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.

The exchange rate disconnect puzzle: a resolution?

Early empirical studies of exchange rate determinants demonstrated that fundamentals-based monetary models were unable to outperform the benchmark random walk model in out-of-sample forecasts while later papers found evidence in favor of long-run exchange rate predictability. More recent theoretical works have adopted a microeconomic structure; a utility-based new open economy macroeconomic framework and a rational expectations present value model. Some recent empirical work argues that if the models are adjusted for parameter instability, it is a good predictor of nominal exchange rates while others use aggregate idiosyncratic volatility to generate good predictions. This latest research supports the idea that fundamental economic variables are likely to influence exchange rates especially in the long run and further that the emphasis should change to the economic value or utility based value to assess these macroeconomic models.

Emotional intelligence and teaching : solving the puzzle

The emotional intelligence of educators has a major influence on how well they are able to help people to learn. Teachers with high levels of emotional intelligence always or usually adopt an appropriate emotionally intelligent response in both positive and negative situations. Teachers with low levels of emotional intelligence sometimes adopt an emotionally intelligent response in positive situations but seldom or never in negative situations. These differences have some significant implications. The authors' research shows that emotional intelligence and self-efficacy are different but related concepts. A teacher's level of emotional intelligence is linked to his or her sense of self-efficacy. A teacher with high levels of emotional intelligence is more likely to be able to work more effectively and persist longer because they have a belief in their own ability and feel that they are in control. The emotionally intelligent teacher is sensitive to his or her own emotions and the emotions of others and so is able to build positive relationships with colleagues and students. Beyond that, a teaching environment that is emotionally healthy and supportive will enhance the development of teachers' emotional intelligence.

Solving the halloween indictor puzzle : market efficiency still reigns

Prior research by Bouman and Jacobsen (2002) document unusually high monthly returns over the period November-April for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. The implication is that the Halloween effect represents an exploitable anomaly, which has negative implications for stock market efficiency. We extend this research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982 through April 2003. Re-examining Bouman and Jacobsen’s empirical results for the U.S., we find that two outliers drive their results. These two outliers are associated with the “Crash” in October 1987 and collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect disappears.

Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect represents an exploitable anomaly and has negative implications for claims of stock market efficiency.

Re-examining Bouman and Jacobsen’s empirical results for the U.S. reveals that their results are driven by two outliers, the “Crash” of October 1987 and the collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect becomes statistically insignificant. This anomaly is not economically exploitable for U.S. equity markets. We extend the research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982-April 2003.

The last piece in the cellulase puzzle : the characterisation of β-glucosidase from the herbivorous gecarcinid land crab Gecarcoidea natalis

A 160 kDa enzyme with β-glucosidase activity was purified from the midgut Gland of the land crab Gecarcoidea natalis. The enzyme was capable of releasing glucose progressively from cellobiose, cellotriose or cellotetraose. Although β-glucosidases (EC 3.2.1.21) have some activity towards substrates longer than cellobiose, the enzyme was classified as a glucohydrolase (EC 3.2.1.74) as it had a preference for larger substrates (cellobiose<cellotriose=cellotetraose). It was able to synthesise some cellotetraose by the transglycosylation of smaller substrates – another common feature of glucohydrolases. The interaction between the glucohydrolase described here and the endo-β-1,4-glucanases described previously for G. natalis provides a complete model for cellulose hydrolysis in crustaceans and possibly in other invertebrates. After mechanical fragmentation by the gastric mill, multiple endo-β-1,4-glucanases would initially cleave β-1,4-glycosidic bonds within native cellulose, releasing small oligomers, including cellobiose, cellotriose and cellotetraose. The glucohydrolase would then attach to these oligomers, progressively releasing glucose. The glucohydrolase might also attach directly to crystalline cellulose to release glucose from free chain ends. This two-enzyme system differs from the traditional model, which suggests that total cellulose hydrolysis requires the presence an endo-β-1,4-glucanse, a cellobiohydrolase and a β-glucosidase

Why business academics remain in Australian universities despite deteriorating working conditions and reduced job satisfaction : an intellectual puzzle

In the last two decades, Australia's 38 universities have been subjected to profound changes affecting the working lives of their academic staff. That the working conditions of staff have deteriorated cannot be denied, while many studies have shown that job satisfaction has been affected adversely. Paradoxically, there is little evidence that academics are seeking employment outside the university system. In this article, the authors report the findings from their survey of over 3000 academics employed in business disciplines in Australian universities, which aimed to find explanations for this phenomenon.

Piecing together the puzzle of graduate employment : factors that shape the graduate work expectations of human resource management students

Providing graduates with a set of skills and attributes relevant to their future employment remains a key topic in both higher education policy and research. This paper reports findings from a pilot study of human resource management (HRM) students' perceptions of the graduate work experience. Specifically, it focuses on how these perceptions are shaped, driven by a concern for the uncertainty - and even fear - expressed by the study's participants in relation to their future workplace experiences. The influences of three key factors in shaping participants' expectations are discussed: the graduate recruitment experience, previous work experiences and 'graduate work folklore' from the stories of family and friends. With these influences not always providing students with a realistic picture of their future work experience, we conclude that educators need to improve the opportunities for practical experience and industry knowledge through work placements, stronger links with industry and increased exposure to the practicalities of work within the curriculum.