Lars Nordn 《Asia-Pacific Journal of Financial Studies》2009,38(6):891-914

This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid‐ask spread. Analysis of Data from the Swedish OMXS 30 index futures market shows clear evidence of futures price asymmetry, where the futures price in general tends to be closer to the bid than to the ask quote. Moreover, in a futures market environment with a relatively low liquidity, the futures price tends to be closer to the bid quote, whereas the futures price is virtually symmetrically located within the futures spread when liquidity is relatively high.  相似文献   

    

Heinz Gebhardt  Lars Siemers 《Wirtschaftsdienst》2006,86(6):355-368

Die Mehrwertsteuererh?hung und m?gliche Belastungen der Bürger durch die Steuerfinanzierung von Sozialleistungen haben eine Diskussion über die H?he der Steuerquote entfacht. Gibt es eine optimale Steuerquote? Welche Anforderungen werden an den Staat gestellt? Wie ist die deutsche Steuerquote im internationalen Vergleich zu beurteilen und wie hat sie sich über einen l?ngeren Zeitraum entwickelt? Die Autoren unseres Zeitgespr?chs: Prof. Dr. Clemens Fuest, 37, ist Inhaber des Lehrstuhls für Finanzwissenschaft an der Universit?t zu K?ln und Mitglied des Wissenschaftlichen Beirates beim Bundesministerium der Finanzen sowie Mitglied des Kronberger Kreises der Stiftung Marktwirtschaft; Johannes Becker, 28, Dipl.-Volkswirt, ist wissenschaftlicher Mitarbeiter am Seminar für Finanzwissenschaft der Universit?t zu K?ln. Prof. Dr. Jürgen Kromphardt, 72, ist Inhaber des Lehrstuhls für Wirtschaftstheorie an der Technischen Universit?t Berlin. Er war von 1999 bis 2004 Mitglied des Sachverst?ndigenrates zur Begutachtung der gesamtwirtschaftlichen Entwicklung. Dr. Stefan Bach, 42, ist Mitarbeiter der Abteilung Staat im Deutschen Institut für Wirtschaftsforschung (DIW) in Berlin. Prof. Dr. Viktor Steiner, 49, ist Leiter dieser Abteilung und Professor für Empirische Wirtschaftsforschung an der Freien Universit?t Berlin.  相似文献   

What Drives Contagion in Financial Markets? Liquidity Effects versus Information Spill‐Over     

Lars Helge Haß  Christian Koziol  Denis Schweizer 《European Financial Management》2014,20(3):548-573

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Jan Pettersson  Lars Johansson 《The journal of international trade & economic development》2013,22(6):866-894

In a gravity model for 184 countries between 1990 and 2005, we show that bilateral aid is not only positively correlated with donor exports, as suggested in earlier studies, but also positively associated with recipient exports to donors. Our interpretation is that an intensified aid relation reduces the effective cost of distance. We find a particularly strong effect of aid in the form of technical assistance. The effect of trade-related assistance (Aid for Trade) is small and fully accounted for by aid to investments in trade-related infrastructure. The aid-trade link is particularly strong for donor exports to Sub-Saharan African countries and for recipient exports of strategic materials.  相似文献   

    

Lars Erling Olsen  Bendik Meling Samuelsen  Tarje Gaustad 《心理学和销售学》2014,31(12):1064-1073

Advertisers can choose among different ad claims when framing commercial messages about a new service offer. Two alternative ad claims are functional ad claims, focusing on product or service attributes and benefits, and experiential ad claims, focusing on future experiences with the product or service. This article proposes that different ad claims evoke different memory structures (semantic vs. episodic), and that different memory structures require different types of cognitive processing (system 1 vs. system 2). In two experiments using need for cognition as a dispositional trait of level of cognitive processing, this article shows that a new service entrant with experiential ad claims will be less favorably evaluated when consumers engage in more effortful, or system 2, processing, than when consumers engage in less effortful processing (system 1). For functional claims, however, the evaluation of the new service does not differ between the two types of cognitive processing (system 1 vs. system 2).  相似文献   

    

Claus Holm  Lars Bo Langsted  Jesper Seehausen 《International Journal of Auditing》2012,16(1):79-97

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Jeroen Rombouts  Lars Stentoft  Franceso Violante 《International Journal of Forecasting》2014

We assess the predictive accuracies of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set of 444 multivariate models that differ in their specification of the conditional variance, conditional correlation, innovation distribution, and estimation approach. All of the models belong to the dynamic conditional correlation class, which is particularly suitable because it allows consistent estimations of the risk neutral dynamics with a manageable amount of computational effort for relatively large scale problems. It turns out that increasing the sophistication in the marginal variance processes (i.e., nonlinearity, asymmetry and component structure) leads to important gains in pricing accuracy. Enriching the model with more complex existing correlation specifications does not improve the performance significantly. Estimating the standard dynamic conditional correlation model by composite likelihood, in order to take into account potential biases in the parameter estimates, generates only slightly better results. To enhance this poor performance of correlation models, we propose a new model that allows for correlation spillovers without too many parameters. This model performs about 60% better than the existing correlation models we consider. Relaxing a Gaussian innovation for a Laplace innovation assumption improves the pricing in a more minor way. In addition to investigating the value of model sophistication in terms of dollar losses directly, we also use the model confidence set approach to statistically infer the set of models that delivers the best pricing performances.  相似文献   

    

Rebecca Piekkari  Lars Oxelheim  Trond Randy 《Corporate Governance: An International Review》2015,23(1):25-41

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Lars  Osberg Fazley  Siddiq 《Review of Income and Wealth》1988,34(2):143-163

This paper presents original estimates of the distribution of personal wealth in Nova Scotia, Canada in 1871 using the estate multiplier technique and discusses the sensitivity of estimates of the wealth distribution to the assumed wealth holdings of non-probated decedents. We examine, in particular, the implications of assuming: (1) that non-probated decedents had zero wealth, (2) that the wealth distribution was quasi-Paretian (with parameters that can be estimated from the distribution of wealth of probated decedents) or (3) that the wealth distribution had the form assumed by A. H. Jones in her analysis of wealth inequality in the Thirteen Colonies in 1774. We conclude that it is unlikely that large estates escaped the probate process in Nova Scotia, but it is also unlikely that all non-probated decedents had equal wealth-thus our \"best guess\" is that the wealth distribution of non-probated decedents was quasi-Paretian. However, a methodology similar to Jones' would have implied considerably less measured inequality in the wealth distribution and greater average wealth in 1871– and would therefore have altered our perception of long term trends in the distribution of wealth and in the rate of accumulation of wealth. The measurement of wealth inequality in a society with a significant slave population, such as the thirteen colonies in 1774, is also highly sensitive to the treatment of slavery. Our preferred estimates of wealth inequality in Nova Scotia in 1871 and in the Thirteen Colonies in 1774 indicate a much higher inequality in the distribution of personal wealth than exists today.  相似文献   

    

Lars Peter Hansen  Thomas J. Sargent 《Economics Letters》1981,8(3):255-260

A prediction formula for geometrically declining sums of future forcing variables is derived for models in which the forcing variables are generated by a vector autoregressive-moving average process. This formula is useful in deducing and characterizing cross-equation restrictions implied by linear rational expectations models.  相似文献