This article examines the role of marketing in the context of initial public offerings (IPOs), a neglected issue in the extant literature. The results from a large-scale, cross-industry study indicate that firms’ pre-IPO marketing spendings help reduce IPO underpricing and boost IPO trading in the stock market. The econometric models also suggest that these effects are heterogeneous; that is, t...

1. To estimate a small quarterly macroeconomic model of the UK, based on a VAR model of a number of ‘core’ macroeconomic variables, and employing recently developed econometric techniques to test and impose restrictions on the long run relationships of the model. Also, to analyse the short run dynamic properties of the model and to investigate the role of exogenous variables, all with a view to...

We propose two new tests for the specification of both the drift and the diffusion functions in a discretized version of a semiparametric continuous–time financial econometric model. Theoretically, we establish some asymptotic consistency results for the proposed tests. Practically, a simple selection procedure for the bandwidth parameter involved in each of the proposed tests is established ba...

We develop general econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders' underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly deened (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness ...

While there is a large literature on the economic theory of international standards, and their presumed effects, we know much less about how international standards work in practice. This paper reviews the body of empirical work that has investigated the specific question: How international standards impact on international trade? Do they help or hinder trade? The work reviewed ranges from econ...

Most existing econometric models such as ARCH(q) and GARCH(p,q) take into account heteroskedasticity (non-stationarity) of time series. However, the original ARCH(q) and GARCH(p,q) models do not take into account the asymmetry of the market’s response to positive and to negative changes. Several heuristic modifications of ARCH(q) and GARCH(p,q) models have been proposed that take this asymmetry...

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert's touch, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qual...

As continuously studied by numerous papers, demographic factors are expected to be crucial components that affect the saving rates of countries. This paper investigates the correlation between the domestic saving rates and the old age dependency ratio, by examining the data set of 15 high income countries from 1975 to 2010, based on hypothesis that old age dependency ratio is negatively correla...

We propose a graphical method to visualize possible time-varying correlations between stock market returns. The method can be useful for observing stable or emerging clusters of stock markets with similar behavior. The graphs, which originate from applying multidiŽ . mensional scaling techniques MDS , may also guide the construction of multivariate econometric models. We illustrate our method f...

There have been a number of studies that have sought to understand the pattern of aggregate business failure rates and model the macro-economic determinants of aggregate corporate liquidations in the UK. This paper uses quarterly data (1961.1-1998.2) on failure rates and potential macroeconomic determinants to build a time-series econometric model which explicitly tests for the impact of change...