Multiperiod hedging in the presence of stochastic volatility

In this paper, we characterize the multiperiod minimum-risk hedge strategy within the stochastic volatility (SV) framework and compare it to other hedge strategies on the basis of hedging performance. Using crude oil markets as an example, we demonstrate that the SV model is appropriate in depicting price behaviour. However, ex ante and ex post comparisons indicate that the SV strategy is inferior to conventional hedging strategies. There is also evidence that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) strategy may be better than the SV strategy, at least in terms of variance reduction.     

The nonprofit sector's $100 billion opportunity

Imagine what an extra $100 billion a year could do for philanthropic and other nonprofit institutions. According to a new study, the nonprofit sector could free that amount--maybe even more--by making five changes in the way it operates. The study asked two central questions: Does the sector's money flow from its source to its ultimate use as efficiently and effectively as possible? If not, where are the big opportunities to increase social benefit? According to former senator Bill Bradley and McKinsey's Paul Jansen and Les Silverman, nonprofits could save roughly $25 billion a year by changing the way they raise funds. By distributing funds more quickly, they could put an extra $30 billion to work. Organizations could generate more than $60 billion a year by streamlining and restructuring the way in which they provide services and by reducing administrative costs. And they could free up even more money--an amount impossible to estimate--by better allocating funds among service providers. The authors admit that making those changes won't be easy. The nonprofit world, historically seen as a collection of locally focused charities, has become an enormous sector, but it lacks the managerial processes and incentives that help keep the for-profit world on track. And when the baby boomers start to retire in less than a decade, public budgets will be squeezed even more than they are today. If the nonprofit sector is to help the nation cope with the stresses ahead, it must become more efficient and challenge its traditional concepts of stewardship.     

The Impacts of Remittances, Residency Status and Financial Attachment on Housing Tenure for Mexican-Heritage Americans: Inferences from a New Survey

Immigration has and will continue to alter the composition of housing demand in the United Sates. In this article, we analyze results from a new survey of Mexican-heritage households to draw some inferences about tenure choice within that group. Some measures of attachment to the United States—residency status and the amount of money sent to relatives and friends in Mexico—suggest that, among Mexican immigrants, permanence is a key determinant of homeownership in the United States. More specifically, being a citizen increased the probability of ownership, whereas being undocumented reduces the probability. Surprisingly, after controlling for residency status, length of tenure in the United States does not predict tenure status, except that those who refused to report length of tenure were more likely to have higher tenure status. Those who sent remittances home to Mexico were less likely to become homeowners.     

Supply Chain Citizenship: Investigating the Antecedents of Customer Interorganizational Citizenship Behaviors

Research has consistently established the strategic importance of supply chain collaboration. As a result, interfirm behavioral dynamics and relationships have emerged as key topics for both the academic and practitioner communities. This paper explores an interpersonal exchange tactic that is inherent to many collaborative initiatives—interorganizational citizenship behaviors (ICBs). The study specifically investigates why retail customers in business‐to‐business exchange relationships would exhibit ICBs, and explores how they assess and respond to the ICBs of suppliers. Findings of the study suggest that customers generally interpret and value the various types of ICBs differently, resulting in differential effects regarding the supply chain performance and relational implications of the behavior. These results not only inform managerial practice but also provide future research opportunities in the area of ICBs and the broader realm of interpersonal supply chain dynamics.     

Food Stamp Program Participation of Refugees and Immigrants

The Personal Responsibility and Work Opportunity Reconciliation Act (PRWORA) dramatically changed the availability of food stamps to immigrants, but not to refugees. However, refugee usage of food stamps in the post-reform era has declined more than usage of either other immigrants or native citizens. We investigate food stamp program participation of immigrants and refugees to ascertain if the resulting decline was an unintended effect of the reform or is due to some other phenomena. We use data from the Immigration and Naturalization Service to construct an instrument for refugees. We find that refugees are more likely than other immigrants to use food stamps. While PRWORA clearly reduced non-refugee immigrant food stamp participation, the post-reform era decline in refugee usage is fully attributable to a strong refugee response to changing labor market conditions. We also find that refugees' use of food stamps declines rapidly with time in the United States, unlike that of other immigrants.     

Are income and consumption taxes ever really equivalent? Evidence from a real-effort experiment with real goods

The public finance literature demonstrates the equivalence between consumption and labor-income (wage) taxes. We introduce an experimental paradigm in which individuals make real labor-leisure choices and spend their earned income on real goods. We use this paradigm to test whether a labor-income tax and an equivalent consumption tax lead to identical labor-leisure allocations. Despite controlling for subjects' work ability and inherent labor-leisure preferences and disallowing saving, subjects reduce their labor supply significantly more in response to an income tax than to an equivalent consumption tax. We discuss the economic implications of a policy shift to a consumption tax.     

The quality and conservatism of the accounting earnings of local governments

Our aim is to provide insight into the usefulness of accounting earnings for measuring the economic performance of local governments across Australia. Specifically, we explore whether (i) accrual accounting provides useful information, and (ii) earnings of local governments are conservative. We find that accrual accounting by local governments provides useful information as measured by the ability to predict one-year-ahead operating cash-flows. We find no conservatism in the financial reports of the average local government. This, we posit, is due to a lower level of demand for high-quality accrual-based financial reports from these entities. Consistent with this argument, both the quality of accruals and the degree of conservatism increase for local governments for which we predict a demand for higher-quality financial reporting.     

Rejoinder to Tomislav V. Kovandzic's Comment on Our Article "The Effectiveness of Gun Control Laws: Multivariate Statistical Analysis"

A bstract . In Professor Tomislav V. Kovandzic's "Comment on the Recent Work of Kwon, Scott, Safranski, and Bae: No, Your Evidence Doesn't Prove What You Think it Does!," he makes several blanket and ill-informed statements about our article appearing in the January 1997 issue of The American Journal of Economics and Sociology (pp. 41–50). We conclude that his comments have failed to generate any new revelations about our research and we stand by the published results.     

Are there long-run implications of analyst coverage for IPOs?

Analyst coverage has been cited increasingly as an important attribute in the selection of an underwriter for a firm about to go public. However, it has also been alleged that affiliated analysts provide biased research. In this study, we examine these interrelated issues by examining the long-run performance of IPOs with coverage from their managing underwriters in a 1993–2003 sample. We find that (1) analysts’ research coverage from their managing syndicate is not related to long-run performance; (2) long-run performance is not different for firms that receive all-star analyst coverage; and (3) investors are not systematically worse off for following lead underwriter recommendations.