The survivorship bias, share price effect, and small firm effect in Canadian markets

After controlling for survivorship bias, we examine the relation between average returns, firm size, and price levels for Canadian stocks during the 1975-1994 period. Our findings indicate that there is a significant inverse share price level effect in Canadian markets. When we compare the results of the overall sample with the groups of surviving firms and delisted stocks, the latter group shows strong performance for large-size, high-priced stocks. Evidence that supports an independent size effect is less clear for Canadian stocks. A small size effect exists only among the higher share price denominations, which suggests a confounded size-price effect. Although the delisted group returns are statistically different from those of the survivor and the overall groups, which implies some evidence of survivorship bias, the difference between the survivor group and the overall group is weak at best.     

Money and exchange rates in the Grossman-Weiss-Rotemberg model

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (3) highly persistent. While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior.     

The Friday Effect in European Securitized Real Estate Index Returns

This study extends research on the day-of-the-week effect towards European real estate indices. We examine this anomaly for several European securitized real estate index returns between 1990 and 2003. Although the countries under analysis have unique country-specific patterns, we find that eight out of eleven European countries exhibit abnormally high Friday returns. Moreover, two different Europe indices also exhibit the Friday anomaly. The anomaly is robust with respect to extreme observations, alternative specifications and several well-known calendar effects.     

Valuing Mortgage Insurance Contracts in Emerging Market Economies

We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.     

Financial acumen, women speculators, and the Royal African company during the South Sea bubble

Price bubbles provide a unique opportunity to study the financial acumen of shareholders. We focus on the 1720 South Sea episode as experienced by the Royal African Company whose stock was more speculative than other joint stocks. During 1720 the company had a new large stock issue. This paper examines the financial acumen of those women who traded senior and engrafted stock across 1720. We find that depending on the pricing regime, these women at worst broke even on their activities or had positive speculative gains. Our findings are consistent with a growing literature on the positive link between gender, capital gains and financial markets.     

Bargaining Strength and Property Class in Office Markets

This paper examines the influence of bargaining power and property class on the prices of heterogeneous goods. Specifically, it explores the impact of buyer and seller characteristics on the transaction prices of office properties. The empirical model is based on the work of Harding, Rosenthal, and Sirmans (2003), which developed a method to distinguish between the impact of buyer and seller attributes on bargaining power and the choice of otherwise unidentified price effects (i.e., property class) in the context of hedonic price models. The data set contains information on transaction prices of office properties in Cook, DuPage, and Lake Counties, Illinois from 1995 to 1997. The results reveal systematic differences in bargaining power and property class for certain groups of buyers and sellers contained within the sample.     

论煤炭企业营销体系中的“三大支柱”

煤炭企业作为市场经营活动的主体 ,在竞争的环境下必须搞好煤炭营销“龙头”工作。煤炭市场营销是一个完整而科学的体系 ,其中的煤炭市场环境分析、用目标市场选择、煤炭营销组合设计则是这一体系中的“三大支柱” ,必须予以高度重视 ,以保证煤炭产品的适销对路和运销过程的快速、高效     

Effects of Economic Convergence on Stock Market Returns in Major EMU Member Countries

This study updates and extends existing literature by investigating the effects of economic convergence among major European Economic and Monetary Union (EMU) member countries on stock market returns in each respective nation. Main findings include: (1) long-term stability in the EMU appears to be attainable, but further integration of product and factor markets is needed to reinforce convergence of real sectors; (2) the UK can be considered a quasi EMU participant due to convergence of its key economic variables with those of formal EMU members; and (3) economic convergence appears to be an important contributing factor to returns from stock markets in the included EMU countries except Germany.     

Modelling the behaviour of the new issue market

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.