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Market Data (market + data)
Kinds of Market Data Selected AbstractsEnvironmental Values and Water PolicyGEOGRAPHICAL RESEARCH, Issue 3 2003Jeff Bennett Abstract The emergence of water markets has heralded the prospect of increased efficiency in the use of the resource for extractive purposes. However, water markets have not encompassed all elements of demand for the resource. Notably, demands for the environmental public goods provided by river flows have not been revealed in markets. State Governments have instituted regulations requiring ,environmental flows' to be quarantined from the market allocation process. This policy has triggered negative responses from irrigators and conservationists. Lobby groups have found that the process of determining environmental flows is a prospective site for rent seeking. To avoid policy being driven by rent seeking, information on the costs and benefits of environmental flows is useful. Whereas the costs of environmental flows are readily assessed through reference to market data on irrigators' surpluses foregone, the benefits must be estimated through the use of non-market, stated preference valuation techniques. These techniques , including contingent valuation and choice modelling , remain controversial. Some argue that they should not be used on ethical grounds. Others argue that they cannot be used on technical grounds. These arguments are discussed in this paper, using the context of the water policy debate. The evidence is that stated preference techniques are being used, and applications have been performed in Australia in the context of riverine health. However their use remains restricted relative to the scale of the Australian natural resource management task. Some possible explanations for this limited up-take are provided along with some suggested ways forward. [source] The tick/volatility ratio as a determinant of the compass rose: empirical evidence from decimalisation on the NYSEACCOUNTING & FINANCE, Issue 3 2003Michael D. McKenzie Abstract Recent research suggests that volatility has an important role to play in the appearance of the compass rose pattern. The introduction of decimal prices on the New York Stock Exchange (NYSE) provides an ideal opportunity to test this hypothesis using actual market data. The empirical evidence presented in this paper suggests that the 85 per cent reduction in the tick/volatility ratio resulting from the decimalisation of prices was not sufficient to eliminate the compass rose pattern. [source] Macroeconomic factors and share returns: an analysis using emerging market dataINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2002S.G.M. Fifield Abstract This paper investigates the extent to which global and local economic factors explain returns in emerging stock markets (ESMs). The economic factors are determined using principal components analysis. The results suggest that the local economic variables included in this study can be summarized by GDP, inflation, money and interest rates, while the selected global variables can be sufficiently characterized by world industrial production and world inflation. These components are then used as inputs into a regression analysis in order to explain the index returns of 13 ESMs over the period 1987,96. The analysis indicates that while world factors are significant in explaining ESM returns, local factors may also play a crucial role. Copyright © 2002 John Wiley & Sons, Ltd. [source] Excess Risk Premia of Asian BanksINTERNATIONAL REVIEW OF FINANCE, Issue 2 2000Jianping (J.P.) Mei This paper develops a framework for gauging the risks of emerging market banks by using stock market data. Employing a multifactor asset pricing model that allows for time-varying risk premia, we find the presence of large excess risk premia on Asian bank stocks, especially in those markets affected by the Asian financial crisis. We find that the excess risk premia appear to be negatively related to the degree of economic freedom of a country but positively related to its corruption level. Thus, our findings are consistent with the view that crony capitalism in Asia may have distorted the market mechanism or the systematic risk exposure of banks. This suggests that the excess risk premium provides useful information on risk exposure for opaque banking systems where quality accounting information is not available. [source] Multilateral Trade and Agricultural Policy Reforms in Sugar MarketsJOURNAL OF AGRICULTURAL ECONOMICS, Issue 1 2006Amani Elobeid Q18; F10 Abstract We analyse the impact of trade liberalisation, removal of production subsidies and elimination of consumption distortions in world sugar markets using a partial-equilibrium international sugar model calibrated on 2002 market data and current policies. The removal of trade distortions alone induces a 27% price increase while the removal of all trade and production distortions induces a 48% increase in 2011/2012 relative to the baseline. Aggregate trade expands moderately, but location of production and trade patterns change substantially. Protectionist Organisation for Economic Co-operation and Development (OECD) countries (the EU, Japan, the US) experience an import expansion or export reduction and a significant contraction of production in unfettered markets. Competitive producers in both OECD countries (Australia) and non-OECD countries (Brazil, Cuba), and even some protected producers (Indonesia, Turkey), expand production when all distortions are removed. Consumption distortions have marginal impacts on world markets and the location of production. We discuss the significance of these results in the context of mounting pressures to increase market access in highly protected OECD countries and the impact on non-OECD countries. [source] Modelling consumer entertainment software choice: An exploratory examination of key attributes, and differences by gamer segmentJOURNAL OF CONSUMER BEHAVIOUR, Issue 5 2010Sunita Prugsamatz From virtually nowhere 20 years ago to sales of US$9.5 billion in 2007, the video game industry has now overtaken movie industry box-office receipts in terms of annual sales, and blockbuster video games can out perform blockbuster movies for