Pervasive liquidity risk

While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing. Also, liquidity risk is likely to play a role whenever the market declines and investors are prevented from hedging via short positions. Using monthly return data from 1963–2000, and a broad set of test assets, we examine six candidate factor representations of aggregate liquidity risk, and test whether any one of these are priced. The results are interesting. First, with the surprising exception of the recent measure proposed by Pastor and Stambaugh (2001), liquidity factor shocks induce co-movements in individual stocks’ liquidity measure (commonality in liquidity). The commonality is similar to that found in the extant literature (Chordia, Roll, and Subrahmanyam (2000)), which so far has been restricted to a single year of data. Second, again with the exception of the Pastor-Stambaugh measure, the liquidity factors receive statistically significant betas when added to the Fama-French model. Third, maximum-likelihood estimates of the risk premium are significant for the measure based on bid-ask spreads, contemporaneous turnover, as well as the Pastor-Stambaugh measure, which exploits price reversals following volume shocks. Overall, the simple-to-compute, "low-minus-high" turnover factor first proposed by Eckbo and Norli (2000) appears to do as least as well as the other factor measures

Corporate restructuring

We survey the empirical literature on corporate nancial restructuring, including breakup transactions (divestitures, spin-o s, equity carveouts, tracking stocks), leveraged recapitalizations, and leveraged buyouts (LBOs). For each transaction type, we survey techniques, deal nancing, transaction volume, valuation e ects and potential sources of restructuring gains. Many breakup transactions are a response to excessive conglomeration and reverse costly diversi cation discounts. The empirical evidence shows that the typical restructuring creates substantial value for shareholders. The value-drivers include elimination of costly cross-subsidizations characterizing internal capital markets, reduction in nancing costs for subsidiaries through asset securitization and increased divisional transparency, improved (and more focused) investment programs, reduction in agency costs of free cash ow, implementation of executive compensation schemes with greater pay-performance sensitivity, and increased monitoring by lenders and LBO sponsors. Buyouts after the turn of the century created value similar to LBOs of the 1980s. Recent developments include consortiums of private equity funds (club deals), exits through secondary buyouts (sale to another LBO fund), and evidence of persistence in fund returns. LBO deal nancing has evolved towards lower leverage ratios. In Europe, recent deals are nanced with less leveraged loans and mezzanine debt and more high-yield debt than before. Future research challenges include integrating analyses across transaction types and nancing mixes, and producing unbiased estimates of the expected return from buyout investments in the presence of limited data on portfolio companies that do not return to public status

PENGARUH PEMBANGUNAN BANDARA INTERNASIONAL JAWA BARAT (BIJB) DAN KERTAJATI AEROCITY TERHADAP HARGA LAHAN DI KAWASAN BANDARA KABUPATEN MAJALENGKA

Kabupaten Majalengka merupakan salah satu kabupaten di Provinsi Jawa Barat yang sedang mengalamai pembangunan. Rencana Tata Ruang Wilayah Kabupaten Majalengka tahun 2011 menyebutkanbahwa, akan dibangun Bandara Internasional Jawa Barat (BIJB) dan Kertajati Aerocity, yang dibangun di Kabupaten Majalengka bagian Utara, yaitu lebih tepatnya di Kecamatan Kertajati yang dibanguan di 5 desa yaitu, Desa Kertajati, Kertasari, Bantarjati, Sukakerta, dan Sukamulya. Adanya pembangunan dua mega proyek tersebut menyebabkan permintaan lahan untuk kegiatan non pertanian menjadi meningkat. Selain Kecamatan Kertajati yang mengalami pembangunan, dua kecamatan lainnya yang menjadi wilayah pendukung adanya bandara mengalami perubahan dan permintaan lahan non pertanian yang meningkat yaitu, Kecamatan Jatitujuh dan Kecamatan Ligung. Sehubungan dengan fenomena ini memberikan dampak perkembangan harga lahan dengan faktor-faktor yang mempengaruhinya. Rumusan penelitian ini adalah: 1) bagaimanakah rencana pola tata ruang di Kawasan Bandara? 2) Bagaimanakah pola perkembangan harga lahan di Kawasan Bandara? 3) Faktor dominan apakah yang mempengaruhi perkembangan harga lahan di Kawasan Bandara?. Metode yang digunakan dalam penelitian ini adalah metode desktiptif. Jumlah sampel manusia sebanyak 100 kepala keluarga dengan sampel wilayahnya tiga kecamatan yaitu, Kertajati, Jatitujuh, dan Ligung. Teknik pengolahan datanya adalah, analisis desktiptif, presentase (%), dan regresi linier berganda. Berdasarkan RTRW Kabupaten Majalengka, lahan yang dibutuhkan untuk kedua mega proyek tersebut seluas 5.000 Ha, untuk bandara seluas 1.800 Ha dan untuk aerocity seluas 3.200 Ha. Peruntukan wilayah untuk pembangunan tersebut adalah, kawasan bandara dan aerocity yaitu di Kecamatan Kaertajati, untuk kawasn perumahan dan jasa yaitu di Kecamatan Jatitujuh, dan untuk kawasan industri yaitu di Kecamatan Ligung. Wilayah yang mengalami perkembangan yang signifikan adalah Kecamatan Jatitujuh dengan pola perkembangannya mengikuti kebijakan pemerintah yaitu, peruntukan wilayah, jarak, aksesibilitas, dan penggunaan lahan. Faktor yang mempengaruhi perkembangan harga lahan adalah, jarak, lokasi, matapencaharian, kepadatan penduduk, penggunaan lahan, aksesibilitas, dan kebijakan pemrintah, dengan jumlah pengaruhnya adalah sebanyak 52,9%. Sedangkan faktor yang paling mempengaruhi perkembangan harga lahan di Kawasan Bandara adalah kebijakan pemerintah yang bernilai 0,439 nilai tingkatannya ketika variabel lain konstan. ---------- Majalengka Regency is one of regencies in West Java province that are experiencing development. According to the Spatial Plan (RTRW) Majalengka district in 2011 that will be constructed International Airport West Java (BIJB) and Kertajati Aerocity, which was built in Majalengka northern part, which is in District Kertajati built in five villages, namely, Village Kertajati, Kertasari , Bantarjati, Sukakerta, and Sukamulya. The construction of two mega projects led to demand for land for non-agricultural activities be increased. In addition to experiencing the District Kertajati development, two other districts, an area supporting the airports are changing and demand for non-agricultural land increased, namely, District and Sub-district Jatitujuh Ligung. In connection with this phenomenon impact on the price development of land with the factors that influence it. The purpose of this study are: 1) how the spatial patterns in the plan service area? 2) How does the pattern of land price developments in the area of service? 3) The dominant factors that influence the development of the price of land in the airport area ?. The method used in this research is descriptive method. Number of human samples as many as 100 families to sample the region three districts namely, Kertajati, Jatitujuh, and Ligung. Data processing techniques are, descriptive analysis, the percentage (%), and multiple linear regression. Based Spatial Majalengka district, land needed for the mega project of 5,000 hectares, covering an area of 1,800 hectares for the airport and for Aerocity an area of 3,200 Ha. The development designation for the region is, the area of the airport and Aerocity which is in District Kaertajati, housing and services for the region which is in District Jatitujuh, and to the industrial area which is in District Ligung. Areas experiencing significant development is the District Jatitujuh development, 56 times more than the previous price, the pattern of development following the government policy, namely, the designation of the area, distance, accessibility, and use of land. Factors affecting the development of the price of land is, distance, location, livelihoods, population density, land use, accessibility, and government policies, the number of its influence is as much as 52.9%. While the factors that most influence the development of the price of land in the airport area is government policy that is worth 0.439 level value when the other variables constant

