farm household production efficiency evidence from the gambia this article investigates the economic efficiency of farm households with an application to the gambia the efficiency analysis is conducted not at the farm level but at the household level thus capturing the importance of off farm activities output based measures of technical allocative and scale efficiency are generated using nonparametric measurements an econometric analysis of factors affecting the efficiency indexes is then conducted using a tobit model technical efficiency is fairly high indicating that access to technology is not a severe constraint for most farm households the cost of scale inefficiency is modest allocative inefficiency by contrast is found to be important for the majority of farm households on the basis of the tobit results imperfections in markets for financial capital and nonfarm employment contribute to significant allocative inefficiency

the early exercise of american puts abstract this paper shows that american puts on dividend paying stocks are most likely to be exercised either just after an ex dividend date or just prior to expiration at any other time the option to exercise an american put early may have less value thus put writers and converters can predict when protection against premature exercise will be most valuable the probability of early exercise is shown to be sensitive to managerial policy regarding the suspension of dividend payments transaction costs and interest rates however dividend payments are demonstrated to be the primary deterrent to early exercise

put call parity and expected returns this study examines the hypothesis that in the presence of market frictions relative put and call prices contain information concerning future returns of the underlying asset a measure of relative prices is derived from the put call parity relationship for index options and applied to a three year sample of oex option transactions the results show that the measure of relative index option prices leads the stock market by at least 15 minutes

managerial efficiency and hospitality industry the portuguese case in this article the innovative twostage procedure of simar and wilson 2007 is used to estimate the efficiency determinants of portuguese hotel groups from 1998 to 2005 in the first stage the hotels technical efficiency is estimated with data envelopment analysis dea in order to establish which hotels have the most efficient performance these could serve as peers to help improve performance of the least efficient hotels in the second stage the simar and wilson model is used to bootstrap the dea scores with a truncated regression the article contributes to the hotel industry literature by adopting a somewhat novel approach that has never been applied to this industry despite its managerial implications the motivation for the analysis lies in the fact that during the period under analysis portuguese hotels faced a number of threats knowing what the best practices are is then good news for managers and institutions

transaction data tests of s p 100 call option pricing this paper examines the pricing of s p 100 calls using 14 months of transactions data we find that market prices of s p 100 calls differ systematically from black scholes values the biases in black scholes model prices are both statistically and economically significant and correspond to biases that arise if market prices incorporate a stochastically changing volatility of the index

estimation and decomposition of technical efficiency for sugarbeet farms this study computes technical efficiency for idaho sugarbeet farms and decomposes it into pure technical efficiency scale efficiency and congestion efficiency using nonparametric procedures the results indicate that the average efficiency is 0 88 with 45 of the farms in the sample exhibiting full efficiency improper scale operation and input overutilization are the major sources of inefficiency for remaining farms technical efficiency is independent of farm size a tobit model was used to examine the impacts of variables such as farm size specialization tenancy position hired labour location and managerial ability on efficiency inefficiency in sugarbeet production results in a shortfall of potential revenues not only for producers but also for landlords and processors

the informational content of implied volatility implied volatility is widely believed to be informationally superior to historical volatility because it is the markets forecast of future volatility but for s p 100 index options the most actively traded contract in the united states we find implied volatility in aggregate and across subsamples separated by maturity and strike price implied volatility has virtually no correlation with future volatility and it does not incorporate the information contained in recent observed volatility article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

formal microlending and adverse or nonexistent selection a case study of shrimp farmers in bangladesh microcredit schemes have become a popular means of improving smallholders access to credit and making long term investment possible however it remains to be explored whether the current microcre

an empirical investigation of the market for comex gold futures options option pricing models that assume a constant interest rate may misprice futures options if the interest rate fluctuates significantly or if the price of the underlying asset is correlated with the interest rate the futures option pricing model of ramaswamy and sundaresan allows for a stochastic interest rate and correlation of the underlying asset s price with the interest rate using a data set of daily closing prices for comex gold futures options this paper tests the ramaswamy and sundaresan model against a constant interest rate model results indicate that the stochastic interest rate model is a superior predictor of market prices the past several years have witnessed many innovations in contingentclaims markets the introduction of gold futures options by the commodity exchange of new york comex in october 1982 has proven particularly successful volume and open interest have been large and growing the combination of futures and futures options trading makes comex the principal market for gold in north america the existence of gold futures options represents a dual challenge to conventional option pricing models first the variability of interest rates affects futures prices and thus the value of futures options second if the price of gold is correlated with inflation or the real interest rate it will also be correlated with the nominal interest rate option pricing models that assume that the nominal rate is constant will misprice gold futures options if these factors are significant this paper tests whether market prices for gold futures options are best described by an alternative model that allows the price of gold to covary with the rate of interest section i describes comex gold contracts and notes differences between futures option contracts and stock option contracts which have been studied more extensively section ii describes the data set of market prices that has been collected and tests for violations of boundaries by the prices section iii describes and tests the competing option valuation models section iv is a summary and conclusion

