Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.

The Perils of Moviegoing in America, 1896-1950

The Perils of Moviegoing in America is a film history that examines the various physical and (perceived) moral dangers facing audiences during the first fifty years of film exhibition.

Chapter 1: “Conflagration”
As early as 1897, a major fire broke out at a film exhibition in San Francisco, with flames burning the projectionist and nearby audience members. From that point until the widespread adoption of safety stock in 1950, fires were a very common movie-going experience. Hundreds of audience members lost their lives in literally thousands of theatre fires, ranging from early nickelodeons to the movie palaces of the thirties and forties.

Chapter 2: “Thieves Among Us”
Bandits robbed movie theatres on hundreds of occasions from the early days of film exhibition through the end of the Great Depression. They held up ticket booths, and they dynamited theatre safes. They also shot theatre managers, ushers, and audience members, as a great many of the robberies occurred while movies were playing on the screens inside.

Chapter 3: “Bombs Away”
Bombings at movie theatres became common in small towns and large cities on literally hundreds of occasions from 1914 to the start of World War II. Some were incendiary bombs, and some were stench bombs; both could be fatal, whether due to explosions or to the trampling of panicked moviegoers

Chapter 4: “It’s Catching”
Widespread movie-going in the early 20th century provoked an outcry from numerous doctors and optometrists who believed that viewing films could do irreparable harm to the vision of audience members. Medical publications (including the Journal of the American Medical Association) published major studies on this perceived problem, which then filtered into popular-audience magazines and newspapers.

Chapter 5: “The Devil’s Apothecary Shops”
Sitting in the dark with complete strangers proved worrisome for many early filmgoers, who had good reason to be concerned. Darkness meant that prostitutes could easily work in the balconies of some movie theatres, as could “mashers” who molested female patrons (and sometimes children) after the lights were dimmed. That was all in addition to the various murderers who used the cover of darkness to commit their crimes at movie theatres.

Chapter 6: “Blue Sundays”
Blue laws were those regulations that prohibited businesses from operating on Sundays. Most communities across the US had such legislation on their books, which by the nickelodeon era were at odds with the thousands of filmgoers who went to the movies every Sunday. Theatre managers were often arrested, making newspaper headlines over and over again. Police sometimes even arrested entire film audiences as accomplices in the Blue Law violations.

Chapter 7: “Something for Nothing”
In an effort to bolster ticket sales, many movie theatres in the 1910s began to hold lotteries in which lucky audience members won cash prizes; by the time of the Great Depression, lotteries like “Bank Night” became a common aspect of the theatre-going enterprise. However, reception studies have generally overlooked the intense (and sometimes coordinated) efforts by police, politicians, and preachers to end this practice, which they viewed as illegal and immoral gambling.

China's Sovereign Wealth Funds: Problem or Panacea?

China’s impressive economic growth has led to the accumulation of massive financial assets. The emergence of sovereign wealth funds (SWFs), as a governmental investment device for its excessive foreign reserves, symbolizes a major rebalancing of economic power. With its investment portfolios drastically diversified for well-established financial institutions as well as some strategic sectors, a seminal debate seems centered on whether China’s SWFs are in furtherance of purely commercial or geopolitically strategic purposes. Under the sophisticated hard laws associated with international initiatives, it is unlikely that the SWFs-related investment would distort the global financial system, and genuinely threaten national security, which assumption may only exist at a hypothetical level. The potential protectionism would inevitably retard the world economy’s recovery, were it not to be proportionately addressed. A most significant necessity appears to be to strike a proportionate balance between sustaining the credibility of open investment environment and efficiently minimizing implications of SWFs political arenas.

Dynamic pricing model and algorithm for perishable products with fuzzy demand (ABS 2* Journal)

This paper studies the dynamic pricing problem of selling fixed stock of perishable items over a finite horizon, where the decision maker does not have the necessary historic data to estimate the distribution of uncertain demand, but has imprecise information about the quantity demand. We model this uncertainty using fuzzy variables. The dynamic pricing problem based on credibility theory is formulated using three fuzzy programming models, viz.: the fuzzy expected revenue maximization model, a-optimistic revenue maximization model, and credibility maximization model. Fuzzy simulations for functions with fuzzy parameters are given and embedded into a genetic algorithm to design a hybrid intelligent algorithm to solve these three models. Finally, a real-world example is presented to highlight the effectiveness of the developed model and algorithm.

Rule Britannia!: British Stock Market Returns, 1825-1870

This article presents a new series of monthly equity returns for the British stock market for the period 1825-1870. In addition to calculating capital appreciation and dividend yields, the article also estimates the effect of survivorship bias on returns. Three notable findings emerge from this study. First, stock market returns in the 1825-1870 period are broadly similar for Britain and the United States, although the British market is less risky. Second, real returns in the 1825-1870 period are higher than in subsequent epochs of British history. Third, unlike the modern era, dividends are the most important component of returns.

The rate of return on equity across industrial sectors on the British stock market, 1825-70

This article assesses the contribution of the various industrial sectors to the growth of the British equity market in the 1825–70 period. It also provides estimates of the rates of return on these industrial sectors in this period. The article then proceeds to examine whether differences in rates of return across the various sectors can be explained by risk or other financial factors. One of the main findings is that the relatively high rates of return in the banking, insurance, and miscellaneous sectors appear to be in some measure explained by the presence of extended liability and uncalled capital.