Jorge V. Pérez-Rodríguez

Panel data and tourism: a case study of Tenerife.

The authors estimate short-run and long-run elasticities for tourists visiting the island of Tenerife. Panel data analysis has rarely been used in previous empirical research. Most of the work in this field takes a price and an income variable to explain tourism demand, and less attention has been given to other variables, such as promotional expenditure. The authors find a significant influence in this variable. They also obtain significant elasticities for income, exchange rate, cost of the trip, and infrastructure.

Exchange Rate Regimes and Tourism

The main objective of this paper is to analyse the effect of exchange rate arrangements on international tourism. The ambiguity in the literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. The authors apply panel data techniques to analyse the relevance of a common currency to tourism, finding that it is a major factor in the determination of tourist arrivals. They also analyse the impact of several de facto exchange rate arrangements on tourism, finding that less flexible exchange rates promote tourism.The main objective of this paper is to analyse the effect of exchange rate arrangements on international tourism. The ambiguity in the literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. The authors apply panel data techniques to analyse the relevance of a common currency to tourism, finding that it is a major factor in the determination of tourist arrivals. They also analyse the impact of several de facto exchange rate arrangements on tourism, finding that less flexible exchange rates promote tourism.

Does a Common Currency Promote Countries Growth Via Trade and Tourism

The main aim of this study is to contribute to the debate on the effects of a common currency. In particular, the impact of a common currency on growth via trade and tourism is explored for a panel dataset which includes 179 countries as destination and 30 OECD countries as origin over the period 1995-2006. This research contributes to previous work in three ways: (i) tourism is included as an additional channel for a common currency to promote growth; (ii) the heterogeneity of countries is addressed by dividing the sample into three groups of countries by income; and (iii) up-to-date data including the case of the euro are considered. The results obtained suggest that a common currency strengthens economic growth by promoting not only international trade but also tourism.

Are Spanish Ibex35 stock future index returns forecasted with non-linear models?

This study employs different nonlinear models (smooth transition autoregressive models (STAR), artificial neural networks (ANN) and nearest neighbours (NN)) to study the predictability of one-step-ahead forecast returns for the Ibex35 stock future index at a one year forecast horizon. It is found that the STAR, ANN and NN models beat the random walk (RW) and linear autoregressive (AR) models in out-of-sample forecast statistical accuracy, and also when economic criteria were used in a simple trading strategy including the impact of transaction costs on trading strategy profits. Finally, the overall results suggest that the nonlinear models (particularly ANN and NN) considered for the Ibex35 stock future index appear to provide a reasonable description of asset price movements in improving returns forecasts for the chosen horizon.

Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices

Do extreme price changes of pharmaceutical stocks reflect unexpected scientific information produced during the drug R&D process, especially the approval of new drugs, but also pre- and clinical trial results, recalls and withdrawals? Do stock prices initially overreact to such information? We modelled market-adjusted daily changes in stock prices of the 17 biggest pharmaceutical firms worldwide for the period from 1989 to 2008 to detect large price changes (outliers), using an Autoregressive Moving Average–Generalized Autoregressive Conditional Heteroscedasticity (ARMA–GARCH) dynamic econometric model. Then, we matched those outliers with news produced during the drug R&D process, and tested the hypothesis of no overreaction by examining cumulative abnormal returns. Our results show that there were 261 abnormal market-adjusted daily returns. In 60% of the cases, we were able to assign a plausible cause; i.e. Food and Drug Administration (FDA) approvals in 6% of these cases, news of a scientific nature in another 25%. Only 10 of 1721 FDA approvals of new drugs during the study period were related to abnormally large returns. The impact of negative news items on stock prices is larger than of positive news items. The overreaction hypothesis is rejected; there is no price backlash, therefore, the efficient market hypothesis is not violated.

The euro effect: Tourism creation, tourism diversion and tourism potential within the European Union

This paper investigates the impact of the Economic and Monetary Union on international tourism flows across a set of 37 developed countries. To do this, an augmented gravity model is estimated using a sample of 31 European countries plus six non-European OECD countries over the period 1995–2012. Results suggest a substantial impact of the euro on intra-Eurozone tourism of between 44 and 126% when proper estimation method, control group and definition of the Eurozone are used. Moreover, evidence of tourism creation is also found. Finally, the potential tourism gains for new members and possible entrants of adopting the euro are explored. This study provides a detailed analysis on the effect of the euro on tourism flows which might be of interest for policymakers of the Eurozone or future member states.

