On the Information in the Interest Rate Term Structure and Option Prices

We examine whether the information in cap and swaption prices is consistent with realized movements of the interest rate term structure. To extract an option-implied interest rate covariance matrix from cap and swaption prices, we use Libor market models as a modelling framework. We propose a flexible parameterization of the interest rate covariance matrix, which cannot be generated by standard low-factor term structure models. The empirical analysis, based on US data from 1995 to 1999, shows that option prices imply an interest rate covariance matrix that is significantly different from the covariance matrix estimated from interest rate data. If one uses the latter covariance matrix to price caps and swaptions, one significantly underprices these options. We discuss and analyze several explanations for our findings.     

Alternatives to Resistance? Comparing Depoliticization in Two British Environmental Movement Scenes

Processes of politicization and depoliticization are increasingly studied in relation to urban contexts, and cities have been depicted as incubators of social movements. What has been largely ignored is why, in some cities, forces of politicization or depoliticization are stronger than in others. To address this question, this article compares two British cities—Manchester and Bristol—which have historically been central hubs of environmental resistance, but currently face similar depoliticizing forces: austerity, anti-squatting laws, police repression and activists’ disillusion with environmentalism. Curiously, these conditions have had very different impacts on the two environmental scenes. In Manchester they have caused environmental resistance to become replaced almost entirely by non-confrontational ‘alternatives’. In Bristol alternatives have emerged that tend to be in synergy with environmental resistance. The comparison thus suggests that Bristol is more conducive to maintaining environmental resistance under depoliticizing conditions. Findings suggest that differences can be attributed to features of the physical urban environment, including city size. Historically, these differences were not decisive. Yet, after a period of dwindling environmentalist energy in the UK, the number of environmentalist hubs has been reduced. This has prompted a reputational snowball that increasingly concentrates environmental resistance in the one city that best insulates the environmental movement from broader depoliticizing forces.     

Consumer Valuations of Beef Steak Food Safety Enhancement in Canada, Japan, Mexico, and the United States

Food safety concerns have had dramatic impacts on food and livestock markets in recent years. We examine consumer preferences for beef steak food safety assurances. We evaluate the extent to which preferences are heterogeneous within and across country‐of‐residence defined groups and examine the distributional nature of preferences with respect to marginal improvements in food safety. Using mixed logit models, we find that consumers in Canada, Japan, Mexico, and the United States have willingness to pay preferences that are nonlinear in the level of food safety risk reduction. In particular, consumers in Japan and Mexico have preferences that are convex and consumers in Canada and the United States have preferences concave in the level of food safety enhancement. Les inquiétudes entourant la sécurité alimentaire ont eu des répercussions considérables sur le marché du bétail et le marché des aliments au cours des dernières années. Nous avons examiné les préférences des consommateurs concernant l'assurance de la sécurité alimentaire de la viande de b?uf. Nous avons évalué dans quelle mesure les préférences des consommateurs étaient hétérogènes au sein de groupes établis selon le pays de résidence et entre ces groupes, et avons examiné la nature distributionnelle des préférences à l'égard des améliorations marginales de la sécurité alimentaire. L'utilisation de modèles logit mixtes nous a permis d'établir que la volonté de payer des consommateurs du Canada, du Japon, du Mexique et des États‐Unis étaient non linéaires lorsqu'il était question de diminuer le degré de risque concernant la sécurité alimentaire. Les préférences des consommateurs du Japon et du Mexique étaient convexes, tandis que celles des consommateurs du Canada et des États‐Unis étaient concaves lorsqu'il était question d'accroître le niveau de sécurité alimentaire.     

The Role of Farmer's Behavioral Attitudes and Heterogeneity in Futures Contracts Usage

The relationship between farmers' behavioral attitudes and use of futures contracts is examined, taking into account non-directly observable variables and the heterogeneity of farmers. The relationships are tested on a stratified data sample of 440 farmers. Cluster analysis and covariance structure equation models are used to validate the relationships. Farmers are found not to be homogenous regarding the factors influencing their use of futures. Heterogeneity at the segment level masked important effects at the aggregate level, notably risk attitude. Furthermore, several psychological constructs for farmers related to market orientation, risk exposure, market performance and entrepreneurial behavior play important roles in their use of futures contracts.     

