News sentiment and sovereign credit risk

We explore the impact of media content on sovereign credit risk. Our measure of media tone is extracted from the Thomson Reuters News Analytics database. As a proxy for sovereign credit risk we consider credit default swap (CDS) spreads, which are decomposed into their risk premium and default risk components. We find that media tone explains and predicts CDS returns and is a mixture of noise and information. Its effect on risk premium induces a temporary change in investors’ appetite for credit risk exposure, whereas its impact on the default component leads to reassessments of the fundamentals of sovereign economies.     

Design and development of inventory knowledge discovery system

Inventory management (IM) performance is affected by the forecasting accuracy of both demand and supply. In this paper, an inventory knowledge discovery system (IKDS) is designed and developed to forecast and acquire knowledge among variables for demand forecasting. In IKDS, the TREes PArroting Networks (TREPAN) algorithm is used to extract knowledge from trained networks in the form of decision trees which can be used to understand previously unknown relationships between the input variables so as to improve the forecasting performance for IM. The experimental results show that the forecasting accuracy using TREPAN is superior to traditional methods like moving average and autoregressive integrated moving average. In addition, the knowledge extracted from IKDS is represented in a comprehensible way and can be used to facilitate human decision-making.     

Conflict of interest and the credibility of underwriter analyst recommendations

Brokerage analysts frequently comment on and sometimes recommendcompanies that their firms have recently taken public. We showthat stocks that underwriter analysts recommend perform morepoorly than 'buy' recommendations by unaffiliated brokers priorto, at the time of, and subsequent to the recommendation date.We conclude that the recommendations by underwriter analystsshow significant evidence of bias. We show also that the marketdoes not recognize the full extent of this bias. The resultssuggest a potential conflict of interest inherent in the differentfunctions that investment bankers perform.     

Direct Taxes on Advertising Services

Nine states and four major cities have gross receipts taxes on advertising services. They currently range from 5 percent to less than 1 percent. Additional state and local governments have been confronting advertisers with proposals to institute direct taxes on advertising. The cause appears to be largely the need for increased revenues, not an attempt to harass advertisers.

Considerable insight about the effects of such taxes on advertisers and their suppliers was available from a convenient ad hoc “experiment.” One state imposed such a tax for two years and then repealed it.     

Emotions Matter: Sentiment and Momentum in Foreign Exchange

The author introduces news sentiment as a variable that can explain and predict subsequent changes in the USD/EUR exchange rate and therefore close a gap in the foreign exchange literature. By applying the concept of frequency filtering from the domain of electrical engineering, the author shows an innovative way of filtering for noise not only in news sentiment, but also in price momentum. The author finds that news sentiment is not correlated to price momentum, and that trading strategies based on news sentiment achieve around twice as high information ratios (up to 0.9) than with trading strategies based on price momentum.     

Regional effects of federal tax shocks

This article studies the effects of federal tax changes on U.S.‐state‐level income. Utilizing an exogenous tax shock series recently proposed in the literature, we find considerable variation in how federal tax changes affect regional income: estimated state income multipliers range between –0.2 in Utah and –3.7 in Hawaii. Analyzing the determinants of differences in regional tax multipliers suggests that size and composition of the state tax base help explain the observed heterogeneity in the transmission of federal tax policy.     

Taxation and consumption: evidence from a representative survey of the German population

Using a representative survey of the German population, this article studies self-reported individual consumption responses to a recent exogenous payroll tax reduction. About 55% of the respondents report that they spend the extra money, indicating considerable potential for tax changes to affect consumption and economic activity. Our analysis of the socio-demographic and economic covariates of consumption responses suggests, among other effects, that interest rates are related to consumption responses to tax changes, and that households with higher income have a higher propensity to consume.     

Price Discrimination in Russian Wheat Exports: Evidence from Firm‐level Data

Russia emerged as an important wheat exporter in recent years raising the question of how this will affect international wheat markets. In particular developing countries – the main destination of Russian wheat exports – could be harmed by aggressive pricing behaviour. This article analyses the exertion of price discrimination by Russian wheat exporting firms based on Krugman's pricing‐to‐market hypothesis. We apply Knetter's panel model to a firm‐level dataset and find evidence for price‐discriminating behaviour by Russian firms in 25 out of 61 destination countries over the period 2002–2011.     

Consumers and the dairy growth hormone: Opportunity and controversy

International Advances in Economic Research -