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We investigate the extent of investors' awareness of the bubble risk of assets' fundamental value by examining Chinese listed companies' goodwill bubbles. We find that firms with larger goodwill have a higher possibility of goodwill impairment recognition in the future, indicating a higher bubble risk of companies' assets fundamental. Next, we find that firms with more goodwill experience lower stock returns in subsequent 1–3 years, which means investors do not demand corresponding risk compensation and underestimate the goodwill bubble risk for these firms. Furthermore, we investigate five behavioral biases driving investors to underestimate the bubble risk. The results show that investors' gambling preference for bubble assets is the key driver, while investors limited attention, extrapolation, opinion divergence, and earnings expectation are not applicable in our setting. Our study suggests that investors' gambling preference is a channel through which the risk of companies' assets fundamental bubble transmits to the stock market. [ABSTRACT FROM AUTHOR]

Copyright of Economica: Revistă Ştiinţifico-Didactică is the property of Academy of Economic Studies of Moldova (AESM) / Academia de Studii Economice din Moldova (AESM) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Acta Agriculturae Zhejiangensis is the property of Acta Agriculturae Zhejiangensis Editorial Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

China's steel industry has not yet implemented a carbon tax policy, and its benefits and impacts are still in the theoretical research stage. In addition, enterprises have an insufficient ability to respond to changes in production and sales, which seriously affects the market's stability. The government should simultaneously start from multiple perspectives, such as energy conservation, emission reduction, dynamic adjustments, and business decisions. Therefore, this research constructs a repeated dynamic game model including carbon tax policy and other mixed reduction policies, and studies the stability and related indicators of the market. The results are as follows: (1) the output adjustment policies that enterprises can implement will show an increasing trend under the single carbon tax policy. (2) The output adjustment policies that enterprises with larger output will also show an increasing trend under the mixed emission reduction policy when emission reduction targets continue to increase. (3) Smaller-output enterprises need to be more cautious in formulating their production plans, and their output adjustment policies will be restricted and affected by more factors. In summary, enterprises should comprehensively consider emission reduction policies, output adjustment policies and other enterprises' output changes, to ensure that the steel market will not fall into an imbalanced state. [ABSTRACT FROM AUTHOR]

Noise traders are often thought to be detrimental to market stability, increasing volatility and the risk of bubbles and crashes. The effect of noise traders on the learning and development of informed traders, however, has received little attention. We consider a computational model of a derivatives market containing informed traders and noise traders with the former group having to learn to price the traded asset. We demonstrate that noise traders have a beneficial effect on market stability: an increase in the amount of noise traders makes the market more resilient to shocks. Noise traders by pushing the price away from fundamentals create opportunities for learning, increasing the proportion of informed traders possessing high levels of trading skills in turn protecting the market. [ABSTRACT FROM AUTHOR]

Copyright of Acta Economica is the property of University of Banja Luka, Faculty of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Problems of Sustainable Development / Problemy Ekorozwoju is the property of Faculty of Environmental Engineering and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Using data for Italian banks over the 2001–2012 period, we assess the existence of a nonlinear relationship between finance and growth, through the application of alternative measures of financial development. We show that both branch density and aggregate credits over GDP positively contribute to economic performance. While the relationship between branch density and economic activity is shown to be monotonic, an inverted U-shape is found once aggregate credits to GDP are employed as the main measure of financial development. Evidence presented in this paper further reveals that concentrated markets, that is, monopolistic and oligopolistic markets, facilitate economic growth, especially when credits to GDP are employed. Several robustness checks confirm our findings. [ABSTRACT FROM AUTHOR]

The spatial data infrastructures (SDIs) which constitute a direct link between spatial data users and the large Earth observation industry, have a leading role in establishing market opportunities in the space sector. The spatial information supplied through various forms of SDI platforms exhibits large increases in demand volatility. The users' demand is unpredictable and the market is vulnerable to high evolution shifts. We study the effect of extreme demands for a particular type of spatial information, the satellite images. Drawing on two French SDIs, GEOSUD and PEPS, we examine the shifts occurring on their platforms and assess the probability of witnessing a spike/drop in the short term of different satellite imagery schemes: the high resolution images through GEOSUD; the Landsat (U.S.), Sentinel (Europe) and SPOT (France) images through PEPS. We analyze the market stability through the two SDIs and evaluate the probability of future records by using the Records theory. The results show that the high resolution images demand through GEOSUD, for which the classical i.i.d. model fits the most, is stable. Moreover, the Yang-Nevzorov model fits to the Landsat data, due to more records concentrated beyond the first observations. The Landsat demand is the less stable out of the other three satellite images series, and the probability of having a record in the coming years is the highest. While the use of Records theory drops mathematical constraints, it offers an alternative solution to the non-applicability of the machine learning techniques and long-term memory models. [ABSTRACT FROM AUTHOR]

