exchange rate pass through and dynamic oligopoly an empirical investigation abstract this paper explicitly takes into account the dynamic oligopolistic rivalry among source producers to evaluate the degree of exchange rate pass through using recent time series techniques for the case of imported automobiles in switzerland the results show that prices are strategic complements and that the degree of pass through is lower in the long run than in the short run this is due to the fact that although some rivals match long term price changes others do not inducing the producer who faces a change in exchange rate to absorb a greater proportion of the variation the degrees of pass through are also low with respect to other studies which do not endogenize pricing behavior

coal overcapacity in china multiscale analysis and prediction gaining a quantitative understanding of the causes of coal overcapacity and accurately predicting it are important for both government agencies and coal enterprises following the decomposition reconstruction prediction concept a combined ensemble empirical mode decomposition least square support vector machine autoregressive integrated moving average eemd lssvm arima model is proposed for quantitatively analyzing and forecasting coal overcapacity in china the results show that the main causes of coal overcapacity in china include insufficient demand market failure and institutional distortion institutional distortion with an influence degree of 73 75 is the most fundamental and influential factor from 2017 to 2019 the scale of coal overcapacity in china will reach between 1 721and 1 819 billion tons suggesting that coal overcapacity will remain a serious problem the rate of coal overcapacity caused by insufficient demand will fluctuate slightly while coal overcapacity caused by market failure will trend downward but the impact of institutional distortion on coal overcapacity will be exacerbated a statistical analysis demonstrates that the eemd lssvm arima model significantly outperformed other widely developed baselines e g arima lssvm eemd arima and eemd lssvm

endogenous export prices and the taiwan us trade imbalance to explain the perplexing issue of why taiwan s trade imbalance with the us has persisted despite the depreciation of the dollar we estimate a four equation model to determine the direct pass through dpt and indirect cost adjustment ica effects of exchange rate changes on taiwan s export prices the ica effect is important in the case of taiwan because it imports mostly intermediate goods for the production of manufactured goods that are exported our findings support the view that dpt and ica effects reduce the effectiveness of exchange rate as a mechanism for international trade adjustment

composite forecasting approach application for next day electricity price forecasting abstract accurate forecasting of electricity prices can provide significant benefits to energy suppliers when allocating their assets and to energy consumers for defining an optimal portfolio there are numerous methods that efficiently support the forecasting of time series such as electricity prices which have high volatility however the performance of these approaches varies depending on data sets and operational conditions in this work the concept of composite forecasting is presented and implemented in a retrospective study in real industrial forecasting conditions to show the potential of forecast performance improvement and comparable high consistency of a forecast performance across different day peak and day base electricity price data sets for different seasons as individual methods support vector regression artificial neural networks and ridge regression are implemented the forecast performances of these methods are evaluated and compared with their forecast combination using different error measures the results show that composite forecasting processes with inverse root mean squared error combination approach can generate on average a more accurate and robust forecast than using an individual methods or other combination schemas

national cultural distance and cross border acquisition performance previous theoretical research has argued that national cultural distance hinders cross border acquisition performance by increasing the costs of integration this article tests the alternative hypothesis that national cultural distance enhances cross border acquisition performance by providing access to the target s and or the acquirer s diverse set of routines and repertoires embedded in national culture using a multi dimensional measure of national cultural distance and controlling for other effects we examine a sample of 52 cross border acquisitions that took place between 1987 and 1992 and find a positive association between national cultural distance and cross border acquisition performance

acquisition or greenfield start up institutional cultural and transaction cost influences in this paper we develop and test a model of diversification mode choice how firms decide between acquisitions and greenfield start up ventures which includes institutional cultural and transaction cost variables using a sample of japanese firms entering western europe our results show the model correctly predicts over eighty seven percent of the mode choices thus we provide strong initial evidence to support using institutional cultural and transaction cost variables to predict firms choices between acquisitions and greenfield start ups in international expansion our findings also suggest that organizations which have developed strong intangible capabilities may be able to more readily leverage these capabilities through greenfield start ups copyright 2000 john wiley sons ltd

managerial control of international firms and patterns of direct investment abstract formal analyses of international firms have concentrated on advantages from large operations due to for example economies of scope however the standard framework implicitly assumes the existence of managerial costs for running international operations the paper develops a model that explicitly incoporates both economies of scope and costs of managerial control of large and international operations it highlights the potential importance of international firms organizational structure suggesting a qualitative difference between situations where international firms have different stages of production located in different countries and situations where firms in addition have the same stage located in different countries

management ownership and market valuation an empirical analysis we investigate the relationship between management ownership and market valuation of the firm as measured by tobin s q in a 1980 cross section of 371 fortune 500 firms we find evidence of a significant nonmonotonic relationship tobin s q first increases then declines and finally rises slightly as ownership by the board of directors rises for older firms there is evidence that q is lower when the firm is run by a member of the founding family than when it is run by an officer unrelated to the founder

cournot equilibrium considering unit outages and fuel cost uncertainty the cournot model is a common and reasonable approximation to representing strategic competition in electricity markets this paper proposes a nash cournot model in which unit outages and fuel cost volatility are both accounted for the nash equilibrium quantity of each firm is obtained by maximizing its expected profit given the distribution of fuel costs and the availability of generating units the cournot equilibrium problem is formulated as a linear complementarity problem we give a numerical example to show how the price equilibrium quantities and firms profits are affected when outages and fuel cost volatility are ignored

