Modeling Conditional Yield Densities

Given the increasing interest in agricultural risk, many have sought improved methods to characterize conditional crop-yield densities. While most have postulated the Beta as a flexible alternative to the Normal, others have chosen nonparametric methods. Unfortunately, yield data tends not to be sufficiently abundant to invalidate many reasonable parametric models. This is problematic because conclusions from economic analyses, which require estimated conditional yield densities, tend not to be invariant to the modeling assumption. We propose a semiparametric estimator that, because of its theoretical properties and our simulation results, enables one to empirically proceed with a higher degree of confidence.     

Directly measuring early exercise premiums using American and European S&P 500 Index options

The Chicago Board Options Exchange concurrently listed European‐style and American‐style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early exercise premium in American‐style index options. In this study, using ask quotes, we find average early exercise premiums ranging from 5.04 to 5.90% for calls, and from 7.97 to 10.86% for puts. Additionally, we are able to depict a potentially useful functional form of the early exercise premium. As in previous studies, we find some instances of negative early exercise premiums. However, a trading simulation shows that traders must be able to trade within the bid–ask spread to profit from these apparent arbitrage opportunities. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:287–313, 2003     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

Earnings Performance and Discretionary Disclosure

While the influence of earnings performance on disclosure is a fundamental issue in the disclosure literature, our understanding of this influence is limited. In this paper, I examine a comprehensive set of disclosures from a sample of firms experiencing an extended period of seasonally adjusted earnings increases. I study how these firms adjust disclosure in response to earnings increases, how disclosure changes as the period of strong earnings performance nears an end and how firms disclose during a subsequent period of earnings decline. I find an increase in disclosure during the period of increased earnings. This increase is pervasive across all types of disclosure and tends to be bundled with earnings announcements. The market responds positively to this disclosure. Firms continue to disclose at a high level as they approach earnings declines. However, they shift to disclosures that focus on the positive short-term results and do not discuss the impending decreases. While this behavior is systematic, the market does not appear to anticipate the subsequent earnings declines. Once the firms announce earnings declines, the magnitude of disclosure returns to the level provided prior to the increased earnings.     

频率不受运放参数影响的文氏桥振荡器

本文介绍一组（12个）新的正弦振荡器，这组振荡器使用两个运算放大器，其振荡频率不受单极点有源元件增益带宽之积的影响。这种特性是由本文所介绍的电路结构取得的，即不需要调节。     

Asymptotically optimal estimation of smooth functionals for interval censoring, part 1

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.     

What Can Be Learned from DuPont and the Freon Ban: A Case Study

Between 1974 and 1988, executives of DuPont, the world's largest producer of CFCs, were confronted with emerging evidence that CFCs were destroying the stratospheric ozone layer. The difficulty that executives face in such cases is that scientific knowledge develops over time and does not necessarily proceed in a straight line toward true conclusions. At the beginning of a new field of research, there is much uncertainty and disagreement among the experts. The solution of the ozone problem required a remarkable cooperation among science, business, and international governments. After looking at the role of DuPont executives in this drama, and the difficulties facing any executive dealing with uncertain science, the paper turns to an evaluation of the field of Business Ethics to see what light it might throw on this and analogous problems. Finally, the paper offers specific suggestions in terms of principles in dealing with uncertain science, and concludes that the course of action that DuPont followed, including some mistakes, can serve as a model for analogous crises.     

UNIVERSAL BANKS ARE NOT THE ANSWER TO AMERICA'S CORPORATE GOVERNANCE "PROBLEM": A LOOK AT GERMANY, JAPAN, AND THE U.S.

This article objects to a recent tendency of legal and economic scholars to "romanticize" the corporate governance role of German universal banks and Japanese main banks. There are potential conflicts between banks' interests as lenders and as shareholders that are likely to make banks less-than-ideal monitors for outside shareholders. Citing evidence that Japanese corporate borrowers pay above-market interest rates for their bank financing, Macey and Miller interpret the high interest rates as "rents" earned by Japanese banks on their loan portfolios in exchange for (1) insulating incumbent management of borrower firms from hostile takeover and (2) accepting suboptimal returns on their equity holdings.
The main problems with the German and Japanese systems stem from their failure to produce well-developed capital markets. Concentrated and stable shareholdings reduce the order flow in the market, thereby depriving the market of liquidity. And the lack of capital market liquidity– combined with the intense loyalty of the banks towards incumbent management–removes the ability of outside shareholders to make a credible threat of takeover if managerial performance is substandard.
The problem with American corporate governance–if indeed there is one–is not that hostile takeovers are bad, but that there are not enough of them due to regulatory restrictions and misguided legal policies. While U.S. law should be amended to give banks and other debtholders more power over borrowers in the case of financial distress, encouraging U.S. banks to become large stockholders is not likely to improve corporate efficiency. Strengthening the "voice" of American equity holders by eliminating restrictions on the market for corporate control would be the most effective step in improving firm performance.     

Risk Management by Securities Settlement Agents

As developing countries search for ways to promote capital formation through the establishment of organized exchanges, they will need to pay more attention to the role of risk management in the securities settlement process. The delivery-versus-payment (DVP) agents that facilitate the process of exchanging securities for funds in most world markets have both the incentive and comparative informational advantage to monitor, measure, and manage risks inherent in the securities settlement system.
Unfortunately, most DVP agents have accomplished this task to date through the cumbersome use of position and net debit limits, capital requirements, and collateral requirements. Such limits and requirements are almost everywhere based on relatively arbitrary criteria that may have no relation to the actual replacement cost, principal, or liquidity risk of the transaction, portfolio, or participant on which they are imposed.
To remedy this shortcoming in the current state of risk management at DVP agents, this article holds out the possibility of integrated, comprehensive risk management processes that emphasize and rely on forward-looking measures of risk for individual brokers and across brokers. Many risk measures could serve the settlement agent's purposes, including "value at risk" (or "VaR"), "below target risk,""below-target probability," and "downside semi-variance." The actual summary risk measure used for risk monitoring and control is not as important as the methodology used to generate that risk measure. "The goal of such a process," as the authors put it, "is to ensure that the risks to which a settlement agent and its residual claimants are exposed are those risks to which the agent's shareholders think they are and want to be exposed."