Low-Risk Anomalies?

This paper shows that low-risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor-mimicking portfolios. Controlling for skewness renders the alphas of betting-against-beta and betting-against-volatility insignificant. We also show that the returns of beta- and volatility-sorted portfolios are driven largely by a single principal component, which in turn is explained largely by skewness.     

Social Forums,Social Movements and Social Change: A Response to Peter Marcuse on the Subject of the World Social Forum

This response to Peter Marcuse situates his reading of the World Social Forum in the larger ‘space versus movement’ debate that has been raging among the WSF’s organizers. The author argues that this debate signals: (1) a power struggle over its future; (2) profound disagreement over the character of its power, which is itself based in conflicting understandings and visions of power and change in the contemporary period more generally; (3) at the heart of this last conflict is a yet more basic one about the status of multiplicity and diversity — in understanding power(s), in building resistance(s), in creating alternatives, in crafting solidarities, in imagining other possible worlds as les raisons d’être of the Social Forum. Drawing on the historical experience of feminism, the author proposes an alternative reading of the meaning of the Social Forum grounded in more multivalent understandings of power, movements and change, and argues that, in the evolving practice of the World Social Forum, a new democratic imaginary — post‐liberal and post‐Marxist — is taking shape and, with it, other possible futures are coming into view. Cette réponse à Peter Marcuse replace son explication du Forum social mondial dans le débat plus vaste ‘espace et mouvement’ qui a enflammé les organisateurs du FSM. En effet, ce débat met en évidence plusieurs aspects: une lutte de pouvoir pour son avenir; un désaccord profond quant à la nature de son pouvoir, s’appuyant lui‐même sur des appréhensions et visions contradictoires du pouvoir et du changement dans la période contemporaine, de manière générale; au c?ur de cette opposition, en existe une autre encore plus fondamentale sur la situation de multiplicité et de diversité, pour comprendre le ou les pouvoirs, élaborer une ou plusieurs résistances, créer des alternatives, tisser des solidarités, imaginer d’autres possibilités de monde comme les raisons d’être du Forum social. S’inspirant de l’expérience historique du féminisme, l’article propose une autre lecture du Forum social, fondée sur des compréhensions plus polyvalentes du pouvoir, des mouvements et du changement; de plus, il affirme que, dans le cadre de l’exercice évolutif du Forum social mondial, prend forme un nouvel imaginaire démocratique — post‐libéral et post‐marxiste — et, qu’avec lui, se dessinent d’autres possibilités d’avenir.     

The influence of various factors on the main meal format served in New Zealand households

The traditional main meal served in New Zealand households has been based on that of the British, i.e. a meat-based main course that includes potatoes and other vegetables followed by a dessert. In recent years consumption figures for meat suggest that New Zealanders are making changes in their diets. This study investigates whether this change has involved a change for New Zealanders in the format of their meal. It also examines the factors that influence meal choices. It was found that cultural traditions are strongly associated with meal format and that the meal format varies most for those who hold strong ecological beliefs. This finding suggests that nutrition educators attempting to bring about changes in a population's diet should institute changes within accepted meal formats.     

Systemic Liquidation Risk and the Diversity–Diversification Trade‐Off

This paper proposes a portfolio choice model in which investors are subject to liquidation risk and (endogenously) face higher costs in the event of joint liquidation (as was observed during the crisis of 2008 to 2009). The risk of joint liquidation creates an incentive for investors to choose heterogeneous portfolios and to rationally forgo diversification benefits. Joint liquidation risk is also reflected in asset prices, resulting in (1) assets with high idiosyncratic risk having low expected returns, and (2) assets that display high correlation with the portfolios of (liquidation‐prone) investors having high expected returns.     

The Choice of Call Provision Terms: Evidence of the Existence of Agency Costs of Debt

An examination of the provisions of bond issues reveals that most bonds prohibit firms from calling the issue during the initial years, after which time the bond can be called at the option of the firm. A substantial number of firms, however, also reserve the right to call the issue during this initial period for purposes other than refinancing at a lower coupon rate. The additional flexibility which accompanies the option of early redemption can be used to reduce the agency costs of debt associated with future investment opportunities, informational asymmetry, and the risk incentive problem. Using a sample of newly issued bonds, statistical tests are performed to show that there are, in fact, differences between firms which do and do not reserve the right of early redemption. This paper shows that these differences provide empirical evidence which is consistent with the hypothesis that firms use the option of early redemption to reduce agency costs.     

Trade Credit and Informational Asymmetry

Commonly used trade credit terms implicitly define a high interest rate that operates as an efficient screening device where information about buyer default risk is asymmetrically held. By offering trade credit, a seller can identify prospective defaults more quickly than if financial institutions were the sole providers of short-term financing. The information is valuable in cases where the seller has made nonsalvageable investments in buyers since it enables the seller to take actions to protect such investments.