An analysis of sectoral equity and CDS spreads

In this paper, we find that CDS return shocks are important in explaining the forecast error variance of sectoral equity returns for the USA. The CDS return shocks have different effects on equity returns and return volatility in the pre-crisis and crisis periods. It is the post-Lehman crisis period in which the effects of CDS return shocks are the most dominant. Finally, we construct a spillover index and find that it is time-varying and explains a larger share of total forecast error variance of sectoral equity and CDS returns for some sectors than for others.

Prediction interval estimation of electricity prices using PSO-tuned support vector machines

Uncertainty of the electricity prices makes the task of accurate forecasting quite difficult for the electricity market participants. Prediction intervals (PIs) are statistical tools which quantify the uncertainty related to forecasts by estimating the ranges of the future electricity prices. Traditional approaches based on neural networks (NNs) generate PIs at the cost of high computational burden and doubtful assumptions about data distributions. In this work, we propose a novel technique that is not plagued with the above limitations and it generates high-quality PIs in a short time. The proposed method directly generates the lower and upper bounds of the future electricity prices using support vector machines (SVM). Optimal model parameters are obtained by the minimization of a modified PI-based objective function using a particle swarm optimization (PSO) technique. The efficiency of the proposed method is illustrated using data from Ontario, Pennsylvania-New Jersey-Maryland (PJM) interconnection day-ahead and real-time markets.

Franchisee-based brand equity: The role of brand relationship quality and brand citizenship behavior

Despite the evidence that brand management is core to the success of franchising businesses, limited empirical work has focused on branding in such business-to-business (B2B) exchanges. Integrating social exchange theory and the identity-based brand management framework, this study proposes that brand relationship quality is crucial in promoting franchisee brand citizenship behavior that can enhance brand equity attributable to franchisees, thereby advancing a model of '. franchisee-based brand equity' (FBBE). Survey results from 352 franchisees in franchised B2B exchanges suggest that brand relationship quality promotes brand citizenship behavior, thereby enhancing FBBE. Additionally, moderated mediation analysis indicates that the indirect effect of brand relationship quality on FBBE via brand citizenship behavior is stronger when franchisor competence is high. However, franchisor-franchisee relationship duration has no moderating effects on these relationships. The findings of this study have implications for franchising practitioners that are interested in understanding the role of brand relationship management in promoting franchisee brand citizenship behavior and FBBE.

Farmland prices, structural breaks and panel data

Previous time series evidence has indicated that farmland prices and cash rents are not cointegrated, a finding at odds with the present value model of farmland prices. We argue that this failure to find cointegration may be due to low power of tests and to the presence of structural change representing a shifting risk premium on farmland investments. To accommodate this possibility, we use panel unit root and cointegration methods that are more powerful than conventional time series methods and allow for breaks in the cointegration relationship. Our results, based on a large panel covering 31 US states between 1960 and 2000, suggest that the present value model of farmland prices cannot be rejected. © Oxford University Press and Foundation for the European Review of Agricultural Economics 2007; all rights reserved.

Intraday volatility interaction between the crude oil and equity markets

This paper investigates the price volatility interaction between the crude oil and equity markets in the US using 5-min data over the period 2009-2012. Our main findings can be summarised as follows. First, we find strong evidence to demonstrate that the integration of the bid-ask spread and trading volume factors leads to a better performance in predicting price volatility. Second, trading information, such as bid-ask spread, trading volume, and the price volatility from cross-markets, improves the price volatility predictability for both in-sample and out-of-sample analyses. Third, the trading strategy based on the predictive regression model that includes trading information from both markets provides significant utility gains to mean-variance investors.

The burden of severe obesity and the efficiency and equity of treatment

 Severe obesity rates have doubled during the last twenty years, particularly in disadvantaged Australians. Paradoxically, disadvantaged Australians are the least likely group to receive treatment using bariatric surgery. Health care costs for individuals with severe obesity are double the population average. These costs are decreased after bariatric surgery, particularly in individuals with diabetes.

Are firms with negative book equity in financial distress?

© 2015 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research. This study examines whether negative book equity (BE) firms are in financial distress by analyzing their operating performance, financial characteristics, distress risk, and survivability when they first report negative BE. Firms with small magnitude of negative BE (SNBE firms) suffer from persistent negative earnings and financial distress, while firms with large magnitude of negative BE (LNBE firms) experience a temporary non-distress related earnings shock. LNBE firms report consecutive years of negative BE, but have lower distress risk and failure rate than both SNBE and control firms. However, all negative BE stocks have abysmal returns subsequent to their first report of negative BE.

Sharing the load: role equity in the incubation of a monomorphic shorebird, the masked lapwing (Vanellus miles)

Sex roles during incubation vary dramatically in socially monogamous shorebirds. The "incubator conspicuousness" hypothesis posits that, for biparentally incubating and sexually dimorphic birds, the more conspicuous sex should incubate when visually foraging predators are inactive, and in many ecosystems this is at night. Therefore, sexually monomorphic species should share incubation equitably throughout the day and night. We examined incubation patterns in Masked Lapwings Vanellus miles and found that the contribution of the sexes to incubation was equitable. Another measure of incubation behavior, bout duration, was similar between the sexes; male bout durations were slightly shorter than for females. This finding is consistent with the predictions of the incubator conspicuousness hypothesis, although other processes may also explain equitable care.

Executive equity risk-taking incentives and audit pricing

Using a large sample of U.S. firms spanning the period 2000-2010, we document a strong positive association between the sensitivity of CEO compensation portfolio to stock return volatility (vega) and audit fees. We also show that the positive association between vega and audit fees is weaker in the post-Sarbanes-Oxley Act (SOX) period. In supplementary tests, we show that the relation between vega and audit fees is stronger for firms with older CEOs and in firms where the CEO is also chairman of the board. Collectively, our results suggest that audit firms incorporate executive risktaking incentives in the fees they charge for their services.