Futures hedging using dynamic models of the variance/covariance structure

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios also are employed as error purgers. The empirical results indicate that the generalized dynamic models are well specified and that their use in determining optimal hedge ratios can lead to improvements in hedging performance as measured by the volatilities of the returns on the optimally hedged position. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:241–260, 2003     

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     

LOGISTICS OUTSOURCING RELATIONSHIPS: CUSTOMER PERSPECTIVES

This study attempts to infuse relationship marketing theory into the study of logistics outsourcing relationships. In particular, the study demonstrates that not all of the partnerships between customers and providers of third‐party logistics services are the same in terms of their level of development. The existence of distinct levels of partnership established previously in the logistics literature is partially supported and a relationship between level of partnership development and the customer perceptions of key relationship marketing elements and outcomes is established. While exploratory in nature, these findings suggest there are benefits for the increased costs of developing closer partnerships.     

The Tax‐smoothing Hypothesis: Evidence from Sweden, 1952–1999

This paper tests Barro's (1979) tax‐smoothing hypothesis using Swedish central government data for the period 1952–1999. According to the tax‐smoothing hypothesis, the government sets the budget surplus equal to expected changes in government expenditure. When expenditure is expected to increase, the government runs a budget surplus, and when expenditure is expected to fall, the government runs a budget deficit. The empirical evidence suggests that the model provides a useful benchmark and that tax‐smoothing behavior can explain about 60 percent of the variability in the Swedish central government budget surplus.     

THE PLACE OF MANAGERS IN INDUSTRIAL DEMOCRACY

The discussion of industrial democracy in Britain has exploded in the last few years, but the result has been to write an agenda which has still to be worked through, not to reveal a consensus which can be written into action at once.