Contract modifications and the basis behavior of live cattle futures

The purpose of this study was to assess the basis behavior of the Live Cattle Futures contract at the Chicago Mercantile Exchange (CME) before and after the 1995 contract changes. Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level. Within a regression model with heteroskedascity error framework, we found that the level of nearby basis in the period after June 1995 has shifted lower and the average monthly open interest of net commercial long positions has substantially increased after the contract modifications. These empirical results are consistent with the notion that more long activity entered the market in response to the contract modifications. Additionally, an alternative (new) measure of basis calculation (cash price minus weighted mean futures price) produced similar results to two other commonly used measures. In conclusion, the 1995 contract changes have neither increased nor decreased the volatility of live cattle basis. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:557–590, 2004     

EARNINGS EXPECTATIONS, FIRM SIZE, AND THE INFORMATIVENESS OF STOCK PRICES

The notion that prices impound a wide array of information, including market expectations, has led to earnings forecast models conditioned on prices. Yet, presumably, analysts' forecasts capture both public information and certain private information not previously impounded in prices. Accordingly, price-based models are seemingly an inefficient, and less effective, source of expecta-tions. This article investigates this hypothesis using financial analysts', price-based, and naive forecasts. Results indicate that analysts' forecasts (1) are at least as accurate as price-based and naive models, and (2) yield better expectations for market tests relating returns and earnings. These inferences are robust across different information environments. The evidence suggests that analysts either possess private information or are more effective information processors, or both.     

A Comparison of Cost of Equity Estimates of Local and Global CAPMs

Cost of equity estimates are compared for three pricing models: the traditional local CAPM, the single (market) factor global CAPM, and the two‐factor global CAPM, with both market and currency index factors. For 2989 US stocks, the average difference in the cost of equity estimates is about 48 basis points between the local CAPM and the single‐factor global CAPM, and is about 61 basis points between the two global models. For 70 developed‐market ADRs, the corresponding average differences are 76 and 47 basis points, respectively. For 48 emerging‐market ADRs, the corresponding average differences are 57 and 70 basis points.     

Immigration and the Global City Hypothesis: Towards an Alternative Research Agenda

The debate around the ‘Global City Hypothesis’ (GCH), and particularly the research agenda of the ‘Globalization and World Cities’ network, have been preoccupied recently with the business and technological dimensions of so–called ‘global cities’. This article seeks to recover the role of immigration in large urban economies. Using mainly observations from European metropolises, I argue first that the GCH requires significant revision insofar as it can be used as a tool for addressing issues of inequality, and I offer five propositions for a renewal of the existing contours of the GCH. Second, beyond these revisions, I suggest a complete reformulation of the debate by linking it with ideas emanating from the literature on transnationalism. Le débat sur ‘l’Hypothèse de la ville globale’, et notamment sur le programme de recherche du réseau ‘Mondialisation et Villes mondiales’, s’est récemment soucié des dimensions économiques et technologiques des dites ‘villes planétaires’. Cet article tente de révéler le rôle de l’immigration dans les grandes économies urbaines. A partir d’observations de métropoles européennes principalement, il affirme d’abord que, dans la mesure où cette hypothèse peut servir d’outil pour aborder les questions d’inégalité, elle requiert une importante révision; sont donc exposées cinq propositions pour en renouveler les profils existents. Il suggère ensuite une reformulation complète du débat en l’associant à des idées émanant de travaux sur le transnationalisme.