a causal model of linkages among environmental dimensions macro organizational characteristics and performance an integrative model of relationships among environmental dimensions diversification strategy firm size structural divisionalization and economic performance was developed and tested using environmental and organizational data from 110 large manufacturing firms the results suggested that among those organizations 1 higher levels of environmental instability were associated with lower levels of divisionalization and diversification 2 strategy followed structure and 3 size did not mediate the strategy structure relationship furthermore both environmental instability and diversification were positively related to market determined performance and instability was negatively related to operating performance the results provided support for portions of each of three models the external control strategic management and inertial models

forecasting electricity prices and their volatilities using unobserved components abstract the liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities both in the short and long term thus there is a need of providing methodology that is able to deal with the most important features of electricity price series which are well known for presenting not only structure in conditional mean but also time varying conditional variances in this work we propose a new model which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices these common factors are jointly estimated as well as their relationship with the original vector of series and the dynamics affecting both their conditional mean and variance the estimation of the model is carried out under the state space formulation the new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the spanish zone of the iberian market several simplified alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power

corporate control and the choice of investment financing the case of corporate acquisitions we test the proposition that corporate control considerations motivate the means of investment financing cash and debt or stock corporate insiders who value control will prefer financing investments by cash or debt rather than by issuing new stock which dilutes their holdings and increases the risk of losing control our empirical results support this hypothesis in corporate acquisitions the larger the managerial ownership fraction of the acquiring firm the more likely the use of cash financing also the previously observed negative bidders abnormal returns associated with stock financing are mainly in acquisitions made by firms with low managerial ownership do firms have systematic preferences for the means of financing investments in modigliani and miller s 1958 m m s perfect market no tax world the means by which investments are financed are irrelevant for the total value of the firm miller 1977 extended this irrelevance proposition to a case where taxes exist however casual observation suggests that firms are not indifferent to the means of financing for example many firms prefer to finance investments from internal sources or by debt rather than by issuing new equity an explanation for such systematic financing preferences and the consequent capital structure of firms is therefore called for indeed a number of such explanations have been advanced for example deangelo and masulis 1980 showed that in miller s 1977 framework the means of financing is not irrelevant if firms have different expected marginal effective tax rates due to differences in fixed charges it has also been argued that financing preferences may result from agency costs associated with debt e g barnea haugen and senbet 1981 or from asymmetry of information between managers and outside investors myers and majluf 1984 recently harris and raviv 1988 and stulz 1988 advanced a new argument for the existence of financing preferences that centers around managers incentive to maintain control over the corporation specifically by increasing debt and using the proceeds to retire equity held by the public owners managers increase the probability of maintaining control and reaping the benefits associated with it since the substitution of debt for outsiders equity decreases the fraction of

the euro and its impact on the number size performance and regional spread of european mergers and acquisitions mccarthy k j and dolfsma w the euro and its impact on the number size performance and regional spread of european mergers and acquisitions regional studies the macroeconomic effects of the euro have been extensively studied the literature has however paid significantly less attention to the microeconomic consequences and few authors have considered if and how the euro has impacted firm level decision making this paper explores if how and in what way the euro has impacted one firm level decision whether to merge with or acquire another firm this paper builds a sample of 19 362 acquisitions announced in the period 1990 2014 it shows that the euro has dramatically increased the number size and performance of european mergers and acquisitions importantly it also notes that the euro has altered the geographic spread of european acquisitions the paper reports that since the introduction of the euro acquirers have made increasingly distant acquisitions and have preferred targets in periphera

uncertain outcomes of foreign investment determinants of the dispersion of profits after large acquisitions when u s firms make large international acquisitions the unpredicted component of their profits over the next five years increases with the relative size of the acquired firm degree of product diversification and reliance on r d assets the unpredicted component declines with the acquirer s size experience and previous profits transitory and longer run unpredicted components are distinguished

exchange rate pass through in japanese export pricing two recent aggregative studies claim to demonstrate that japanese exporters absorb a proportion of exchange rate changes in their profit margins but the estimates of this proportion are dramatically different this study accounts for the discrepancy and shows that neither estimate is credible these results identify incomplete pass through conditional on costs as a transitory consequence of export pricing in currencies other than yen the only long run effect of the exchange rate on yen dominated export prices operates through imported materials prices

electricity price forecasting using sale and purchase curves the x model abstract our paper aims to model and forecast the electricity price by taking a completely new perspective on the data it will be the first approach which is able to combine the insights of market structure models with extensive and modern econometric analysis instead of directly modeling the electricity price as it is usually done in time series or data mining approaches we model and utilize its true source the sale and purchase curves of the electricity exchange we will refer to this new model as x model as almost every deregulated electricity price is simply the result of the intersection of the electricity supply and demand curve at a certain auction therefore we show an approach to deal with a tremendous amount of auction data using a subtle data processing technique as well as dimension reduction and lasso based estimation methods we incorporate not only several known features such as seasonal behavior or the impact of other processes like renewable energy but also completely new elaborated stylized facts of the bidding structure our model is able to capture the non linear behavior of the electricity price which is especially useful for predicting huge price spikes using simulation methods we show how to derive prediction intervals for probabilistic forecasting we describe and show the proposed methods for the day ahead epex spot price of germany and austria