We study an indicator of financial instability based on the computation of the decay rate for the propagation of a given market shock. The rate of variation through time of an initial perturbation of the price process enables us to understand if such a shock will be rapidly absorbed or, on the contrary, it will be amplified by the market. The indicator combines non-linearly volatility, leverage and covariance between leverage and price and is model-free. It provides an early warning indicator of instability for a given high frequency financial time series. A new consistency theorem for the estimator of each component of the proposed indicator is proved. The properties of the indicator are investigated numerically under the CEV model and empirically using tick-by-tick data of the S&P 500 index futures. [ABSTRACT FROM AUTHOR]

This article investigates the effects of a price limit change on the volatility of the Korean stock market's (KRX) intraday stock price process. Based on the most recent transaction data from the KRX, which experienced a change in the price limit on 15 June 2015, we examine the change in realized variance after the price limit change to investigate the overall effects of the change on the intraday market volatility. We then analyse the effects in more detail by applying the discrete Fourier transform to the data set. We find evidence that the market becomes more volatile in the intraday horizon because of the increase in the amplitudes of the low-frequency components of the price processes after the price limit change. Therefore, liquidity providers are in a worse situation than they were prior to the change. [ABSTRACT FROM AUTHOR]

The Renewable Fuel Standard (RFS2), as implemented, has introduced uncertainty into US ethanol producers and the supporting commodity market. First, the fixed mandate for what is mainly cornstarch-based ethanol has increased feedstock price volatility and exerts a general effect across the agricultural sector. Second, the large discrepancy between the original Energy Independence and Security Act (EISA) intentions and the actual RFS2 implementation for some fuel classes has increased the investment uncertainty facing investors in biofuel production, distribution, and consumption. Here we discuss and analyze the sources of uncertainty and evaluate the effect of potential RFS2 adjustments as they influence these uncertainties. This includes the use of a flexible, production dependent mandate on corn starch ethanol. We find that a flexible mandate on cornstarch ethanol relaxed during drought could significantly reduce commodity price spikes and alleviate the decline of livestock production in cases of feedstock production shortfalls, but it would increase the risk for ethanol investors. [ABSTRACT FROM AUTHOR]

Copyright of Research Papers of the Wroclaw University of Economics / Prace Naukowe Uniwersytetu Ekonomicznego we Wroclawiu is the property of Uniwersytet Ekonomiczny we Wroclawiu and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This article examines the intersection of law and finance in the historical development (since 1979) of the concept of trust in China. Compared to the Western model, two key aspects of the Chinese trust remain to be determined, namely: the allocation of the ownership of the trust property and the scope of the beneficial right. Recent attempts by the Chinese legislators to clarify the Trust Law 2001 have led some scholars to speak of 'one law, three regulations'. However, this article argues that the present situation, in which a trust is treated as a two-party contract between settlor/beneficiary and trustee, has proved useful in allowing China's trust industry to continue to grow, while providing an important source of funding for state and local government projects. Drawing on the Legal Theory of Finance, this article argues that the Chinese legislators have built the possibility for flexible enforcement into the Trust Law 2001 and its subsequent interpretation in order to encourage investment, while permitting a stable transition from a 'rule-bound' to a 'law-bound' system, in accordance with the Chinese principle of 'crossing the river by feeling the stones'. In the next phase, the practice of 'absolute payment' (刚性兑付), which is just beginning to receive scholarly attention, will present a potential threat to financial stability as China's trust industry moves towards a tighter definition of trust. [ABSTRACT FROM AUTHOR]

Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from the presence of nonequivalence. In the positive real line utility framework, a counterexample is presented showing that the expected utility maximization problem can be unstable. A positive stability result is proved for utility functions on the entire real line. [ABSTRACT FROM AUTHOR]

