Indian Convertible Bonds with Unspecified Terms: An Empirical Study

Indian convertible bonds have two peculiar features that make them possibly unique in the world: a) the bonds are compulsorily converted into equity without any option, and b) the conversion terms are not specified at the time of issue but are left to be determined subsequently by the Controller of Capital Issues (CCI) who is the government functionary regulating capital issues in India. A naive model would say that the market simply forms an estimate of the likely conversion terms and then values the bond as if these terms were prespecified. This paper examines the market prices of one of the largest issues of Indian convertible bonds with unspecified terms. The empirical investigation convincingly rejects the naive model and demonstrates that changes in the markets expectation of the conversion terms are a significant factor affecting the pricing relationship. These changes are significantly correlated with the stock price itself. We do not, however, find any evidence that the market expects the CCI to adjust the conversion terms on the basis of the actual market price to protect the bondholder. But, there is strong evidence that changes in expected conversion terms affect the share price through the dilution effect. Since the unspecified terms have only added to the uncertainty of the bondholders without giving them any perceived benefits we recommend that this system should be abolished. In a companion paper, Barua and Varma (1991) present a theoretical valuation model for the Indian convertible bonds with unspecified terms. The empirical results in this paper confirm the predictions of that model.

The Price Impact of Order Book Events

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices. Our study reveals a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth. These results are shown to be robust to seasonality effects, and stable across time scales and across stocks. We argue that this linear price impact model, together with a scaling argument, implies the empirically observed "square-root" relation between price changes and trading volume. However, the relation between price changes and trade volume is found to be noisy and less robust than the one based on order flow imbalance

Examining Passenger Flow Choke Points at Airports Using Discrete Event Simulation

The movement of passengers through an airport quickly, safely, and efficiently is the main function of the various checkpoints (check-in, security. etc) found in airports. Human error combined with other breakdowns in the complex system of the airport can disrupt passenger flow through the airport leading to lengthy waiting times, missing luggage and missed flights. In this paper we present a model of passenger flow through an airport using discrete event simulation that will provide a closer look into the possible reasons for breakdowns and their implications for passenger flow. The simulation is based on data collected at Norfolk International Airport (ORF). The primary goal of this simulation is to present ways to optimize the work force to keep passenger flow smooth even during peak travel times and for emergency preparedness at ORF in case of adverse events. In this simulation we ran three different scenarios: real world, increased check-in stations, and multiple waiting lines. Increased check-in stations increased waiting time and instantaneous utilization. while the multiple waiting lines decreased both the waiting time and instantaneous utilization. This simulation was able to show how different changes affected the passenger flow through the airport

The function of p120 Catenin in Filopodial Growth and Synaptic Vesicle Clustering in Neurons

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Kondo Effect and Surface-State Electrons

We have used low temperature scanning tunneling spectroscopy and atomic manipulation to study the role of surface-state electrons in the Kondo effect of an isolated cobalt atom adsorbed on Ag(111). We show that the observed Kondo signature remains unchanged in close proximity of a monoatomic step, where the local density of states of the surface-state electrons is strongly perturbed. This result indicates a minor role for surface-state electrons in the Kondo effect of cobalt, compared to bulk electrons. A possible explanation for our findings is presented.Comment: 4 pages, 4 figures, ACSIN-7 proceeding

Steel industry restructuring and location

In this paper, we link technology-based competition, demand patterns, and managerial agency to describe and explain the process of restructuring in the American steel industry in terms of its economic geography and in the context of sweeping changes in the industry’s global structure. Between World War II and the end of the1960’s, the American steel industry was dominated by large integrated steel producers. During this period, competition was primarily among integrated firms and the location decisions taken during the period concerned individual production units within those firms. Between the 1970’s and the 1990’s, a new kind of competition re-shaped the economic geography of the American steel industry: employing scrap-based production methods, minimills emerged to challenge the integrated producers. Shifts in demand away from the previous geographical core combined with aggressive investments by minimill managers in production capacity and in capability upgrading to drive home the minimill advantage. Finally, with the turn of the century, world steel markets began to reshape based on globalization. Energized by liberalization and privatization in many parts of the world, and supported by information technology and managerial innovations that increased spans of control, steel firm managers employed aggressive mergers & acquisitions to create the first large-scale steel multinational corporations. During this period, consolidation redrew the boundaries of firm competition, and foreign steel firms emerged as owners of a major share of American steelmaking capacity. Moreover, increases in the world demand for steel and world steelmaking capacity had profound effect in reshaping the economic geography of the competitive landscape. By examining these critical periods of restructuring in the steel industry, the role of economic geography as a competitive factor is exposed, and context is provided for understanding the regional and spatial implications of competitive adjustment

Energy extremality in the presence of a black hole

We derive the so-called first law of black hole mechanics for variations about stationary black hole solutions to the Einstein--Maxwell equations in the absence of sources. That is, we prove that $\delta M=\kappa\delta A+\omega\delta J+VdQ$ where the black hole parameters $M, \kappa, A, \omega, J, V$ and $Q$ denote mass, surface gravity, horizon area, angular velocity of the horizon, angular momentum, electric potential of the horizon and charge respectively. The unvaried fields are those of a stationary, charged, rotating black hole and the variation is to an arbitrary `nearby' black hole which is not necessarily stationary. Our approach is 4-dimensional in spirit and uses techniques involving Action variations and Noether operators. We show that the above formula holds on any asymptotically flat spatial 3-slice which extends from an arbitrary cross-section of the (future) horizon to spatial infinity.(Thus, the existence of a bifurcation surface is irrelevant to our demonstration. On the other hand, the derivation assumes without proof that the horizon possesses at least one of the following two (related)properties: ($i$) it cannot be destroyed by arbitrarily small perturbations of the metric and other fields which may be present, ($ii$) the expansion of the null geodesic generators of the perturbed horizon goes to zero in the distant future.)Comment: 30 pages, latex fil

Simple model for scanning tunneling spectroscopy of noble metal surfaces with adsorbed Kondo impurities

A simple model is introduced to describe conductance measurements between a scanning tunneling microscope (STM) tip and a noble metal surface with adsorbed transition metal atoms which display the Kondo effect. The model assumes a realistic parameterization of the potential created by the surface and a d3z2-r2 orbital for the description of the adsorbate. Fano lineshapes associated with the Kondo resonance are found to be sensitive to details of the adsorbate-substrate interaction. For instance, bringing the adsorbate closer to the surface leads to more asymmetric lineshapes while their dependence on the tip distance is weak. We find that it is important to use a realistic surface potential, to properly include the tunnelling matrix elements to the tip and to use substrate states which are orthogonal to the adsorbate and tip states. An application of our model to Co adsorbed on Cu explains the difference in the lineshapes observed between Cu(100) and Cu(111) surfaces.Comment: 11 pages, 8 eps figure