conditions for myopic valuation and serial independence of the market excess return in discrete time models in a multiperiod pure exchange world with investors displaying hara preferences conditions for period by period application of one period asset pricing models are derived first the future investment opportunity set may be uncertain provided that in every period a specific market portfolio variable depending on preferences is known as of the preceding date this variable need not be completely deterministic second conditions for a serially independent market excess return are derived these conditions render serial independence very unlikely hence estimation methods assuming serial independence are likely to yield biased results while multiperiod capital asset pricing models generally involve intertemporal interdependencies in the pricing of assets there exist conditions under which the multiperiod model becomes indistinguishable from a sequence of one period models if these conditions are met then the price of an asset with cash flows at various dates can be derived by applying the one period pricing model recursively period by period the valuation process then is called quasi myopic at every date

multiperiod financial planning a new algorithm for asset allocation is developed the algorithm provides consistent approximations to the optimal savings allocations which are dependent upon personal characteristics such as age and income numerical analysis is used to solve an individual s lifetime consumption investment problem on an annual basis within a context of complete markets and nonmarketable income the investment opportunity set approximates that which was available expost during the 1926 1981 period relative risk aversion in wealth is highest for the elderly lowest for the middle aged less than i of that of the elderly with young adults in the midrange despite the imposition of additive isoelastic utility of consumption moreover the sensitivity of optimal portfolio proportions to changes in the opportunity set is greatest for the middle aged

optimal financial policy and firm valuation since the classic work of miller and modigliani 1961 laid down the principles for the valuation of firms under conditions of certainty some two decades ago academic interest in the problem of valuing the individual firm has waned yet in addition to the obvious importance of this problem for security analysts investors and acquirers of corporations the issue of firm valuation is fundamental to much of the theory of corporate finance what determines the risk of the firm how the rate of return required by investors may be inferred from capital market data the influence of financing policy on firm value and other issues of central concern to the theory of financial management this almost total neglect of firm valuation is attributable perhaps to the overwhelming influence of the research programme initiated by the development of the capital asset pricing model only three years after the publication of the above mentioned paper by miller and modigliani in its primary form the capital asset pricing model is a statement about the equilibrium rates of return on securities rather than about the equilibrium values of securities it is straightforward to transform the model into a statement about the dependence of current equilibrium values upon an exogenously specified distribution of end of period values however in this form the model is inherently unsatisfactory since it fails to take account of the fact that in reality the distribution of end of period firm values is not exogenously given but is determined as part of a subsequent capital market equilibrium attempts to iterate the single period capital asset pricing model over several periods in order to avoid the need to take the distribution future security values as exogenous have been unsuccessful for the most part since not being able to derive they have been forced to assume both the requisite normality of the distribution of subsequent security prices and the legitimacy of ignoring endogenously determined shifts in the individual investor s investment

valuing flexibility as a complex option this paper develops an approach for valuing flexible production systems using contingent claims pricing demand curves for our model s underlying assets output products may be downward sloping in contrast with the standard option pricing assumption also our marginal production exercise costs may be increasing in addition we allow for multiple products and a production capacity constraint these elements of the model result in complex exercise decisions for the contingent claims which comprise the production system s value we illustrate our approach by valuing a flexible system that produces two products which have profit margin functions with stochastic parameters

causality relationship between electricity consumption and gdp in bangladesh in this paper we examine the causal relationship between the per capita electricity consumption and the per capita gdp for bangladesh using cointegration and vector error correction model our results show that there is unidirectional causality from per capita gdp to per capita electricity consumption however the per capita electricity consumption does not cause per capita gdp in case of bangladesh the finding has significant implications from the point of view of energy conservation emission reduction and economic development

agribusiness economics and management agribusiness scholarship emphasizes an integrated view of the food system that extends from research and input supply through production processing and distribution to retail outlets and the consumer this article traces development of agribusiness scholarship over the past century by describing nine

the pricing of capital assets in a multiperiod world abstract this paper proposes a general framework for the pricing of capital assets in a multiperiod world under quite general conditions the analysis shows that the equilibrium expected nominal return on any asset can always be expressed as the sum of the risk free rate and various risk premiums the first risk premium is identical to the usual risk premium in the sharpe lintner mossin capital asset pricing model the mathematical forms of all the remaining risk premiums are identical even though each individual risk premium may be present for a different reason

