The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

New evidence on the green building rent and price premium

This paper investigates the effect of voluntary eco-certification on the rental and sale prices of US commercial office properties. Hedonic and logistic regressions are used to test whether there are rental and sale price premiums for LEED and Energy Star certified buildings. The results of the hedonic analysis suggest that there is a rental premium of approximately 6% for LEED and Energy Star certification. A sale price premium of approximately 35% was found for 127 price observations involving LEED rated buildings and 31% for 662 buildings involving Energy Star rated buildings. When compared to samples of similar buildings identified by a binomial logistic regression for LEED-certified buildings, the existence of a rent and sales price premium is confirmed albeit with differences regarding the magnitude of the premium. Overall, the results of this study confirm that LEED and Energy Star buildings exhibit higher rental rates and sales prices per square foot controlling for a large number of location- and property-specific factors.

Sustainable building certification and the rent premium: a panel data approach

This paper investigates whether obtaining sustainable building certification entails a rental premium for commercial office buildings and tracks its development over time. To this aim, both a difference-in-differences and a fixed-effects model approach are applied to a large panel dataset of office buildings in the United States in the 2000–2010 period. The results indicate a significant rental premium for both ENERGY STAR and LEED certified buildings. Controlling for confounding factors, this premium is shown to have increased steadily from 2006 to 2008, followed by a moderate decline in the subsequent periods. The results also show a significant positive relationship between ENERGY STAR labeling and building occupancy rates.

The importance of the volatility risk premium for volatility forecasting

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.

Landscape gene flow, coexistence and threshold effect: The case of genetically modified herbicide tolerant oilseed rape (Brassica napus)

Globally there have been a number of concerns about the development of genetically modified crops many of which relate to the implications of gene flow at various levels. In Europe these concerns have led the European Union (EU) to promote the concept of 'coexistence' to allow the freedom to plant conventional and genetically modified (GM) varieties but to minimise the presence of transgenic material within conventional crops. Should a premium for non-GM varieties emerge on the market, the presence of transgenes would generate a 'negative externality' to conventional growers. The establishment of maximum tolerance level for the adventitious presence of GM material in conventional crops produces a threshold effect in the external costs. The existing literature suggests that apart from the biological characteristics of the plant under consideration (e.g. self-pollination rates, entomophilous species, anemophilous species, etc.), gene flow at the landscape level is affected by the relative size of the source and sink populations and the spatial arrangement of the fields in the landscape. In this paper, we take genetically modified herbicide tolerant oilseed rape (GM HT OSR) as a model crop. Starting from an individual pollen dispersal function, we develop a spatially explicit numerical model in order to assess the effect of the size of the source/sink populations and the degree of spatial aggregation on the extent of gene flow into conventional OSR varieties under two alternative settings. We find that when the transgene presence in conventional produce is detected at the field level, the external cost will increase with the size of the source area and with the level of spatial disaggregation. on the other hand when the transgene presence is averaged among all conventional fields in the landscape (e.g. because of grain mixing before detection), the external cost will only depend on the relative size of the source area. The model could readily be incorporated into an economic evaluation of policies to regulate adoption of GM HT OSR. (c) 2007 Elsevier B.V. All rights reserved.

Quantifying the effect of buffer zones, crop areas and spatial aggregation on the externalities of genetically modified crops at landscape level

The development of genetically modified (GM) crops has led the European Union (EU) to put forward the concept of 'coexistence' to give fanners the freedom to plant both conventional and GM varieties. Should a premium for non-GM varieties emerge in the market, 'contamination' by GM pollen would generate a negative externality to conventional growers. It is therefore important to assess the effect of different 'policy variables'on the magnitude of the externality to identify suitable policies to manage coexistence. In this paper, taking GM herbicide tolerant oilseed rape as a model crop, we start from the model developed in Ceddia et al. [Ceddia, M.G., Bartlett, M., Perrings, C., 2007. Landscape gene flow, coexistence and threshold effect: the case of genetically modified herbicide tolerant oilseed rape (Brassica napus). Ecol. Modell. 205, pp. 169-180] use a Monte Carlo experiment to generate data and then estimate the effect of the number of GM and conventional fields, width of buffer areas and the degree of spatial aggregation (i.e. the 'policy variables') on the magnitude of the externality at the landscape level. To represent realistic conditions in agricultural production, we assume that detection of GM material in conventional produce might occur at the field level (no grain mixing occurs) or at the silos level (where grain mixing from different fields in the landscape occurs). In the former case, the magnitude of the externality will depend on the number of conventional fields with average transgenic presence above a certain threshold. In the latter case, the magnitude of the externality will depend on whether the average transgenic presence across all conventional fields exceeds the threshold. In order to quantify the effect of the relevant' policy variables', we compute the marginal effects and the elasticities. Our results show that when relying on marginal effects to assess the impact of the different 'policy variables', spatial aggregation is far more important when transgenic material is detected at field level, corroborating previous research. However, when elasticity is used, the effectiveness of spatial aggregation in reducing the externality is almost identical whether detection occurs at field level or at silos level. Our results show also that the area planted with GM is the most important 'policy variable' in affecting the externality to conventional growers and that buffer areas on conventional fields are more effective than those on GM fields. The implications of the results for the coexistence policies in the EU are discussed. (C) 2008 Elsevier B.V. All rights reserved.

