> Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-based Models
(source: Oliver Hermsen, Bjorn-Christopher Witte, Frank Westerhoff, in Economics, fév. 2010)
Abstract: We explore how disclosure requirements that regulate the release of new information may affect the dynamics of financial markets. Our analysis is based on three agent-based financial market models that are able to produce realistic financial market dynamics. We discover that the average deviation between market prices and fundamental values increases if new information is released with a delay, while the average price volatility is virtually unaffected by such regulations. Interestingly, the tails of the distribution of returns become fatter if fundamental data is released less continuously, indicating an increase in financial market risk.
> New Sight of Herding Behavioural through Trading Volume
(source: Nizar Hachicha, in Economics, fév. 2010)
Abstract: In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three essential components: stationary herding which signals the existence of the phenomenon whatever the market conditions, intentional herding relative to the anticipations of the investors concerning the totality of assets, and the third component highlights that the current herding depends on the previous one which is the feedback herding.
> Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model
(source: Markus Demary, in Economics, fév. 2010)
Abstract: This agent-based financial market model is a generalization of the model of Westerhoff ( The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies ) by traders who are allowed to have different investment horizons as introduced by Demary ( Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors ?). Our research goals are, first, to study what consequences the introduction of heterogeneous investment horizons has for agent-based financial market models, and second, how effective transaction taxes are in stabilizing financial markets. Numerical simulations reveal that under sufficiently small tax rates traders abstain from short-term trading in favour of longer investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain threshold, however, mispricings increase as also found in Westerhoff ( Heterogeneous Traders and the Tobin Tax and The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies ). This emergent property is due to the fact that taxation reduces short-term fluctuations and causes longer lasting trends in the exchange rate. As a result, the longer term fundamentalist trading rule becomes unpopular in favor of the longer term trend-chasing rule.
> Ex-Ante Regulation and Ex-Post Liability under Uncertainty and Irreversibility: Governing the Coexistence of GM Crops
(source: Volker Beckmann, Claudio Soregaroli, Justus Wesseler, in Economics, fév. 2010)
Abstract: Ex-ante regulations and ex-post liabilities for using a new technology will induce additional costs for adopters. The standard model is advanced by including irreversibility and uncertainty and taking into account transaction costs of negotiating possible cost reductions. The case analysed is the coexistence policy for GM crops in the European Union. Results show, the design of the rules and regulations can provide strong incentives for regional agglomeration of GM and non-GM farmers.
> Investigating the Exponential Age Distribution of Firms
(source: Alex Coad, in Economics, mars 2010)
Abstract: While several plots of the aggregate age distribution suggest that firm age is exponentially distributed, we find some departures from the exponential benchmark. At the lower tail, we find that very young establishments are more numerous than expected, but they face high exit hazards. At the upper tail, the oldest firms are older than the exponential would have predicted. Furthermore, the age distribution of international airline companies displays multimodality. Although we focused on departures from the exponential, we found that the exponential was a useful reference point and endorse it as an appropriate benchmark for future work on industrial structure.
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