Considerable attention has been directed in the recent finance and economics literature to issues concerning the effects on company failure risk of changes in the macroeconomic environment. This paper examines the accounting ratio-based and macroeconomic determinants of insolvency exit of UK...

We analyze how reputational concerns of arbitrators affect the quality of their decision making. We assume that arbitrators differ in their ability to evaluate the correct decision and that information acquisition by arbitrators is costly and unobservable. We show that reputational concerns...

This paper analyses impulse response functions in the context of vector fractionally integrated time series. We derive analytically the restrictions required to identify the structural-form system. As an illustration of the recommended procedure, we also carry out an empirical application based...

This paper uses household level data to model residential water demand in Brisbane, Australia from 1998 to 2004. In this system, residential consumption is charged using a fixed annual service fee with no free entitlement and a fixed volumetric charge per kilolitre. Water demand is specified as...

This discussion paper proposes a new decision rule for economic investment theory, the Cost Decision, and describes a new discount approach for Net Cost Projects and the Net Present Cost Formula. The paper illustrates the problems faced internationally, at all levels of government, of assessing...

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A...

This paper considers the size effect, where volatility dynamics are dependant upon the current level of volatility within an stochastic volatility framework. A non-linear filtering algorithm is proposed where the dynamics of the latent variable is conditioned on its current level. This allows...

Farmers\' exposure to pesticides is high in developing countries. As a result they suffer from ill-health, both short and long term. Deaths are not uncommon. The paper examines the cause of this high exposure by estimating farmers’ expenditure on precautions taken using the avertive behaviour...

In this paper, we propose to study the synthesis of Gegenbauer processes using the wavelet packets transform. In order to simulate 1-factor Gegenbauer process, we introduce an original algorithm, inspired by the one proposed by Coifman and Wickerhauser [CW92], to adaptively search for the...

This paper is concerned with some corporate governance issues related to newly listed firms in China based on a sample of 329 firms commencing listing on Shanghai Stock Exchange (SHSE) and Shenzhen Stock exchange (SZSE) during the period from 1998 to 2000. We first investigate the impact of...