For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a ...cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future.
The contribution of environmental investments (EIs) to environmental performance (EP) is a lively topic for environmental researchers across the world. In spite of huge amount of research, there is ...still lack of clarity on the moderating factors that affect the role played by EI. In this study, we distinguish EI into pollution control investments (PCIs) and pollution prevention investments (PPIs). We further investigate whether institutional environment and foreign direct investment (FDI) can play their moderating effects both on the relationship between EI and EP and on the relationships between different types of investments and EP or not. The results indicate that EI has a positive effect on EP. More specifically, PPI plays a stronger positive role in EP, but PCI does not have a significant effect on EP. In addition, both institutional environment and FDI can strengthen the positive impact of EI on EP. The increase of EI in regions with better institutional environment or high FDI can lead to greater improvement in EP. These moderating effects of institutional environment and FDI are also confirmed on the link between PPI and EP. In summary, our results reinforce the existing views that EI, and specifically PPI, can improve EP but further contribute to the understanding of the positive moderating roles played by the institutional environment and FDI on the link between EI and EP.
Are transnational corporations (TNCs) and foreign direct investment beneficial or harmful to societies around the world? Since the birth of the United Nations more than 60 years ago, these questions ...have been major issues of interest and involvement for UN institutions. What have been the key ideas generated by the UN about TNCs and their relations with nation-states? How have these ideas evolved and what has been their impact? This book examines the history of UN engagement with TNCs, including the creation of the UN Commission and Centre on Transnational Corporations in 1974, the failed efforts of these bodies to craft a code of conduct to temper the revealed abuses of TNCs, and, with the advent of globalization in the 1980s, the evolution of a more cooperative relationship between TNCs and developing countries, resulting in the 1999 Global Compact.
In Search of Attention DA, ZHI; ENGELBERG, JOSEPH; GAO, PENGJIE
The Journal of finance (New York),
October 2011, Volume:
66, Issue:
5
Journal Article
Peer reviewed
Open access
We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is ...correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first-day return and long-run underperformance of IPO stocks.
Canadian pension fund assets are second in size only to the combined financial assets of the major banks and have become a critical source of capital for national and international markets. Given ...their tax-exempt status, pension funds can provide the long-term capital needed to build a new economy based on real productivity. The funds are controlled by an intricate web of financial and legal standards but, as deferred wages, are largely beyond the control of workers or their unions.
InPension Power, Isla Carmichael argues that unions could and should have a new role to play in the economy by gaining control over their members' pension funds. She demonstrates how the financial industry's access to the capital goes against the interests of working people, and she provides convincing evidence that union management of pensions would better protect benefits and offer support in building infrastructure in communities and protecting the environment. This is a work of singular commitment to a fundamental shift in the structure of managing one of Canada's largest pools of capital.
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and ...practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications.Key features:Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models.Numerous illustrations and applications to real financial series are provided.Supporting website featuring R codes, Fortran programs and data sets.Presents a large collection of problems and exercises.This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Policing the banks van Putten, Maartje
Policing the banks,
c2008, 20081120, 2014, 2008, 2008-11-20, 20080101
eBook
Describing how formerly secretive financial institutions have been slow to accept responsibility for the consequences of their investments - especially the problems that can result from projects in ...developing countries - she shows that financing institutions can cause significant social and environmental damage and argues that new accountability mechanisms are necessary to reduce or prevent such damage. Because such institutions operate on a global scale, only semi-judicial accounting mechanisms can provide the necessary accountability. It is time for the private financial sector to follow multilateral financial institutions in creating independent mechanisms, mediation procedures, and access to decision makers for people harmed or potentially harmed by projects financed by their institutions.Describing how formerly secretive financial institutions have been slow to accept responsibility for the consequences of their investments - especially the problems that can result from projects in developing countries - she shows that financing institutions can cause significant social and environmental damage and argues that new accountability mechanisms are necessary to reduce or prevent such damage. Because such institutions operate on a global scale, only semi-judicial accounting mechanisms can provide the necessary accountability. It is time for the private financial sector to follow multilateral financial institutions in creating independent mechanisms, mediation procedures, and access to decision makers for people harmed or potentially harmed by projects financed by their institutions.
PDF