Purpose – This study aims to analyze the impact and effectiveness of the regulation on the European sovereign Credit Default Swap (CDS) market. The European sovereign debt crisis has drawn considerable attention to the CDS market. CDS have the ability of a speculative instrument to bet against a sovereign default. Therefore, the Regulation (EU) No. 236/2012 was introduced as the worldwide first uncovered CDS regulation. It prohibits buying uncovered sovereign CDS contracts in the European Union (EU). Design/methodology/approach – First, this paper measures spread changes of sovereign CDS of the EU member states around regulation specific event dates to detect whether and when European sovereign CDS reacts to regulation announcements and the enforcement of regulation. Second, it compares the CDS long-term stability of the EU sample with a non-EU sample based on 44 non-EU sovereign CDS entities. Findings – The results indicate widening CDS spreads prior to the regulation, and stable CDS spreads following the introduction of the regulation. In particular, sovereign CDS of European crisis-hit entities are stable since the regulation was introduced. Originality/value – The results show that since the regulation of uncovered CDS in the EU has been enacted, the sovereign CDS market is stable and less volatile. Based on the theory about speculation on uncovered sovereign CDS by betting on the reference entity’s default, the introduction of Regulation (EU) No. 236/2012 appears to be an appropriate measure to stabilize markets and reduce speculation on sovereign defaults. [ABSTRACT FROM AUTHOR]

Introduction. The global economic system demands effective mechanisms to prevent and minimize various risks. So, the progressive international tendencies of national economics lead to the consideration of the mechanism, which allows, not disrupting the entrepreneurship market, neutralizing the negative consequences of adverse events with the means of reinsurance market. Therefore, the purpose of the article is to research methodological and formalization aspects of the stability achievement process at the reinsurance market. Methods. Methodological basis of the study are fundamental tendencies of the finance and insurance theory, modern insurance management concepts. Results. The article is devoted to the essential characteristics and mathematical formalization of reinsurance market stability as a dynamic process of the stable distribution formation between two sets of subjects at this market: the subjects who transfer risk for reinsurance, and the subjects who take risk for reinsurance. The practical implementation of the proposed approach is carried out with the usage of Gale-Shapley algorithm («pending approval algorithm»), adjusted to the peculiarities of reinsurance market functioning on the sample of four insurance companies (Munich Reinsurance Co., Swiss Reinsurance Co., Berkshire Hathaway Re., Hannover Rueckversicherung AG), to the share of which 55.51% of the global reinsurance market assets fall. Stable distribution determines conclusion and compliance with the conditions of reinsurance contracts between the subjects pairs at the reinsurance market, which is the conclusion of agreements, which can provide: cover of losses in full; implementation of insurance payments or the obligations execution within permissible limits; optimizing the profitability of insurers and reinsurers due to the compromise solution in the context of tariff rate and insurance reserves. On the basis of calculations, stable distribution of the subjects in the reinsurance market for the period 2010-2012 provides for companies Munich Reinsurance Co. and Berkshire Hathaway Re. reinsurance their risks in 2010 in Berkshire Hathaway Re and Munich Reinsurance Co., respectively, and change reinsurance company on Hannover Rueckversicherung AG (respectively, on Swiss Reinsurance Co.) in the next two years. For companies Swiss Reinsurance Co. and Hannover Rueckversicherung AG the stable distribution is possible at a variation of the reinsurer in 2010 on Hannover Rueckversicherung AG (respectively, Swiss Reinsurance Co.), in 2011 - on Munich Reinsurance Co. (respectively, Berkshire Hathaway Re.), in 2012 - on Berkshire Hathaway Re. (respectively, Munich Reinsurance Co). Conclusion. Methodological principles and formalization of the stability achievement process at the reinsurance market allowed defining the stability of the reinsurance market, exploring its stable distribution on the basis of Gale-Shapley algorithm («pending approval algorithm»), identify the main principles of its formation, and realize its practical implementation on the Sample of four insurance companies (Munich Reinsurance Co., Swiss Reinsurance Co., Berkshire Hathaway Re., Hannover Rueckversicherung AG). The stable distribution provides the following key aspects: full covering of losses, making insurance payments or performance of obligations within permissible limits; optimizing the profitability of insurers and reinsurers due to the compromise decision. [ABSTRACT FROM AUTHOR]

Heterogeneity and evolutionary behaviour of investors are two of the most important characteristics of financial markets. This paper incorporates the adaptive behaviour of agents with heterogeneous beliefs and establishes an evolutionary capital asset pricing model (ECAPM) within the mean-variance framework. We show that the rational behaviour of agents switching to better-performing trading strategies can cause large deviations of the market price from the fundamental value of one asset to spill over to other assets. Also, this spill-over effect is associated with high trading volumes and persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price volatility and trading volume. [ABSTRACT FROM AUTHOR]

