New empirical evidence on the bid-ask spread

In this article, we model the determinants of spread for 734 firms listed on the NYSE over the period 1 January 1998 to 31 December 2008. We propose a panel data model of the determinants of spread. There are four main messages emerging from our work. We find a statistically significant effect of volume on spread inconsistent with the work of Johnson (2008). On price, we find mixed results, consistent with the literature. On the effect of price volatility on spread, our results are completely the opposite of the cross-sectional literature but sides with the relatively recent work of Chordia et al. (2001). We allow for persistence of spread as a determinant of spread and find significant evidence of spread persistence across all 16 sectors. Finally, we examine size effects and find statistically strong evidence of size effects based on the relationship between price and spread, persistence and spread, and volatility and spread.

Call auction transparency and market liquidity: Evidence from China

This paper uses the natural experiment offered by the Shanghai Stock Exchange to investigate the impact of opening call auction transparency on market liquidity. We find that the dissemination of indicative trade information during the pre-open call auction session leads to an overall improvement in stock liquidity in the continuous trading session. Bid-ask spreads narrow in the first trading hour because adverse selection risk fell significantly and there is less price volatility in the continuous market. This effect is greater for actively traded securities than illiquid securities. Our findings are robust for different lengths of sample period, different lengths of trading hours after market open, and stocks that had (and had not) reformed the share split structure during our research period.

No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by the return-chasing behaviour of investors during bull markets. We also find that volatility increases after stock price declines in bear markets. After controlling for liquidity shifts, we observe similar patterns in volatility in both bull and bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in the Chinese stock market.

Stock price comovement: Evidence from India

We examine the extent to which stock prices comove in an emerging economy, India. We first document that stocks listed on the National Stock Exchange (NSE) comove. Further, we find that synchronicity is positively associated with growth and earnings volatility and negatively associated with business group affiliation and leverage.

Field evaluation of melolure, a formate analogue of cuelure, and reassessment of fruit fly species trapped in Sydney, New South Wales, Australia

In Australia, tephritids are usually attracted to either cuelure or methyl eugenol. Methyl eugenol is a very effective lure, but cuelure is less effective likely due to low volatility. A new formate analogue of cuelure, melolure, has increased volatility, resulting in improved efficacy with the melon fruit fly, Bactrocera cucurbitae Coquillett. We tested the efficacy of melolure with fruit fly species in Sydney as part of the National Exotic Fruit Fly Monitoring programme. This monitoring programme has 71 trap sites across Sydney, with each trap site comprising separate Lynfield traps containing either cuelure, methyl eugenol, or capilure lure. In 2008, an additional Lynfield trap with melolure plugs was added to seven sites. In 2009 and 2010, an additional Lynfield trap with melolure wicks was added to 11 trap sites and traps were monitored fortnightly for 2 yr. Capture rates for melolure traps were similar to cuelure traps for Dacus absonifacies (May) and Dacus aequalis (Coquillet), but melolure traps consistently caught fewer Bactrocera tryoni (Froggatt) than cuelure traps. However, trap sites with both a cuelure and melolure traps had increased capture rates for D. absonifacies and D. aequalis, and a marginally significant increase for B. tryoni. Melolure plugs were less effective than melolure wicks, but this effect may be related to lure concentration. The broader Bactrocera group species were attracted more to cuelure than melolure while the Dacus group species were attracted more to melolure than cuelure. There is no benefit in switching from cuelure to melolure to monitor B. tryoni, the most important fruit fly pest in Australia.

Asymmetric risk and return: evidence from the Australian Stock Exchange

This paper examines volatility asymmetry in a financial market using a stochastic volatility framework. We use the MCMC method for model estimations. There is evidence of volatility asymmetry in the data. Our asymmetric stochastic volatility in mean model, which nests both asymmetric stochastic volatility (ASV) and stochastic volatility in mean models (SVM), indicates ASV sufficiently captures the risk-return relationship; therefore, augmenting it with volatility in mean does not improve its performance. ASV fits the data better and yields more accurate out-of-sample forecasts than alternatives. We also demonstrate that asymmetry mainly emanates from the systematic parts of returns. As a result, it is more pronounced at the market level and the volatility feedback effect dominates the leverage effect.

The political economy of development in a globalizing world

The topics in this issue include the political economy of economic reforms, privatization and labor, structural change and growth, democracy and policy volatility, the role of trade intermediaries in the avoidance of export taxes, and the impact of the middle class on democratization and the international propagation of democratic values.

Family physician preceptors' conceptualizations of health advocacy: implications for medical education

PURPOSE: Despite its official acceptance as an important physician responsibility, health advocacy remains difficult to define, teach, role model, and assess. The aim of the current study was to explore physicians' conceptions of health advocacy based on their experience with health-advocacy-related activities. METHOD: In 2012, the authors conducted 11 semistructured interviews with family physician clinical preceptors and analyzed the interviews in the tradition of phenomenography. RESULTS: The authors identified three distinct but related ways of understanding health advocacy: (1) Clinical: Health advocacy as support of individual patients in addressing health care needs related to the immediate clinical problem within the health care system, (2) Paraclinical: Health advocacy as support of individual patients in addressing needs that the physician preceptors viewed as peripheral yet parallel to both the health care system and the immediate clinical problem, and (3) Supraclinical: Health advocacy as population-based activities aimed at practice- and system-level changes that address the social determinants of health. CONCLUSIONS: The qualitatively different understandings of health advocacy shed light on why current approaches to defining, teaching, role modeling, and assessing health advocacy competencies in medical education appear idiosyncratic. The authors suggest the development of an inclusive and extensive conceptual framework that may allow the medical education community to imagine novel ways of understanding and engaging in health advocacy.