Unravelling the dynamics of access to farmland in Tigray,Ethiopia: The ‘emerging land market’ revisited

This article uses ethnographic evidence from Tigray to revisit the debate on informal rural land markets in present-day Ethiopia. It explores informal farmland rental from a historico-anthropological, micro-analytical perspective in relation to the formal allocation of land use rights and to other informal land transfer practices. It shows how different rationales for land rental give rise to different socially embedded tenancy configurations. On the basis of this empirical evidence, the paper questions the appropriateness of the common idea that in Ethiopia ‘the land rental market is expanding’. It argues that research and policy thinking on land in Ethiopia could gain analytical power and relevance by adopting a less monolithic and abstract view on people's informal land transfer practices.     

Risk attitudes and the structure of decision‐making: evidence from the Illinois hog industry

Research offers mixed evidence about the risk management decision‐making process of producers. Whether producers’ characteristics drive behavior directly or through risk attitude remains a puzzle. We assess whether managerial/firm characteristics directly affect choices or if their influence occurs indirectly through impacts on risk attitude. The findings, which support indirect effects, indicate that failure to represent relationships between risk attitude, other characteristics, and behavior appropriately can mask the effect of risk attitude. A more complete understanding of the structure of decision‐making may assist economists, policymakers, and industry stakeholders in designing and targeting mechanisms to manage or transfer risk.     

Relationship marketing's role in managing the firm-investor dyad

This paper develops an interdisciplinary conceptual framework demonstrating the role of marketing in managing investor relationships. The framework illustrates how companies can turn investor relationships into market-based assets by analyzing and managing them from a relationship marketing and stakeholder perspective. Marketing can contribute to investor relationship management and increase shareholder value by lowering the cost of equity capital, increasing analyst coverage and stock liquidity, and reducing shareholder activism. An investigation among investor relations professionals working at publicly traded companies in the Euronext 100 stock index demonstrates the framework's empirical validity and provides managerial implications.     

Is Default Event Risk Priced in Corporate Bonds?

This article provides an empirical decomposition of the default,liquidity, and tax factors that determine expected corporatebond returns. In particular, the risk premium associated witha default event is estimated. The intensity-based model is estimatedusing bond price data for 104 US firms and historical defaultrates. Significant risk premia on common intensity factors andimportant tax and liquidity effects are found. These componentsgo a long way towards explaining the level of expected corporatebond returns. Adding a positive default event risk premium helpsto explain the remaining error, although this premium cannotbe estimated with high statistical precision.     

Effects of the redevelopment of an elementary school playground

The effects of the redevelopment of an elementary school playground were evaluated by comparing the situation before and after physical transformation. Observations produced data on the actual use during play time. Interviews were held with all the pupils on their perception and evaluation of the change. A group of adult experts judged the environment before and after the change on aspects like complexity, ‘manipulability’ and ‘affordance’ for different activities. An interview with the designer of the plan gave information about his intentions and expectations, especially regarding behavioural aspects. Data from these different sources are presented and related to each other.     

Sequential Decision-making in Interdependent Sectors with Multiobjective Inoperability Decision Trees: Application to Biofuel Subsidy Analysis

Decision-making involving large-scale systems often involves considerations for temporal changes, interdependencies in organizational structures, multiple competing objectives, and risk and uncertainty, among others. In this paper we develop a risk-based methodology, the Multiobjective Inoperability Decision Tree (MOIDT). It integrates several dimensions of decision-making processes associated with interconnected systems in terms of: (i) evaluation of sequential policies; (ii) analysis of interdependencies; (iii) treatment of multiple objectives and their tradeoffs; and (iv) characterization of uncertainties. To demonstrate the integration of these four components, we present a case study to analyze the impact of government policies towards mass-scale biofuel production. Using a multi-period decision framework, the analysis utilizes economic input–output data to model the probabilistic demand adjustments for sectors that will likely be affected by biofuel policies.