a novel hybrid method for crude oil price forecasting abstract forecasting crude oil price is a challenging task given the nonlinear and time varying characteristics of international crude oil prices we propose a novel hybrid method to forecast crude oil prices first we use the ensemble empirical mode decomposition eemd method to decompose international crude oil price into a series of independent intrinsic mode functions imfs and the residual term then the least square support vector machine together with the particle swarm optimization lssvm pso method and the generalized autoregressive conditional heteroskedasticity garch model are developed to forecast the nonlinear and time varying components of crude oil prices respectively next the forecasted crude oil prices of each component are summed as the final forecasted results of crude oil prices the results show that the newly proposed hybrid method has a strong forecasting capability for crude oil prices due to its excellent performance in adaptation to the random sample selection data frequency and structural breaks in samples furthermore the comparison results also indicate that the new method proves superior in forecasting accuracy to those well recognized methods for crude oil price forecasting

control modes in international service operations the propensity to franchise what determines a service firm s organizational choice between equity based control and franchising this question which has elicited some theoretical answers and a few empirical tests in a domestic setting has never been addressed in an international context before this study explains the mode of control chosen in terms of a theoretical framework which borrows from agency theory and transaction cost analysis the propensity to franchise internationally was found to be directly related to i monitoring costs associated with geographical and cultural distance between the principal franchisor and its foreign agents franchisees ii the principal s international experience and iii the degree of host countries contextual uncertainty but inversely related to the service firm level of brand name asset specificity

determinants of the share of equity sought in cross border acquisitions the extent of ownership in foreign market entry is an important topic in the entry mode literature yet the determinants of the share of ownership sought in cross border acquisitions cbas have not received much research attention drawing on multiple theoretical explanations we develop and test hypotheses on factors influencing the share of equity sought by foreign firms in cbas findings based on a sample of cbas by us firms show that the share of equity sought is influenced by many factors including the cost of valuing local firm assets difficulty in integrating local firm managers in culturally distant countries the cost of separating desired assets from the rest of the local firm and the cost of resource commitment under exogenous uncertainty

do firms learn to create value the case of alliances we investigate whether firms learn to manage interfirm alliances as experience accumulates we use contract specific experience measures in a data set of over 2000 joint ventures and licensing agreements and value creation measures derived from the abnormal stock returns surrounding alliance announcements learning effects are identified from the effects of unobserved heterogeneity in alliance capabilities we find evidence of large learning effects in managing joint ventures but no such evidence for licensing contracts the effects of learning on value creation are strongest for research joint ventures and weakest for marketing joint ventures these results are consistent with the view that learning effects are more important in situations characterized by greater contractual ambiguity copyright 2000 john wiley sons ltd

determinants of earnout as acquisition payment currency and bidder s value gains we examine the wealth effects of a comprehensive sample of uk bidders offering contingent payment or earnout as consideration for their acquisitions we show that bidders using earnout generate significantly higher announcement and post acquisition value gains than bidders using non earnout currencies such as cash stock exchange or mixed payments we construct a logistic model to predict when it is optimal for a bidder to offer earnout we show that bidders offering earnout optimally enjoy significantly higher announcement and post acquisition gains than bidders offering non earnout currencies consistent with our model of the choice of the optimal method of payment overall we provide robust evidence that earnout is an effective payment mechanism to mitigate valuation risk to acquirers and also enhances acquirer value during the announcement and post acquisition periods our paper contributes to the broader literature on how corporate acquirers use payment currency to manage information asymmetry and the attendant valuation risk

the effects of within country linguistic and religious diversity on foreign acquisitions this article explores how within country diversity of both language and religion influences the ownership structure of foreign acquisitions commentators have acknowledged the potential importance of within country diversity but to date this issue has received minimal empirical attention we propose that diversity plays two distinct roles namely diversity within the host country may be an additional source of behavioral uncertainty and information asymmetry over and above the effects arising from cross national differences moreover diversity within the home country may increase the cognitive complexity of the decision makers moderating the firm s response to the distance and diversity of the host country results based on foreign acquisitions across 67 acquirer and 69 target countries confirm both of these roles while the main focus of this article is on the role that within country diversity plays in international business decisions it also makes contributions in terms of expanding the range of dimensions of distance investigated in the cross border acquisition literature in highlighting a potentially positive role that diversity might play in such acquisitions and in providing a potential explanation for asymmetries in distance that is differences in cognitive complexity

forecasting day ahead electricity spot prices the impact of the exaa to other european electricity markets abstract in our paper we analyze the relationship between the day ahead electricity price of the energy exchange austria exaa and other day ahead electricity prices in europe we focus on markets which settle their prices after the exaa which enables traders to include the exaa price into their calculations for each market we employ econometric models to incorporate the exaa price and compare them with their counterparts without the price of the austrian exchange by employing a forecasting study we find that electricity price models can be improved when exaa prices are considered

synergy managerialism or hubris an empirical examination of motives for foreign acquisitions of u s firms this study examines the motives underlying foreign acquisitions of u s firms estimates the extent of value creation associated with such acquisitions and examines how total gains are shared between acquiring firms and targets we show that the synergy hypothesis is the predominant explanation for our sample of foreign acquisitions of u s firms however the hubris hypothesis coexists with the synergy hypothesis in explaining the acquisitions in our sample that are characterized by positive total gains the evidence is also consistent with the managerialism hypothesis for the acquisitions in our sample with negative total gains we show that the incidence of competition is associated with higher total gains as well as higher gains to targets

the case of negative day ahead electricity prices in recent years germany has significantly increased its share of electricity produced from renewable sources which is mainly due to the renewable energy act eeg the eeg substantially impacts the dynamics of intra day electricity prices by increasing the likelihood of negative prices in this paper we present a non gaussian process to model german intra day electricity prices and propose an estimation procedure for this model most importantly our model is able to generate extreme positive and negative spikes a simulation study demonstrates the ability of our model to capture the characteristics of the data

