Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

The impact of corporate social performance on financial risk and utility: a longitudinal analysis

This study focuses on the wealth-protective effects of socially responsible firm behavior by examining the association between corporate social performance (CSP) and financial risk for an extensive panel data sample of S&P 500 companies between the years 1992 and 2009. In addition, the link between CSP and investor utility is investigated. The main findings are that corporate social responsibility is negatively but weakly related to systematic firm risk and that corporate social irresponsibility is positively and strongly related to financial risk. The fact that both conventional and downside risk measures lead to the same conclusions adds convergent validity to the analysis. However, the risk-return trade-off appears to be such that no clear utility gain or loss can be realized by investing in firms characterized by different levels of social and environmental performance. Overall volatility conditions of the financial markets are shown to play a moderating role in the nature and strength of the CSP-risk relationship.

The financial system reform in China: the lesson learnt from the global financial crisis

This paper reviews the impact of the global financial crisis on financial system reform in China. Scholars and practitioners have critically questioned the efficiencies of the Anglo- American principal-agent model of corporate governance which promotes shareholder-value maximisation. Should China continue to follow the U.K.-U.S. path in relation to financial reform? This conceptual paper provides an insightful review of the corporate governance literature, regulatory reports and news articles from the financial press. After examining the fundamental limitations of the laissez-faire philosophy that underpins the neo-liberal model of capitalism, the paper considers the risks in opening up China’s financial markets and relaxing monetary and fiscal policies. The paper outlines a critique of shareholder-capitalism in relation to the German team-production model of corporate governance, promoting a “social market economy” styled capitalism. Through such analysis, the paper explores numerous implications for China to consider in terms of developing a new and sustainable corporate governance model. China needs to follow its own financial reform through understanding its particular economy. The global financial crisis might help China rethink the nature of corporate governance, identify its weakness and assess the current reform agenda.

The effects of institutional distance and headquarters’ financial performance on the generation of environmental standards in multinational companies

This article combines institutional and resources’ arguments to show that the institutional distance between the home and the host country, and the headquarters’ financial performance have a relevant impact on the environmental standardization decision in multinational companies. Using a sample of 135 multinational companies in three different industries with headquarters and subsidiaries based in the USA, Canada, Mexico, France, and Spain, we find that a high environmental institutional distance between headquarters’ and subsidiaries’ countries deters the standardization of environmental practices. On the other hand, high-profit headquarters are willing to standardize their environmental practices, rather than taking advantage of countries with lax environmental protection to undertake more pollution-intensive activities. Finally, we show that headquarters’ financial performance also imposes a moderating effect on the relationship between environmental institutional distance between countries and environmental standardization within the multinational company.

Dynamic analysis of house price diffusion across Asian financial centres

The aim of this paper is to explore effects of macroeconomic variables on house prices and also, the lead-lag relationships of real estate markets to examine house price diffusion across Asian financial centres. The analysis is based on the Global Vector Auto-Regression (GVAR) model estimated using quarterly data for six Asian financial centres (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the global economic conditions play significant roles in shaping house price movements across Asian financial centres. In particular, a small open economy that heavily relies on international trade such as – Singapore and Tokyo - shows positive correlations between economy’s openness and house prices, consistent with the Balassa-Samuelson hypothesis in international trade. However, region-specific conditions do play important roles as determinants of house prices, partly due to restrictive housing policies and demand-supply imbalances, as found in Singapore and Bangkok.

Bilingual 'tagging' of financial accounts in Demotic and Greek

‘Bilingual’ documents, with text in both Demotic and Greek, can be of several sorts, ranging from complete translations of the same information (e.g. Ptolemaic decrees) to those where the information presented in the two languages is complementary (e.g. mummy labels). The texts discussed in this paper consist of a number of examples of financial records where a full account in one language (L1) is annotated with brief pieces of information in a second language (L2). These L2 ‘tags’ are designed to facilitate extraction of summary data at another level of the administration, functioning in a different language, and probably also to make the document accessible to those who are not literate in the L1.

