bookbuilding and strategic allocation in the bookbuilding procedure an investment banker solicits bids for shares from institutional investors prior to pricing an equity issue the banker then prices the issue and allocates shares at his discretion to the investors we examine the books for 39 international equity issues we find that the investment banker awards more shares to bidders who provide information in their bids regular investors receive favorable allocations especially when the issue is heavily oversubscribed the investment banker also favors revised bids and domestic investors investment banks commonly build a book before pricing an equity issue in the united states it has been standard practice for a number of years in many other countries where fixed price offerings were traditionally used the bookbuilding procedure is becoming increasingly common especially for international equity issues 1 under the formal bookbuilding procedure the investment banker solicits indications of interest from institutional investors such indications consist of a bid for a quantity of shares and might include a maximum price i e a limit price or other details the investment banker uses the information to construct a demand curve the issue price is not set according to any explicit rule but rather based on the banker s interpretation of investors indications of interest he generally sets the price at a level at which demand exceeds supply and then allocates shares to the bidders at his discretion thus the

ipo underpricing and flotation methods in taiwan a stochastic frontier approach adopting stochastic frontier analysis this article studies the pricing model and underpricing phenomenon of the initial public offerings ipos in taiwan and further elucidates the potential impact of offering mechanisms on underpricing the sampling period is from 1996 to 2003 in which 647 ipos are selected empirical results suggest that issuing firms with greater earning potentials less risk or less asymmetric information have lower underpricing furthermore the variables included to explain underpricing are mostly significant especially the proxy variable for flotation method observed mean ipo underpricing is 20 59 in the sample period compared to 17 12 for the subgroup using the auction method this statistically significant difference implies that the introduction of the auction method can help reduce ipo underpricing

ipo pricing in hot market conditions who leaves money on the table this paper explores the impact of investor sentiment on ipo pricing using a model in which the aftermarket price of ipo shares depends on the information about the intrinsic value of the company and investor sentiment i show that ipos can be overpriced and still exhibit positive initial return a sample of recent french offerings with a fraction of the shares reserved for individual investors supports the predictions of the model individual investors demand is positively related to market conditions moreover large individual investors demand leads to high ipo prices large initial returns and poor long run performance the end of the nineties was one of the hottest ipo markets ever in this period both the number of initial public offerings and the level of initial returns have reached unprecedented peaks ritter documents that in 1999 and 2000 only 803 companies went public in the united states raising about 123 billion and leaving about 62 billion on the table in the form of initial returns periodically such periods of ipo euphoria occur these so called hot issue markets are characterized by high ipo volumes and high levels of initial return see ibbotson and jaffe 1975 and ritter 1984 as well as positive serial correlation of ipo initial returns and correlation between recent levels of initial return and current ipo volume surprisingly however pre ipo shareholders do not seem to be upset about leaving so much money on the table loughran and ritter 2002 explain this phenomenon by the fact that insiders of ipo companies consider not only the shares they sell in the ipo but also those they retain which benefit from the large initial price run up ljungqvist and wilhelm 2003 show that during the 1999 to 2000 period ipo companies were significantly different from usual

pre issue investor optimism and post issue underperformance prior studies have documented long run stock market underperformance after security offerings some studies conjectured that the post issue underperformance might be the result of pre issue investor optimism the study reported here investigated 1 whether investor optimism is associated with post issue underperformance 2 how investor optimism changes in the one year period surrounding the security offering month 3 whether investor optimism differs between equity issuers and debt issuers and 4 whether such differences affect companies financing choices we confirmed underperformance of debt and equity issuers and found that the post issue buy and hold abnormal returns are negatively associated with pre issue investor optimism we found little evidence however that investor optimism affects companies financing choices

an alternative approach to estimate the wage returns to private sector training summary this paper follows an alternative approach to identify the wage effects of private sector training the idea is to narrow down the comparison group by only taking into consideration the workers who wanted to participate in training but did not do so because of some random event this makes the comparison group increasingly similar to the group of participants in terms of observed individual characteristics and the characteristics of planned training events at the same time the point estimate of the average return to training consistently drops from a large and significant return to a point estimate close to zero copyright 2008 john wiley sons ltd

