Responding to the EU Emissions Trading Scheme: an empirical analysis of corporate carbon disclosure strategy

The purpose of this paper is to explore how companies that hold carbon trading accounts under European Union Emissions Trading Scheme (EU ETS) respond to the climate change by using disclosures on carbon emissions as a means to generate legitimacy compared to others. The study is based on disclosures made in annual reports and stand-alone sustainability reports of UK listed companies from 2001- 2012. The study uses content analysis to capture both the quality and volume of the carbon disclosures. The results show that there is a significant increase in both the quality and volume of the carbon disclosures after the launch of EU ETS. Companies with carbon trading accounts provide greater detailed disclosures as compared to the others without an account. We also find that company size is positively correlated with the disclosures while the association with the industry produces an inconclusive result.

Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

The trading profitability of forecasts of the gilt–equity yield ratio

Research has highlighted the usefulness of the Gilt–Equity Yield Ratio (GEYR) as a predictor of UK stock returns. This paper extends recent studies by endogenising the threshold at which the GEYR switches from being low to being high or vice versa, thus improving the arbitrary nature of the determination of the threshold employed in the extant literature. It is observed that a decision rule for investing in equities or bonds, based on the forecasts from a regime switching model, yields higher average returns with lower variability than a static portfolio containing any combinations of equities and bonds. A closer inspection of the results reveals that the model has power to forecast when investors should steer clear of equities, although the trading profits generated are insufficient to outweigh the associated transaction costs.

A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Can profitable trading strategies be derived from investment best-sellers?

A glance along the finance shelves at any bookshop reveals a large number of books that seek to show readers how to ‘make a million’ or ‘beat the market’ with allegedly highly profitable equity trading strategies. This paper investigates whether useful trading strategies can be derived from popular books of investment strategy, with What Works on Wall Street by James P. O'Shaughnessy used as an example. Specifically, we test whether this strategy would have produced a similarly spectacular performance in the UK context as was demonstrated by the author for the US market. As part of our investigation, we highlight a general methodology for determining whether the observed superior performance of a trading rule could be attributed in part or in entirety to data mining. Overall, we find that the O'Shaughnessy rule performs reasonably well in the UK equity market, yielding higher returns than the FTSE All-Share Index, but lower returns than an equally weighted benchmark

Measuring European property investment performance: comparing different approaches

Purpose – Price indices for commercial real estate markets are difficult to construct because assets are heterogeneous, they are spatially dispersed and they are infrequently traded. Appraisal-based indices are one response to these problems, but may understate volatility or fail to capture turning points in a timely manner. This paper estimates “transaction linked indices” for major European markets to see whether these offer a different perspective on market performance. The paper aims to discuss these issues. Design/methodology/approach – The assessed value method is used to construct the indices. This has been recently applied to commercial real estate datasets in the USA and UK. The underlying data comprise appraisals and sale prices for assets monitored by Investment Property Databank (IPD). The indices are compared to appraisal-based series for the countries concerned for Q4 2001 to Q4 2012. Findings – Transaction linked indices show stronger growth and sharper declines over the course of the cycle, but they do not notably lead their appraisal-based counterparts. They are typically two to four times more volatile. Research limitations/implications – Only country-level indicators can be constructed in many cases owing to low trading volumes in the period studied, and this same issue prevented sample selection bias from being analysed in depth. Originality/value – Discussion of the utility of transaction-based price indicators is extended to European commercial real estate markets. The indicators offer alternative estimates of real estate market volatility that may be useful in asset allocation and risk modelling, including in a regulatory context.

Service oriented approach to facility management using extended building information modelling

Facility management (FM), from a service oriented approach, addresses the functions and requirements of different services such as energy management, space planning and security service. Different service requires different information to meet the needs arising from the service. Object-based Building Information Modelling (BIM) is limited to support FM services; though this technology is able to generate 3D models that semantically represent facility’s information dynamically over the lifecycle of a building. This paper presents a semiotics-inspired framework to extend BIM from a service-oriented perspective. The extended BIM, which specifies FM services and required information, will be able to express building service information in the right format for the right purposes. The service oriented approach concerns pragmatic aspect of building’s information beyond semantic level. The pragmatics defines and provides context for utilisation of building’s information. Semiotics theory adopted in this paper is to address pragmatic issues of utilisation of BIM for FM services.

