Implied volatility and future portfolio returns

Prior studies find that the CBOE volatility index (VIX) predicts returns on stock market indices, suggesting implied volatilities measured by VIX are a risk factor affecting security returns or an indicator of market inefficiency. We extend prior work in three important ways. First, we investigate the relationship between future returns and current implied volatility levels and innovations. Second, we examine portfolios sorted on book-to-market equity, size, and beta. Third, we control for the four Fama and French [Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56.] and Carhart [Carhart, M., 1997. On persistence in mutual fund performance. Journal of Finance, 52, 57–82.] factors. We find that VIX-related variables have strong predictive ability.     

U.S. sweeteners: Combating excess consumption with an excise tax?

Obesity is a public health problem in the United States that has been linked to excess sweetener consumption. The American Heart Association (AHA) recommends no more than 6–9 teaspoons/capita/day, while the U.S. Food and Drug Administration (FDA) recommends 200 calories/capita/day of caloric sweetener consumption. Both recommendations are well below the reported 2016 sweetener consumption levels. We quantify the input tax rates needed to reduce the current excess sweetener consumption level to the AHA and FDA recommended standards. We calculate the joint tax in the United States on two major sweeteners, sugar and High Fructose Corn Syrup (HFCS), to be 31 and 24 cents per pound, respectively, based on the AHA standard, and 19 and 17 cents per pound, respectively, using the FDA standard. These taxes would be roughly the magnitude of the existing sugar and HFCS prices. In both cases, the tax incidence on producers is much smaller than on consumers. Our focus is very different from past studies in that it deals with the effect of taxes on inputs to meet the recommended target rather than a selective tax (sugar‐sweetened beverage tax). If a sweetener tax were implemented, U.S. sugar and HFCS producers would lose US$398–US$489 and US$683–US$844 million per year, respectively.     

Determinants of executive beliefs: comparing functional conditioning and social influence

Executive beliefs influence strategic decision making in organizations, and thus they ultimately influence organization performance. The factors that might determine upper‐echelon executive beliefs, however, have received scant empirical attention; certainly, little is known about their relative influence. In contrast to the oft‐asserted influence of functional experiences, our results indicate that beliefs held by upper‐echelon executives are better explained with an alternate theoretical model based on social influence. Our pattern of results indicates support for the argument that beliefs are socially reproduced through interaction among executives. Copyright © 1999 John Wiley & Sons, Ltd.     

Testing causality among five fertilizer prices

This article identifies the causal relationships among the prices of five fertilizers using both asymptotic Wald test and resampling (bootstrap) techniques. Monthly data for urea, muriate of potash, rock phosphate, diammonium phosphate and triple super phosphate between 2008 (March) and 2016 (March) are used for the analysis. Results show that the urea price Granger causes all other fertilizer prices. The results of the study are significant in understanding the price dynamics and identify the reference fertilizer price that is useful for the fertilizer industry, farmers and government.     

Global rice trade competitiveness: a shift‐share analysis

Changes in country shares of global rice exports from 1997 to 2008 are analyzed using an econometric, shift‐share analytical framework. This framework estimates growth rates and disaggregates these rates of change into geographical structure effects and performance effects. The performance effect is further decomposed into two subeffects accounting for adaptation to changes in the geographical structure of the marketplace and a competitiveness effect. A restricted, weighted, two‐way fixed effects model is specified for estimating the geographical structure and performance effects. Results indicate a growing concentration among a few exporting countries in the global rice market, and the competitiveness effect is often significant. Government policies affecting rice trade and the competitiveness of trading partners are important factors for the shifts in rice trade patterns. In particular, Vietnam is an emerging, major player in global rice trade in competition with Thailand.