Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic

The use of the GARCH-class of models is commonplace when examining stock market returns. In this paper we use data on stock markets in two transition economies to demonstrate the importance of using the correct GARCH specification. When returns are characterised by ‘fat tails’ or kurtosis the use of a GARCH-t specification is appropriate. Returns in Romania are symmetric, but characterised by kurtosis. Returns in the Czech Republic are normally distributed. Using a standard GARCH specification leads to rejection of the null hypothesis of market efficiency in Romania, whereas this null hypothesis cannot be rejected using the GARCH-t specification. The null hypothesis of efficiency cannot be rejected in the Czech Republic using either specification. Thus, we find that the presence of ‘fat tails’ can have important implications for inference in the analysis of stock market returns.GARCH, transition, stock market efficiency

Taxation and the Demand for Gambling: New Evidence from the United Kingdom.

In October 2001, the U.K. government implemented a dramatic shift in the taxation of gambling, resulting in a substantial decline in taxes levied on U.K. bookmakers. Using data before and after this event, we present econometric evidence on the demand response to this tax reduction. Our results suggest that the demand for bookmaker gambling is highly sensitive to taxation rates and that the decline in the rate of taxation led to a large increase in the demand for on-shore betting. We also find some evidence of price-induced substitution across different segments of the gambling industry. The U.K. policy initiative may provide useful information for policy makers in other countries who are contemplating changes in gambling taxation.

'Quarbs' and Efficiency in Spread Betting Markets: can you beat the book?

In this paper, we examine a relatively novel form of gambling, index (or spread) betting, that mirrors (and indeed overlaps with) practices in conventional financial markets. In this form of betting, a number of bookmakers quote a bid-offer spread about the result of some future event, and bettors are invited to buy (sell) at the top (bottom) end of the quoted spreads. We hypothesise that the existence of an outlying spread may provide uninformed traders with information that can be used to develop improved trading strategies. Using conditional moment tests on data from a popular spread betting market in the United Kingdom, we find that in the presence of a number of price-setters, the market mid-point is indeed a better predictor of asset values than the outlying price. We further show that this information can be used to develop trading strategies that lead to returns that are consistently positive and superior to those from noise trading and, in some cases, significantly so.

Distinguishing low frequency mutations from RT-PCR and sequence errors in viral deep sequencing data

There is a high prevalence of coronary artery disease (CAD) in patients with left bundle branch block (LBBB); however there are many other causes for this electrocardiographic abnormality. Non-invasive assessment of these patients remains difficult, and all commonly used modalities exhibit several drawbacks. This often leads to these patients undergoing invasive coronary angiography which may not have been necessary. In this review, we examine the uses and limitations of commonly performed non-invasive tests for diagnosis of CAD in patients with LBBB

To Bat or Not to Bat: An Examination of Contest Rules in Day-night Limited Overs Cricket

The tradition of tossing a coin to decide who bats first in a cricket match introduces a randomly-assigned advantage to one team that is unique in sporting contests. In this paper we develop previous work on this issue by examining the impact of the toss on outcomes of day-night one day international games explicitly allowing for relative team quality. We estimate conditional logit models of outcomes using data from day-night internationals played between 1979 and 2005. Other things equal, we find that winning the toss and batting increases the probability of winning by 31%. In contrast, winning the toss does not appear to confer any advantage if the team choose to bowl first.cricket, contest rules, match results, competitive balance, outcome uncertainty

How does legalization of physician assisted suicide affect rates of suicide?

Objectives: Several US states have legalized or decriminalised physician assisted suicide (PAS) whilst others are currently considering permitting PAS. Although it has been suggested that legalization could plausibly lead to a reduction in total suicides and to a delay in those suicides which do occur, to date no research has tested whether these effects can be identified in practice. The aim of this paper was to fill this gap by examining the association between the legalization of PAS and state-level suicide rates in the USA between 1990 and 2013. Methods: We used regression analysis to test the change in rates of non-assisted suicides and total suicides (i.e. including assisted suicides) before and after legalization of PAS. Results: Controlling for various socio-economic factors, unobservable state- and year effects, and state-specific linear trends, legalizing PAS was associated with a 6.3% (95% confidence interval [CI] = 2.70%, 9.9%) increase in total suicides (i.e. including assisted suicides). This effect was larger in the over 65s (14.5%, CI = 6.4%, 22.7%). Introduction of PAS was not associated with a reduction in non-assisted suicide rates, nor with an increase in the mean age of non-assisted suicide. Conclusion: Legalizing PAS has been associated with an increased rate of total suicides relative to other states and no decrease in non-assisted suicides. This suggests either that PAS does not inhibit (nor acts as an alternative to) non-assisted suicide, or that it acts in this way in some individuals but is associated with an increased inclination to suicide in other individuals. Funding: The authors received no funding for this research beyond the salaries paid by their respective institutions

Productivity Measurement in a Service Industry: Plant-Level Evidence from Gambling Establishments in the United Kingdom

Gambling is one of the fastest growing service industries. Unfortunately, there have been no studies of total factor productivity (TFP) in this sector. The purpose of this paper is to fill this gap, based on an analysis of U.K. establishment-level data. These data are derived from the Annual Respondents Database (ARD) file, constructed by the U.K. Office for National Statistics, consisting of individual establishment records from the Annual Census of Production. The ARD file contains detailed data on output, materials, energy, employment, and numerous plant and firm characteristics and is quite similar to the U.S.-based Longitudinal Research Database (LRD). This information can be used to construct measures of TFP. We also construct estimates of labour productivity, since TFP is may be measured with error. We use these data to estimate labour and total factor productivity equations based on a stochastic frontier production function framework. The latter approach enables us to assess whether investment in information technology enhances relative productivity. Our preliminary results suggest that the production function models fit well, generating plausible elasticity estimates and indicating constant returns to scale. While investment in computers per se does not appear to have a productivity enhancing effect, gambling establishments that use Internet-based technology appear to be closer to the frontier.

An Econometric Analysis of Trends in Research Joint Venture Activity.

Edith Penrose was one of the first scholars to point out that firms may need to rely on research joint ventures (RJVs) to acquire access to resources that can help them achieve and sustain a competitive advantage. We estimate an econometric model of the propensity of firms to disclose their intension to engage in RJVs, in order to explain the recent precipitous decline in RJVs filed with the U.S. Department of Justice. We find that RJV activity is inversely related to the competitive position of U.S. firms in global high-technology industries and that the establishment of the U.S. Commerce Department's Advanced Technology Program (ATP) induced a structural change in the propensity of firms to engage in RJVs. Thus, two factors may explain the recent downturn in RJV filings: a substantial improvement in U.S. global performance in high-technology markets and a sharp decline in ATP funding.

The effects of leader succession and prior leader experience on postsuccession organizational performance

In this article we strive to reconcile equivocal findings about the effects of top leader succession and prior leadership experience on postsuccession organizational performance. In doing so, we draw on insights from theories of human capital, learning, and asymmetric information to better understand the conditions under which leaders increase or decrease postsuccession performance. Employing a sample of 119 newly appointed leaders in the English Premier League (1996–2010), we find the following results. First, relating to the succession event, outside leaders that directly move between leadership positions are associated with higher postsuccession performance while the departure of a prior leader to a leadership position in another organization has a negative effect on postsuccession performance. Second, relating to prior leadership experience, leaders with domestic top leader experience are associated with lower postsuccession performance, while leaders with foreign top leader experience are associated with higher postsuccession performance