the returns and forecasting ability of large traders in the frozen pork bellies futures market using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market the authors find that these traders generate significant profits and the distribution of trader returns over time is not random further analysis finds that a subset of large elite traders possesses significant forecasting ability indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur hence certain futures market traders accumulate trading experience and knowledge permitting them to accrue considerable wealth copyright 1994 by university of chicago press

returns to individual traders of futures aggregate results by means of a data set previously unavailable for academic research actual trading histories of individual futures traders are examined with this more detailed data the author is able to 1 test the risk return hypothesis directly 2 include a much larger segment of the market than before and 3 use actual instead of hypothetical t rading strategies it is shown that the commercial hedging traders are most profitable while noncommercial speculative traders earn n egative or zero profits because speculators are not receiving reward s for the risks they willingly absorb the theory of normal backwarda tion and its extension can be rejected copyright 1987 by university of chicago press

corporate governance a critical comparison among international theories codes of best practices and empirical research as strong role played by the financial g lobalized market several countries have adopted rules and principles best practice codes to be shared among all co mpanies in order to provide tools to solve governance problems regulate relations among managers and shareholders this paper seeks to investigate american english german japanese and italian codes of conduct literature agrees that corporate governance archetypes are those anglo saxon and german japanese on the other hand the italian model represents an interesting case study these three models are based on different international theories agency stakeholder resource dependence and stewardship scholars maintain that the agency theory is the most valid of the theories with respect to the existence of international convergence processes thus the objective of the paper is twofold first of all we want to understand which international theory has been adopted by anglo saxon german japanese and italian codes secondly we wish to verify whether empirical research confirms principle efficacy contained in codes of corporate governance from a co mparat ive study among international theories and rules it would emerge that variables contained in the codes would be better explained and regulated under agency approach it should be noted however that each country in spite of the convergence processes towards a single standard of rules is affected by their social and economic background finally we could argue that empirical studies do not often explain critical success factors in the same way of codes although both are the result of best practices

why do some households trade so much when agents can learn about their abilities as active investors they rationally trade to learn even if they expect to lose from active investing the model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior households portfolios underperform passive investments their trading intensity depends on past performance and they begin by trading small sums of money using household data from finland the article estimates a structural model of learning and trading the estimated model shows that investors trade to learn even if they are pessimistic about their abilities as traders it also demonstrates that realized returns are significantly downward biased measures of investors true abilities the author 2011 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

forming efficient networks abstract we suggest a simple sequential mechanism whose subgame perfect equilibria give rise to efficient networks moreover the payoffs received by the agents coincide with their shapley value in an appropriately defined cooperative game

bidding for the surplus a non cooperative approach to the shapley value abstract we propose a simple mechanism to determine how the surplus generated by cooperation is to be shared in zero monotonic environments with transferable utility the mechanism consists of a bidding stage followed by a proposal stage we show that the subgame perfect equilibrium outcomes of this mechanism coincide with the vector of the shapley value payoffs we extend our results to implement the weighted shapley values finally we generalize our mechanism to handle arbitrary transferable utility environments the modified mechanism generates an efficient coalition structure and implements the shapley values of the super additive cover of the environment journal of economic literature classification numbers c71 c72

italian corporate governance abstract the italian model of corporate governance is characterised by a high degree of ownership concentration both for unlisted and listed companies in the absence of an institutional framework facilitating more dispersed ownership as in the anglo saxon countries or mechanisms for financial supervision as in some continental european countries a limited degree of separation between ownership and control is achieved mainly by using pyramidal groups we analyse some of the effects of this organisational mode on firms financial structure and efficiency we report results on the effects of the limited protection of minority shareholders on the extent to which companies in pyramidal groups succeed in raising external finance and investigate how internal capital markets work in pyramidal groups we also present some results on the relationship between firms performance and governance structures

