annual and cropping season environmental production conditions effects on smallholder technical efficiency in sub saharan africa evidence from ethiopia this article investigates the impact of environmental production conditions on smallholder farmers technical efficiency in ethiopia for wheat maize and sorghum farming we use a household panel data set with annual and cropping season environmental production conditions to estimate the technical efficiency scores the results show that including environmental production conditions in the stochastic frontier has a significant impact on farmers technical efficiency scores technical efficiency scores improve when environmental production conditions are incorporated in the stochastic frontier thus accounting for environmental production conditions reduces the inefficiencies that otherwise may be attributed to the characteristics of smallholder farmers

commodities momentum a behavioral perspective the growth in commodity related investments has sparked interest in the performance of momentum strategies in these markets this paper introduces a behavioral proxy of the 52 week high and low momentum that explains a significant proportion of the variation of conventional momentum returns after controlling for commodity specific risk factors our findings show that the 52 week high strategy generates significant profits after accounting for transaction costs we report that the 52 week high strategy is a better predictor of returns than conventional momentum our findings suggest that term structure and hedging pressure risk factors provide only a partial explanation of the results

adaptive markets and the new world order corrected may 2012 in the adaptive markets hypothesis amh intelligent but fallible investors learn from and adapt to changing economic environments this implies that markets are not always efficient but are usually competitive and adaptive varying in their degree of efficiency as the environment and investor population change over time the amh has several implications including the possibility of negative risk premiums alpha converging to beta and the importance of macro factors and risk budgeting in asset allocation policies

estimation of stochastic frontier production functions with time varying parameters and technical efficiencies using panel data from indian villages abstract a stochastic frontier production function with time varying technical efficiencies is estimated using panel data from icrisat s village level studies in three indian villages given the specifications of a linearized version of a cobb douglas stochastic frontier production function with coefficients which are a linear function of time the hypothesis that the traditional response function is an adequate representation of the data is accepted for only one of the three villages the hypothesis of time invariant technical inefficiencies is not rejected for one of the two villages for which significant technical inefficiencies exist the hypothesis of time invariant elasticities of the input variables is rejected for two of the three villages further the hypothesis that hired and family labour are equally productive is accepted in only one of the three villages the technical efficiencies of individual farms exhibited considerable variation in the two villages with either time invariant or time varying technical efficiencies

commodity liquidity measurement and transaction costs we examine the performance of liquidity proxies in commodities the amihud measure has the largest correlation with liquidity benchmarks amivest and effective tick measures also perform well these proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high frequency data we use various aspects of transaction costs such as spread depth immediacy and resiliency to give insight into the costs of different execution approaches transaction costs increase with volatility and exhibit mean reversion splitting trades over one hour can reduce trading costs by two thirds compared to an immediate execution 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

exchange rate return predictability and the adaptive markets hypothesis evidence from major foreign exchange rates this study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis mdh using daily and weekly nominal exchange rates from 1975 to 2009 we use alternative mdh tests for linear and nonlinear dependence which include wild bootstrap automatic variance ratio test generalized spectral test and consistent tests we evaluate time varying return predictability by applying these tests with fixed length moving sub sample windows of two years while exchange rate returns are found to be unpredictable most of times we do observe episodes of statistically significant return predictability they are associated with coordinated central bank interventions and the subprime mortgage crisis in 2007 this finding suggests that return predictability of foreign exchange rates occurs from time to time depending on changing market conditions which is consistent with the implications of the adaptive markets hypothesis

index investment and the financialization of commodities the authors found that concurrent with the rapidly growing index investment in commodity markets since the early 2000s prices of non energy commodity futures in the united states have become increasingly correlated with oil prices this trend has been significantly more pronounced for commodities in two popular commodity indices this finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non energy commodities around 2008

technical efficiency and productivity of maize producers in eastern ethiopia a study of farmers within and outside the sasakawa global 2000 project abstract this paper investigates the technical efficiency of two samples of maize producers in eastern ethiopia one involving farmers within the sasakawa global 2000 project and the other involving farmers outside this program the study uses stochastic frontier production functions in which the technical inefficiency effects are assumed to be functions of the age and education of the farmers together with the time spent by extension advisers in assisting farmers in their agricultural production operations for the cross sectional data obtained for the 1995 96 agricultural year cobb douglas stochastic frontiers are found to be adequate representations of the data given the specifications of the translog stochastic frontiers for farmers within and outside the project the empirical results indicate that farmers within the sg 2000 project are more technically efficient than farmers outside the project relative to their respective technologies the mean frontier output of maize for farmers within the sg 2000 project is significantly greater than that for the farmers outside the project

efficiency in agricultural production the case of peasant farmers in eastern paraguay abstract this paper contributes to the productivity literature in developing country agriculture by quantifying the level of efficiency for a sample of peasant farmers from eastern paraguay a stochastic efficiency decomposition methodology is used to derive technical allocative and economic efficiency measures separately for cotton and cassava an average economic efficiency of 40 1 for cotton and of 52 for cassava is found which suggests considerable room for productivity gains for the farms in the sample through better use of available resources given the state of technology gains in output through productivity growth have become increasingly important to paraguay as the opportunities to bring additional virgin lands into cultivation have significantly diminished in recent years no clear strategy to improve farm productivity could be gleaned from an examination of the relationship between efficiency and various socioeconomic variables one possible explanation for this finding is the existence of a stage of development threshold below which there is no consistent relationship between socioeconomic variables and productivity if this is the case then our results suggest that this sample of paraguayan peasants are yet to reach such a threshold hence improvements in educational and extension services for example would be needed to go beyond this threshold once this is accomplished additional productivity gains would be obtained by further investments in human capital and related factors

the first industrial revolution resolving the slow growth rapid industrialization paradox the paper reviews recent attempts to quantify the british industrial revolution it concludes that the episode was one of rapid industrialization but modest growth to a considerable extent this is explained by the early adoption of capitalist farming and the weak impact of steam on productivity growth however this should not detract from a marked acceleration in the rate of technological change by the second quarter of the 19th century this may be explicable in an endogenous innovation framework in terms of a reduced cost of accessing useful knowledge models of long run growth should take this enhanced technological capability seriously jel n23

volatility behavior of oil industrial commodity and stock markets in a regime switching environment abstract this study supplements previous regime switching studies on wti crude oil and finds two possible volatility regimes for the strategic commodity prices of brent oil wti oil copper gold and silver and the s p 500 index but with varying high to low volatility ratios the dynamic conditional correlations dccs indicate increasing correlations among all the commodities since the 2003 iraq war but decreasing correlations with the s p 500 index the commodities also show different volatility persistence responses to financial and geopolitical crises while the s p 500 index responds to both financial and geopolitical crises implications are discussed

weather shocks coping strategies and consumption dynamics in rural ethiopia summary rural households adopt a broad range of strategies to cope with adverse weather shocks previous studies have examined the effectiveness of individual coping strategies in mitigating the impact of adverse weather shocks but no study to date has presented a comprehensive evaluation of alternative coping strategies we employ household panel data spanning 15 years to estimate the impact of weather shocks on consumption and poverty dynamics in rural ethiopia along with the effectiveness of household coping strategies in alleviating the impact of shocks we find that rainfall increases are positively associated with per adult equivalent consumption while high temperatures are negatively associated with consumption in terms of household coping strategies formal social safety net transfers mitigate the impact of adverse rainfall shocks on consumption and off farm employment mitigates the impact of high temperature shocks simulations suggest that rainfall shocks and formal social safety net transfers significantly influence household poverty dynamics by contrast high temperature shocks and off farm employment have less impact on poverty dynamics the results highlight the need for social protection programs that support existing household coping strategies and that can rapidly respond to weather shocks

predicting technical effciency in stochastic production frontier models in the presence of misspecification a monte carlo analysis this paper provides a theoretical explanation for the sensitivity of technical efficiency measures to the choice of functional specification in stochastic production frontier models it is shown that inappropriate functional specifications translate into a misspecification in the conditional mean of the stochastic frontier regression model this misspecification in turn results in estimates of technical efficiency confidence intervals and production elasticities being biased even asymptotically monte carlo simulations reveal that the severity of the bias depends on the functional specification and the percentage contribution of the variance of technical inefficiency to the total variance of the composed errors

