16,558 research outputs found
The precautionary demand for commodity stocks
No full textThis paper develops a theory of the precautionary demand for commodity stocks. It suggests that commodity stocks are held for precautionary purposes by producers, consumers, and intermediate processors, while speculators hold stocks on the expectation of capital gains from a subsequent price rise. Producer and consumer stocks usually account for the largest share of commercial stocks held at any point in time. For example, at the end of 1990, stocks held by producers and consumers of copper were 72 percent of all commercial stocks of the market economy countries. Yet, the theory explaining the behavior of this class of stocks has not progressed much beyond the concept of convenience yield, first introduced by Kaldor (1939). This paper proposes an alternative theory. Holding of stocks by producers and consumers is viewed as precautionary behavior towards output and price risks. As a theory of behavior towards risks, the precautionary stock demand model encompasses speculative demand by both producers and consumers. Furthermore, both stocks and futures are treated as precautionary instruments, in contrast to the dichotomy that only stocks provide convenience yield while futures are hedging instruments.Access to Markets,Markets and Market Access,Economic Theory&Research,Environmental Economics&Policies,Non Bank Financial Institutions
Price, Liquidity, Volatility, and Volume of Cross-listed Stocks
No full textThis thesis examines the possible implications of international cross-listings for the wealth of shareholders, for stock liquidity and volatility, and for the distribution of trading volumes across both the domestic and foreign stock markets where the shares are traded. For the purpose of clarity, these three issues are analysed in three empirical chapters in the thesis.
The first empirical issue examined in this thesis is the effects of international cross-listings on shareholders’ wealth. This is discussed in chapter 2. The chapter compares the gains in shareholders’ wealth that result from cross-listing in the American, British, and European stock exchanges and then evaluates their determinants by applying various theories on the wealth effects of cross-listing. Moreover, it evaluates how the wealth effect of cross-listing has changed over time reflecting the implications of the significant developments in capital markets that have taken place in recent years. In particular, the effects of the introduction of the Euro in Europe and the adoption of the Sarbanes-Oxley Act in the US are analysed. The findings suggest that, on average, cross-listing of stocks enhances shareholders’ wealth but the gains are dependent on the destination market. In addition, the regulatory and economic changes in the listing environment not only alter the wealth effects of cross-listings, but also affect the sources of value creation. Overall, this chapter provides in-depth insights into the motivations for, and the benefits of, cross-listings across different host markets in changing market conditions.
The second empirical issue examined is the impact of cross-listing and multimarket trading on stock liquidity and volatility (chapter 3). Cross-listing leads to additional mandatory disclosure in order to comply with the requirements of the host market. Such requirements are expected to reduce information asymmetry among various market participants (corporate managers, stock dealers, and investors). An enhanced information environment, in turn, should increase stock liquidity and reduce stock return volatility. The findings of this study suggest that the stock liquidity and volatility improves after cross-listing on a foreign stock exchange. Moreover, this study distinguishes between cross-listing and cross-trading. The distinction is important because cross-trading, unlike cross-listing, does not require the disclosing of additional information. Although such a distinction means there is a variation in the information environment of cross-listed and cross-traded stocks, the results do not reveal any significant difference in the liquidity and volatility of the stocks that are cross-listed and cross-traded. This evidence suggests that the improvement in the liquidity and volatility of cross-listed/traded stocks comes primarily from the intensified competition among traders rather than from mandatory disclosure requirements.
The final empirical issue investigated in this thesis (chapter 4) is the identification of the determinants of the distribution of equity trading volume from both stock exchange and firm specific perspectives. From a stock exchange perspective, exchange level analysis focuses on the stock exchange characteristics that determine the ability of a stock exchange to attract trading of foreign stocks. While from a firm perspective, firm level analysis focuses on firm specific characteristics that affect the distribution of foreign trading. The results show that a stock exchange’s ability to attract trading volumes of foreign equity is positively associated with a stock exchange’s organizational efficiency, market liquidity, and also the quality of investor protection and insider trading regulations. Analysis also reveals the superior ability of American stock exchanges to attract trading of European stocks. Moreover, there is strong evidence suggesting that regulated stock exchanges are more successful in attracting trading of foreign stocks than non-regulated markets, such as OTC and alternative markets and trading platforms. From a firm perspective, the proportion of trading on a foreign exchange is higher for smaller and riskier companies, and for companies that exhibit lower correlation of returns with market index returns in the host market. Also this proportion is higher when foreign trading takes place in the same currency as trading in the firm’s home market and increases with the duration of a listing. Finally, the study provides separate evidence on the expected levels of trading activity on various stock exchanges for a stock with particular characteristics.
