Browsing by Author "Lambe, Brendan"

Now showing 1 - 11 of 11
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    Can the news tell us anything about uncertainty that the markets don’t?
    (2018-09-01) Lambe, Brendan; Li, Z.; Omar, A.
    This study investigates the dynamic interactions between changes in economic policy uncertainty and movement in price and trade volumes across a sample of 21 countries. Within a vector autoregressive framework, we find that an expectation of uncertainty drives market movement for 18 countries. Our analysis in terms of VAR coefficients, granger causality tests and impulse response functions show a significant market reaction to an expectation of uncertainty, implying that the markets are more sensitive to politically driven economic policy change than media commentators. In light of perceived policy change researchers are cautioned against relying solely on media generated measures of uncertainty when investigating market movements.
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    Crude Oil Pricing and the Statecraft: Lessons from Economic Sanctions
    (2018-09-01) Omar, A.; Lambe, Brendan
    This study investigates the economic implications of the US’s foreign policy of coercive sanctioning as a means of exerting pressure on other states. When sanctions are imposed we find that oil prices exhibit a significant abnormal adjustment in magnitude. We show that the nature of the change is decided by the target country’s status either as a net importer or exporter of oil. We then investigate the costs or benefits flowing to the US as a result of sanctioning, such externalities do not appear to be considered when designing and deploying measures of economic coercion.
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    Do Stock Market Fluctuations Affect Suicide Rates?
    (SSRN, 2018-08-01) Wisiniewski, Tomasz; Lambe, Brendan
    This paper uncovers a new influential factor driving suicidal behavior. Using an international sample, we document a robust and significant inverse relationship between stock market returns and the percentage increase in suicide rates. Trends in suicides are affected by market fluctuations both contemporaneously and at a lag. This predictive quality of stock returns offers the potential to implement pro-active suicide prevention strategies for those who could be affected by the vagaries of the market and general economic downturns.
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    Does Economic Policy Uncertainty Drive CDS Spreads?
    (Elsevier, 2015-12-01) Lambe, Brendan; Wisiniewski, Tomasz
    This study analyzes the dynamic interactions between changes in economic policy uncertainty and the fluctuations in the cost of credit protection. We find that the differenced iTraxx and CDX indices are Granger-caused by variations in the political environment. Within a vector autoregressive framework, impulse response functions show a significant reaction of the CDS spreads to shocks in the policy risk. Implied in these findings is the possibility that country-level risk can permeate to the corporations. Furthermore, financial institutions and traders should closely monitor political developments in order to better predict the CDS premia.
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    The efficacy of market abuse regulation in the UK
    (Emerald, 2016-09-01) Lambe, Brendan
    The purpose of this paper is to ascertain the efficacy of Financial Services and Markets Act (FMSA) (2000) in deterring illegal insider trading in target companies around the time of a merger and aquisition announcement. Design/methodology/approach The author uses an event study to measure the cumulative average abnormal returns (CAARs) around both the announcement and rumour date for a sample of UK takeovers between 2001 and 2010. Findings Statistically significant CAARs prior to the event date are observed across the sample. Research limitations/implications It is not possible to link unknown instances of illegal insider trading with pre takeover residuals, therefore explaining the residuals remains a deductive process. Practical implications Pre-event abnormal returns may indicate that trading on material nonpublic information is still a contributory factor in the run-up proportion of takeover premiums. Social implications This draws a question over the efficacy of the regulatory system. Originality/value This study provides evidence which points to insider trading activity ahead of Mergers in a post FMSA 200 UK context
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    The Influence of General Strikes on Stock Market Behavior
    (SSRN, 2018-08-30) Wisniewski, Tomasz; Lambe, Brendan; Dias, A.
