Existing papers on extreme dependence use symmetrical thresholds to define simultaneous stock market booms or crashes such as the joint occurrence of the upper or lower one percent return quantile in both stock markets. We show that the probability of the joint occurrence of extreme stock returns may be higher for asymmetric thresholds than for symmetric thresholds. We propose a non-parametric measure of extreme dependence which allows capturing extreme events for different thresholds and can be used to compute different types of extreme dependence. We find that extreme dependence among the stock markets of ten initial EMU member countries, the United Kingdom, and the United States is largely asymmetrical in the pre-EMU period (1989–1998) and largely symmetrical in the EMU period (1999–2010). Our findings suggest that ignoring the possibility of asymmetric extreme dependence may lead to an underestimation of the probability of co-booms and co-crashes.

We examine the role played by the parent’s motive in undertaking a carve-out; the parent’s post-IPO influence over the carved-out subsidiary; and anti-takeover provisions and industry structure of a carve-out on its acquisition likelihood and its acquisition premium. We find that the probability and hazard of a carve-out acquisition increase when the parent’s objective is to unlock the value of a subsidiary and when the parent and the subsidiary are tied with a product-market relationship. We also find that the post-IPO parent ownership significantly affects the acquisition likelihood and the level of acquisition premium. Additional analyses examining the post-IPO carve-out status suggest that the product-market relationship and post-IPO parent ownership increase the probability of re-acquisition.

This paper investigates the dynamics of international government bond market integration in six of the G7 economies over two decades leading up to the global crisis. It examines whether such integration had been significant; the extent to which integration at the short and long end of the yield curve differed; the nature of such integration; and the extent of the decoupling of the long rates from short rates. These issues are investigated using the rigorous smooth-transition copula-GARCH model framework. The results show that integration at the long end of the yield curve had been increasing, had become pronounced, and was significantly greater than at the short end. Decoupling between the short and long end of the yield curve was notable, with important implications for the efficacy of monetary policy in the period before the crisis.

This study uses respondent data from a web-based survey of active finance scholars (45% response rate from 37 countries) to endogenously rank 83 finance journals by quality and importance. Journals are further tiered into four groups (A, B, C and D) and stratified into “upper”, “middle” and “lower” tier categories (e.g. A+, A and A−) by estimating a nested regression with random journal-within-tier effects. The comprehensive and endogenous ranking of finance journals based on the Active Scholar Assessment (ASA) methodology can help authors evaluate the strategic aspects of placing their research, facilitate assessment of research achievement by tenure and promotion committees; and assist university libraries in better managing their journal resources. Study findings from active researchers in the field also provide useful guidance to editorial boards for enhancing their journal standing.

Due to its distinctive institutional background, Oman offers a valuable opportunity to examine stock price reactions to dividend announcements. In Oman, (1) there are no taxes on dividends and capital gains, (2) there is a high concentration of share ownership, (3) there is low corporate transparency, and (4) firms frequently change their dividends. Our results show that announcements of dividend increases are associated with increased stock prices, while announcements of dividend decreases cause decreases in stock prices. Firms that do not change their dividends experience insignificant negative returns. These results contradict tax-based signaling models, which argue that higher taxes on dividends relative to capital gains are a necessary condition for dividends to be informative.

Poor countries are more volatile than rich countries, and we know this volatility impedes their growth. We also know that commodity price volatility is a key source of those shocks. This paper explores commodity and manufactures price over the past three centuries to answer three questions: Has commodity price volatility increased over time? The answer is no: there is little evidence of trend since 1700. Have commodities always shown greater price volatility than manufactures? The answer is yes. Higher commodity price volatility is not the modern product of asymmetric industrial organizations -oligopolistic manufacturing versus competitive commodity markets -that only appeared with the industrial revolution. It was a fact of life deep into the 18th century. Does world market integration breed more or less commodity price volatility? The answer is less. Three centuries of history shows unambiguously that economic isolation caused by war or autarkic policy has been associated with much greater commodity price volatility, while world market integration associated with peace and pro-global policy has been associated with less commodity price volatility. Given specialization and comparative advantage, globalization has been good for growth in poor countries at least by diminishing price volatility. But comparative advantage has never been constant. Globalization increased poor country specialization in commodities when the world went open after the early 19th century; but it did not do so after the 1970s as the Third World shifted to labor-intensive manufactures. Whether price volatility or specialization dominates terms of trade and thus aggregate volatility in poor countries is thus conditional on the century.

Most indexes in the Consumer Price Index (CPI) use a form of the “matched-model” approach. It is frequently assumed that this approach accurately reflects inflation for items that have no major trend in quality. In this paper we investigate that hypothesis using CPI data for retail food items. We find that CPI analysts may be correct on average when they decide that new and replacement items are similar in quality. We also find, however, that when sample items are replaced by items of significantly different quality the CPI imputation procedures may underestimate price change and overstate quality change.

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding portfolio residuals and higher moment factor in the factor models. The results are also robust to seasonality, and conditional-market tests. We also compare alternative factor models and find that the liquidity four-factor model (market excess return, size, book-to-market ratio, and liquidity) is the best model to explain stock returns in the Hong Kong stock market, while the momentum factor is not found to be priced.

In this study, we examine some of the consequences of asset securitization. Specifically, using a sample of bank holding companies, we investigate whether the difficulty in assessing the true extent of risk transfer, between securitizing banks and investors in asset-backed securities, affects bank information uncertainty. We find that when market participants have a greater difficulty in estimating risk transfer, banks face greater information uncertainty (i.e., larger bid-ask spreads and analyst forecast dispersion). In addition, we find that this effect is mitigated for banks that operate in a higher quality information environment. We also find that banks that securitize financial assets have higher spreads and analyst forecast dispersion as compared to non-securitizing banks.

We use student assignment lotteries to estimate the effect of charter school attendance on student achievement in Boston. We also evaluate a related alternative, Boston's pilot schools. Pilot schools have some of the independence of charter schools but are in the Boston Public School district and are covered by some collective bargaining provisions. Lottery estimates show large and significant score gains for charter students in middle and high school. In contrast, lottery estimates for pilot school students are mostly small and insignificant, with some significant negative effects. Charter schools with binding assignment lotteries appear to generate larger gains than other charters.