Executive equity risk-taking incentives and audit pricing

Using a large sample of U.S. firms spanning the period 2000-2010, we document a strong positive association between the sensitivity of CEO compensation portfolio to stock return volatility (vega) and audit fees. We also show that the positive association between vega and audit fees is weaker in the post-Sarbanes-Oxley Act (SOX) period. In supplementary tests, we show that the relation between vega and audit fees is stronger for firms with older CEOs and in firms where the CEO is also chairman of the board. Collectively, our results suggest that audit firms incorporate executive risktaking incentives in the fees they charge for their services.

Effects of multiple disturbance processes on arboreal vertebrates in Eastern Australia: implications for management

Habitat loss and invasive predators increasingly threaten global biodiversity. Here we use a landscape-scale experimental approach to explore the individual and synergistic effects of logging and an invasive predator, the red fox Vulpes vulpes on two common native arboreal vertebrates (a predator and prey species) in south-eastern Australia. We used site occupancy methods to evaluate different models evaluating the effects of site specific forest logging disturbance, lethal fox baiting and forest structural elements for explaining variation in site occupancy of a large monitor lizard Varanus varius, and a marsupial prey, the common ringtail possum Pseudocheirus peregrinus across a complex forest landscape. Site occupancy of ringtail possum was influenced by habitat resources and the structural complexity of forest, which indirectly mediated predation risk. Presence of fox baiting had no direct effect on the ringtail site occupancy. In contrast, access to prey resources and fox baiting appeared to best explain site occupancy variation in monitor lizards across the landscape. While these species are affected primarily by separate disturbances, synergistic interactions between the processes may intensify their effects. Our results demonstrate that species susceptibility to disturbance processes are highly idiosyncratic. This approach makes efficient use of integrated modelling to aid conservation management at both local and landscape levels.

Um modelo de competição baseada em tempo nos mercados financeiros

O objetivo deste trabalho é modelar o comportamento estratégico dos indivíduos diante de um choque estocástico que desloca o preço de determinado ativo financeiro do seu equilíbrio inicial. Investiga-se o caminho do preço de mercado em direção ao novo equilíbrio, conduzido pelas sucessivas negociações dos agentes em busca de oportunidades de obter lucros imediatos. Os operadores, que por suposição possuem funções de utilidade avessas ao risco, devem escolher a quantidade ótima transacionada e quanto devem aguardar para executar as suas ordens, tendo em vista a diminuição da volatilidade do preço do ativo à medida que as transações se sucedem após o choque. Procura-se demonstrar que os operadores que aceitam incorrer em riscos mais elevados negociam com maior frequência e em volumes e velocidades maiores, usufruindo lucros esperados mais altos que os demais.

The trasition from fixed to floating exchange rate regimes: the case of Brazil

This dissertation evaluates macroeconomic management in Brazil from 1994 to the present, with particular focus on exchange rate policy. It points out that while Brazil's Real Plan succeeded in halting the hyperinflation that had reached more than 2000 percent in 1993, it also caused significant real appreciation of the exchange rate situation that was only made worse by the extremely high interest rates and ensuing bout of severe financial crises in the intemational arena. By the end of 1998, the accumulation of internai and externai imbalances led the authorities to drop foreign exchange controls and allow the currency to float. In spite of some initial scepticism, the flexible rate regime cum inflation target proved to work well. Inflation was kept under control; the current account position improved significantly, real interest rates fell and GDP growth resumed. Thus, while great challenges still lie ahead, the recent successes bestow some optimism on the well functioning of this exchange rate regime. The Brazilian case suggests that successful transition from one foreign exchange system to another, particularly during financial crisis, does not depend only on one variable be it fiscal or monetary. In reality, it depends on whole set of co-ordinated policies aimed at resuming price stability with as little exchange rate and output volatility as possible.

Nonparametric specification tests for conditional duration models

This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.

Foreign direct investment spillovers in Portugal: additional lessons from a country study

This paper investigates the impact of FDI on the productivity of Portuguese manufacturing sectors. Model specification is improved by considering the choice of the most appropriate interval of the technological gap for spillovers diffusion. We also allow for sectoral variation in the coefficients of the spillover effect; idiosyncratic sectoral factors are identified by means of a fixed effects model. Inter-sectoral positive spillover effects are examined. Significant spillovers require a proper technological differential between foreign and domestic producers and favourable sectoral characteristics. They may occur in modern industries in which the foreign firms have a clear, but not too sharp, edge on the domestic ones. Agglomeration effects are also one pertinent specific influence.