Do commodities make effective hedges for equity investors?

The purpose of this paper is to evaluate whether commodities are effective hedges for equity holders. We employ three different methodologies to calculate time varying hedge ratios. First, we examine time-varying hedge ratios and how much portfolio risk can be reduced relative to a long position in the S&P 500. We calculate hedge ratios from realized variances and covariances; second, we estimate a recursive multivariate GARCH (BEKK) model and calculate the hedge ratios from the estimated covariances; and thirdly, we calculate the hedge ratios by estimating recursive OLS regressions. The results of our paper are very clear. First, commodities are not effective hedges for the S&P 500. Equity market investors and asset managers looking for a way to manage and reduce portfolio risk will be well advised to search for alternative hedges for the S&P 500 than commodities. Second, our results do not support the claim that commodities were a good hedge for the equity market during the financial crisis.     

Motives for partial acquisitions between firms in the spanish stock market

The paper analyses the motivations for inter-company investment on the Spanish Stock Market through the study of a sample of significant acquisitions reported to the CNMV (the Spanish Securities and Exchange Commission) by quoted firms. By analysing the sign of the cumulative abnormal returns (CAR) and of the correlations among the gains produced by the operation, an attempt is made to find out which motives predominate of the three most important ones suggested by the literature for takeovers: synergy, agency and hubris. Empirical evidence is presented that in the Spanish Stock Market the main motive for acquiring a holding is similar to synergy, especially in partial acquisitions with positive total gains. However, in the samples with negative total gains a main motive similar to hubris always appears. The analysis takes into account the size of the investment and distinguishes between the first report and subsequent ones. Results are similar to those obtained by other authors for takeovers in the US Stock Market, except that in this sample, agency motives do not appear clearly.     

An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

This article employs the asymmetric dynamic conditional correlation (DCC) model to assess impacts of the recent sovereign debt crisis on the time-varying correlations of five European financial institutions holding large amounts of Greek sovereign bonds (National Bank of Greece, BNP Paribas, Dexia, Generali, and Commerzbank). Contrary to the results of preceding studies, we find significant increases in the correlations between several combinations of the financial institutions’ stock returns after the inception of the sovereign debt crisis, indicating contagion effects. Moreover, our findings show that the parameter of the standardized negative residuals is statistically significant in the case of DCC estimates between two specific institutions. This suggests that the conditional correlation of stock returns between the two institutions is more significantly influenced by negative shocks than by positive innovations to return.     

Book reviews

Natural hazards have become increasingly frequent in the Philippines, making the determination of risks associated with large-scale natural hazards and disasters in this area increasingly important. This study developed a method for estimating the risk of disasters from multiple hazards in this country at the province level. The locational probability and consequences of five natural hazards were analyzed over a 30-year period (1982–2011), and the disaster-risk potential of provinces was estimated based on the combined damage cost per capita from five hazards over that period. Information from the Center for Research on the Epidemiology of Disasters Emergency Disasters Database (CRED-EMDAT) was used to analyze the areas and populations affected, damage costs, and frequency and duration of five hazards (i.e. meteorological, climatological, hydrological, geophysical, and biological). The estimated values were then presented spatially using a geographic information system. The results suggested that meteorological hazards were the most common hazards affecting most provinces in the Philippines, whereas hydrological hazards produced the most damage. Small island provinces and coastal zones were among the areas with the highest disaster-risk potential. This assessment can aid in decision making with regard to financing disaster prevention schemes and in planning for the increasing occurrences of natural hazard-related disasters.     

医学专科学生自我和谐与应对方式的相关分析

为了研究医学专科学生的自我和谐状况与应对方式之间的关系,并找出影响学生和谐的主要因素,给心理健康教育、心理咨询和治疗提供一些参考参考,本文通过采用简易应对方式问卷和自我和谐量表,对557名医学专科学生进行测试。并对测试结果做了技术统计,通过对数据的分析研究发现积极应对方式对自我的灵活性有着正相关的影响,而对自我与经验的不和谐、自我的刻板性、自我和谐是负相关的影响。基于这种分析结果提出了一些改善医学专科学生自我和谐的一些建议,教育部门和教育者要注重医学专科学生的积极应对方式的培养。     

NONLINEAR FORECASTING OF THE GOLD MINER SPREAD: AN APPLICATION OF CORRELATION FILTERS

This paper models and forecasts the Gold Miner Spread from 23 May 2006 to 30 June 2011. The Gold Miner Spread acts as a suitable performance indicator for the relationship between physical gold and US gold equity. The contribution of this investigation is twofold. First, the accuracy of each model is evaluated from a statistical perspective. Second, various forecasting methodologies are then applied to trade the spread. Trading models include an ARMA (12,12) model, a cointegration model, a multilayer perceptron neural network (NN), a particle swarm optimization radial basis function NN and a genetic programming algorithm (GPA). Results obtained from an out‐of‐sample trading simulation validate the in‐sample back test as the GPA model produced the highest risk‐adjusted returns. Correlation filters are also applied to enhance performance and, as a consequence, volatility is reduced by 5%, on average, while returns are improved between 2.54% and 8.11% across five of the six models. Copyright © 2013 John Wiley & Sons, Ltd.     

产品伤害危机处理过程消费者信任对品牌资产影响的实证分析

产品伤害危机处理,是现代企业必须正视的课题。无论是大型企业还是小型企业,在发展的过程中可谓是危机四伏,必须采取有利的预防措施与消除策略。企业采取的伤害危机处理方式在于能否取得消费者的信任;消费者对于企业危机处理信任与否,会影响到企业产品品牌资产的评价。     

Slippage in the Conservation Reserve Program or Spurious Correlation? A Comment

The Conservation Reserve Program (CRP) pays farmers about $2 billion per year to retire cropland under ten- to fifteen-year contracts. Recent research by Wu found that slippage—an unintended stimulus of new plantings—offsets some of CRP's environmental benefits. Wu does not account for the endogeneity of CRP enrollments. Furthermore, the data used by Wu cannot be used to estimate slippage arising from a price feedback effect. We replicate Wu's findings, demonstrate the possible presence of spurious correlation, and construct new estimates with corrections for endogeneity and other econometric problems. We find no convincing evidence of slippage.     

Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?

The paper finds recent financial crisis has changed permanently the correlations between BRICS and developed U.S. and Europe stock markets. 70% of BRICS stock markets⿿ conditional correlation series demonstrate an upward long-run trend with the developed stock markets. Our results provide convincing evidence that the reducing diversification benefits are a long-run and world-wide phenomenon, especially after recent financial crisis.     

农民收入灰色关联分析——以江苏为例

农民增收是新农村建设核心问题。应用灰色关联度数学模型，分析影响江苏“十五”期间农民收入的主要因素以及存在问题，并对未来几年如何增加农民收入提出建议。