The effects of ownership and stock liquidity on the timing of repurchase transactions

We analyze detailed monthly data on U.S. open market stock repurchases (OMRs) that recently became available following stricter disclosure requirements. We find evidence that OMRs are timed to benefit non-selling shareholders. We present evidence that the profits to companies from timing repurchases are significantly related to ownership structure. Institutional ownership reduces companies' opportunities to repurchase stock at bargain prices. At low levels, insider ownership increases timing profits and at high levels it reduces them. Stock liquidity increases profits from timing OMRs.

Stock repurchases and treasury share sales:do they stabilize price and enhance liquidity?

Can companies reduce the volatility and increase the liquidity of their stocks by trading them? In the context of the Italian stock market, where companies have far more leeway to sell as well as buy their own stocks than in the U.S., the answer is yes. We examine the effects of trading (open-market share repurchases and treasury shares sales) on liquidity (bid–ask spread) and volatility (return variance). Further, we examine the impact of shareholder approvals of repurchase programs on liquidity and volatility. We find clear evidence that trading increases liquidity and reduces volatility. These results are consistent with our analysis of the motives Italian companies give for making share repurchases.

Illiquidity shocks and the comovement between stocks:new evidence using smooth transition

This paper extends the smooth transition conditional correlation model by studying for the first time the impact that illiquidity shocks have on stock market return comovement. We show that firms that experience shocks that increase illiquidity are less liquid than firms that experience shocks that decrease illiquidity. Shocks that increase illiquidity have no statistical impact on comovement. However, shocks that reduce illiquidity lead to a fall in comovement, a pattern that becomes stronger as the illiquidity of the firm increases. This discovery is consistent with increased transparency and an improvement in price efficiency. We find that a small number of firms experience a double illiquidity shock. For these firms, at the first shock, a rise in illiquidity reduces comovement while a fall in illiquidity raises comovement. The second shock partly reverses these changes as a rise in illiquidity is associated with a rise in comovement and a fall in illiquidity is associated with a fall in comovement. These results have important implications for portfolio construction and also for the measurement and evolution of market beta and the cost of capital as it suggests that investors can achieve higher returns for the same amount of market risk because of the greater diversification benefits that exist. We also find that illiquidity, friction, firm size and the pre-shock correlation are all associated with the magnitude of the correlation change. © 2013 Elsevier B.V.

New insights in the moderating effect of switching costs on the satisfaction-repurchase behavior link

Existing studies on the role of switching costs (SC) as moderator of the relationship between satisfaction and repurchase behavior are inconclusive. We attempt to explain these inconclusive findings by synthesizing an amplifying and a lock-in effect, and hypothesize a nonlinear moderating effect. In Study 1 (a main study and three replications), we find strong evidence for an inverted u-shaped moderating effect of overall SC. Our results suggest that satisfaction is a particularly important predictor of repurchase behavior in situations characterized by medium-levels of SC. Based on Prospect Theory, Study 2 (a main study and one replication) reveals that this inverted u-shaped moderating effect of SC is stronger for positive (relational and financial) SC than for negative (procedural) SC. We conclude with recommendations for satisfaction management of different customer segments, and describe possibilities to influence customer switching costs in various industries. © 2014 New York University.

The forecast performance of competing implied volatility measures:the case of individual stocks

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor implied volatil- ity (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.

Standing stocks and carbon isotopes of live benthic foraminifera from the South Atlantic

