Thoughts,attitudes and profile of Brazilian consumers regarding food irradiation

This study aimed to examine the neophobia, knowledge, thoughts, and opinions related to food irradiation among consumers living in a small city in Brazil through the application of a behavioral and sociodemographic questionnaire. It was found that the 271 respondents had little knowledge about the process of food irradiation and had low intent to purchase irradiated food; several consumers associated irradiated food with radioactivity and cancer. Individuals with better knowledge about irradiation and those who are young, single, did not live with children, and had higher levels of education and higher monthly family incomes were more likely to buy irradiated foods than others. These results describe the profile of potential consumers of irradiated foods and the knowledge, thoughts and opinions of the residents of a small city relative to food irradiation. This data could assist industries that irradiate foods to adopt strategies that ensure greater acceptance of their products.     

Information effects of dividends: Evidence from the Hong Kong market

The literature has suggested that earnings and earnings forecasts provide stronger signals than dividends about future performance of a firm. We test the information effects of simultaneous announcement of earnings and dividends in the Hong Kong market, distinguished by three interesting features (concentrated family-shareholdings, low corporate transparency, and no tax on dividends). Our results show significant share price reactions to unexpected earnings and dividend changes, but dividends appear to play a dominant role over earnings in pricing, a result contrary to findings in the literature. The signaling hypothesis works primarily for firms with earning increases, while the maturity hypothesis works mainly for firms with earnings declines.

On the risk premium in Nordic electricity futures prices

This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange. It is found that, on average, there are significant positive risk premiums in short-term electricity futures prices. The significance and size of the premiums, however, varies seasonally over the year; whereas it is greatest during winter, it is zero in summer. It is also found that time-varying risk premiums are significantly related to unexpectedly low reservoir levels. Furthermore, before the unprecedented supply-shock that hit the market around the end of year 2002, the risk premiums were related to the variance and the skewness of future spot prices.     

Multivariate Cox Hidden Markov models with an application to operational risk

ABSTRACT

Modeling multivariate time-series aggregate losses is an important actuarial topic that is very challenging due to the fact that losses can be serially dependent with heterogeneous dependence structures across loss types and business lines. In this paper, we investigate a flexible class of multivariate Cox Hidden Markov Models for the joint arrival process of loss events. Some of the nice properties possessed by this class of models, such as closed-form expressions, thinning properties and model versatility are discussed in details. We provide the expectation-maximization (EM) algorithm for efficient model calibration. Applying the proposed model to an operational risk dataset, we demonstrate that the model offers sufficient flexibility to capture most characteristics of the observed loss frequencies. By modeling the log-transformed loss severities through mixture of Erlang distributions, we can model the aggregate losses. Finally, out-of-sample testing shows that the proposed model is adequate to predict short-term future operational risk losses.     

The Information Content of Model‐Free Implied Volatility

This study examines the information content of model‐free implied volatility (MFIV) estimates with respect to the options and futures markets in Hong Kong. In this study, the volatility forecasting performance of MFIV is compared, using different prediction horizons, to IV estimates based on Black's futures option pricing model (BIV) and time‐series forecasts based on historical volatility (TS‐HV). The results show that the BIV prediction is unbiased for different horizon forecasts. MFIV outperforms TS‐HV forecasts and, most importantly, BIV subsumes the information content of both MFIV and TS‐HV forecasts. The results are largely maintained for next‐day forecasts but the forecasting quality of the two IV measures declines as expiration day approaches. The information contents of MFIV and TS‐HV forecasts are complementary. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 32:792‐806, 2012     

Drivers of innovation capital disclosure in intellectual capital statements: Evidence from Europe

Innovation is one of the major determinants of competitive success. As a result, there is demand for information on the innovation activities of firms among investors, other stakeholders and the public. Using content analysis, this paper examines the innovation capital disclosure (INCD) characteristics (i.e. disclosure quantity and quality) in the intellectual capital statements (ICS) of 51 European for-profit firms. Additionally, the relationships between INCD characteristics and industry, firm size, region of registered office and the disclosure guidelines adopted are analysed. Our content analysis detects an average of 29.16 items on innovation capital (INC) per ICS. These are mainly qualitative, non-financial and historically orientated. Furthermore, as expected, industry, firm size, region and disclosure guidelines drive the quantity of disclosure. Prior empirical studies of voluntary disclosure in documents other than ICS have also suggested a relationship between firm size and disclosure quality. Interestingly, our results for INCD in ICS do not support this relationship. This provides tentative evidence for a similar qualitative level of innovation capital disclosure across firm size. Furthermore, our findings show mostly homogeneous disclosure patterns across the regions in Europe, suggesting that multinational efforts towards fostering INCD has made the ICS phenomenon more a European than a local phenomenon.     

Effect of Money Supply on Real Output and Price in China

Over the past 30 years, China has achieved remarkable long-term economic growth. Using quarterly data, we study the effects of money supply on real output and inflation in China between 1993 and 2008. To this end, we use money supply shocks afler filtering out the expected component of the money supply. Our findings provide evidence supporting the asymmetric effect of positive and negative money supply shocks on real output and inflation in China. That is, real GDP growth in China responds to negative money supply shocks but not positive money supply shocks. In addition, inflation responds to positive money supply shocks but not negative money supply shocks. We conclude that the People＇s Bank of China＇ s policy of steady monetary growth appears to be appropriate. Our study offers important policy implications for China.     

Forecasting volatility: Roles of sampling frequency and forecasting horizon

This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the time‐series model affect the quality of volatility forecasting. Using highly synchronous executable quotes retrieved from an electronic trading platform, the study avoids the influence of various market microstructure factors in measuring RV with high‐frequency intraday data and in inferring implied volatility (IV) from option prices. The study shows that excluding non‐trading‐time volatility produces significant downward bias of RV by as much as 36%. Quality of prediction is significantly affected by the forecasting horizon and RV model, but is largely immune from the choice of sampling frequency. Consistent with prior research, IV outperforms time‐series forecasts; however, the information content of historical volatility critically depends on the choice of RV measure. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark