Art. 19 der Wet op de Coöperatieve Vereenigingen

Amsterdam, 16 Mei 1913     

The Valuation of Stock Purchase Rights as Call Options

The predictability of rights valuation models is tested, viewing the rights as call options. The results show that rights valuation models, on average, overprice the rights. The bias in the model prices of rights found in this paper is opposite to that predicted by Merton. Among several factors considered, possible volatility changes associated with raising capital through a rights offering account for some of the observed pricing deviation. A further regression analysis shows that while the pricing deviation is positively related to both the degree that the rights are in the money and the allocation ratio, it is negatively related to the time to expiration and the daily trading volume of the rights.     

Emerging economies in the 2000s: Real decoupling and financial recoupling

The paper documents an intriguing development in the emerging world in the 2000s: a decoupling from the business cycle of advanced countries, combined with the strengthening of the co-movements in the main emerging market assets that predates the synchronized selloff during the crisis. In addition, the paper tests the hypothesis that financial globalization, to the extent that it creates a common, global investor base for EM, could lead to a tighter asset correlation despite the weaker economic ties. While an examination of the impact of alternative financial globalization proxies yield no conclusive result, a closer look at global emerging market equity and bond funds show that the latter indeed foster financial recoupling during downturns, reflecting the fact that they trade near their respective benchmarks and respond to withdrawals by liquidating holdings across the board.     

The week-of-the-year effect: Evidence from around the globe

This study investigates another calendar anomaly the literature does not yet address – the week-of-the-year (WOY) effect. Using the weekly returns on the stock market indexes of 20 countries worldwide, for a period that ends in December 2010, the findings demonstrate that returns in Week 44, which starts on October 29 and ends on November 4, are positive in 19 of the 20 countries, and in 18 of them, it is also statistically significant. In contrast, the returns for Week 43, which starts on October 22 and ends on October 28, are negative in 19 of the 20 countries, and statistically significant for most of the countries. We also apply an investment strategy derived from these findings to a prediction period (2009–2010), and find that this strategy beats the simple buy-and-hold policy by a substantial margin.     

HETEROGENEOUS EFFECTS OF THE ACA MEDICAID EXPANSION ON HOSPITAL FINANCIAL OUTCOMES

This study examines the effect of the Affordable Care Act's Medicaid expansion on hospital financial outcomes. A key innovation relative to prior studies is that we explicitly account for heterogeneity across states in the timing and extent of the expansion as well as across hospital types. We find that Medicaid expansion led to a decrease in uncompensated care expenditures and an increase in average operating margins. The effects were larger in states where the Medicaid expansion led to a greater increase in program eligibility. Operating margins improved most for public hospitals and facilities located in rural areas. (JEL I11, I13, I18)     

Consumer Skepticism of Claims in Food Ads vs. on Food Labels: An Exploration of Differences and Antecedents

Considerable evidence shows that consumers are skeptical of advertising, that is, have a tendency to doubt the truth of advertising claims. The main focus of our paper is to explore, in the context of food products, whether this typically high level of skepticism is also exhibited for product labels. In addition, we look at consumer skepticism associated with health claims in food ads and labels as well as with the Nutrition Facts Panel on food packages. Finally, we examine some individual difference factors that might influence consumer skepticism. We report the results of a large‐scale survey designed to explore these issues, and we discuss the implications of our findings for public policy and future research.     

Risk aversion and skewness preference

Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. This finding is typically interpreted in terms of a risk averse representative investor with a cubic utility function. This paper questions this interpretation. We show that the empirical tests fail to impose risk aversion and the implied utility function takes an inverse S-shape. Unfortunately, the first-order conditions are not sufficient to guarantee that the market portfolio is the global maximum for this utility function, and our results suggest that the market portfolio is more likely to represent the global minimum. In addition, if we do impose risk aversion, then co-skewness has minimal explanatory power.