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	Provedor de dados AgEcon (10) Autor Baldi, Lucia (2) Peri, Massimo (2) Vandone, Daniela (2) Austin, David H. (1) Beltratti, Andrea (1) Bortolotti, Bernardo (1) Caccavaio, Marianna (1) Chen, Kim Heng (1) Fausti, Scott W. (1) Gutierrez, Luciano (1) Han, Li-Ming (1) Irwin, Scott H. (1) Izquierdo, Ricardo Server (1) Lanfranco, Bruno A. (1) Qasmi, Bashir A. (1) Ronco, Alicia Mateos (1) Urcola, Hernan A. (1) Wang, Zhiguang (1) Mais... Palavra-chave G14 (10) Agribusiness (5) Financial Economics (4) C32 (3) G13 (3) Q14 (3) C15 (2) Event study (2) Farm Management (2) Marketing (2) Production Economics (2) Productivity Analysis (2) Q11 (2) Q13 (2) Research Methods/ Statistical Methods (2) Risk and Uncertainty (2) Activity based costing system. (1) Agricultural Finance (1) Agricultural and Food Policy (1) Bootstrap (1) Mais... Tipo do documento Journal Article (3) Working or Discussion Paper (3) Presentation (2) Book (1) Conference Paper or Presentation (1) Ano 2011 (2) 2010 (3) 2009 (1) 2006 (1) 2005 (1) 2003 (1) 2000 (1) Mais... País United States (10) Idioma Inglês (8) Espanhol (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 10 Primeira ... 1 ... Última Stock Prices in a Speculative Market: The Chinese Split-Share Reform AgEcon Beltratti, Andrea; Caccavaio, Marianna; Bortolotti, Bernardo. In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions. Tipo: Working or Discussion Paper Palavras-chave: Speculation; Chinese Stock Market; Market segmentation; Event study; Market Efficiency; Financial Economics; G14; N25. Ano: 2009 URL: http://purl.umn.edu/50364 Looking for Rational Bubbles in Agricultural Commodity Markets AgEcon Gutierrez, Luciano. In this paper, we use a bootstrap methodology to helps us to compute the finite sample probability distribution of the asymptotic tests recently proposed in Phillips et al. (2009b) and Phillips and Yu (2009c). Simulation shows that the bootstrap methodology works well and allows us to identify explosive processes and collapsing bubbles. We apply the bootstrap procedure to the wheat and rough rice commodity prices. We find some evidence of price exuberance for both prices in the 2007-2008 period. Tipo: Presentation Palavras-chave: Rational Speculative Bubbles; Bootstrap; Unit Root Tests; Commodity Prices.; Marketing; G14; Q14; C12; C15. Ano: 2011 URL: http://purl.umn.edu/120377 Patents, Spillovers, and Competition in Biotechnology AgEcon Austin, David H.. I perform an event study on 600+ patents awarded primarily to 20 leading biotechnology firms and find significant changes in market values at the time of the awards. Adjusting for partial anticipation of events, I estimate that core technology patents in highly contested research areas are expected to generate between $13 and $21 million of economic value. They also generate spillover benefits for the patentee's rivals-presumably including knowledge transfers-valued at $3 to $6 million per firm. Awardees may appropriate only half of private benefits, although I observe negative spillovers for some high-profile awards. Most patents have no significant market impact. Tipo: Working or Discussion Paper Palavras-chave: Innovation; Patent value; Spillover; Competition; Event study; Research and Development/Tech Change/Emerging Technologies; G14; O31; O34; L65. Ano: 2000 URL: http://purl.umn.edu/10808 Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market AgEcon Wang, Zhiguang; Fausti, Scott W.; Qasmi, Bashir A.. We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast variance using the GARCH models. Our implied variance approach, based on variance swap rate, is model independent. We compute the daily 60-day variance risk premiums based on the difference between the realized variance and implied variance for the period from 1987 to 2009. We find negative and time-varying variance risk premiums in the corn market. Our results contrast with Egelkraut, Garcia, and Sherrick (2007), but are in line with the findings of Simon (2002). We conclude that our synthesized implied variance contains... Tipo: Working or Discussion Paper Palavras-chave: Variance Risk Premium; Variance Swap; Model-free