electricity consumption and economic growth a time series experience for 17 african countries abstract while the availability of electricity by itself is not a panacea for the economic and social problems facing africa the supply of electricity is nevertheless believed to be a necessary requirement for africa s economic and social development this paper tests the long run and causal relationship between electricity consumption per capita and real gross domestic product gdp per capita for 17 african countries for the period 1971 2001 using a newly developed cointegration test proposed by pesaran et al 2001 and using a modified version of the granger causality test due to toda and yamamoto 1995 the advantage of using these two approaches is that they both avoid the pre testing bias associated with conventional unit root and cointegration tests the empirical evidence shows that there was a long run relationship between electricity consumption per capita and real gdp per capita for only 9 countries and granger causality for only 12 countries for 6 countries there was a positive uni directional causality running from real gdp per capita to electricity consumption per capita an opposite causality for 3 countries and bi directional causality for the remaining 3 countries the result should however be interpreted with care as electricity consumption accounts for less than 4 of total energy consumption in africa and only grid supplied electricity is taken into account

imperfect competition in agricultural markets and the role of cooperatives a spatial analysis important characteristics of many agricultural markets are costly to transport raw products and relatively few processors one or more of which is often a cooperative this paper analyzes pricing behavior in these oligopsonistic spatial markets and focuses specifically upon the conjecture that cooperatives may have a procompetitive effect on the behavior of rival non co op processors the existence and magnitude of a procompetitive effect is shown to depend upon a number of structural and strategic factors including competitive relations among the non co op processors and a cooperative s membership and pricing policies

agroindustrialization of the global agrifood economy bridging development economics and agribusiness research this paper examines the agroindustrialization process from two supposedly disparate views development economics and agribusiness research the evolution of conceptual and methodological approaches emanating from these fields is explored and general observations are made concerning farm economic interdependence institutional and organizational change differing scopes of interest the causes of agroindustrialization orientation and the choice of microanalytic tools terminology and unit of analysis despite an impressive list of hurdles disincentives and disconnects complementarities between the two fields are identified the paper concludes by exploring the potential of bridging development economics and agribusiness research to inform the future agroindustrialization research agenda

measuring productive efficiency in multiple product agribusiness firms a dual approach measuring retail fertilizer plant efficiency is difficult given the range of outputs produced by these multiple product firms a frontier multiproduct cost function was employed to measure productive efficiency results suggest the average plant could lower variable costs by 10 through more effective operations allocative inefficiency was minimal indicating management should focus on improving technical efficiency the limitations of employing a single product model in a multiproduct situation are demonstrated

notes on multiperiod valuation and the pricing of options a mean variance risk return tradeoff relationship is derived for the diffusion process limiting case of a state preference model with aggregate consumption serving as a pivotal variable the model is compared to other recent models along the dimensions of generality and tractable implementation the incorporation of stochastic interest rates in general equilibrium and arbitrage based valuation models is examined and an extension to earlier methods is discussed in connection with the implementation of robust general valuation procedures this paper develops an integrative discussion of some recent developments in the theory of multiperiod valuation our aim is not to survey the rapidly burgeoning literature in this area in an exhaustive way instead it is our goal to highlight some results of our own and others that have a bearing on judgments regarding promising and robust directions of enquiry in this area of research in doing so areas that have been particularly empnasized are 1 the incorporation of aggregate consumption as a pivotal variable in general and specialized multiperiod valuation formulae and 2 the incorporation of endogenized dynamics for the riskless rate of interest in black scholes 4 type option pricing methodology throughout our emphasis is on the internal consistency generality and simplicity of different models insofar as full information valuation in a general equilibrium context is concerned rather than on issues pertaining to empirical testing and econometric methodology the starting point for much of our analysis is rubinstein s 28 important paper on multiperiod valuation and hakansson s 15 related contributions in this paper rubinstein considers a multiperiod state preference model of general exchange equilibrium with no explicit modeling of production investment in order to develop pricing relationships linking the prices of elementary arrow

