector

We investigate the entry choice between Joint Ventures and Wholly Foreign-Owned Enterprises in the Chinese market. The analysis is based on Italian firms, thus allowing to evaluate the behaviour of also small-medium sized companies — usually less focused on by the literature on entry modes. The data, mainly from a questionnaire, supply detailed enterprise-level information and make possible to properly measure and evaluate the impact on entry modes of several variables such as innovation, internationalization, and, new in the empirical literature on this issue, corporate capital structure.     

Overpaid acquisitions and goodwill impairment losses — Evidence from the US

The purpose of this study is to shed light on the reliability of accounting goodwill numbers by examining whether many goodwill impairment losses arise from overpayment for the target at the time of the acquisition, rather than from a subsequent deterioration of goodwill values. A second related objective is to assess whether the goodwill impairment test introduced by SFAS 142 improved the ability of accounting standards to timely capture situations in which the amount of goodwill is overstated and should thus be written down.     

Modelling price pressure in financial markets

We present experimental evidence that, unlike traditional assumptions in economic theory, security prices do not respond to pressure from their own excess demand. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of price pressure that explains these findings. In our model, agents set order prices that reflect the marginal valuation of desired future holdings, called “aspiration levels.”In the short run, as agents encounter difficulties executing their orders, they scale back their aspiration levels. Marginal valuations, order prices, and hence, transaction prices change correspondingly. The resulting price adjustment process coincides with the Global Newton Method. The assumptions of the model as well as its empirical implications are fully borne out by the data. Our model thus provides an economic foundation for why markets appear to search for equilibrium according to Newton’s procedure.     

Regression models with mixed sampling frequencies

We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a model at the same sampling frequency. In addition we propose new tests to examine the null hypothesis of equal weights in aggregating time series in a regression model. We explore the above theoretical aspects and verify them via an extensive Monte Carlo simulation study and an empirical application.     

Who Benefits from Industrial Concentration? Evidence from U.S. Manufacturing

This article estimates the impact of industrial concentration on aggregate welfare as well as consumer and producer surpluses taking into account market power and cost efficiency effects. Using a sample of 232 U.S. manufacturing industries, empirical results indicate that an across-the-board increase in concentration would enhance aggregate welfare in 69 % of the industries due to widespread efficiency gains, although these accrue mostly to producers and are not passed on to consumers. Further results indicate that greater concentration is likely to enhance aggregate welfare in industries with low or moderate initial concentration that exhibit economies of scale and have greater exposure to international trade. However, consumers benefit only from increased concentration in industries whose initial levels are low and which face more import competition, lower exports and smaller markets. Producers benefit in symmetrically opposite ways, except for the case of low initial levels of concentration. In the absence of government intervention, Pareto improvements wherein everyone benefits from greater concentration are only guaranteed in industries with low levels of initial concentration in which efficiency gains yield price reductions that benefit consumers as well as producers.     

Relative Price Changes and Households' Welfare in Italy

The entrance of Italy in the Euro area in 2001 has given rise to a wide debate about the perception of inflation on households' well‐being. However, most of the debate has involved the measurement of the “correct” consumer price index at the national level. Much less analysis has been carried out on the distributional consequences of inflation on every household. The paper addresses this issue by performing a microsimulation analysis of the impact of inflation on Italian households in the period 1997–2007. It is shown that the impact of inflation has an ambiguous path over the period, with a large concentration of welfare losses around the introduction of the Euro currency. In particular, it is found that poorer and larger households are severely hurt by inflation and that the prices of gas and gasoline are largely responsible for determining the living conditions of Italian households.