Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Annual Report of the Game Department for the year ended 31st December, 1948

Fisheries section of the annual report covers the following A. ADMINISTRATION (1) General, (2) Legislation, (3) Nets (4) Imports and Exports of Dried Fish, (B) ECONOMIC :( 1) Lake Victoria, (2) Lake Albert (including the Albert Nile), (3) Lake Edward and Associated Fisheries, (4) Report by Fish Culturist, (5) Lake Kyoga, (6) Minor Lakes and the Victoria Nile, (7) Dams,(8) Introductions,(9) Fish Transfers (10) Crocodiles:(i) Control,(ii) Industry, (iii) General (ll) General Notes, (C) ANGLING:Trout, Nile Perch Barbei, Tilapia variabilis.

INVERTEBRATE CONTRIBUTION TO LEAF BREAKDOWN IN PYNN’S BROOK, NL.

Leaf bags of fine and coarse mesh were placed at two locations, one with an open tree canopy, the other with a closed tree canopy, in Pynn’s Brook on June 30th 2015. Bags were collected after 2, 30, 37 and 44 days. After collection, invertebrates were counted and leaf material remaining was determined to measure leaf breakdown rate. There was no significant difference in leaf mass remaining (R) between the two sites. Comparisons between mesh types found a difference in leaf breakdown at two collection days. The difference at 2 days was small (2.7%) and may not be biologically meaningful. At 37 days, the difference was larger (8.41%) and may be related to a larger proportion of shredder taxa, seen in coarse mesh bags, or higher absolute numbers of invertebrates. The invertebrate community was dominated by Diptera spp. across all collection days and mesh types, but after 37 days, communities in coarse mesh bags had a higher proportion of shredder orders than did fine mesh bags.

Land use and zoning map, Jackson Brook watershed, Morris County, New Jersey /

Shows "1988 land use."

General soil map, Jackson Brook watershed, Morris County, New Jersey /

"January 1988."

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

A industria de hedge funds: caracteristicas, estratégias e divulgação de informação

Os hedge funds encontram-se presentes nos mercados financeiros há cerca 60 anos. Porém, recentemente, tem-se assistido a transformações consideráveis no sector, particularmente no que concerne ao segmento alvo. Inicialmente, este tipo de investimento era sobretudo dedicado a investidores particulares de vastos recursos; recentemente tem sido alvo da crescente atenção de investidores institucionais, ligados aos mais variados ramos, como entidades seguradoras, fundos de pensões, entres outros. Este trabalho tem, porém, objetivos mais amplos, os quais passam pela caraterização da indústria de hedge funds, pela identificação dos principais investidores e das estratégias de investimento prosseguidas, bem como pela avaliação do impato que aumento do nível de transparência dos retornos obtidos poderá ter ao nível do crescimento deste segmento do mercado financeiro, o qual acarretará, necessariamente, transformações ao nível dos dispositivos de regulação, Em termos metodológicos, recorreu-se, essencialmente, à sistematização de informação, a qual permitiu construir um discurso autónomo, abrangente e crítico. O trabalho permitiu evidenciar algumas conclusões, entre as quais se destacam a especificidade em matéria de estratégias de investimento conduzidas e a existência de conflitos latentes entre os gestores de hedge funds e os investidores neste instrumento financeiro.

Reviewing the hedge funds literature I:hedge funds and hedge funds' managerial characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics of HFs). It classifies, the current HF literature, suggesting which critical problems have been “solved” and which problems have not been yet adequately addressed. It also discusses the effects of past financial regulation and the prospects for the effect of new financial regulation on the HF industry and its performance and risk management practices, and suggests new avenues for research. Furthermore, it highlights the importance of managerial characteristics for HF performance, and the successes and the shortfalls to date in developing more sophisticated HF-related risk management tools.

Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Recent advances in explaining hedge fund returns:implicit factors and exposures

We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Recent advances in hedge funds' performance attribution:performance persistence and fundamental factors

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.

José Rodrigues Santos de Sousa Ramos (1948-2007): The diversity of dynamical systems

José Rodrigues Santos de Sousa Ramos, mathematician of great merit, passed away on January 1st, 2007, in Lisbon. He was buried in Sobral da Adiça. His death was a huge loss for the development of mathematics in Portugal. The course of time will increase the dimension of this loss. Therefore, we dedicated this theme issue on Dynamical Systems to recall his memory and underline his work. We never forget you.

Páginas de un diario sobre acontecimientos en Villa Mills durante el conflicto armado de 1948

ResumenEste diario fue amablemente enviado a la Revista de Historia por la antropóloga Dra. María Eugenia Bozzoli, miembro de la Academia de Geografía e Historia de Costa Rica, en el mes de diciembre de 2005. Como explicó Bozzoli en esa ocasión, el documento había sido entregado años atrás a esa Academia por el señor Tomás M. Zeledón, quien adjuntó una carta de presentación explicando cómo había llegado el diario a sus manos y quién era R. J. Phillips. Ambos documentos quedaron archivados en la academia hasta que años más tarde, a instancias de Bozzoli, el documento fue digitado y enviado a la Revista de Historia. Aunque desconocemos qué ha sucedido con el señor R. J. Phillips, consideramos que la publicación tanto de su diario como de la carta de Tomás M. Zeledón es oportuna e importante.

Comentario del libro “Urnas de lo inesperado, Fraude electoral y lucha política en Costa Rica (1901 – 1948)

Introducción Este libro de Iván Molina y Fabrice Lehoucq representa un importante aporte a la historia política relegada a un segundo plano desde por lo menos la década de 1970, cuando la renovación de nuestra disciplina se orientó a la historia social y económica. En los últimos años se ha empezado a remozar la historia política utilizando novedosas estrategias teóricas y metodológicas que permiten analizar los procesos políticos desde la perspectiva cultural…