Bad news does not always travel fast: evidence from Chapter 11 bankruptcy filings

This paper examines the stock price performances of 275 non‐financial, non‐utility U.S. industrial firms that continue trading on the main exchanges after filing for Chapter 11 bankruptcy between 1 October 1979 and 17 October 2005. This paper identifies a negative and statistically significant post‐bankruptcy drift that lasts for at least 6 months. This finding adds to the literature showing that the market is unable to process bad public news events in a timely manner. Further analysis suggests that the theoretical model proposed by Hong and Stein (1999) can be used to help explain this market‐pricing anomaly.     

人民币汇率波动背景下的“钟摆效应”探析

2012年以来,人民币对美元汇率继续呈现双向波动趋势,升值和贬值预期交替出现。企业等市场主体根据人民币汇率预期变动,灵活调整外币资产负债配置结构,使财务运作呈现较为明显的“钟摆效应”。“钟摆效应”的出现,反映了国内市场主体对汇率风险意识的增强,也影响到外汇资产在央行和市场主体间配置的变动,增加跨境资金流动的波动性。为更好地适应国内市场主体外币资产配置需求的变化,文章提出相关政策建议。     

Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market

Using unique data, we address the issue of price formation in a limit order market. A standard volume–volatility relation is documented with the number of trades acting as the important component of volume. The main contribution of the paper is to identify strong evidence that volume, volatility, and the volume–volatility relation are negatively related to the order book slope. These results are robust to the inclusion of several liquidity measures. A significant empirical relationship between the order book slope and the coefficient of variation in earnings forecasts by financial analysts suggests that the slope is proxying for disagreement among investors. Hence, our results support models where investor heterogeneity intensifies the volume–volatility relation.     

Business Cycles Around the Globe: Some Key Facts

We document massive heterogeneity in basic cyclical patterns within groups of developed and emerging market economies. While we detect marked differences between developed and emerging countries as well, the distributions of key business cycle statistics tend to overlap across different country groups.     

Commutation functions under Gompertz–Makeham mortality

It is known, but perhaps not well-known, that when the mortality is assumed to be of Gompertz–Makeham-type, the expected remaining life-length and the commutation functions used for calculating the expected values of various types of life insurances can be expressed with an incomplete gamma function with a negative shape parameter. This is not of much use if ones software cannot calculate these values. The aim of this note is to show that one can express the commutation functions using only the exponential function, the (ordinary) gamma function and the gamma distribution function, which are all implemented in common statistical and spreadsheet software. This eliminates the need to evaluate the commutation functions and expected remaining life-length with numerical integration.     

Non-compliance notifications and taxpayer strategic behavior: evidence from Ecuador

International Tax and Public Finance - This paper examines the effect of enforcement on taxpayer behavior using administrative data from Ecuador. To overcome confounding factors, a regression...     

From private label to co-branded credit card: an assessment of the impact of a change in value proposition over customer value perception and company value capture

Journal of Financial Services Marketing - Purpose: The aim of this paper is to evaluate the success of a value proposition over time, considering two aspects: customer’s perceived value and...