notes on multiperiod valuation and the pricing of options a reply in this note i discuss my reactions to the questions raised by stapleton and subrahmanyam 8 hereafter ss regarding bhattacharya 2 first i discuss their arguments regarding my earlier questioning of the assumption of nonstochastic interest rates in the model of stapleton and subrahmanyam 7 in the context of closed production economies with endogenized real investment second i briefly explore my understanding of some other multiperiod valuation models and contrast this with that evidenced in ss 8 to seek to settle the issues of misleading references and lacunae in bhattacharya 2 raised by ss 1

notes on multiperiod valuation and the pricing of options a comment rates as somehow deeper and more significant than those that serve other purposes whereas the two types of models differ mainly in terms of the variables assumed to be endogenous or exogenous bhattacharya believes that the assumptions of the ss model exponential utility multivariate normally distributed cash flows and non stochastic future interest rates are mutually inconsistent he also does not realize that unlike most of the models he surveys the ss model is fully consistent with the single period mean variance capital asset pricing model capm i e has rationally expected normal distributions of future stock prices another major advantage of the ss model is that it states firm values as functions of inter and intratemporal covariances of cash flows analogous to the single period capm while maintaining the essential features of the multiperiod valuation problem given these lacunae in the bhattacharya survey we can only conclude that the relationship between different multiperiod models requires further clarification we first deal with the substantive point about the consistency of the ss assumptions and then comment on the linkages between the assumptions and results of various multiperiod models

causality between energy consumption and economic growth in india a note on conflicting results abstract this note examines the different direction of causal relation between energy consumption and economic growth in india applying engle granger cointegration approach combined with the standard granger causality test on indian data for the period 1950 1996 we find that bi directional causality exists between energy consumption and economic growth further we apply johansen multivariate cointegration technique on the different set of variables the same direction of causality exists between energy consumption and economic growth this is different from the results obtained in earlier studies

broiler production contracts as a multi agent problem common risk incentives and heterogeneity the broiler industry presents two puzzles regarding production contracts why do processors control growers inputs and why do they use a statistically insufficient estimator to calculate growers compensation this paper provides an agency theoretic framework that explains these puzzles in terms of processors response to grower heterogeneity and production risk and to grower risk aversion processors control inputs to reduce the information rents paid to agents by forcing agents to bear additional income risk through the use of an imprecise estimator processors can increase profits due to the combined moral hazard adverse selection nature of the informational problem

interpreting the dynamic nexus between energy consumption and economic growth empirical evidence from russia research on the nexus between energy consumption and economic growth is a fundamental topic for energy policy making and low carbon economic development russia proves the third largest energy consumption country in the world in recent years while little research has shed light upon its energy consumption issue till now especially its energy growth nexus therefore this paper empirically investigates the dynamic nexus of the two variables in russia based on the state space model the results indicate that first of all russia s energy consumption is cointegrated with its economic growth in a time varying way though they do not have static or average cointegration relationship hence it is unsuitable to merely portrait the nexus in an average manner second ever since the year of 2000 russia s energy efficiency has achieved much more promotion compared with that in previous decades mainly due to the industrial structure adjustment and technology progress third among bric countries the consistency of russia s energy consumption and economic growth appears the worst which suggests the complexity of energy growth nexus in russia finally there exists bi directional causality between russia s energy consumption and economic growth though their quantitative proportional relation does not have solid foundation according to the cointegration theory

a general equilibrium model of changing risk premia theory and tests keywords asset pricing theory reference sfi pb article 1989 001doi 10 1093 rfs 2 4 467 record created on 2008 03 12 modified on 2017 05 12

the future of u s agricultural cooperatives a neo institutional approach thirty years ago helmberger speculated that industrialization of agriculture would lead to the demise of farmer cooperatives helmberger 1966 p 1434 in responding to helmberger s prediction abrahamsen countered by suggesting that as industrialization of agriculture evolved cooperatives would increasingly become the farmer s integrating agency abrahamsen p 1442 in this paper i examine these two divergent opinions by a briefly describing the structural and strategic evolution of u s farmer cooperatives since the helmberger and abrahamsen h a forecasts b utilizing recent developments in neo institutional economic organizational economic theory to generate hypotheses regarding structural and strategic shifts in u s agricultural cooperatives and c further applying neo institutional economics to speculate what the future might hold for u s producerowned and controlled agricultural cooperatives