contract farmer and poultry farm efficiency in bangladesh a data envelopment analysis the objective of this article is to determine the efficiency of the poultry farm in bangladesh and to assess the influence of contract farming system using a data envelopment analysis seventy five commercial poultry farms 25 and 50 independent and contract farms respectively were randomly selected the results reveal that efficiency scores vary across sample farms to explain some of these variations the efficiency scores were regressed on some human capital variables and farming system using a tobit model the study also estimates elasticities to provide the information on the magnitude of the influence of variables on technical efficiency te allocative efficiency ae and economic efficiency ee the results show that the contracting system is positively and significantly related to the farm s te ae and ee this is expected because under contractual agreement in order to obtain sufficient supplies of the right quality of poultry meat at the right time the company provides technical know how

do women choose different jobs from men mechanisms of application segregation in the market for managerial workers this paper examines differences in the jobs for which men and women apply in order to better understand gender segregation in managerial jobs we develop and test an integrative theory of why women might apply to different jobs than men we note that constraints based on gender role socialization may affect three determinants of job applications how individuals evaluate the rewards provided by different jobs whether they identify with those jobs and whether they believe that their applications will be successful we then develop hypotheses about the role of each of these decision factors in mediating gender differences in job applications we test these hypotheses using the first direct comparison of how similarly qualified men and women apply to jobs based on data on the job searches of mba students our findings indicate that women are less likely than men to apply to finance and consulting jobs and are more likely to apply to general management positions these differences are partly explained by women s preference for jobs with better anticipated work life balance their lower identification with stereotypically masculine jobs and their lower expectations of job offer success in such stereotypically masculine jobs we find no evidence that women are less likely to receive job offers in any of the fields studied these results point to some of the ways in which gender differences can become entrenched through the long term expectations and assumptions that job candidates carry with them into the application process

farm size and the determinants of productive efficiency in the brazilian center west this paper explores the determinants of technical efficiency and the relationship between farm size and efficiency in the center west of brazil this is the region where agricultural production and total factor productivity have grown the fastest since 1970 it is also a region characterised by unusually large farms technical efficiency is studied with data envelopment analysis and county level data disaggregated by farm size and type of land tenure the efficiency measure is regressed on a set of explanatory variables which includes farm size type of land tenure composition of output access to institutions and indicators of technology and input usage the relationship between farm size and efficiency is found to be non linear with efficiency first falling and then rising with size type of land tenure access to institutions and markets and modern inputs are found to be important determinants of the differences in efficiency across farms

an empirical study of the patterns and sources of technical inefficiency in traditional and hyv rice cultivation in bangladesh production frontiers are estimated from survey data from a village in bangladesh to examine the technical efficiency of farmers in the cultivation of traditional and high yielding variety hyv rice in spite of much higher yields hyv cultivation displays lower technical efficiency and much greater variability in efficiency also efficiency is not independent of household endowments in that small farmers and or those with the least education and growing experience are least efficient policies that promoted education and provided smaller farmers with greater access to public services would promote efficiency and equity and help reduce hyv yield variability

foreign direct investment spillovers and technical efficiency in the indonesian pharmaceutical sector firm level evidence the spillovers of foreign direct investment fdi on domestic firms performances have been highly debated for many years this article contributes to this debate by analysing spillovers effects on technical efficiency of indonesian pharmaceutical sector using a unique unbalanced panel of highly disaggregated at five digit international standard industrial classification isic 210 firms over the period 1990 1995 1001 observations the stochastic production frontier spf and the data envelopment analysis dea based on malmquist productivity indices mpi have been used to test the spillovers effects of fdi on technical efficiency the empirical results from the spf show that foreign firms are more efficient than domestic competitors and the presence of the former increases the inefficiency of the latter similarly the results from the mpi demonstrate that fdi has a negative and significant impact on technical efficiency changes in domestic competitors but generate positive spillovers to domestic s

farm household efficiency in bangladesh a comparison of stochastic frontier and dea methods this study compares estimates of technical efficiency obtained from the stochastic frontier approach and the data envelopment analysis dea approach using farm level survey data for rice farmers in bangladesh technical inefficiency effects are modelled as a function of farm specific socioeconomic factors environmental factors and irrigation infrastructure the results from both the approaches indicate that efficiency is significantly influenced by the factors measuring environmental degradation and irrigation infrastructure

