is bioprospecting a viable strategy for conserving tropical ecosystems many prominent scientists avidly advocate bio prospecting the systematic search for new com mercial applications for biota especially hithertounstudied species as a mechanism for inducingtropical biodiversity conservation by making itcommercially attractive wilson 1992 reid et al 1993 paho 1996 weiss and eisner 1998 bio prospecting s premise is that nature contains hid den assets of potentially huge yet unknownmagnitude to humankind that can motivate andeven nance biodiversity conservation in the trop ics this undiscovered genetic or biochemical in formation is commonly framed in the context ofpotential improvements in medicine or food thusde ning a massive global population of potentialbene ciaries it is further argued that bioprospect ing can affect social and economic development indeveloping countries by rewarding biota rich butincome poor tropical communities that preserveand wisely manage their genetic resources thepremise of bioprospecting coupled with the claimthat practically all of humankind stands tobene t and perhaps most especially the poorestof the poor naturally leads to an urgent desire toconserve tropical biodiversity in order to enablediscovery extraction and value adding transfor mation of tropical biota speci cally it is claimed that bioprospectingstimulates conservation through two mechanisms first bioprospecting rms should be willing topay to preserve biodiversity for its innovationoption value since they stand to reap direct nan cial bene ts from any marketable discoveries sec ond conditional on an increase in life sciences rms willingness to pay for conservation localinhabitants and landholders valuation of biodi versity will change to the extent that they asstewards over biodiverse habitats are compen sated for their contribution to bioprospecting ac tivities to date most attention with respect to

model choice and value at risk performance broad agreement exists among both the investment banking and regulatory communities that the use of internal risk management models is an efficient means for calculating capital risk requirements the determination of model parameters laid down by the basle committee on banking supervision as necessary for estimating and evaluating the capital adequacies however has received little academic scrutiny we investigate a number of issues of statistical modeling in the context of determining market based capital risk requirements we highlight several potentially serious pitfalls in commonly applied methodologies and conclude that simple methods for calculating value at risk often provide superior performance to complex procedures our results thus have important implications for risk managers and market regulators

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

new evidence on beta stationarity and forecast for belgian common stocks abstract based on a comprehensive sample of 170 securities traded continuously on the brussels stock exchange from december 1966 to december 1983 this paper presents evidence which indicates that the stationarity of beta coefficients is not as strong as reported in previous studies which were based on smaller samples it is shown however that beta forecast can be generally improved using an adjustment method and that the improvement is highest for portfolios of increasing size

the asymptotic distribution of extreme stock market returns this article presents a study of extreme stock market price movements according to extreme value theory the form of the distribution of extreme returns is precisely known and independent of the process generating returns using data for an index of the most traded stocks on the new york stock exchange for the period 1885 1990 the author shows empirically that the extreme returns obey a frechet distribution copyright 1996 by university of chicago press

the rainforest supply price a tool for evaluating rainforest conservation expenditures abstract economic policies are often suggested as mechanisms for promoting rainforest conservation in developing countries to help decide whether international resources should be used to protect specific rainforests the calculation of a rainforest supply price rsp is proposed korup national park in cameroon contains the oldest rainforest in africa and as a haven for important endangered species it is the subject of active international conservation efforts a cost benefit analysis of a conservation project to protect korup from increased land use pressures suggests that it is not in cameroon s interest unless a 5 4 million ecu inducement is transferred to cameroon given the protection afforded the transfer is equivalent to a rsp of 1060 ecu per km2 per year evaluations of six other tropical rainforest projects suggest that international donors made transfers having values ranging from 15 to 1575 ecu per km2 per year it is thus concluded that the inducements required are within a range that conservation interests are apparently willing to mobilize