dynamic spillover effects among crude oil precious metal and agricultural commodity futures markets abstract this paper examines spillover effects among six commodity futures markets gold silver west texas intermediate crude oil corn wheat and rice by employing the multivariate deco garch model and the spillover index specifically we investigate the dynamics of return and volatility spillover indices to reveal the intensity and direction of transmission during the recent global financial and european sovereign debt crises our empirical results are as follows first we estimate a positive equicorrelation between commodity futures market returns and find that it increased sharply during the crises this effect can persist during periods of economic and financial turmoil diminishing the benefits of international portfolio diversification for investors second we identify bidirectional return and volatility spillovers across commodity futures markets and find more pronounced trends in their levels in the post crisis period this indicates the strong impact of spillovers during crisis periods third both gold and silver are information transmitters to other commodity futures markets while the remaining four commodity futures investigated were receivers of spillovers during recent periods of financial stress finally we analyse the optimal portfolio weights and time varying hedge ratios between metal and other commodities futures markets overall our findings provide new insights into channels of information transmission which may improve investment decisions and inform portfolio investors trading strategies

elite law firms in the ipo market abstract ipos with underwriters that retain an elite law firm exhibit a lower average first day return this empirical pattern remains after controlling for an extensive set of proxies associated with existing explanations of ipo initial returns we rationalize this finding with a pre ipo pricing model in which underwriters convey their lack of conflicts of interest to the issuer by engaging an elite law firm consistent with this selection channel and our model s predictions we find a lower incidence of elite law firm involvement and a larger difference in average first day return associated with elite law firms during the dot com period we document similar findings with respect to the dispersion of ipo first day returns and a pattern in the issuers re hiring decision of investment banks consistent with our theory

litigation risk and ipo underpricing abstract we examine the relation between risk and ipo underpricing and test two aspects of the litigation risk hypothesis 1 firms with higher litigation risk underprice their ipos by a greater amount as a form of insurance insurance effect and 2 higher underpricing lowers expected litigation costs deterrence effect to adjust for the endogeneity bias in previous studies we use a simultaneous equation framework evidence provides support for both aspects of the litigation risk hypothesis

drivers and triggers of international food price spikes and volatility the objective of this study is to explore empirical evidence about the quantitative importance of supply demand and market shocks for price changes in international food commodity markets to this end it distinguishes between root conditional and internal drivers of price changes using three empirical models 1 a price spike model in which monthly food price returns spikes are estimated against oil prices supply and demand shocks and excessive speculative activity 2 a volatility model in which annualized monthly variability of food prices is estimated against the same set of variables plus a financial crisis index and 3 a trigger model that estimates extreme values of price spikes and volatility using quantile regressions the results point to increasing linkages between food energy and financial markets this explains much of the observed food price spikes and volatility while financial speculation amplifies short term price spikes oil price volatility intensifies medium term price volatility

analyzing the time frequency lead lag relationship between oil and agricultural commodities abstract we analyze the time frequency co movement of and lead lag relationship between price indices of oil and 21 agricultural commodities and attempt to identify the leader and follower among the considered price indices for the 1980m1 2017m5 period the empirical analysis is conducted using four wavelet tools wavelet coherency phase difference multiple correlation and multiple cross correlation the first two tools are used to identify the time frequency co movement of and lead lag relationship between price indices of oil and 21 agricultural commodities and the third and fourth tools are used to identify the leader and follower among all series of price indices across different scales our results on wavelet coherency show a high degree of co movement at a long run horizon for the entire period between the price indices of oil and coal cotton fishmeal maize rice rubber and wheat furthermore the connection between these commodity markets and the oil market strengthened after 2000 indicating the importance of financial crisis phenomena and geopolitical turbulence additional findings show that short run investors should invest in the beef and swine pork markets as they have very little correlation with the oil markets the results of multiple correlation and multiple cross correlation analysis show that the coffee price was leader or follower across all time scales except wavelet scale 16 where barely was a leader or a follower

co movement of major energy agricultural and food commodity price returns a time series assessment abstract using monthly data between 1970 and 2013 we provide a comprehensive analysis of the extent of co movement measured by correlation coefficients among the nominal price returns of 11 major energy agricultural and food commodities we study the degree and the time evolution of unconditional and conditional correlations using a uniform spacings estimation and testing approach multivariate dynamic conditional correlation models and a rolling regression procedure we find that 1 the price returns of energy and agricultural commodities are highly correlated 2 the overall level of co movement among commodities increased in recent years especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil which are important inputs in the production of biofuels and 3 the stock market volatility is positively associated with the co movement of price returns across markets especially after 2007