efficient modeling and forecasting of electricity spot prices abstract the increasing importance of renewable energy especially solar and wind power has led to new forces in the formation of electricity prices hence this paper introduces an econometric model for the hourly time series of electricity prices of the european power exchange epex which incorporates specific features like renewable energy the model consists of several sophisticated and established approaches and can be regarded as a periodic var tarch with wind power solar power and load as influences on the time series it is able to map the distinct and well known features of electricity prices in germany an efficient iteratively reweighted lasso approach is used for the estimation moreover it is shown that several existing models are outperformed by the procedure developed in this paper

do international acquisitions by emerging economy firms create shareholder value the case of indian firms while overseas acquisitions by emerging economy firms are gaining increased attention from the business press our understanding of whether and why this inorganic mode of international expansion creates value to acquirer firms is limited we argue that international acquisitions facilitate internalization of tangible and intangible resources that are both difficult to trade through market transactions and take time to develop internally thus constituting an important strategic lever of value creation for emerging economy firms furthermore the magnitude of value created will be higher when the target firms are located in advanced economic and institutional environments country markets that carry the promise of higher quality of resources and therefore stronger complementarity to the existing capabilities of emerging economy firms an event study of 425 cross border acquisitions by indian firms during 2000 2007 supports our predictions

asymmetric volatility in european day ahead power markets a comparative microeconomic analysis this paper uses high frequency spot price data from fourteen wholesale electricity markets in europe to analyze asymmetric volatility in european day ahead power markets with exponential garch e garch and tarch models our data set ranges from 1992 to 2015 and consists of approximately 926 000 observations as such this paper constitutes the most extensive and comprehensive work conducted so far on european power markets to the best of our knowledge unlike most of the literature that treats price as a continuous variable and attempts to model its trajectory this paper adopts a unique approach and regards each hour in a day a separate market the results show in post 2008 period the most expensive electricity is consumed in turkey ireland and uk while the cheapest power is in russia nordic countries and czech republic russia poland and czech republic have the least volatile markets while france ireland and portugal have the most volatile ones volatility has decreased in many european countries in post 2008 period besides we find magnitude effect is usually larger than the leverage effect meaning that the absolute value of price change is relatively more important than the sign of the change whether it is an increase or a decrease to explain volatility in european day ahead power markets moreover the results imply there is not a uniform inverse leverage effect in electricity prices that is price increases are more destabilizing in some european markets e g poland slovenia ireland netherlands than comparable price decreases but vice versa also holds true in some other countries e g portugal and france leverage or inverse leverage effect in post 2008 period is relatively stronger in portugal france and ireland but its impact is quite limited in turkey and germany furthermore although the impact of seasonality on prices is obvious a specific pattern cannot be identified finally large changes in the volatility will affect future volatilities for a relatively longer period of time in nordic countries ireland and the uk while changes in current volatility will have less effect on future volatilities in czech republic russia and turkey

cross border takeovers corruption and related aspects of governance we use a panel of 4979 cross border and domestic takeovers to test the relation between host country corruption and premiums paid for local targets host country corruption is negatively associated with target premiums after correcting for other governance related factors such as political stability legal systems and financial disclosure standards we estimate that deterioration in the corruption index by one point on a 10 point scale is on average associated with a reduction of 21 of local targets premiums our results do not support the notion that local corruption constitutes a significant market barrier to foreign investors rather it represents a discount on local takeover synergies which affects foreign and domestic acquirers alike however we find that the major effects of corruption can alternatively be explained by government effectiveness pointing towards an endogenous relationship between bribery and bureaucracy

the role of acquisitions in foreign direct investment evidence from the u s stock market this paper examines foreign direct investment by studying shareholder wealth gains for 1273 u s firms acquired during the period 1970 1987 three findings stand out first cross border takeovers are more frequent in research and development intensive industries than are domestic acquisitions furthermore in three fourths of cross border transactions the buyer and seller are in related industries these industry patterns suggest that costs and imperfections in product markets play an important role in foreign direct investment second targets of foreign buyers have significantly higher wealth gains than do targets of u s firms this cross border effect is comparable in size to the wealth effects of all cash and multiple bids two effects receiving substantial attention in the finance literature and is robust to inclusion of these two variables third while the cross border effect on wealth gains is not well explained by industry and tax variables it is positively related to the weakness of the u s dollar indicating a significant role for exchange rate movements in foreign direct investment

quadratic arch models we introduce a new model for time varying conditional variances as the most general quadratic version possible within the arch class hence it encompasses all the existing restricted quadratic variance functions its properties are very similar to those of garch models but avoids some of their criticisms in univariate applications to daily u s and monthly u k stock market returns qarch adequately represents volatility and risk premia qarch is easy to incorporate in multivariate models to capture dynamic asymmetries that garch rules out such asymmetries are found in an empirical application of a conditional factor model to 26 u k sectorial stock returns

the experience factor in foreign market entry behavior of service firms the paper examines the effect of international experience on service firms selection of foreign markets and entry modes the investigation utilizes survey date from 151 united states based service firms results on market selection suggest that as their experience increases and becomes geographically more diversified service firms tend to choose markets that are culturally less similar to their home country on entry mode choice the paper departs from traditional linear conceptualizations and hypothesizes a u shaped relationship between experience and propensity for integrated entry modes results generally support the hypothesis the paper explains these findings and describes how service firms resemble and differ from manufacturing firms in their foreign market entry behavior

organizational learning and diversification employing concepts of lateral and longitudinal learning we examined the dissolution of 462 expansions of dutch firms both acquisitions and new ventures we interpreted the endurance of an expansi

