THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET

Using order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative. Private information is more important for infrequently traded stocks. Compared with previous findings, our findings imply the presence of much asymmetric information on the SSM. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably.     

On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

In this paper, we propose a general technique to develop first- and second-order closed-form approximation formulas for short-maturity options with random strikes. Our method is based on a change of numeraire and on Malliavin calculus techniques, which allow us to study the corresponding short-maturity implied volatility skew and to obtain simple closed-form approximation formulas depending on the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches for two-asset and three-asset spread options such as Kirk’s formula or the decomposition method presented in Alòs et al. [Energy Risk, 2011, 9, 52–57]. This methodology is not model-dependent, and it can be applied to the case of random interest rates and volatilities.     

Job market signaling and employer learning

We consider a signaling model where the sender?s continuation value after signaling depends on his type, for instance because the receiver is able to update his posterior belief. As a leading example, we introduce Bayesian learning in a variety of environments ranging from simple two-period to continuous-time models with stochastic production. Signaling equilibria present two major departures from those obtained in models without learning. First, new mixed-strategy equilibria involving multiple pooling are possible. Second, pooling equilibria can survive the Intuitive Criterion when learning is efficient enough.     

German dominance in the European Monetary System: Evidence from money supply growth rates

This paper presents further evidence on ostensible German dominance in the European Monetary System (EMS). A dynamic system of equations is built explaining money growth rates as a function of the EMS countries' money growth rates, the world money growth rate, exchange rate objectives, inflation rates, and real income growth rates. A test of German dominance based upon money growth rates is a test of the hypothesis that the EMS has increased the comovements of money demand between countries in the system. It is found that German independence holds, but other central banks can also be important players in the system in that they can conduct independent monetary policies. Monetary policies in the EMS are best characterized as interactive. Therefore, the strict German dominance hypothesis is rejected. It follows that the EMS has not increased significantly the link between money demand functions in the EMS countries in the hierarchical structure as claimed by the dominance argument.     

EVA革命EVA的4M

随着媒体的广泛关注,今天大多数管理人都听说过关于EVA的故事。《财富》杂志把EVA称之为今天最热的财务观念,并且越来越热。管理学之父彼得·德鲁克(Peter Drucker)在《哈佛商业评论》上的一篇文章中指出:作为一种度量全要素生产率(total factor productivity)的关键指标,EVA反映了管理价值的所有方面。然而,我们怀疑大多数管理人,甚至那些财务管理人员,他们对EVA是什么、以及EVA能为他们的公司做些什么,仍然只     

k‐Nearest neighbors local linear regression for functional and missing data at random

We combine the k‐Nearest Neighbors (kNN) method to the local linear estimation (LLE) approach to construct a new estimator (LLE‐kNN) of the regression operator when the regressor is of functional type and the response variable is a scalar but observed with some missing at random (MAR) observations. The resulting estimator inherits many of the advantages of both approaches (kNN and LLE methods). This is confirmed by the established asymptotic results, in terms of the pointwise and uniform almost complete consistencies, and the precise convergence rates. In addition, a numerical study (i) on simulated data, then (ii) on a real dataset concerning the sugar quality using fluorescence data, were conducted. This practical study clearly shows the feasibility and the superiority of the LLE‐kNN estimator compared to competitive estimators.     

Adoption and use of mobile banking by low‐income individuals in Senegal

The wide use of mobile phones increases low‐income individuals’ access to a large range of services. One of these services is mobile banking (m‐banking). Today, m‐banking represents a key vector of financial inclusion in many countries in sub‐Saharan Africa, especially Senegal. Based on technology adoption theories applied to households in developing countries, this paper studies the determinants of the adoption and use of m‐banking. We distinguish between possession or adoption and actual use of m‐banking and examine the interdependence between these two decisions by using the Heckman sample selection model, through a sample of 1,052 individuals in the suburbs of Dakar. Our main results are that the two decisions (adoption and use) are not independent of each other. Individual characteristics, such as education, possession of a bank account, and family network effects, are determinants of the adoption, and age, gender, and being a member of a tontine are determinants of the use. A major result of this study concerns women’s low propensity to adopt m‐banking because of their low levels of education. However, compared with men, when women adopt m‐banking, they have a stronger propensity to use it.     

The evolutionary stability of perfectly competitive behavior

Summary. In a (generalized) symmetric aggregative game, payoffs depend only on individual strategy and an aggregate of all strategies. Players behaving as if they were negligible would optimize taking the aggregate as given. We provide evolutionary and dynamic foundations for such behavior when the game satisfies supermodularity conditions. The results obtained are also useful to characterize evolutionarily stable strategies in a finite population.Received: 29 December 2002, Revised: 27 January 2004, JEL Classification Numbers: C72, D41, D43.An earlier version of this paper was titled The Evolutionary Logic of Feeling Small and was written while the first author was affiliated with the University of Salamanca (Spain). We are indebted to Ken Binmore, Larry Blume, Luis Corchón, Georg Kirchsteiger, Paco Marhuenda, Akihiko Matsui, Diego Moreno, Manfred Nermuth, Klaus Ritzberger, Jörgen Weibull, an anonymous referee, and seminar participants at the universities of Vienna, Carlos III de Madrid, and Salamanca for many helpful comments and suggestions. Obviously, only the authors are responsible for any errors and omissions. We gratefully acknowledge financial support from the Austrian Science Fund (FWF) under Project P15281 as well as from the Austrian Exchange Service (ÖAD) and the Spanish Ministry of Education and Culture under the Spain-Austria Acciones Integradas respective projects HU02-4 and 18/2003.     

Flight of the young flamingoes: alternative futures for young entrepreneurs in South Africa

The opening of South Africa’s once-protected borders to global trade has severely affected the employment opportunities and wealth creation of traditional industry in the country. Alongside this, the enormous political change with the abolition of apartheid and the presence of majority rule creates a new political regime and new expectations of the people of South Africa. Young people cannot look to traditional ways for their future. Instead of being dependent on others they must learn to be enterprising and self-dependent. Many forms of small businesses can be created as part of the economic development, and there are a range of government and industry-backed programmes to engender the ‘can do’ mindset and the market conditions and intelligence needed to succeed.