price stabilization as a bonding mechanism in new equity issues abstract underwriters have an incentive to overstate investor interest in order to persuade some investors to purchase shares at a price in excess of their initial estimate of the fair value we show that this incentive is eliminated when the underwriter commits to secondary market price stabilization destroying the underwriter s incentive to overstate interest reduces the total surplus captured by initial investors in initial public offerings further efficiency gains are associated with penalty bid systems that permit the underwriter to make the stabilization commitment selectively price stabilization can thus be viewed as a bonding mechanism that improves the efficiency of the primary equity market

do energy prices stimulate food price volatility examining volatility transmission between us oil ethanol and corn markets this paper examines volatility transmission in oil ethanol and corn prices in the united states between 1997 and 2011 we follow a multivariate garch approach to evaluate the level of interdependence and the dynamics of volatility across these markets preliminary results indicate a higher interaction between ethanol and corn markets in recent years particularly after 2006 we only observe however significant volatility spillovers from corn to ethanol prices but not the converse we also do not find major cross volatility effects from oil to corn markets the results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets

co movements between crude oil and food prices a post commodity boom perspective using the correlations of var forecast errors at different horizons this paper analyzes the dynamics of co movements between crude oil and food prices for each food price considered a bivariate var model is estimated on two subsample periods a pre commodity boom 1990m1 2006m12 and a post boom period 2007m1 2015m5 our results reveal strong positive co movements between crude oil and food prices in the aftermath of the commodity boom while no statistically significant co movements are observed over the pre boom period hence our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets

valuing and pricing ipos abstract this paper investigates how underwriters set the ipo firm s fair value an ex ante estimate of the market value using a unique dataset of 228 reports from french underwriters these reports are issued before the ipo shares start trading on the stock market and detail how underwriters determined fair value we document that underwriters often employ multiples valuation dividend discount models and discounted cash flow dcf analysis to determine fair value but that all of these valuation methods suffer from a positive bias with respect to equilibrium market value we also analyze how this fair value estimate is subsequently used as a basis for ipo pricing we report that underwriters deliberately discount the fair value estimate when setting the preliminary offer price part of the intentional price discount can be recovered by higher price updates we find that controlling for other factors such as investor demand part of underpricing stems from this intentional price discount

impact of food price volatility on the us restaurant sector although fluctuations in agricultural commodity prices appear to be a source of risk to the us restaurant sector the effect that volatility of food price has on the performance returns of that s

volatility linkages between energy and agricultural commodity prices abstract we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in germany and study their dynamics over time we propose an econometric approach to quantify the volatility and correlation risk structure which has a large impact for investment and hedging strategies of market participants as well as for policy makers volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation garch model as well as a multivariate multiplicative volatility model our approach provides a flexible and accurate fitting procedure for volatility and correlation risk we find that in the long run prices move together and preserve an equilibrium while correlations are mostly positive with persistent market shocks our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified

an optimal ipo mechanism we analyse the optimal initial public offering ipo mechanism in a multidimensional adverse selection setting where institutional investors have private information about the market valuation of the shares the intermediary has private information about the demand and the institutional investors and intermediary collude theorem 1 states that uniform pricing is optimal all agents pay the same price and characterizes the ipo price in terms of conditional expectations theorem 2 states that the optimal mechanism can be implemented by a non linear price schedule decreasing in the quantity allocated to retail investors this is similar to ipo procedures used in the u k and france relying on french ipo data we perform a gmm structural estimation and test of the model the price schedule is estimated and the conditions characterizing the optimal mechanism are not rejected

stabilization syndication and pricing of ipos we argue that in the after market trading of an ipo the underwriting syndicate by standing ready to buy back shares at the offer price price stabilization compensates uninformed investors ex post for the adverse selection cost they face in bidding for ipos this domi nates ex ante compensation by underpricing the reason is that stabilization exploits ex post information about investor demand whereas underpricing must be based on ex ante infor mation however liquidity and syndication costs constrain the use of stabilization which in equilibrium generates some underpricing as well we develop a model that formalizes this intuition and generates several empirical implications

