Basis Pricing, Futures-Cash Price Transmission and Appropriate Hedge Ratios: The Case of the Soybean Market in Ontario

The academic literature on the determination of risk-minimizing hedge ratios has apparently ignored the potential impact that the pricing strategies adopted by the grain elevators may have on the futures-cash price transmission, and therefore on the determination of the correct hedge ratio. This paper addresses this problem from a theoretical perspective, and then develops a model that is applied to the soybean market in Chatham, Ontario.
La littérature académique concernant la détermination des ratios de couverture à terme minimisant le risque a apparemment ignoré l'impact potential des stratégies des faiseurs de prix sur un marché sur la relation entre les prix spot et les prix à terme. II est possible que de ce fait ces stratégies influencent également la détermination du vrai ratio de couverture. Ce papier traite ce problème d'un point de vue théorique, puis vérifie ces résultats en les appliquant au cas du marché du soja à Chatham, Ontario.     

The human cost: A comment on dardis

The first step is to measure whatever can be easily measured. This is okay as far as it goes. The second step is to disregard that which can't be measured or give it an arbitrary quantitative value. This is artificial and misleading. The third step is to presume that what can't be measured easily isn't very important. This is blindness. The fourth step is to say what can't be easily measured really doesn't exist. This is suicide (Daniel Yankelovich in Smith, 1972, p. 286).J. Edward Russo is Associate Professor of Marketing and Behavioral Science at the Johnson Graduate School of Management, Cornell University, Ithaca, New York, 14853, U.S.A.     

Disclosure as a tool in stakeholder relations management: a longitudinal study on the Port of Rotterdam

This study applies stakeholder management principles to the port domain. We provide a conceptual framework for evaluating the communication strategies a (landlord) Port Authority (PA) relies on in the management of its relevant stakeholders and the adoption of disclosure to critical issues. The theoretical arguments are supported by empirical evidences from the Port of Rotterdam (PoR), i.e. a major port which leverages disclosure to successfully manage stakeholders and support the implementation of corporate strategy. The research questions are addressed using a content analysis on the annual reports (ARs) of PoR in the period 2000–2012. The overall research design enables the investigation of PA disclosure as a tool for managing the evolving interests of stakeholders from a longitudinal perspective. The PoR case shows that the relative importance of topics reported in the ARs change over time, as a result of external pressures and internal key events. The outcomes demonstrate the growing attention of PoR on topics relevant to the broader community (e.g. environment and safety/security) after a period characterised by a prominent focus on financial and governance issues. Besides, key breakthrough forces stimulating the shifts in landlord communication strategies are identified and discussed. Finally, by suggesting an indirect approach to evaluate how PA prioritises its salient stakeholders, the paper adds to extant port literature and brings methodological implications.     

Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data

Recent literature on panel data emphasizes the importance of accounting for time-varying unobservable individual effects, which may stem from either omitted individual characteristics or macro-level shocks that affect each individual unit differently. In this paper, we propose a simple specification test of the null hypothesis that the individual effects are time-invariant against the alternative that they are time-varying. Our test is an application of Hausman (1978) testing procedure and can be used for any generalized linear model for panel data that admits a sufficient statistic for the individual effect. This is a wide class of models which includes the Gaussian linear model and a variety of nonlinear models typically employed for discrete or categorical outcomes. The basic idea of the test is to compare two alternative estimators of the model parameters based on two different formulations of the conditional maximum likelihood method. Our approach does not require assumptions on the distribution of unobserved heterogeneity, nor it requires the latter to be independent of the regressors in the model. We investigate the finite sample properties of the test through a set of Monte Carlo experiments. Our results show that the test performs well, with small size distortions and good power properties. We use a health economics example based on data from the Health and Retirement Study to illustrate the proposed test.     