Motivational factors impacting the productivity of construction master craftsmen in Kuwait

In today's global economic conditions, improving the productivity of the construction industry is becoming more pressing than ever. Several factors impact the efficiency of construction operatives, but motivation is among the most important. Since low productivity is one of the significant challenges facing the construction industry in the State of Kuwait, the objective of this case study is to identify, explore, and rank the relative importance of the factors perceived to impact the motivational level of master craftsmen involved in primary construction trades. To achieve this objective, a structured questionnaire survey comprising 23 factors, which were shortlisted based on relevant previous research on motivation, the input of local industry experts, and numerous interviews with skilled operatives, was distributed to a large number of master craftsmen. Using the “Relative Importance Index” technique, the following prominent factors are identified: (1) payment delay; (2) rework; (3) lack of a financial incentive scheme; (4) the extent of change orders during execution; (5) incompetent supervisors; (6) delays in responding to Requests For Information (RFI); (7) overcrowding and operatives interface; (8) unrealistic scheduling and performance expectation; (9) shortage of materials on site; and (10) drawings quality level. The findings can be used to provide industry practitioners with guidance for focusing, acting upon, and controlling the critical factors influencing the performance of master craftsmen, hence, assist in achieving an efficient utilization of the workforce, and a reasonable level of competitiveness and cost effective operation.

International office investment in global cities: the production of financial space and systemic risk

The paper explores the relationships between UK commercial real estate and regional economic development as a foundation for the analysis of the role of real estate investment in local economic development. Linkages between economic growth, development, real estate performance and investment allocations are documented. Long-run regional property performance is not the product of long-run economic growth, and weakly related to indicators of long-run supply and demand. Changes in regional portfolio weights seem driven by neither market performance nor underlying fundamentals. In the short run, regional investment shifts show no clear leads or lags with market performance.

Scaling up data mining techniques to large datasets using parallel and distributed processing

Advances in hardware and software technology enable us to collect, store and distribute large quantities of data on a very large scale. Automatically discovering and extracting hidden knowledge in the form of patterns from these large data volumes is known as data mining. Data mining technology is not only a part of business intelligence, but is also used in many other application areas such as research, marketing and financial analytics. For example medical scientists can use patterns extracted from historic patient data in order to determine if a new patient is likely to respond positively to a particular treatment or not; marketing analysts can use extracted patterns from customer data for future advertisement campaigns; finance experts have an interest in patterns that forecast the development of certain stock market shares for investment recommendations. However, extracting knowledge in the form of patterns from massive data volumes imposes a number of computational challenges in terms of processing time, memory, bandwidth and power consumption. These challenges have led to the development of parallel and distributed data analysis approaches and the utilisation of Grid and Cloud computing. This chapter gives an overview of parallel and distributed computing approaches and how they can be used to scale up data mining to large datasets.

Patterns of discourse semantics: A corpus-assisted study of financial crisis in British newspaper discourse in 2009

Corpus-assisted analyses of public discourse often focus on the lexical level. This article argues in favour of corpus-assisted analyses of discourse, but also in favour of conceptualising salient lexical items in public discourse in a more determined way. It draws partly on non-Anglophone academic traditions in order to promote a conceptualisation of discourse keywords, thereby highlighting how their meaning is determined by their use in discourse contexts. It also argues in favour of emphasising the cognitive and epistemic dimensions of discourse-determined semantic structures. These points will be exemplified by means of a corpus-assisted, as well as a frame-based analysis of the discourse keyword financial crisis in British newspaper articles from 2009. Collocations of financial crisis are assigned to a generic matrix frame for ‘event’ which contains slots that specify possible statements about events. By looking at which slots are more, respectively less filled with collocates of financial crisis, we will trace semantic presence as well as absence, and thereby highlight the pragmatic dimensions of lexical semantics in public discourse. The article also advocates the suitability of discourse keyword analyses for systematic contrastive analyses of public/political discourse and for lexicographical projects that could serve to extend the insights drawn from corpus-guided approaches to discourse analysis.

Handbook of research methods and applications in empirical finance

The objective of this book is to present the quantitative techniques that are commonly employed in empirical finance research together with real world, state of the art research examples. Each chapter is written by international experts in their fields. The unique approach is to describe a question or issue in finance and then to demonstrate the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. This book is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.