The use of the implied standard deviation as a predictor of future stock price variability: A review of empirical tests

Estimation;Securities;mathematische statistiek

Specification of multiparty audio and video interaction based on the Reference Model of Open Distributed Processing

The Reference Model of Open Distributed Processing (RM-ODP) is an emerging ISO/ITU-T standard. It provides a framework of abstractions based on viewpoints, and it defines five viewpoint languages to model open distributed systems. This paper uses the viewpoint languages to specify multiparty audio/video exchange in distributed systems. To the designers of distributed systems, it shows how the concepts and rules of RM-ODP can be applied.\ud \ud The ODP ¿binding object¿ is an important concept to model continuous data flows in distributed systems. We take this concept as a basis for multiparty audio and video flow exchanges, and we provide five ODP viewpoint specifications, each emphasising a particular concern. To ensure overall correctness, special attention is paid to the mapping between the ODP viewpoint specifications

QUEST II. A multi country business cycle and growth model. Economic Papers No. 123, October 1997. II/509/97-EN

From the Introduction. QUEST was designed to analyse the economies in the member states of the European Union and their interactions with the rest of the world, especially with the United States and Japan. The focus of the model is on the transmission of the effects of economic policy both on the domestic and the international economy. The model was primarily constructed to serve as a tool for policy simulation; less emphasis was put on its ability to serve as a forecasting tool. Given the wide coverage of the model it must necessarily be highly aggregated. A high degree of aggregation and foundation of the specification in current macroeconomic theory also helps in interpreting and understanding the results of the simulations. Finally simplicity also facilitates the solution of the model and reduces the time and memory requirements of the computer-simulations. The new model contains structural models for the EU member states, the US and Japan and distinguishes 10 additional countries/regions in trade feedback models in order to model trade interactions with the rest of the world

Do Spin-offs really Create Value? The European Case

We study wealth effects for a sample of 161 spin-offs from 15 different European countries that were announced between January 1987 and September 2000. The cumulative average abnormal return over the three-day event window is 2.35%. The mean abnormal return is 2.89% for companies that increase their industrial focus and only 1.20% for non-focus increasing companies.These results are in line with previous studies for the United States.The long-run returns in excess of the market return are significantly negative for both parent and pro-forma combined firms.However, if we control for the size and book-to-market effects by creating a matching portfolio, we find mostly insignificant long-run excess returns both for focus-increasing and non-focus increasing parents, subsidiaries and pro-forma combined firms.This result suggests that, unlike U.S. spin-offs, European spin-offs are not associated with long-run outperformance.return on investment;spin-offs

The potential impact of the fiscal transfers under the EU Cohesion Policy Programme

The European Union uses large-scale fiscal transfers to national and regional levels to foster economic and social cohesion. This paper gives an ex-ante model-based analysis of the potential macro-economic impact of these fiscal transfers between member states as planned under the Cohesion Policy programme 2007-2013. The simulations show the costs and benefits of Structural Funds spending on beneficiary and donor countries in the EU. The increase in public investment has positive externalities and yields significant output gains in the long run due to sizeable productivity improvements. In the short run it can lead to crowding out of private spending.Fiscal transfers, Structural Funds, Cohesion Policy, public investment, in 't Veld

Put-call parities and the value of early exercise for put options on a performance index

Futures Markets;finance

Announcement effects of convertible bond loans versus warrant-bond loans: An empirical analysis for the Dutch market

This study investigates the announcement effects of offerings of convertible bond loans and warrant-bond loans using data for the Dutch market. Using standard event study methodology it is found that on average stock prices show a positive but insignificant abnormal return for the announcement of a convertible bond loan and a significant positive abnormal return for the announcement of a warrant-bond loan. These findings contrast with studies for the United States which generally find significant negative abnormal returns for convertible bond loans and negative but no significant abnormal returns for warrant-bond loans. This can be explained by the fact that Dutch companies generally package these announcements with other (good) firm specific news. Using regression analysis, in which the amount of new equity and new debt involved in the issue are taken into account, it is found that shareholders react more positively to the announcement of warrant-bond loans than to the announcement of convertible bond loans.Bond Markets;Convertible Bonds;finance