The evolution of price discovery in us equity and derivatives markets

This study considers the evolution of price discovery in the S&P 500 E-mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E-mini futures dominate price discovery at the beginning of the sample period. However, from 2007 onward both the SPY ETF and E-mini futures contribute similar portions to the price discovery process. The level of price discovery is significantly influenced by volume measures and relative levels of transaction costs for both securities.     

Representations of Australia in South Korean online news: a qualitative and quantitative approach utilizing Leximancer and Korean keywords in context

This article outlines original empirical research using a quantitative computer-assisted big data approach to survey and evaluate the representation of Australia in popular South Korean online news media sources. This is an exploratory content analysis of news reporting (in Korean and English) on Australia in key Korean digital news media providers and distributors over a six-month-period during which certain key events occurred that drew Korean news media attention to Australia. The research aims to address the fundamental question: what forms and patterns of representation of Australia are present in South Korean online news media? It is designed in large part to understand how Australia is present as a theme in Korean online news, and how this theme is contextualized by associated topics, such as trade, security, or tourism. The quantitative analysis is augmented using a qualitative method: a series of key informant interviews conducted with editors and journalists responsible for the production and prioritization of news. Further, it is interpreted by locating the research in the context of the Australia-South Korea relationship. We summarize the complexities that arise when analyzing large amounts of textual content, especially from two very different languages, discuss the opportunities that arise from mixed methods—by combining big data (breadth) with contextual analysis (depth) and offer suggestions for aspiring researchers.     

Who's afraid of that ad? Applying segmentation to the protection motivation model

The protection motivation model has contributed usefully to researchers' understanding of fear appeals in advertising. However, the empirical evidence reported to date in the literature has been mixed. This article proposes and tests a revised model including two segmenting variables as a means to resolve some of the differences evident in past research. With the use of data derived from an experimental study of juveniles' response to a range of antismoking advertising treatments, empirical support was found for the mediating role of fear in predicting behavioral intentions and for the influence of individual differences. The results, however, did not confirm the moderating role of response or self‐efficacy. Future research is clearly needed to further validate the revised protection motivation model. © 2004 Wiley Periodicals, Inc.     

Market entry,privatization and bank performance in transition1

This paper examines how market entry and privatization have affected the margins and marginal costs of banks in the post‐communist transition. We estimate bank revenue and cost functions, allowing the estimated parameters to change over time. In the first sub‐period (1995–98), we find that privatized banks earned higher margins than other banks, while foreign start‐ups had lower marginal costs. In the third sub‐period (2002–2004), foreign banks remained low marginal cost service providers, while privatized domestic banks had the widest margins. Subtracting marginal costs from margins to calculate mark‐ups, an indication of demand for services, shows that initially privatized banks had the largest mark‐ups. However, by the third sub‐period, differences among private banks diminished. In comparison to private banks, state banks persistently under‐performed in controlling costs and attracting demand. Our evidence therefore indicates that foreign bank entry promoted lower costs and that privatization and market entry encouraged more demand for services.     

Prediction accuracy and sloppiness of log-periodic functions

We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give an estimate of the day of the crash belongs to the latter category. We discuss in detail why and how the fitting procedure must take into account the sloppy nature of this kind of model. We then test the reliability of LPPLs on synthetic AR(1) data replicating the Hang Seng 1987 crash and show that even this case is borderline regarding the predictability of the divergence time. We finally argue that current methods used to estimate a probabilistic time window for the divergence time are likely to be over-optimistic.     

Characterising Vulnerability to Poverty in Rural Haiti: A Multilevel Decomposition Approach

This article characterises vulnerability to poverty in Haiti using a unique survey conducted in 2007 in rural areas. In a first step, using two‐level linear random coefficient models of both per capita consumption and per capita income, the article assesses the impact of self‐reported shocks on households' economic well‐being. In a second step, the prediction model is used to calculate various measures of vulnerability to poverty, considering various types of shocks. Empirical findings show that self‐reported (or observable) idiosyncratic shocks, in particular health‐related shocks, have larger impact on vulnerability to poverty than observable covariate shocks. These results are in line with the fact that many households reported idiosyncratic health shocks as being the worst shocks they experienced. On the other hand, unobservable idiosyncratic shocks appear to have generally more influence on households' vulnerability to poverty than unobservable covariate ones. We also show that omitting self‐reported shocks in the analysis leads to an underestimate of households' vulnerability to poverty.     

Alternative theories of wage dispersion

We analyze labor market models where the law of one price fails—i.e., models with equilibrium wage dispersion. We begin considering ex ante heterogeneous workers, but highlight a problem with this approach: If search is costly the market shuts down. We then assume homogeneous workers but ex post heterogeneous matches. This model is robust to search costs, and delivers equilibrium wage dispersion. However, we prove that the law of two prices holds: Equilibrium implies at most two wages. We explore other models, including one combining ex ante and ex post heterogeneity which is robust and delivers more realistic wage dispersion.