Commodity tail risks

In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.     

CEO performance-based grants’ vesting provisions and debt contracts: Evidence from GAAP,Non-GAAP and KPI metrics

We examine the influence of CEOs’ equity and cash grants’ vesting provisions that are based on (i) accounting performance metrics prepared under US generally accepted principles (GAAP), (ii) non-GAAP performance metrics and (iii) key performance indicators (KPIs) on debt contracts. We find that grants with vesting provisions based on GAAP metrics and KPIs lead to a lower cost of debt, a lower likelihood of collateral requirements and less restrictive covenant terms. In contrast, performance-based grants with non-GAAP vesting provisions lead to a higher cost of debt, a higher likelihood of collateral requirements and more restrictive covenant terms. Supplementary analyses reveal that our results are incremental to other debtholder-friendly features in the CEO contracts, such as grants with debt-related performance measures and CEOs’ inside debt holdings, and robust to alternative variable definitions and specifications. Overall, our results suggest that debtholders understand the differing incentives associated with GAAP, non-GAAP and KPI-based performance measures, and incorporate these differences into debt contracts.     

Focus on cash transfer programs: assessing the eligibility of the Bolsa Família program in Brazil

Quality & Quantity - Income transfer programs are important public policies in fighting poverty and reducing inequality. However, such a strategy is often criticised as being ineffective, as...     

Effects of psychological pressure on first-mover advantage in competitive environments: Evidence from penalty shootouts

In this paper, we aim to determine the importance of psychological pressure on performance in sequential tournaments. We make use of penalty shootouts in soccer and test the presence of first-mover advantage. Shootouts in soccer is a formidable framework because it is a natural experiment where teams compete in a sequence whose order is determined by the random outcome of a coin toss. Using data from all 663 penalty shootouts in all major competitions since first implemented in 1970, we fail to identify statistically significant differences in winning probabilities for teams kicking first or second in the shootout sequence.     

Solar-powered cold-storage and agrifood market modernization in Nigeria

Modern cooling technologies that utilize renewable energy sources have been increasingly recognized as promising tools to address various challenges emerging in progressively complex agrifood systems in developing countries. Knowledge gaps about the actual impacts of these technologies in developing countries remain, especially in Africa south of the Sahara (SSA). This study fills this knowledge gap by providing evidence from the evaluation of recent interventions in northeast Nigeria in which seven small solar-powered cold storages were installed across seven horticulture markets. Combinations of difference-in-difference (DID) and variants of propensity-score-based methods suggest that cold storage significantly increased horticulture sales volumes and revenues of market agents. Back-of-the-envelope calculations indicate that increased net revenues for market agents may be sufficiently large to recoup cold storage investments and operating costs within a reasonable time frame. Using cold storage also reduced the share of food loss. It lengthened the products' shelf-life while raising prices received by market agents and farmers, which were associated with improved product quality, expanded value-adding activities by market agents, and increased use of advance payments.