Liquidity Commonality in the London Stock Exchange

Abstract:  A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper offers first time evidence (to the best of our knowledge) on the presence of systematic liquidity in the UK using FTSE100 and FTSE250 stocks. The unique setting of the London Stock Exchange as regards changes in trading regimes, allows an original answer as to whether changes in the nature of market making from obligatory to non-obligatory, affect commonality in liquidity. Results indicate that commonality is quite strong for FTSE100 stocks at individual and portfolio level, while for the FTSE250 it is strong only at portfolio level. Overall commonality is on average similar across trading regimes, irrespective of the nature of the provision of liquidity.     

On corporate financial distress prediction: What can we learn from private firms in a developing economy? Evidence from Greece

Review of Quantitative Finance and Accounting - Using a large dataset that includes nearly 31,000 Greek private firms we examine the determinants of the probability of corporate financial distress....     

The effects of human capital and R&D upon International trade flows: Evidence from a multi-input,multi-output model for the United States

Zusammenfassung Die Auswirkungen von Humankapital und F&E auf die internationalen Handelsstr?me: Evidenz aus einem Modell mit mehreren Inputs und Outputs für die USA. - In diesem Aufsatz wird ein Modell mit mehreren Inputs und Outputs entwickelt, um den Au▾enhandelssektor der amerikanischen Volkswirtschaft zu untersuchen. Da es sowohl Humankapital als auch F&E auf der Produktionsseite einer offenen Volkswirtschaft modelliert, hat dieses Modell mehrere Vorteile gegenüber früheren Studien, die wie üblich einen Produktionsproze▾ mit nur zwei Inputs verwenden. Die empirischen Ergebnisse deuten darauf hin, da▾ Exportgüter humankapital- und Investitionsgüter forschungsintensiv sind. Au▾erdem ergibt sich, da▾ Erh?hungen des Humankapitals und der F&E-ausgaben zu einem Anstieg der Importe beitragen. Diese Ergebnisse haben weitreichende Implikationen für die Gestaltung sowohl der heimischen Industriepolitik als auch der internationalen Handelspolitik.

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Résumé Les effets du capital humain et de la R&D sur les flux de commerce international: évidence d’un modèle multi-input, multi-output pour les Etats Unis. - Dans cet article l’auteur formule un modèle multi-output, multi-input pour étudier le secteur étranger de l’économie américaine. L’approche de modeler le capital humain et la R&D dans le secteur de production en contexte d’une économie ouverte possède plusieurs avantages vis-à-vis des autres études antérieures qui utilisent seulement le processus de production conventionnel à deux input. Les résultats empiriques suggèrent que des exportations sont intensives en capital humain et que les biens d’investissement sont intensifs en R&D. De plus, il est démontré que les accroissements en capital humain et R&D contribuent à l’accroissement des importations. Ces résultats ont des conséquences importantes pour la formulation de la politique d’industrie et de la politique commerciale.

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Resumen Los efectos del capital humano y de I&D sobre el comercio internacional: evidencia empfrica de un modelo de varios insumos y productos de los EE UU. - En este trabajo se présenta un modelo con varios productos e insumos para estudiar el sector externo de la economfa de los EE UU. Modelar el capital humano y el gasto en I&D como parte del sector productivo de una economfa abierta tiene varias ventajas frente a estudios previos que solo consideran un proceso de producci?n con dos insumos. Los resultados empiricos sugieren que las exportaciones son intensivas en capital humano y que bienes de capital son intensivos en I&D. Ademas, se encuentra que un nivel mas alto de capital humano e I&D contribuira a un aumento en las importaciones. Estos resultados tienen efectos importantes para del diseno de polfticas industriales y comerciales.

     

Mergers,multiperiod Cournot competition,and Coasian dynamics

Under the simplifying conditions of product homogeneity, linear demand, symmetric and constant marginal costs, the static Cournot–Nash equilibrium predicts that exogenous horizontal mergers generate losses for the participants if the participants represent less than 80% of the firms in the industry. I successfully challenge the applicability of this well-known merger paradox to markets for durable goods by introducing Coasian dynamics to the quantity competition, while maintaining all other simplifying conditions. I demonstrate that exogenous mergers with a relatively small number of insiders in industries with a relatively large initial number of firms can be profitable as long as the common discount factor is sufficiently high and the decision-making horizon is sufficiently long. Unlike previous research on mergers in durable-goods industries, the significance of the decision-making horizon is emphasized; mergers that are unprofitable in a short-horizon version of my model for all values of the discount factor can prove profitable in a long-horizon version provided that agents are sufficiently patient.     

A translog estimation of the average cost function of the steel industry with financial accounting data

This paper proposes a measure to assess firm performance which is based in neoclassical production theory and yet can be empirically estimated with widely available financial accounting ratios. A translog cost function is estimated, and fitted per-unit average cost figures are generated based upon the firm's individual characteristics and industry norms. The deviation of a firm's actual average per-unit cost from the fitted value is proposed as a predictor of firm profitability. This measure is then tested on firms in the steel industry. It is shown that the accounting ratios generate a cost function which behaves in accordance with neoclassical microeconomic theory, and accounting profits are indeed found to be inversely related to the calculated efficiency measure.The authors are indebted to the participants of the Forty-Fourth International Atlantic Economic Conference, Philadelphia, PA, October 9–12, 1997, and an anonymous referee. Any shortcomings remain the responsibilities of the authors.     