Consumer acceptance, valuation of and attitudes towards genetically modified food: Review and implications for food policy

An increasing set of evidence has been reported on how consumers could potentially react to the introduction of genetically modified food. Studies typically contain some empirical evidence and some theoretical explanations of the data, however, to date limited effort has been posed on systematically reviewing the existing evidence and its implications for policy. This paper contributes to the literature by bringing together the published evidence on the behavioural frameworks and evidence on the process leading to the public acceptance of genetically modified (GM) food and organisms (GMOs). In doing so, we employ a set of clearly defined search tools and a limited number of comprehensive key words. The study attempts to gather an understanding of the published findings on the determinants of the valuation of GM food - both in terms of willingness to accept and the willing-to-pay a premium for non-GM food, trust with information sources on the safety and public health and ultimate attitudes underpinning such evidence. Furthermore, in the light of such evidence, we formulate some policy strategies to deal with public uncertainly regarding to GMOs and, especially GM food. (c) 2007 Elsevier Ltd. All rights reserved.

Enhancement of oleic acid and vitamin E concentrations of bovine milk using dietary supplements of whole rapeseed and vitamin E

With the aim of reducing the degree of saturation and increasing the C18:1 cis fatty acid content of milk fat, the effects of feeding high levels of whole cracked rapeseed to dairy cows was investigated together with the effect of increasing dietary intake of vitamin E on the vitamin E content of milk. Using a 3 x 3 factorial design, 90 Holstein dairy cows were fed one of three levels of whole cracked rapeseed (0 (ZR), 134 (MR) and 270 g . kg(-1) diet dry matter (DM) (HR)) in combination with one of three intakes of supplementary vitamin E (0 (ZE), 2 (ME) and 4 g . cow(-1) . d(-1) (HE)). Supplementing with up to almost 2 kg . d(-1) of rapeseed oil (diet HR) significantly (P < 0.001) increased C18: 1cis in milk fat, from 181 (ZR) to over 400 g &BULL; kg(-1) (HR) of total milk fatty acids. Concentrations of C18: 0, C18: 2 and C18: 3 fatty acids were also increased ( P < 0.001) but by a much lesser degree, and the saturated fatty acids C4: 0 to C16: 0 decreased substantially. Vitamin E supplementation increased ( P < 0.01) milk vitamin E concentrations from 1.29 (ZE) to 1.68 mg &BULL; kg(-1) whole milk (HE). Thus substantial changes in milk fat composition with potentially beneficial effects on human health were achieved and without any adverse effects on milk taste. However, these improvements must be offset against the substantial reductions ( P < 0.001) observed in voluntary feed DM consumption (ZR, 20.6; HR, 15.2 kg DM . d(-1)), milk yield (ZR, 22.9; HR, 13.2 kg . d(-1)) and milk fat concentration (ZR, 42.1; HR, 33.4 g . kg(-1)) which would not be commercially sustainable unless a considerable premium was paid for this modified milk. It seems likely that the optimum dose of dietary rapeseed is lower than used in this study.

Consumer attitudes towards and willingness to pay for pesticide residue limit compliant 'safe' vegetables in Northeast Thailand

Pesticide residue in vegetables is a major food safety issue in Thailand. A range of vegetable products (organic/pesticide-free/ hydroponic) has emerged in Thai markets that guarantee compliance with maximum residue limits. The Government of Thailand is eager to extend the benefits of this suite of alternative vegetables to the entire population, particularly the semi-urban/rural segments that are often bypassed by such speciality products. However, little information is available to guide such an effort, particularly with regard to up-country consumer attitudes, shopping and consumption habits and willingness to pay premiums for such produce. This research aims to fill this gap in knowledge. It reports the results of a survey of vegetable consumption and shopping habits and attitudes of 608 consumers in northeast Thailand. Willingness to pay premiums for pesticide residue limit compliant vegetables is also assessed by using a contingent valuation method, and determinants of willingness to pay are examined using an ordered probit empirical model. Results indicate that, given adequate awareness of relative risks, even up-country consumers are willing to pay market premium levels for these products, and that inadequate availability, rather than lack of demand is the constraining factor. Willingness to pay is found to increase with income, age and supermarket sourcing of vegetables. We also discuss the challenge of improving availability at mainstream outlets.

Consumers' willingness-to-pay for organic conversion-grade food: Evidence from five EU countries

In recent years, in overall value, the EU has become a net importer of organic food to supply increasing demand. Financial support for farmers during the conversion period has been made to help expand organic production as this was seen as a barrier to conversion. Meanwhile, farmers have been marketing products produced in this conversion period and labelled as such, the extent to which is described here for the UK, Portugal, Denmark, Ireland and Italy. Consumers' attitudes towards, and willingness-to-pay for, conversion-grade food in these countries is examined. It was found that consumers would be prepared to pay a premium for conversion-grade produce of around half the premium for organic produce with vegetables attracting a higher premium than meat. Finally, the potential of policies for marketing conversion-grade products to encourage more conversion is examined, together with barriers to achieving this. It is concluded that barriers to marketing such products, particularly from retailers, will be formidable. Thus, alternative policies are suggested. (C) 2009 Elsevier Ltd. All rights reserved.

Sialyloligosaccharides inhibit cholera toxin binding to the GM1 receptor

It is recognised that cholera toxin (Ctx) is a significant cause of gastrointestinal disease globally, particularly in developing countries where access to uncontaminated drinking water is at a premium. Ctx vaccines are prohibitively expensive and only give short-term protection. Consequently, there is scope for the development of alternative control strategies or prophylactics. This may include the use of oligosaccharides as functional mimics for the cell-surface toxin receptor (GM I). Furthermore, the sialic acid component of epithelial receptors has already been shown to contribute significantly to the adhesion and pathogenesis of Ctx. Here, we demonstrate the total inhibition of Ctx using GM1-competitive ELISA with 25 mg mL(-1) of a commercial preparation of sialyloligosaccharides (SOS). The IC50 value was calculated as 5.21 mg mL(-1). One-hundred percent inhibition was also observed at all concentrations of Ctx-HRP tested with 500 ng mL(-1) GM1-OS. Whilst SOS has much lower affinity for Ctx than GM1-OS, the commercial preparation is impure containing only 33.6% carbohydrate; however, the biantennary nature of SOS appears to give a significant increase in potency over constituent monosaccahride residues. It is proposed that SOS could be used as a conventional food additive, such as in emulsifiers, stabilisers or sweeteners, and are classified as nondigestible oligosaccharides that pass into the small intestine, which is the site of Ctx pathogenesis. (C) 2008 Elsevier Ltd. All rights reserved.

Galactooligosaccharides (GOS) inhibit Vibrio cholerae toxin binding to its GM1 receptor

It is widely reported that cholera toxin (Ctx) remains a significant cause of gastrointestinal disease globally, particularly in developing countries where access to clean drinking water is at a premium. Vaccines are prohibitively expensive and have shown only short-term protection. Consequently, there is scope for continued development of novel treatment strategies. One example is the use of galactooligosaccharides (GOS) as functional mimics for the cell-surface toxin receptor (GM1). In this study, GOS fractions were fractionated using cation exchange chromatography followed by structural characterization using a combination of hydrophilic interaction liquid chromatography (HILIC) and electrospray ionization mass spectrometry (ESI-MS) such that their molecular weight profiles were known. Each profile was correlated against biological activity measured using a competitive inhibitory GM1-linked ELISA. GOS fractions containing > 5% hexasaccharides (DP6) exhibited > 90% binding, with EC50 values between 29.27 and 56.04 mg/mL. Inhibition by GOS DP6, was dose dependent, with an EC50 value of 5.10 mg/mL (5.15 mu M MW of 990 Da). In removing low molecular weight carbohydrates that do possess prebiotic, nutraceutical, and/or biological properties and concentrating GOS DP5 and/or DP6, Ctx antiadhesive activity per unit of (dry) weight was improved. This could be advantageous in the manufacture of pharmaceutical or nutraceutical formulations for the treatment or prevention of an acute or chronic disease associated with or caused by the adhesion and/or uptake of a Ctx or HLT.