Variance; Implied Variance; Realized Variance; Corn VIX; Risk and Uncertainty; Q13; Q14; G13; G14. Ano: 2010 URL: http://purl.umn.edu/61683 Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts AgEcon Chen, Kim Heng; Han, Li-Ming. This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts. Tipo: Journal Article Palavras-chave: Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14. Ano: 2006 URL: http://purl.umn.edu/50279 Is Wine a Financial Parachute? AgEcon Baldi, Lucia; Vandone, Daniela; Peri, Massimo. This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non‐fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the... Tipo: Conference Paper or Presentation Palavras-chave: Wine sector; Stock Market; Threshold Cointegration; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Research Methods/ Statistical Methods; Q11; G14; C32. Ano: 2010 URL: http://purl.umn.edu/100506 Los costes de calidad en las empresas citricolas y su identificacion en el marco del sistema de costes basado en actividades AgEcon Izquierdo, Ricardo Server; Ronco, Alicia Mateos. Resumen La posición competitiva de las empresas en unos mercados cada vez más exigentes, precisa la definición de una estrategia orientada a la capacidad de respuesta a las necesidades del cliente. Las empresas de comercialización citrícola españolas, con productos de escasa diferenciación "per se", basan en gran medida su competitividad en la calidad de sus productos y en su capacidad de adaptación a los requerimientos del cliente. Sin embargo y a pesar de constituir una de sus principales vías de diferenciación, la valoración que estas empresas realizan de los aspectos relacionados con la calidad se centra en estimaciones alejadas de los términos cuantitativos, por lo que se hace necesaria la propuesta de una metodología de evaluación y cuantificación de... Tipo: Journal Article Palavras-chave: Quality; Costs; Citrus companies; Activity based costing system.; Agribusiness; G14; Q14. Ano: 2003 URL: http://purl.umn.edu/28749 Cobertura del riesgo precios en los mercados de futuros para carne bovina en el marco de la experiencia uruguaya de 1993. AgEcon Lanfranco, Bruno A.. En la pasada década, Uruguay tuvo su primera experiencia con el mercado de futuros de novillos para faena (MFN), el que funcionó durante los últimos meses de 1993 y hasta comienzos de 1994. El hecho que el MFN no sobreviviera más que unos pocos meses no implica necesariamente que los mercados de futuros para ganado en pie sean inviables en nuestro país. En este trabajo se examinaron algunas de las posibles razones que pueden explicar su fracaso. Es posible que al momento de su implementación no estuvieran dadas todas las condiciones necesarias para su desarrollo. Un punto a develar es si el bajo volumen operado en el MFN se debió a condiciones estructurales inherentes a las economías pequeñas y, por ende, imposibles de modificar o si, por el contrario,... Tipo: Book Palavras-chave: Financial markets; Live cattle; Livestock market; Agribusiness; Financial Economics; Risk and Uncertainty; D81; G13; G14. Ano: 2005 URL: http://purl.umn.edu/121755 Hog Options: Contract Redesign and Market Efficiency AgEcon Urcola, Hernan A.; Irwin, Scott H.. This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period. Tipo: Journal Article Palavras-chave: Hog options; Mispricing perceptions; Contract redesign; Trading returns; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Production Economics; Productivity Analysis; Public Economics; Research Methods/ Statistical Methods; C15; G12; G14; Q13. Ano: 2010 URL: http://purl.umn.edu/100518 Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation AgEcon Baldi, Lucia; Peri, Massimo; Vandone, Daniela. This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) subperiods consequently identified express different dynamics in the causal relationship... Tipo: Presentation Palavras-chave: Commodity; Futures markets; Price discovery; Cointegration; Structural breaks; Agribusiness; Agricultural and Food Policy; Productivity Analysis; C32; G13; G14; Q11. Ano: 2011 URL: http://purl.umn.edu/122002 Registros recuperados: 10 Primeira ... 1 ... Última

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