international corporate diversification market valuation and size adjusted evidence errunza and senbet es 7 analyze the effects of international operations on the market value of the firm both at theoretical and empirical levels the theoretical model which is largely heuristic exploits the costly supply adjustment of multinational firms mncs in providing international portfolio diversification services to investors who face differential cost barriers to direct holdings of assets across national boundaries mncs compete as financial intermediaries to undo the barriers so that in equilibrium profits are driven out mncs and pure domestic firms sell at an equivalent risk adjusted return however costly financial intermediation and the associated relative efficiency leads to a positive valuation effect for mncs relative to purely domestic firms further the equilibrium analysis implies that demand side investor barriers to international capital flows alone are inconsequential to the valuation of mncs in their pure financial role but that the interaction with the supply side costs are necessary to produce a valuation effect at the corporate level es subject the theory to an empirical analysis in a value based approach by employing a variant of tobin s 17 qratio the analysis controlling for industrial market power suggests that the relationship between the excess valuation and the degree of international involvement doi has magnified over periods characterized by severe u s government controls vis a vis the more recent periods in this paper we formalize the theoretical argument by viewing indirect portfolio diversification by mncs as a means of completing the international capital market we employ a paradigm in the unanimity literature and formally characterize the equilibrium in which there is a rationale for mnc financial intermediation we then perform an expanded empirical study by employing generalized least squares and maximum likelihood procedures since the positive relationship between excess valuation and doi as suggested in es 7 might be attributed to the so called small firm or size and the p e effects the test methodology controls for such effects also the traditional literature has relied upon foreign sales percentage as a proxy for doi in view of the well recognized limitations of this proxy we employ four different measures of international

invoicing currency effects in the pricing of japanese exports of manufactures the ratio of japanese export prices to the domestic output price of manufacturers is sensitive to the real exchange rate of the u s dollar as well as to that of the yen in the short run in the long run however only the yen real exchange rate is significant these findings are attributed to the use of the u s dollar as an invoicing currency for a large proportion of japanese exports even those destined for non u s markets in conjunction with lags between price setting and delivery

the effects of international operations on the market value of the firm theory and evidence this paper investigates the existence of monopoly rents associated with international operations in a market value theoretic framework the benefits of international operations evolve from such factors as 1 imperfections in the product and factor markets 2 differential international taxation and 3 imperfections in the financial markets in this paper these factors are subject to an equilibrium analysis in the context of recent advances in financial theory in particular imperfections in the financial sector arising from corporate international diversification are examined in a framework which allows a supply adjustments by multinational firms and b the interaction of barriers to international capital flows faced by both firms and investors taking the u s capital market and investors as a base we then specify the conditions under which the foregoing imperfections get priced out in an equilibrium these pricing effects cannot be detected empirically through the methodologies employed by the existing studies which examine the effects of corporate international diversification indeed it was an attempt to rescue the limitations of these studies which initially motivated our paper the existing empirical inquiries into this area rely on traditional risk adjusted performance measures e g 7 or international analogs of return generating processes e g 1 8 instead at the empirical level we employ a value based method which is in the same vein of the thomadakis 17 approach developed to identify the monopoly benefits of industrial market structure we conduct the tests over subperiods characterized by differential government controls in an attempt a to separate the pure financial motives for multinationality from other motives and b to detect if the benefits of international operations carry through recent periods

internalization an event study test abstract the internalization theory of multinational firms proposes that direct international investment occurs when a firm has information related intangible assets with public good properties we find that firms with characteristics suggesting the presence of information based assets experience a significantly positive stock price reaction upon announcing a foreign acquisition on the other hand firms apparently lacking such assets experience at best zero abnormal returns upon announcing overseas acquisitions

cross border acquisition abandonment and completion the effect of institutional differences and organizational learning in the international business service industry 1981 2001 based on the concepts of north s 1990 political economy of national institutions and economic behavior we investigate how formal and informal institutional features influence the likelihood that a cross border acquisition deal will be completed as well as the time taken for its completion after announcement additionally we study how past experience with completed acquisition deals moderates the effects of institutional differences we focus on a relatively new context the pre completion stage of acquisition processes we test our hypotheses using data from 2389 announced cross border acquisition deals in the international business service industry 1981 2001 we find that differences in national formal and informal institutions explain part of the variation in the likelihood that an announced cross border acquisition deal will be completed as well as the duration of the deal making in addition organizational learning moderates the effects of institutional distance past experience with completed cross border acquisition deals increases the likelihood of a subsequent deal completion in institutionally closer environments but shortens the deal duration in institutionally distant environments

a garch forecasting model to predict day ahead electricity prices price forecasting is becoming increasingly relevant to producers and consumers in the new competitive electric power markets both for spot markets and long term contracts price forecasts are necessary to develop bidding strategies or negotiation skills in order to maximize profits this paper provides an approach to predict next day electricity prices based on the generalized autoregressive conditional heteroskedastic garch methodology that is already being used to analyze time series data in general a detailed explanation of garch models is presented and empirical results from the mainland spain and california deregulated electricity markets are discussed

technological capabilities of countries firm rivalry and foreign direct investment studies on foreign direct investment fdi have concentrated on sectoral effects but rarely on country patterns in this paper we use u s department of commerce data to identify the largest country shares of new fdi entries into the u s and the technological motivations for their investments based on the technological intensities of major investing countries in manufacturing industries we conclude that technological industries attract a disproportionate share of fdi entries however the acquisition of u s technology is not a major motivation the findings indicate that industry rivalry is an important dimension to understanding fdi

