Risikoprämien im Erdölhandel

Risk premiums are not directly observable, since they are only a part of futures prices. In an efficient market, the historical price at maturity of the futures prices can be taken as an approximation of expected spot price. Therefore, risk premiums are identified as the bias between the historical spot prices at maturity and futures prices with the correspondent maturity. The Brent Futures markets with maturities of four months are examined. The calculated risk premiums are positive and the deviations from the historical spot price are left skewed, which implies that buyers in crude oil markets are risk averse and prudent. The risk premiums have approximately tripled in 2001–2008 to 1991–2000. This is caused either by an increased specific market risk or by inefficient information of market participants.     

The Evolution of Earnings Volatility During and After the Great Recession

This paper explores how men's and women's earnings volatility evolved during and after the Great Recession, the most severe downturn of the postwar era. Using matched March Current Population Survey data, I find that earnings volatility rose considerably after the Great Recession began and, particularly for men, the volatility increase was as large as in the severe recession of the early 1980s. These findings update the evidence on the counter‐cyclicality of earnings volatility. I show that such counter‐cyclicality is due mainly to counter‐cyclical volatility in annual hours of work. In turn, the counter‐cyclical volatility in work hours appears mainly among workers who experience unemployment.     

The Capitalization of School Quality into Renter and Owner Housing

Residential property amenities including school quality should be capitalized into both rent and property sale prices. Evidence of price and rent premiums for higher school quality is provided. The price premium for school quality for owners exceeds the premium for renters. The premiums paid by renters and owners vary with the likelihood the household directly uses school services, housing market conditions, whether the property is in an urban or suburban area and by the observed school quality in the years leading to the transaction. The larger price premium paid by owners is supported by enhanced liquidity and tempered price volatility for properties located in quality school districts.     

Multi-item dynamic lot-sizing with delayed transportation policy

We optimize ordering and inbound shipment decisions for a manufacturer that sources multiple items from a single supplier. The objective is to satisfy the requirements in the production plan with minimum transportation and inventory holding costs over a multi-period planning horizon. Transportation costs are charged to the manufacturer on a per truck shipment basis. We investigate the option of delaying a less-than-full truckload shipment to the next period, by utilizing the safety stocks as needed. We analyze the impact of delaying shipments on both cost and service levels in stochastic environments through experiments with data from a bus manufacturer. The results indicate that the proposed policy reduces both holding and transportation costs without creating much stock-out risk.     

Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?

The monthly returns on equity and mortgage real estate investment trusts (REITs) are analyzed over the period July 1976 to December 1992. The results indicate that risk premiums on equity REITs are significantly related to risk premiums on a market portfolio of stocks as well as to the returns on mimicking portfolios for size and book-to-market equity factors in common stock returns. Mortgage REIT risk premiums are significantly related to the three stock market factors and two bond market factors in returns. Also, mortgage REIT shares underperform by an average of 6.8% per year.     

Unemployment-Risk Differentials Between Immigrant and Native Workers in Sweden

This article analyzes the subsequent unemployment risk of a sample of Swedish employees in 1991. We find that non-European immigrants face an unemployment risk twice as large as the corresponding risk for native workers despite controls for employee characteristics, the 1991 wage rate, and sorting across establishments with varying unemployment risks. Although all employees enjoy higher job security with higher seniority, large differences in unemployment risk by region of birth remain for workers with similar seniority levels. This suggests that labor unions and employers deviate from seniority rules established by the Swedish Security of Employment Act in favor of native workers.     

Nature of comovements in US state and MSA housing prices

This study analyzes the time-varying nature and determinants of comovements in US housing prices using state and metropolitan statistical area (MSA) data. We employ dynamic factor models with time-varying loadings and stochastic volatility (DFM-TV-SV) to estimate the national, regional, and state factors. The time-varying factor loadings and stochastic volatility features enrich the dynamic factor model structures and are an effective tool to examine the comovements in housing prices. We find that the national factor is the dominant factor in explaining the movement of housing prices. The national factor accounts for 79% of the variation in state-level housing prices on average, with the greatest magnitude occurring during the housing boom and bust periods in many regions and states. We also find that the factors and synchronization effects are time-varying and heterogeneous across regions. The state-level housing prices contain higher national housing factor components in states with more diverse economies, higher wages and house prices, and lower unemployment rates. These findings shed light on the effectiveness of residential real estate diversification across the United States and the potential for elevated national housing risk amid economic downturns due to increased national housing price integration.     