a generalized quantity discount pricing model to increase supplier s profits in this paper the joint problem of ordering and offering price discount by a supplier to his sole major buyer is analyzed the objective is to induce the buyer to alter his order schedule and size so that the supplier can benefit from lower set up ordering and inventory holding costs we generalize the quantity discount pricing model of monahan monahan j p 1984 a quantity discount pricing model to increase vendor profits management sci 30 6 720 726 to 1 explicitly incorporate constraints imposed on the amount of discount that can be offered and 2 relax the implicit assumption of a lot for lot or order for order policy adopted by the supplier an algorithm is developed to solve the supplier s joint ordering and price discount problem

factor related and specific returns of common stocks serial correlation and market inefficiency one of the most basic tests of market efficiency is the test for serial correlation of returns if the return on a typical stock in period t is correlated with its return in period t 1 then the best unbiased minimum mean square error prediction for the return in period t equals the prior return multiplied by the correlation coefficient an investor concerned only about the mean and variance of portfolio return would use the prediction to improve the mean variance trade off of portfolio return by shading the portfolio toward stocks predicted to have high returns and away from stocks predicted to have low returns hence using knowledge about the previous month s returns the investor produces a portfolio with superior mean variance performance this violates the weak form of market efficiency fama 1 in the sense that the expected return for each stock based upon knowledge of the previous month s return is different from the expected return based only upon the current stock price the same argument may be applied to any component of returns as distinct from total return for example in a linear multiple factor plus specific return model of security returns total excess return is decomposed into factor related return and specific return the empirical results in this paper find positive serial dependence in the factor related component and negative serial dependence in the specific component which nearly offset one another resulting in zero correlation in total excess returns formally

derivatives regulation implications for central banks abstract we review aspects of derivatives markets that affect central bank operations we focus on how derivatives affect monetary policy and bank supervision and argue that derivatives have no material adverse impact on the conduct of monetary policy our analysis suggests that both derivatives users and dealers face relatively small default risks from derivatives systemic risk the risk of widespread default has been largely exaggerated policy debates have neglected incentives of employees the nature of this agency risk suggests that internal controls are more likely to reduce these problems than derivatives regulation

an evaluation of volatility forecasting techniques the existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts evidence can be found supporting the superiority of relatively complex models including arch class models while there is also evidence supporting the superiority of more simple alternatives these inconsistencies are of particular concern because of the use of and reliance on volatility forecasts in key economic decision making and analysis and in asset option pricing this paper employs daily australian data to examine this issue the results suggest that the arch class of models and a simple regression model provide superior forecasts of volatility however the various model rankings are shown to be sensitive to the error statistic used to assess the accuracy of the forecasts nevertheless a clear message is that volatility forecasting is a notoriously difficult task

valuing research leads bioprospecting and the conservation of genetic resources bioprospecting has been touted as a source of finance for biodiversity conservation recent work has suggested that the bioprospecting value of the marginal unit of genetic resources is likely to be vanishingly small creating essentially no conservation incentive this result is shown to flow specifically from a stylized description of the research process as one of brute force testing unaided by an organizing scientific framework scientific models channel research effort toward leads for which the expected productivity of discoveries is highest leads of unusual promise then command information rents associated with their role in reducing the costs of search when genetic materials are abundant information rents are virtually unaffected by increases in the profitability of product discovery and decline as technology improvements lower search costs numerical simulation results suggest that under plausible conditions the bioprospecting value of certain genetic resources could be large enough to s

the macroeconomics of modigliani miller abstract we examine the validity of a macroeconomic version of the modigliani miller theorem by this we mean that different capital structures can occur in equilibrium and that all of them are associated with the same allocation of commodities and the same welfare we develop a general equilibrium model with two production sectors risk averse households and financial intermediation by banks banks are funded by safe deposits and outside equity and monitor borrowers in lending two sets of equilibria emerge these sets differ with regard to the debt equity ratios of banks investment in risky technologies bank defaults and whether first best allocations are attained hence the macroeconomic version of the modigliani miller theorem fails to hold imposing minimum equity capital requirements however eliminates all inefficient equilibria and guarantees the validity of the macroeconomic version of the modigliani miller theorem

