The paper suggests a CUSUM-type test for time-varying parameters in a recently proposed spatial autoregressive model for stock returns and derives its asymptotic null distribution as well as local power properties. As can be seen from Euro Stoxx 50 returns, a combination of spatial modelling and change point tests allows for superior risk forecasts in portfolio management. JEL Classification: C...

Previous research has indicated a surprising statistically significant impact on the local economy in the city that wins the Super Bowl. An analysis of personal income growth in victorious Super Bowl cities from 1972-2000 cannot further confirm these results, finding no statistically significant effect on the local economies of these cities. JEL Classification Codes: L83 Sports; Gambling; Recre...

This paper aims at improved accuracy in testing for long-run predictability in noisy series, such as stock market returns. Long-horizon regressions have previously been the dominant approach in this area. We suggest an alternative method that yields more accurate results. We find evidence of predictability in S&P 500 returns even when the confidence intervals are constructed using model-free me...

This paper shows that in a buffer stock saving model, wealth-to-income and other interesting variables have unique stable invariant distributions. Previously this ergodic property has only been conjectured and demonstrated numerically by means of simulations. The proof proceeds by extending earlier results about the existence and uniqueness of an ergodic distribution to Markov processes on non-...

The aim of this paper is to analyse whether legal rules, set up during the first years of the economic transition, could stimulate behaviour of economic subjects so that it would lead to desired results in macroeconomic benchmarks. This problem is solved using a case of joint-stock companies management (i.e. both ways and possibilities of their administration) in the Czech Republic during the 1...

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach...

A very debated issue in recent years is the cyber crime and its impact on market returns and reputation of firms. The issue is made particularly actual by the proliferation of information technology and internet. Information security breaches are concerned with protecting the accessibility, integrity and confidentiality of information. As a consequence, there are potential high explicit and imp...

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as the reference unit or benchmark. Diversified broadly based portfolios, which include major world stock market indices, are shown to approximate the GOP. It is demonstrated that a key financial quantity is the drift of the discounted GOP, which can be expressed explici...

Resource-rich countries have tended to be autocratic and also have tended to use their resource wealth badly. The neoconservative agenda of promoting democratization in resource-rich countries thus offers the hopeful prospect of a better use of their economic opportunities. This paper examines whether the effect of democracy on economic performance is distinctive in resource-rich societies. We ...

This paper aims to address two key issues in the agricultural economics of transition economies: (i) what do we understand about the process of agricultural transformation in transition economies with respect to the distribution of collective and state farm assets and why is this process so important; and (ii) why the Joint Stock Company model of agricultural privatisation in transition economi...