the effect of national culture on the choice of entry mode characteristics of national cultures have frequently been claimed to influence the selection of entry modes this article investigates this claim by developing a theoretical argument for why culture should influence the choice of entry two hypotheses are derived which relate culture to entry mode choice one focusing on the cultural distance between countries the other on attitudes towards uncertainty avoidance using a multinomial logit model and controlling for other effects the hypotheses are tested by analysing data on 228 entries into the united states market by acquisition wholly owned greenfield and joint venture empirical support for the effect of national culture on entry choice is found

corporate takeover bids methods of payment and bidding firms stock returns this study explores the role of the method of payment in explaining common stock returns of bidding firms at the announcement of takeover bids the results reveal significant differences in the abnormal returns between common stock exchanges and cash offers the results are independent of the type of takeover bid i e merger or tender offer and of bid outcomes these findings supported by analysis of nonconvertible bonds are attributed mainly to signalling effects and imply that the inconclusive evidence of earlier studies on takeovers may be due to their failure to control for the method of payment recent studies on corporate takeovers provide inconclusive results on the valuation effects of acquisitions on the common stock of bidding firms 1 substantial differences are reported between the studies that analyze acquisitions initiated as tender offers and those that confine their samples to merger proposals the existence of mixed empirical findings for the bidding firms makes it difficult to interpret existing evidence and to draw conclusions about the managers acquisition motivations nevertheless the reason for the substantial difference between empirical findings on mergers and tender offers still remains an unresolved issue it is observed however that mergers are usually common stock exchange offers whereas tender offers are usually cash offers given that different methods of financing a project have different signalling implications myers and majluf 39 the differential stock returns of bidders in mergers and tender offers may be due to the method of acquisition financing

foreign direct investment and regulatory remedies for banking crises lessons from japan can regulatory interventions alleviate financial crises if so which ones work we draw inferences from the japanese banking crisis of the 1990s using a hand gathered database of bank loans gathered from original sources our results indicate that whereas risk based capital infusions in japan similar to those following the 2009 supervisory capital assessment program stress tests in the us were successful in stimulating aggregate lending by japanese banks earlier blanket infusions comparable to the 2008 troubled asset relief program tarp in the us were not effective moreover changes in accounting rules in japan that revalued bank assets similar to the relaxation of mark to market requirements for banks in the us did not increase aggregate japanese bank lending but rather reallocated it capital constraints during the crisis also induced many japanese banks to close their overseas branches and switch their charters from international to domestic this endogenous charter switch reversed the process of foreign direct investment fdi for many japanese banks therefore we use the japanese banking crisis as a natural experiment to test fdi theories and find empirical support for the relative access hypothesis but not for the industrial organization approach or for the relative wealth hypothesis

forecasting electricity spot prices using time series models with a double temporal segmentation the french wholesale market is set to expand in the next few years under european pressure and national decisions in this article we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day ahead horizon in france electricity spot prices display a strong seasonal pattern particularly in france given the high share of electric heating in housing during winter time to deal with this pattern we implement a double temporal segmentation of the data for each trading period and season we use a large number of specifications based on market fundamentals linear regressions markov switching ms models and threshold models with a smooth transition an extensive evaluation on french data shows that modelling each season independently leads to better results among nonlinear models ms models designed to capture the sudden and fast reverting spikes in the price dynamics yield more accurate forecasts finally pooling forecasts give more reliable results

exchange rate pass through in a small open economy the anglo irish case bilateral import unit values are constructed to investigate the extent and speed of exchange rate and production cost pass through into the unit values of irish imports total and sectoral from the uk using menon s 1996 mark up model the approach used to measure exchange rate pass through is based on cointegration and error correction modelling and the period of analysis is from 1979 to 1995 full pass through from the bilateral irish pound sterling exchange rate and from uk producer costs could not be rejected for total and sectoral import unit values for the sample period 1979q1 1995q4 this implies no role for domestic competing prices in explaining the long run relationship determining unit values of irish imports from the uk the results indicate that for aggregate and sectoral unit values of irish imports from the uk pass through is incomplete in the short run

the choice between mergers acquisitions and joint ventures the case of japanese investors in the united states this paper investigates the determinants of the choice between two alternative methods of pooling similar and complementary assets the merger acquisition and the greenfield equity joint venture two theories of the determinants of that choice are tested on a sample of japanese investments in the united states the results show that equity joint ventures are preferred over acquisitions when the desired assets are linked to nondesired assets because the u s firm owning them is large and not divisionalized when the japanese investor has little previous experience of the american market and hence seeks to avoid postmerger integration problems when the japanese investor and the u s partner manufacture the same product and when the industry entered is growing neither very rapidly nor very slowly

the degree and determinants of exchange rate pass through market structure non tariff barriers and multinational corporations this study investigates the exchange rate pass through for australian imports of manufactures pass through elasticities are estimated for total manufactures and forty product categories by applying an econometric procedure which avoids the pitfalls in previous studies to a carefully assembled data set the determinants of pass through are analyzed by relating the pass through elasticities to variables representing foreign control nontariff barriers product characteristics and market structure the author finds that pass through is incomplete for most products with significant variation across products unlike previous studies he finds that most of the variation in pass through is explained by the presence of multinational corporations and nontariff barriers copyright 1996 by royal economic society