High-tech markets are unpredictable owing to rapid technology innovation, diverse customer needs, high competition, and other elements. Many scholars have attempted to explain the uncertainty in high-tech markets using their own various approaches. However, sufficiently clear ways to predict diverse changes and trends in hightech markets have yet to be presented. Thus, this paper proposes a new approach model, that is, systematic market segmentation, to give more accurate information. Using an empirical dataset from the mobile handset market in the Republic of Korea, we conduct our research model consisting of three steps. First, we categorize nine basic segments. Second, we test the stability of these segments. Finally, we profile the characteristics of the customers and products. We conclude that the approach is able to offer more diagnostic information to both practitioners and scholars. It is expected to provide rich information for an appropriate marketing mix in practice. [ABSTRACT FROM AUTHOR]

Purpose – The aim of this study is to examine the impact of mandatory International Financial Reporting Standards (IFRS) adoption on the informational efficiency, market stability, and price adjustment of underlying stocks in Europe. Design/methodology/approach – This study examines 1,187 stocks from 20 European countries to assess the impact of the mandatory adoption of IFRS on certain aspects of the market quality of the adopting firms. Findings – The observed decrease in the first order autocorrelation and the permanent component of the conditional variance indicates that the mandatory IFRS adoption enhances informational efficiency and contributes to the market stability of the underlying stocks. The authors find no evidence that IFRS adoption affects the role old news has in determining the conditional variance of adopting firms. The effects of IFRS adoption on the equity cost of capital are shown to depend on the country-specific characteristics. Specifically, IFRS adoption is more likely to increase (decrease) the betas of stocks that are listed in the common (civil) law countries. Research limitations/implications – Like any empirical event-study, the validity of the results depends on the absence of confounding events. Originality/value – To the best of the authors' knowledge, this paper is the first to use GARCH type models to empirically examine the effects of mandatory IFRS adoption on the informational efficiency and market stability of adopting firms. [ABSTRACT FROM AUTHOR]

The article examines the sustainability of the low-cost, or no-frills, airline business model. It looks at the background to the development of this managerial approach within the context of some prevailing business theories and considers variations on the basic low-cost airline model. It assesses, drawing from the experiences of a number of markets, whether the model in itself is likely to be enduring, or whether it is simply a transient way for some airlines to recover their full costs. [ABSTRACT FROM AUTHOR]

The 2009 Nobel Prize for Economics was awarded to Elinor Ostrom and Oliver Williamson for their work on economic governance. Williamson once defined governance as "an effort to implement the 'study of good order and workable arrangements', where good order includes both spontaneous order in the market [...] and intentional order." Even though corporate governance has been studied quite well over the last decades, the global financial crisis revealed important weaknesses in governance mechanisms. Yet this crisis did not primarily emerge due to specific corporate structures, but rather had its roots in the instability of markets. Hence the study of good order and workable arrangements needs to take markets into account as well. Contract governance is an important lesson of the recent crisis. By this token, the destruction of financial values might create a legal innovation, posing new challenges not only for regulators and legal academics, but also for management practice. Contract governance provides an important link between the corporation and its contractual environment. By virtue of this link, contract governance can contribute to avoid future crises and make the system of market economy more stable in the long run. [ABSTRACT FROM AUTHOR]

The objective of this article is twofold: first, to present a holistic approach to insurance regulation and, second, to put forward the proposition that the establishment of guaranty funds will facilitate the effectiveness of the supervisory authorities in the European insurance markets, which will go through the consolidation process. Consolidation will materialise by means of mergers and acquisitions, exits and bankruptcies. It is argued that consumer expectations, intensified competition and the convergence of financial and insurance markets require the establishment of guaranty funds in all Member States of the European Union, in order to deal with the expected increased rate of insurer insolvencies. Such an evolution will provide supervisory authorities with more degrees of freedom in removing earlier impaired insurers from the market, instead of waiting and exacerbating the eventual insolvency deficits. The argument is that, in addition to protecting the victims of insolvencies, such an arrangement is optimal as an insurance device, which will increase consumer confidence and market stability. [ABSTRACT FROM AUTHOR]

Geometric analysis of iterated cross–volatilities of asset prices is adopted to assess the stability of the (risk–free) measure under infinitesimal perturbations. Perturbations of asset prices evolve through time according to an ordinary linear differential equation (hedged transfer). The decay (feedback) rate is explicitly computed through a Fourier series method implemented on high frequency time series. [ABSTRACT FROM AUTHOR]

This is an informal and sketchy review of five topical, somewhat unrelated subjects in quantitative finance and econophysics: (i) models of price changes; (ii) linear correlations and random matrix theory; (iii) non-linear dependence copulas; (iv) high-frequency trading and market stability; and finally—but perhaps most importantly—(v) "radical complexity" that prompts a scenario-based approach to macroeconomics heavily relying on Agent-Based Models. Some open questions and future research directions are outlined. [ABSTRACT FROM AUTHOR]