This study presents evidence on risk-adjusted profits for the Swedish central bank. Estimated profits can be quite sensitive as to whether rates of return are risk-adjusted or not, and how the ...risk-adjustment is done. Various ways of adjusting for abnormal returns, and extracting buy–sell signals, are tried. Results, on daily data, support the view that Riksbank intervention did not make risk-adjusted losses over the period 1986–1990. The results might be challenged as arising from inappropriate risk adjustment.
This research uses the Cox proportional hazard model and bank cash flow information to determine whether adding cashflow information will improve current bankfailure prediction methods. In the ...corporate failure prediction literature it has been shown that including cash flow variables improves the performance of the models. This paper tests whether a similar result occurs for bank failure prediction models and discusses the policy implications of such results.
The results of the study are mixed. Adding the cashflow information results in greater predictive accuracy in only the longer horizon models tested.
This explorative paper investigates how firms in the global data-processing industry that seek patent protection for their innovations in Europe have coped with the patentability requirements of the ...European Patent Office. Starting from a continuous research spectrum with basic research on the one extreme and development on the other, the main hypothesis is as follows: firms that carry out more basic research are more successful in passing the patent office than firms that focus more on development. Basic research explores more novel and unknown technical paths, while development aims more at modifying and redesigning existing products. Therefore, the results from more basic-oriented research are expected to fulfill the patentability requirements relatively more often than the results from development. This hypothesis is tested and largely confirmed for the global data-processing industry (with a sample of 44 firms) in the period 1986–1990, using indirect variables for basic research and development.
While the United States Securities and Exchange Commission prohibits corporate insider trading based on non-public information, critics (e.g.,
Manne 1966, Carlton and Fischel 1983) of this policy ...argue that allowing insiders to trade would increase the amount of information impounded in stock prices and thereby increase stock market efficiency. Our study provides evidence on this issue by examining whether corporate insider trading increases the amount of information available to financial analysts forecasting corporate earnings. We examined the impact of insider trading on the dispersion of financial analysts' earnings forecasts and magnitude of analysts' forecast errors. Our test results showed that as insider purchasing increases both forecast errors and forecast dispersion decrease. Insider selling, however, appeared to be unrelated to forecast errors or forecast dispersion. Insider purchasing had a greater impact on forecast errors than on dispersion and a greater impact on large firms than on small firms. We interpret these tests as evidence that the execution or disclosure of insider trading reveals information about firms' future prospects which is used in analysts' earnings forecasts.
This paper presents evidence on household savings in urban regions of the Chinese provinces Sichuan and Liaoning, based on data from the State Statistical Bureau's Urban Household Survey for the late ...1980s. In this period the Chinese economy was subject to extensive reforms that resulted in rapid economic growth followed by extremely high inflation. The high inflation rates gave the households strong motives to switch from financial savings to purchase of consumer durables, which also appear to be consistent with the structure of the observed data. By providing empirical evidence on the relative importance of savings by lower, middle and upper income groups for single‐child families and for all households, this study also discusses whether savings decisions depend on the level of household income. Single‐child families are focused, not only because of their growing dominance in the current Chinese society, but also to control for the effect of demographic disparities.
This study focuses on the relationship between short interest and subsequent stock returns. It also deals with the question of whether this relationship itself is attributable to firm size. In this ...context, this study investigates: (1) whether short sellers are correct in their predictions and whether these predictions can benefit other investors, (2) whether returns on short positions are related to firm size, and (3) whether the liquidity hypothesis or the differential information hypothesis can explain the relationship between firm size and short selling. The results support the notion that short sellers made correct predictions of price movements during the sampling period, 1986-1990. The results also show that following the monthly report of short interests, investors can still earn higher returns on shorted stocks, especially the small ones. Finally, the results maintain that short interest positions on less-liquid overpriced small stocks are more profitable than more-liquid overpriced large stocks, thus supporting the liquidity hypothesis. Overall these findings do not display seasonal differences, especially in January.
This study examines the impact of US and UK news on futures prices of US, UK, German, and Japanese government bonds. We find that certain US information has a significant influence on German, ...Japanese, and British interest rates, while UK information has almost no effect on foreign rates. Second, we examine the foreign term structure to investigate whether the importance of US information arises because it either signals common world-wide shocks or induces an anticipated exchange rate stabilization by foreign central banks. The evidence is mixed, except for the US CPI surprise which appears to provide information about a common world-wide shock. (G15).
The purpose of the study is to characterize different styles of work organization in French firms and their current changes and to link them to the use of specific technologies and to firms ...performance. The data which are used arc of two kinds: a labor force survey (1 470 blue collar) and a business survey (7 089 firms). We show that two main variables create differences among firms' organization devices: the intensity of communication within the workshop and the level of autonomy of workers (facing technological and hierarchical constraints). The use of advanced technologies and the skill of the labor force are positively linked to both organizational variables. Therefore. 'Communicating organization' and organizational innovation seem to aim at creating conditions for individual and collective learning on new technologies. They also enhance the ability of the firm to adapt to changing market conditions through technological innovation and inventory reduction, These views are supported by econometric estimation.
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