Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

The location of executive suites and business centers in the United States: an exploratory analysis

Increasingly, corporate occupiers seek more flexible ways of meeting their accommodation needs. One consequence of this process has been the growth of the executive suite, serviced office or business centre market. This paper, the final report of a research project funded by the Real Estate Research Institute, focuses upon the geographical distribution of business centers offering executive suites within the US. After a brief review of the development of the market, the paper examines the availability of data, provides basic descriptive statistics of the distribution of executive suites by state and by metropolitan statistical area and then attempts to model the distribution using demographic and socio-economic data at MSA level. The distribution reflects employment in key growth sectors and the position of the MSA in the urban hierarchy. An appendix presents a preliminary view of the global distribution of suites.

Typification of four North American club-chollas: the names of four Engelmannian species from Mexico and Southwestern United States

The names Opuntia bulbispina, O. clavata, O. emoryi and O. grahamii, originally proposed by George Engelmann between 1848 and 1856, are reviewed and typified after new findings of previously unknown voucher specimens. Original materials collected by some of the collaborators employed by Engelmann during the Mexican Boundary Survey were discovered in a loan from the Torrey Herbarium at the New York Botanical Garden (NY). Many of the materials include fragments of stems and fruits, and others include only sectioned flowers and some seeds. Particularly good descriptions of the species here concerned were published in Engelmann’s “Synopsis of the Cactaceae” in 1857, and exceptional illustrations were produced by Paulus Roetter and printed in “Cactaceae of the Boundary” in 1859. The problems surrounding some previous typifications of these names range from typification of joint lectotypes to illegitimate typifications of illustrations when original material was known to exist. The materials selected for typification were collected by the Mexican Boundary Survey and are lodged at the herbaria of the Missouri Botanical Garden (MO) and the New York Botanical Garden (NY); some are illustrations published by Engelmann.

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.

Macroeconomic forecasting with mixed-frequency data: forecasting output growth in the United States

Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentially useful predictors are often observed at a higher frequency. We look at whether a mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth. The MIDAS specification used in the comparison uses a novel way of including an autoregressive term. We find that the use of monthly data on the current quarter leads to significant improvement in forecasting current and next quarter output growth, and that MIDAS is an effective way to exploit monthly data compared with alternative methods.

Cross-cultural generality and specificity in self-regulation: avoidance personal goals and multiple aspects of well-being in the United States and Japan

The authors examined avoidance personal goals as concurrent (Study 1) and longitudinal (Study 2) predictors of multiple aspects of well-being in the United States and Japan. In both studies, participants adopted more avoidance personal goals in Japan relative to the United States. Both studies also demonstrated that avoidance personal goals were significant negative predictors of the most relevant aspects of well-being in each culture. Specifically, avoidance personal goals were negative predictors of intrapersonal and eudaimonic well-being in the United States and were negative predictors of interpersonal and eudaimonic well-being in Japan. The findings clarify and extend puzzling findings from prior empirical work in this area, and raise provocative possibilities about the nature of avoidance goal pursuit.

Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

The United States in Southern Africa: Chester Crocker's linkage strategy 1981-1988

Chester Crocker was appointed as Reagan's Assistant Secretary of State for African Affairs in 1981. He had criticised the inconsistencies of US African policy and proposed a renewed emphasis on the balance between America's global interests with specific regional priorities. While the focus of Congressmen, journalists and public opinion centred on the issue of apartheid, it was the Namibian War of Independence (South African Border War) that initially drew the attention of the Reagan administration, and it was the resolution of this war that remained the priority for the US government in this region throughout Crocker's time in office.

Prediction of the economic activity from the short and long-term interest rate differential: new evidences in Chile and the United States of America cases

The purpose of this work is to verify the stability of the relationship between real activity and interest rate spread. The test is based on Chen (1988) and Osorio and Galea (2006). The analysis is applied to Chile and the United States, from 1980 to 1999. In general, in both cases the relationship was statistically significant in early 80s, but a break point is found in both countries during that decades, suggesting that the relationship depends on the monetary rule follow by the Central Bank.