A note on estimating the minimum extended Gini hedge ratio

The extended Gini coefficient, Γ, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982, 1983) provides conditions under which a two-parameter framework using the mean and Γ of portfolio returns yields an efficient set consistent with second-order stochastic dominance. Unlike mean-variance theory, the mean-Γ framework requires no particular return distribution or utility function to yield this conclusion. However, Γ must be computed iteratively making it less convenient to use than variance. Shalit (1995) offers a solution to the computation problem by suggesting an instrumental variables (IV) slope estimator, β^IV, as the basis for the minimum extended Gini hedge ratio where the instruments are based on the empirical distribution function (edf) of futures prices. However, the validity of employing the IV slope coefficient as the basis for the minimum extended Gini hedge ratio requires the questionable assumption that the rankings of futures prices to be the same as those for the profits of the hedged portfolio. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19:101–113, 1999     

Do country risk and financial uncertainty matter for energy commodity futures?

Using an instrumental variable quantile regression technique, this paper assesses whether country risk and financial uncertainty exert an impact on energy commodity futures prices under different commodity conditional return distributions over the period from January 1994 to July 2017. We also discuss whether the correlations change with different dimensions of country risk, that is economic, financial, and political. The results reveal that country risk and financial stress do have a significant impact on energy commodity returns of futures contracts with different maturities, but their direction, intensity, and significance differ, caused by the distinct market situations and divergent channels of country risk.     

Rules of the game: whose value is served when the board fires the owners?

How does a board of directors decide what is right? The contest over this question is frequently framed as a debate between shareholder value and stakeholder rights, between a utilitarian view of the ethics of corporate governance and a deontological one. This paper uses a case study with special circumstances that allows us to examine in an unusually clear way the conflict between shareholder value and other bases on which a board can act. In the autumn of 2010, the board of Liverpool Football Club sold the company to another investing group against the explicit wishes of the owners. The peculiar circumstances of this case provide insight into the conflict between ethical approaches to board decisions, allowing us to see certain issues more clearly than we can in listed corporations with many shareholders. What the analysis suggests is that the board saw more than one type of utility on which to base its ethical decision, and that one version resonated with perceived duties to stakeholders. This alignment of outcomes of strategic value with duties contrasted with the utility of shareholder value. While there are reasons to be cautious in generalizing, the case further suggests reasons why boards may reject shareholder value, in opposition to mainstream notions of corporate governance, without rejecting utility as a base of their decisions. Further, the partial alignment of duty and utility facilitates a pragmatic decision rather than one based on a priori claims.     

The effects of structural breaks and long memory on currency hedging

Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this study, we investigate the effects of such breaks on estimated risk-minimizing hedge strategies (ratios) and their performance in currency markets. Using bivariate GARCH (BGARCH) and fractionally integrated GARCH models, we estimate the hedge ratios for six foreign currencies in the full sample with and without controlling for breaks and each subsample of different unconditional variance regimes identified by a modified version of the Inclan C, and Tiao GC (1994) algorithm. Our findings suggest that daily currency risk can be better hedged with currency futures when controlling for unconditional variance breaks in the BGARCH model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:607–632, 2010     

Democracy, foreign direct investment and natural resources

Empirical studies that examine the impact of democracy on foreign direct investment (FDI) assume that the relationship between democracy and FDI is the same for resource exporting and non-resource exporting countries. This paper examines whether natural resources in host countries alter this relationship. We estimate a linear dynamic panel-data model using data from 112 developing countries over the period 1982-2007. We find that democracy promotes FDI if and only if the value of the share of minerals and oil in total exports is less than some critical value. We identify 90 countries where an expansion of democracy may enhance FDI and 22 countries where an increase in democratization may reduce FDI. We also find that the effect of democracy on FDI depends on the size and not the type of natural resources.     

选择ERP系统:建造还是购买?

当很多企业选择了ERP解决方案的一种时,其实最好的方法还是在企业内部建造自己的ERP应用程序     

Managers’ Corporate Entrepreneurial Actions and Job Satisfaction

Through the development and extension of theories and scholars’ subsequent empirical analyses of significant, theoretically grounded research questions, the knowledge about corporate entrepreneurship (CE) and its successful use continues to advance. Moreover, the literature suggests important relationships between the corporate environment, managers’ entrepreneurial behavior and successful implementation of corporate entrepreneurship actions. In an attempt to test some of those relationships, we describe an empirical study of 523 managers that examines the relationships among the antecedents to managers’ entrepreneurial behavior, a decision to implement entrepreneurial actions, and resulting job satisfaction and reinforcement practices.     

Uncertain tax rules and futures hedging

This paper considers the optimal futures hedging decision under uncertain tax treatment. If the Corn Products (CP) rule applies, gains or losses from futures trading can offset business gains or losses. However, under the Arkansas Best (AB) doctrine, offsetting is not allowed. We show that the risk neutral firm will not trade futures contracts if the probability the CP rule prevails is small. When the probability is sufficiently large, the firm will assume an underhedge. A risk averse firm is likely to trade, even if the AB rule prevails. As long as the CP ruling is not a sure thing, the firm will engage in underhedge. The effects of average business profits, the volatility of business profits, and risk aversion on the optimal futures position are provided. Copyright © 1999 John Wiley & Sons, Ltd.