Overall, the findings of this thesis suggest that international cross-listing is beneficial for both firms and their shareholders but the findings also suggest that there are significant variations in the implications of cross-listings for different firms and from listing in different destination foreign markets. Finally, these implications are not static and respond to changes and reforms in listing and trading conditions
Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks
No full textIn this paper we explore how the composition of a market maker's portfolio and allocation of attention across securities in the portfolio affect pricing. We analyze whether more attention devoted to similar securities enables a market maker to extract information relevant to a stock from order flow to related securities and consequently whether it leads to improved price discovery of the stock. We base on the recent literature on allocation of attention in share trading (Corwin and Coughenour, 2008; Boulatov et al., 2009) and define the prominence of a security as the proportion of its dollar volume in the total volume of the specialist portfolio it belongs to. Our empirical tests are focused on New York Stock Exchange specialists and the U.S. share in price discovery of 64 British and French companies cross-listed on the NYSE. We define related securities as stocks from the same country, the same region or other foreign stocks. We find strong evidence that an increase in the prominence of related stocks in the specialist portfolio leads to a higher U.S. share in price discovery of our sample stocks. We interpret our findings as evidence that concentrating market makers in similar stocks reduces information asymmetries and improves the information environment. To support our argument, we show that an increase in the prominence of other foreign stocks in the specialist portfolio significantly reduces the adverse selection component of the bid-ask spread.NYSE specialists, cross-listing, related stocks, price discovery
A Buffer Stocks Model for Stabilizing Price in Duopoly-Like Market
No full textThis paper presents the staple-food distribution problem in agro-industry. There is a great difference
of staple-food supplies in the harvest-season and in the planting-season meanwhile the demand is relatively
constant. This situation will trigger price-volatility and shortage of staple-food, and it causes opportunity-losses for the stakeholders (producer, consumer, wholesaler/trader, and the government). For stabilizing the
price, the government has several stabilization policies; one of them is market-intervention policy by using
buffer-stocks schemes. The market-intervention policy should be utilized for improving producer’s profit, for
cutting consumer’s expenditure, and for sustaining wholesaler’s margin-profit by implementing price-support
and price-stabilization. In duopoly-like market, we assume that there are only two market-players in the
distribution system. The objective of this research is to determine the instruments for operating Market-Intervention Program which consist of the quantity, time, and price of the buffer-stocks schemes. The problem
was solved using 3 approaches. First, a comparative cost/benefit analysis between free-market and
intervention-market can be used to formulate the objective function of each stakeholders. Second, the
integration of optimization model and econometrics model were use to develop the decision-variables subject
to the expectation of stakeholders, the buffer-stocks requirement, and the dynamics price equilibrium
properties. Third, model market with Inventory was applied for solving the market-price equilibrium. The
result could be used to analyze such the staple-food distribution system, incorporating the configuration of
duo-producers, duo market-buyers, and duo-consumers.
Keywords: buffer-stocks, duopoly-like market, market-intervention program, model market with inventory,
and staple-food distribution system
Extrapolation Theory and the Pricing of REIT Stocks
No full textThis paper is the winner of the best paper on Real Estate Investment Trusts award (sponsored by the National Association of Real Estate Investment Trusts (NAREIT)] presented at the 2005 American Real Estate Society Annual Meeting. This study evaluates the investment prospects of value stocks in the real estate investment trust (REIT) market. Value stocks are defined as those that carry low prices relative to their earnings, dividends, book assets, or other measures of fundamental value. The empirical results show that from 1990 onwards, value REITs provide superior returns without exposing investors to higher risks. The evidence is consistent with the extrapolation theory, which attributes the mispricing to investors over extrapolating past corporate results into the future. Interestingly, the findings reveal that such extrapolation is asymmetric in the REIT market. While value REITs are underpriced in accordance with the extrapolation theory, no evidence is found that growth REITs are overpriced. The value anomaly also exhibited several temporal traits. Firstly, the value premium varies over time. Secondly, the magnitude of the premium is inversely associated with the market performance. Finally, the value anomaly is not evident in the pricing of REITs in the 1980s.