do food and oil prices co move abstract this paper studies co movements between world oil prices and global prices for corn soybean and wheat using copulas several copula models with different conditional dependence structures and time varying dependence parameters were considered empirical results for weekly data from january 1998 to april 2011 showed weak oil food dependence and no extreme market dependence between oil and food prices these results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non contagion between the crude oil and agricultural markets however dependence increased significantly in the last three years of the sampling period even though upper tail dependence remained insignificant indicating that food price spikes are not caused by positive extreme oil price changes these results have implications for policy design risk management and hedging strategies

is the ipo pricing process efficient this paper investigates underwriters treatment of public information throughout the ipo pricing process two key findings emerge first public information is not fully incorporated into the initial price range while the economic magnitude of the bias is small it is puzzling because it is not clear who benefits from it further it indicates that the filing range midpoint is not an unbiased predictor of the offer price as prior literature has assumed second while public information is similarly not fully incorporated into the final offer price the small economic significance of this relation indicates that the ipo pricing process is almost efficient

evaluating the econometric evaluations of training programs with experimental data this paper takes the results of an employment and training program thatwas run as a field experiment in which the participants were randomlyassigned into a treatment or a control group and compares these results to the estimates that might have been produced by an econometrician who evaluated the program using the same econometric procedures that have been used in the program evaluation literature this comparison shows that many of these econometric procedures fail toreplicate the experimentally determined results and suggests that researchers should be aware of the potential for specification errorsin other nonexperimental evaluations copyright 1986 by american economic association

the dependence structure across oil wheat and corn a wavelet based copula approach using implied volatility indexes abstract this paper examines the dependence structure between three commodities implied volatility indexes oil wheat and corn during bear normal and bull markets and at different scales for this purpose we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons the results support evidence of time varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short term horizon medium term horizon and long term horizon suggesting that the dependence structure is sensitive to time horizons these results have important implications for the analysis of portfolio risk management

private school vouchers and student achievement an evaluation of the milwaukee parental choice program in 1990 wisconsin began providing vouchers to a small number of low income students to attend nonsectarian private schools controlling for individual fixed effects i compare the test scores of students selected to attend a participating private school with those of unsuccessful applicants and other students from the milwaukee public schools i find that students in the milwaukee parental choice program had faster math score gains than but similar reading score gains to the comparison groups the results appear robust to data imputations and sample attrition although these deficiencies of the data should be kept in mind when interpreting the results

what causes the ipo underpricing new evidence from china s sme market we study 10 year ipo initial returns in china s small and medium sized enterprise sme board between 2006 and 2016 including 755 ipo samples at the same time we test how policy changes of ipo p

oil price shocks and agricultural commodity prices abstract while the impacts of oil price changes on agricultural commodity markets are of great interest to economists previous studies do not differentiate oil specific shocks from aggregate demand shocks in this paper we address this issue using a structural var analysis our findings indicate that the responses of agricultural commodity prices to oil price changes depend greatly on whether they are caused oil supply shocks aggregate demand shocks or other oil specific shocks mainly driven by precautionary demand oil shocks can explain a minor friction of agricultural commodity price variations before the food crisis in 2006 2008 whereas in post crisis period their explanatory abilities become much higher after crisis the contributions of oil specific factors to variations in agricultural commodity prices are greater than those of aggregate demand shocks the results from an alternative svar confirm the robustness of our main findings

the effects of training on own and co worker productivity evidence from a field experiment this article identifies the effects of work related training on worker productivity by exploiting a field experiment that randomly assigns workers to treatment and control groups combined with data on worker performance before and after training we find that participation in the training programme leads to a 10 increase in performance moreover we provide experimental evidence for externalities from training an increase of 10 percentage points in the share of treated peers improves a worker s performance by 0 51 furthermore we find that the performance increase is not due to lower quality provided by the worker

ipos with buy and sell side information production the dark side of open sales the proposed model by incorporating both 1 banker screening of new issues and 2 costly evaluation by investors is the first to admit endogenous double sided information production it demonstrates a nontrivial link between these two sides the banker wishes to structure a sale conducive to investor research because selling to an uninformed pool would result in his own shirking one application of this paradigm indicates that contrary to the findings of most ipo models larger investor pools are not always better this result resolves the participation restriction puzzle of why bankers do not open sales to all bidders even when doing so would maximize competition and reduce underpricing copyright 2005 oxford university press