the pricing of stock index options in a general equilibrium model this paper analyzes the pricing of stock index options in a simple general equilibrium model in this model the volatility of the stock index and the spot rate of interest are functions of a stochastic variable the paper investigates the biases that arise when using the black scholes model with the assumed volatility and interest rate dynamics it is shown that the model can in principle explain the biases observed in empirical work on stock index options

an application of the dea double bootstrap to examine sources of efficiency in bangladesh rice farming in this article we examine sources of technical efficiency for rice farming in bangladesh the motivation for the analysis is the need to close the rice yield gap to enable food security we employ the dea double bootstrap of simar and wilson 2007 to estimate and explain technical efficiency this technique overcomes severe limitations inherent in using the two stage dea approach commonly employed in the efficiency literature from a policy perspective our results show that potential efficiency gains to reduce the yield gap are greater than previously found statistically positive influences on technical efficiency are education extension and credit with age being a negative influence

technical efficiency in developing country agriculture a meta analysis abstract a meta analysis is performed to review empirical estimates of technical efficiency te in developing country agriculture the objective of the study is to contribute to a better understanding of the factors that influence estimates of mean te a data set of 51 observations of te from 32 studies is used in order to test if specific characteristics of the data and econometric specifications account for systematic differences in the efficiency estimates results using the two limit tobit procedure indicate that factors such as primal versus dual number of fixed inputs and number of variable inputs increase average te estimates on the other hand using the cobb douglas functional form and cross sectional data yields a lower level of te other factors including the number of variables in the model crop type stochastic versus deterministic frontiers and sample size do not seem to significantly affect estimates of te across studies

overreactions in the options market this paper examines the term structure of options implied volatilities using data on s p 100 index options because implied volatility is strongly mean reverting the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option empirically this elasticity turns out to be larger than suggested by rational expectations theory long maturity options tend to overreact to changes in the implied volatility of short maturity options are investors rational do they behave like bayesian statisticians when it comes to incorporating new information into asset prices proponents of the efficient markets hypothesis would answer this question in the affirmative many others however believe that bayesian rationality is a poor description of investor behavior and that as a consequence asset prices tend to be informationally inefficient one way in which inefficiencies might arise is through the overreactions of traders to the arrival of new information 1 this possibility is raised by experimental and survey findings which indicate that people have a systematic tendency to overemphasize recent data at the expense of other information when making projections 2 the objective of this paper is to search for evidence of such overreactive behavior in a semingly peculiar place the options market options may appear to be unlikely candidates for overreaction because unlike primary securities their prices are closely tied down by arbitrage considerations as black and scholes 1973 demonstrate if stock price volatility is known options prices are completely determined any deviation from the prescribed value implies a riskless profit opportunity however given that volatility is in fact unknown and changing options do retain something of an independent nature not wholly redundant with their underlying stocks options can be thought of as reflecting a speculative market in volatility the implied volatility on a given option obtained by inverting a

suckers are born but markets are made individual rationality arbitrage and market efficiency on an electronic futures market the iowa electronic markets are specially designed futures markets that appear to aggregate information efficiently to predict events such as election outcomes yet in theory perfect information aggregation is impossible further the markets are populated by a nonrepresentative sample of mistake prone and biased traders that is traders are prone to the behavioral anomalies predicted by behavioral finance how can this be reconciled with market efficiency here we take a first step by analyzing the behavior of two self selected types of traders dramatic differences in mistake rates across traders can help us answer the question market making traders who set prices are less mistake prone and appear to be more rational than price taking traders this highlights an important feature of markets marginal in this case market making not average traders set prices this can drive the efficiency of market prices in spite of large numbers of traders who display patently suboptimal behavior

the value of early exercise in option prices an empirical investigation previous studies in the valuation of american options apparently undervalue the right of early exercise this study uses actual prices from the cboe s s p 100 option instead of model generated values deviations from the theoretical put call parity relationship are caused by the possibility of early exercise these deviations are used to infer the value of early exercise the actual value of early exercise is both statistically and economically significant as expected from theoretical considerations the value of early exercise for put options is greater than for call options

technical and scale efficiency of crop and livestock farms in poland does specialization matter l efficacite technique et d echelle des exploitations agricoles polonaises est calculee par la methode data envelopment analysis l etude porte sur les differences selon l orientation productive en grandes cultures ou elevage a deux dates de la transition en 1996 et en 2000 l article examine de plus la variabilite statistique des resultats d efficacite ceux ci sont revus a la lumiere des intervalles de confiance construits gr ce au bootstrapping en moyenne les exploitations d elevage ont une efficacite technique et d echelle superieure aux exploitations de grandes cultures l efficacite d echelle est toutefois tres elevee pour les deux orientations l inefficacite technique semble donc due principalement a une inefficacite technique pure c est a dire a une gestion inefficace la faible education des agriculteurs en est une raison majeure en 2000 64 des exploitations d elevage et 86 des exploitations de grandes cultures presentaient des retours d echelle croissants ce resultat suggere des recommandations politiques afin de supprimer les incitations a garder une structure operationnelle fragmentee et de stimuler le marche de la terre il s agit en particulier d ameliorer la legislation concernant la location des terres et de modifier le systeme de retraite agricole

