Finance and Financial Management Commons^™

A Liquidity Motivated Algorithm For Discerning Trade Direction, David Michayluk, Laurie Prather

Laurie Prather

Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily implemented but ignore information readily discernable from orders, changes in the quoted depth and subsequent price movements. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction algorithms are documented that can be rectified by recognizing that …

The Long-Run Determinants Of Australian Income Inequality, Noel Gaston, Gulasekaran Rajaguru

Gulasekaran Rajaguru

Recent interest has been stimulated by the growth of income inequality in most developed countries during the 1980s and 1990s. However, considerable uncertainty still exists as to which factors have been the most important causes of this development. This article uses a measure of income inequality derived from taxation statistics and a recently proposed method for testing long-run Granger non-causality to examine the key determinants of Australia's inequality for the years 1970–2001. In line with popular concern, we find that globalisation and technological progress – defined as the global flow of information – has increased income inequality. In contrast, improved …

On The Political Substitutability Between Tariffs And Subsidies, Daniel Brou, Michele Ruta

Daniel Brou

This paper provides a simple model that highlights the political substitutability between import tariffs and production subsidies.1 When taxes are distortionary, political pressures by domestic interest groups representing the import competing sector induce the government to set inefficiently high tariffs and subsidies. If the government commits the tariff to a lower level - for instance by signing a binding commitment in a trade agreement - interest groups demand (and in the political equilibrium obtain) a larger production subsidy. This political substitutability between tariffs and subsidies is shown to reduce social welfare.

Notre Dame Mendoza Business School Presentation 2008, Karen Ahmed

Karen Hunt Ahmed

No abstract provided.

Poison Pill Redemption: Evidence From The Commercial Banking Industry, Elisabeta Pana

Elisabeta Pana

No abstract provided.

The Market Premium For The Option To Close: Evidence From Australian Gold Mining Firms, Simone Kelly

Simone Kelly

This paper assesses whether the market valuation of gold mining firms contain a premium for the option to close. Tests of whether observed market values incorporate operating flexibility is central to our understanding of the processes that drive market values and has implications for the relevance and suitability of known theoretical pricing frameworks. This paper assesses the relevancy of the option to close for mining firm valuation. This is achieved by examining 41 Australian gold mining firms listed on the Australian Stock Exchange from 1987 to 1994 that are actively engaged in gold mining extraction and production. A pooled cross-sectional …

Model Development Techniques And Evaluation Methods For Prediction And Classification Of Consumer Risk In The Credit Industry, Jennifer Priestley, Satish Nargundkar

Jennifer L. Priestley

In this chapter, we examine and compare the most prevalent modeling techniques in the credit industry, Linear Discriminant Analysis, Logistic Analysis and the emerging technique of Neural Network modeling. K-S Tests and Classification Rates are typically used in the industry to measure the success in predictive classification. We examine those two methods and a third, ROC Curves, to determine if the method of evaluation has an influence on the perceived performance of the modeling technique. We found that each modeling technique has its own strengths, and a determination of the “best” depends upon the evaluation method utilized and the costs …

European Banking After The Euro: Progress And Problems, William Templeton, Robert Clark

William K. Templeton

Note: full-text not available due to publisher restrictions. Link takes you to an external site where you can locate the article at your local library.

Discusses the changes in European banking since the introduction of the euro, providing statistics on mergers and acquisitions (mostly domestic) and their effects on assets both inside and outside the eurozone. Considers the factors which make cross-border mergers less attractive, the effect of consolidation on costs, and the impact of the euro on foreign exchange earnings, debt markets and cash management systems. Concludes that although banks are becoming more competitive with each other and with …

Banking On The Euro: Changes And Challenges, William Templeton, Charlotte Bond

William K. Templeton

Note: full-text not available due to publisher restrictions. Link takes you to an external site where you can locate the article at your local library.

Considers the likely effects of EMU and the introduction of the euro on the “fragmented” European banking industry. Recognizes that transition to the euro will be expensive in terms of equipment, training, customer care etc.; and that some new products and services will be demanded (e.g. cross-border cash management systems, euro-denominated bonds etc.) while others will decline (e.g. foreign exchange hedging, commercial loans etc.). Refers to US experience to identify growth opportunities and discusses the …