Extracting the Expected Path of Monetary Policy From Futures Rates

Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy. However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract the expected policy path under the assumption that risk premia are constant over time, and under a simple model that allows risk premia to vary. In the latter case, the risk premia are identified under the assumption that policy expectations level out after a long enough horizon. The results provide evidence that the risk premia on these futures contracts vary over time. The impact of this variation is fairly limited for futures contracts with short horizons, but it increases as the horizon of the contracts lengthens. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:733–754, 2004     

Construct measurement in strategic management research: illusion or reality?

Strategic management research has been characterized as placing less emphasis on construct measurement than other management subfields. In this work, we document the state of the art of measurement in strategic management research, and discuss the implications for interpreting the results of research in this field. To assess the breadth of measurement issues in the discipline, we conducted a content analysis of empirical strategic management articles published in leading journals in the period of 1998–2000. We found that few studies discuss reliability and validity issues, and empirical research in the field commonly relies on single‐indicator measures. Additionally, studies rarely address the problems of attenuation due to measurement error. We close with a discussion of the implications for future research and for interpreting prior work in strategic management. Copyright © 2004 John Wiley & Sons, Ltd.     

Option volume and volatility response to scheduled economic news releases

In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock‐index option volume and implied volatility. We find that there is a 2‐h delay after the announcement before volume increases. However, there is an immediate increase in volatility, which slowly dissipates over several hours. Further analysis shows that most of the high volume and volatility after announcements come from the announcements that are considered bad news. That is, bad news creates high volatility and high volume, whereas good news elicits lower volume and is not associated with higher volatility. These results are not consistent with the predictions of any one model. We also find that the announcements that cause the largest reaction in the equity option market are Consumer Credit, Consumer Spending, Factory Inventories, NAPM, and Non‐Farm Payrolls. Six other announcements elicit a mild response. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:315–345, 2003     

The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector

Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American hog sector. The moving‐window contract is decomposed into a portfolio of a long Asian‐Basket put and a short Asian‐Basket call option. A projected break‐even price is used to determine the floor price, and then Monte Carlo simulation methods are used to price both a moving‐ and a fixed‐window contract. These methods provide unbiased pricing of fixed‐ and moving‐window hog‐finishing contracts of 1‐year duration. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1047–1073, 2003     

Indonesian Local Government Spending,Taxing and Saving: An Explanation of Pre‐ and Post‐decentralization Fiscal Outcomes*

As a result of Indonesia's decentralization program, local governments have gained significantly more responsibility for service delivery, considerably larger fiscal resources, and much greater authority over the use of those resources than before. The present paper develops a simple budget model to describe and explain the substantial differences in pre‐ and post‐decentralization local government fiscal behavior related to spending, taxing and saving. During the post‐decentralization period special attention is paid to the fiscal behavior of natural resource rich regions. Among other things, the evidence suggests that: post‐decentralization local government spending is partly responsive to increasing needs and partly the subject of elite capture; local government taxation has become more aggressive under decentralization and appears to be mostly driven by local bureaucratic expectations related to routine overhead budgets; and the increased savings of local governments during the post‐decentralization period is determined to a large degree by delayed central government transfer payments.     

Environmental uncertainty, supply chain relationship quality and performance

Environmental uncertainty is a fact of life in today's supply chains. In this paper we develop a model of environmental uncertainty, supply chain (SC) relationship quality and SC performance. We use data from the electronics sector in Ireland to test our model. Our results provide mixed support for the model, with the moderating role of both demand and supply uncertainty being supported, but technological uncertainty not supported. We reflect on these findings and suggest a research agenda based on our results.     

Class length and student performance: An extended study

Many accounting educators believe that the student learning of accounting is better facilitated over a longer period of time, rather than a shorter period of time. This study examined the results of student performance in two introductory accounting courses, comparing student performance results of four-week summer classes with the results of traditional 16-week courses. In this research, the same professor taught the spring and summer ACC 201 courses, and two other professors taught both the spring and summer ACC 211 courses. Also held constant were the lecture material, course assignment, and test content. The results of the study indicate that in general, students taking introductory accounting over four weeks fare about as well as students who take introductory accounting over a traditional 16-week period. These results have potential importance beyond accounting education and provide support to universities offering more block courses to better serve individual student needs.