Daylight saving effect

Kamstra et al. [Kamstra, M.J., Kramer, L.A., Levi, M.D., 2000. Losing sleep at the market: the daylight saving anomaly. The American Economic Review 90, 1005–1011] argue that the mean weekend return following the changes in daylight saving time is less than the mean weekend return throughout the rest of the year. Opposing studies, such as Pinegar [Pinegar, J.M., 2002. Losing sleep at the market: comment. The American Economic Review 92, 1251–1256), reason that the observed results depend upon methodology. We extend the ongoing discussions by providing further evidence for equity markets and bond markets in Germany and across Europe. We further demonstrate that the daylight saving effect does not serve as a potential rationale for the weekend effect.     

Bayesian MCMC Mapping of Quantitative Trait Loci in a Half-sib Design: a Graphical Model Perspective

Graphical models provide a powerful and flexible approach to the analysis of complex problems in genetics. While task-specific software may be extremely efficient for any particular analysis, it is often difficult to adapt to new computational challenges. By viewing these genetic applications in a more general framework, many problems can be handled by essentially the same software. This is advantageous in an area where fast methodological development is essential. Once a method has been fully developed and tested, problem-specific software may then be required. The aim of this paper is to illustrate the potential use of a graphical model approach to genetic analyses by taking a very simple and well-understood problem by way of example.     

Bank and Business Performance Measurement

Given the objective of maximizing the wealth of existing shareholders, this paper discusses some of the issues that arise in attempting to measure the performance of individual businesses within a bank. The paper describes two return measures – return on assets within a business and the return on the 'equity' of an individual business – and discusses the appropriate bench–marks. The paper ends with a discussion of the cost of unused allocated capital and the appropriate performance metric.
(J.E.L.: G30, G31).     

Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures

This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer "newsworthy," that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest-time corn price expectations, which are uncovered using a Hamilton-type modeling approach. Results show that reports are still "newsworthy," as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis.     

Is your vision consistent?: A method for checking, based on scenario concepts

Common sense tells us that the future is an essential element in any strategy. In addition, there is a good deal of literature on scenario planning, which is an important tool in considering the future in terms of strategy. However, in many organizations there is serious resistance to the development of scenarios, and they are not broadly implemented by companies. But even organizations that do not rely heavily on the development of scenarios do, in fact, construct visions to guide their strategies. But it might be asked, what happens when this vision is not consistent with the future? To address this problem, the present article proposes a method for checking the content and consistency of an organization's vision of the future, no matter how it was conceived. The proposed method is grounded on theoretical concepts from the field of future studies, which are described in this article. This study was motivated by the search for developing new ways of improving and using scenario techniques as a method for making strategic decisions. The method was then tested on a company in the field of information technology in order to check its operational feasibility. The test showed that the proposed method is, in fact, operationally feasible and was capable of analyzing the vision of the company being studied, indicating both its shortcomings and points of inconsistency.     

Dynamic scoring: Alternative financing schemes

Neoclassical growth models predict that reductions in capital or labor income tax rates are expansionary when lump-sum transfers are used to balance the government budget. This paper explores the consequences of bond-financed tax reductions that bring forth a range of possible offsetting policies, including future government consumption, capital tax rates, or labor tax rates. Through the resulting intertemporal distortions, current tax cuts can be expansionary or contractionary. The paper also finds that more aggressive responses of offsetting policies to debt engender less debt accumulation and less costly tax cuts.     

The effect of spot and futures trading on stock index market volatility: A nonparametric approach

This article provides empirical evidence on the intraday relation between spot volatility and trading volume in the Spanish stock index futures market. GARCH methodology is used to estimate spot volatility. We analyze the potential relation between spot and futures trading volume and spot volatility by estimating the corresponding conditional density functions as proposed in Quah (1997). Our results reveal no significant link between those variables. Similar findings arise when expected and unexpected volume is considered. Our results suggest that derivative market is not a force behind episodes of significant spot jump volatility. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:841–858, 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.