Suchergebnisse

AbstractThe results reported in this paper challenge the popular belief that screen‐based trading offered lower liquidity costs than the open‐outcry approach during its first year of side‐by‐side operation in the U.S. financial derivatives market. Using time and sales data from the Chicago Board of Trade (CBOT) market profile data series, effective bid–ask spreads are estimated on the basis of daily and intraday measures of the Thompson–Waller and Smith–Whaley estimators. We find liquidity costs on the screen‐based system vary with time and the level of floor trading activity. In particular, a one‐tick market is observed just before the opening of the Chicago trading floor (6:30 to 7:30 am). However, subsequent intraday spreads exhibit the familiar "reverse J‐shaped pattern"—highest following the opening of floor trading, declining until afternoon, and then increasing until close. Meanwhile, daily spread estimates average almost a quarter‐tick higher on the screen‐based market relative to the one‐tick spread commonly associated with open outcry. This relationship remained robust across sample time‐series and conservative price‐change specifications. Since the study was conducted, electronic trading has become the predominant exchange medium for financial derivatives at the CBOT, following the example set in Europe's traditional futures exchanges, e.g. France's Matif, Germany's Deutsche Bourse and the U.K.'s Liffe.

ABSTRACTThis paper applies a household production framework (Becker, 1971) to infer the economic value of a cultural heritage site, namely, the Petroglyph National Monument, situated in Albuquerque, New Mexico, USA. The empirical analysis uses benefit-transfer techniques from three source studies: those of Bergstrom and Cordell (1991) and Boxallet al. (2003), which concern willingness-to-pay to hike and view rock art sites; and those of Rolfe and Windle (2003, 2006), which concern willingness-to-pay by Aboriginal and general populations to preserve a cultural heritage site containing rock art. The benefit-transfer analysis estimates recreational values between 3.75 million and 7 million dollars per year (depending on perceptions of the cultural attribute quality) and a nonuse value of approximately 12.5 million dollars per year. By comparison the annualized costs of developing/operating the study site are 8.5 million dollars per year. Thus a partial cost-benefit analysis suggests the study site yields net economic benefits upwards of 7.8 million dollars per year.

PurposeThe purpose of this paper is to examine the efficacy of recent policy initiatives taken by the US Securities and Exchange Commission banning naked "short‐selling" of specific financial stocks. The paper also considers the merits of reinstating "uptick rule" 10a‐1, which prohibits short‐selling securities on a downtick.Design/methodology/approachThe paper studies theoretical implications of short‐selling in a simple state‐claim model, reflecting varying amounts of short interest in a representative firm and noise trading in the market. Price discovery depends on the proportion of noise trading compared to rational short‐selling. The empirical analysis focuses on price volatility under short‐selling constraints employing simple regressions, EGARCH analysis and simulated price behavior under a hypothetical uptick rule.FindingsThe EGARCH results suggest short‐selling constraints had non‐uniform impacts on the persistence and leverage effects associated with price volatility. The corresponding price simulations indicate a hypothetical uptick rule might have helped stabilize price behavior in some cases, depending on the nature of the stochastic process and whether or not quantity constraints on short‐selling are binding.Originality/valueThe theoretical arguments and empirical findings suggest a "focused approach" to market regulation would be a more efficient means of discouraging trend chasing without compromising "informed trading" – that is to say, safeguarding price discovery and market liquidity without impeding arbitrage or confounding probability beliefs regarding firm survival. These conclusions are largely in accord with recent policy analysis and proposals outlined in Avgouleas.

Most studies of irrigation water subsidies focus on farmers' "ability‐to‐pay" for irrigation‐related construction costs without questioning the methods used to subsidize these costs. This article shows how BUREC water subsidies could be eliminated by increasing federal water and power rates on long‐term irrigation contracts. The welfare effects of this "desubsidization" are examined for California's San Joaquin Valley, which uses federal power for groundwater pumping and the conveyance of surface water. A linear programming model provides estimates of the change in farm profitability from imposing full‐cost federal water and power rates. The desubsidization has a disproportionate impact on growers of water intensive crops while benefiting non‐agricultural power users and the U.S. Treasury. This points to the conclusion that charging full‐cost rates would redistribute $4.58 million of profit‐income per year without significant regional impacts on growers.