Electricity futures prices in an emissions constrained economy: Evidence from European power markets

We investigate the economic factors that drive electricity risk premia in the European emissions constrained economy. Our analysis is undertaken for monthly baseload electricity futures for delivery in the Nordic, French and British power markets. We find that electricity risk premia are significantly related to the volatility of electricity spot prices, demand and revenues, and the price volatility of the carbon dioxide (CO2) futures traded under the EU Emissions Trading Scheme (EU ETS). This finding has significant implications for the pricing of electricity futures since it highlights for the first time the role of carbon market uncertainties as a main determinant of the relationship between spot and futures electricity prices in Europe. Our results also suggest that for the electricity markets under scrutiny futures prices are determined rationally by risk-averse economic agents

Dynamic interaction between markets for leasing and selling automobiles

We develop a model of dynamic interactions between price variations in leasing and selling markets for automobiles. Our framework assumes a differential game between multiple Bertrand-type competing firms which offer differentiated products to forward-looking agents. Empirical analysis of our model using monthly US data from 2002 to 2011 shows that variations in selling (cash) market prices lead rapidly dissipating changes of leasing market prices in the opposite direction. We discuss the practical implications of these results by augmenting a standard leasing valuation formula. The additional terms represent the leased asset value changes that can be expected on the basis of past variations in automobile selling market prices

Oktatáspolitika és -szervezés a görög állami menedzserképzésben

A szakmai, elméleti és humán személyzetfejlesztéssel foglalkozó tanulmány a görög állami szektorban működő menedzsereknek ajánlott képzési programok szerkezetét ismerteti. Leírja a résztvevők jellemzőit és a képzés módját, valamint kimutatja az oktatáspolitika összhangját a görög állami szektorban a képzésben nemrégiben beállt fordulattal, amelyben központi helyet foglalnak el a humán ismeretek. Végül pedig - az eddigi kutatásnak megfelelően - megállapítja, hogy a görög állami szektorban a vezetői státus, az iskolai végzettség és a mobilitás jelentősen befolyásolja a képzési hajlandóságot

A káosz vizsgálata a kialakuló tőkepiacokon és a pénzügyi menedzsment kérdései

A tanulmány szerzői a nemlineáris függőséget vizsgálják pénzügyi idősorokban, négy kialakuló piac (Hong Kong, Belgium, Spanyolország és Görögország), valamint az angol és a német tőzsde kapcsán. Megállapítják, hogy a nemlineáris függés, a hosszú távú emlékezés hatása, és a kismértékű káosz minden kialakulófélben levő piacon érvényesül, ami még inkább alátámasztja a korábbi kutatási eredményeket. A szerzők végül e megállapítások pénzügyi menedzsmentre gyakorolt potenciális hatását tárgyalják

Keyword portfolio optimization in paid search advertising

This paper uses investment portfolio theory to determine budget allocation in paid online search advertising. The approach focuses on risk-adjusted performance and favors diversified portfolios of unrelated or negatively correlated keywords. An empirical investigation employs averages, variances and co-variances for keyword popularities, which are estimated using growth rates for 15 major sectors taken from the Google Trends database. In line with portfolio theory, the results show that the average keyword popularity growth is strongly related to the standard deviation of growth for each keyword in the sample (R2 = 74%). Hypothesis testing of differences in Sharpe ratios documents a significantly better performance of the proposed approach compared to that of other strategies currently used by practitioners

Corporate real estate analysis: evaluating telecom branch efficiency in Greece

This paper proposes productivity analysis for evaluating the relative efficiency in corporate real estate usage across decision-making units. Using data from the Greek Telecommunications Organization (GTO), we measure the productivity of 127 braches using the number of employees and the total area covered per building as inputs and the number of telephony access lines as outputs. We apply three non-parametric Data Envelopment Analysis (DEA) models assuming: constant returns to scale (CRS), variable returns to scale (VRS) and slacks-based measures (SBM), respectively. We discuss how the proposed approach can provide real estate managers and analysts a multi informational tool that allows the quantification of targets and may serve as a guide tool for the efficient employment of real estate assets

Is there an Olympic gold medal rush in the stock market?

Investor sentiment and attention are often linked to the same non-economic events making it difficult to understand why and how asset prices are affected. We disentangle these two potential drivers of investment behaviour by analysing a new dataset of medals for major participating countries and sponsor firms over four Summer Olympic Games. Existing studies focus only on investigating the effect of sports events and sentiment on stock market returns. We consider for the first time also the importance of investor attention and the effect on activity at the market and firm level. Our results show that trading volume and volatility is substantially reduced following Olympic success although returns appear to be largely unaffected. In the U.S., trading volume (realised volatility) during Olympics is over 24% (61%) lower than comparable periods of the year when Games do not take place. Each gold medal leads to a further decrease in volume of nearly 3% on average over the trading day following the award. These findings are in line with theories and evidence related to investor attention but cannot be easily explained on the basis of sentiment. Analysis of data from online search volumes and from surveys measuring investor sentiment, also suggest that the market impact of the Olympics is linked to changes in investor attention

Sovereign debt markets in light of the shadow economy

We investigate the controversial role of the informal sector in the economy of 64 countries between 2003 and 2007 by focusing for the first time on the impact it has on sovereign debt markets. In addition to a standard ordered probit regression, we employ two nonparametric neural network modeling techniques in order to capture possible complex interactions between our variables. Results confirm our main hypothesis that the informal sector has significant adverse effects on credit ratings and lending costs. MLP neural networks offer the best fit to the data, followed by the RBF neural networks and probit regression, respectively. The results do not change with respect to the stage of economic development of a country and contradict views about the possibility of significant economic benefits arising from the informal sector. Our study has important implications, especially in the context of the ongoing sovereign debt crisis, since it suggests that a reduction in the informal sector of financially challenged countries is likely to help in relaxing credit risk concerns and cutting down lending costs. Finally, a decision tree analysis is used to exploit the inherent discreteness in the data and derive intuitive rules with respect to the level of the informal sector

Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options

This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI) indices we derive from options traded on the CBOE. The empirical analysis indicates substantial interest rate volatility risk for medium-term instruments which declines to the levels of the equity market only as the tenor increases to 30 years. We show that this risk appears to be priced in the market and has a significant time-varying relationship with equity volatility risk. US Treasury market volatility is appealing from an investment diversification perspective since the VXI indices are negatively correlated with the levels of interest rates and of equity market implied volatility indices, respectively. Although VXI indices are affected by macroeconomic and monetary news, they are only partially spanned by information contained in the yield curve. Motivated by our results on the magnitude and the nature of interest rate volatility risk and by the phenomenal recent growth of the equity volatility derivative market, we propose the use of our VXI indices as benchmarks for monitoring, securitizing, managing and trading interest rate volatility risk. As a first step in this direction, we describe a framework of one-factor equilibrium models for pricing VXI futures and options on the basis of empirically favored mean-reverting jump-diffusions