using usda forecasts to estimate the price flexibility of demand for agricultural commodities we estimate the general equilibrium price flexibility of demand for corn and soybeans using monthly changes in expected supply published by the usda our estimates reflect the demand response to a one year supply shock and thus correspond to the inverse demand elasticity we derive the conditions under which our estimates are consistent and we show how demand flexibility varies by season inventory time horizon and demand composition at average inventory and without accounting for corn ethanol use we obtain price flexibility estimates of 1 35 and 1 03 for corn and soybeans respectively current corn ethanol production levels are associated with much larger absolute flexibilities for both commodities copyright 2012 oxford university press

experimentation in markets we present a model of entry and exit with bayesian learning and price competition a new product of initially unknown quality is introduced in the market and purchases of the product yield information on its true quality we assume that the performance of the new product is publicly observable as agents learn from the experiments of others informational externalities arise we determine the markov perfect equilibrium prices and allocations in a single market the combination of the informational externalities among the buyers and the strategic pricing by the sellers results in excessive experimentation if the new product is launched in many distinct markets the path of sales converges to the efficient path in the limit as the number of markets grows in multi agent learning situations informational externalities may reduce the number of experiments undertaken below the socially efficient level as buyers choose among new experience goods or firms decide whether to adopt a new technology the availability of information from others decisions gives rise to a free rider problem rather than perform a costly experiment herself a buyer may opt to wait and see how the market evaluates the new product in this paper we develop a simple market model of experimentation and analyse the informational effects in a model with buyers and sellers in contrast to the one sided experimentation problems we find that equilibrium experimentation often exceeds the pareto optimal level in two sided models the first model we consider is a dynamic duopoly in continuous time with homogeneous buyers two firms with differentiated products engage in price competition over time one product has a known value while the other is new and its true value is initially uncertain to all the parties in the model the value of the product is determined by the quality of the match between consumer preferences and product characteristics additional information is acquired only through repeat purchases in each period buyers observe a noisy signal of the true value of the product we assume that all signals are publicly observable and that all uncertainty is about a common value component with this assumption all buyers and sellers condition their behaviour on the same information and we can abstract from individual differences in past observations this is justified in economic situations where public data on other buyers choices is available and informative for example when choosing among providers of communication or transportation services such as mail delivery firms or airlines it is reasonable to rely on consumer reports and other published data in addition to one s private experience we also show that our model has an alternative interpretation as one where a flow of buyers make a once and

a note on network formation with decay abstract this paper studies an endogenous network formation with decay we introduce a strategic form game based on a simple bilateral cost allocation rule we show that a strong nash equilibrium of this game always exists and necessarily achieves efficient networks

time varying risk premium further evidence in agricultural futures markets research has provided mixed results regarding the presence of a time varying risk premium in agricultural futures markets in this article we test for the presence of a time varying risk premium focusing on the properties of the underlying data our results show that accounting for the structural break in the 1970s plays a key role in the findings in contrast to recent research we find only limited evidence of time varying risk premium for a two month horizon the corn soybean meal and hog markets show no signs of a risk premium while very weak support for a time varying premium emerges in live cattle for the four month horizon no evidence of a time varying risk premium appears for any of the markets

interday variations in volume variance and participation of large speculators abstract we use data uniquely available from the commodity futures trading commission cftc to document the intraweek trading patterns of large speculators in five futures markets these markets include futures traded against the standard and poor s 500 stock index treasury bonds gold corn and soybeans we also examine the influence of large speculator trades on the patterns of volume and volatility for the contracts in our sample though we detect the familiar u shaped and inverted u shaped patterns across weekdays for volatility and aggregate volume the association between volume and volatility becomes stronger when we separate large speculator volume from volume associated with other traders the coefficient on large speculator volume is much larger than the coefficient on other volume in these regressions compared with total volume large speculator volume is greater on mondays than on the other days of the week in all five markets

