On the Statistical Significance of Event Effects on Unsystematic Volatility

We develop a method for determining the significance of the effect of a certain event (stock split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset returns. Simulations show that the suggested tests reject the true null hypothesis of no effect on volatility at appropriate levels, whereas the rejection rates of a false null hypothesis increase with the magnitude of the effect. An application of the method to corporate spin‐offs reveals statistically significant and long‐lasting estimated increases in unsystematic volatility of parent companies' returns.     

Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures

This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer "newsworthy," that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest-time corn price expectations, which are uncovered using a Hamilton-type modeling approach. Results show that reports are still "newsworthy," as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis.     

Is your vision consistent?: A method for checking, based on scenario concepts

Common sense tells us that the future is an essential element in any strategy. In addition, there is a good deal of literature on scenario planning, which is an important tool in considering the future in terms of strategy. However, in many organizations there is serious resistance to the development of scenarios, and they are not broadly implemented by companies. But even organizations that do not rely heavily on the development of scenarios do, in fact, construct visions to guide their strategies. But it might be asked, what happens when this vision is not consistent with the future? To address this problem, the present article proposes a method for checking the content and consistency of an organization's vision of the future, no matter how it was conceived. The proposed method is grounded on theoretical concepts from the field of future studies, which are described in this article. This study was motivated by the search for developing new ways of improving and using scenario techniques as a method for making strategic decisions. The method was then tested on a company in the field of information technology in order to check its operational feasibility. The test showed that the proposed method is, in fact, operationally feasible and was capable of analyzing the vision of the company being studied, indicating both its shortcomings and points of inconsistency.     

Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data

Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this article, the authors consider potential nonlinear dynamics within FTSE‐100 index and index‐futures. Such nonlinearity can be rationalized by the existence of transactions costs or through the interaction between informed and noise traders. They consider several empirical models designed to capture these alternative dynamics. Their empirical results provide evidence of a stationary basis term, and thus cointegration between index and index‐futures, and the presence of nonlinear dynamics within that relationship. The results further suggest that noise traders typically engage in momentum trading and are more prone to this behavior type when the underlying market is rising. Fundamental, or arbitrage, traders are characterized by heterogeneity, such that there is slow movement between regimes of behavior. In particular, fundamental traders act more quickly in response to small deviations from equilibrium, but are reluctant to act quickly in response to larger mispricings that are exposed to greater noise trader price risk. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:343–368, 2006     

Harmonizing the interests of a city and its region: Krasnoyarsk krai experience

The paper focuses on the emerging system of territorial strategic planning in the constituent entities of the Russian Federation and municipalities. Suggested for practical application are the best Russian research studies and practices of coordinating the interests of municipal and regional authorities. The analysis of scholarly approaches to the issue in focus allows one to infer that the best elaborated position is that of the staff of the North-Western Office of the Russian Research Center for Local Governance (RRCLG). As regards the express-analysis of practices adopted in the number of the Russian Federation constituent entities, the practices of the Krasnodar krai appear to be the most promising.     

Dynamic scoring: Alternative financing schemes

Neoclassical growth models predict that reductions in capital or labor income tax rates are expansionary when lump-sum transfers are used to balance the government budget. This paper explores the consequences of bond-financed tax reductions that bring forth a range of possible offsetting policies, including future government consumption, capital tax rates, or labor tax rates. Through the resulting intertemporal distortions, current tax cuts can be expansionary or contractionary. The paper also finds that more aggressive responses of offsetting policies to debt engender less debt accumulation and less costly tax cuts.     

Social Capital and the Terms of Trade for Farmland

Social capital is a person or group's sympathy for or sense of obligation to another person or group. This article introduces social capital into a neoclassical model of farmland exchange and shows how relationships alter the terms of trade. Empirical evidence from a survey of farmers shows that the type of relationship farmland sellers have with farmland buyers has a statistically significant and economically important effect on the minimum-sell price for farmland. Compared to the minimum-sell price when selling to a total stranger in an arm's-length transaction, farmland sellers discount prices to friendly neighbors and relatives and require a premium from unfriendly neighbors and influential people in the community.