friction in the trading process and the estimation of systematic risk abstract this paper considers how estimates of the market model beta parameter can be biased by friction in the trading process information decision and transaction costs that a leads to a distinction between observed and true returns b causes observed returns to be generated asynchronously for a set of interdependent securities and c thereby introduces serial cross correlation into security returns several propositions are derived from which consistent estimators of beta are obtained and the effect of differencing interval length on beta estimates is specified the formulation is contrasted with the related analyses of scholes williams 1977 and dimson 1979

an approach for developing an optimal discount pricing policy this paper addresses the problem of why and how a seller should develop a discount pricing structure even if such a pricing structure does not alter ultimate demand the situation modeled is most appropriate where the seller s product does not represent a major component of the buyer s final product where the demand for the product is derived or where the price is only one of many factors considered in making a purchase decision a model of buyer reaction to any given pricing scheme is developed to show that there exists a unified pricing policy which motivates the buyer to increase its ordering quantity per order thereby reducing the joint buyer and seller ordering and holding costs as a result the seller is able to reduce its costs while leaving the buyer no worse off and often better off the model is extended to handle variable ordering and shipping costs and situations where the seller faces numerous groups of buyers each having different ordering policies finally a case study is presented explicitly showing how the proposed pricing policy can be applied to the situation of a large seller selling to a number of different buyer groups

a word of caution on calculating market based minimum capital risk requirements this paper demonstrates that the use of garch type models for the calculation of minimum capital risk requirements mcrrs may lead to the production of inaccurate and therefore inefficient capital requirements we show that this inaccuracy stems from the fact that garch models typically overstate the degree of persistence in return volatility a simple modification to the model is found to improve the accuracy of mcrr estimates in both back and out of sample tests given that internal risk management models are currently in widespread usage in some parts of the world most notably the usa and will soon be permitted for ec banks and investment firms we believe that our paper should serve as a valuable caution to risk management practitioners who are using or intend to use this popular class of models

volatility forecasting without data snooping abstract data snooping arises when the properties of a data series influence the researcher s choice of model specification when data has been snooped tests undertaken using the same series are likely to be misleading this study seeks to predict equity market volatility using daily data on u k stock market returns over the period 1955 1989 we find that even apparently innocuous forms of data snooping significantly enhance reported forecast quality and that relatively sophisticated forecasting methods operated without data snooping often perform worse than naive benchmarks for predicting stock market volatility we therefore recommend two alternative models both of which are extremely simple

market and industry structure and corporate cost of capital the impact of the structural attributes of industries on the cost of capital to constituent firms is examined within the framework of the capital asset pricing model capm the relationship between industry structure and systematic risk which the capm posits as the sole determinant of security returns is investigated using regression methodology the results show that industry characteristics such as capital intensity capital to labour ratio and entry barriers such as advertising have a significant influence on systematic risk and hence on the cost of capital to firms recent us studies e g sullivan 1982 have investigated the relationship between market power and the stock market return on equity using the capital asset pricing model capm within the capm framework investor required return is a linear function of systematic risk the impact of industry structure on expected return is therefore likely to be transmitted through investors perceptions of the relationship between the structural variables and firm systematic risk some recent theoretical studies have attempted to model such a relationship this paper reports an empirical examination of the predictions resulting from these and other related models for a sample of uk firms our results show that industry structural characteristics e g capital intensity have a significant influence on systematic risk and hence cost of capital of firms although the predictions of the extant theoretical models are only partly confirmed the next section identifies a number of microeconomic determinants of corporate systematic risk section iii discusses the methodology employed in the study section iv describes the sampling procedure and explanatory variables results are discussed in section v the final section provides a summary and the conclusions

