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.

Does orthogonalization really purge equity based property valuations of their general stock market influences?

This paper uses a recently developed nonlinear Granger causality test to determine whether linear orthogonalization really does remove general stock market influences on real estate returns to leave pure industry effects in the latter. The results suggest that there is no nonlinear relationship between the US equity-based property index returns and returns on a general stock market index, although there is evidence of nonlinear causality for the corresponding UK series.

Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

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.

Social equality in the number of choice options is represented in the ventromedial prefrontal cortex

A distinct aspect of the sense of fairness in humans is that we care not only about equality in material rewards but also about equality in non-material values. One such value is the opportunity to choose freely among many options, often regarded as a fundamental right to economic freedom. In modern developed societies, equal opportunities in work, living, and lifestyle are enforced by anti-discrimination laws. Despite the widespread endorsement of equal opportunity, no studies have explored how people assign value to it. We used functional magnetic resonance imaging to identify the neural substrates for subjective valuation of equality in choice opportunity. Participants performed a two-person choice task in which the number of choices available was varied across trials independently of choice outcomes. By using this procedure, we manipulated the degree of equality in choice opportunity between players and dissociated it from the value of reward outcomes and their equality. We found that activation in the ventromedial prefrontal cortex tracked the degree to which the number of options between the two players was equal. In contrast, activation in the ventral striatum tracked the number of options available to participants themselves but not the equality between players. Our results demonstrate that the vmPFC, a key brain region previously implicated in the processing of social values, is also involved in valuation of equality in choice opportunity between individuals. These findings may provide valuable insight into the human ability to value equal opportunity, a characteristic long emphasized in politics, economics, and philosophy.

Effect of acceptable use policy on employee computer use : case of Sri Lankan software development organizations

It is a known fact that some employees misuse the organizational computers to do their personal work such as sending emails, surfing the Internet, chatting, playing games. These activities not only waste productive time of employees but also bring a risk factor to the organization. This affects organizations in the software industry very much as almost all of their employees are connected to the Internet throughout them day./ By introducing an Acceptable Use Policy (AUP) for an organization, it is believed that the computer misuse by its employees could be reduced. In many countries Acceptable Use Policies are used and they have been studied with various perspectives. In Sri Lankan context research on these areas are scarce. This research explored the situation in Sri Lanka with respect to AUPs and their effectiveness./ A descriptive study was carried out to identify the large and medium scale software development organizations that had implemented computer usage guidelines for employees. A questionnaire was used to gather information regarding employee’s usual computer usage behavior. Stratified random sampling was employed to draw a representative sample from the population./ Majority of the organizations have not employed a written guideline on acceptable use of work computers. The study results did not provide evidence to conclude that the presence or non presence of an AUP has a significant difference in computer use behaviors of employees. A significant negative correlation was observed between level of awareness about AUP and misuse. Access to the Internet and organizational settings were identified as significant factors that influence employee computer misuse behavior.

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.

After the referendum: options for a constitutional convention

Whatever the result of Scotland’s independence referendum, careful constitutional thinking will be needed. If Scots vote Yes, Scotland will need a new constitution and the rest of the UK will have to rethink its governing structures. Even in the event of a No vote, everyone agrees that the shape of the Union will need to change over the coming years. This paper examines how such constitution-making should take place. It sets out the options, gathers evidence from around the world on how those options might work, and weighs the advantages and disadvantages of each alternative. It concludes that constitutional proposals in the UK should best be developed by a convention comprising a mixture of ordinary members of the public and politicians; these proposals should be put to a referendum. This approach, the paper argues, offers the best route to high-quality debate, stronger democratic engagement, and, ultimately, deeper legitimacy for our governing structures.

Speculative bubbles and the cross-sectional variation in stock returns

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven by fundamentals.

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.

Building employee relationships through corporate social responsibility: the moderating role of social cynicism and reward for application

We explore the role of deeply held beliefs, known as social axioms, in the context of employee–organization relationships. Specifically, we examine how the beliefs identified as social cynicism and reward for application moderate the relationship between employees’ work-related experiences, perceptions of CSR, attitudes, and behavioral intentions toward their firm. Utilizing a sample of 130 retail employees, we find that CSR affects more positively employees low on social cynicism and reduces distrust more so than with cynical employees. Employees exhibiting strong reward for application are less positively affected by CSR, whereas their experiences of other work-related factors are more likely to reduce distrust. Our findings suggest the need for a differentiated view of CSR in the context of employee studies and offer suggestions for future research and management practice.

Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets

This paper examines the time-varying nature of price discovery in eighteenth century cross-listed stocks. Specifically, we investigate how quickly news is reflected in prices for two of the great moneyed com- panies, the Bank of England and the East India Company, over the period 1723 to 1794. These British companies were cross-listed on the London and Amsterdam stock exchange and news between the capitals flowed mainly via the use of boats that transported mail. We examine in detail the historical context sur- rounding the defining events of the period, and use these as a guide to how the data should be analysed. We show that both trading venues contributed to price discovery, and although the London venue was more important for these stocks, its importance varies over time.

Innovative approaches For enhancing the flow of funds into the Benefit Sharing Fund of the International Treaty on Plant Genetic Resources for Food and Agriculture: an evaluation of options

This report assesses the implications and revenue-generating potential of options for reform of the International Treaty on Plant Genetic Resources for Food and Agriculture in the context of the structure of the global seed industry and the emerging landscape of plant variety innovation for different crops. The implementation of these options would require modifications of Treaty and provisions of the Standard Material Transfer Agreements to alter the nature of payment obligations related to different categories of products, the payment rates under different options and the coverage of crops in Annex-I to the Treaty.