Spurious trend switching phenomena in financial markets

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction data

Statistical Properties of Share Volume Traded in Financial Markets

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.Comment: 4 pages, two-column format, four figure

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

Business unusual: collective action against bribery in international business

Collective action initiatives in which governments and companies make anti-corruption commitments have proliferated in recent years. This apparently prosocial behavior defies the logic of collective action and, given that bribery often goes undetected and unpunished, is not easily explained by principal-agent theory. Club theory suggests that the answer lies in the institutional design of anti-corruption clubs: collective action can work as long as membership has high entry costs, members receive selective benefits, and compliance is adequately policed. This article contributes to the debate by examining how these conditions manifest in the case of anti-corruption clubs in the realm of international business, with particular focus on the international dimension of many initiatives. This vertical aspect of institutional design creates a richer, more complex set of reputational and material benefits for members, as well as allowing for more credible and consistent monitoring and enforcement

The SEC\u27s Misguided Climate Disclosure Rule Proposal

The following article adapts and consolidates two comment letters submitted last spring by a group of twenty-two professors of finance and law on the SEC’s proposed climate change disclosure rules. The professors reiterate their recommendation that the SEC withdraw its proposal as legally misguided, while outlining some of the issues that the proposal will face when challenged in court

Diversity of Francisella Species in Environmental Samples from Martha’s Vineyard, Massachusetts

We determined whether Francisella spp. are present in water, sediment, and soil from an active tularemia natural focus on Martha’s Vineyard, Massachusetts, during a multiyear outbreak of pneumonic tularemia. Environmental samples were tested by polymerase chain reaction (PCR) targeting Francisella species 16S rRNA gene and succinate dehydrogenase A (sdhA) sequences; evidence of the agent of tularemia was sought by amplification of Francisella tularensis-specific sequences for the insertion element ISFTu2, 17-kDa protein gene tul4, and the 43-kDa outer membrane protein gene fopA. Evidence of F. tularensis subsp. tularensis, the causative agent of the human infections in this outbreak, was not detected from environmental samples despite its active transmission among ticks and animals in the sampling site. Francisella philomiragia was frequently detected from a brackish-water pond using Francisella species PCR targets, and subsequently F. philomiragia was isolated from an individual brackish-water sample. Distinct Francisella sp. sequences that are closely related to F. tularensis and Francisella novicida were detected from samples collected from the brackish-water pond. We conclude that diverse Francisella spp. are present in the environment where human cases of pneumonic tularemia occur

Shareholder activism in the UK: types of activists, forms of activism, and their impact on a target’s performance

Considering the recent rapid expansion of shareholder activism phenomenon in the United Kingdom (UK) and the vast amount of resources committed to it by corporations, government and investors, its effectiveness has become a crucial subject for investigation. This article analyzes organizational outcomes of shareholder activism in the UK. This research is based on a unique comprehensive database of shareholder activism events during the period of 1998–2008. We provide a detailed account of different types of activists, activism strategies and shareholder demands associated with the events of activism. Our findings show that the effectiveness of shareholder activism in terms of abnormal stock-market returns varies dramatically depending on its form, type of investor and the nature of investor proposals