Live (Rose Bengal stained) and dead benthic foraminifera of surface and subsurface sediments from 25 stations in the eastern South Atlantic Ocean and the Atlantic sector of the Southern Ocean were analyzed to decipher a potential influence of seasonally and spatially varying high primary productivity on the stable carbon isotopic composition of foraminiferal tests. Therefore, stations were chosen so that productivity strongly varied, whereas conservative water mass properties changed only little. To define the stable carbon isotopic composition of dissolved inorganic carbon (d13CDIC) in ambient water masses, we compiled new and previously published d13CDIC data in a section running from Antarctica through Agulhas, Cape and Angola Basins, via the Guinea Abyssal Plain to the Equator. We found that intraspecific d13C variability of all species at a single site is constantly low throughout their distribution within the sediments, i.e. species specific and site dependent mean values calculated from all subbottom depths on average only varied by +/-0.09 per mil. This is important because it makes the stable carbon isotopic signal of species independent of the particular microhabitat of each single specimen measured and thus more constant and reliable than has been previously assumed. So-called vital and/or microhabitat effects were further quantified: (1) d13C values of endobenthic Globobulimina affinis, Fursenkoina mexicana, and Bulimina mexicana consistently are by between -1.5 and -1.0 per mil VPDB more depleted than d13C values of preferentially epibenthic Fontbotia wuellerstorfi, Cibicidoides pachyderma, and Lobatula lobatula. (2) In contrast to the Antarctic Polar Front region, at all stations except one on the African continental slope Fontbotia wuellerstorfi records bottom water d13CDIC values without significant offset, whereas L. lobatula and C. pachyderma values deviate from bottom water values by about -0.4 per mil and -0.6 per mil, respectively. This adds to the growing amount of data on contrasting cibicid d13C values which on the one hand support the original 1:1-calibration of F. wuellerstorfi and bottom water d13CDIC, and on the other hand document severe depletions of taxonomically close relatives such as L. lobatula and C. pachyderma. At one station close to Bouvet Island at the western rim of Agulhas Basin, we interpret the offset of -1.5 per mil between bottom water d13CDIC and d13C values of infaunal living Bulimina aculeata in contrast to about -0.6 +/- 0.1 per mil measured at eight stations close-by, as a direct reflection of locally increased organic matter fluxes and sedimentation rates. Alternatively, we speculate that methane locally released from gas vents and related to hydrothermal venting at the mid-ocean ridge might have caused this strong depletion of 13C in the benthic foraminiferal carbon isotopic composition. Along the African continental margin, offsets between deep infaunal Globobulimina affinis and epibenthic Fontbotia wuellerstorfi as well as between shallow infaunal Uvigerina peregrina and F. wuellerstorfi, d13C values tend to increase with generally increasing organic matter decomposition rates. Although clearly more data are needed, these offsets between species might be used for quantification of biogeochemical paleogradients within the sediment and thus paleocarbon flux estimates. Furthermore, our data suggest that in high-productivity areas where sedimentary carbonate contents are lower than 15 weight %, epibenthic and endobenthic foraminiferal d13C values are strongly influenced by 13C enrichment probably due to carbonate-ion undersaturation, whereas above this sedimentary carbonate threshold endobenthic d13C values reflect depleted pore water d13CDIC values.

Again on the enforceable chart of don Francisco Pizarro: the arrival of American gold stocks to Spain (1536-1553)

Besides researching the last goal of the execution of a trial between Francisco Pizarro, governor of Peru, and his mandatory, Pedro de Barrantes on behalf of the gold sent to Spain, the present work reviews all the data found in the Archives of the Grenade Chancellery on the arrival of gold to Spain. Also, a curious trial on a subject of Preste Juan is included.

Fisheries stocks from an ecological perspective: Disentangling ecological connectivity from genetic interchange

The concept of a stock of fish as a management unit has been around for well over a hundred years, and this has formed the basis for fisheries science. Methods for delimiting stocks have advanced considerably over recent years, including genetic, telemetric, tagging, geochemical and phenotypic information. In parallel with these developments, concepts in population ecology such as meta-population dynamics and connectivity have advanced. The pragmatic view of stocks has always accepted some mixing during spawning, feeding and/or larval drift. Here we consider the mismatch between ecological connectivity of a matrix of populations typically focussed on demographic measurements, and genetic connectivity of populations that focus on genetic exchange detected using modern molecular approaches. We suggest that from an ecological-connectivity perspective populations can be delimited as management units if there is limited exchange during recruitment or via migration in most years. From a genetic-connectivity perspective such limited exchange can maintain panmixia. We use case-studies of species endangered by overexploitation and/or habitat degradation to show how current methods of stock delimitation can help in managing populations and in conservation.

