Permanent trading impacts and bond yields

We analyze four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platforms. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We find not only strong evidence of information asymmetry in sovereign bond markets, but we also show the relevance of information asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our results confirm that trades of more recently issued bonds and longer maturity bonds have a greater permanent effect on prices. We compare the price impact of trades for bonds across different maturity categories and find that trades of French and German bonds have the highest long-term price impact in the short maturity class whereas trades of German bonds have the highest permanent price impacts in the long maturity class. More importantly, we study the cross-section of bond yields and find that after controlling for conventional factors, investors demand higher yields for bonds with larger permanent trading impact. Interestingly, when investors face increased market uncertainty, they require even higher compensation for information asymmetry.

Commodity currency: an alternative route to currency union

Proposals have been made for a common currency for East Asia, but the countries preparing to participate need to be in a state of economic convergence. We show that at least six countries of East Asia already satisfy this condition. There also needs to be a mechanism by which the new currency relates to other reserve currencies. We demonstrate that a numéraire could be defined solely from the actual worldwide consumption of food and energy per capita, linked to fiat currencies via world market prices. We show that real resource prices are stable in real terms, and likely to remain so. Furthermore, the link from energy prices to food commodity prices is permanent, arising from energy inputs in agriculture, food processing and distribu-tion. Calibration of currency value using a yardstick such as our SI numéraire offers an unbiased measure of the con-sistently stable cost of subsistence in the face of volatile currency exchange rates. This has the advantage that the par-ticipating countries need only agree to currency governance based on a common standards institution, a much less on-erous form of agreement than would be required in the creation of a common central bank.

Online customer experience in e-retailing: an empirical model of antecedents and outcomes

The theoretical understanding of online shopping behavior has received much attention. Less focus has been given to the formation of the customer experience (CE) that results from online shopper interactions with e-retailers. This study develops and empirically tests a model of the relationship between antecedents and outcomes of online customer experience (OCE) within Internet shopping websites using an international sample. The study identifies and provides operational measures of these variables plus the cognitive and affective components of OCE. The paper makes contributions towards new knowledge and understanding of how e-

Guiding e-learning: introducing online informal learning to a global voluntary organisation

The World Association of Girl Guides and Girl Scouts (WAGGGS) is the umbrella organisation for Member Organisations from 145 countries around the world, with a total membership of ten million. While Member Organisations offer training and development within their own countries, WAGGGS offers international opportunities. This project seeks to explore how technology can be used to offer similar opportunities to those provided by the face-to-face courses to a much wider audience, while retaining the community and interactive learning aspects of the existing programmes.

Real estate mutual funds: herding, momentum-trading and performance

This study jointly examines herding, momentum trading and performance in real estate mutual funds (REMFs). We do this using trading and performance data for 159 REMFs across the period 1998–2008. In support of the view that Real Estate Investment Trust (REIT) stocks are relatively more transparent, we find that stock herding by REMFs is lower in REIT stocks than other stock. Herding behavior in our data reveals a tendency for managers to sell winners, reflective of the “disposition effect.” We find low overall levels of REMF momentum trading, but further evidence of the disposition effect when momentum trading is segregated into buy–sell dimensions. We test the robustness of our analysis using style analysis, and by reference to the level of fund dividend distribution. Our results for this are consistent with our conjecture about the role of transparency in herding, but they provide no new insights in relation to the momentum-trading dimensions of our analysis. Summarizing what are complex interrelationships, we find that neither herding nor momentum trading are demonstrably superior investment strategies for REMFs.

Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Online modeling with tunable RBF network

In this paper, we propose a novel online modeling algorithm for nonlinear and nonstationary systems using a radial basis function (RBF) neural network with a fixed number of hidden nodes. Each of the RBF basis functions has a tunable center vector and an adjustable diagonal covariance matrix. A multi-innovation recursive least square (MRLS) algorithm is applied to update the weights of RBF online, while the modeling performance is monitored. When the modeling residual of the RBF network becomes large in spite of the weight adaptation, a node identified as insignificant is replaced with a new node, for which the tunable center vector and diagonal covariance matrix are optimized using the quantum particle swarm optimization (QPSO) algorithm. The major contribution is to combine the MRLS weight adaptation and QPSO node structure optimization in an innovative way so that it can track well the local characteristic in the nonstationary system with a very sparse model. Simulation results show that the proposed algorithm has significantly better performance than existing approaches.

The potential inefficiency of using marketing margins in applied commodity price analysis, forecasting and risk management

This paper examines the implications of using marketing margins in applied commodity price analysis. The marketing-margin concept has a long and distinguished history, but it has caused considerable controversy. This is particularly the case in the context of analyzing the distribution of research gains in multi-stage production systems. We derive optimal tax schemes for raising revenues to finance research and promotion in a downstream market, derive the rules for efficient allocation of the funds, and compare the rules with an without the marketing-margin assumption. Applying the methodology to quarterly time series on the Australian beef-cattle sector and, with several caveats, we conclude that, during the period 1978:2 - 1988:4, the Australian Meat and Livestock Corporation optimally allocated research resources.

Excise taxes and commodity promotion bayesian retrieval of the optimum

This article shows how the solution to the promotion problem—the problem of locating the optimal level of advertising in a downstream market—can be derived simply, empirically, and robustly through the application of some simple calculus and Bayesian econometrics. We derive the complete distribution of the level of promotion that maximizes producer surplus and generate recommendations about patterns as well as levels of expenditure that increase net returns. The theory and methods are applied to quarterly series (1978:2S1988:4) on red meats promotion by the Australian Meat and Live-Stock Corporation. A slightly different pattern of expenditure would have profited lamb producers

Seasonality and the valuation of commodity options

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed in the volatility of the commodity price. Analyzing an extensive sample of soybean, corn, heating oil and natural gas options, we find that seasonality in volatility is an important aspect to consider when valuing these contracts. The inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors.

Online data processing consent under EU law: a theoretical framework and empirical evidence from the UK

This article analyses the results of an empirical study on the 200 most popular UK-based websites in various sectors of e-commerce services. The study provides empirical evidence on unlawful processing of personal data. It comprises a survey on the methods used to seek and obtain consent to process personal data for direct marketing and advertisement, and a test on the frequency of unsolicited commercial emails (UCE) received by customers as a consequence of their registration and submission of personal information to a website. Part One of the article presents a conceptual and normative account of data protection, with a discussion of the ethical values on which EU data protection law is grounded and an outline of the elements that must be in place to seek and obtain valid consent to process personal data. Part Two discusses the outcomes of the empirical study, which unveils a significant departure between EU legal theory and practice in data protection. Although a wide majority of the websites in the sample (69%) has in place a system to ask separate consent for engaging in marketing activities, it is only 16.2% of them that obtain a consent which is valid under the standards set by EU law. The test with UCE shows that only one out of three websites (30.5%) respects the will of the data subject not to receive commercial communications. It also shows that, when submitting personal data in online transactions, there is a high probability (50%) of incurring in a website that will ignore the refusal of consent and will send UCE. The article concludes that there is severe lack of compliance of UK online service providers with essential requirements of data protection law. In this respect, it suggests that there is inappropriate standard of implementation, information and supervision by the UK authorities, especially in light of the clarifications provided at EU level.

Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying parameters or structural breaks in these pricing relationships. Compared to previous studies, we find stronger evidence of seasonality in the basis, which supports the theory of storage. The power of the basis to forecast subsequent price changes is also strengthened, while results on the presence of a risk premium are inconclusive. In addition, we show that the forecasting power of commodity futures cannot be attributed to the extent to which they exhibit seasonality. We find that in most cases where structural breaks occur, only changes in the intercepts and not the slopes are detected, illustrating that the forecast power of the basis is stable over different economic environments.