learning and strategic pricing we consider the situation where a single consumer buys a stream of goods from different sellers over time the true value of each seller s product to the buyer is initially unknown additional information can be gained only by experimentation for exogeneously given prices the buyer s problem is a multi armed bandit problem the innovation in this paper is to endogenize the cost of experimentation to the consumer by allowing for price competition between the sellers the role of prices is then to allocate intertemporally the costs and benefits of learning between buyers and sellers we examine how strategic aspects of the oligopoly model interact with the learning process all markov perfect equilibria mpe are efficient we identify an equilibrium which besides its unique robustness properties has a strikingly simple seemingly myopic pricing rule prices below marginal cost emerge naturally to sustain experimentation intertemporal exchange of the gains of learning is necessary to support efficient experimentation we analyze the asymptotic behavior of the equilibria

luck versus forecast ability determinants of trader performance in futures markets statistical techniques are used to demonstrate that the fortunes of individual futures traders are determined by luck not forecast ability even though a large number of traders appear to exhibit significantly superior forecast ability the investigation strongly supports three conclusions there are fewer participants with significantly superior skill than expected if participants trade randomly there are more traders exhibiting no skill than expected if participants trade randomly and forecast ability is not correlated over time superior forecasters in the early period are only average forecasters in the later period therefore it is luck that determines trader performance copyright 1991 by university of chicago press

financial speculators underperformance learning self selection and endogenous liquidity we develop an equilibrium model of learning by rational traders to reconcile several empirical regularities cross sectionally most individual speculators lose money large speculators outperform small speculators past performance positively affects subsequent trade intensity most new traders lose money and cease speculation and performance shows persistence learning from trading generates substantial endogenous liquidity reducing bid ask spreads and the impact of exogenous liquidity shocks on asset prices but amplifying the effects of real shocks introducing slightly overconfident traders increases bid ask spreads hurting all traders finally behavioral theories cannot reconcile all of these empirical regularities

optimal retention in agency problems this paper studies the interaction between a single long lived principal and a series of short lived agents in the presence of both moral hazard and adverse selection we assume that the principal can influence the agents behavior only through her choice of a retention rule this rule is further required to be sequentially rational i e no precommitment is allowed we provide general conditions under which equilibria exist where a the principal adopts a cut off rule under which agents are retained only when the reward they generate exceeds a critical bound and b agents separate according to type with better agents taking superior actions we show that in equilibrium a retained agent s productivity is necessarily declining over time but that retained agents are also more productive on average than untried agents due to selection effects finally we show that for each given type agents of that type are more productive in the presence of adverse selection than when there is pure moral hazard i e when that type is the sole type of agent in the model nonetheless adding uncertainty about agent types cannot benefit the principal except in uninteresting cases

bidding for surplus in network allocation problems in this paper we study non cooperative foundations of network allocation rules we focus on three allocation rules the myerson value the position value and the component wise egalitarian solution for any of these three rules we provide a characterization based on component efficiency and some balanced contribution property additionally we present three mechanisms whose equilibrium payoffs are well defined and coincide with the three rules under consideration if the underlying value function is monotonic non monotonic value functions are shown to deal with allocation rules applied to monotonic covers the mechanisms are inspired by the implementation of the shapley value by perez castrillo and wettstein bidding for the surplus a non cooperative approach to the shapley value j econ theory 100 2 2001 274 294

optimal hedging with a subjective view an empirical bayesian approach the standard optimal hedging model has been the preferred theoretical model of normative hedging behavior in empirical applications the model is often implemented with the parameter certainty equivalent pce procedure however the pce procedure completely ignores parameter estimation risk and subjective views we develop an empirical bayesian optimal hedging model that not only effectively accommodates parameter estimation risk but also provides hedgers with a theoretically intuitive yet quantitatively rigorous framework to blend their subjective views and a marketwide or firmwide consensus in determining optimal hedging positions ratios

larger board size and decreasing firm value in small firms1 abstract several studies hypothesize a relation between board size and financial performance empirical tests of the relation exist in only a few studies of large u s firms we find a significant negative correlation between board size and profitability in a sample of small and midsize finnish firms finding a board size effect for a new and different class of firms affects the range of explanations for the board size effect