estimating and adjusting for the intervalling effect bias in beta the concept of beta as the measure of systematic risk has been widely accepted in the academic and financial community increasingly betas are being used to estimate the cost of capital for corporations despite this however biases are generally present in ordinary least squares ols estimates of beta in particular empirical estimates of beta are affected by friction in the trading process which delays the adjustment of a security s price to informational change and hence leads to an intervalling effect bias in this paper we present and empirically test two procedures for correcting this bias the first is to estimate the asymptotic value that ols beta approaches as the differencing interval is lengthened without bound the second procedure is to infer the value of beta by adjusting ols beta for cross sectional differences in the intervalling effect as a function of the depth of the market for a security as measured by its value of shares outstanding our results suggest that a substantial correction is needed to get true beta estimates from short differencing interval data

revisiting foundations in lot sizing connections between harris crowther monahan and clark abstract while many review articles exist on deterministic lot sizing models used in the context of price and quantity discounts buyer vendor coordination supply chain management and joint economic lot sizing problems they do not convey the impact of important findings which date back to at least 2002 or in hindsight to 1984 as a result many recent articles still model the financial implications of lot sizing decisions without having the assurance that these models would help the firm s involved in maximising the net present value npv this paper therefore reviews these findings while adding also its own contributions as to convey the general importance to lot sizing theory we show that the underlying principles used in the four key articles that have led to a division in modelling approaches are in fact all in line with npv and argue that therefore there should not be these discrepancies that currently persist in the literature we establish the connections between these four strands of the literature using the solution to a simple variation of harris eoq model deriving thereby results from boyaci and gallego 2002 and beullens and janssens 2011 but showing their general applicability to any type of supply chain structure the breath of implications to deterministic lot sizing theory is illustrated using practical examples we present a stochastic version of the model of crowther 1964 which is arguably the least understood and applied model but on the other hand the most important one in realising how these modelling strands can be unified

links between rural poverty and the environment in developing countries asset categories and investment poverty abstract this paper presents a framework for analyzing the links between poverty and the environment in rural areas of developing countries it introduces the concept of investment poverty and relates it to other measures of poverty in analysis of these links the notion of poverty is examined in the context of categories of assets and categories of environment change with particular focus on farm household income generation and investment strategies as determinants of the links the strength and direction of the poverty environment links are shown to differ even invert depending on the composition of the assets held by the rural poor and the types of environmental problems they face policy strategies need to focus on conditioning variables that affect market development community wealth infrastructure household asset distribution and the affordability and appropriateness of natural resource conservation technologies

the distributional impact of a resource boom abstract sizeable export growth led by a booming natural resource extraction sector has recently been experienced in a number of countries this form of growth holds potentially important implications for the distribution of income and in this paper a simple general equilibrium trade model is presented which is aimed at exposing the effects of a resource boom on factor owners real incomes the analysis highlights the critical role played by the real exchange rate and also explores the consequences of a resource boom in the presence of real international capital flows and endogenous protection wherein one group of factor owners uses commercial policy to maintain the group members real incomes

the stability of uk risk measures and the problem of thin trading this paper examines the problems of estimating risk measures and their stability in thin markets it shows analytically that conventional approaches used in previous studies can lead to serious overestimates of the stability of risk measures when shares are subject to thin trading it then demonstrates using uk data that this is in fact a serious practical problem and that the resultant biases are of precisely the form predicted finally the paper presents reliable evidence on the stability of uk risk measures by using an estimation method designed to avoid thin trading bias using this approach risk measures are found to be as stable in the uk as they are in the usa this paper examines the stability of risk measures in the uk the focus is on providing reliable evidence in a market where many of the shares suffer from thin trading this is important because thin trading can seriously distort stability measures leading to incorrect conclusions indeed this is a problem which has almost certainly afflicted many previous studies of stability the paper makes four main contributions first it shows analytically that thin trading can lead to serious overstatements about stability second it uses uk data to illustrate that this is in fact a serious practical problem and that the biases are of precisely the form predicted this is important for anyone who wishes to interpret previous claims on beta stability in thin markets third the paper presents reliable evidence on the stability of uk betas by using an estimation method designed to avoid thin trading bias besides avoiding bias our

