Some extension economists and others often recommend profit margin hedging in choosing thetiming of crop sales. This paper determines producer’s utility function and price processeswhere profit margin hedging is optimal. Profit margin hedging is shown to be an optimalstrategy under a highly...

This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds...

Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a...

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

This paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which...

This article documents the long-horizon mean reverting character of annual earnings and tests the implications of such mean reversion for security valuation. First, both theory-based and nonparametric measures of earnings persistence decrease as the estimation order increases, revealing 40...

This dissertation is based on the hypothesis that a third dimension, namely investmenttime horizon, can add value to the more conventional two-dimensional methodologyof assessing the relative risk and return attributes of various assets and portfolios inorder to enhance investment decisions.This...

En este artículo se estudia cómo reacciona la renta gravable de los contribuyentes españoles ante cambios en los tipos marginales del IRPF, utilizando como principal fuente de identifi cación la variación proporcionada por tres grandes reformas del impuesto introducidas a lo largo del...

The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...

This report starts where the previous quarterly publication ended. This first publication of a new annual series contains most of the same data as the quarterly report, plus some new material, through 1991. It also presents historical data covering a longer period of time than the previous...