77,709 research outputs found

    Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

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    Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.Comment: 21 pages, 7 figure

    Informational efficiency in distressed markets: The case of European corporate bonds

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    This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneven effects on the informational efficiency of all corporate bond sectors, especially those related to financial services. However, their vulnerability is not homogeneous and some nonfinancial sectors suffer only a transitory effect.Fil: Fernández, Aurelio. Universitat Rovira I Virgili; EspañaFil: Guercio, María Belén. Universidad Provincial del Sudoeste; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; ArgentinaFil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Universidad Provincial del Sudoeste; Argentin

    Cooperative Organizational Strategies: A Neo-Institutional Digest

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    This paper describes the neo-institutional approaches of transaction cost economics, agency theory, and property rights analysis and summarizes efforts by economists to apply these concepts to cooperatives. Several problems intrinsic to the cooperative organizational form and its property rights structure are reviewed. These problems have been hypothesized to affect the comparative economic efficiency of cooperative firms and have led to the development of life cycle models seeking to explain the formation, growth, and eventual decline of cooperatives as markets evolve. In this context, statistical analyses of the comparative efficiency of cooperatives and ex post studies of cooperative conversions are surveyed.Agribusiness,

    The Reflexive Properties of Corporate Governance Codes: The Reception of the 'Comply or Explain' Approach in Slovenia

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    The Slovenian Corporate Governance Code for Public Joint-Stock Companies was adopted in March 2004. Using a systems-theoretical approach, we examine the extent to which the implementation of the Code has resulted in the kinds of 'reflexive' learning processes which the 'comply or explain' approach aims to bring about. The adoption of the Code has already had an impact on the wider legal system, triggering certain changes in the body of core company law, and assisting the process of adjustment to EU-level norms. On the whole, companies' implementation strategies are strikingly similar both in terms of the contents of deviations as well as in the type of disclosure and explanations for deviations. At the same time, the quality of disclosures is low, with effective comply-or-explain declarations representing only a small minority of disclosures. On this basis, the Code has been more effective, to date, in legitimating Slovenia's adjustment to transnational norms and standards, than in stimulating institutional learning.corporate governance, comply or explain, disclosure, reflexive law, EU law, transplants, Slovenia

    Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries

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    This paper examines day of the week and month of the year effects in seventeen European stock market indexes in the period 1994-2007. We discuss the shortcomings of model specifications and tests used in previous work, and propose a simpler specification, usable for detecting all types of calendar effects. Recognizing that returns are non-normally distributed, autocorrelated and that the residuals of linear regressions are variant over time, we use statically robust estimation methodologies, including bootstrapping and GARCH modeling. Although returns tend to be lower in the months of August and September, we do not find strong evidence of across-the-board calendar effects, as the most favorable evidence is only country-specific. Additionally, using rolling windows regressions, we find that the stronger country-specific calendar effects are not stable over the whole sample period, casting additional doubt on the economic significance of calendar effects. We conclude that our results are not immune to the critique that calendar effects may only be a “chimera” delivered by intensive data mining. Key words: Day-of-the-week effect; Month effect, Market efficiency, European stock markets

    Distribution Risk and Equity Returns

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    In this paper we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of ¯rst-order importance for the owners of capital and, consequently, are a crucial determinant of the return to equity. When both risks are calibrated to observations, this distribution risk dominates in importance the usual systematic risk for the pricing of assets. We also show that distribution risks may originate in non-traded idiosyncratic income shocks.income shares; distribution risk; equity premium; limited market participation

    "Revisiting (and Connecting) Marglin-Bhaduri and Minsky--An SFC Look at Financialization and Profit-led Growth"

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    Many heterodox strands of thought share both a concern with the study of different phases or growth regimes in the history of capitalism and the use of formal short-run models as an analytical tool. This text suggests that (1) this strategy is potentially misleading; (2) that the stock-flow consistent (SFC) approach, while providing a general framework that may facilitate the dialogue among those currents, is particularly well suited to all those who think that macroeconomic models may illuminate historical quests; and (3) that the main intuitions may be conveyed through the "benchmark" Post Keynesian SFC model presented by Dos Santos and Zezza (2008), dispensing with the complex computer simulations that are normally employed by SFC authors.

    "The Effects of Worker Participation, Employee Ownership and Profit Sharing on Economics Performance: A Partial Review"

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    For alternative sharing arrangements we review theory on the economic effects on employment, productivity, investment, income and wealth distribution, and life cycle and survival. We find that predictions are often ambiguous and that sometimes the nature and size of the specific effect is determined in part by the particular institutional arrangements. Next recent econometric work is studied. We review studies using aggregate and industry level time series data for Japan as well as studies that use enterprise and establishment level data for firms in North America and Western Europe. Worker participation, employee share ownership and profit sharing schemes are often found to affect that studies obtained conflicting results. However, available evidence is strongly suggestive that for employee ownership schemes to have a strong positive impact they need to be accompanied by provision for worker participation in decision making.

    Evaluation of macroeconomic models for financial stability analysis

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    As financial stability has gained focus in economic policymaking, the demand for analyses of financial stability and the consequences of economic policy has increased. Alternative macroeconomic models are available for policy analyses, and this paper evaluates the usefulness of some models from the perspective of financial stability. Financial stability analyses are complicated by the lack of a clear and consensus definition of ‘financial stability’, and the paper concludes that operational definitions of this term must be expected to vary across alternative models. Furthermore, since assessment of financial stability in general is based on a wide range of risk factors, one can not expect one single model to satisfactorily capture all the risk factors. Rather, a suite of models is needed. This is in particular true for the evaluation of risk factors originating and developing inside and outside the financial system respectively.Financial stability; Banks; Default; Macroeconomic models; Policy
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