Stuart Baumann

Hedge Fund · Quant Trading

Many governments operate budgets that expire at the end of the fiscal year and rush to spend large amounts at this time. The scale and breadth of this heightened spending raises the possibility of government departments crowding out each other at the year-end while competing with one another for limited suppliers. This may exacerbate the extent of...

The management and marketing literature has found that consumers generally expect high-quality sellers to post high prices. We show that low-quality firms can exploit this in search markets to generate a low price perception. This price perception can lead to low-quality firms dominating search markets while producing a vertically inferior good at...

Governments are the largest buyers in most countries and they tend to operate budgets that expire at the end of the fiscal year. They also tend to spend disproportionately large amounts right at year-end. This use-it-or-lose-it spending pattern has been observed in a number of countries and is considered a problem due to possible waste. This could...

High frequency data typically exhibit asynchronous trading and mi-crostructure noise, which can bias the covariances estimated by standard estimators. While a number of specialised estimators have been developed , they have had limited availability in open source software. High-FrequencyCovariance is the first Julia package which implements spe-cia...

The marketing literature has found that consumers generally expect high quality sellers to post high prices. We model this effect in a consumer search market exhibiting vertically differentiated firms, heterogeneous consumers and endogenous consumer market entry. In this market where quality is unknown to consumers, high and low quality firms make...

Many governments around the world exhibit heightened end‐of‐the‐fiscal‐year spending. These end‐of‐fiscal‐year spending spikes often concern policy makers due to their tendency to result in lower quality spending. This paper uses UK data to offer evidence against the precautionary savings explanation for spending spikes. An alternate explanation is...

In markets where firms sell similar goods to their competitors, firms may be able to free-ride off the costly price signalling of competitor firms by engaging in price comparative advertising. As the goods are similar, consumers can reason that if one good is high quality (revealed through price signalling) then so is the other. This paper models t...