Quantifying the socio-economic determinants of sustainable crop production: an application to wheat cultivation in the Tarai of Nepal

This study specifies a procedure to quantify the determinants of sustainable crop production, and applies the method to wheat cultivation in the Tarai of Nepal. Three aspects of sustainability were considered. First, the fertility of the land was found to have deteriorated owing to long-term practices incompatible with soil and drainage conditions. Three-quarters of the farmers had reduced land fertility and for one-third of them the wheat yield was at least 20% lower than for farmers who applied farmyard manure to every crop and adopted a rotation consistent with soil and drainage conditions. Secondly, the study found that it was possible to improve resource-use efficiency in wheat production to give 25% higher production at current levels, type, and quality of farm resources. Resource-use efficiency was significantly related to farm management practices such as crop stand, variety, disease, and land preparation quality, and socio-economic factors such as off-farm job opportunities, poor plot accessibility, and migration. Thirdly, the increasing population pressure on land, decreasing livestock number per cropped area, and diminishing fuel wood sources, significantly reduced farm-based nutrient cycling because farmyard manure had to be used for fuel. This had implications for the higher use of the fossil-based inputs in crop production.     

Consumption-based CAPM models: International evidence

We examine the performance of several types of the consumption-based CAPM (C-CAPM) models to explore if consumption factors matter for determining excess returns across 17 MSCI country indexes. While the classic world C-CAPM does exhibit some power in explaining cross-sectional variations of expected excess returns, the model seems to require an implausibly large coefficient of risk aversion. The more sophisticated models including the heterogeneous C-CAPM, the world surplus consumption and the habit-formation models provide more reasonable estimates and add substantial explanatory power for the variation in the cross section of excess stock returns. Our results suggest that country-specific consumption risk is not fully diversified thus implying that stock returns are related to idiosyncratic consumption risk.     

MODELLING THE ADAPTATION OF BUSINESS CONTINUITY PLANNING BY BUSINESSES USING NEURAL NETWORKS

Business continuity planning is an important element of business continuity management and is regarded as a fundamental step towards reducing the negative impacts of business disruptions caused by internal and external hazardous events. Many businesses are not prepared for such events, and very few studies have tried to examine and model the factors that contribute to business continuity management planning by various companies. In this paper we propose and develop a feed‐forward neural network for modelling businesses continuity planning by businesses based on a dataset of 283 businesses operating in the Greater Toronto Area in Ontario, Canada. The fully connected neural network applied was trained on 65 % of the dataset records using different subsets of input variables. In order to preserve the generalization ability of the trained network, 15 % of the dataset records were used as a validation set for early stopping during the network's training process. Prediction capability of the trained networks was evaluated on 20 % and never‐seen records of the dataset. The classification ability of the networks was then analysed using receiver operating characteristic and detection error trade‐off curves, where the results obtained were promising. The equal error rate for the best models was 12 %, which reflects a very good accuracy of these models in predicting the existence of business continuity planning for a generic company. Copyright © 2011 John Wiley & Sons, Ltd.     

The impact of news,oil prices,and global market developments on Russian financial markets1

This paper analyses the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of US stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non‐bank financial institutions that matters more for the globalization of Russian bond markets.     

Information flows within and across sectors in Chinese stock markets

We examine the patterns of information flows within and across sectors of the two Chinese stock exchanges in Shanghai and Shenzhen during 1994–2001. Using the generalized forecast error variance decomposition, we find a high degree of interdependence, indicating that the sectors are highly integrated and sector prices reflect information from other sectors. Industry is the most influential sector in both exchanges, while Finance in Shenzhen is the least integrated with other sectors. Implications of the findings for investors and policymakers are also discussed.     

Estimation of the scale matrix of a multivariate t-model under entropy loss

This paper deals with the estimation of the scale matrix of a multivariatet-model with unknown location vector and scale matrix to improve upon the usual estimators based on the sample sum of product matrix. The well-known results of the estimation of the scale matrix of the multivariate normal model under the assumption of entropy loss function have been generalized to that of a multivariatet-model. The paper is based on the first author’s unpublished Ph.D. dissertation ‘Estimation of the Scale Matrix of a Multivariate T-model’, University of Western Ontario, Canada. Present address: School of Mathematics and Statistics, The University of Sydney, NSW 2006, Australia.     

Real (adaptation) options and the valuation of equity: some empirical evidence

Data from 1,374 firms across four broad industrial groupings are used to assess the contribution that real (adaptation) options make to overall equity values. The analysis indicates that real (adaptation) options make a significant contribution to the equity value of firms with a market to book ratio (of equity) of around unity or less. As the market to book ratio grows beyond this level, however, the contribution made by real (adaptation) options decays quickly away and equity values are mainly comprised of the present value of the dividends that firms are expected to pay. This means that for around one in every five of the firms in our sample real (adaptation) options make a significant contribution to overall equity value. Thus, while linear equity valuation models would seem to be appropriate for the substantial majority of firms on which our sample is based, there is a sizeable minority of firms where real (adaptation) options have a significant impact on equity values. For this latter group of firms there will be a non-linear relationship between equity value and its determining variables. This has important implications for the regression procedures that are applied in this area of accounting research.     

A study of several new and existing tests for heteroscedasticity in the general linear model1

Several optimum non-parametric tests for heteroscedasticity are proposed and studied along with the tests introduced in the literature in terms of power and robustness properties. It is found that all tests are reasonably robust to the Ordinary Least Squares (OLS) residual estimates, number and character of the regressors. Only a few are robust to both the distributional and independence assumptions about the errors. The power of tests can be improved with the OLS residual estimates, the increased sample size and the variability of the regressors. It can be substantially reduced if the observations are not normally distributed, and may increase or decrease if the errors are dependent. Each test is optimum to detect a specific form of heteroscedasticity and a serious power loss may occur if the underlying heteroscedasticity assumption in the data generation deviates from it.     

Equilibrium in abstract economies without ordered preferences and with a measure space of agents

We report a generalization of Aumann's (1966) existence theorem to economies without ordered preferences and with externalities in consumption. Our work can alternatively be viewed as a generalization of the Shafer–Sonnenschein (1975) theorem to economies with a continuum of agents.