Performance deviations and acquisition premiums: The impact of CEO celebrity on managerial risk‐taking

Research summary: This article draws on identity control theory and a study of acquisition premiums to explore how CEO celebrity status and financial performance relative to aspirations affect firm risk behavior. The study finds that celebrity CEOs tend to pay smaller premiums for target firms, but these tendencies change when prior firm performance deviates from the industry average returns, thereby leading these CEOs to pay higher premiums. The study also finds that the premiums tend to be even larger when celebrity CEOs have more recently attained celebrity status. Taken together, these findings contribute to identity control theory and CEO celebrity literatures by suggesting that celebrity status is a double‐edged sword and that the internalization of celebrity status by CEOs strongly influences the decision‐making of CEOs. Managerial summary: The purpose of this article is to examine how CEO celebrity status and financial performance relative to aspirations affect the size of acquisition premiums. The study finds that celebrity CEOs tend to pay smaller premiums for target firms. However, when celebrity CEOs' prior firm performance is either better or worse than the industry average, these CEOs pay higher premiums. This situation is exacerbated when the CEO has only recently been crowned a celebrity. In effect, these CEOs feel great pressure to match the inflated performance expectations that come with celebrity status. These findings suggest that being a celebrity is a double‐edged sword. The implication here is that CEOs who have recently been crowned a celebrity should be aware of these pressures and cope accordingly. Copyright © 2015 John Wiley & Sons, Ltd.     

Do Conspicuous Consumers Pay Higher Housing Premiums? Spatial and Temporal Variation in the United States

This study is the first to examine the relationship between conspicuous demand and housing price dynamics. We hypothesize that conspicuous consumers would want high‐end homes to signal their wealth and this housing consumption behavior would induce greater deviations from fundamental house prices. We test this by using a unique dataset that matches the consumers’ appetite for nonhousing luxury goods from Google Insights for Search to housing premiums that they pay for high‐end houses in U.S. Metropolitan Statistical Areas (MSAs) during 2004–2011. The estimation results demonstrate that controlling for a wide range of MSA demographic and economic characteristics, conspicuous demand has a significant, positive relationship with housing premiums. This relationship varies spatially and temporally. Conspicuous demand has a stronger relationship with a price increase in high‐end homes in MSAs with a steady, higher housing premium than in MSAs with a volatile, lower premium during the boom period. In MSAs with a steady, higher housing premium, the relationship remains significant even during the bust period, potentially contributing to maintaining higher housing premiums.     

Managing Mortgage Interest-Rate Risks in Forward, Futures, and Options Markets

This article reviews the Housing Commission's perspective and recommendations on management of interest-rate risks in housing finance, and considers the relative advantages of various techniques by which institutions on the supply side of mortgage markets can absorb or shift such risks. It is argued that exchange-based options can provide a more reliable way than cash forward contracting for originators or purchasers of mortgages to manage commitment-period risk, but that commitment fees charged household borrowers should not fully correspond to premiums for put options "traded" on the exchanges. It also is argued that exchange-based futures can provide a more effective and economical way than asset-liability maturity matching in cash markets for thrift institutions to manage portfolio interest-rate risks; in particular, futures trading can permit these institution to meet the maturity preferences of liquidity-conscious creditors and risk-averse borrowers, to reduce the risk associated with unexpected shifts of the yield curve, and to maintain a higher degree of asset quality. The capacity of futures markets to handle large-scale hedging by mortgage market participants will depend upon heavy participation by highly leveraged speculators who are willing to take long positions without the receipt of substantial risk premiums from hedgers.     

English‐Language Proficiency and Occupational Risk Among Hispanic Immigrant Men in the United States

We use data from the Census of Fatal Occupational Injuries, the Survey of Occupational Injuries and Illnesses, and the 2000 U.S. decennial census to analyze how occupational risk relates to the earnings of Hispanic immigrant men. Our findings indicate that those with limited English‐language fluency received significantly higher compensating wages in unsafe jobs than their English‐fluent counterparts. The larger occupational‐risk premiums accrued by limited‐English‐proficient (LEP) foreign‐born Hispanic men also hold when further including U.S.‐born Hispanic, non‐Hispanic Black, and non‐Hispanic White men in the sample. These findings are consistent with underlying differences in preferences toward wages versus safety between LEP and English‐proficient workers and/or differences in coverage under formal workers’ compensation programs, perhaps because undocumented workers (many of whom already faced hazardous conditions when migrating illegally to work in the United States) comprise a disproportionate share of the LEP. However, our data and methodologies do not allow us to determine whether these premiums adequately compensate the LEP for the occupational risk they undertake.     

Simulation-based estimation of state-dependent project volatility

Project volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project volatility. This article takes into account that volatility may change not only with time but also with the state of the project. Two possible definitions for the project volatility are considered, the log-variance and the variance of the project value, and two simulation-based procedures are proposed for estimating state-dependent volatility: two-level simulation and one-and-a-half-level simulation. Computational experiments show that both procedures perform better than the method proposed by Copeland and Antikarov and that the one-and-a-half-level simulation procedure leads to the most accurate estimations of project volatility.     

Unions and Unemployment Insurance Benefits Receipt: Evidence from the Current Population Survey

Using data from the January 1996 Current Population Survey's Displaced Worker Supplement, this article analyzes the effect of union representation on the likelihood that individuals eligible for unemployment insurance (UI) benefits receive UI benefits. For white-collar workers, unions do not have a significant effect on the probability of UI benefit receipt. Eligible blue-collar workers laid off from union jobs are approximately 23 percent more likely than comparable nonunion workers to receive UI benefits.     