short term forecasting of electricity prices for miso hubs evidence from arima egarch models this study estimates three time series models arima arima egarch and arima egarch m for hourly real time electricity prices for each of the five hubs of the midwest independent system operator miso and examines the in and out of sample forecasting performance of the respective models the results from the arima models reveal the presence of autoregressive conditional heteroskedasticity recognizing the possibility of asymmetric time varying volatility the egarch specification for the variance equation demonstrates the presence of an inverse leverage effect in electricity prices for each hub with respect to forecasts no one model clearly dominates the others in terms of in sample forecasting performance based on four forecast evaluation statistics however the arima egarch m model outperforms the other models michigan hub is the exception in terms of the out of sample forecasting performance

spatial geography and control in foreign acquisitions this article examines how spatial geography influences firms choice of control in cross border acquisitions cbas building our arguments on the information asymmetry in cbas we argue that geographic distance affects adverse selection and moral hazard problems in cbas geographic distance hinders acquirers efforts to assess the true value of the target firm prompting them to opt for a partial control at the same time geographic distance hampers acquirers ability to manage contractual relationships and integrate target firms prompting them to opt for a full control we argue that the cost and benefit trade off of full vs partial ownership varies at different levels of geographic distance accordingly we propose a curvilinear u shaped relationship between geographic distance and equity ownership this relationship is contingent on acquisition relatedness and the listing status of the acquirer public vs private as the geographic distance between acquirer and target increases acquirers assume higher equity stakes in related acquisitions than in unrelated acquisitions at greater geographic distances public firms acquire more equity ownership than do private firms findings from 10 181 deals across 52 acquiring and 61 target countries provide robust support for these arguments

explaining the national cultural distance paradox past studies of the relationship between national cultural distance and entry mode choice have produced conflicting results some scholars find cultural distance associated with choosing wholly owned modes others find cultural distance linked to a preference for joint ventures in this paper we provide both theoretical and empirical evidence to explain the discrepant findings and thus help to resolve the national cultural distance paradox

how renewable production depresses electricity prices evidence from the german market abstract the urgency of climate change has led several countries to develop renewable energy in order to reduce co2 emissions through the means of various subsidies in the electricity sector one drawback of such policies is the negative impact on electricity prices known as the merit order effect this paper aims at assessing how intermittent renewable production depresses electricity prices in germany which has experienced a significant increase of its renewable capacity over the last two decades to do so we use a two regime markov switching model that enables to disentangle the impact of wind and solar generation depending on the price being high or low we find as expected that renewable production induces a negative marginal effect which is stronger in regimes of relatively high prices in addition we show that both wind and solar productions have a significant impact on the distribution of prices and in particular on the frequency and expected duration of each regime this has implications in terms of market design security of supply and support mechanisms for renewables

forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models we apply the non parametric realized volatility technique and the associated jump detection test to measure volatility and jumps in electricity prices then we propose a group of logistic smooth transition heterogeneous autoregressive lsthar models of realized volatility the models can simultaneously approximate long memory behavior and describe sign and size asymmetries they differ in the underlying heterogeneous autoregressive structure and the transition variable specification the out of sample forecast accuracy of the lsthar models is evaluated through the diebold mariano test and the superior predictive ability test in terms of the mean square error and the mean absolute error using high frequency prices from the australian new south wales nsw electricity market as empirical data we draw the following conclusions 1 introducing the logistic smooth transition structure with appropriate transition variable specification to the heterogeneous autoregressive models improves volatility forecasts 2 overall the lsthar model that uses the sum of beta function weighted past returns as the transition variable and includes past daily jumps as a predictor is the superior model for predicting volatility in the nsw market this model significantly outperforms the others

long run price effects of exchange rate changes in finnish pulp and paper exports this paper presents long run exchange rate elasticities of finnish newsprint and pulp export prices in the united kingdom uk and germany over the period 1980 94 the elasticities were estimated for a markup pricing model using johansen s cointegration method the magnitudes of the elasticity estimates obtained by imposing price homogeneity indicate that pass through of exchange rate changes to export prices has been incomplete in both markets for newsprint the pass through elasticity was 0 60 in the uk and 0 46 in germany which means that about one half of the changes in the exchange rates is reflected in prices as expressed in the destination countries currencies and about a half in prices measured in finnish markka instead in pulp exports the pass through elasticities differed from each other between the two destination countries more clearly than in newsprint exports indicating a different pricing behaviour of finnish pulp exporters in the uk and germany when exchange rate changes pass throug

exchange rates and import prices for a small open economy the exchange rate pass through for a small open economy in the case of australian manufactured imports in estimated by applying an econometrics procedure which avoids the pit falls in previous studies to a carefully assembled data set for the first time in the literature estimate of pass through based on the johansen 1988 maximum likelihood ml procedure are provided it is found that incomplete pass through has important implications for policy and the macroeconomy

the effect of the feed in system policy on renewable energy investments evidence from the eu countries abstract we study the effect of the feed in system fis policy on wind and solar photovoltaic energy investments in the european union eu over the time period between 1992 and 2015 considering the heterogeneity of the policies and market conditions across the eu countries we develop a fis subsidy performance indicator that distinguishes feed in tariff fit from feed in premium fip and considers other important aspects of each of these contracts such as the duration tariff price energy spot price and production costs as well as the market conditions we conclude that the mere existence of the fis policy does not necessarily enhance renewable energy investments it depends on the type of the fis contract and its features and may vary across the different sources of renewable energy some of our findings are new to the literature and can have important implications in the development of new public investment incentives to promote renewable energy