opening-week sales. This dramatic growth is likely to continue in coming years. Yet there has been little scholarly attention to consumers within the industry. This research fills this gap by providing a comprehensive study of consumer behaviour in the gaming industry, using the Theory of Planned Behaviour (TPB); a widely used, robust and reliable consumer research instrument. The study elicits key salient attributes for the major constructs in the TPB model , attitude, subjective norm, and perceived behavioural control , and shows how these key constructs affect purchase intention. To avoid aggregation error in analysing overall market data, this study segments the market and examines differences in perspective by gamer type. We therefore examine differences in these key salient attributes by gamer type to understand consumer motivations better. As the first systematic study to examine consumer behaviour issues in the gaming industry, this study provides useful insights to consumers' behaviour in a large, growing industry. Consumer perceptions and behaviour toward entertainment software is complex and this study is not the final word, but it is the first available empirical evidence and can thus move forward the discussion from speculation to replication, extension, and alternative approaches. For managers in this industry, this study demonstrates how a comprehensive model can be applied to entertainment software. Copyright © 2010 John Wiley & Sons, Ltd. [source] Measures of Fit for Rational Expectations ModelsJOURNAL OF ECONOMIC SURVEYS, Issue 3 2002Tom Engsted This survey provides a detailed description of some of the recent theoretical and empirical literature on rational expectations econometrics. The survey pays special attention to non,stationarity of the data, and to the various methods for evaluating rational expectations models that have been developed as alternatives to the classical statistical approach of testing overidentifying restrictions. These methods have become very popular and widely used in empirical research. We provide an illustration using Danish stock market data, and we summarize the many results obtained recently using these measures in areas as diverse as stock prices, the term structure of interest rates, exchange rates, consumption and saving, the balance of payments, tax,smoothing, hyperinflation, and linear quadratic adjustment cost models for inventories, labour demand, and money demand. [source] Game theory application to Fed Cattle procurement in an experimental marketAGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 1 2009Jared G. Carlberg Consolidation in meatpacking has elicited many market power concerns and studies. A noncooperative, infinitely repeated game theory model was developed and an empirical model estimated to measure beef packing firm behavior in cattle procurement. Experimental market data from three semester-long classes using the Fed Cattle Market Simulator (FCMS) were used. Collusive behavior was found for all three data periods though the extent of collusion varied across semester-long data periods. Results may have been influenced by market conditions imposed on the experimental market in two of the three semesters. One was a marketing agreement between the largest packer and two feedlots and the other involved limiting the amount and type of public market information available to participants. Findings underscore the need for applying game theory to real-world transaction-level, fed cattle market data. [EconLit Citations: C730, L100]. © 2009 Wiley Periodicals, Inc. [source] Forecasting new product trial in a controlled test market environmentJOURNAL OF FORECASTING, Issue 5 2003Peter S. Fader Abstract A number of researchers have developed models that use test market data to generate forecasts of a new product's performance. However, most of these models have ignored the effects of marketing covariates. In this paper we examine what impact these covariates have on a model's forecasting performance and explore whether their presence enables us to reduce the length of the model calibration period (i.e. shorten the duration of the test market). We develop from first principles a set of models that enable us to systematically explore the impact of various model ,components' on forecasting performance. Furthermore, we also explore the impact of the length of the test market on forecasting performance. We find that it is critically important to capture consumer heterogeneity, and that the inclusion of covariate effects can improve forecast accuracy, especially for models calibrated on fewer than 20 weeks of data.,Copyright © 2003 John Wiley & Sons, Ltd. [source] Wage Expectations: A Comparison of Swiss and US StudentsKYKLOS INTERNATIONAL REVIEW OF SOCIAL SCIENCES, Issue 1 2000Stefan C. Wolter Wage expectations can play a significant role in a variety of economic areas. This study analyses the wage expectations of students who are on the verge of making a decision concerning their educational path or who have already reached such a decision. Since each student in our study has been asked to discuss expectations in relation to various educational scenarios, this data can be used to check certain human capital theory assumptions. It is possible to ascertain the wage effects which students expect from certain educational decisions. Moreover it is possible to assess the expected rates of return on education without asking the students directly. The results of this study make it clear that both in the USA and in Switzerland the wage expectations of students do not differ significantly from the cross-sectional labor market data, despite considerable heterogeneity in some cases. [source] Horizontale Fusionen auf zweiseitigen Märkten am Beispiel von PrintmedienPERSPEKTIVEN DER WIRTSCHAFTSPOLITIK, Issue 3 2006Ralf Dewenter This discussion frequently neglects the particularities of media markets, for example the mutual interconnection of advertising and media markets, i.e. of "two-sided markets". In this paper the impact of "two-sided markets" on mergers is analyzed. The results indicate that an intensive analysis of each case because of the heterogeneity of each market and a stronger economization of merger control would be useful. The