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     

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     

Corporate governance in family-controlled firms in Taiwan

This paper examines the effects of ownership structure and board characteristics on performance in publicly traded Taiwanese firms that are controlled by founding families. Results show that when shares are owned by institutional investors, particularly foreign financial institutions, firms perform better. However, where families are the major shareholders, this is not the case. In addition, boards that are independent of the financial interests of the founding family have a positive impact on performance, whether measured by accounting ratios, operating performance or the stock market. (JEL: P52, G32)     

Democracy, foreign direct investment and natural resources

Empirical studies that examine the impact of democracy on foreign direct investment (FDI) assume that the relationship between democracy and FDI is the same for resource exporting and non-resource exporting countries. This paper examines whether natural resources in host countries alter this relationship. We estimate a linear dynamic panel-data model using data from 112 developing countries over the period 1982-2007. We find that democracy promotes FDI if and only if the value of the share of minerals and oil in total exports is less than some critical value. We identify 90 countries where an expansion of democracy may enhance FDI and 22 countries where an increase in democratization may reduce FDI. We also find that the effect of democracy on FDI depends on the size and not the type of natural resources.     

Segmenting industrial competitive markets: An example from air freight

This paper applies a disaggregated approach to segment industrial markets under competitive structures taking the air-freight market for the high-technology product industry in Taiwan as a case study. Data from firms is used to examine the structure of the air freight industry and we find that carriers are clustered into two strategic groups, express and forwarder. Pricing is a leading strategy recognized by customers for forwarders, whereas service punctuality and freight security are the winning strategies for express. The high-tech freight market is classifiable by shipment destination and size.     

Growth and value hybrid valuation model based on mean reversion

This article proposes a novel valuation model, growth and value hybrid model, to estimate the stock price. This proposed model combines the essence of the asset-based approach, the income-based approach, and the principle of mean reversion to develop the theoretical closed-form formula consisting of three coefficients: value coefficient, value support coefficient and growth coefficient. Regression analysis is employed to fit market data to determine these coefficients. Moreover, this study proposes the double sorting method to build the quantile regression models of the formula to estimate the stock price at a specific quantile. The results show that the predictive capability of the hybrid valuation model is superior to the model without using value support coefficient, which supports the assumption that the PBR is not associated with the ROE when the ROE is less than a threshold. In different time periods of the stock market, no significant difference exists on the value support coefficient. However, the variations of the value coefficient and the growth coefficient are significant.     

The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution

Assume that the spot price has a skew‐normal distribution. This study investigates the effect of skewness on optimal production and hedging decisions. It is shown that skewness has no effect on the optimal production level but induces the firm to become more active in futures trading. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:278–289, 2010