850 resultados para Market analysis
Resumo:
One of the most evident casualties of a natural disaster is the property market. The private and social costs from such events run into millions of dollars. In this paper, we use a unique dataset to examine the impact on residential house prices affected by natural disasters using a hedonic property (HP) values approach. For this purpose, we use data before and after a wildfire and floods from Rockhampton in central Queensland, Australia. The data is unique because one suburb was affected by wildfires and another was affected by floods. For the analysis, three suburbs namely Frenchville, Park Avenue and Norman Gardens are used. Frenchville was significantly affected by wildfires in the latter part of 2009 and to a lesser extent in 2012, while Park Avenue was affected by floods at the end of 2010, January 2011–2013. Norman Gardens, which was relatively unaffected, is used as a control site. This enables us to examine the before and after effects on property values in the three suburbs. The results confirm that soon after a natural disaster property prices in affected areas decrease even though the large majority of individual houses remain unaffected. Furthermore, the results indicate that the largely unaffected suburb may gain immediately after a natural disaster but this gain may disappear if natural disasters continue to occur in the area/region due to the stigma created. The results have several important policy decision and welfare implications which are briefly discussed in the paper.
Resumo:
Reducing tariffs and increasing consumption taxes is a standard IMF advice to countries that want to open up their economy without hurting government finances. Indeed, theoretical analysis of such a tariff–tax reform shows an unambiguous increase in welfare and government revenues. The present paper examines whether the country that implements such a reform ends up opening up its markets to international trade, i.e. whether its market access improves. It is shown that this is not necessarily so. We also show that, comparing to the reform of only tariffs, the tariff–tax reform is a less efficient proposal to follow both as far as it concerns market access and welfare.
Resumo:
Provision of modern energy services for cooking (with gaseous fuels)and lighting (with electricity) is an essential component of any policy aiming to address health, education or welfare issues; yet it gets little attention from policy-makers. Secure, adequate, low-cost energy of quality and convenience is core to the delivery of these services. The present study analyses the energy consumption pattern of Indian domestic sector and examines the urban-rural divide and income energy linkage. A comprehensive analysis is done to estimate the cost for providing modern energy services to everyone by 2030. A public-private partnership-driven business model, with entrepreneurship at the core, is developed with institutional, financing and pricing mechanisms for diffusion of energy services. This approach, termed as EMPOWERS (entrepreneurship model for provision of wholesome energy-related basic services), if adopted, can facilitate large-scale dissemination of energy-efficient and renewable technologies like small-scale biogas/biofuel plants, and distributed power generation technologies to provide clean, safe, reliable and sustainable energy to rural households and urban poor. It is expected to integrate the processes of market transformation and entrepreneurship development involving government, NGOs, financial institutions and community groups as stakeholders. (C) 2009 Elsevier Ltd. All rights reserved.
Resumo:
Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.
Resumo:
The thesis examines urban issues arising from the transformation from state socialism to a market economy. The main topics are residential differentiation, i.e., uneven spatial distribution of social groups across urban residential areas, and the effects of housing policy and town planning on urban development. The case study is development in Tallinn, the capital city of Estonia, in the context of development of Central and Eastern European cities under and after socialism. The main body of the thesis consists of four separately published refereed articles. The research question that brings the articles together is how the residential (socio-spatial) pattern of cities developed during the state socialist period and how and why that pattern has changed since the transformation to a market economy began. The first article reviews the literature on residential differentiation in Budapest, Prague, Tallinn and Warsaw under state socialism from the viewpoint of the role of housing policy in the processes of residential differentiation at various stages of the socialist era. The paper shows how the socialist housing provision system produced socio-occupational residential differentiation directly and indirectly and it describes how the residential patterns of these cities developed. The second article is critical of oversimplified accounts of rapid reorganisation of the overall socio-spatial pattern of post-socialist cities and of claims that residential mobility has had a straightforward role in it. The Tallinn case study, consisting of an analysis of the distribution of socio-economic groups across eight city districts and over four housing types in 1999 as well as examining the role of residential mobility in differentiation during the 1990s, provides contrasting evidence. The third article analyses the role and effects of housing policies in