Hedging long‐term commodity risk: A comment

Y. V. Veld‐Merkoulova and F. A. de Roon (2003) adopted an encompassing model to demonstrate their linear yield assumption on the term structure of futures prices gains more empirical support than the linear price assumption proposed by A. Neuberger (1999). This comment points out the test procedure adopted is inappropriate and proposes an alternative non‐nested hypothesis testing method. Using the crude oil data, we find that the linear price assumption outperforms the linear yield assumption but is inferior to a generalized version of the linear yield assumption. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1093–1099, 2004     

Fuel for the body — Nourishment for dreams: Contradictory roles of food in contemporary Norwegian food advertising

The study explores and identifies the content of contemporary Norwegian food advertising with special attention to the ability of food of conjoining both the physical, social, and symbolic dimensions of human experience. The article focuses especially on the role of food in construction of gender identity. Quantitative and qualitative techniques are applied on a sample of 412 printed food adverts collected from Norwegian weekly and daily press.

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Zusammenfassung Brennstoff für den Körper — Nahrung für TrÄume: GegensÄtzliche Rollen von Nahrungsmitteln in der derzeitigen norwegischen Nahrungsmittelwerbung Berichtet wird über eine Studie zur Erforschung des Inhalts zeitgenössischer norwegischer Nahrungsmittelwerbung mit besonderer Berücksichtigung der FÄhigkeit von Nahrungsmitteln, die physische, die soziale und die symbolische Dimension menschlicher Erfahrung miteinander zu verbinden. Im Mittelpunkt steht die Rolle von Nahrungsmitteln bei der Schaffung der GeschlechtsidentitÄt. Quantitative und qualitative Techniken werden auf Daten angewendet, die aus einer Stichprobe von 412 gedruckten Nahrungsmittelanzeigen aus der norwegischen Tages- und Wochenpresse stammen.

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The author would like to thank Randi Lavik, Eivind Jacobsen and Tormod Lunde for generous support and constructive comments during the data analysis procedure.     

Hedging Multiperiod Forward Commitments: The Case of Period-by-Period Quantity Uncertainty

This article considers the hedging problem of a producer with along-term forward commitment to deliver a commodity at multiple futurepoints in time. The aggregate quantity to be delivered over time is knownwith certainty; however, the period-by-period quantity is determined bythe customer and is unknown to the producer. A minimum-variancemultiperiod futures position that considers both price uncertainty andperiod-by-period quantity uncertainty is derived. The following resultsare obtained: The individual effects of price uncertainty and quantityuncertainty on the multiperiod minimum-variance are separable. In thetwo-period case, if the spot price is expected to decrease over time, therisk-minimizing hedge considering both price and quantity uncertaintiesis greater than that which considers price uncertainty only. If the spotprice is expected to increase over time, then the hedger would beover-hedged if only price uncertainty were considered. Convenience yieldpromotes a larger risk-minimizing futures position, whereas storage costsand financial costs reduce the size of the risk-minimizing futuresposition. In the multiperiod case, if forward prices are unbiasedestimators of future spot prices, or if spot prices are expected todecrease over time, then quantity uncertainty increases the size of therisk-minimizing hedge. If spot prices are expected to increase, then theeffect of period-by-period quantity uncertainty isindeterminate.     

Hedging effectiveness comparisons: A note

This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures Markets 25, 1121–1126.) suggest that, absent from estimation errors, the minimum variance (MV) hedge ratio attains the maximum post-sample hedging effectiveness when there is no structural change across estimation and comparison samples. When comparing the MV strategy with the naïve hedge ratio, we find sufficiently strong support for the conclusion. On the other hand, driven by estimation errors, weaker support is produced when comparing MV and error correction (EC) hedge strategy.     

Fear Linkages Between the US and BRICS Stock Markets: A Frequency-Domain Causality

Abstract

We employ a spectral causality approach to uncover short-, medium-, and long-run causal relations between the US implied volatility index and the five individual implied volatility indexes of BRICS markets from 16^th March 2011 to 31^st January 2018. We show that the volatility causal relations differ between the short and long run in many cases. Although the results indicate the dominant role played by US uncertainty in shaping uncertainty in all BRICS markets, there is also evidence of a feedback effect from Brazil, Russia, and China to the US that differs across the spectrum. The implications for hedging and risk management practices are explored.     

Portfolio concentration and fund manager performance

This research examines the relationships among portfolio concentration, fund manager skills, and fund performance in Taiwan's equity mutual fund industry, yielding several empirical findings as follows. First, after controlling for other factors, concentrated equity funds tend to have smaller net asset values, larger fund flows, higher turnover rates, and a younger age and prevail in smaller fund families. Second, concentrated fund managers buy and sell stocks more smartly based on economic trends or market factors than do diversified fund managers, i.e., they have better market‐timing abilities. Third, only partial evidence supports the premise that concentrated equity funds have better next‐quarter risk‐adjusted performances than do diversified ones, as these fund managers' skills positively correlate to risk‐adjusted fund performance. Fourth, fund managers who have better stock‐picking abilities and intensively invest in certain industries generally exhibit better Carhart's alpha in the next quarter than do other fund managers. Fifth, fund managers' stock‐picking abilities more closely relate to long‐term performance than do their market‐timing abilities. Lastly, positive performance persistence is much stronger than negative performance persistence, but concentrated funds do not have stronger performance persistence than do diversified funds.