Assessing the profitability of intraday opening range breakout strategies

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon.     

Versicherung von Risiken HIV-infizierter Menschen und Gleichbehandlungsrecht

The article deals with the impact of the German Equal Treatment Law on the insurance of risks related to a HIV positive person. The infection has to be qualified as a disability but differentiations in insurance contracts are usually justifiable. In addition normally there is no unlawful treatment with regard to sexual identity. Even so the insurer has several options to avoid any conflict with HIV positive persons.     

Dual pricing of multi-exercise options under volume constraints

In this paper, we study the pricing problem of multi-exercise options under volume constraints. The volume constraint is modelled by an adapted process with values in the positive integers, which describes the maximal number of rights to be exercised at a given time. We derive a representation of the marginal value of an additional nth right as a standard single stopping problem with a modified cash-flow process. This representation then leads to a dual pricing formula, which generalizes a result by Meinshausen and Hambly (Math. Finance 14:557–583, 2004) from the standard multi-exercise option (with at most one right per time step) to general constraints. We also state an explicit Monte Carlo algorithm for computing confidence intervals for the price of multi-exercise options under volume constraints and present numerical results for the pricing of a swing contract in an electricity market.     

Tourism distribution channels in Wellington,New Zealand

This paper outlines a multiple method approach used in Wellington as a way of researching issues of distribution channels for tourism in urban areas. The study combines information obtained from interviews with providers and intermediaries, visitor surveys and the analysis of catalogues to present a systematic examination of distribution channels for a range of accommodation and attractions. The results highlight the complexity of distribution channels in Wellington, with variations occurring by market segment and by type of accommodation and attractions. Chain hotels have the most complex channels. Smaller properties and attractions tend to pursue simpler ‘at destination’ distribution strategies. Copyright © 2004 John Wiley & Sons, Ltd.     

Optimal design of rating-trigger step-up bonds: Agency conflicts versus asymmetric information

Agency conflicts and asymmetric information are two possible explanations that may rationalize the use of a step-up provision in the bond indenture. Within a continuous-time framework with bankruptcy costs and tax benefits, we analyze the optimal step-up bond design with respect to both frictions. We find that (i) contrary to existing results, step-up bonds are indeed able to mitigate the asset substitution problem, (ii) the use of a step-up feature can be a credible signal to overcome asymmetric information problems, and (iii) the optimal design as well as the conditions for the optimal use of step-up bonds is considerably different for the two explanations. This outcome implies that, based on observable firm and bond characteristics, it is possible to discriminate between the two motives underlying the use of step-up bonds.     

Properties of foreign exchange risk premiums

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns and are closely related to global risk aversion, the business cycle, and traditional exchange rate fundamentals.     

Agency conflicts and auditing in private firms

We are interested in understanding how agency conflicts in private firms arise through ownership structures and family relationships. Specifically, we analyze auditors’ increase of effort and firms’ choice of auditors in situations with higher level of agency conflicts. For a large sample of private firms, we use unique and confidential data (obtained through special permission by the government) to measure direct and ultimate ownership for each shareholder as well as extended family relationships (based on marriage and blood lines, going back four generations and extending out to fourth cousin) among all shareholders, board members, and CEOs. We first find that audit fees, our proxy for audit effort, vary as hypothesized with firm-level characteristics related to ownership structures and family relationships. Second, we find evidence that firms in higher agency cost settings respond by having their financial statements audited by a higher-quality auditor (i.e., a Big 4 firm). However, for CEO family-related settings (i.e., where the CEO is related to the major shareholder or as the number of board members related to the CEO increases), we find no evidence of a greater demand for a Big 4 auditor.     

A New Technical Progress Function (1962)

Abstract. In this paper, I show that labour‐saving or capital‐saving technical progress is induced by the distribution of income between capital and labour. In the long run, technical progress is Harrod neutral. The long‐run equilibrium factor income distribution is determined by a parameter of the technical progress function.     

Preserving preference rankings under background risk

For any random vector of wealth payoffs , let the random variable be mutually independent of and with . The basic question we address in this paper is the following: When can we say that is preferred by an expected-utility maximizer to whenever is preferred to ? In other words, when can we guarantee that the addition of an arbitrary independent background noise will not affect the preference ranking between other risks?