food versus fuel what do prices tell us abstract sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short run versus the long run impacts using time series prices on fuels and agricultural commodities the aim is to investigate the long run cointegration of these prices simultaneously with their multivariate short run interactions results indicate no direct long run price relations between fuel and agricultural commodity prices and limited if any direct short run relationships in terms of short run price movements sugar prices are influencing all the other agricultural commodity prices except rice with sugar the number one world input for ethanol results indicate increased ethanol production is potentially influencing short run agricultural commodity prices overall results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event shock

bookbuilding vs fixed price an analysis of competing strategies for marketing ipos we compare two mechanisms for selling ipos the fixed price method and american book building when investors have correlated information and can observe each other s subscription decisions in this environment the fixed price method is a strategy that can create cascading demand alternatively an underwriter building a book aggregates investor information into the offer price we find that bookbuilding generates higher expected proceeds but exposes the issuer to greater uncertainty and that it provides the option to sell additional shares that are not underpriced on the margin

regional discontinuities and the effectiveness of further training subsidies for low skilled employees the author analyzes the effects of further training subsidies for low skilled employees on individual labor market outcomes in germany using detailed administrative data the author exploits cross

does individual investors attention influence underwriters ipo pricing using a unique chinese ipo bidding dataset and a particular social media dataset we examine the impact of individual investors attention on underwriters offer price adjustment offer price revis

ipo mechanisms monitoring and ownership structure1 this paper analyzes the e ect of di erent ipo mechanisms on the structure of share ownership and explores the role of underpricing and rationing in determining investors shareholdings we focus on the agency problem that results when large institutions are the only investors capable of monitoring the firm whereas small shareholders free ride on these activities the major conclusion is that some well known aspects of ipos may be explained as rational responses by the issuer to the existence of regulatory constraints in public capital markets there is a two stage o ering mechanism in which the investment banker acting in the interests of the issuer optimally rations the allotment of shares to small investors in order to capture the benefits associated with better monitoring by institutions importantly in our model the existence of underpricing and oversubscription is an indication that the issuer has received a higher ex ante price than would have been obtained through a competitive walrasian type o ering process 1998 elsevier science s a all rights reserved jel classification g24 g32 g38

returns to sentiment investors in ipos abstract it is shown that the presence of sentiment investors in ipos reduces the winner s curse problem and further that the expected excess return to sentiment investors may be positive or negative depending on parameter values the possibility of a positive expected return suggests a rational basis for the presence of sentiment investors in ipos

time varying co movements between energy market and global financial markets implication for portfolio diversification and hedging strategies abstract this study explores the time patterns of volatility spillovers between energy market and stock prices of seven major global financial markets including clean energy energy information technology corporations equity markets and united states economic policy index over the period vary from december 28 2000 to december 31 2018 we employ a time domain connectedness measures of diebold and yilmaz dy 2009 2012 and 2014 to examine spillover mechanism of volatility shocks across future markets optimal weights and hedge ratios are calculated for portfolio diversification and risk management the main findings of the study conclude that oil shocks are exogenous and contribution of oil market volatility to global financial markets is insignificant the returns of world stock index and world energy index are major transmitters of volatility to clean energy market moreover the impact of energy market become strong in global financial market when data is divided into pre during and post financial crisis periods finally the hedge ratios are volatile over time and their maximum value is observed during the financial crisis period of 2008 09 the optimal portfolio between energy and stock prices are heavily weighted to the stock markets

assessing the effect of oil price on world food prices application of principal component analysis the objective of this paper is to investigate the co movement of food prices and the macroeconomic index especially the oil price by principal component analysis to further understand the influence of the macroeconomic index on food prices we examined the food prices of seven major products eggs meat milk oilseeds rice sugar and wheat the macroeconomic variables studied were crude oil prices consumer price indexes food production indexes and gdp around the world between 1961 and 2005 we use the scree test and the proportion of variance method for determining the optimal number of common factors the correlation coefficient between the extracted principal component and the macroeconomic index varies between 0 87 for the world gdp and 0 36 for the consumer price index we find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index consequently crude oil prices have an indirect effect on food prices

