A unified solution approach for the due date assignment problem with tardy jobs

We analyze a number of due date assignment problems with the weighted number of tardy jobs objective and show that these problems can be solved in O(n²) time by dynamic programming. We show that the effects of learning or the effects of past-sequence-dependent setup times can be incorporated into the problem formulation at no additional computational cost. We also show that some single-machine due date assignment problems can be extended to an identical parallel machine setting. Finally, we improve the complexity of the solution algorithms for two other due date assignment problems.     

Does Terrorism Affect the Stock‐Bond Covariance? Evidence from European Countries

Using daily stock and bond returns data from four European countries—France, Germany, Spain, and Great Britain—that have been the victims of significant terrorist activity, this study addresses the issue of whether transnational and/or domestic terrorist attacks have affected in any significant manner the time‐varying stock–bond covariance, their returns, and their variances. Stock and bond markets can be influenced and determined not only by the usual array of macroeconomic factors but also by security shocks, such as a terrorist incident, that have the potential to affect investors' sentiment and portfolio allocation decisions. The issue at hand is addressed using a VAR(p)‐GARCH(1,1)‐in‐mean model, and the results reported herein indicate that terrorist attacks trigger a flight‐to‐safety effect primarily in France and Germany and to a smaller degree in Great Britain and Spain.     

Mauteinführung,Mauterhöhung und Nutzerreaktionen in Deutschland

Der Stra?engüterverkehr nimmt in Deutschland immer mehr zu. Dies führt zu einem wachsenden Regelungsbedarf. Sowohl der Güterverkehr auf der Stra?e als auch die Wechselwirkungen zu anderen Verkehrstr?gern sollten so effizient wie m?glich ablaufen, um Staus auf den Stra:sBen weitgehend zu verhindern und die Umwelt so wenig wie m?glich zu belasten. Welche Wirkung hatte die Einführung der Maut? Wie wirkt die seit Januar 2009 bestehende Erh?hung der Maut? Wie reagieren die Nutzer?     

Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient

This study revisits the statistical relationship between the spot and the forward rate. Unlike previous studies, this association is measured by the estimation of the long-run correlation coefficient, a non-parametric measure of linear association. This estimator was shown to be equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. This statistic allows for the measurement of the intensity of correlation. Using data for the ￡/DM over the May 1992 British General Election and September 1992 ERM devaluation, and for the FF/DM, BEF/DM, AT/DM, and NLG/DM up to the introduction of Euro, the results show that the predictive ability of the forward rate increased.     

Terrorism and capital markets: The effects of the Madrid and London bomb attacks

Using event study methodology and GARCH family models, the paper investigates the effects of two terrorist incidents – the bomb attacks of 11th March 2004 in Madrid and 7th July 2005 in London – on equity sectors. Significant negative abnormal returns are widespread across the majority of sectors in the Spanish markets but not so in the case of London. Furthermore, the market rebound is much quicker in London compared to the Spanish markets where the attackers were not suicide bombers. Nevertheless, the overall findings point to only a transitory impact on return and volatility that does not last for a long period.     

Equity market valuation of human capital and stock returns

We investigate whether and how well firms’ stock market valuations reflect their employees’ collective skills and effectiveness relative to that of their industry peers and competitors. We devise a relative stock market valuation measure of human capital intangibles (EVHC) and find that portfolios of low EVHC firms systematically outperform portfolios of high EVHC firms by an average 1.34% per month. However, this is primarily a small firms effect, because for large firms the excess returns of the arbitrage portfolio that is long on the low EVHC stocks and short on the high EVHC stocks is zero. Our results suggest that reliance on human capital intangibles may proxy for risk not fully accounted for by conventional asset pricing models, or alternatively, that the market cannot correctly price human capital intangibles for small size firms.     

Derivatives Use, Information Asymmetry, and MNC Post-Acquisition Performance

We utilize a sample of US acquiring firms that engaged in international M&As to document the effects of corporate derivatives use on post-M&A long-term performance. We find that derivatives users outperform nonusers. Furthermore, we find that acquirers with derivative policies that are more comprehensive and sophisticated outperform those with less comprehensive and sophisticated policies. They, in turn, outperform acquirers with no existing policies in place. Our results are consistent with the notion that the use of derivatives lowers information asymmetry related agency problems. Furthermore, our evidence indicates that derivatives use is an important corporate activity that has a profound effect on post-M&A performance.     

Regional economic development and environmental repercussions: An environmental input-output approach

This study attempts to examine issues related to the existing adverse relationship between regional economic development and natural environment protection. For doing so, a regional environmental input-output model for the region of central Macedonia in northern Greece is constructed in order to quantify the direct and indirect undesirable negative effects of the production process in the natural environment. The results suggest that there is a considerable trade-off between economic development and environmental deterioration which should be taken into account when policy decisions are made. This paper benefitted from comments by the participants of the Forty-Seventh International Atlantic Economic Conference, Vienna, Austria, March 16–23, 1999.     

The Validity of the Economic Value Added Approach: an Empirical Application

This study investigates the relative explanatory power of the Economic Value Added (EVA) model with respect to stock returns and firms' market value, compared to established accounting variables (e.g. net income, operating income), in the context of a small European developing market, namely the Athens Stock Exchange, in its first market‐wide application of the EVA measure. Relative information content tests reveal that net and operating income appear to be more value relevant than EVA. Additionally, incremental information tests suggest that EVA unique components add only marginally to the information content of accounting profit. Moreover, EVA does not appear to have a stronger correlation with firms' Market Value Added than the other variables, suggesting that – for our Greek dataset – EVA, even though useful as a performance evaluation tool, need not necessarily be more correlated with shareholder's value than established accounting variables.     

Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates

The present paper examines the out-of-sample forecasting performance of four conditional volatility models applied to the European Monetary System (EMS) exchange rates. In order to provide improved volatility forecasts, the four models’ forecasts are combined through simple averaging, an ordinary least squares model, and an artificial neural network. The results support the EGARCH specification especially after the foreign exchange crisis of August 1993. The superiority of the EGARCH model is consistent with the nature of the EMS as a managed float regime. The ANN model performed better during the August 1993 crisis especially in terms of root mean absolute prediction error.