    Using a sample of 76 countries, this paper examines the impact of major strikes against government and its policies on stock market behavior. An occurrence of a general strike is detrimental to the value of equities, as documented by the ceteris paribus 5.77% fall in dollar-denominated stock market indices of the affected countries. This event is also accompanied by a statistically significant increase in risk, as measured by the standard deviation of returns and Value-at-Risk metrics. Taken together, these results imply that general strikes have serious ramifications for stock market investors.
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    New bid-ask spread estimators from daily high and low prices.
    (Elsevier, 2018-09-05) Li, Z.; Lambe, Brendan; Adegbite, Emmanuel
    Estimating trading costs in the absence of recorded data is a problem that continues to puzzle financial market researchers. We address this challenge by introducing two low frequency bid-ask spread estimators using daily high and low transaction prices. The range of mid-prices is an increasing function of the sampling interval, while the bid-ask spread and the relationship between trading direction and the mid-price are not constrained by it and are therefore independent. Monte Carlo simulations and data analysis from the equity and foreign exchange markets demonstrate that these models (especially SHL2) significantly out-perform the most widely used low-frequency estimators, such as those proposed in Corwin and Schultz (2012) and most recently in Abdi and Ronaldo (2017). Using real world data we show that one of our estimators (SHL2)’s root mean square error (RMSE) is almost less than a half (even 20%) of the competitors. We illustrate how our models can be applied to deduce historical market liquidity in US, UK, Hong Kong and the Thai stock markets. Our estimator can also effectively act as a gauge for market volatility and as a measure of liquidity risk in asset pricing.
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    The role of media in the credit crunch: The case of the banking sector
    (Elsevier, 2011-10-22) Lambe, Brendan; Wisniewski, Tomasz
    Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker. These findings may imply that journalists not only report on the state of economic reality, but also play an active role in creating it. Investors acting upon sentiment implicit in media reports would have been able to improve their investment performance, as measured by Sharpe ratios and Jensen’s alphas.
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    Scaling Sustainability: Regulation and Resilience in Managerial Responses to Climate Change
    (British Journal of Management, 2018-04-15) Goworek, H.; Lamd, C.; Saren, M.; Parker, M.; Lambe, Brendan; Burt, G.; Zundel, M.
    This paper introduces the special issue of the British Journal of Management on ‘Scaling Sustainability: Regulation and Resilience inManagerial Responses to Climate Change’, providing an overview of the key issues in scaling sustainability, comprising an analysis of the six papers in the special issue.We discuss the complex relationship between micro, meso and macro scales, in the context of organizations’, managers’ and consumers’ complicity in the creation and intensification of climate-changing conditions. In networking multiple sites into a ‘global’ scale, managers and organizations can lose sight of the situated, localized nature of the position from which they perform the global. We conclude that a key factor in the capacity and speed at which local actions can be scaled up is the connection of sustainability-related activities by intermediary organizations that can generate resonance between multiple sites through association or alliance, rather than imposing a single logic. Thus, more resilient approaches, which acknowledge the significance of the interconnection between scales, are required to effectively scale sustainability strategies upwards or downwards.
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    Stock market crashes linked to higher rates of suicide new research
    (The Conversation, 2018-09-12) Lambe, Brendan; Wisniewski, Tomasz
    This is a news article published in the Conversation and subsequently reprinted in Yahoo News and the International Business Times reporting the results of a study (currently under review) linking suicides to stock market fluctuations.
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    An Unreliable Canary: Insider Trading, the Cash Flow Hypothesis and the Financial Crisis’
    (Elsevier, 2016-05-16) Lambe, Brendan
    This paper investigates whether measures of aggregated insider trading could have predicted the wider economic change that occurred in the UK around the time of the financial crisis. Seyhun's (1988, 1992) cash flow hypothesis is the underpinning rationale driving the investigation. Within a vector auto-regressive framework, this study disentangles the relationship between returns and the activities of insiders in UK listed firms in order to validate Seyhun's assertions in this context. Findings suggest that, unlike the US, the relationship is not present. Instead, aggregate measures of trading decisions showthat insiders aremore likely driven by public perception than by private information.