do differences in institutional and legal environments explain cross country variations in ipo underpricing we empirically analyse the determinants of initial public offering ipo underpricing using panel data for 24 countries over the period 1988 2005 our hypotheses stress the importance of institutional and legal factors in explaining cross country variations we find evidence that underpricing is higher in countries with stronger protection of outside investors suggesting that incumbent managers try to use underpricing as a tool to safeguard their private benefits of control when going public moreover the results show that underpricing is reduced when stronger law enforcement and the availability of accounting information reduce the value of private benefits of control

auctions vs bookbuilding and the control of underpricing in hot ipo markets market returns before the offer price is set affect the amount and variability of initial public offering ipo underpricing thus an important question is what ipo procedure is best adapted for controlling underpricing in hot versus cold market conditions the french stock market offers a unique arena for empirical research on this topic since three substantially different issuing mechanisms auctions bookbuilding and fixed price are used there using 1992 1998 data we find that the auction mechanism is associated with less underpricing and lower variance of underpricing we show that the auction procedure s ability to incorporate more information from recent market conditions into the ipo price is an important reason copyright 2003 oxford university press

public information ipo price formation and long run returns japanese evidence the price formation process of jasdaq ipos is more transparent than in the united states the transparency facilitates analysis of important issues in the ipo literature why offer prices only partially adjust to public information and adjust more fully to negative information and why adjustments are related to initial returns the evidence indicates that early price information conveys the underwriter s commitment to compensate investors for acquiring and or disclosing information offer prices reflect pre ipo market values of public companies and implicit agreements between underwriters and issuers that originate well before the offering underadjustment of offer prices is substantially reversed in the aftermarket copyright c 2009 the american finance association

why don t issuers get upset about leaving money on the table in ipos one of the puzzles regarding initial public offerings ipos is that issuers rarely get upset about leaving substantial amounts of money on the table defined as the number of shares sold times the difference between the first day closing market price and the offer price the average ipo leaves 9 1 million on the table this number is approximately twice as large as the fees paid to investment bankers and represents a substantial indirect cost to the issuing firm we present a prospect theory model that focuses on the covariance of the money left on the table and wealth changes our reasoning also provides an explanation for a second puzzling pattern much more money is left on the table following recent market rises than after market falls this results in an explanation of hot issue markets we also offer a new explanation for why ipos are underpriced copyright 2002 oxford university press

are training programs more effective when unemployment is high we estimate short run medium run and long run individual labor market effects of training programs for the unemployed by following program participation on a monthly basis over a 10 year period since analyzing the effectiveness of training over such a long period is impossible with experimental data we use an administrative database compiled for evaluating german training programs based on matching estimation adapted to address the various issues that arise in this particular context we find a clear positive relation between the effectiveness of the programs and the unemployment rate over time

the effects of human capital interventions on entrepreneurial performance in industrialized countries this paper provides a systematic review of studies on the effects of human capital interventions on entrepreneurial performance in industrialized countries we identify 21 experimental and quasi experimental studies published before september 2018 these studies examine the effects of business training formal education and entrepreneurship education their performance outcomes include firm profits firm size and entrepreneurial earnings the main finding across these studies is that these interventions do not have statistically significant effects formal education is the only exception showing positive effects on firm profits and entrepreneurial earnings yet these effects are small in magnitude evidence is inconclusive regarding effect duration these findings stand in stark contrast to correlational studies which tend to find large positive correlations between human capital interventions and entrepreneurial performance we therefore conclude that correlational studies tend to overestimate the benefits of human capital interventions moreover our estimates show that the interventions are associated with moderately low additionality

time frequency dynamics of return spillover from crude oil to agricultural commodities we explore return spillover from crude oil to ethanol corn soybean and wheat on daily data during 17 may 2005 27 june 2018 this study is unique in capturing the time frequency dynamics of return

conflict of interest and the credibility of underwriter analyst recommendations brokerage analysts frequently comment on and sometimes recommend companies that their firms have recently taken public we show that stocks that underwriter analysts recommend perform more poorly than buy recommendations by unaffiliated brokers prior to at the time of and subsequent to the recommendation date we conclude that the recommendations by underwriter analysts show significant evidence of bias we show also that the market does not recognize the full extent of this bias the results suggest a potential conflict of interest inherent in the different functions that investment bankers perform