Merger negotiations with stock market feedback

Merger negotiations routinely occur amidst economically significant a target stock price runups. Since the source of the runup is unobservable (is it a target stand-alone value change and/or deal anticipation?), feeding the runup back into the offer price risks "paying twice" for the target shares. We present a novel structural empirical analysis of this runup feedback hypothesis. We show that rational deal anticipation implies a nonlinear relationship between the runup and the offer price markup (offer price minus runup). Our large-sample tests confirm the existence of this nonlinearity and reject the feedback hypothesis for the portion of the runup not driven by the market return over the runup period. Also, rational bidding implies that bidder takeover gains are increasing in target runups, which our evidence supports. Bidder toehold acquisitions in the runup period are shown to fuel target runups, but lower rather than raise offer premiums. We conclude that the parties to merger negotiations interpret market-adjusted target runups as reflecting deal anticipation.Merger negotiations; stock market feedback

The thermodynamics and roughening of solid-solid interfaces

The dynamics of sharp interfaces separating two non-hydrostatically stressed solids is analyzed using the idea that the rate of mass transport across the interface is proportional to the thermodynamic potential difference across the interface. The solids are allowed to exchange mass by transforming one solid into the other, thermodynamic relations for the transformation of a mass element are derived and a linear stability analysis of the interface is carried out. The stability is shown to depend on the order of the phase transition occurring at the interface. Numerical simulations are performed in the non-linear regime to investigate the evolution and roughening of the interface. It is shown that even small contrasts in the referential densities of the solids may lead to the formation of finger like structures aligned with the principal direction of the far field stress.Comment: (24 pages, 8 figures; V2: added figures, text revisions

Powerhouse Kjørbo. Evaluation of construction process and early use phase

The financial system is a complex part of every country which governs its entire economic operations. It is comprised of many different units which are often intertwined. Financial institutions are a part of the financial system. They are companies that offer different financial services to their users. They purchase financial claims from deficient spending units and sell them with different characteristics to surplus spending units. Some of them include: commercial banks, mutual funds, private pension funds, life insurance companies, money market funds, governmentsponsored enterprises, government pension funds, finance companies, casualty insurance companies, savings institutions and credit unions. After the Croatian independence there has been a rapid development of the financial market and financial institutions. However, the economic crisis which happened in 2007 affected Croatia as well, and we have experienced a massive fall in liquidity and decline of the capital market. Today we have many different financial institutions in Croatia, however, there are still many areas which need improvements. The Croatian banking system is still dominant compared to the private sector, and in the future we need to improve the efficiency of the capital market, cooperation on the global and national level, remove restrictions and further adapt to EU standards. Croatian financial institutions are regulated by the Croatian National Bank, the Croatian Financial Services Supervisory Agency (HANFA) and the Ministry of Finance

The discontinuous Galerkin method for fractional degenerate convection-diffusion equations

We propose and study discontinuous Galerkin methods for strongly degenerate convection-diffusion equations perturbed by a fractional diffusion (L\'evy) operator. We prove various stability estimates along with convergence results toward properly defined (entropy) solutions of linear and nonlinear equations. Finally, the qualitative behavior of solutions of such equations are illustrated through numerical experiments