Hot and cold IPO markets : the case of the stock exchange of Mauritius

The aim of this study is to assess the characteristics of the hot and cold IPO markets on the Stock Exchange of Mauritius (SEM). The results show that the hot issues exhibit, on average, a greater degree of underpricing than the cold issues, although the hot issue phenomenon is not a significant driving force in explaining this short-run underpricing. The results are consistent with the predictions of the changing risk composition hypothesis in suggesting that firms going public during hot markets are on average relatively more risky. The findings also support the time adverse selection hypothesis in that the firms’ quality dispersion is statistically different between hot and cold markets. Finally, the study concludes that firms which go public during hot markets do not underperform those going public in cold markets over the longer term.

The long-run performance of IPOs: the case of the Stock Exchange of Mauritius

This study examines the long-run performance of initial public offerings on the Stock Exchange of Mauritius (SEM). The results show that the 3-year equally weighted cumulative adjusted returns average −16.5%. The magnitude of this underperformance is consistent with most reported studies in different developed and emerging markets. Based on multivariate regression models, firms with small issues and higher ex ante financial strength seem on average to experience greater long-run underperformance, supporting the divergence of opinion and overreaction hypotheses. On the other hand, Mauritian firms do not on average time their offerings to lower cost of capital and as such, there seems to be limited support for the windows of opportunity hypothesis.

The cyclical relations between traded property stock prices and aggregate time-series

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.

Rational speculative bubbles: an empirical investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.

Implications of recent Australian wheat industry developments for overseas and domestic prices

This study is motivated by the proposition that the objectives of the AWB Ltd have changed since semi-privatisation of the Australian Wheat Board under the Wheat Marketing Act, 1989. Conceptualising this change of objectives as a shift from revenue maximization to profit maximization, this study examines the impact of such a change on the pricing policies of a multi-market price-setting firm. More specifically, this paper investigates, using two hypothetical objective functions, a risk averse AWB�s price-setting behaviour in an �overseas� and a �domestic� market in response to recent wheat industry developments. In the analysis these developments manifest themselves as differing price elasticities, differing transport costs and uncertain demand functions, and their implications particularly for the prices paid by domestic consumers are explored.

Stock assessment for fishery management - A framework guide to the stock assessment tools of the Fisheries Management Science Programme (FMSP)

This document provides guidelines for fish stock assessment and fishery management using the software tools and other outputs developed by the United Kingdom's Department for International Development's Fisheries Management Science Programme (FMSP) from 1992 to 2004. It explains some key elements of the precautionary approach to fisheries management and outlines a range of alternative stock assessment approaches that can provide the information needed for such precautionary management. Four FMSP software tools, LFDA (Length Frequency Data Analysis), CEDA (Catch Effort Data Analysis), YIELD and ParFish (Participatory Fisheries Stock Assessment), are described with which intermediary parameters, performance indicators and reference points may be estimated. The document also contains examples of the assessment and management of multispecies fisheries, the use of Bayesian methodologies, the use of empirical modelling approaches for estimating yields and in analysing fishery systems, and the assessment and management of inland fisheries. It also provides a comparison of length- and age-based stock assessment methods. A CD-ROM with the FMSP software packages CEDA, LFDA, YIELD and ParFish is included.

Is there a gold social seal? The financial effects of additions to and deletions from social stock indices

This study investigates the financial effects of additions to and deletions from the most well-known social stock index: the MSCI KLD 400. Our study makes use of the unique setting that index reconstitution provides and allows us to bypass possible issues of endogeneity that commonly plague empirical studies of the link between corporate social and financial performance. By examining not only short-term returns but also trading activity, earnings per share, and long-term performance of stocks that are involved in these events, we bring forward evidence of a ‘social index effect’ where unethical transgressions are penalized more heavily than responsibility is rewarded. We find that the addition of a stock to the index does not lead to material changes in its market price, whereas deletions are accompanied by negative cumulative abnormal returns. Trading volumes for deleted stocks are significantly increased on the event date, while the operational performances of the respective firms deteriorate after their deletion from the social index.