exchange rate pass through abstract the resilience of trade balances of the major industrialized economies to changes in their exchange rates has evoked interest in the exchange rate pass through relationship so far there has not been a comprehensive survey of this literature the paper aims to fill this gap in two ways first it pieces together the theoretical literature on exchange rate pass through second it provides a critical survey of the empirical literature on exchange rate pass through emphasis is placed on the data and methodology employed in previous work this is done in order to guide future work in this growing area of research

the response of the us export prices to changes in the dollar s effective exchange rate further evidence from industry level data the relationship between the dollar s effective exchange rate and the export price indexes for 13 two digit us manufacturing industries is analysed to determine i which industry adjusts its dollar export price to dampen or amplify the effect of the exchange rate fluctuations on the foreign currency price of its exports and ii whether the response of the export price index to appreciation and depreciation of the exchange rate is asymmetric for several industries evidence consistent with dampening the foreign currency price of exports in an asymmetric fashion is found the implications of the results for the price competitiveness of the industries studied is discussed

corporate performance and managerial remuneration an empirical analysis abstract economic theories of efficient compensation predict a positive relationship between executive pay and corporate performance and yet efforts to document this relationship have been largely unsuccessful in this paper we argue that previous cross sectional studies have omitted important variables which seriously bias their results using data that focus on individual executives over time we find that executive compensation is strongly positively related to corporate performance as measured by shareholder return and growth in firm sales the results are robust to the stock market performance measure utilized

mitigating risk in international mergers and acquisitions the role of contingent payouts previous internationalization studies have focused on the entry modes employed by multinational firms but have not considered the contractual heterogeneity that underlies each mode it is important to examine these contractual details as the firm may be able to obtain some of the benefits typically associated with one entry mode while selecting another in the case of international mergers and acquisitions m as a key contractual variable is whether the parties agree to a performance contingent payout structure which can mitigate the risk of adverse selection in this paper we examine the antecedents of contingent payouts in the form of earnouts and stock payments the results indicate that firms lacking international and domestic acquisition experience turn to contingent payouts when purchasing targets in high tech and service industries firms tend to avoid contingent payouts in host countries with problems with investor protection and legal enforceability

pricing to market behaviour and exchange rate pass through in japanese exports this paper examines the relationship between exchange rate changes and japanese export pricing behavior employing a methodology which permits the separate measurement of pricing to market behavior and the cost impact of exchange rate changes the results suggest that incomplete pass through of exchange rate changes is a pervasive phenomenon but rejects the widely held view that japanese export firms have relied more heavily on pricing to market strategies during the period of yen appreciation in order to maintain market shares there is also evidence that estimates which capture only pricing to market behavior may over emphasise the degree of pass through to the extent that cost of production is sensitive to exchange rate changes copyright 1994 by royal economic society

exchange rate appreciation and export competitiveness the case of singapore policy prescriptions have generally assumed that exchange rate depreciation would stimulate exports and curtail imports while exchange rate appreciation would be detrimental to exports and encourage imports this prediction has however often neglected to consider the existence of the import content of exports as well as the dynamic effects of productivity improvements our paper seeks to show empirically the significance of these two factors in affecting the competitiveness of singapore s exports specifically the paper shows that in the presence of high import content exports are not adversely affected by currency appreciation because the lower import prices due to appreciation reduce the cost of export production in the case of singapore this cushioning effect outweighs that of the effect of productivity gains on export competitiveness the service exports however with a very low import content tend to suffer from currency appreciation

electricity price short term forecasting using artificial neural networks this paper presents the system marginal price smp short term forecasting implementation using the artificial neural networks ann computing technique the described approach uses the three layered ann paradigm with backpropagation the retrospective smp real world data acquired from the deregulated victorian power system was used for training and testing the ann the results presented in this paper confirm considerable value of the ann based approach in forecasting the smp

renewable energy regulation and structural breaks an empirical analysis of spanish electricity price volatility abstract international experience proves that electricity prices have undergone major changes in volatility since the entry of green technologies the intermittency of renewable sources is one of the reasons for these changes as it leads to higher volatility in periods of higher participation by renewables we argue that the development of the regulatory system promoting renewable electricity also plays a crucial role we raise a question that deserves attention could an incentive scheme induce higher share of renewables and lower volatility simultaneously in this paper we conduct an empirical analysis with spanish data we analyze possible ensuing structural changes in spanish electricity spot price volatility from january 2002 to december 2017 we identify two structural breaks linked to important measures related to renewable electricity i the abolishment of the feed in tariff scheme and ii the establishment of a more market oriented regulation based on investment and operating costs we conclude that stable regulatory policies reduce volatility even though the presence of renewable sources is greater furthermore market based policy measures achieve lower volatility encouraging good integration of intermittent renewable electricity

applying arma garch approaches to forecasting short term electricity prices abstract accurately modeling and predicting the mean and volatility of electricity prices can be of great importance to value electricity bid or hedge against the volatility of electricity prices and manage risk the paper applies various autoregressive moving average arma models with generalized autoregressive conditional heteroskedasticity garch processes namely arma garch models along with their modified forms arma garch in mean arma garch m to model and forecast hourly ahead electricity prices in total 10 different model structures are adopted and this paper thus conducts a comprehensive investigation on the arma garch based time series forecasting of electricity prices multiple statistical measures are employed to evaluate the modeling sufficiency and predication accuracy of the arma garch m methods the results show that the arma garch m models are in general an effective tool for modeling and forecasting the mean and volatility of electricity prices while arma sgarch m models are simple and robust and the arma gjrgarch m model is very competitive in addition we observe that hourly electricity prices exhibit apparent daily weekly and monthly periodicities and have the nonlinear and asymmetric time varying volatility together with an inverse leverage effect