Size and liquidity effects in Nigeria: an industrial sector study

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic equity market. Costs of equity estimates are high further underlining the limitations of this market as a capital-raising venue in contrast to the dominant banking sector

Taking Positive Interest Rates Seriously

We present a dynamic term structure model in which interest rates of all maturities are bounded from below at zero. Positivity and continuity, combined with no arbitrage, result in only one functional form for the term structure with three sources of risk. One dynamic factor controls the level of the interest rate and follows a special two-parameter square-root process under the risk-neutral measure. The two parameters of the process determine the other two sources of risk and act as two static factors. This model has no other parameters to estimate and hence bears no other risks.Term structure, consistency, positivity, quadratic forms

Global attracting sets and exponential stability of nonlinear uncertain differential equations

Uncertain differential equation is a type of differential equation driven by canonical Liu process. By applying some uncertain theories, the sufficient conditions of the exponential stability in mean square is obtained for nonlinear uncertain differential equations. At the same time, some new criteria ensuring the existence of the global attracting sets of considered equations are presented

Load/Price Forecasting and Management of Demand Response for Smart Grids: Methodologies and Challenges

published_or_final_versio

Brecha en productividad y relaciones comerciales asimétricas: el proceso de integración de Canadá y Estados Unidos de Norteamérica

The usefulness of the European model of integration is currently subject to debate and the North American integration process has been largely ignored as a comparative framework. The asymmetrical relationship between Canada and the United States began a long time before NAFTA, and the study of this process could shed light on the usual problems faced by Latin American countries. This article attempts to encourage discussion about this topic. Particularly, there is evidence for a substantial and positive change in Canadian productivity at the time of the Canada-US Free Trade Agreement (CUFTA). However, the enactment of the North American Free Trade Agreement (NAFTA) does not seem to have had the same effect as the earlier treaty.La utilidad del modelo europeo de integración es actualmente sujeto de debate, mientras que el proceso de integración norteamericano ha sido largamente ignorado como un marco comparativo. La relación asimétrica entre Canadá y los Estados Unidos empezó hace mucho tiempo antes del NAFTA, y el estudio de este proceso podría dar luces en los problemas usuales enfrentados por países latinoamericanos. Este artículo intenta promover la discusión sobre este asunto. Particularmente, existe evidencia de un cambio positivo y sustancial en la productividad canadiense en el momento del acuerdo comercial entre Canadá y los Estados Unidos (CUFTA). Sin embargo, la promulgación del Acuerdo de Libre Comercio de Norteamérica (NAFTA) no parece que haya tenido el mismo efecto que el tratado anterior.Fil: González, Germán Héctor. Consejo Nacional de Investigaciones Cientííficas y Técnicas. Centro Científico Tecnológico Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur; Argentin

Implementation Cycles in the New Economy

The economic boom of the USA in the 1990s was remarkable in its duration, the sustained rise in equipment investment, the reduced volatility of productivity growth, and continued uncertainty about the trend growth rate. In this paper we link these phenomena using an extension of the classic model of implementation cycles due to Shleifer (1986). The key idea is that uncertainty about the trend growth rate can lead firms to bring forward the implementation of innovations, temporarily eliminating expectations-driven business cycles, because delay is risky when beliefs are not common knowledge.Implementation cycles, New Economy, multiple equilibria.

Transformational Leadership and Incivility: A Multilevel and Longitudinal Test

This research examines group-level perceptions of transformational leadership (TFL) as negative longitudinal predictors of witnessing person-related (e.g., insults/affronts) and work-related (e.g., negation/intentional work overload) acts of incivility at work. Witnessing workplace incivility was also postulated to negatively predict employee need satisfaction. Data were collected among production employees in different Canadian plants of a major manufacturing company (N = 344) who worked for 42 different managers (Mgroup size= 9.76). Two waves of data collection occurred 1 year apart. Results from multilevel analyses showed that workgroups where managers were perceived to engage in more frequent TFL behaviors reported reduced levels of person- and work-related incivility 1 year later. However, group-level incivility did not predict change in group-level need satisfaction 1 year later. At the individual level, results showed that witnessing higher levels of person-related incivility than one’s colleagues predicted reduced satisfaction of the need for relatedness 1 year later. These longitudinal findings build upon previous literature by identifying TFL as a potential managerial strategy to reduce incivility in workgroups over time. They also show that mere exposure to workplace misbehavior still affects employees’ adjustment, suggesting that every effort to reduce deviance in workplaces is worthwhile

Stability and Hopf bifurcation analysis of a distributed time delay energy model for sustainable economic growth

This paper examines the consequences of including distributed delays in an energy model. The stability behaviour of the resulting equilibrium for our dynamic system is analysed, including models with Dirac, weak and strong kernels. Applying the Hopf bifurcation theorem we determine conditions under which limit cycle motion is born in such models. The results indicate that distributed delays have an ambivalent impact on the dynamical behaviour of systems, either stabilizing or destabilizing them