The effect of liquidity constraints on futures hedging

This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal futures position is constant regardless of the parameter values and increases as the spot position or the conventional hedge ratio increases. When the capital allocation is small, the hedger tends to ignore this restriction and chooses a larger position. Consequently, the optimal position may decrease as the capital allocation increases. For a moderate capital allocation, the optimal position increases with an increasing capital allocation. Similar properties are established for exponential utility functions. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:603–613, 2003     

Comparison of hospital length of stay and hospitalization costs among patients with non-valvular atrial fibrillation treated with apixaban or warfarin: An early view

Objective: To quantify and compare hospital length of stay (LOS) and costs between hospitalized non-valvular atrial fibrillation (NVAF) patients treated with either apixaban or warfarin via a large claims database.

Methods: Adult patients hospitalized with AF were selected from the Premier Perspective Claims Database (01JAN2013-31MARCH2014). Patients with evidence of valvular heart disease, valve replacement procedures, or pregnancy during the index hospitalization were excluded. Patients treated with apixaban or warfarin during hospitalization were identified. Propensity score matching (PSM) was performed to control for baseline imbalances between patients treated with apixaban or warfarin. Primary outcomes were hospital LOS (days), post-medication administration LOS, and index hospitalization costs, and were compared using paired t-tests in the matched sample.

Results: Before PSM, 2894 apixaban and 124,174 warfarin patients were identified. Patients treated with warfarin were older and sicker compared to those treated with apixaban. After applying PSM, a total of 2886 patients were included in each cohort, and baseline characteristics were balanced. The mean (standard deviation [SD] and median) hospital LOS was significantly (p?=?0.002) shorter for patients treated with apixaban for 5.1 days (5.7 and 3) compared to warfarin for 5.5 days (4.8 and 4). The trend appeared consistent in the hospital LOS from point of apixaban or warfarin administration to discharge (4.5 vs 4.7 days, p?=?0.051). Patients administered apixaban incurred significantly lower hospitalization costs compared to those administered warfarin ($11,262 vs $12,883; p?<?0.001).

Conclusions: Among NVAF patients, apixaban treatment was associated with significantly shorter hospital LOS and lower costs when compared to warfarin treatment.     

Firm Value,Corporate Cash Holdings and Financial Constraint: A Study from a Developing Market

This paper investigates the nonlinear relationship between firm value and corporate cash holdings in a sample of non‐financial Vietnamese firms from 2008 to 2013. We focus on both static and dynamic regressions to test for a nonlinear relationship. Our results reveal an ‘inverse U‐shape’ relationship between firm value and cash holdings, which is in line with trade‐off theory. Specially, we further test whether the optimal cash level changes under different financial conditions. In turn, this paper shows evidence of a nonlinear relationship between firm value and cash holdings under different financial circumstances and that each type of firm will adjust its optimal cash level based on business conditions.     

Properties of first-time vs. repeat visitors: lessons for marketing Norwegian ski resorts

This paper explores the potential in foreign markets for winter tourism in Norway and discusses the influencing factors explaining why foreign tourists visit and revisit Norway on ski vacations. In a decreasing market, it becomes increasingly important to destination managers and marketers to choose the right marketing strategies and direction. We focus on characteristics that influence and explain why foreign tourists choose to return. More than 3000 respondents from Sweden, Denmark, and Germany were asked for their image of Norwegian ski destinations and criteria for winter vacation selection. We fitted mainly hurdle and quantile regressions to gain consistent and less biased estimates. Stable snow conditions, combining alpine and cross-country skiing, and no fees for the latter are some of Norway's competitive but seldom marketed advantages, and especially towards repeat visitors. Repeaters typically prefer self-catering accommodation and are less price sensitive. Surprisingly, foreign ski tourists are not very interested in other snow-based activities or cultural attractions. Despite repeaters constituting the majority of foreign ski tourists, neither the national development and marketing agency (Innovation Norway) nor local tourist organizations and marketers have a strategy for targeting them. We recommend a shift from profile marketing towards segmented marketing, aimed especially at the repeat-visitor segment.     

A Note on Loss Aversion and Futures Hedging

This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant‐absolute‐risk‐aversion utility function, I show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futures market is in backwardation or contango. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 681–692, 2001     

Asymmetric effects of cultural institutes on trade and foreign direct investment

The purpose of a cultural institute is to improve international relations with other countries by promoting language familiarity and cultural awareness. In addition, cultural institutes can provide additional business opportunities that lead to positive economic side effects such as increases in trade and foreign direct investment (FDI). In this study, gravity models were used to analyse the data for the Goethe Institut (Germany), the Cervantes Institute (Spain) and the Confucius Institute (China) to identify any stylised international patterns of the documented economic effects. The study finds significant positive effects on bilateral trade and FDI outflows for all three programmes, along with two important (i) the effects are stronger for non‐advanced economies and (ii) the effects are substantially larger on FDI than on trade. These results suggest that cultural institutes can be an effective policy tool in promoting FDI outflows, with the strongest effect realised when a home country locates its cultural institutes in host countries with developing economies. Importantly, results also suggest that the Chinese government's approach to extend its soft power through rapid expansion of Confucius Institutes worldwide has not been as successful as the efforts by the German Goethe Institut in increasing trade and FDI.     

Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?

The calculation of the hedge ratio, and therefore the effectiveness of the hedge, is dependent upon the correct specification of the relationship between the futures and spot price. Likewise, a forecast of the future spot or futures price is dependent upon the model specification. This article investigates the appropriateness of using a threshold cointegrated model of the natural gas markets as the basis for hedging and forecasting. The findings suggest that the threshold model is more appropriate for longer contract length and that the threshold model does not offer much improvement in hedging or forecasting efficiency.     

International ambidexterity and firm performance in small emerging economies

Conventional IB theories stress the importance and implications of a firm's exploitative strategy. However, the unprecedented competitive nature of contemporary business necessitates firm “ambidexterity” — the simultaneous execution of exploitation and exploration activities. Using balanced panel data of 207 Taiwanese firms spanning six years, this research examines the effects of international ambidexterity on firm performance. Findings reveal that ambidexterity promotes a firm's performance. For firms from small emerging economies, international ambidexterity is highly vulnerable to environmental complexity and sensitive to previous international experience and the firm's capability to conduct international business. These factors significantly moderate firm performance.     

Aggregate Australian Takeovers: A Review of Markov Regime Switching Models

This article reviews the case of modeling merger waves in the Australian market for the period 1972–2004. Three Markov switching models are examined, the Gaussian AR(1), Poisson AR(1), and State‐Space autoregressive moving average (ARMA) (1,1), to find which gives the best fit. The State‐Space Markov switching ARMA(1,1) model is found to be the best for describing Australian takeover activity as estimation results based on it have a lower Bayesian information criterion score than the other two models. Each model's ability to predict a ‘wave’ is then tested by including its estimated probability in a macroeconomic model to explain merger activity. The State‐Space model also performs better because the inclusion of its estimated probability substantially increases the explanatory power of the regression model (measured by the regression adjusted R²). In addition, it predicted a takeover wave in 2009, which was closer to the actual incidents of takeover activity in the market at that time than the predictions of the other two models. The results are robust when the measure of takeover activity is changed from the number of takeover bids to the proportion of takeover bids relatively to the number of exchange‐listed companies. JEL classification: G34, C32.