Trading Energy ETFs with an Improved Moving Average Strategy

In this paper we employ the recently introduced improved moving average methodology of Papailias and Thomakos (2011) and we apply it in two energy ETFs. We compare it to the standard moving average methodology and the buy and hold strategy. Investors who are interested in energy-related sectors and trade using averages, could benefit by forming their strategies based on this improved moving average methodology as it returns higher profits accompanied by decreased risk (measured in terms of drawdown).

Trading off dietary choices, physical exercise and cardiovascular disease risks

Despite several decades of decline, cardiovascular diseases are still the most common causes of death in Western societies. Sedentary living and high fat diets contribute to the prevalence of cardiovascular diseases. This paper analyses the trade-offs between lifestyle choices defined in terms of diet, physical activity, cost, and risk of cardiovascular disease that a representative sample of the population of Northern Ireland aged 40-65 are willing to make. Using computer assisted personal interviews, we survey 493 individuals at their homes using a Discrete Choice Experiment (DCE) questionnaire administered between February and July 2011 in Northern Ireland. Unlike most DCE studies for valuing public health programs, this questionnaire uses a tailored exercise, based on the individuals’ baseline choices. A “fat screener” module in the questionnaire links personal cardiovascular disease risk to each specific choice set in terms of dietary constituents. Individuals are informed about their real status quo risk of a fatal cardiovascular event, based on an initial set of health questions. Thus, actual risks, real diet and exercise choices are the elements that constitute the choice task. Our results show that our respondents are willing to pay for reducing mortality risk and, more importantly, are willing to change physical exercise and dietary behaviours. In particular, we find that to improve their lifestyles, overweight and obese people would be more likely to do more physical activity than to change their diets. Therefore, public policies aimed to target obesity and its related illnesses in Northern Ireland should invest public money in promoting physical activity rather than healthier diets.

The Multiple Facets of ETF Investing: A World-Wide Analysis

The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs that do not fully replicate their benchmarks may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability), to benefit from the securities lending market, to support ETF-affiliated banks’ stock prices, and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Market awareness of such additional risk is reflected in ETF outflows. These results have important normative implications for consumer protection and financial stability.

Stock-recruitment relations controlled by feeding interactions alone

Stock-recruitment (S-R) relationships are the centrepiece of fisheries management aimed at achieving maximum sustainable yield (MSY). Here we consider the possibility that the density dependence evident in S-R relations is controlled by feeding interactions alone. We simulate a food-web model with dynamic representations of intra- and interspecific size structure and a linear relation between food intake and hatchling production of adults. Population sizes of individual stocks are modified by imposing additional mortality. The predominant functional forms and the steepness of resulting S-R relationships agree well with observations. We conclude that recruitment is plausibly regulated by feeding interactions alone.

Asset Liquidity and Stock Liquidity: International Evidence

This study examines the relationship between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity plays amore significant role in resolving valuation uncertainty in countries with poor information environment. For example, we find that the asset–stock liquidity relationship is stronger in countries with poor accounting standards. We further find evidence that after the adoption of IFRS, the improved accounting information environment results in a weaker asset–stock liquidity relation, but only in countries with a strong legal regime. Finally, our study shows that the positive asset–stock liquidity relationship may be attributed to transparency and/or liquidity reasons.

Trading-up on unmet expectations? Evaluating consumers’ expectations in online premium grocery shopping logistics

Geography and retail store location are inherently bound together; this study links food retail changes to systemic logistics changes in an emerging market. Current logistic practices underplay demand-led models and online market evolution in large metropolises such as Istanbul, Rio de Janeiro, and Delhi. The later include raising income and education, access to a wide range of technologies, traffic and transport difficulties, lagging retail provision, changing family structure and roles, as well as changing food culture and taste. The study incorporates demand for premium products defined by Kapferer and Bastien, (2009b) as comprising a broad variety of higher quality and unique or distinctive products and brands including in grocery organic ranges, healthy options, allergy free selections, and international and gourmet/specialty products through an online grocery model (n=356) that integrates a novel view of home delivery (HD) in Istanbul. More importantly from a logistic perspective our model incorporates any products from any online vendors broadening the range beyond listed items found in any traditional online supermarkets. Data collected via phone survey and analysed via structural equation modelling (SEM) suggest that the offer of online premium products significantly affects consumers’ delivery logistics expectations. We discuss logistics operations and business management implications, identifying the emerging geography of logistic models which respond to consumers’ unmet expectations using multiple sourcing and consolidation points.

The cross-section of stock returns in an early stock market

Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama–MacBeth regressions, we find that stock characteristics such as beta, illiquidity, dividend yield, and past-year return performance are all positively correlated with stock returns. However, market capitalization and past-three-year return performance have no significant correlation with stock returns.

The significance of interconnector counter-trading in a security constrained electricity market

Throughout the European Union there is an increasing amount of wind generation being dispatched-down due to the binding of power system operating constraints from high levels of wind generation. This paper examines the impact a system non-synchronous penetration limit has on the dispatch-down of wind and quantifies the significance of interconnector counter-trading to the priority dispatching of wind power. A fully coupled economic dispatch and security constrained unit commitment model of the Single Electricity Market of the Republic of Ireland and Northern Ireland and the British Electricity Trading and Transmission Arrangement was used in this study. The key finding was interconnector counter-trading reduces the impact the system non-synchronous penetration limit has on the dispatch-down of wind. The capability to counter-trade on the interconnectors and an increase in system non-synchronous penetration limit from 50% to 55% reduces the dispatch-down of wind by 311 GW h and decreases total electricity payments to the consumer by €1.72/MW h. In terms of the European Union electricity market integration, the results show the importance of developing individual electricity markets that allow system operators to counter-trade on interconnectors to ensure the priority dispatch of the increasing levels of wind generation.

Stock structure of Atlantic herring Clupea harengus in the Norwegian Sea and adjacent waters

The genetic structure of Atlantic herring Clupea harengus L. was investigated in its north-easterly distribution in the Norwegian Sea and adjacent waters, using 23 neutral and one non-neutral (Cpa111) microsatellite loci. Fish from the suspected 2 main populations - the Norwegian spring-spawning herring (NSSH) and the Icelandic summer-spawning herring (ISSH) - were collected at spawning locations in their respective spawning seasons from 2009 to 2012. Samples were also collected from Norwegian autumn spawning locations, from different local Norwegian fjords such as the inner part of Trondheimsfjorden, Lindås pollene, Landvikvannet and Lusterfjorden, as well as from suspected Faroese spawning components. The observed level of genetic differentiation was significant but low (F_ST = 0.007) and mostly attributable to the differentiation of the local Norwegian fjord populations. The locus Cpa111, which was detected to putatively be under positive selection, exhibited the highest FST value (0.044). The observed genetic patterns were robust to exclusion of this locus. Landvikvannet herring was also genetically distinguishable from the 3 other fjord populations. In addition, the present study does not support genetic structuring among the ISSH and the NSSH.