The Demand for Hedging and the Value of Hedging Opportunities

Hedging strategies typically assume that hedging is costless and that only one futures market exists. When these assumptions are dropped, the demand for hedging is shown to depend on basis risk, price risk, and the hedger's risk preference. The marginal and incremental value of hedging opportunities are computed for the general cases of one and two markets and applied to the specific case of Pennsylvania dairy input hedging.     

Socially responsible investment fund performance: the impact of screening intensity

Perhaps the most common criticism of socially responsible investment funds is that imposing non‐financial screens restricts investment opportunities, reduces diversification efficiencies and thereby adversely impacts performance. In this study we investigate this proposition and test whether the number of screens employed has a linear or curvilinear relation with return. Moreover, we analyse the link between screening intensity and risk. Screening intensity has no effect on unadjusted (raw) returns or idiosyncratic risk. However, we find a significant reduction in α of 70 basis points per screen using the Carhart performance model. Increased screening results in lower systematic risk – in line with managers choosing lower β stocks to minimize overall risk.     

Aggregation and the Nature of Price Expectations

Market liquidity requires differences of opinion among traders, but market behavior is often modeled using just one representative agent. This paper aggregates trading activity across many traders, at least one of which has rational expectations. Equilibrium price expectations depend on individual risk preferences and the expectations of all traders. Results indicate that positive feedback traders comprise a statistically significant minority of traders that has grown with the prevalence of commodity pools.     

Mobilizing consent: paternalism and cellular manufacturing

In this paper we explore the dynamics of the introduction of New Systems and Structures of Work Organization (NSSWO) in the context of the forces impacting upon organizational change in the unionized sector of manufacturing industry throughout the Thatcher period. This we do by way of a detailed case study of a major UK auto-components manufacturer. We explore a number of changes in work organization, including the introduction of a cellular-based system of manufacturing, from its initial strategic conception through to its implementation; the delegation of responsibility for quality to shop-floor operators and the use of more flexible working practices. In doing so, we reconsider the context of change, the detailed processes of change and the pattern of accommodation between labour and management. Drawing upon our previous work on the nature of paternalism (Ackers,and Black, 1991), we explore its significance in terms of management’s constant drive for more economic work practices and patterns of organization. Specifically we explore the significance of paternalism as a relevant concept in interpreting the case, and hence, also, as a relevant concept in understanding HRM. The case challenges the prevailing ideology that the ‘successful’

economic organization requires (a) a de-regulated labour market and (b)

a trade union free environment, or, failing this, that management needs to

develop an individualistic approach towards the work-force, moving from the

more pluralist‘industrial relations’approach towards an essentially ‘unitarist framework, as found in certain interpretations of ‘uman resource management’(Guest, 1987)

The paper is thus a contribution to the continuing analysis of those ‘tensions and struggles through which the open ended potential of labour power have been managed, through shifting patterns of coercion, accommodation and compliance into profitable forms of production’(Elger and Smith, 1994: 12; Thompson, 1990). By means of this case we attempt to explore this issue with respect to three interconnected

themes:

The place of paternalism as a relevant concept in the age of HRM.

The extent to which organizations may be better advised to look towards ways

to build upon their existing organization culture, rather than seeking solutions

from overseas models.

Linking with previous work on the ‘Joint Process’in the US (Black and Ackers, 1994), the paper raises issues concerning the ‘strategic issue . . . which managers have to face . . . the balance between joint regulation and joint consultation’(Storey and Sissons, 1993: 221), and hence the role of trades unions in organizational change programmes.     

Making out and making do: how employees resist and make organisational change work through consent in a UK bank

This article draws on fieldwork conducted in the back‐office of a major retail UK bank and explores how, when introducing change, management drew on contradictory normative and rational discourses. Its primary concern is to explore how, in this context, employees engaged in contradictory acts that combined elements of both resistance (‘making out’) and consent (‘making do’) that are difficult to disentangle. It is argued that although both are moves within the game, they can be distinguished from each other because the former works against the grain of corporate intentions, whereas the latter works with them.     

Examining the Information Content of Residuals from Hedonic and Spatial Models Using Trees and Forests

The Journal of Real Estate Finance and Economics - Machine learning algorithms such as neural nets, support vector machines, and tree-based techniques (classification and regression trees) have...     

Spin‐outs: knowledge diffusion through employee mobility

In many industries, one important method of diffusion is through employee mobility: many of the entering firms are started by employees from incumbent firms using some of their former employer's technological know‐how. This article explores the effect of incorporating this mechanism in a general industry framework by allowing employees to imitate their employers' know‐how. The equilibrium is Pareto optimal because the employees “pay” for the possibility of learning their employers' know‐how. The model's implications are consistent with data from the rigid disk drive industry. These implications concern the effects of know‐how on firm formation and survival.     

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

This article shows how to evaluate the performance of managedportfolios using stochastic discount factors (SDFs) from continuous-timeterm structure models. These models imply empirical factorsthat include time averages of the underlying state variables.The approach addresses a performance measurement bias, describedby Goetzmann, Ingersoll, and Ivkovic (2000) and Ferson and Khang(2002), arising because fund managers may trade within the returnmeasurement interval or hold positions in replicable options.The empirical factors contribute explanatory power in factormodel regressions and reduce model pricing errors. We illustratethe approach on US government bond funds during 1986–2000.     

Decoupled Farm Payments and Expectations for Base Updating

The degree to which U.S. farm programs are decoupled from production has been a central issue in recent trade disputes. Several authors have suggested producer expectations for base acreage and yield updating in future farm bills create an incentive to alter planting and input decisions. This article reports analysis of the subjective expectations of producers for base updating and an analysis of the effect these expectations have on producer willingness to accept a buyout of the right to update. On average, producers think the chances of updating in the next farm bill are about 40%, but less than 17% indicate adjusting acreage or yields in anticipation of updating.