a fuzzy mathematical model for the joint economic lot size problem with multiple price breaks abstract this paper applies fuzzy mathematical programming to solve the joint economic lot size problem with multiple price breaks in order to entice the buyer to increase the order quantity it is a common practice for the seller to offer quantity discounts to the buyer from the system viewpoint the joint cost for the seller and buyer can be minimized only when the buyer increases his economic order quantity the problem is how to determine the number of price breaks as well as the quantity discount and order quantity at each price break to achieve the optimal joint cost fuzzy mathematical programming provides a very efficient algorithm to solve the above problem simultaneously from the perspectives of the seller and the buyer another common problem in joint economic lot size model is how to split the system profit between the seller and the buyer whereas the traditional approach to this problem is to divide the profit based on a certain ratio determined by the bargaining power of both parties fuzzy mathematical programming can achieve the same satisfaction level to both parties based on their respective cost functions

does vix or volume improve garch volatility forecasts abstractthis article considers whether the inclusion of two additional variables can improve volatility forecasts over a standard garch based model we consider three alternative ways of incorporating the volatility index vix and trading volume as exogenous variables within a selection of garch models we are particularly interested in whether these variables have additional incremental forecast power over and above the baseline garch specification our results suggest that both the vix and volume do provide some additional forecast power and this is generally improved when considering both of these series jointly in the model however while the results may be statistically significant the gain is marginal and the coefficient values small moreover in a horse race exercise vix does not outperform the garch approach in answering the question of whether vix produces better forecasts than the garch model then the answer is no but the informational content of vix cannot be ignored and should be incorp

capital requirements for securities firms regulatory authorities set capital requirements to cover the position risk of securities firms and to protect against losses arising from fluctuations in the value of their holdings the requirements may be set using the comprehensive approach required by the u s securities and exchange commission the building block approach required by the european community or the portfolio approach required by the united kingdom we compare these three alternatives using a large sample of u k equity trading books the portfolio approach systematically specifies larger requirements for riskier books and vice versa it is more efficient than the building block approach and far more efficient than the comprehensive approach

liquidity provision banking and the allocation of interest rate risk abstract the paper studies the efficient allocation of technology induced interest rate risk and the implications of such risk for efficient liquidity provision complete immunization against interest rate risk is shown to be undesirable as it precludes the exploitation of favourable reinvestment opportunities under the assumptions of diamond dybvig 1983 interest induced valuation risks of long term assets should be born by early withdrawers reinvestment opportunity risks of short term assets by late withdrawers efficient liquidity provision thus entails no shifting of interest rate risk in the absence of additional moral hazard second best allocations can be implemented through unregulated competition among banks

options taxes and ex dividend day behavior a novel way of estimating the expected as opposed to the actual share price fall off is developed using option prices this method is applied to the uk traded options market using data from 1979 to 1984 the results show that a the average expected fall off implicit in option prices is around 55 to 60 of the dividend and significantly different from it the fall off also varied inversely with the dividend yield which is consistent with the prediction of the tax clientele hypothesis b the estimates of the expected fall off were not significantly different from the actual fall off c finally the results imply that the usual assumption made in valuing options on dividend paying stocks that the fall off is equal to the dividend would lead to downward biased estimates of the option value

market based conservation and local benefits the case of argan oil in morocco abstract market based approaches to biodiversity conservation gained popularity in the 1990s the success of these strategies hinges on first the successful creation or expansion of target markets and second the beneficial involvement of local stakeholders in these markets so that improved incentives induce conservation this paper evaluates these two key elements in the case of argan oil commercialization in southwestern morocco the principal finding is that even when locals appear well positioned to reap ex post benefits one can reject the hypothesis that successful resource commercialization necessarily stimulates local development and reduces poverty most locals participate only superficially in the new and expanded markets for argan oil and the benefits that do trickle down to local households appear to be regressively distributed both regionally and between households the key lies in understanding how opening or expanding markets may induce endogenous product differentiation that easily excludes locals especially the poor and how ex ante market access a variable commonly correlated with wealth conditions households capacity to participate in market induced producer windfalls

