The impact of time duration between trades on the price of treasury note futures contracts

Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to identify institutional, or market microstructure, impacts on the pricing of these contracts. Relatively few articles have conducted empirical research on the microstructure of U.S. futures trading due to the limited availability of comprehensive transaction level data from the futures exchanges. This report uses the CBOT's Computerized Trade Reconstruction database, a comprehensive transaction level dataset, to identify the price impact of the time duration between trades in a manner analogous to that of A. Dufour and R. F. Engle (2000). Unique differences from prior research include the application to futures contracts with their relative higher frequency of trading, as well as the investigation of the price impact of the number of active traders present on the trading floor and the trading volume. Subsequent price and sign of trade significantly relate to the time duration between trades, the number of floor brokers, and the trading volume. © 2004 Wiley Periodicals, Inc. Jrl. Fut Mark 24:965–980, 2004     

Author Index

In 1998, in response to the escalating problem of violence and its impact on all sectors of the society, the Ministry of Health (MOH), Jamaica, established a pilot violence-related injury surveillance system (VRISS) in the country's leading public hospital, the Kingston Public Hospital (KPH) situated in the nation's capital. After six months' operation, VRISS was extended to include all injuries. Nine months later, the Jamaican Injury Surveillance System (JISS) was successfully introduced to four other hospitals and has been in operation since. Extension to an additional six institutions was implemented at the end of 2001. What were the challenges faced in introducing an injury surveillance system into the Accident &; Emergency Department (A&;E) of a general hospital, how they were overcome and what were the lessons learnt in the process?     

Tourism, the world and the Caribbean

Tourism contributes significantly to the Caribbean economy and a strategy to exploit the industry's potential must be tailored to world trends at macro and micro levels. The composition of the market is changing and bookings are becoming dominated by fewer, larger companies able to exclude smaller carriers and tour operators not participating in the computer reservations systems. Worldwide recession has retarded the growth of the tourism industry and aggressive marketing by the USA and others provides fierce competition for the Caribbean. The Caribbean Tourism Organization (CTO) seeks to enhance the local prospects.     

THE DETERMINATION OF OPTIMAL RATIONS FOR PIGS FED SEPARATED MILK AND GRAIN*

This paper demonstrates a procedure for determining economically optimal rations which avoids problems that arise in conventional analysis of experimental results. It consists of maximising a suitably constrained profit per unit time objective function, itself formed from functions obtained from pig fattening experiments under special Australian conditions. The relevant functions-for consumption of milk and wheat, time to slaughter and percentage lean meatare first demonstrated, followed by a brief discussion of results obtained. Specifcally, it is noted that optimal diets differ according to whether the criterion adopted is profit per pig or profit per pig per week, that dairy farmers fattening pigs should feed substantial quantities of grain, and that the optimal diets are very stable to changing prices. More generally, the procedure avoids the statistical difficulties of conventional analysis of experiments arising from the estimation of weight-gain functions based on actual quantities of food consumed.     

Efficiency and its determinants in pharmaceutical industries: ownership,R&D and scale economy

The purpose of this article is to measure the efficiency of pharmaceutical firms and identify their determinants using Korean and American samples from 1992 to 2004. We document some stylized facts in the patterns and sources of efficiency change in Korean and American pharmaceutical firms. The evidence shows that ownership structure can substantially influence the efficiency of pharmaceutical firms. Especially, institutional ownership rate affects corporate efficiencies negatively, corroborating the myopic institutional investor hypothesis. The hypothesis is supported by both Korean and American samples. However, we find evidence that foreign ownership in Korea promotes efficiency of pharmaceutical firms. It is shown that R&D intensity is positively related to contemporaneous largest ownership rate and prior foreign ownership rate in Korean pharmaceutical firms. In contrast, little evidence is found on the relationship between ownership structure and R&D intensity in the American pharmaceutical industry. These empirical results are robust even after we check the causal links among efficiency, R&D and ownership.     

Culture,leadership and motivation in two Commonwealth Caribbean countries: One look at the African Diaspora

Little is known of Caribbean people's views on their culture or of their beliefs regarding leadership and motivation. This study reports the results of a Delphi Technique with people in leadership positions and focus groups. Across groups, responses were relatively consistent: ethnicity and culture are described as influenced by religion, and Christianity in particular; African roots and country of origin are important; effective leaders are charismatic, visionary, results oriented, and they motivate others, lead by example, and develop vision and goals. Leaders believe motivation comes from making a difference for others. Nonleaders believe leaders are influenced by financial rewards and self‐fulfilment; nonleaders are motivated primarily by financial rewards. The results are generally similar to Western beliefs, but some interesting differences are identified. Copyright © 2014 ASAC. Published by John Wiley & Sons, Ltd.     

Decomposing the accrual premium: The evidence from two markets

We decompose the accrual premium and study its components in the debt and equity markets. We show that the importance of each accrual component depends on the sample and the type of market considered. The short‐term accruals component is primarily observed in equity markets, among small and young companies, which is consistent with mispricing arguments. The long‐term accruals premium is consistently positive and significant in different samples and markets. This component reflects growth in capital expenditures, and it is counter‐cyclical and predictable, which is in line with investment‐based explanations. Finally, the financial accruals component does not generate predictability.