			Home About us Contact

Price Difference (price + difference)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	83%

Selected Abstracts

Price and Volume Behavior around the Ex-dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks,

INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2008
AELEE JUN
ABSTRACT Australian residents are tax-advantaged, relative to American investors, in their access to imputation tax credits on Australian stocks. This paper provides evidence consistent with a difference in dividend valuations between Australian stocks and their American Depositary Receipts (ADRs). The ex-dividend drop-off ratio is lower for ADRs relative to their underlying Australian stocks and this difference is most pronounced for stocks that have imputation tax credits and high dividend yields. Consistent with dividend capture trading in the Australian market, the difference in drop-off ratios is driven by both temporarily higher Australian cum-prices and temporarily lower Australian ex-prices. Abnormal trading volume about the ex-day is present in both markets and in the Australian market the abnormal volume is greater for dividends with imputation tax credits. Dividend-related trading leads to price differences across the markets on the ex-dividend day. Price differences are also observed when the stock and the ADR trade with different dividend entitlements due to different ex-dividend dates. [source]

The Value of Remanufactured Engines: Life-Cycle Environmental and Economic Perspectives

JOURNAL OF INDUSTRIAL ECOLOGY, Issue 1-2 2004
Vanessa M. Smith
Remanufacturing restores used automotive engines to like-new condition, providing engines that are functionally equivalent to a new engine at much lower environmental and economic costs than the manufacture of a new engine. A life-cycle assessment (LCA) model was developed to investigate the energy savings and pollution prevention that are achieved in the United States through remanufacturing a midsized automotive gasoline engine compared to an original equipment manufacturer manufacturing a new one. A typical full-service machine shop, which is representative of 55% of the engine remanufacturers in the United States, was inventoried, and three scenarios for part replacement were analyzed. The life-cycle model showed that the remanufactured engine could be produced with 68% to 83% less energy and 73% to 87% fewer carbon dioxide emissions. The life-cycle model showed significant savings for other air emissions as well, with 48% to 88% carbon monoxide (CO) reductions, 72% to 85% nitrogen oxide (NOx) reductions, 71% to 84% sulfur oxide (SOx) reductions, and 50% to 61% nonmethane hydrocarbon reductions. Raw material consumption was reduced by 26% to 90%, and solid waste generation was reduced by 65% to 88%. The comparison of environmental burdens is accompanied by an economic survey of suppliers of new and remanufactured automotive engines showing a price difference for the consumer of between 30% and 53% for the remanufactured engine, with the greatest savings realized when the remanufactured engine is purchased directly from the remanufacturer. [source]

ADVERSE SELECTION IN ELECTRONIC MARKETS: EVIDENCE FROM ONLINE STAMP AUCTIONS

THE JOURNAL OF INDUSTRIAL ECONOMICS, Issue 4 2004
Sanjeev Dewan
We analyze adverse selection costs in online stamp auctions, based on a comparison of prices on eBay with those of matched stamps at a specialty stamps auction site in the U.S., Michael Rogers, Inc. (MR), which we know a priori has low quality uncertainty. We find that buyer prices are 10,15% lower on eBay as compared to MR, and the price difference, increases with the value of the stamps. Consistent with this adverse selection discount we find that the seller reputation mechanism on eBay has an economically modest, although statistically significant, effect on auction price and probability of sale. [source]

Strip Bonds and Arbitrage Bounds

CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES, Issue 2 2000
Paul Halpern
If the price of a coupon bond is sufficiently different from the sum of the prices of its stripped components, arbitrage trades between the two will be profitable. We estimate the size of the price difference between the prices of a coupon bond and a replicating package of strip bonds. When the price of a coupon bond exceeds the value of the replicating package of strips, the difference between the coupon bond price and the price of the package of strips is much greater than when the price of the coupon bond is below the price of the package of replicating strip bonds. This difference persists under a variety of assumptions about taxation and transaction costs, and appears to indicate market inefficiency. Résumé Si le prix d'une obligation à coupons est suffisamment différent de la somme de ses éléments détachés, un échange à l'arbitrage entre les deux sera profitable. Nous estimons l'importance de la différence de prix entre le coǒt d'une obligation à coupons et celui d'un bloc reproductif d'obligations coupons détachés. Quand le prix d'une obligation à coupons dépasse la valeur du bloc reproductif de coupures, la différence entre le prix de l'obligation à coupons et celui du bloc de coupures est beaucoup plus importante que lorsque le prix de l'obligation à coupons est sous le prix du bloc reproductif d'obligations coupons détachés. Cette différence persiste sous une variété de suppositions basées sur les coǒts d'imposition et de transaction, et semble indiquer un manque de rendement du marché. [source]

Managing Risks in Multiple Online Auctions: An Options Approach,

DECISION SCIENCES, Issue 3 2005
Ram Gopal
ABSTRACT The scenario of established business sellers utilizing online auction markets to reach consumers and sell new products is becoming increasingly common. We propose a class of risk management tools, loosely based on the concept of financial options that can be employed by such sellers. While conceptually similar to options in financial markets, we empirically demonstrate that option instruments within auction markets cannot be developed employing similar methodologies, because the fundamental tenets of extant option pricing models do not hold within online auction markets. We provide a framework to analyze the value proposition of options to potential sellers, option-holder behavior implications on auction processes, and seller strategies to write and price options that maximize potential revenues. We then develop an approach that enables a seller to assess the demand for options under different option price and volume scenarios. We compare option prices derived from our approach with those derived from the Black-Scholes model (Black & Scholes, 1973) and discuss the implications of the price differences. Experiments based on actual auction data suggest that options can provide significant benefits under a variety of option-holder behavioral patterns. [source]

MOMENTUM: DOES THE DATABASE MAKE A DIFFERENCE?

THE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2006
Bidisha Chakrabarty
Abstract We examine discrepancies between the Center for Research in Security Prices (CRSP) and Trade and Quote (TAQ) databases by examining the returns of momentum strategies using each database. Momentum portfolios constructed from CRSP prices earn significant profits whereas similar portfolios using TAQ prices show losses. Adjusting TAQ prices with the TAQ dividends file or with the cumulative distribution factor provided by CRSP does not eliminate all differences. There are significant discrepancies in the way CRSP and TAQ record newly listed and delisted stocks. We document the residual (after all filters) price differences between the two databases and provide filters to adjust TAQ data for long sample periods and large sample sizes. Our filtering procedures allow for the possibility of examining intraday patterns in momentum profits. [source]