Tallinn s residential differentiation. The focus is on contemporary post-privatisation housing-policy measures and their effects. The article shows that the Estonian housing policies do not even aim to reduce, prevent or slow down the harmful effects of the considerable income disparities that are manifest in housing inequality and residential differentiation. The fourth article examines the development of Tallinn s urban planning system 1991-2004 from the viewpoint of what means it has provided the city with to intervene in urban development and how the city has used these tools. The paper finds that despite some recent progress in planning, its role in guiding where and how the city actually developed has so far been limited. Tallinn s urban development is rather initiated and driven by private agents seeking profit from their investment in land. The thesis includes original empirical research in the three articles that analyse development since socialism. The second article employs quantitative data and methods, primarily index calculation, whereas the third and the fourth ones draw from a survey of policy documents combined with interviews with key informants. Keywords: residential differentiation, housing policy, urban planning, post-socialist transformation, Estonia, Tallinn
Resumo:
This thesis analyzes how matching takes place at the Finnish labor market from three different angles. The Finnish labor market has undergone severe structural changes following the economic crisis in the early 1990s. The labor market has had problems adjusting from these changes and hence a high and persistent unemployment has followed. In this thesis I analyze if matching problems, and in particular if changes in matching, can explain some of this persistence. The thesis consists of three essays. In the first essay Finnish Evidence of Changes in the Labor Market Matching Process the matching process at the Finnish labor market is analyzed. The key finding is that the matching process has changed thoroughly between the booming 1980s and the post-crisis period. The importance of the number of unemployed, and in particular long-term unemployed, for the matching process has vanished. More unemployed do not increase matching as theory predicts but rather the opposite. In the second essay, The Aggregate Matching Function and Directed Search -Finnish Evidence, stock-flow matching as a potential micro foundation of the aggregate matching function is studied. In the essay I show that newly unemployed match mainly with the stock of vacancies while longer term unemployed match with the inflow of vacancies. When aggregating I still find evidence of the traditional aggregate matching function. This could explain the huge support the aggregate matching function has received despite its odd randomness assumption. The third essay, How do Registered Job Seekers really match? -Finnish occupational level Evidence, studies matching for nine occupational groups and finds that very different matching problems exist for different occupations. In this essay also misspecification stemming from non-corresponding variables is dealt with through the introduction of a completely new set of variables. The new outflow measure used is vacancies filled with registered job seekers and it is matched by the supply side measure registered job seekers.
Resumo:
Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.
Resumo:
The integrated European debt capital market has undoubtedly broadened the possibilities for companies to access funding from the public and challenged investors to cope with an ever increasing complexity of its market participants. Well into the Euro-era, it is clear that the unified market has created potential for all involved parties, where investment opportunities are able to meet a supply of funds from a broad geographical area now summoned under a single currency. Europe’s traditionally heavy dependency on bank lending as a source of debt capital has thus been easing as corporate residents are able to tap into a deep and liquid capital market to satisfy their funding needs. As national barriers eroded with the inauguration of the Euro and interest rates for the EMU-members converged towards over-all lower yields, a new source of debt capital emerged to the vast majority of corporate residents under the new currency and gave an alternative to the traditionally more maturity-restricted bank debt. With increased sophistication came also an improved knowledge and understanding of the market and its participants. Further, investors became more willing to bear credit risk, which opened the market for firms of ever lower creditworthiness. In the process, the market as a whole saw a change in the profile of issuers, as non-financial firms increasingly sought their funding directly from the bond market. This thesis consists of three separate empirical studies on how corporates fund themselves on the European debt capital markets. The analysis focuses on a firm’s access to and behaviour on the capital market, subsequent the decision to raise capital through the issuance of arm’s length debt on the bond market. The specific areas considered are contributing to our knowledge in the fields of corporate finance and financial markets by considering explicitly firms’ primary market activities within the new market area. The first essay explores how reputation of an issuer affects its debt issuance. Essay two examines the choice of interest rate exposure on newly issued debt and the third and final essay explores pricing anomalies on corporate debt issues.
