Financial Reforms and Capital Flows to Emerging Europe

Analysis of 21 emerging European economies reveals a substantial role for domestic financial reforms in attracting net capital flows. Controlling for standard determinants of capital flows, we find in particular banking sector reforms to be consistent with larger current account deficits and net financial inflows, whereas opposite or no effects are found for security market reforms as well as for indicators of financial depth. Additional net inflows are reaped by the EU accession countries. Banking reforms are found to have a significant impact on FDI and “other” investment net inflows; they have a significant effect on gross financial inflows, but not on outflows.

Financial Markets and International Risk Sharing

Panel analysis of 20 industrial countries shows evidence for pro-cyclicality of capital gains on domestic stock markets - in particular over a medium term horizon. Thus, with cross-border ownership of portfolio equity investments, potential for international smoothing of domestic output fluctuations by means of the capital gains channel is found. Individual country analysis reveals substantial heterogeneity of cyclicality patterns. Evidence suggests that this cross-country variation can be explained by the level of economic development and the size of financial markets.

Financial Remoteness and the Net External Position

This paper shows that, controlling for standard determinants of net external positions, financially-remote countries exhibit more positive net external positions. This finding is found to be stronger for less advanced countries, hinting at external funding problems for more remote countries. Being located near financially very open countries, being in currency unions with creditor countries, or being highly integrated through financial and trade linkages with a ‘core’ country facilitates net external borrowing. Consequently, evidence is found for an important role of geographic and bilateral factors for a country’s net external wealth.net foreign assets, cross-border investment, distance, proximity

Financial remoteness and the net external position

This paper shows that, controlling for standard determinants of net external positions, financially-remote countries exhibit more positive net external positions. This finding is found to be stronger for less advanced countries, hinting at external funding problems for more remote countries. Being located near financially very open countries, being in currency unions with creditor countries, or being highly integrated through financial and trade linkages with a ‘core’ country facilitates net external borrowing. Consequently, evidence is found for an important role of geographic and bilateral factors for a country’s net external wealth. JEL Classification: F21, F34, F41Cross-Border Investment, distance, net foreign assets, proximity

Channels of international risk-sharing: capital gains versus income flows

Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital gains to investigate which of the two channels delivers the largest potential for risk sharing. Our evidence suggests that net capital gains are a more potent channel of risk sharing. They behave in a countercyclical way, that is they tend to be positive (negative) when the domestic economy is growing more slowly (rapidly) than the rest of the world. Countries with more countercyclical net capital gains experience improved consumption risk sharing. The empirical analysis furthermore suggests that these risk sharing properties of net capital gains have increased through time, in particular in the 1990s and early-2000s, on the back of a declining equity home bias and financial market deepening. JEL Classification: F21, F30, F36consumption smoothing, Cross-Border Investment, International portfolio diversification, International risk sharing, Valuation effects

Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?

In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor sentiment is related to daily stock returns by using vector autoregressive models and Granger causality tests. We find that there exists a mutual influence of sentiment and stock market returns, but only in the very short-run (one and two trading days). Returns have a negative influence on sentiment, while the influence of sentiment on returns is positive for the next trading day. The influence of stock market returns on sentiment is stronger than vice versa. Our sentiment measure simultaneously avoids problems that are associated with existing sentiment measures, which are based on the closed-end fund discount, stock market transactions, the put-call ratio or investor surveys.

Sensitivity of the ATLAS Experiment to discover the Decay H → ττ → ll + 4ν of the Standard Model Higgs Boson produced in Vector Boson Fusion

A study of the expected sensitivity of the ATLAS experiment to discover the Standard Model Higgs boson produced via vector boson fusion (VBF) and its decay to H->tau->tau->ll +4nu is presented. The study is based on simulated proton-proton collisions at a centre-of- mass energy of 14TeV. For the first time the discovery potential is evaluated in the presence of additional proton-proton interactions (pile-up) to the process of interest in a complete and consistent way. Special emphasis is placed on the development of background estimation techniques to extract the main background processes Z->tautau and ttbar production using data. The ttbar background is estimated using a control sample selected with the VBF analysis cuts and the inverted b-jet veto. The dominant background process Z->tautau is estimated using Z->mumu events. Replacing the muons of the Z->mumu event with simulated tau-leptons, Z->tautau events are modeled to high precision. For the replacement of the Z boson decay products a dedicated method based on tracks and calorimeter cells is developed. Without pile-up a discovery potential of 3sigma to 3.4sigma in the mass range 115 GeV < MH < 130 GeV is obtained assuming an integrated luminosity of 30 fb^-1. In the presence of pile-up the signal sensitivity decreases to 1.7sigma to 1.9sigma mainly caused by the worse resolution of the reconstructed missing transverse energy

Buying and Selling Behavior of Individual Investors in Option-like Securities

We analyze the trading behavior of individual investors in option-like securities, namely bank-issued warrants, and thus expand the growing literature of investors behavior to a new kind of securities. A unique data set from a large German discount broker gives us the opportunity to analyze the trading behavior of 1,454 investors, making 89,958 transactions in 6,724 warrants on 397 underlyings. In different logit regression, we make use of the facts that investors can speculate on rising and falling prices of the underlying with call and put warrants and that we also have information about the stock portfolios of the investors. We report several facts about the trading behavior of individual investors in warrants that are consistent with the literature on the behavior of individual investors in the stock market. The warrant investors buy calls and sell puts if the price of the underlying has decreased over the past trading days and they sell calls and buy puts if the price of the underlying has increased. That means, the investors follow negative feedback trading strategies in all four trading categories observed. In addition, we find strong evidence for the disposition effect for call as well as put warrants. The trading behavior is also influenced if the underlying reaches some exceptionally prices, e.g. highs, lows or the strike price. We show that hedging, as one natural candidate to buy puts, does not play an important role in the market for bank-issued warrants. The probability to buy calls is positively related to the holding of the underlying in the portfolio, meaning that investors tend to leverage their stock positions, while the relation between put purchases and portfolio holdings of the underlying is negative. Differences in the trading behavior in warrants with stock market indexes or single stocks as underlings are small

The Impact of Demographic Variables and Consumer Shopping Orientations on the Purchasing Preference for Different Product Categories in the Context of Online Grocery Shopping

This study examines the impact of demographic variables and consumer shopping orientations on the purchasing preference for different product categories in the context of online grocery shopping within the UK. The data for this study was primarily collected from a web-based survey of consumers in the UK using a questionnaire. The quantitative data was enhanced by qualitative data in form of semi-structured interviews to enhance the quantitative results. A structural equation model (SEM) was used to analyse the quantitative data and to measure the relationships between the respective constructs. The findings show that the purchasing preferences vary by product category. Keywords: Demographic Variables, Consumer Shopping Orientations, Product Categories, UK, and Structure Equation Modelling. DOI: 10.7176/JMCR/52-0