Models of Municipal Budget Allocation: Empirical Data from Spanish Municipalities

The present work empirically analyzes diverse budgetary theories (incrementalism, garbage can, rational) in municipal cost programs, paying special attention to the utility of financial information in decision making. The sample analyzed corresponds to a set of Spanish city councils in the period 1996–2004, and the econometric methodology used is a dynamic panel data model. The main conclusion reached is that the budgetary allocation of municipal costs does not follow a random path; incrementalism is of particular importance, together with financial information variables. The utility of budgetary indicators is reflected in the fact that municipal managers adopt rational elements, although incrementalism remains the habitual behavior.

Reversión a la media, no linealidad y cambios de régimen en la evolución temporal del Ibex35

RESUMEN El objetivo de este trabajo es analizar las propiedades estadísticas y la existencia de cambios de régimen que están presentes en la dinámica de los rendimientos diarios del índice de activos del mercado continuo español, desde el comienzo de su negociación el 31 de diciembre de 1989. Como conclusiones más relevantes, pueden destacarse la existencia de una desviación transitoria de la senda del camino aleatorio y una potencial predictibilidad de las rentabilidades; la posibilidad de utilizar la extensa variedad de modelos no lineales—tanto estocásticos como deterministas—para predecir dichas rentabilidades; y la existencia de períodos de elevada y baja varianza y, por tanto, cambios de régimen durante el ciclo bursátil.

Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models

This paper investigates relationships between the spread component costs (adverse selection, order processing and inventory costs) and stock trading characteristics in the Spanish Stock Exchange (SSE), taking into account the random nature of these costs. First, we analyse the statistical properties of estimated spread components in the market, which are obtained by using two statistical models to decompose the bid-ask spread. We then propose a fractional response regression model based on two flexible cross-sectional probability density functions with covariates which accommodate certain aspects of the empirical estimates, such as skewness and bounded distribution. Our model has two main advantages: (i) it can be implemented easily in a maximum likelihood framework; (ii) in contrast to linear regression models, it provides a useful estimate of the statistical significance of the parameters, and predicts costs not only at the conditional mean but also by using quantiles of the estimated conditional distribution. The empirical results corroborate the presence of statistically significant large order processing costs and smaller adverse selection and inventory costs in the SSE. These spread components have a skewed empirical distribution and the proposed fractional regression models represent the behaviour of these costs reasonably well, surpassing the linear regression model in various specification tests.This paper investigates relationships between the spread component costs (adverse selection, order processing and inventory costs) and stock trading characteristics in the Spanish Stock Exchange (SSE), taking into account the random nature of these costs. First, we analyse the statistical properties of estimated spread components in the market, which are obtained by using two statistical models to decompose the bid–ask spread. We then propose a fractional response regression model based on two flexible cross-sectional probability density functions with covariates which accommodate certain aspects of the empirical estimates, such as skewness and bounded distribution. Our model has two main advantages: (i) it can be implemented easily in a maximum likelihood framework; (ii) in contrast to linear regression models, it provides a useful estimate of the statistical significance of the parameters, and predicts costs not only at the conditional mean but also by using quantiles of the estimated conditional distribution. The empirical results corroborate the presence of statistically significant large order processing costs and smaller adverse selection and inventory costs in the SSE. These spread components have a skewed empirical distribution and the proposed fractional regression models represent the behaviour of these costs reasonably well, surpassing the linear regression model in various specification tests.

Does innovation in obesity drugs affect stock markets? An event study analysis

OBJECTIVE This study empirically analyzes the effects of public information about the pharmaceutical R&D process on the market valuation of the sponsoring firm. We examined the markets response to scientific news and regulatory decisions about an antiobesity drug, rimonabant, and the effects on the sponsoring company (Sanofi-Aventis) and its incumbent competitors (Abbott and Roche). METHODS Event study methodology was used to test the null hypothesis of no market response. We covered the full life cycle of rimonabant (1994-2008), using a data set of daily closing price and volume. RESULTS The results suggest that scientific news in the initial stages of the drug R&D process (i.e., drug discovery, preclinical and clinical trials) had no significant effects. However, news related to regulatory decisions, such as recall or safety warning, had significant negative effects on the companys market value. No spillover/contagion effects on competitor firms were detected. CONCLUSION Market reactions occur at the time when the regulator takes decisions about drugs. Scientific news, even those of high-impact, may pass unnoticed.