A note on price futures versus revenue futures contracts

Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract. Idiosyncratic output risk provides conditions under which the price contract should dominate. When production risk is largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue futures position with a short price futures position. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:503–512, 2004     

How Does a Development Moratorium Affect Development Timing Choices and Land Values?

This paper investigates how a development moratorium affects choices of development timing and land values in a framework where both the value of developed property evolves stochastically and the development costs are fully irreversible. We assume that a regulator initially announces that land is not allowed to be developed during a finite period of time in the future. A developer, thus, must decide whether to develop land before the timing ordinance is imposed, or after it expires. The development moratorium reduces the developer’s option value from waiting and, thus, accelerates development. We also use simulation analysis to demonstrate how the other factors that relate to the demand and supply conditions of the real estate market affect this accelerating effect.     

A note on the relationships between some risk‐adjusted performance measures

Assuming portfolio returns are normally distributed, it is shown that both Sortino ratio (SR) and upside potential ratio (UPR) are monotonically increasing functions of the Sharpe ratio. As a result, all three risk‐adjusted performance measures provide identical ranking among investment alternatives. The effects of skewness and kurtosis are then evaluated within the Edgeworth‐Sargan density family. For the Sortino ratio, the above conclusion remains valid in the presence of negative skewness or excessive kurtosis. Similar results apply to the UPR with modifications. For all other cases, both SR and UPR provide exactly opposite ranking among investment alternatives to that suggested by the Sharpe ratio when the Sharpe ratio is large. Applications to futures hedging are discussed. Specifically, it is found that the Sharpe ratio may frequently lead to a smaller futures position than the other two ratios. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:483–495, 2002     

Futures market equilibrium under Knightian uncertainty

This paper examines the effects of Knightian uncertainty on a commodity futures market within the Newbery‐Stiglitz framework. It is shown that Knightian traders act more conservatively. In a partial trade equilibrium, risk aversion and Knightian uncertainty have qualitatively similar effects on the equilibrium price and the equilibrium trading volume. Full‐trade and no‐trade equilibria are likely to prevail when the producer and the speculator incur different Knightian uncertainty. Herein different impacts of risk aversion and Knightian uncertainty are observed. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:701–718, 2003     

Managers’ Corporate Entrepreneurial Actions and Job Satisfaction

Through the development and extension of theories and scholars’ subsequent empirical analyses of significant, theoretically grounded research questions, the knowledge about corporate entrepreneurship (CE) and its successful use continues to advance. Moreover, the literature suggests important relationships between the corporate environment, managers’ entrepreneurial behavior and successful implementation of corporate entrepreneurship actions. In an attempt to test some of those relationships, we describe an empirical study of 523 managers that examines the relationships among the antecedents to managers’ entrepreneurial behavior, a decision to implement entrepreneurial actions, and resulting job satisfaction and reinforcement practices.     

Structuring Corporate Headquarters: An Investigation of Franchising

This article focuses on the structuring of the corporate headquarters in a franchise organization. Four essential issues that are related to franchisors organizational structure are discussed—homogeneity and heterogeneity of franchisors structure, company-owned and franchise arrangement, the dynamics between strategy and structure, and performing innovative and administrative functions simultaneously in the headquarters. Propositions are given for each issue. The results of qualitative analysis associated with each issue are discussed.