This study provides new identification and estimation results for ascending (traditional English or online) auctions with unobserved auction-level heterogeneity and an unknown number of bidders. When ...the seller's reserve price and two order statistics of bids are observed, we derive conditions under which the distributions of buyer valuations, unobserved heterogeneity, and number of participants are point identified. We also derive conditions for point identification in cases where reserve prices are binding and present general conditions for partial identification. We propose a nonparametric maximum likelihood approach for estimation and inference. We apply our approach to the online market for used iPhones and analyze the effects of recent regulatory changes banning consumers from circumventing digital rights management technologies used to lock phones to service providers. We find that buyer valuations for unlocked phones dropped by 39% on average after the unlocking ban took effect, from $ 231.30 to $ 141.50.
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BFBNIB, CEKLJ, FZAB, GIS, IJS, KILJ, NLZOH, NUK, OILJ, SBCE, SBMB, UL, UM, UPUK
Energy shortages and environmental concerns have prompted governments to focus on alternative energy production innovation. Although studies examine the association between government venture capital ...and green innovation, there remains a gap in understanding how the different characteristics of government venture capital affect innovation. This study examines the effects of government venture capital on the innovation performance of alternative energy production. Using negative binominal regression and system generalised method of moments models with data from 30 provinces in China for the period spanning from 2003 to 2019, we find that government venture capital exerts an inverted U-shaped effect on the innovation performance of alternative energy production. In addition, environmental regulation strengthens this inverted U-shaped effect, while capital market activity alleviates it. Moreover, we confirm that government venture capital affects alternative energy production innovation through the R&D investment channel. Our study enriches the resource-based view, agency theory and the institution-based view by shedding light on how the different characteristics of government venture capital affect alternative energy production innovation. The findings suggest that policymakers should strike a balance between government intervention and market mechanisms.
•GVC has an inverted U-shaped effect on AEP innovation performance.•Environmental regulation strengthens this mechanism.•Capital market activity weakens this mechanism.•GVC influences AEP innovation performance via the R&D investment channel.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by ...analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995-2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4 percent and 10 percent) when maximum daily temperatures exceed 30°C (86°F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a "hot weather" effect on financial markets. It also offers important managerial and public policy implications.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
•The study conditions the abnormal returns preceding dividend changes on the characteristics that determine the announcement return.•The difference in abnormal returns preceding dividend changes that ...have large and minimal price effects is similar to that for unchanged dividends.•The evidence points to a lack of informed trading activity preceding dividend changes in the equity market.•This contrasts other results that show significant abnormal returns in the days leading to major public announcements.
This paper investigates whether the equity market anticipates dividend changes that have large value effects in the days leading to the announcements. In particular, I partition dividend changes into those with large and small value effects based on dividend and firm characteristics and study the abnormal returns preceding the changes by the two groups. T-tests are used to test the difference in mean abnormal returns preceding dividend changes by the two groups, and regression techniques are used to test whether this difference is equal to the corresponding difference for firms that maintain dividends. The results show that the abnormal returns preceding dividend changes that have large value effects are not different from those preceding dividend changes that have minimal value effects or, if there is a difference, it is statistically similar to the corresponding difference preceding unchanged dividends. Thus, it does not appear that the equity market exploits the price effect of dividend changes that have large value effects in the days leading to the events. This contrasts evidence that shows that the equity market anticipates corporate events that have large price effects in the days proximal to the events.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
In this manuscript, we present three controversial cross-border merger and acquisition (CBMA) deals that failed to be consummated after public announcement. Our cross-case analysis reveals that ...scandal, which causes the controversy surrounding these deals, is a non-market activity, whose main concern is to ensure the status quo in the target country through generation of executive and legislative action favoring the target country threatened actor. Scandal is a last resort act that makes the deal widely salient through transformation of the bid into a national threat. Target country actors threatened by the CBMA skillfully use scandal, along with their corporate political activities (CPA), to hinder deals that they could not have stopped otherwise. It is mainly the inadequacy of the CPA efforts that lead to emergence of scandal. Once condemned of wrongdoing, the acquirers instantly become persona non grata, even in the cases where the government is supportive of the deal.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
The purpose of the article is to create a new approach to the classification of stock market indicators in economic theory. Three groups of indicators are proposed, including indicators of supply and ...demand, evolvement of stock market, and localization. The group of indicators of supply and demand is created on the basis of the market analysis standard in marketing research, including: capacity, capitalization, stock market turnover, stock indices, P/E index. Within the framework of this group, it is also proposed to use the indicator of IPO share in the capitalization of stock market, which demonstrates the degree of openness of the market and investors to new companies and is opposed to the characteristics of the conservatism of the stock market. Stock indices are considered separately and their classification is schematically created according to the calculation method, providing the stock indices, calculated using the method of arithmetic mean simple, geometric mean and arithmetic mean weighted. The belonging of the largest existing stock indices to a certain type in accordance with calculation is demonstrated. A practical explanation of the various approaches to the methodology for determining stock indices is presented. In the second group of development indicators, the following are highlighted: liquidity, profitability, volatility, and concentration of the stock market, by which it is possible to assess not only the quality characteristics, but also the level of evolvement of the stock market. The third group was created on the basis of localization, which interprets the characteristics of the stock market depending on its geographical affiliation. This group includes: the degree of development of equity capital, openness, transparency of the stock market, the level of risk of a separate country, the investment attractiveness index, the index of attractiveness of both venture and direct investments. It is identified that certain indicators determine the level of other indicators within this group. For each of the three groups of indicators, the essence of the indicator, the methodology for calculation and application were examined. There is also an explanation of the signs by which the indicators were assigned to a certain group of indicators in the proposed approach to their classification.
The main part of the study will be to demonstrate that models taking into account spatial heterogeneity (Geographically Weighted Regression and Mixed Geographically Weighted Regression) which ...reproduce housing market determinants better reflect market relationships than conventional regression models. The spatial heterogeneity of the housing market determinants results in the spatial diversity of the market activity, as well as of real estate prices and values. The main aim of the study was to analyse an effect of these socio-demographic and environmental factors on average housing property prices and on the number of transactions in a spatial approach. In previous research conducted on a national scale, usually all variables were treated in a similar way, i.e., as global or local variables. During the research, an attempt was also made to answer the question of which of the variables adopted for analysis have a local impact on prices and market activity, and which are global. The study was conducted in Poland and used data from the year 2018 on 380 counties (Local Administrative Units). The study showed that determinants both for average prices and for the housing market activity show spatial autocorrelation with high–high and low–low cluster groups. Owing to these models, it was possible to draw specific conclusions on local determinants of flat prices and the market activity in Poland. The study findings have confirmed that they are an extremely effective tool for spatial data analysis.
•Trading speed is crucially important for high-frequency trading based on U.S. macroeconomic news.•Annual losses due to being slow with 300ms (1second) can accumulate to 1.94% (3.90%.•The effect of ...algorithmic trading on market quality depends on the type of algorithm active.•Algorithmic activity increases depth at the best quotes, but decreases overall depth.•Algorithmic activity following a macroeconomic news arrival increases volatility.
This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact news and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around macroeconomic news. In the minute following a macroeconomic news arrival, algorithmic activity increases trading volume and depth at the best quotes, but also increases volatility and leads to a drop in overall depth. Quoted half-spreads decrease (increase) when we measure algorithmic trading over the full (top of the) order book.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
The geography of opportunity research has made significant progress in recent years. The use of composite indexes aimed at capturing the attributes of different urban areas has been particularly ...useful to deepen the understanding of the role that the urban context plays in people's life chances. However, little attention has been paid to the dynamic component of the geography of opportunity, that is, what explains its changes over time and whether or not those changes (positive or negative) are substantial.
The contribution of this work is that it offers a methodology (a conceptual framework, a composite geography of opportunity index and relative and absolute measures) that provides a holistic and in-depth approach to analyse not only the set of opportunities available in the different urban areas but also their change over time (how they change, the depth of those changes and the forces explaining it). The information generated through this approach has the advantage of better informing place-based policy interventions since it offers not only a clear classification of areas but also a useful method for comparing and monitoring the changes in the geography of opportunity over time.
•Dynamic benchmark analysis of changes in the geography of opportunity over time•New dimensions of the GO: land market activity and municipal fiscal capacity•The use of absolute and relative indices unfolds the depth of the changes in the GO.•The GO at the municipal scale proves to be relevant in cities in less developed regions.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
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