Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

The Foraging Ecology of the Mountain Long-Eared Bat Plecotus macrobullaris Revealed with DNA Mini-Barcodes

10 p.

Uncovering Ecosystem Service Bundles through Social Preferences

11 p.

Optimal Monetary Policy with Asymmetric Preferences for Output

Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.

Preferences, actions and voting rules

In this paper we address several issues related to collective dichotomous decision-making by means of quaternary voting rules, i.e., when voters may choose between four actions: voting yes, voting no, abstaining and not turning up-which are aggregated by a voting rule into a dichotomous decision: acceptance or rejection of a proposal. In particular we study the links between the actions and preferences of the actors. We show that quaternary rules (unlike binary rules, where only two actions -yes or no- are possible) leave room for "manipulability" (i.e., strategic behaviour). Thus a preference profile does not in general determine an action profile. We also deal with the notions of success and decisiveness and their ex ante assessment for quaternary voting rules, and discuss the role of information and coordination in this context.

Weighting social preferences in participatory multi-criteria evaluations: a case study on sustainable natural resource management

28 p.

Reconciling yield stability with international fisheries agencies precautionary preferences: the role of non constant discount factors in age structured models

International fisheries agencies recommend exploitation paths that satisfy two features. First, for precautionary reasons exploitation paths should avoid high fishing mortality in those fisheries where the biomass is depleted to a degree that jeopardise the stock's capacity to produce the Maximum Sustainable Yield (MSY). Second, for economic and social reasons, captures should be as stable (smooth) as possible over time. In this article we show that a conflict between these two interests may occur when seeking for optimal exploitation paths using age structured bioeconomic approach. Our results show that this conflict be overtaken by using non constant discount factors that value future stocks considering their relative intertemporal scarcity.

Inferring Population Genetic Structure in Widely and Continuously Distributed Carnivores: The Stone Marten (Martes foina) as a Case Study

The stone marten is a widely distributed mustelid in the Palaearctic region that exhibits variable habitat preferences in different parts of its range. The species is a Holocene immigrant from southwest Asia which, according to fossil remains, followed the expansion of the Neolithic farming cultures into Europe and possibly colonized the Iberian Peninsula during the Early Neolithic (ca. 7,000 years BP). However, the population genetic structure and historical biogeography of this generalist carnivore remains essentially unknown. In this study we have combined mitochondrial DNA (mtDNA) sequencing (621 bp) and microsatellite genotyping (23 polymorphic markers) to infer the population genetic structure of the stone marten within the Iberian Peninsula. The mtDNA data revealed low haplotype and nucleotide diversities and a lack of phylogeographic structure, most likely due to a recent colonization of the Iberian Peninsula by a few mtDNA lineages during the Early Neolithic. The microsatellite data set was analysed with a) spatial and non-spatial Bayesian individual-based clustering (IBC) approaches (STRUCTURE, TESS, BAPS and GENELAND), and b) multivariate methods [discriminant analysis of principal components (DAPC) and spatial principal component analysis (sPCA)]. Additionally, because isolation by distance (IBD) is a common spatial genetic pattern in mobile and continuously distributed species and it may represent a challenge to the performance of the above methods, the microsatellite data set was tested for its presence. Overall, the genetic structure of the stone marten in the Iberian Peninsula was characterized by a NE-SW spatial pattern of IBD, and this may explain the observed disagreement between clustering solutions obtained by the different IBC methods. However, there was significant indication for contemporary genetic structuring, albeit weak, into at least three different subpopulations. The detected subdivision could be attributed to the influence of the rivers Ebro, Tagus and Guadiana, suggesting that main watercourses in the Iberian Peninsula may act as semi-permeable barriers to gene flow in stone martens. To our knowledge, this is the first phylogeographic and population genetic study of the species at a broad regional scale. We also wanted to make the case for the importance and benefits of using and comparing multiple different clustering and multivariate methods in spatial genetic analyses of mobile and continuously distributed species.

What Can the Brain Teach Us about Winemaking? An fMRI Study of Alcohol Level Preferences

Over the last few decades, wine makers have been producing wines with a higher alcohol content, assuming that they are more appreciated by consumers. To test this hypothesis, we used functional magnetic imaging to compare reactions of human subjects to different types of wine, focusing on brain regions critical for flavor processing and food reward. Participants were presented with carefully matched pairs of high- and low- alcohol content red wines, without informing them of any of the wine attributes. Contrary to expectation, significantly greater activation was found for low- alcohol than for high- alcohol content wines in brain regions that are sensitive to taste intensity, including the insula as well as the cerebellum. Wines were closely matched for all physical attributes except for alcohol content, thus we interpret the preferential response to the low- alcohol content wines as arising from top-down modulation due to the low alcohol content wines inducing greater attentional exploration of aromas and flavours. The findings raise intriguing possibilities for objectively testing hypotheses regarding methods of producing a highly complex product such as wine.