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

active labor market policy evaluations a meta analysis this article presents a meta analysis of recent microeconometric evaluations of active labour market policies we categorise 199 programme impacts from 97 studies conducted between 1995 and 2007 job search assistance programmes yield relatively favourable programme impacts whereas public sector employment programmes are less effective training programmes are associated with positive medium term impacts although in the short term they often appear ineffective we also find that the outcome variable used to measure programme impact matters but neither the publication status of a study nor the use of a randomised design is related to the sign or significance of the programme estimate

testing some predictions of human capital theory new training evidence from britain we confront the predictions of various theories with new training data from the british household panel survey we find that employer financed training is associated with significantly higher wages at current and future firms with a larger impact in future firms this is consistent with human capital theory with credit constraints and with the new training literature assuming imperfectly competitive labor markets

initial public offering discount and competition abstract lacking examples of initial public offering ipo mechanisms that are open to the public and priced competitively previous studies could not determine what size discount if any is economically efficient we compare two pricing regimes on the tel aviv stock exchange an investor driven dutch auction limited by a binding maximum price replaced by one that is free of that constraint our evidence shows that rationing and herding disappear improving the access of uninformed investors to strong issues and alleviating their exposure to losses attached to weak issues pricing quality increases by the elimination of the underpricing bias decreased price dispersion and increased price sensitivity to ipo unique factors underwriter services do not deteriorate but garner moderately higher fees apparently to compensate for a higher risk consistently there is no deterioration in ipo efficiency as a screen from weak issues our evidence does not support the view that underpricing is competitive or eff

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

sequential sales learning and cascades when ipo shares are sold sequentially later potential investors can learn from the purchasing decisions of earlier investors this can lead rapidly to cascades in which subsequent investors optimally ignore their private information and imitate earlier investors although rationing in this situation gives rise to a winner s curse it is irrelevant the model predicts that 1 offerings succeed or fail rapidly 2 demand can be so elastic that even risk neutral issuers underprice to completely avoid failure 3 issuers with good inside information can price their shares so high that they sometimes fail 4 an underwriter may want to reduce the communication among investors by spreading the selling effort over a more segmented market consider a scenario in which an issuer is selling a new security of uncertain value for example an ipo initial public offering of stock or high yield debt through an underwriter the s e c has banned variable price sales while the value of this new security is highly uncertain to individual market participants investors hold perfectly accurate information when aggregated moreover there are many potential investors and a small number of these investors can jointly determine the value of the firm or its project with high precision it would seem that in this scenario underpriced offerings would succeed and overpriced offerings would fail nevertheless this paper shows that if the distribution channels of invest ment banks are limited underpriced offerings can fail and overpriced offer ings can succeed with limited distribution channels it takes the under writer time to approach interested investors therefore later investors can observe how well an offering has sold to date or at least how successful it has sold relative to offerings previously undertaken by this underwriter

time frequency contained co movement of crude oil and world food prices a wavelet based analysis abstract this paper evaluates the association between crude oil prices and world food price indices first within general space and time and then within the combined time frequency sphere monthly price data spanning from january 1990 to february 2016 were used for the analysis the johansen cointegration test conducted within the time domain confirmed the statistically significant cointegrated relationship between crude oil prices and the price indices of food and its sub categories such as dairy cereals vegetable oil and sugar however frequency information was not accounted for to incorporate both the time and frequency features of the data we used a wavelet method that has shown that the world food prices along with the prices of cereals vegetable oils and sugar co move with and are led by crude oil prices results that remain relevant from the short run policy perspective the outcome of toda yamamoto causality confirmed the spillover of crude oil price changes to the world food price index also in the long run the paper ends with the policy implications of these results

campaign advertising and voter welfare this paper investigates the role of campaign advertising and the opportunity of legal restrictions on it an electoral race is modeled as a signalling game with three classes of players many voters two candidates and one interest group the group has non verifiable insider information on the candidates quality and on the basis of this information offers a contribution to each candidate in exchange for a favorable policy position candidates spend the contributions they receive on non directly informative advertising this paper shows that 1 a separating equilibrium exists in which the group contributes to a candidate only if the insider information about that candidate is positive 2 although voters are fully rational a ban on campaign advertising can be welfare improving and 3 split contributions may arise in equilibrium and if they arise too often they are detrimental to voters