temperature and seasonality influences on spanish electricity load abstract deregulation of the spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in spain in this paper a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree days the influence of weather and seasonality is proved and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account the estimated general model shows a high predictive power the results and information presented in this paper could be of interest for current users and potential traders in the deregulated spanish electricity market

underlying trends and seasonality in uk energy demand a sectoral analysis this paper demonstrates the importance for energy demand modelling of allowing for trends and seasonal effects that are stochastic in form inherent underlying trends may be non linear and reflect not only technical progress which usually produces greater energy efficiency but also other factors such as changes in consumer tastes and the economic structure that may be working in the opposite direction using quarterly unadjusted data for various sectors in the uk it is shown that unless energy demand models are formulated so as to allow for stochastic trends and seasonals estimates of price and income elasticities could be seriously biased

smallholder technical efficiency controlling for environmental production conditions abstract smallholder agricultural production depends heavily on environmental production conditions that are largely exogenously determined yet few data sets collect necessary detailed information on environmental production conditions this oversight raises the spectre of likely omitted variables bias because farmers input choices typically respond in part to environmental conditions moreover because environmental production conditions are rarely symmetrically distributed the omission also generally leads to upward bias in estimated technical inefficiency and to biased estimates of the correlates of estimated technical inefficiency as well using panel data from 464 traditional rice plots in cote d ivoire we show that controlling for heterogeneous environmental production conditions significantly changes inferences perhaps especially with respect to smallholder rice farmers estimated technical inefficiency

risk financial markets and human capital in a developing country this paper explores the link between financial market incompleteness and human capital accumulation we examine how child school attendance responds to seasonal fluctuations in the income of agrarian households using panel data from rural india to pinpoint market imperfections we study responses to aggregate and idiosyncratic as well as to anticipated and unanticipated income shocks our main finding is that seasonal fluctuations in school attendance are a form of self insurance but one which does not result in a substantial loss of human capital on average

the adaptive markets hypothesis evidence from the foreign exchange market we analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true out of sample tests on previously studied rules the excess returns of the 1970s and 1980s were genuine and not just the result of data mining but these profit opportunities had disappeared by the early 1990s for filter and moving average rules returns to less studied rules also have declined but have probably not completely disappeared high volatility prevents precise estimation of mean returns these regularities are consistent with the adaptive markets hypothesis lo 2004 but not with the efficient markets hypothesis

capturing the risk premium of commodity futures the role of hedging pressure abstract we construct long short factor mimicking portfolios that capture the hedging pressure risk premium of commodity futures we consider single sorts based on the open interests of hedgers or speculators as well as double sorts based on both positions the long short hedging pressure portfolios are priced cross sectionally and present sharpe ratios that systematically exceed those of long only benchmarks further tests show that the hedging pressure risk premiums rise with the volatility of commodity futures markets and that the predictive power of hedging pressure over cross sectional commodity futures returns is different from the previously documented forecasting power of past returns and the slope of the term structure

combining momentum with reversal in commodity futures this paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures while the single sort momentum strategies returns 11 14 per annum on average a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation combining the observed reversal pattern with the momentum signal our double sort strategy returns 20 24 per annum which significantly outperforms single sort strategies the proposed strategy is robust to seasonality effects and sample adjustments in commodity futures the profitability of the double sort strategy cannot be explained by standard risk factors term structure market volatility investor sentiment data mining or transaction costs but appears to be related to global funding liquidity as a consequence the double sort strategy in commodity futures may be employed as a portfolio diversification tool

tactical allocation in commodity futures markets combining momentum and term structure signals this paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets with significant annualized alphas of 10 14 and 12 66 respectively the momentum and term structure strategies appear profitable when implemented individually with an abnormal return of 21 02 our double sort strategy that exploits both momentum and term structure signals clearly outperforms the single sort strategies this double sort strategy can additionally be utilized as a portfolio diversification tool the abnormal performance of the combined portfolios cannot be explained by a lack of liquidity data mining or transaction costs