Commodity Future Price Premiums – Case EU ETS

The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Relationship between the price of fish and its quality attributes: a study within a community at the University of São Paulo, Brazil

The aim of this study was to evaluate the associations between the products' market price and attributes related to fish purchase and consumption within a university community in Brazil. A structured questionnaire consisting of a five-point Likert scale was used. It was previously tested and made available to the university community via the Internet. The sample comprised 1966 voluntaries including university students and faculty and staff members. A descriptive analysis of data was performed using Spearman's correlation analysis. The results showed that the majority of the respondents (56%) consume fish at home; some consume fish at restaurants (39%), and 5% at family or friends' houses, reinforcing the idea that variables such as culture and reference groups are fundamental determinants of purchase and consumption behavior. It was identified a significant (p < 0.001) and very strong correlation between the attributes price and nutritional value (r = 0.92); price and availability at the usual places of purchase (r = 0.92); price and packaging (r = 0.92); price and brand name (r = 0.91); and price and of the Federal Inspection stamp (r = 0.91) and a low positive correlation (p < 0.001) between the price variable and the initiative for fish traceability (r = 0.16). This study demonstrated that the price of fish is associated with the quality of the product and the attributes related to it such as packaging, nutritional value, and availability of the product in the market.

Price synchronization in retailing: some empirical evidence

The paper investigates the synchronization of price changes in the context of retail tire dealers in São Paulo-Brazil and selected items in supermarkets for cleaning supplies and food in Rio de Janeiro-Brazil. Results indicate similar and non-negligible synchronization for different brands, although magnitudes are distant from a perfect synchronization pattern. We find interesting patterns in inter-firm competition, with similar magnitudes across different tire types. Intra-chain synchronization is substantial, indicating that a common price adjustment policy tends to be sustained for each chain across different products.

Derivative hedging strategies for bitumen price risk

The objective of the study is to extend the existing hedging literature of the commodity price risks by investigating what kind of hedging strategies can be used in companies using bitumen as raw material in their production. Five different alternative swap hedging strategies in bitumen markets are empirically tested. Strategies tested are full hedge strategy, simple, conservative, and aggressive term structure strategies, and implied volatility strategy. The effectiveness of the alternative strategies is measured by excess returns compared to no hedge strategy. In addition, the downside risk of each strategy is measured with target absolute semi-deviation. Results indicate that any of the tested strategies does not outperform the no hedge strategy in terms of excess returns in all maturities. The best-performing aggressive term structure strategy succeeds to create positive excess returns only in short maturities. However, risk seems to increase hand-in-hand with the excess returns so that the best-performing strategies get the highest risk metrics as well. This implicates that the company willing to gain from favorable price movements must be ready to bear a greater risk. Thus, no superior hedging strategy over the others is found.

Price movement in the Brazilian land market (1994-2010): an analysis in the light of post-Keynesian theory

ABSTRACT The present study aims to evaluate crop, pasture and forest land prices in Brazil, between 1994 and 2010, in the light of Post-Keynesian theory. The results provide evidence that land, more than just a simple factor of production, must be conceived of as an economic asset. In fact, the price of rural land is determined not only by the expected profitability deriving from agricultural activities but also by the agents' expectations about its future appreciation and liquidity in an economic environment permeated with uncertainty. In this context, as an object of speculation, land has been particularly important as a store of value.

Everything that rises must converge: a neo-Marxist analysis of Canadian business-government relations

The following thesis presents an analysis of business-government relations within a neo-Marxist framework. Specifically, the discussion encompasses how the business interest group. the Business Council on National Issues, maintains consensus and unity amongst its monopoly capital members. Furthermore. the study elaborates on the process through which the group's interests are acknowledged and legitimized by the state under the "public interest" f8fue. Most of the literature pertaining to business-government relations within the context of interactions between business interest groups and the state, and such specific branches of the state as the government and/or the civil service. emphasize a liberal-pluralist perspective. Essentially, these writings serve to reflect and legitimate the current slatus quo. Marxist discourses on the subject, while attempting to transcend the liberal-pluralist framework. nevertheless suffer from either economic determinism .. ie., stressing the state's accumulation function but not its legitimation function or historical specificity. A cogent and comprehensive neo-Marxist analysis of business-government relations must discuss both the accumulation and legitimation functions of the state. The process by which the concerns of a particular business interest group become part of the state's policy agenda and subsequently are formulated and implemented into policies which legitimate its dominance is also studied. This inquiry is significant given the liberal-pluralist assumptions of a neutral state and that all interest groups compete "on a level playing field". The author's neo-Marxist paradigm rejects both of these assumptions. Building on concepts from nea-Marxist instrumentalism. structuralism. state monopoly capitalism, and forms and functions of the state perspectives. the author proposes that policies which legitimize the interests of the monopoly capital fraction cannot. be discerned only from the state's activities. per StJ. Clearly, if the liberal-pluralist 3 contention of multiple and conflicting interest groups, including those within the capitalist class, is taken at face value, M interest group such as the Business Council on National Issues (BCND, must somehow maintain. internal consensus Md unity amongst its members. Internal consensus amongst its members ensures that the state can better acknowledge and articulate its concerns into policies that maintain hegemonic dominance of the monopoly capital fraction under the "public interest" fllf.JJdq. The author contends that the BCNI focuses most of its interactions on the upper echelons of the civil service since it is this branch of the state which is most responsible for policy formulation and implementation. The author's paradigm is applied within the context of extensively analyzing newspaper coverage. BCN! publications, and other published sources, as well as a personal interview with an executive administrative member of the BeNI. The discussion focuses on how agreement and unity amongst the various interests of the monopoly capital fraction are maintained through the business organization, its policy scope, and finally its interactions with the state. The analysis suggests that while the civil service is an important player in expressing the interests of the BCNI's membership through policies which ostensibly also reflect the "public interest", it is not the only strategic target for the BCNI's interactions with the state. The author's research also highlights the importance of government officials at the Cabinet level and Cabinet Committees. Senior elected officials from the Federal government are also significant in avoiding intergovernmental or interprovincial conflict in implementing policies that legitimize hegemonic dominance of the monopoly capital fraction over other fractions and classes.

Sculpture by R. Bret Price and Harold Hutton Sports Center, Chapman College, Orange, California

Sculpture by R. Bret Price in front of the Harold Hutton Sports Center, 219 E. Sycamore St., Chapman College, Orange, California. The Harold Hutton Sports Center completed in 1978, is named in honor of this former trustee, and made possible by a gift from his wife, Betty Hutton Williams. Image used for holiday card by Chapman College president G. T. "Buck" Smith and his wife Joni.