constant absolute risk aversion preferences and constant equilibrium interest rates this paper constructs a general equilibrium model with endogenous stochastic production and establishes that the equilibrium interest rate can be constant in a closed production economy when the preferences are represented by constant absolute risk aversion utility functions the results in this paper and their limitations are compared and contrasted with related contributions in the financial economics literature in this paper an intertemporal allocation problem with endogenous stochastic production is solved for consumption function and the interest rate preferences are assumed to be of constant absolute risk aversion type there are a number of stochastic constant returns to scale production techniques with independently and identically distributed shocks it is shown that the wealth dynamics of agent can be then approximated by a square root diffusion process which is a special case of constant elasticity of variance diffusion with this as the starting point the consumption function and interest rates are derived and discussed at equilibrium the interest rate is shown to be a constant and consumption is shown to be drawn from a distribution which belongs to the constant elasticity of variance diffusion class restrictions are placed on the form of the problem so that results make economic sense the assumption of a constant interest rate has been made frequently in the asset pricing literature we provide a plausible equilibrium model in which this assumption is valid the findings are compared with those of bhattacharya 1 constantinides 2 rubinstein 8 and stapleton and subrahmanyam 10 in subsequent sections this paper is organized as follows in the next section the characteristics of the economy are described section ii develops the dynamic optimization problem facing the consumer in the economy in section iii the optimal consumption function is derived and discussed section iv contains a result on the equilibrium interest rate in this section it is shown that the equilibrium interest rate is a constant and its properties are analyzed in section v a discussion of the results is provided

electricity consumption growth nexus the case of malaysia abstract the goal of this paper is to model the relationship between electricity consumption and real gross domestic product gdp for malaysia in a bivariate and multivariate framework we use time series data for the period 1971 2003 and apply the bounds testing approach to search for a long run relationship our results reveal that electricity consumption real gdp and price share a long run relationship the results of the autoregressive distributed lag ardl estimates of long run elasticity of electricity consumption on gdp are found to be around 0 7 and statistically significant finally in the short run the results of the causality test show that there is a unidirectional causal flow from electricity consumption to economic growth in malaysia from these findings we conclude that malaysia is an energy dependent country leading us to draw some policy implications this paper adds support and validity thus reducing the policy makers concern on the ambiguity of the electricity and growth nexus in malaysia

a generalization of the brennan rubinstein approach for the pricing of derivatives this paper derives preference free option pricing equations in a discrete time economy where asset returns have continuous distributions there is a representative agent who has risk preferences with an exponential representation aggregate wealth and the underlying asset price have transformed normal distributions which may or may not belong to the same family of distributions those pricing results are particularly valuable a to show new sufficient conditions for existing risk neutral option pricing equations e g the blackscholes model and b to obtain new analytical solutions for the price of european style contingent claims when the underlying asset has a transformed normal distribution e g a negatively skew lognormal distribution a fundamental result in the valuation theory under uncertainty is that equilibrium asset prices depend on investors marginal utility functions in this framework assuming a discrete time trading model and asset returns with continuous distributions rubinstein 1976 and brennan 1979 are able to derive risk neutral valuation relations that is preference free option pricing equations with an implicit mean return equal to the interest rate these pricing results seem surprising but they simply explore the relationship between derivatives and their underlying asset the underlying asset has an absolute price and derivatives have relative prices in terms of the underlying asset price implying that in equilibrium all these prices depend on the risk premium of the underlying asset hence the price of the underlying asset can be used to eliminate the risk premium from the option pricing equations the risk neutral valuation relations might have interesting applications not only in financial investments but also in real assets and executive compensation plans these pricing results were obtained under restrictive conditions on preferences and distributions rubinstein 1976 obtains the black scholes model with constant proportional risk aversion cpra preferences he also assumes that aggregate consumption and the underlying asset are bivariate lognormally