How do inputs and weather drive wheat yield volatility? The example of Germany

Increases in cereals production risk are commonly related to increases in weather risk. We analyze weather-induced changes in wheat yield volatility as a systemic weather risk in Germany. We disentangle, however, the relative impacts of inputs and weather on regional yield volatility. For this purpose we augment a production function with phenologically aggregated weather variables. Increasing volatility can be traced back to weather changes only in some regions. On average, inputs explain 49% of the total actual wheat yield volatility, while weather explains 43%. Models with only weather variables deliver biased but reasonable approximations for climate impact research.     

基于波动率指数的期权对冲策略研究

波动率指数反映了期权投资者对未来市场波动性的预期,被用作衡量市场风险的重要依据。试图应用波动率指数来构建一种风险收益特性类似于债券的期权投资策略,即寻找市场中隐含波动率较相应的波动率指数高估或低估的期权品种并进行建仓,再用标的现货使组合保持delta中性。最后采用香港恒生指数期权数据进行了实证分析,结果显示该策略具有一定的实用价值,对期权投资具有一定的参考意义。     

Interest Rate Risk, Residential Mortgages and Financial Futures Markets

Residential mortgage markets in both the United States and Canada have recently been dominated by instruments such as variable-rate and short-term rollover mortgages which require borrowers to assume a greater burden of interest rate risk. An outstanding question is whether this approach to risk allocation is Pareto optimal or whether there are other more effective methods of dealing with the risk created by interest rate volatility. This study examines the potential for shifting this risk from the mortgage market to the financial futures market. After considering the rationale for expecting that neither mortgage borrowers nor lenders wish to absorb the high levels of risk present in the existing financial environment, this study discusses the hedging of interest rate risk through financial futures markets. Empirical tests are then performed to evaluate the effectiveness of U.S. futures markets for hedging positions from the U.S. mortgage market. These results indicate that the interest rate risk inherent in residential mortgages can be substantially shifted through one or more positions in the existing futures contracts and long-term, fixed-rate mortgages may still be financially feasible under conditions of interest rate volatility.     

The Impact of Union Wage Concessions on Union Premiums

Previous research showing that union wage premiums actually rose from the late 1970s to the mid-1980s suggests that concession bargaining was more media hype than the result of a fundamental change in collective bargaining. Our study found that nonrandom attrition of workers from the union sector does lead to an upward bias in the measured growth of union premiums, but concession bargaining was not a sufficiently widespread occurrence to reduce the size of union premiums during the sample period.     

Stock portfolio excess returns and macroeconomic variables: An empirical analysis of the singapore stock market

Economic agents use information in forming their expectations of future returns from holding stock securities. These securities should be priced to reflect the risks due to economywide fluctuations. The information is updated given the realisations of the factors, which are taken as unobservable but that affect the utility of possibly risk-averse agents. Stock portfolio excess returns (or risk premiums) are analysed empirically within the framework of the Dynamic Factor Model which allows for serial correlation in the factors. Over the sample period 1975:1 to 1986 (January 1975 to June 1986), a single factor can parsimoniously represent ten stock portfolio excess returns. In the framework of the Dymimic model, causality tests for several macroeconomic variables are carried out to ascertain if these variables are correlated with the stock portfolio excess returns. The finding that the excess returns are correlated with the variables that enter the causal equations with a lag is consistent with the conjecture that these variables are used by economic agents in forming their expectations of future treasury security excess returns or risk premiums. Variables possibly related to real activities in the economy are not rejected as causal variables.The research was carried out under the National University of Singapore research grant RP880014. We would like to thank an anonymous referee for his very helpful comments.     

Choice of Mortgage Contracts: Evidence from the Survey of Consumer Finances

This study revisits the empirical question of the determinants of the choice between fixed‐ and adjustable‐rate mortgages using data from the Survey of Consumer Finances that overcome some of the data limitations in previous studies. The results from a logit model of mortgage choice indicate that pricing variables and affordability are important considerations. We also find that factors, such as mobility expectations, income volatility and attitudes toward financial risk largely influence mortgage choice, with more risk‐averse borrowers preferring fixed‐rate mortgages. For households that are less risk averse, the mortgage type choice decision is less sensitive to pricing variables and income volatility, and affordability factors are not significant. These findings provide empirical support that underscores the importance of attitudes toward risks in mortgage choice.     

Sharing Risks of Labour Market Transitions: Towards a System of Employment Insurance

The increasing polarization of the labour market is closely related to the spread of non‐standard employment relationships that largely results from poor risk management of critical transitions over the life course. The question, therefore, arises whether labour market regulation, in particular unemployment insurance, is still properly designed for the new world of work. This article argues for an extension of unemployment insurance towards a system of employment insurance by summarizing the concept of transitional labour markets, indicating the risks that challenge current and future labour markets, laying the theoretical groundwork, and discussing the main features of an employment insurance system.