Volatility Spillover from the Fear Index to Developed and Emerging Markets

This article examines cross-market volatility linkages among the fear index (VIX), the developed-market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the first moments of volatilities reveals that the fear index has a leading role and has information content for VXEFA and VXEEM. A shock to the fear index spillovers to VXEFA and VXEEM and contributes 57.07% and 63.77% to their shocks, respectively. Further analysis on the second moments of volatilities confirms that the volatility indices are highly dynamically correlated while the fear index drives the correlation dynamics with the VXEEM. Correlations increase in turbulent periods and decrease in tranquil periods.     

The Doha Round of the World Trade Organization and Agricultural Markets Liberalization: Impacts on Developing Economies

We investigate the impacts of multilateral removal of all border taxes and farm programs and their distortions on developing economies, using a world agriculture partial equilibrium model. We quantify changes in prices, trade flows, and production locations. Border measures and farm programs both affect world trade, but trade barriers have the largest impact. Following removal, trade expansion is substantial for most commodities, especially dairy, meats, and vegetable oils. Net agricultural and food exporters emerge with expanded exports; net importing countries with limited distortions before liberalization are penalized by higher world prices and reduced imports. We draw implications for current World Trade Organization negotiations.     

A model of entry–exit decisions and capacity choice under demand uncertainty

Many investment decisions of agribusiness firms, such as when to invest in an emerging market or whether to expand the capacity of the firm, involve irreversible investment and uncertainty about demand, cost or competition. This paper uses an option‐value model to examine the factors affecting an agribusiness firm's decision whether and how much to invest in an emerging market under demand uncertainty. Demand uncertainty and irreversibility of investment make investment less desirable than the net present value (NPV) rule indicates. The inactive firm is more reluctant to enter the market when it takes into account demand uncertainty because it preserves the opportunity of making a better investment later. The active firm is more reluctant to abandon the investment because there is an option value of keeping the operation alive. There is a greater distance between the entry and exit thresholds under the option‐value approach than under the NPV rule due to demand uncertainty. The results have implications for agribusiness decision‐making.     

BUSINESS INTELLIGENCE (BI) SUCCESS AND THE ROLE OF BI CAPABILITIES

Business intelligence (BI) has become the top priority for many organizations who have implemented BI solutions to improve their decision‐making process. Yet, not all BI initiatives have fulfilled the expectations. We suggest that one of the reasons for failure is the lack of an understanding of the critical factors that define the success of BI applications, and that BI capabilities are among those critical factors. We present findings from a survey of 116 BI professionals that provides a snapshot of user satisfaction with various BI capabilities and the relationship between these capabilities and user satisfaction with BI. Our findings suggest that users are generally satisfied with BI overall and with BI capabilities. However, the BI capabilities with which they are most satisfied are not necessarily the ones that are the most strongly related to BI success. Of the five capabilities that were the most highly correlated with overall satisfaction with BI, only one was specifically related to data. Another interesting finding implies that, although users are not highly satisfied with the level of interaction of BI with other systems, this capability is highly correlated with BI success. Implications of these findings for the successful use and management of BI are discussed. Copyright © 2012 John Wiley & Sons, Ltd.     

Ant colony optimization for the single model U-type assembly line balancing problem

An assembly line is a production line in which units move continuously through a sequence of stations. The assembly line balancing problem is defined as the allocation of tasks to an ordered sequence of stations subject to precedence constraints with the objective of optimizing a performance measure. In this paper, we propose ant colony algorithms to solve the single-model U-type assembly line balancing problem. We conduct an extensive experimental study in which the performance of the proposed algorithm is compared against best known algorithms reported in the literature. The results indicate that the proposed algorithms display very competitive performance against them.     

Identifying price linkages: a review of the literature and an application to the world market of cotton

This paper reviews the literature of price linkages and examines the degree to which cotton prices are linked; it also tests whether such linkages have improved over the last decade. It concludes that the degree of linkage has improved over the last decade while the main source of this improvement appears to be a result of short-run price transmission and to a lesser extent long-run co-movement.     

TWO DCF APPROACHES FOR VALUING COMPANIES UNDER ALTERNATIVE FINANCING STRATEGIES (AND HOW TO CHOOSE BETWEEN THEM)

This is the sequel to the authors' 1989 article discussing the two basic discounted cash flow approaches for valuing debt-financed transactions and corporations: weighted average cost of capital (WACC) and adjusted present value (APV). The WACC method discounts all after-tax (but pre-interest) cash flows at the company's weighted average cost of capital. The APV method treats the value of a levered firm as the value of the same firm if financed entirely with equity plus the discounted value of the interest tax shields from the debt its assets will support. The authors argue that the WACC approach is more practical if the firm intends to hold its (market) leverage ratio relatively constant over time, but that the APV technique is the preferred method if the firm plans to reduce its leverage ratio according to a pre-determined schedule (as tends to be the case in highly leveraged transactions).     

Efficiency, Ownership and Market Structure, Corporate Control and Governance in the Turkish Banking Industry

Turkish banks are quite heterogeneous in terms of organizational form, ownership structure, size, age, portfolio concentration, growth prospects and attitude toward risk. They also exhibit strong variations in performance as measured by several efficiency indices. In the light of theoretical advances in corporate finance and financial institutions, this paper is an in-depth cross-sectional analysis of the Turkish banking sector, which explores the various bank, market and regulatory characteristics that may explain the efficiency variations across banks. Consistent with the related hypotheses investigated, the results indicate that a number of independent bank characteristics are significantly correlated with various efficiency measures.