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     

Tinbergen in De Economist

Jan Tinbergen's scientific writings cover six main areas of research. His articles in De Economist represent these areas; in some cases the contributions to De Economist were of a pioneering nature (business cycles, economic models, economic integration); in others De Economist was the first or even single outlet for Tinbergen's work. This article provides an overview of these contributions. The wide scope of Tinbergen's areas of research goes together with a unity in approach, the characteristics of which are: policy relevance, quantification and measurement, balance in analysis and presentation, and learning from experience. Tinbergen's articles in De Economist bear witness to this approach which at the time also met with scepticism and resistance as this overview shows. According to Houthakker, Tinbergen's main contribution may be that, amidst the pleas of interest groups and the slogans of the laity, an attempt is made that the voice of the professional economic researcher be heard. Tinbergen's work still sets an agenda for both economic research and policy making.     

Preliminary Assessment of Contaminants in Soft Sediments of the Detroit River

Soft sediments from the Detroit River were analyzed for the USEPA priority pollutants to generally characterize contaminant distribution. Forty-three were detected. Highest heavy metal concentrations were found in the Trenton Channel and immediately downstream of Grosse Ile. They ranged from an area mean (N = 2) of 0.19 mg/kg mercury to 338.7 mg/kg zinc (dry weight). Polynuclear aromatic hydrocarbons ranged from 0.1 mg/kg to 38.8 mg/kg (mean, N = 2) with the highest levels near Grosse Ile. PCBs ranged from 0.015 mg/kg to 1.7 mg/kg (mean, N = 2). Organochlorine pesticides were not detected except for a trace of heptachlor in one sample. Sediment contamination in the Detroit River is widespread with higher concentrations on the U.S. side downstream of the Rouge River and in the Trenton Channel. The significance of these in-place pollutants to biota and as a source to Lake Erie is still unknown.     

Simultaneous visualisation of biofouling, organic and inorganic particle fouling on separation membranes.

Fouling is a major problem in membrane processes of water treatment. It can be caused by the deposition of inorganic and organic particulate material, and of microbial cells which may subsequently form biofilms. In practice, usually more than one foulant participates in the formation of membrane deposits. Knowledge of the composition of fouling layers is important for the development of appropriate countermeasures. For this purpose, an experimental system was established for the generation and microscopic visualisation of mixed deposits, using fluorescently labelled model foulants: (i) drinking-water bacteria stained with nucleic acid-specific dyes (biofouling), (ii) synthetic clay mineral laponite stained with rhodamine 6G (inorganic particle fouling), and (iii) fluorescently labelled polystyrene microspheres (organic particle fouling). Polycarbonate and polyethersulfone membranes were challenged with these foulants by dead-end filtration. On the basis of different fluorescent labels, the single foulants in these mixed deposits could be visualised separately by confocal laser scanning microscopy which, in combination with image analysis, allowed the generation of three-dimensional views of the complete deposits. This method offers the possibility for the estimation of quantitative surface coverage by foulants and for the determination of the efficacy of cleaning measures with respect to the removal of different foulants.     

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.