basis for an economization could be quantitative analyses that are conducted using existing market data. The print media market is an example of the peculiarities of "two-sided markets" at which network externalities lead to pricing behavior that deviates from that on normal markets. [source] Strategic planning: valuing and managing portfolios of real optionsR & D MANAGEMENT, Issue 4 2006Han T. J. Smit This article presents a value-based strategic planning framework suitable for valuing and managing portfolios of corporate real options. The proposed framework combines insights from strategic management theory with novel quantitative valuation tools from finance. Strategic planning is viewed as a process of actively developing and managing portfolios of corporate real options in the context of competitive interactions. As such, the expanded valuation framework recognizes that future growth opportunity value deriving from the firm's resources and capabilities must explicitly account for uncertainty, adaptability, and competitive responsiveness. The resulting expanded valuation framework is able to capture the value of the adaptive resources and capabilities that enable a firm to adapt and re-deploy assets, develop and exploit synergies, and gain competitive advantage via time-to-market and first- or second-mover advantages. We show how two basic metrics in this value-based framework, current profitability of assets in place and future growth option value, can be obtained from financial market data and how they can be used in active portfolio planning. [source] Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value ApproachREAL ESTATE ECONOMICS, Issue 2 2001Yuming Fu This paper develops a methodology to identify asset price response to news in the framework of the Campbell,Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets. [source] Idiosyncratic and Common Shocks to Investment Decisions*THE ECONOMIC JOURNAL, Issue 482 2002Mark Schankerman We show how microeconomic data on investment plans can be used to study the structure of risk firms face. Revisions of investment plans form a martingale and reveal the underlying shocks driving investment. We decompose revisions in investment plans into micro, sector and aggregate shocks, and exploit stock market data to distinguish between structural (value-related) shocks and measurement error in investment revisions. Using panel data for US firms, we find that micro shocks are not the dominant source of risk in investment decisions, and that much of the observed micro variation is actually due to heterogeneity in firm-level responses to aggregate shocks. [source] Consumption, Aggregate Wealth, and Expected Stock ReturnsTHE JOURNAL OF FINANCE, Issue 3 2001Martin Lettau This paper studies the role of fluctuations in the aggregate consumption,wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption,wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption,wealth ratio forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption,aggregate wealth (human capital plus asset holdings) ratio summarizes expected returns on aggregate wealth, or the market portfolio. Although this ratio is not observable, we provide assumptions under which its important predictive components for future asset returns may be xpressed in terms of observable variables, namely in terms of consumption, asset holdings and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio. [source] The CBOE S&P 500 three-month variance futuresTHE JOURNAL OF FUTURES MARKETS, Issue 1 2010Jin E. Zhang In this article, we study the market of the Chicago Board Options Exchange S&P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time-to-maturity variance futures and the VIX2. The model prediction is supported by empirical tests. We find that a model with a fixed mean-reverting speed of 1.2929 and a daily-calibrated floating long-term mean level has a good fit to the market data between May 18, 2004, and August 17, 2007. The market price of volatility risk estimated from the 30-day realized variance and VIX2 has a mean value of ,19.1184. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:48,70, 2010 [source] Work, Wages and Gender in Export-Oriented Cities: Global Assembly versus International Tourism in MexicoBULLETIN OF LATIN AMERICAN RESEARCH, Issue 1 2007CHRISTOPHER R. TAMBORINI Drawing on a rich source of urban labour market data, the Mexican National Urban Employment Survey of 1998, this article addresses the question of how dissimilar export-oriented industries shape urban labour markets, particularly with respect to women workers. It compares Ciudad Juárez, which has an economy based on global assembly production, and Cancún, whose economy is based on international tourism. Employing economic base theory and location quotients, the analysis isolates the impact of the export sectors on the local labour markets. Results show that global assembly and international tourism encourage a mix of occupational and income prospects for both men and women in each of these Mexican cities. Female employment tends to be concentrated in the export-oriented sector in both cases, but the types of occupational and income opportunities therein vary. Overall, the analysis challenges common exploitation arguments that tend to stress the universally shared deleterious working conditions and low wages that result from global integration and export-led industrialisation in contemporary Latin America. It suggests that we pay closer attention to the diverse nature of outward oriented industries, which will tend to differentiate the labour market implications of increasing economic globalisation. [source] Do Stock Prices and Volatility Jump?THE JOURNAL OF FINANCE, Issue 3 2004Option Prices, Reconciling Evidence from Spot This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and with state-dependent arrival intensity. We discuss how to perform likelihood-based inference based upon joint options/returns data and present estimates of risk premiums for jump and volatility risks. The paper finds that while complex jump specifications add little explanatory power in fitting options data, these models fare better in fitting options and returns data simultaneously. [source] | |||||||||||||||||||||||||