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Pricing Offshore Services: Evidence from the Paradise PapersGawronsky, Marcus 21 October 2022 (has links) (PDF)
The Paradise Papers represent one of the largest public data leaks comprising 13.4 million con_dential electronic documents. A dominant theory presented by Neal (2014) and Gri_th, Miller and O'Connell (2014) concerns the use of these offshore services in the relocation of intellectual property for the purposes of compliance, privacy and tax avoidance. Building on the work of Fernandez (2011), Billio et al. (2016) and Kou, Peng and Zhong (2018) in Spatial Arbitrage Pricing Theory (s-APT) and work by Kelly, Lustig and Van Nieuwerburgh (2013), Ahern (2013), Herskovic (2018) and Proch_azkov_a (2020) on the impacts of network centrality on _rm pricing, we use market response, discussed in O'Donovan, Wagner and Zeume (2019), to characterise the role of offshore services in securities pricing and the transmission of price risk. Following the spatial modelling selection procedure proposed in Mur and Angulo (2009), we identify Pro_t Margin and Price-to-Research as firm-characteristics describing market response over this event window. Using a social network lag explanatory model, we provide evidence for social exogenous effects, as described in Manski (1993), which may characterise the licensing or exchange of intellectual property between connected firms found in the Paradise Papers. From these findings, we hope to provide insight to policymakers on the role and impact of offshore services on securities pricing.
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Examining spatial arbitrage: Effect of electronic commerce and arbitrageur strategiesSubramanian, Hemang C. 07 January 2016 (has links)
Markets increase social welfare by matching willing buyers and sellers. It is important to understand whether markets are fulfilling their societal purpose and are operating efficiently. The prevalence of spatial arbitrage in markets is an important indicator of market efficiency. The two essays in my dissertation study spatial arbitrage and the behaviors of arbitrageurs
Electronic commerce can improve market efficiency by helping buyers and sellers find and transact with each other across geographic distance. In the first essay, we study the effect of two distinct forms of electronic commerce on market efficiency, which we measure via the prevalence of spatial arbitrage. Spatial arbitrage is a more precise measure than price dispersion, which is typically used, because it accounts for the transaction costs of trading across distance and for unobserved product heterogeneity. Studying two forms of electronic commerce allows us to examine how the theoretical mechanisms of expanded reach and transaction immediacy affect market efficiency. We find that electronic commerce reduces the number of arbitrage opportunities but improves arbitrageur’s ability to identify and exploit those that remain. Overall, our results provide a novel and nuanced understanding of how electronic commerce improves market efficiency. Studying arbitrageur strategies will help us understand how arbitrageur behaviors impact markets by increasing/reducing spatial arbitrage.
In the second essay, we study specialization strategies of arbitrageurs. Arbitrageurs specialize on asset type and sourcing locations. We investigate the role of specialization and find that specialization affects both arbitrage profits and arbitrage intensity. Subsequently, we find that specialization strategies evolve over time and different groups of arbitrageurs adapt differently based on behavioral biases and environmental factors. Overall, our findings support the predictions of the adaptive markets hypothesis and help us understand antecedents such as capital, arbitrage intensity, etc. which affect the evolution of arbitrageur strategy.
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Spatial price transmission and market intergration analysis : the case of wheat market in South Africa, 2010-2019Mphateng, Molahlegi Aubrey January 2022 (has links)
Thesis (M.A. Agricultural Management (Agricultural Economics)) -- University of Limpopo, 2022 / Wheat forms part of the most essential grain crop produced in South Africa after maize.
In South Africa, most of the wheat produced is used mainly for human consumption
while the remaining is used for animal feed and seed. The wheat industry in South
Africa is undergoing severe pressure, with drastic decreases in the area planted to
wheat production while imports of wheat continued to increase since the year 1997.
This has in return affected the performance and competitiveness of the South African
wheat industry at the international stage and its ability to produce enough to meet local
demand, hence continuous reliance on imports which later affect domestic wheat
prices. Regardless of wheat as one of the most essential grain crop produced in South
Africa, very little research is done to evaluate the co-movement, magnitude and speed
of price transmission from world to domestic wheat market in South Africa.
The study intends to analyse the transmission of world wheat prices to the domestic
wheat market in South Africa using average weekly prices for wheat for the period
between January 2010 and December 2019. The objectives of the study are to
determine the level of cointegration or long run relationship between the world wheat
prices and the domestic wheat prices in South Africa, and to assess the degree of
world wheat price transmission to the domestic wheat prices in South Africa, with the
application of the Error Correction Model.
While several authors indicted that long run relationship does exist between spatially
separated markets, this study also finds evidence of cointegration or long run
relationship between world wheat markets and the domestic wheat market in South
Africa. The results confirmed this priori expectation, that in a long run world wheat
prices are ultimately transmitted to the domestic market in South Africa. The results
further indicate that the speed of corrections or adjustments towards equilibrium
conditions were established to be fairly low for domestic wheat prices.
The study recommends further research with more emphasis on vertical price
transmission from wheat to wheat flour and other wheaten products such as bread
and cereals. Further recommendation suggested by the study is that government
intervention through implementation of Dollar-Based Reference Price and Variable
Tariff Formula for wheat must continue with more caution and improved speed for a
quicker response, once there is a newly triggered import duty. / Department of Agriculture, Land Reform
and Rural Development
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Improved estimation in threshold regression with applications to price transmission modeling / Verbessertes Schätzen von Threshold Regressionsmodellen mit Anwendungen in der PreistransmissionsanalyseGreb, Friederike 30 January 2012 (has links)
No description available.
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