Trading death: the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios

Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers and their inclusion in financial models. However, short positions in annuities can be replicated using life insurance and debt, permitting long positions in annuities to be offset, or short annuity positions to be created. The implications of this result for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity are investigated. It is argued that annuity replication could help reduce the annuity puzzle, improve the price efficiency of annuity markets and promote the inclusion of annuities in household portfolios.

A pilot study investigating the effects of a single dose of a flavonoid-rich blueberry drink on memory in 8-10 year old children

Recent evidence from animal and adult human subjects has demonstrated potential benefits to cognition from flavonoid supplementation. This study aimed to investigate whether these cognitive benefits extended to a sample of school-aged children. Using a cross-over design, with a wash out of at least seven days between drinks, fourteen 8-10 year old children consumed either a flavonoid-rich blueberry drink or matched vehicle. Two hours after consumption, subjects completed a battery of five cognitive tests comprising the Go-NoGo, Stroop, Rey’s Auditory Verbal Learning Task, Object Location Task, and a Visual N-back. In comparison to vehicle, the blueberry drink produced significant improvements in the delayed recall of a previously learned list of words, showing for the first time a cognitive benefit for acute flavonoid intervention in children. However, performance on a measure of proactive interference indicated that the blueberry intervention led to a greater negative impact of previously memorised words on the encoding of a set of new words. There was no benefit of our blueberry intervention for measures of attention, response inhibition or visuo-spatial memory. While findings are mixed, the improvements in delayed recall found in this pilot study suggest that, following acute flavonoid-rich blueberry interventions, school aged children encode memory items more effectively.

The human-resource management practice of retail branding: an ethnography within Oxfam trading division

Purpose – While the charity retail literature emphasizes the richness of human resource practices among charity retailers, it rarely makes the link between these practices and their interest for establishing charity retailers' brands. Simultaneously, while the retail branding literature increasingly emphasizes the central role of human resource practices for retail branding, it rarely explains how retailers should conduct such practices. The purpose of this study is to test the recent model proposed by Burt and Sparks in 2002 (the “fifth generation of retail branding”) which proposes that a retail brand depends on the alignment between a retailer's substance (vision and culture) and its perceived image by customers. Design/methodology/approach – The research is based on an ethnographic study conducted within the Oxfam Trading Division, GB from October to December 2002. Findings – The study supports the Burt and Spark's model and makes explicit the practice of human resource for branding. The study demonstrates that it was the alignment between the vision of Oxfam's top management and its new customer‐oriented culture, two elements of its core substance mediated to customers by store employees, which has enabled an improved customers' perception of the brand. The study also seeks to elaborate upon the Burt and Spark's model by specifying an ascending feedback loop starting from customers' perception of Oxfam brand and enabling the creation of a suitable culture and vision again mediated by store employees. Research limitations/implications – New research should explore whether and how retailers create synergies between human resource and marketing functions to sustain their brand image. Practical implications – If the adoption of business practices by charity retailers is often discussed, this study highlights that commercial retailers could usefully transfer human resource best practices from leading charity retailers to develop their retail brand. Originality/value – The paper is of value to commercial retailers.

Multiple, discrete arcs on sunward convecting field lines in the 14-15 MLT region

Ionospheric plasma flow measurements and simultaneous observations of thin (∼0.2° invariant latitude (ILAT)), multiple, longitudinally extended auroral arcs of transient nature within 74°-76° ILAT and 1030-1130 UT (∼14-15 MLT) on January 12, 1989, are reported. The auroral structures appeared within the luminous belt of strong 630.0-nm emissions located predominantly on sunward convecting field lines equatorward of the convection reversal boundary as identified by the European Incoherent Scatter UHF radar. The events occurred during a period of several hours quasi-steady solar wind speed (∼ 700 km s−1) and a radially orientated interplanetary magnetic field (IMF) with a weak northward tilt (IMF Bz>0). These typical dayside auroral features are related to previous studies of auroral activity related to the upward region 1 current in the postnoon sector. The discrete auroral events presented here may result from magnetosheath plasma injections into the low-latitude boundary layer (LLBL) and an associated dynamo mechanism. An alternative explanation invokes kinetic Alfvén waves, triggered either by Kelvin-Helmholtz instability at the inner (or outer) edge of the LLBL or by pressure pulse induced magnetopause surface waves.

The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.