Fisheries stocks from an ecological perspective: Disentangling ecological connectivity from genetic interchange

The concept of a stock of fish as a management unit has been around for well over a hundred years, and this has formed the basis for fisheries science. Methods for delimiting stocks have advanced considerably over recent years, including genetic, telemetric, tagging, geochemical and phenotypic information. In parallel with these developments, concepts in population ecology such as meta-population dynamics and connectivity have advanced. The pragmatic view of stocks has always accepted some mixing during spawning, feeding and/or larval drift. Here we consider the mismatch between ecological connectivity of a matrix of populations typically focussed on demographic measurements, and genetic connectivity of populations that focus on genetic exchange detected using modern molecular approaches. We suggest that from an ecological-connectivity perspective populations can be delimited as management units if there is limited exchange during recruitment or via migration in most years. From a genetic-connectivity perspective such limited exchange can maintain panmixia. We use case-studies of species endangered by overexploitation and/or habitat degradation to show how current methods of stock delimitation can help in managing populations and in conservation.

Modèle de gestion des stocks dans le cas de deux à trois entrepôts

Cette recherche est motivée par un cas d’étude ou on doit déterminer le nombre de pièces à tenir en stock à chaque base (noeud du réseau) pour répondre à la demande au niveau de chaque noeud. Si le niveau du stock par mois est suffisant, la demande est satisfaite directement par son stock local, sinon on fait appel au transfert latéral. D’ailleurs, nos expériences numériques indiquent que l’inclusion des transbordements latéraux dans des décisions d’inventaire est avantageuse. Cet effet est plus grand pour des taux de demandes et des coûts latéraux, élevés. Les résultats d’une étude de cas théorique basée sur les travaux de (Tagaras 1989) confirment nos résultats.

Metodologias de planeamento e gestão de stocks numa empresa vinícola

O planeamento e gestão de stocks assume uma enorme relevância no contexto empresarial para que se possa responder de forma eficaz às flutuações do mercado e, consequentemente aumentar a produtividade e competitividade da empresa. O presente estudo foi desenvolvido numa empresa do setor vitivinícola português e tem como objetivo estudar os processos de gestão de stocks da mesma, de forma a melhorar os seus resultados operacionais. Mais especificamente, pretende-se elaborar um plano de gestão de stocks para que se possam definir políticas que se adequem a cada produto de forma a evitar quebras de stocks. Para alcançar os objetivos, considerou-se a seguinte metodologia: (1) análise da procura de produtos; (2) perceber de que forma se comporta a procura ao longo do ano; (3) definição do tipo de política de planeamento a ser adotada para cada grupo de produtos; (4) cálculo das quantidades de stock a produzir e o intervalo de tempo entre cada produção e (5) verificação da operacionalidade do plano de intervenção de modo a melhorar o planeamento da produção. As propostas de intervenção passaram pela implementação de políticas de gestão de stocks, nomeadamente a política de ponto de encomenda e a política de revisão cíclica. Passaram também pelo estudo da sazonalidade das vendas dos diferentes tipos de vinho de forma a facilitar o planeamento da preparação de espumantes. Embora as propostas não tenham sido postas em prática, são discutidas as vantagens e desvantagens das mesmas, bem como apresentadas propostas de melhoria.

Modélisation de l'évolution hydroclimatique des flux et stocks d'eau verte et d'eau bleue du bassin versant de la Garonne