international economic policy uncertainty and stock prices wavelet approach this paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles moreover the timing of frequency changes overlaps when us policy uncertainty comoves with other countries policy uncertainty

does securities regulation constrain small business finance an empirical analysis in november 2001 the canadian province of ontario amended the private placement regulations considerably to facilitate access to equity financing by small and medium sized enterprises smes to determine the extent to which securities regulation is an effective constraint on financing of growth corporations we analyze issue activity before and after this change took effect we note an increase in the number of issues but only a slight increase in the total amounts raised on the private market following the reform the average size of the issues has thus decreased some of the observed changes can be traced to concurrent events namely the burst of the technology bubble and the strong increase in the prices of natural resources which represent a major sector in canada when we control for various factors that influence issue activity we observe a statistically significant effect only on the number of issues by closed corporations which seems to originate from the non resource companies these results do not rule out the conclusion that the reform eased the issue of small amounts of money by private companies however our results do not confirm the argument that securities regulation is a major constraint to small business finance

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

financing technology based small firms in europe what do we know this paper reviews the evidence on financing technology based small firms tbsfs in europe european tbsfs finance new investments by relying primarily on internal funds due to capital market failures induced by asymmetric information european venture capital has caught up with us venture capital but this is mainly because of the growth in uk venture investments it is unclear whether european venture capital has been able to certify the quality and enhance the growth of funded companies compared with the nasdaq there is little development of trading in high tech stocks in europe the so called new markets established in the 1990s collapsed in the wake of the internet bubble crash public venture capital and research and development r d tax incentives seem to have positively affected high tech firms

dynamic co movement between oil and stock markets in oil importing and oil exporting countries two types of wavelet analysis abstract this study explores the dynamic co movement between oil and six stock markets china india japan saudi arabia russia and canada by using two types of wavelet analysis wavelet multi scale decomposition and wavelet coherence the main empirical results are as follows 1 maximal overlap discrete wavelet transform analysis shows that there are feedback relationships between the price movement of oil and stock markets in all six countries in the wavelet based decomposition at the d4 d5 and d6 scales 2 the pairs of oil and stock returns show high overall co movement at the 16 to 128 week scale based on continuous wavelet transform analysis the wavelet coherence and phase plots show that the pairs of oil and oil importing stock market returns have high co movement for the period between 2007 and 2012 especially during the global financial crisis of 2008 in addition the wavelet coherence and phase plots show that the pairs of oil and oil exporting stock market returns have high co movement from 2007 to 2017 3 oil price returns lead the stock returns of saudi arabia russia and canada from 2007 to 2017 at the 16 to 128 week scale the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries this evidence implies that the economic structure of oil exporting countries depends strongly on crude oil production 4 from the results of the wavelet based granger causality test there is a lead lag causality linkage in which the oil price leads stock market indices from 27 to 30 weeks 189 210 days the implications of these findings are discussed

the impact of an adult education voucher program evidence from a randomized field experiment abstract lifelong learning is often promoted in aging societies but little is known about its returns or governments ability to advance it this paper evaluates the effects of a large scale randomized field experiment issuing vouchers for adult education in switzerland we find no significant average effects of the voucher program on earnings employment and subsequent education 1 year after treatment but effects are heterogeneous low educated individuals are most likely to profit from adult education but least likely to use the voucher in addition the public voucher program appears to crowd out firm financed training the findings cast doubt on the effectiveness of untargeted voucher programs in promoting labor market outcomes through adult education

dynamic spillovers among major energy and cereal commodity prices abstract over the past decade the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them this article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets it also examines the impacts of three types of opec news announcements on the volatility spillovers and persistence in these markets for this purpose we make use of the var bekk garch and var dcc garch models for the daily spot prices of eight major commodities including wti oil europe brent oil gasoline heating oil barley corn sorghum and wheat our results provide evidence of significant linkages between these energy and cereal markets moreover the opec news announcements are found to exert influence on the oil markets as well as on the oil cereal relationships finally we show that the persistence of volatility decreases increases for the crude oil and heating oil gasoline returns after accounting for the opec announcements in these multivariate garch models however the results are more mixed for the cereal markets overall our results can be used to improve the risk adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively