On the extension of binary relations in economic and game theories

Decisions in Economics and Finance - Szpilrajn’s extension theorem on binary relations and its strengthening by Dushnik and Miller are fundamental in economic and game theories....     

The demand for deposits and risk sensitivity: The case for Greece, 1955–1980

The purpose of this paper is to estimate the demand for deposits in Greece, using a constrained simultaneous equation system similar in principle to the Linear Expenditure System. The procedure allows us to calculate both the wealth and interest rate elasticities of demand for the various types of deposits and to measure the relative risk associated with each category of deposits.     

Financial Disclosure in the Travel and Leisure Industry

This study explores the determinants of Internet financial disclosure in the travel and leisure industry. Studying the case of the firms that are listed in the London Stock Exchange, we employ the generalized method of moments in order to investigate the cross‐sectional variation in the quantity of financial information, which is disclosed on corporate websites of travel and leisure firms. We find that disclosure is positively associated with corporate size, financial leverage, concentrated ownership, dual listing and profitability. We also discover that profitability is not only a determinant of financial disclosure in the travel and leisure industry but also its consequence: More profitable firms yield more requests for transparency among their stakeholders, and they also have the necessary resources to respond to these requests. Copyright © 2016 John Wiley & Sons, Ltd.     

A representation of consistent binary relations

We give sufficient conditions for the existence of a numerical representation which is equivalent to consistency as defined by Suzumura (Economica 43:381–390).      

Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

This study investigated the volatility linkages between energy and agricultural futures, including possible causes for these comovements, such as external macroeconomic and financial shocks during low and high volatility regimes. A combination of Markov-switching regressions and quadrivariate VAR–DCC–GARCH and VAR–BEKK–GARCH modeling revealed that external shocks have an asymmetric effect on the relationship of these assets with higher cross-correlations reported during high volatility regimes. This comovement effect outweighs the substitution effect between energy and agricultural products. Furthermore, the quadrivariate VAR–BEKK–GARCH model provides strong evidence of a bidirectional price volatility spillover between the agricultural and energy markets during periods of high volatility. Overall, the results suggest that energy futures can be effectively used for hedging in a portfolio comprising agricultural futures (and vice versa), while a combination of macroeconomic and financial index futures can serve as an effective hedging tool in investment portfolios comprising both energy and agricultural commodities.     

Size effect,methodological issues and ‘risk-to-default’: evidence from the UK stock market

The hedging effectiveness of dynamic strategies is compared with static (traditional) ones using futures contracts for the five leading currencies. The traditional hedging model assumes time invariance in the joint distribution of spot and futures price changes thus leading to a constant optimal hedge ratio (OHR). However, if this time-invariance assumption is violated, time-varying OHRs are appropriate for hedging purposes. A bivariate GARCH model is employed to estimate the joint distribution of spot and futures currency returns and the sequence of dynamic (time-varying) OHRs is constructed based upon the estimated parameters of the conditional covariance matrix. The empirical evidence strongly supports time-varying OHRs but the dynamic model provides superior out-of-sample hedging performance, compared to the static model, only for the Canadian dollar.     

The urban housing market: A new approach for estimating demand for housing by dwelling type

A new approach for estimating urban housing demand by dwelling type is suggested and tested empirically. The approach is based on the assumption that households choose their residential location and dwelling type in a way to maximize the communal utility. The model used is the Dynamic General Linear Expenditure System which allows determination of (1) urban housing demand by dwelling type, and (2) expenditure and own- and cross-price elasticities (compensated and uncompensated).     

Forecasting Canadian consumption using the Dynamic Generalized Linear Expenditure System (DGLES)

This paper uses the Dynamic Generalized Linear Expenditure System (Dgles) to: 1. study the behaviour of the Canadian consumer; and 2. provide ex postforecasts of consumption expenditures by commodity group. The model is estimated for seven commodity groups (durables, food, fuel, gasoline, other non-durables, semi-durables and services) using quarterly data covering the period 1961.I–1978.IV. The method of estimation is the full information maximum likelihood routine, and the ex postforecasts are provided for the period 1979.I–1981.IV.     

Ownership structure,information asymmetry and growth of the firm: Implications from nonfinancial firms listed in S&P500

This paper investigates the association between growth of the firm and ownership structure under conditions of information asymmetry. The objective is to show the effects of information asymmetry (favorable vs. adverse selection) on the choice of the ownership structure that helps firms grow. Our sample includes nonfinancial firms listed in the S&P500 over the period 2000 to 2016. The dependent variable is growth of the firm measured by growth in sales. The independent variables are proxies for changes in ownership structure, individual investors, investment managers, and brokerage firms. Observations are grouped according to level of information asymmetry (high or low) using three proxies for information asymmetry: beta of return on equity (ROE), probability of default of ROE, and q ratio. The results conclude that (a) changes in ownership structure affect growth of the firm positively and (b) the effect of ownership structure is more significant and consistent at low level of information asymmetry. The contribution of the paper is threefold. First, it extends the arguments of corporate governance by showing the impact of ownership structure on growth of the firm. Second, the paper offers robust evidence that growth of the firm is associated with low level of information asymmetry. Third, the paper shows that fundamental financial information can help lessen the level of information asymmetry and thus help firms grow.