an incremental discount pricing schedule with multiple customers and single price break abstract this paper analyzes how a supplier can formulate the terms of a quantity discount pricing schedule assuming a single incremental discount system a model is developed from which an algorithm is derived for an optimal discount schedule the cases are investigated in which both the discount rate and the break point are unknown and either one is prescribed a numerical example is presented to illustrate the algorithm developed

a cooperative game theory model of quantity discounts quantity discounts offered by a monopolist are considered in the context of a bargaining problem in which the buyer and the seller negotiate over the order quantity and the average unit price all units and incremental quantity discounts that permit transaction at a negotiated outcome are described the effects of risk sensitivity and bargaining power on quantity discounts are discussed for alternative bargaining models

the persistence of volatility and stock market fluctuations this paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices it demonstrates that volatility is only weakly serially correlated implying that shocks to volatility do not persist these shocks can therefore have only a small impact on stockmarket prices since changes in volatility affect expected required rates of return for relatively short intervals these findings lead us to be skeptical of recent claims that the stock market s poor performance during the 1970 s can be explained by volatility induced increases in risk premia this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

level playing fields and laissez faire postliberal development strategy in inegalitarian agrarian economies focusing on the rural sector in latin america this paper explores the microeconomic linkages between distribution and growth which drive the possible reproduction of rural poverty over time the result of this exploration is a neostructuralist perspective which argues that actually existing laissez faire agrarian economies do not present a level playing field and that low wealth farms face disadvantages which tend to reproduce or even deepen sectoral inequality the paper then tries to identify the sorts of public policy and collective action which might modify the nature of growth and distribution in post liberalization agrarian market economy

value at risk models for dutch bond portfolios this study investigates the consequences of dynamics in the term structure of dutch interest rates for the accurateness of value at risk models therefore value at risk measures are calculated using both historical simulation variance covariance and monte carlo simulation methods for a ten days holding period the best results were obtained for a combined variance covariance monte carlo method using a term structure model with a normal distribution and garch specification term structure models with a t distribution or with cointegration performed much worse 2000 elsevier science b v all rights reserved jel classification e43 g28

a cooperative inventory policy with deteriorating items for a two echelon model a cooperative inventory policy between supplier and buyer is proposed unlike other studies we consider the case of deteriorating items and permit the completed back order in the problem we solve the problem without the condition of equal replenishments periods during a specified planning horizon and present a procedure to find the optimal solution a case is presented to demonstrate the application of the proposed approach the sensitivity analysis for a cooperation policy between supplier and buyer also are explored

forecasting volatility and volume in the tokyo stock market long memory fractality and regime switching abstract we investigate the predictability of both volatility and volume for a large sample of japanese stocks the particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short memory counterparts since long memory models should have a particular advantage over long forecasting horizons we consider predictions of up to 100 days ahead in most respects the long memory models arfima figarch and the recently introduced multifractal model dominate over garch and arma models however while figarch and arfima also have quite a number of cases with dramatic failures of their forecasts the multifractal model does not suffer from this shortcoming and its performance practically always improves upon the naive forecast provided by historical volatility as a somewhat surprising result we also find that for figarch and arfima models pooled estimates i e averages of parameter estimates from a sample of time series give much better results than individually estimated models

standard deviations implied in option prices as predictors of future stock price variability abstract standard deviations implied in option prices have recently been introduced as being better than average predictors of future stock price variability this article specifically studies the predictive ability of implicit standard deviations taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock transaction data information was used to study the importance of non simultaneities in observing stock and option prices

fairness stewardship and sustainable development abstract the welfare economic concept of fairness offers an attractive axiomatic foundation for the popular notion of stewardship fairness emphasizes the ex ante equal standing of all persons across and within generations this highlights the inextracability of poverty alleviation and environmental sustainability especially in the agrarian tropics where biodiversity loss deforestation and desertification are growing global concerns