ceo duality and firm performance what s the fuss rising shareholder activism following poor corporate performance and a subsequent drop in shareholder value at many major u s corporations had rekindled interest in duality and corporate governance despite limited empirical evidence duality chairman of the board and ceo are the same individual has been blamed in many cases for the poor performance and failure of firms to adapt to a changing environment in examining the relationship between duality and firm performance this study considers the announcement effects of changes in duality status accounting measures of operating performance for firms that have changed their duality structure and long term measures of performance for firms that have had a consistent history of a duality structure our results suggest that 1 the market is indifferent to changes in a firm s duality status 2 there is little evidence of operating performance changes around changes in duality status and 3 there is only weak evidence that duality status affects long term performance after controlling for other factors that might impact that performance

a strategic model of social and economic networks we study the stability and efficiency of social and economic networks when self interested individuals can form or sever links first for two stylized models we characterize the stable and efficient networks there does not always exist a stable network that is efficient next we show that this tension persists generally to assure that there exists a stable network that is efficient one is forced to allocate resources to nodes that are not responsible for any of the production we characterize one such allocation rule the equal split rule and another rule that arises naturally from bargaining of the players

subscription mechanisms for network formation we analyze a model of network formation where the costs of forming links are publicly known but an individual s benefits are not known to the social planner the objective is to design a mechanism which not only ensures that an efficient network always forms in equilibrium but also ensures that the resulting net payoffs to the agents are equitable we propose two mechanisms towards this end in the first agents announce sequentially the set of players with whom they wish to form links and a cost contribution we show that all subgame perfect equilibria of this game result in the formation of an efficient network but the resulting net payoffs are asymmetric the second mechanism corrects this asymmetry through a two stage variant of the first mechanism we also discuss an extension of the basic model to cover the case of directed graphs and give conditions under which the proposed mechanisms are immune to deviations by coalitions

are corn futures prices getting jumpy the article sheds light on price jump risk in corn futures prices in the era of electronic trading and after the shift to real time announcement of usda reports using intraday prices from 2008 to 2015 we employ a nonparametric test to detect jumps and variance analysis to assess the relative importance of jump risk real time trading of major usda reports has substantially increased the frequency and clustering of price jumps and results in higher market liquidity costs in contrast although the presence of jumps on non announcement days has doubled recently their magnitude has declined as have transactions costs during their occurrence the largest jump risk or execution risk is experienced by high frequency traders due to heightened microstructure noise during price jumps however traders holding long term market positions are only minimally affected by increased jump risk

returns to individual traders in agricultural futures markets skill or luck using individual trader data from the commodity futures trading commission s cftc large trader reporting system ltrs for the period january 2000 to september 2009 this article investigates whether noncommercial traders in the corn live cattle and coffee futures markets persist in making profits two out of sample measures of skill a winner and a loser ranking test and a top and a bottom decile test are used to analyse the ability of traders to consistently perform well at monthly quarterly and annual time horizons the findings identify significant persistence in rankings traders in the top half of the profit distribution in a time period tend to stay in the top half in the next period differences in magnitude of profitability between the top and bottom deciles also provide support that persistent skill exists among the top 10 of traders detailed examination of annual rankings for those traders who were most continuously in the markets further reveals persistence in profits for a smaller s

financial development and economic growth views and agenda this critique argues that the preponderance of theoretical reasoning and empirical evidence suggests a positive first order relationship between financial development and economic growth the body of work would push even most skeptics toward the belief that the development of financial markets and institutions is a critical and inextricable part of the growth process and away from the view that the financial system is an inconsequential sideshow responding passively to economic growth many gaps remain however and the paper highlights areas in acute need of additional research

what do retail fx traders learn what is the benefit of experience using data from a leading trading platform we find no evidence that retail fx traders learn to trade better but they do appear to learn about their innate abilities as traders and respond appropriately in particular following an unsuccessful trading day they are more likely to cease trading to trade smaller amounts and to trade less frequently these effects are stronger for younger and less experienced traders who might be expected to have more to learn than older more experienced traders as regards learning through experience surprisingly we find that more seasoned traders demonstrate a slight decline in performance once we account for the endogenous decision to cease trading and even very experienced traders consistently lose money