a complete analysis of full pareto efficiency in financial markets for arbitrary preferences this paper provides a complete analysis of the necessary and sufficient conditions for financial markets to achieve fully pareto efficient allocation of aggregate wealth through trade in economies with arbitrary preferences we show that full pareto efficiency obtains only if the market structure of contingent claims spans the information partition of a minimal aggregate wealth statistic and a halmos savage sufficient statistic for the beliefs of the traders all the known allocation efficiency results in the literature due to arrow hakansson john ross and others are unified by this result a security is a certificate that entitles the holder to a stream of cash flows

assessing the competitive interaction between private labels and national brands in this article we employ the linear approximate almost ideal demand system la aids and specify price reaction equations derived under the la aids specification we perform intracategory analyses using data on six individual categories as well as a pooled analysis on a sample of 125 categories and 59 geographic markets we find that consumer response to price and promotion decisions demand and firm pricing behavior supply jointly determine observed market prices and market shares further estimates of residual demand elasticities suggest that examination of partial demand elasticities alone may provide an incomplete picture of the ability of brands to raise price copyright 2000 by university of chicago press

demand for farm output in a complete system of demand functions demand interrelationships for farm outputs that are theoretically consistent with consumer demand and marketing group behavior provide important linkages between retail and farm prices a conceptual model based on reduced form specifications for retail and farm prices is formulated and applied empirically to a set of eight disaggregated food commodities this approach circumvents the need for retail quantities which are frequently unavailable for disaggregated food commodities the results are consistent with theory and generally indicate significant substitution between farm and marketing inputs except for poultry derived demand elasticities are at least 40 larger compared to those derived assuming fixed proportions

a multiperiod asset pricing model with unobservable market portfolio a note this paper develops a multiperiod general equilibrium theory of asset prices that is simple and yet can be empirically tested without observing the market portfolio or aggregate consumption we demonstrate that the systematic risk of an asset can be measured through the conditional covariance of its rate of return with the next period risk free rate of interest the theory is developed using the minimum set of assumptions needed to produce the intertemporal sharpelintner isl model see constantinides 5 6 thus if the present model holds then the isl model will also hold however to test or apply our results the market portfolio does not have to be observed and thus the empirical problems discussed in roll 17 can be avoided

comparative dynamics of an equilibrium intertemporal asset pricing model this paper uses recursive competitive theory to develop a general equilibrium asset pricing model in this framework all prices and rates of return are endogenously determined thus enabling us to analyze the effects of changes in preferences technological uncertainty and expectations on the structure of security prices in particular we focus on how the market risk premium varies with changes in the underlying economic environment an issue which other asset pricing models have chosen not to address

ownership structure in agrifood chains the marketing cooperative globalization technological developments and consumer concerns press farmers and food producers to enhance product innovation and to seek more efficient production and distribution structures these changes in agrifood markets shift the relative importance of the investments by different chain partners it may therefore be necessary to change the allocation of ownership of essential assets to induce agents to make those investments that generate the chain optimum this article analyzes the impact of ownership structure on investments in a three tier supply chain from an incomplete contracting perspective circumstances are determined in which a marketing cooperative is the unique first best ownership structure

agricultural markets as relative performance evaluation relative performance schemes such as tournaments are commonly used in markets for a variety of livestock and processing commodities while explicit versions of these schemes are rarely used in markets for fresh fruits and vegetables and specialty grains we show how contracts for these latter commodities do in fact provide relative performance incentives albeit indirectly via a payment mechanism that depends on market prices in such contracts compensation is often an increasing function of revenue this implements a relative performance scheme by making each grower s payment an increasing function of his own output but a decreasing function of other s output in an important 1982 article holmstr om models the problem facing a group of agents each of whom produces an observable quantity of some good by taking an unobservable action a rather robust conclusion from this line of inquiry is that when the production of one agent is not independent of the production of another then the compensation awarded to the first agent should depend not only on his own production but also on the output of others in particular if agents production is positively correlated because of some common shock for example then an agent s compensation should be larger when other agents output is smaller a phenomenon which holmstr om terms relative performance evaluation relative performance evaluation ought to be particularly important for agricultural producers and the various intermediaries who purchase their output these producers face considerable common risk from aggregate production shocks and so one would expect that relative performance evaluation could improve efficiency in fact certain types of agricultural intermediaries do use explicit relative performance schemes as predicted by