Production and hedging under Knightian uncertainty

This article introduces Knightian uncertainty into the production and futures hedging framework. The firm has imprecise information about the probability density function of spot or futures prices in the future. Decision‐making under such scenario follows the “max‐min” principle. It is shown that inertia in hedging behavior prevails under Knightian uncertainty. In a forward market, there is a region for the current forward price within which full hedge is the optimal hedging policy. This result may help explain why the one‐to‐one hedge ratio is commonly observed. Also inertia increases as the ambiguity with the probability density function increases. When hedging on futures markets with basis risk, inertia is established at the regression hedge ratio. Moreover, if only the futures price is subject to Knightian uncertainty, the utility function has no bearing on the possibility of inertia. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 397–404, 2000     

Derivative trading by utility firms

This paper examines the use of derivatives by a utility company. The hedging problem for utilities is atypical; the goal is not strictly to minimize average costs. Rather, the objectives are to minimize the upside risk associated with extreme bills, volatility of bills, and average expected bills for consumers. We characterize the optimal positions on futures contracts and options on futures that a utility company should assume. The results indicate that the use of derivatives (both futures and options on futures) is an efficient means of optimizing the objective functions without exposing consumers to speculative risk.     

Are options redundant? Further evidence from currency futures markets

This paper investigates the impact of the introduction of options on the underlying asset's price formation process, using Geweke feedback measures. We derive the feedback measures from the Deutsche Mark, British Pound, Swiss Franc, Japanese Yen and Canadian Dollar futures and spot prices, before and after the introduction of options for these currency futures. While each currency market maintains some distinct characteristics in the post-option period, a common theme is found: after the option introduction, the instantaneous feedback between spot and futures markets improves drastically. The feedback from the spot to the futures market tends to decrease and remains small. The feedback from the futures market to the spot market tends to decrease as well. These results confirm the dominance of options markets, probably due to their smaller transaction costs. When made available, options assume a leading role for information transmission in currency markets.     

Alternative settlement methods and Australian individual share futures contracts

Individual share futures contracts have been introduced in Australia since 1994. Initially, the contracts were settled in cash. In 1996, cash settlement was gradually replaced by physical delivery. This study investigates the effects of the settlement method change on Australian individual stock and its futures markets. Specifically, we examine whether return and volatility of each market, correlation between the two markets, basis behavior, and hedging performance of futures markets differ across cash settlement period and physical delivery period. We find that, after the switch from cash settlement to physical delivery, the futures market, the spot market, and the basis all become more volatile. However, each individual share futures contract becomes a more effective hedging instrument. The improvement in hedging effectiveness is particularly impressive for the most recently established individual share futures contracts.     

Technical efficiency in competing panel data models: a study of Norwegian grain farming

Estimation of technical efficiency is widely used in empirical research using both cross-sectional and panel data. Although several stochastic frontier models for panel data are available, only a few of them are normally applied in empirical research. In this article we chose a broad selection of such models based on different assumptions and specifications of heterogeneity, heteroskedasticity and technical inefficiency. We applied these models to a single dataset from Norwegian grain farmers for the period 2004–2008. We also introduced a new model that disentangles firm effects from persistent (time-invariant) and residual (time-varying) technical inefficiency. We found that efficiency results are quite sensitive to how inefficiency is modeled and interpreted. Consequently, we recommend that future empirical research should pay more attention to modeling and interpreting inefficiency as well as to the assumptions underlying each model when using panel data.     

The rationality and objectivity of reflection in phenomenological research

This article focuses on the reflection of lived experience as a way to understand the meaning and essence of lived experience in phenomenological research. The importance of reflection as a key learning tool in professional research development is emphasized. We argue that good reflection should result in the interviewee, the researcher, and the reader sharing a common experience as to the meaning of a certain lived experience. Therefore, the role of a researcher is likened to a bridge on which the reader travels into the interviewee’s living world. To achieve this, we argue that reflection must be rational and objective. To explain how to achieve the rationality and objectivity of reflection, we have divided the paper into two parts. First, we provide a briefly explain reflection on lived experience. Then we discuss the importance of rationality and objectivity in reflection and how to achieve and present them in research.     

Dynamic capability: Impact of process alignment and organizational learning culture on performance

Although there is much emphasis on the importance of process alignment, organizational learning culture, and dynamic capability, little attention has been paid to their interactions and joint effects on performance. While the concept of dynamic capability has received increasing attention and numerous conceptual frameworks and propositions have been suggested, few empirical studies have been conducted to examine its antecedents and outcomes. Some maintain that dynamic capability is created via organizational learning. Others contend that dynamic capability is resident in organizational processes.This empirical study utilizes a survey data from a Taiwan high-tech industry to test an integrative model of dynamic capability. The results of this study demonstrated that although organizational learning culture significantly affected performance, its influence was mediated by dynamic capability. Furthermore, this study provides supporting evidence for the hypothesis that process alignment influences performance directly and indirectly through dynamic capabilities.     

Uber periodische Funktionen,ihre Observation und Ausgleichung

Abstract

Wir denken uns in der Regel, dass eine observierte statistische Reihe, o_x , aus einer Summe von verschiedenen Komponenten und einem zufälligen Fehler besteht. Wir machen dann verschiedene Voraussetzungen, vielleieht besonders iiber den Fehler, damit wir — ohne die Komponente zu stören — den Fehler möglichst beseitigen können.     

Disappointment aversion equilibrium in a futures market

This article examines the effect of disappointment aversion on the equilibrium in a commodity futures market. Consider a commodity market with a producer and a speculator. We show that the equilibrium price is positively related to either agent's risk or disappointment aversion, and to the market volatility. The market trading volume is positively related to the producer's risk or disappointment aversion, but negatively related to the speculator's risk or disappointment aversion. The producer lowers his or her reference point in response to an increase in the risk aversion or disappointment aversion of either agent, and to an increase in spot price volatility. The speculator raises his or her reference point when the producer becomes more risk averse or disappointment averse, or when the spot price becomes more volatile. A more disappointment‐averse speculator will lower his or her reference point. However, a more risk‐averse speculator raises (lowers) the reference point if he or she is less (more) risk averse than the producer. Numerical examples are provided to further support the above analytical results. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:135–150, 2003