This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

This paper investigates the interaction between product market competition and managers’ decision to distribute cash to shareholders. Using a large sample of manufacturing firms, we find that firms in more competitive industries pay more dividends than firms in less competitive markets. Further, consistent with agency theory, we find that the effect of product market competition on corporate pa...

Exploiting an original dataset of non-cash payments during the period between 1996 and 2005, this study analyses the diffusion patterns of non-cash payments in China. Based on both exponential and Gompertz curves, the point of sale (POS) terminal has shown a higher diffusion rate than that of automatic teller machines (ATMs). This result is also robust when a time trend is interacted with rival...

Several real options analysis techniques designed for practitioners exist in literature, but there is discrepancy in their underlying assumptions, mechanics and applicability. Within this paper, a review of approaches targeted towards practitioners is included, and a novel way of integrating market and private uncertainties is proposed. Market risk is incorporated into the dynamics of the proje...

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for this phenomenon, in which investors use announcements to revise their expectations for non-announcing …rms, but can only do so imperfectly. Consequently, the covariance between …rm-speci…c and market cash-‡ow news spikes around announcements, making announcers especially risky....

This paper examines whether the overall market risk along with risks re‡ecting uncertainty related to the long run dynamics of market cash ‡ows (dividends) and discount rates (returns) price average returns on single-sorted portfolios of the Greek stock market. Following Campbell and Vuolteenaho (American Economic Review, 2004) we check whether these two types of risk provide an empirical impro...

We examine shareholder wealth implications of supplying financing to customers. Robust results suggest that excess returns and changes in trade receivables are directly and significantly related. Further evidence indicates the value of receivables is higher for suppliers with stronger motives relating to operating and contracting costs. The results also suggest a discounted value of receivables...

Wholesale electricity market designs in practice do not provide the market participants with adequate mechanisms to hedge their financial risks. Demanders and suppliers will likely face even greater risks with the deepening penetration of variable renewable resources like wind and solar. This paper explores the design of a centralized cash-settled call option market to mitigate such risks. A ca...

The paper examines the effect of inflation on the growth rate in economies with underground, or ”non-market”, sectors. The model incorporates a non-market good into an endogenous growth cash-inadvance economy with human capital. Taxes on labor and capital induce substitution into the non-market sector which avoids such taxes. However the non-market sector uses only cash for exchange and cannot ...