orchestrating impartiality the impact of blind auditions on female musicians a change in the audition procedures of symphony orchestras adoption of blind auditions with a screen to conceal the candidate s identity from the jury provides a test for sex biased hiring using data from actual auditions in an individual fixed effects framework we find that the screen increases the probability a woman will be advanced and hired although some of our estimates have large standard errors and there is one persistent effect in the opposite direction the weight of the evidence suggests that the blind audition procedure fostered impartiality in hiring and increased the proportion women in symphony orchestras

competition and efficiency in the mena banking region a non structural dea approach abstractthe goal of this article is to empirically assess the relationship between competition and efficiency in the banking sector of middle east and north african mena countries spanning the period 1997 2011 to measure the level of competition the article estimates the non structural indicator known as the h statistic while the level of bank efficiency is estimated through the nonparametric methodology of the data envelopment analysis dea and the bootstrap data envelopment analysis bdea respectively the empirical results are robust under six econometric methodologies providing sufficient evidence for the presence of a one way negative granger causality running from efficiency to competition the empirical findings lead to the rejection of the efficient structure hypothesis implying that increases in competition do not precede increases in cost efficiency

stochastic frontiers and technical efficiency distributions an analysis based on rice farming data for bangladesh this paper examines a sample of farmers from bangladesh in order to study inter and intra crop patterns of technical efficiency in rice cultivation by estimating stochastic production frontiers as well as to assess the role of household endowments e g education land ownership and other characteristics in explaining farmer differences in efficiency what makes the analysis especially interesting is that of the three rice crops harvested in our sample economy two are more traditional while the third is of the new technology high yielding variety hyv which has spearheaded the so called green revolution in rice of particular interest is the question of how successful farmers have been in adapting to the technically more demanding hyv crop vis a vis traditional crops the technical efficiency issue notably in hyv cultivation is one of significant importance in land scarce bangladesh the government has actively promoted hyv cultivation since the sixties in view of its promise of significantly higher yields combined with its supposed scale neutrality so that small farmers can also share in its benefits questions with important implications for rural development and agricultural policy include whether the full potential of existing hyv technology is being realized by small and larger farmers alike whether hyv cultivation displays greater yield instability as claimed by some e g evenson et al 1979 which hinders its rate of adoption and what factors are most relevant in explaining farmer inefficiency this paper attempts to shed some light on these questions

index options the early evidence index options became the most important traded contracts during their first year of existence two contracts namely those on the s p100 and the major markets index have a trading volume which typically surpasses the trading volume in all individual stock option contracts in this paper we examine the pricing of the options on the s p100 and the major markets index using intra day prices we find the options frequently violate the arbitrage boundary put call parity and are substantially mispriced relative to theoretical values our results suggest that tests of option pricing models may be more difficult than previously realized due to nonsynchronous prices even using real time data from the exchanges

efficiency in index options markets and trading in stock baskets abstract researchers have reported mispricing in index options markets this study further examines the efficiency of the s p 500 index options market by testing theoretical pricing relationships implied by no arbitrage conditions the effect of a traded stock basket standard and poor s depository receipts spdrs on the link between index and options markets is also examined we find that pricing efficiency within option markets improves but there is little evidence to support the hypothesis that a stock basket enhances arbitrage across markets when transactions costs and short sales constraints are included very few violations of inter market pricing relationships such as put call parity are reported however violations of within market pricing relationships such as the box spread remain frequent extensive analysis suggests that the results are robust

on the pricing of european and american foreign currency call options abstract this study uses cox ross analysis and dynamic programming techniques to price foreign currency call options we show that under certain conditions the american call price will exceed its european counterpart while under other conditions the two prices will be identical we find that the american premium is a complex function of the degree to which an option is in or out of the money and that this premium is greatest when an option is near in or out we present empirical evidence which shows that the american model significantly improves upon a european model however significant pricing errors associated with the american model remain

performance of french destinations tourism attraction perspectives in this paper we assess and compare the performance of french tourism destinations using the data envelopment analysis dea two stage procedure where in the first stage the efficiency score are calculated and then followed in the second stage by a bootstrapped truncated regression model in the context of france such analysis takes an additional importance especially as the country is expected to face a decrease in its tourism competitiveness a discussion in terms of d attraction and e attraction is also proposed and policy recommendations are derived