Dynamic Relationships in the Market for Ocean Grain Freighting Services

A vector autoregressive model containing ocean grain freight rates, grain shipments, idled tonnage, new carrier deliveries and fuel prices is used to evaluate dynamic linkages in the ocean grain transport market. Dynamic relationships are of particular importance in ocean freighting months because freighting services are often contracted several months before shipment. In addition, such markets may be slow to adjust to shocks because of significant short-run fixities in shipping services. Ocean grain freight rates are found to be responsive to fuel prices and new ship deliveries, but are not affected by demand shocks. Ship idling rates are found to be sensitive to fuel prices, grain shipments and freight rates. Significant adjustment lags are revealed.     

Asymptotic analysis for optimal investment and consumption with transaction costs

We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost . The utility function is of the form U(c) = c^1-p/(1-p) for p > 0, . We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of , and we also obtain asymptotic results on the boundary of the no-trade region.Received: July 2003, Mathematics Subject Classification (1991): 90A09, 60H30, 60G44JEL Classification: G13Work supported by the National Science Foundation under grants DMS-0103814 and DMS-0139911.     

The pregnant applicant: normal alterations in physiologic parameters and testing

Pregnancy affects virtually every organ system, and "baseline" normal laboratory test levels change throughout gestation.     

Cocaine revisited

Insurance companies often test applicants for the presence of cocaine. Because a positive test may automatically preclude further consideration, such cases often never reach the medical director. The negative impact of cocaine use on insurability is reviewed.     

The predictive ability paradox in behavioral accounting research

The purpose of this brief paper is to illustrate a problem with certain “types” of behavioral experiments predicated on a test of predictive ability. Such studies possess the following common characteristics: (1) They employ the implicit prediction models of individual human subjects; (2) They utilize as criteria for assessing predictive usefulness events whose outcomes cannot be independent of expectations about them (e.g. bankruptcy); (3) They use historical values for both criterion events and treatment factors. The difficulty with such experimental designs lies in the necessity to assume unalterable prior behavior in order to utilize a known value for the criterion event. Such an assumption makes it difficult to demonstrate the predictive usefulness of any information treatment factors.     

A Test of a Buying Rule for "Underpriced" Apartment Buildings

Apartment-building repeat-sales data are used to test a trading rule. Property values are estimated through regression; if the actual price is less than the estimated value, the property may be "undervalued." Returns are calculated for these "undervalued" properties and adjusted for risk using the Sharpe ratio. A test is done of whether these ratios are significantly different for different portfolios. The "undervalued" properties have higher appreciation returns, but once these are adjusted for risk, the differences in returns are not significant. The paper contributes to the real estate efficiency literature and suggests a workable method for comparing the performance of real estate portfolios on a risk-adjusted basis.