Can commodity futures be profitably traded with quantitative market timing strategies?

Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7000 rules, employ two alternative bootstrapping methodologies, account for data-snooping bias, and consider different time periods. We cannot rule out the possibility that trading rules compliment some other trading strategy or that some traders may have success using a specific rule on its own, but we do conclusively show that none of these rules beat the market any more than expected given random data variation.     

Staying afloat during restructuring storms

By 1988 Jack Pfister could see the writing on the wall. His 80-year-old utility company, the Salt River Project (SRP), would no longer be sheltered from competition's chill wind. Its special status as a governmental entity was being challenged by emerging deregulation in the power industry. "Foreign" producers could now wheel their surplus power into his backyard at bargain rates.     

Evaluate health plans

For most benefits administrators, this program probably does not automate a function they are now doing manually, but it does bring a consultant/broker function in-house (although this is only one of many such functions). In some organizations, particularly smaller ones that might skimp on analysis of their health plans before negotiating carrier rate changes each year, it might mean that such analysis actually does take place. But it you are a benefits administrator who has been performing yearly, manual evaluations of your plans, be very careful about trying and demonstrating this software. If you think you might not be granted approval by management to purchase it, you may wish you didn't know how well it works.     

Explaining CEO retention in misreporting firms

We propose a framework that advances our understanding of Chief Executive Officer (CEO) retention decisions in misreporting firms. Consistent with economic intuition, outside directors are more likely to fire (retain) CEOs when retention (replacement) costs are high relative to replacement (retention) costs. When the decision is ambiguous because neither cost dominates, outside directors are more likely to retain the CEO when they both benefit from selling stock in the misreporting period. We show that joint abnormal selling captures director–CEO alignment incrementally to biographical overlap. This new proxy operationalizes information sharing and trust, making it useful for studying economic decision-making embedded in social relationships.     

The Practice of Financial Risk Management: An International Comparison

The objective of this article is to simultaneously survey the practice of risk management of large United Kingdom, United States, and Asia Pacific multinational companies (MNCs). We investigate whether risk management practices vary internationally. From 179 (30%) usable responses we find a number of interregional differences in the organization of risk management; a greater emphasis on decentralized structures in the Asia Pacific and less formal board control over risk management in U.S. MNCs. In terms of the tools of risk management there were differences internationally in the concerns in choosing derivatives, driven to some extent by differences in the accounting treatment internationally. In general, the size, degree of internationalization and industry sector of the respondent MNCs could not explain these regional differences. However, there was little variation in the methods of forecasting exchange rates and the majority of MNCs in all regions use a centralized risk management system. © 2001 John Wiley & Sons, Inc.     

Empirical foundations for the resurrection of Heckscher–Ohlin theory

We decompose the factor content of trade into Heckscher–Ohlin–Vanek trade and Ricardian trade. We measure factor content using only the United States' technology and also as Leontief advocated, using the local technology. In either case, differences in endowments are quite important in explaining the factor content of trade. If one uses raw estimated coefficients as a means of comparison, differences in endowments are ten times as important as differences in technology.     

The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?

In recent years, the number of downgrades in corporate bond ratings has exceeded the number of upgrades, leading some to conclude that the credit quality of U.S. corporate debt has declined. However, an alternative explanation of this apparent decline in credit quality is that the rating agencies are now using more stringent standards in assigning ratings. An ordered probit analysis of a panel of firms from 1978 through 1995 suggests that rating standards have indeed become more stringent, implying that at least part of the downward trend in ratings is the result of changing standards.     

Allocation of Time and Hateful Behavior

A bstract This paper uses the rational-choice economic approach to analyze hateful behavior. The theoretical model predicts that hateful activity decreases with increases in (i) the market wage rate, (ii) the value of time, (iii) age, and (iv) law enforcement activity. The theory is tested on U.S. state hate crime data and the empirical results provide convincing support for the model. Three other factors (urbanization, low occupational status, and downward social mobility) thought to be causes of hateful activity are found not to be statistically significant determinants of hateful activity.