Taking the LEED? Analyzing spatial variations in market penetration rates of eco-labeled properties

This paper investigates the impact of policies to promote the adoption of LEED-certified buildings across CBSA in the United States. Drawing upon a unique database that combines data from a large number of sources and using a number of regression procedures, the determinants of the proportion LEED-certified space for more than 170 CBSA in the US is modeled. LEED-certified space still accounts for a relatively small proportion of commercial stock in all markets. The average proportion is less than 1%. There is no conclusive evidence of a positive impact of policy intervention on the levels of LEED-certified space. However, after accounting for bias introduced by non-random assignment of policies, we find preliminary evidence of a positive impact of city-level green building incentives. There is a significant positive association between market size and indicators of economic vitality on proportions of LEED-certified space.

Commercial real estate and equity market bubbles: are they contagious to REITs?

This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock and real estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.

Hypersensitivity and growth adaptation of oestrogen-deprived MCF-7 human breast cancer cells

Background: Efficacy of endocrine therapy is compromised when human breast cancer cells circumvent imposed growth inhibition. The model of long-term oestrogen-deprived MCF-7 human breast cancer cells has suggested the mechanism results from hypersensitivity to low levels of residual oestrogen. Materials and methods: MCF-7 cells were maintained for up to 30 weeks in phenol-red-free medium and charcoal-stripped serum with 10-8 M 17-oestradiol and 10 g/ml insulin (stock 1), 10-8 M 17-oestradiol (stock 2), 10 g/ml insulin (stock 3) or no addition (stock 4). Results: Loss of growth response to oestrogen was observed only in stock 4 cells. Long-term maintenance with insulin in the absence of oestradiol (stock 3) resulted in raised oestrogen receptor alpha (ERlevels (measured by western immunoblotting) and development of hypersensitivity (assayed by oestrogen-responsive reporter gene induction and dose response to oestradiol for proliferation under serum-free conditions), but with no loss of growth response to oestrogen. Conclusion: Hypersensitivity can develop without any growth adaptation and therefore is not a prerequisite for loss of growth response in MCF-7 cells.

The trading profitability of forecasts of the gilt–equity yield ratio

Research has highlighted the usefulness of the Gilt–Equity Yield Ratio (GEYR) as a predictor of UK stock returns. This paper extends recent studies by endogenising the threshold at which the GEYR switches from being low to being high or vice versa, thus improving the arbitrary nature of the determination of the threshold employed in the extant literature. It is observed that a decision rule for investing in equities or bonds, based on the forecasts from a regime switching model, yields higher average returns with lower variability than a static portfolio containing any combinations of equities and bonds. A closer inspection of the results reveals that the model has power to forecast when investors should steer clear of equities, although the trading profits generated are insufficient to outweigh the associated transaction costs.

Does foreign investment affect US office real estate prices?

his article examines the impact of foreign real estate investment on U.S. office market capitalization rates. The geographic unit of analysis is MSA and the time period is 2001–2013. Drawing upon a database of commercial real estate transactions, the authors model the determinants of market capitalization rates with a particular focus on the significance of the proportion of market transactions involving foreign investors. Employing several econometric techniques to analyze the data, the results suggest statistically significant effects of foreign investment across 38 U.S. metro areas. It is estimated that, all else equal, a 100 basis point increase in foreign share of total investment in a U.S. metropolitan office market causes about an 8 basis point decrease in the market cap rate.

Farm-level risk factors for fluoroquinolone resistance in E-coli and thermophilic Campylobacter spp. on finisher pig farms

Logistic regression, supported by other statistical analyses was used to explore the possible association of risk factors with the fluoroquinolone (FQ)-resistance status of 108 pig finisher farms in Great Britain. The farms were classified as 'affected' or 'not affected' by FQ-resistant E. coli or Campylobacter spp. on the basis of isolation of organisms from faecal samples on media containing 1 mg/l FQ. The use of FQ was the most important factor associated with finding resistant E. coli and/or Campylobacter, which were found on 79% (FQ-resistant E. coli) and 86% (FQ-resistant Campylobacter) of farms with a history of FQ use. However, resistant bacteria were also found on 19% (FQ-resistant E. coli) and 54% (FQ-resistant Campylobacter) of farms with no history of FQ use. For FQ-resistant E. coli, biosecurity measures may be protective and there was strong seasonal variation, with more farms found affected when sampled in the summer. For FQ-resistant Campylobacter, the buying-in of grower stock may increase risk and good on-farm hygiene may be protective. The findings suggest that resistant organisms, particularly Campylobacter, may spread between pig farms.