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We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets. ; A completely revised version of this paper has been published as Eichfelder, Sebastian; Noack, Mona; Noth, Felix: The Impact of Financial Transaction Taxes on Stock Markets: Short-run Effects, Long-run Effects, and Reallocation of Trading Activity. IWH Discussion Papers 12/2022. Halle (Saale) 2022. http://hdl.handle.net/10419/251589

This paper investigates the ability of the Federal Reserve to manipulate the overnight rate without open market operations (which Demiralp and Jorda (2000) term the announcement effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) takes advantage of forecast errors in the Treasury balance to compute the elasticity of the federal funds rate to these errors and thus to obtain a measure of the liquidity effect. Similarly, one can view daily deviations of the federal funds rate from target as forecast errors in the reserve need (see Taylor, 2000). By analyzing the manner and the type of operation the Fed uses to maintain the federal funds rate close to its targeted value and by observing the pattern of operations on the days surrounding a change in this target, we provide evidence of the announcement effect. Furthermore, we show that the discipline of the FOMC schedule dictates, not only the process of expectations formation in the overnight rate, but also the price adjustment process of term rates.

"Trainingsmaßnahmen sind ein Instrument der aktiven Arbeitsförderung, mit dem je nach Ausrichtung unterschiedliche Zielsetzungen verfolgt werden. In diesem Beitrag wird eine Variante der Trainingsmaßnahmen, die Maßnahme zur Überprüfung der Verfügbarkeit, evaluiert. Diese Maßnahme zielt in erster Linie darauf ab zu überprüfen, ob Arbeitslose zu einer Arbeitsaufnahme zur Verfügung stehen. Besonderes Augenmerk liegt hier deshalb auf der Fragestellung, wodurch Trainingsmaßnahmen zur Überprüfung der Verfügbarkeit zur Verbesserung von Eingliederungsaussichten beitragen. Unterschieden werden dabei Eingliederungseffekte, die allein aus der Einladung zu einer Maßnahme resultieren, in Abgrenzung zu Effekten, die für die tatsächliche Teilnahme an einer Trainingsmaßnahme geschätzt werden. Zur Untersuchung dieser Fragestellung werden Daten aus einem arbeitsmarktpolitischen Experiment genutzt, die neben Angaben über Maßnahmeteilnahmen auch Informationen zu ausgesprochenen Einladungen liefern." (Autorenreferat)

AbstractThis paper examines the equity return behavior of firms whose preferred stock ratings have been changed by Standard and Poor's. The evidence indicates that the market anticipates the re‐ratings by approximately 40 days for the complete sample. However, the downgrades for the utility subsample do not experience any downward drift before or after the re‐rating. In general, these results support the previous findings of Pinches and Singleton (1978) and Weinstein (1977).

AbstractRecent modeling using the asymmetric information framework suggests that the magnitude of a market response to dividend change announcements should be related to the timing of the dividend announcement vis‐a‐vis the earnings release and to the stability of those earnings. The announcement effects of regular quarterly dividend changes are tested and these effects are related to the percentage change in the dividend yield, to the stability of the firm's earnings, to the timing of dividend and earnings announcements, and to the level of earnings compared with prior quarters. Analysis indicates that significant relationships exist between the announcement effect and changes in the dividend yield, and whether the dividend change is positive or negative. Only weak evidence exists that dividend announcement effects are larger when current earnings are unknown.

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.