A cost-effectiveness analysis of denosumab for the prevention of skeletal-related events in patients with multiple myeloma in four European countries: Austria,Belgium, Greece,and Italy

Aim: The approved indication for denosumab (120?mg) was expanded in 2018 to include skeletal-related event (SRE) prevention in patients with multiple myeloma (MM). Therefore, a cost-effectiveness analysis was conducted comparing denosumab with zoledronic acid (ZA) for SRE prevention in patients with MM from the national healthcare system perspective in a representative sample of European countries: Austria, Belgium, Greece, and Italy.

Methods: The XGEVA global economic model for patients with MM was used to calculate incremental cost-effectiveness ratios (ICERs) for denosumab vs ZA over a lifetime horizon. Clinical inputs were derived from the denosumab vs ZA randomized, phase 3 study (“20090482”) in patients newly-diagnosed with MM, and comprised real-world adjusted SRE rates, serious adverse event (SAE) rates, treatment duration, dose intensity, progression-free survival (PFS), and overall survival (OS). Economic inputs comprised country-specific denosumab and ZA acquisition and administration costs, SRE and SAE management costs, and discount rates. Health utility decrements associated with MM disease progression, SRE and SAE occurrence, and route of administration were included.

Results: Estimated ICERs (cost per quality-adjusted life-year [QALY] gained) for denosumab vs ZA in Austria, Belgium, Greece, and Italy were €26,294, €17,737, €6,982, and €27,228, respectively. Using 1–3 times gross domestic product (GDP) per capita per QALY as willingness to pay thresholds, denosumab was 69–94%, 84–96%, 79–96%, and 50–92% likely to be cost-effective vs ZA, respectively.

Limitations: Economic inputs were derived from various sources, and time to event inputs were extrapolated from 20090482 study data.

Conclusions: Denosumab is cost-effective vs ZA for SRE prevention in patients with MM in Austria, Belgium, Greece, and Italy, based on often-adopted World Health Organization thresholds. This conclusion is robust to changes in model parameters and assumptions. Cost-effectiveness estimates varied across the four countries, reflecting differences in healthcare costs and national economic evaluation guidelines.     

A cost-effectiveness analysis of denosumab for the prevention of skeletal-related events in patients with multiple myeloma in the United States of America

Objective: A large, pivotal, phase 3 trial in patients with newly diagnosed multiple myeloma (MM) demonstrated that denosumab, compared with zoledronic acid, was non-inferior for the prevention of skeletal-related events (SREs), extended the observed median progression-free survival (PFS) by 10.7 months, and showed significantly less renal toxicity. The cost-effectiveness of denosumab vs zoledronic acid in MM in the US was assessed from societal and payer perspectives.

Methods: The XGEVA Global Economic Model was developed by integrating data from the phase 3 trial comparing the efficacy of denosumab with zoledronic acid for the prevention of SREs in MM. SRE rates were adjusted to reflect the real-world incidence. The model included utility decrements for SREs, administration, serious adverse events (SAEs), and disease progression. Drug, administration, SRE management, SAEs, and anti-MM treatment costs were based on data from published studies. For the societal perspective, the model additionally included SRE-related direct non-medical costs and indirect costs. The net monetary benefit (NMB) was calculated using a willingness-to-pay threshold of US$150,000. One-way deterministic and probabilistic sensitivity analyses were conducted.

Results: From a societal perspective, compared with zoledronic acid, the use of denosumab resulted in an incremental cost of US$26,329 and an incremental quality-adjusted life-year (QALY) of 0.2439, translating into a cost per QALY gained of US$107,939 and a NMB of US$10,259 in favor of denosumab. Results were sensitive to SRE rates and PFS parameters.

Limitations: Costs were estimated from multiple sources, which varied by tumor type, patient population, country, and other parameters. PFS and overall survival were extrapolated beyond the follow-up of the primary analysis using fitted parametric curves.

Conclusion: Denosumab’s efficacy in delaying or preventing SREs, potential to improve PFS, and lack of renal toxicity make it a cost-effective option for the prevention of SREs in MM compared with zoledronic acid.     

The Benefits of Overvaluation: Evidence from Mergers and Acquisitions

Theoretical and empirical evidence debates whether acquirers can exploit their overvalued equity and create value by purchasing less overvalued or undervalued target firms. Shleifer and Vishny (2003) and Savor and Lu (2009) argue in favor of this, while Fu, Lin, and Officer (2013) and Akbulut (2013) provide evidence against. I revisit this issue and develop a quasi-experimental design. The misvaluation effect for stock acquirers that are more overvalued than their targets is isolated and measured. My findings offer direct evidence in favor of the Shleifer and Vishny (2003) market-timing hypothesis.     

Aging,growth and the allocation of public expenditures on health and education

In this paper, I develop an overlapping generations endogenous growth model in which both public education and health are sources of growth by affecting the accumulation rate of the human capital stock and the savings rate over life expectancy. I first find that dynamic complementarities of public expenditures lead to minimum threshold levels of public education and health expenditures that ensure sustainable growth. I then show how governments can use the allocation of public expenditures as an alternative policy instrument to maximize growth without increasing the tax rate or the retirement age, as usually happens in aging economies.