Template-Type: ReDIF-Article 1.0
Author-Name: Andrey Kudryavtsev
Title: Informational Content of Open-to-Close Stock Returns
Abstract: In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2013, I find that stock returns in opening trading sessions systematically tend to be higher following days with relatively low (either negative, or lower than the same day's market) open-to-close returns. Moreover, I explicitly document the tendency of opening stock returns to be reversed (to change their sign) following previous day's open-to-close returns. This kind of price behaviour seems to contradict stock market efficiency, and may be potentially interpreted as stock price ‘corrections’ following their ‘deviations’ from the underlying values caused by noise trading during the continuous trading sessions. Based on this finding, for the sampling period, I construct two different daily-adjusted investment portfolios based on the opening trading sessions and involving a long position in the stocks on the days when their opening returns are expected to be high and a short position in the stocks on the days when their opening returns are expected to be low. Both portfolios are found to yield significantly positive returns, even after accounting for trading commissions, providing an evidence for practical applicability of the documented pattern in opening stock prices.
Keywords: Opening Returns, Open-to-Close Returns, Stock Price Reversals
Classification-JEL: G11, G14, G19
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=134.pdf
File-URL: http://www.vse.cz/efaj/134
File-Format: text/html
Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:1:id:134
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/134

Template-Type: ReDIF-Article 1.0
Author-Name: Marta ORVISKÁ
Author-Name: Juraj Nemec
Title: Public Sector Innovation Support by European States: Its Characteristics and Impact on Firms
Abstract: In this paper we are concerned with the impact the public sector has on private sector innovation. Perhaps the most important issue is whether public sector innovation, or lack of it, impacts upon private sector firms. But we are also concern the extent perceptions of innovation across jurisdictions and also the characteristics of firms, which benefit from public sector innovation. There is a particular focus on the role of the Internet. In doing this we make use of Eurobarometer data on firms and their attitudes to public sector innovation. We have established that firms benefit from public sector innovation. The factors, which impact on growth, include improvements due to Internet form filling and the reduction in the government’s response time with respect to government services. The factors that impact on firm innovation, which may be tomorrow’s growth, include the access to information on government services and also factors, which reduce costs.
Keywords: Public sector, Innovations, Private sector
Classification-JEL: O31
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=135.pdf
File-URL: http://www.vse.cz/efaj/135
File-Format: text/html
Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:1:id:135
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/135

Template-Type: ReDIF-Article 1.0
Author-Name: Naďa Blahová
Title: Analysis of the Relation between Macroprudential and Microprudential Policy
Abstract: The article deals with the analysis of a relationship between macroprudential and microprudential policy on a general level and on an example of regulatorily required structure and volume of bank capital. Regulatory requirements and supervisory methods are described in connection with the institutional structure of regulation and supervision within the European economic area. An attention is paid to the development of supervision on an individual basis through consolidated supervision to supplementary supervision of financial conglomerates, which corresponds with the activity and structure of the financial sector, high rate of integration and transboundary action of financial groups headed by a bank. The European System of Financial Supervision and Single Supervisory Mechanism are presented. Development of the regulation of bank capital is analysed. The original microprudential approach is mentioned that involved macroeconomic impacts from its introduction. Based on the analysis of capital structure as conceived from Basel I to Basel III approaches of regulation to this important indicator are discussed. Instability sources and indicative instruments of macroprudential policy are analysed on an example of the excessive growth of credits and leverage as an instability source and countercyclical capital buffer, sectoral capital requirements and leverage ratio in the role of indicative instruments.
Keywords: Bank, Capital, Macroprudential policy
Classification-JEL: G21, K23
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=136.pdf
File-URL: http://www.vse.cz/efaj/136
File-Format: text/html
Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:1:id:136
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/136

Template-Type: ReDIF-Article 1.0
Author-Name: Martin Schmidt
Title: Price Determination in Public Procurement:  A Game Theory Approach
Abstract: The article examines mechanism of bid price determination in public procurement by individual tenderers.  A game theory approach is used to analyse this process. Firstly, a simple model with two firms illustrates the influence of expected opponent’s decision in bid price setting. Assumptions are released subsequently and a game theory based model describes price determination under assumption of expected profit maximization. It is shown that the bid price depends on the costs associated with the performance of the contract and the expected number of bidders. The relationship between the amount of the bid price and the number of bids is also confirmed on the findings of several empirical studies that are quoted.
Keywords: Public procurement, Award procedure, Bid price, Game theory
Classification-JEL: H57
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=137.pdf
File-URL: http://www.vse.cz/efaj/137
File-Format: text/html
Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:1:id:137
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/137