La gestion intégrée de la ressource en eau implique de distinguer les parcours de l’eau qui sont accessibles aux sociétés de ceux qui ne le sont pas. Les cheminements de l’eau sont nombreux et fortement variables d’un lieu à l’autre. Il est possible de simplifier cette question en s’attardant plutôt aux deux destinations de l’eau. L’eau bleue forme les réserves et les flux dans l’hydrosystème : cours d’eau, nappes et écoulements souterrains. L’eau verte est le flux invisible de vapeur d’eau qui rejoint l’atmosphère. Elle inclut l’eau consommée par les plantes et l’eau dans les sols. Or, un grand nombre d’études ne portent que sur un seul type d’eau bleue, en ne s’intéressant généralement qu’au devenir des débits ou, plus rarement, à la recharge des nappes. Le portrait global est alors manquant. Dans un même temps, les changements climatiques viennent impacter ce cheminement de l’eau en faisant varier de manière distincte les différents composants de cycle hydrologique. L’étude réalisée ici utilise l’outil de modélisation SWAT afin de réaliser le suivi de toutes les composantes du cycle hydrologique et de quantifier l’impact des changements climatiques sur l’hydrosystème du bassin versant de la Garonne. Une première partie du travail a permis d’affiner la mise en place du modèle pour répondre au mieux à la problématique posée. Un soin particulier a été apporté à l’utilisation de données météorologiques sur grille (SAFRAN) ainsi qu’à la prise en compte de la neige sur les reliefs. Le calage des paramètres du modèle a été testé dans un contexte differential split sampling, en calant puis validant sur des années contrastées en terme climatique afin d’appréhender la robustesse de la simulation dans un contexte de changements climatiques. Cette étape a permis une amélioration substantielle des performances sur la période de calage (2000-2010) ainsi que la mise en évidence de la stabilité du modèle face aux changements climatiques. Par suite, des simulations sur une période d’un siècle (1960-2050) ont été produites puis analysées en deux phases : i) La période passée (1960-2000), basée sur les observations climatiques, a servi de période de validation à long terme du modèle sur la simulation des débits, avec de très bonnes performances. L’analyse des différents composants hydrologiques met en évidence un impact fort sur les flux et stocks d’eau verte, avec une diminution de la teneur en eau des sols et une augmentation importante de l’évapotranspiration. Les composantes de l’eau bleue sont principalement perturbées au niveau du stock de neige et des débits qui présentent tous les deux une baisse substantielle. ii) Des projections hydrologiques ont été réalisées (2010-2050) en sélectionnant une gamme de scénarios et de modèles climatiques issus d’une mise à l’échelle dynamique. L’analyse de simulation vient en bonne part confirmer les conclusions tirées de la période passée : un impact important sur l’eau verte, avec toujours une baisse de la teneur en eau des sols et une augmentation de l’évapotranspiration potentielle. Les simulations montrent que la teneur en eau des sols pendant la période estivale est telle qu’elle en vient à réduire les flux d’évapotranspiration réelle, mettant en évidence le possible déficit futur des stocks d’eau verte. En outre, si l’analyse des composantes de l’eau bleue montre toujours une diminution significative du stock de neige, les débits semblent cette fois en hausse pendant l’automne et l’hiver. Ces résultats sont un signe de l’«accélération» des composantes d’eau bleue de surface, probablement en relation avec l’augmentation des évènements extrêmes de précipitation. Ce travail a permis de réaliser une analyse des variations de la plupart des composantes du cycle hydrologique à l’échelle d’un bassin versant, confirmant l’importance de prendre en compte toutes ces composantes pour évaluer l’impact des changements climatiques et plus largement des changements environnementaux sur la ressource en eau.

Stratégie de gestion de stocks dans un réseau collaboratif

Le contenu de ce mémoire traite du problème de gestion des stocks dans un réseau constitué de plusieurs sites de stockage de produits. Chaque site i gère son stock de manière autonome pour satisfaire une demande déterministe sur un horizon donné. Un stock maximum Si est tenu à chaque site i. Lorsque le point de commande si est atteint, une commande de taille Qi est placée au centre de distribution qui alimente tous les sites. Qi est telle que Qi = Si - si. La quantité Qi est livrée dans un délai connu Li. Si, à un instant donné, la demande Di au site i excède la quantité en main, le site i fait appel à un ou à plusieurs autres sites du réseau pour le transfert d’une quantité Xji (j = 1, 2, …, n). Ce transfert s’effectue selon un certain nombre de règles de jeu qui tiennent compte des coûts de transfert, de stockage, d’approvisionnement et de pénurie. Ce mémoire examine six principales contributions publiées dans la littérature pour évaluer les contributions d’un modèle collaboratif aux performances, en termes de coûts et de niveau de service, de chaque site du réseau. Cette investigation se limite à une configuration du réseau à deux échelons : un entrepôt central et n (n > 2) sites de stockage. Le cas des pièces de rechange, caractérisé par une demande aléatoire, est examiné dans trois chapitres de ce mémoire. Une autre application de ces stratégies à la collaboration entre n centres hospitaliers (n > 2) est également examinée dans ce travail.