Angel Investing in Finland: An Analysis Based on Agency Theory and the Incomplete Contracting Theory
Resumo:
Wealthy individuals - business angels who invest a share of their net worth in entrepreneurial ventures - form an essential part of an informal venture capital market that can secure funding for entrepreneurial ventures. In Finland, business angels represent an untapped pool of capital that can contribute to fostering entrepreneurial development. In addition, business angels can bridge knowledge gaps in new business ventures by means of making their human capital available. This study has two objectives. The first is to gain an understanding of the characteristics and investment behaviour of Finnish business angels. The strongest focus here is on the due diligence procedures and their involvement post investment. The second objective is to assess whether agency theory and the incomplete contacting theory are useful theoretical lenses in the arena of business angels. To achieve the second objective, this study investigates i) how risk is mitigated in the investment process, ii) how uncertainty influences the comprehensiveness of due diligence as well as iii) how control is allocated post investment. Research hypotheses are derived from assumptions underlying agency theory and the incomplete contacting theory. The data for this study comprise interviews with 53 business angels. In terms of sample size this is the largest on Finnish business angels. The research hypotheses in this study are tested using regression analysis. This study suggests that the Finnish informal venture capital market appears to be comprised of a limited number of business angels whose style of investing much resembles their formal counterparts’. Much focus is placed on managing risks prior to making the investment by strong selectiveness and by a relatively comprehensive due diligence. The involvement is rarely on a day-to-day basis and many business angels seem to see board membership as a more suitable alternative than involvement in the operations of an entrepreneurial venture. The uncertainty involved does not seem to drive an increase in due diligence. On the contrary, it would appear that due diligence is more rigorous in safer later stage investments and when the business angels have considerable previous experience as investors. Finnish business angels’ involvement post investment is best explained by their degree of ownership in the entrepreneurial venture. It seems that when investors feel they are sufficiently rewarded, in terms of an adequate equity stake, they are willing to involve themselves actively in their investments. The lack of support for a relationship between increased uncertainty and the comprehensiveness of due diligence may partly be explained by an increasing trend towards portfolio diversification. This is triggered by a taxation system that favours investments through investment companies rather than direct investments. Many business angels appear to have substituted a specialization strategy that builds on reducing uncertainty for a diversification strategy that builds on reducing firm specific (idiosyncratic) risk by holding shares in ventures whose returns are not expected to exhibit a strong positive correlation.
Resumo:
The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.
Resumo:
The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.
Resumo:
The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.
Resumo:
The purpose of this study was to deepen the understanding of market segmentation theory by studying the evolution of the concept and by identifying the antecedents and consequences of the theory. The research method was influenced by content analysis and meta-analysis. The evolution of market segmentation theory was studied as a reflection of evolution of marketing theory. According to this study, the theory of market segmentation has its roots in microeconomics and it has been influenced by different disciplines, such as motivation research and buyer behaviour theory. Furthermore, this study suggests that the evolution of market segmentation theory can be divided into four major eras: the era of foundations, development and blossoming, stillness and stagnation, and the era of re-emergence. Market segmentation theory emerged in the mid-1950’s and flourished during the period between mid-1950’s and the late 1970’s. During the 1980’s the theory lost its interest in the scientific community and no significant contributions were made. Now, towards the dawn of the new millennium, new approaches have emerged and market segmentation has gained new attention.
Resumo:
We examine the potential for adaptation to climate change in Indian forests, and derive the macroeconomic implications of forest impacts and adaptation in India. The study is conducted by integrating results from the dynamic global vegetation model IBIS and the computable general equilibrium model GRACE-IN, which estimates macroeconomic implications for six zones of India. By comparing a reference scenario without climate change with a climate impact scenario based on the IPCC A2-scenario, we find major variations in the pattern of change across zones. Biomass stock increases in all zones but the Central zone. The increase in biomass growth is smaller, and declines in one more zone, South zone, despite higher stock. In the four zones with increases in biomass growth, harvest increases by only approximately 1/3 of the change in biomass growth. This is due to two market effects of increased biomass growth. One is that an increase in biomass growth encourages more harvest given other things being equal. The other is that more harvest leads to higher supply of timber, which lowers market prices. As a result, also the rent on forested land decreases. The lower prices and rent discourage more harvest even though they may induce higher demand, which increases the pressure on harvest. In a less perfect world than the model describes these two effects may contribute to an increase in the risk of deforestation because of higher biomass growth. Furthermore, higher harvest demands more labor and capital input in the forestry sector. Given total supply of labor and capital, this increases the cost of production in all the other sectors, although very little indeed. Forestry dependent communities with declining biomass growth may, however, experience local unemployment as a result.
Resumo:
We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.