An empirical comparison of flexible demand system functional forms

This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) ‘effectively globally regular’, or (3) asymptotically globally flexible. Results show that the functions with global properties generally perform better, particularly those models having asymptotic properties. Results, using US consumption data, indicate substitutability among the components of consumption at most data points. There is also some interesting substitution volatility around the time of recessions in the USA. Copyright © 2001 John Wiley & Sons, Ltd.     

The ex-dividend day stock price anomaly: evidence from the Greek stock market

This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004. We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.

Investigating the valuation effects of reverse takeovers: evidence from Europe

This study examines a European sample of 222 private firms that opted for going public through a reverse takeover transaction during the period 1992–2011. In particular, our study investigates whether reverse takeovers announcements are value-increasing transactions, especially in countries that follow strong governance structures. Moreover, the post-reverse takeover stock price and operating performance is also at the epicenter of the current study. Employing the classical event study methodology, we document significant wealth gains for the shareholders of public firms involved in reverse takeovers. The market reaction is stronger when stricter corporate governance structures prevail in the countries where public firms trade. However, the short-term gains seem to revert to substantial losses over the long-term lending support to the overreaction phenomenon. We further detect negligible improvement in the post-reverse takeover financial performance of the new entity raising further concerns over the efficacy of such transactions.     

Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?

This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the S&P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to time bubble collapses and to better capture the temporal variations in returns. We find that well over half of the S&P 500 index by market capitalization and seven of its ten sector component indices exhibited at least some bubble-like behavior over our sample period. Thus the speculative bubble that grew in the 1990s and subsequently collapsed was surprisingly pervasive in the US equity market and it affected numerous sectors including financials and general industrials, rather than being confined to information technology, telecommunications and the media. In addition, we develop a joint model for cross-sectional contagion of bubbles across the sectors and we examine whether there is evidence for bubble spillovers.     

Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.     

Stock market reaction to dividend announcements: Evidence from the Greek stock market

This study investigates the market reaction to cash dividend announcements for the period 2000–2004 employing data from the Athens Stock Exchange (ASE). In particular, the paper examines both the stock price and trading volume response to dividend distribution announcements. Dividend distributions in Greece demonstrate noticeable differences to those of the US, the UK and other developed markets. First, dividends in Greece are paid annually rather than quarterly or semi-annually. Second, the Greek corporate laws 2190/1920 and 148/1967 specifically designate the minimum amount for distribution from the taxed corporate profits. Third, neither tax on dividends nor on capital gains was imposed during the period under examination. Fourth, Greek listed firms are characterized by high ownership concentration where major owners are usually involved in management and therefore have less need for dividend announcements as an information source. Despite this neutralized information and tax environment, we document significant market reaction to dividend change announcements, lending support to the “information content of dividends hypothesis”.     

Semi-non-parametric estimates of substitution for Canadian monetary assets

We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short-run and long-run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary assets interferes with the successful use of simple-sum aggregates and traditional log-linear money-demand functions.
Calibrations semi-non-paramétriques de la substitution pour des actifs monétaires canadiens . Les auteurs calibrent le système dynamique de dépenses à la Fourier pour obtenir des estimations cohérentes des élasticités de substitution à la Morishima à court et à long termes pour des actifs monétaires canadiens. Ils suggèrent que la variabilité des élasticités estimées et la constatation que la substitution n'est pas parfaite entre les actifs monétaires rendent difficile un usage heureux des agrégats de simple somme et des fonctions log-linéaires de demande de monnaie.     

Shadow prices of $$\hbox {CO}_{2}$$ emissions at US electric utilities: a random-coefficient,random-directional-vector directional output distance function approach

We estimate the shadow prices of \(\hbox {CO}_{2}\) emissions of electric utilities in the US over the period from 2001 to 2014, using a random-coefficient, random-directional-vector directional output distance function (DODF) model. The main feature of this model is that both its coefficients and directional vector are allowed to vary across firms, thus allowing different firms to have different production technologies and to follow different growth paths. Our Bayes factor analysis indicates that this model is strongly favored over the commonly used fixed-coefficient DODF model. Our results obtained from this model suggest that the average annual shadow price of \(\hbox {CO}_{2}\) emissions ranges from $61.62 to $105.72 (in 2001 dollars) with an average of $83.12. The results also suggest that the firm-specific average shadow price differs significantly across electric utilities. In addition, our estimates of the shadow price of \(\hbox {CO}_{2}\) emissions show an upward trend for both the sample electric utilities as a whole and the majority of the individual sample electric utilities.     

Is Rationing an Option for Approaching Healthcare Services Provision? The Case of the Greek Cardiac Patients

This paper attempts to address some of the issues surrounding rationing of healthcare services, with application to Greece’s delivery of cardiac services. To this end, first, we provide highlights of the current debate concerning rationing worldwide and critically discuss them. Following that, an empirical analysis of the way ‘key’ stakeholders perceive rationing issues in Greece, is performed. Findings indicate that rationing is a highly disputed approach, subject to individualistic interpretations and moral issues. At policy level, it becomes evident that rationing is a mixture rather than a single policy concern, depending on a complicated range of locally-based reconciliation made at various levels of interested parties. Hence, no universal formula exists to fit all countries’ healthcare systems and further case-by-case research, is required.