Stocks as Hedge against Inflation in Pakistan: Evidence from ARDL Approach
No full textThe paper implements ARDL bounds testing approach to cointegration to explore whether or not stocks are good hedge against inflation in the case of a transition economy such as Pakistan, using annual data for the period 1971 – 2008. Ng-Peron (2001) unit root test is applied to determine the stationarity of the series. The results suggest that stocks act as good hedge against inflation in Pakistan both in the long and the short run. The findings should help formulate appropriate policy to encourage investment in financial markets and thereby promote economic growth.Stock Returns, Inflation, ARDL Bounds Testing, Ng-Perron Test
Quantification of C and N stocks in grassland topsoils in a Dutch region dominated by dairy farming
No full textEstimates on soil organic carbon (SOC) and nitrogen (N) stocks in soils cannot be directly calculated from routine soil analyses, since these often lack measurements on soil bulk density (Bd). Hence, flexible pedotransfer functions are required that allow the calculation of SOC stocks from gravimetrically determined SOC contents. The present paper aimed to: (1) quantify SOC and N stocks in grassland topsoils for a Northern Dutch region dominated by dairy farming and (2) analyse the relationships between SOC and bulk density at the field level. As estimates of SOC and N stocks are potentially affected by soil compaction, the combined measurements on soil bulk density and soil organic matter (SOM) were also evaluated with respect to critical limits for soil compaction using soil density (Sd) for sandy soils and packing density (Pd) for clay soils. The SOC and Bd measurements were done in the upper 0·1–0·2 m of grasslands at 18 dairy farms, distributed across sandy, clay and peat soils. Both farm data and grassland management data were collected. Non-linear regressions were used to analyse relationships between Bd and SOM. Significant non-linear relationships were found between gravimetric SOC contents and bulk density for the 0–0·1 m layer (R2=0·80) and the 0·1–0·2 m layer (R2=0·86). None of the fields on sandy soils or clay soils indicated signs for limited rooting in the topsoil although some fields appear to approach the critical limit for compaction for the 0·1–0·2 m layer. Stocks of SOC in the top 0·2 m at farm level were highest in the peat soils (21·7 kg/m2) and lowest in the sandy soils (9·0 kg/m2). Similarly, N stocks were highest for farms on peat soil (1·30 kg/m2) and lowest for farms on sandy soil (0·60 kg/m2). For the sandy soils, the mean SOC stock was significantly higher in fields with shallow groundwater tables
Stochastic resonance in electrical circuits—II: Nonconventional stochastic resonance.
No full textStochastic resonance (SR), in which a periodic signal in a nonlinear system can be amplified by added noise, is discussed. The application of circuit modeling techniques to the conventional form of SR, which occurs in static bistable potentials, was considered in a companion paper. Here, the investigation of nonconventional forms of SR in part using similar electronic techniques is described. In the small-signal limit, the results are well described in terms of linear response theory. Some other phenomena of topical interest, closely related to SR, are also treate
Dynamic behavior of value and growth stocks
No full textThe difference between the performance of growth and value portfolios presents an interesting puzzle for researchers in finance. Most studies showed that value stocks outperform growth stocks. This is the so-called value premium. In this article, we try to find an answer to the question as to why value stocks generate superior returns to growth stocks by dividing growth and value stocks into switching- and fixed-style stocks. We show that the difference in returns between value and growth stocks is caused by frequently rebalancing portfolios and find a value premium for the switching-style stocks and a growth premium for the fixed-style stocks. We will try to find an explanation for this phenomenon using the behavioral finance explanation that investors are unable to process information correctly. We use earnings announcement return data to test whether expectations of investors about future growth are too extreme.
Optimal Rebuilding of Fish Stocks in Different Nations: Bioeconomic Lessons for Regulators
No full textUnder the rubric of sustainable fisheries, nations are mandated to rebuild overfished stocks. Although rebuilding strategies are almost universally directed by the available biological information, approaches vary depending on fishery laws, management objectives, and technical guidelines. For example, rebuilding schedules in the United States are primarily designed to achieve rapid rebuilding of biomass and spawning stocks consistent with the biological characteristics of the resource. In contrast, New Zealand has greater flexibility in rebuilding stocks in order to consider economic, social, and cultural needs. In this paper we investigate potential economic costs to the fishery that result by limiting the US manager’s flexibility in choosing a recovery trajectory. Using numerical models for moderate- and long-lived stocks, the analysis reveals that depending on productivity of the stock and the discount rate, extending the rebuilding timeframe can substantially increase annual harvests and economic benefits. The results underscore the importance of economic analysis in crafting flexible rebuilding schedules that account for the unique characteristics of the fisheries, including economic and social needs.Fisheries economics, fisheries management, K-selective species, rebuilding., Resource /Energy Economics and Policy, Q22, C61,
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