SMEs and CSR Theory: Evidence and Implications from an Italian Perspective

This paper reviews the development of socially responsible investment (SRI) in the Spanish financial market. The year, 1997 saw the appearance in Spain of the first SRI mutual fund, but it was not until late 1999, that major Spanish fund managers offered SRI mutual funds on the retail market. The development of SRI in the Spanish financial market has not experienced the high levels of development seen in other European countries, such as France or Italy, where interest in SRI began during the same period. This paper presents an analysis of the impact of SRI mutual funds managed by Spanish fund managers comparing the evolution of managed assets and number of investors. We also analyse the investment strategies adopted by these funds, which mainly use negative screening criteria and the participation of non-governmental organisations as institutional investors. An analysis of the take up of socially responsible investment in the Spanish financial market shows majors deficits in this process. This is due to Spanish investors having limited sensitivity to social issues and knowledge of SRI, and a lack of development of SRI investment strategies, such as engagement or shareholder activism by fund managers. Furthermore, the take-up of SRI mutual funds in the Spanish financial market coincided with a fall in the stock market at the beginning of the 21st Century. We conclude with an analysis of the relationship between SRI and Corporate Social Responsibility (CSR).Josep M. Lozano is currently Professor in the Department of Social Sciences at ESADE, Universidad Ramon Llul-URL and Director of the school’s Institute for the Individual, Corporations and Society (IPES). Co-founder of ética, Economía y Dirección (Spanish branch of the European Business Ethics Network), member of the international Editorial Board of ‚Ethical Perspectives’ and member of the Business Ethics inter-faculty group of the Community of European Management Schools (CEMS). He has been a highly-commended runner-up in the European division of the Beyond Grey Pinstripes Faculty Pioneer Award. Author of Ethics and Organizations. Understanding Business Ethics as a Learning Process. Dordrecht: Kluwer, 2000.Laura Albareda is a Researcher at the Institute for the Individual, Corporations and Society (IPES), ESADE, Universidad Ramon Llull-URL. She is manager of the Observatory on Ethical, Ecological and Social Investment funds in Spain, an annual IPES publication on Socially Responsible Investment in Spain. Fields of research and academic interest are Corporate Social Responsibility, Business Ethics, Global Governance, Governments and Public Policies on CSR and Socially Responsible Investment.M. Rosario Balaguer is a Lecturer in the Department of Finance and Accounting at Universitat Jaume I. Research areas focus on finance-based analysis of Corporate Social Responsibility and Socially Responsible Investment, covering issues such as profitability, risk and performance. She has taken part in several national and international conferences and published a number of articles in this field.     

Planning considerations for cultural tourism: a case study of four European cities

Utilising the information gathered in four European cities, this paper discusses and tests a framework of reference for visitor-friendliness, a complex concept that encapsulates the main dimensions of the urban tourism product such as its quality, accessibility and image projection. This concept is particularly relevant to assess whether investments in culture and hospitality genuinely respond to the impulses coming from the market. The case studies highlight how specific soft elements of the urban tourism product are the ones that matter most in determining the attractiveness of a city for international visitors, and yet they are often overlooked by city planners. The paper also identifies a number of “best practice” in tourism management.     

Verti-zontal differentiation in export markets

Many trade models of monopolistic competition identify cost efficiency as the main determinant of firm performance in export markets. To date, the analysis of demand factors has received much less attention. We propose a new model where consumer preferences are asymmetric across varieties and heterogeneous across countries. The model generates new predictions and allows for an identification of horizontal differentiation (taste) clearly distinguished from vertical differentiation (quality). Data patterns observed in Belgian firm–product level exports by destination are congruent with the predictions and seem to warrant a richer modelling of consumer demand.     

A reduced lattice model for option pricing under regime-switching

We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox–Ross–Rubinstein lattice derived by a simple transformation of the parameters characterizing the highest volatility tree, which allows a simultaneous representation of the asset value in all the regimes. Derivative prices are computed by forming expectations of their payoffs over the lattice branches. Quadratic interpolation is invoked in case of regime changes, and the switching among regimes is captured through a transition probability matrix. An econometric analysis is provided to pick reasonable volatility values for option pricing, for which we show some comparisons with the existing models to assess the goodness of the proposed approach.     

Social Network and Weight Misperception among Adolescents

It is recognized that public health intervention targeted toward changing lifestyle behaviors to reduce overweight status is a considerable challenge. It is important that individuals recognize their overweight status as a health risk in order for an effective change in lifestyle behaviors to occur, and growing evidence suggests that actual weight and perception of weight status often do not match, especially among adolescents. In this article, we explore the extent to which exposure to heavier peers and parents affects misperception of their own weight status by adolescents. Using data from a nationally representative sample of adolescents, we estimated instrumental variable models with school‐level fixed effects to account for bidirectionality of peer influence and environmental confounders. Our results indicate that individuals who live in an environment that exposes them to overweight/obese parents and heavier peers tend to misperceive their weight status and think of themselves to be of lower weight than they actually are. Our analysis also revealed differential effects by gender and type of peers.