Sloping Curve Research Articles

The Cross-Section of Currency Volatility Premia

We identify a global risk factor that drives the cross-section of volatility excess returns in the foreign exchange market. We show that a zero-cost strategy that buys forward volatility agreements with downward sloping volatility curves and sells those with upward slopes - the volatility carry strategy - earns on average 5.15% per month. When we form slope-sorted portfolios, the covariation with volatility carry returns fully explains the cross-sectional variation of our portfolios. The lower the slope of the volatility curve, the more the forward volatility agreement is exposed to volatility carry risk. A standard no-arbitrage model of exchange rates with two types of factor - a set of country specifi c factors and a global one - provides intuition for the findings. The state variables determining the exposure to the global risk factor are empirically related to squared deviations of changes in economic growth. In the cross-section, the returns to volatility carry strategy are only weakly related to traditional currency risk factors, like carry, global imbalance, global volatility and global liquidity risk.

Domestic and imports sources of supply to the US shrimp market and anti-dumping duties

Purpose The purpose of this paper is to provide an economic analysis of the sources of supply to the US shrimp market. Design/methodology/approach The paper uses monthly time series data to estimate a simultaneous equations model with equations for domestic supplies from the Gulf of Mexico, imports, and prices. Findings Estimated long-run elasticities suggest that the domestic shrimp supply appears to be explained by seasons, diesel fuel price, hurricane activity, and shrimp price. The authors find evidence of a downward-slopping supply curve for the domestic harvesters that is likely to be temporary. Furthermore, anti-dumping duties have been ineffectual in curtailing imports produced by exploitation of natural shrimp biomass in developing countries and by technological advancements in aquaculture production. The authors also find evidence of a low exchange rate pass through. Finally, while domestic and import prices are not cointegrated, there is a two-way causality between them. Practical implications The authors found evidence that shrimp prices have fallen as import supply, due to technological advances in aquaculture, has risen faster than the US domestic demand over time suggesting a downward sloping supply curve. Also, the falling value of the US dollar has discouraged the imports, while the anti-dumping duties appear to have had little influence on the aggregate level of imports. Originality/value It provides a thorough investigation of the supply side of an important component of the US seafood market displaying the complexity of domestic producers’ reaction to falling prices, and ineffectual protectionism.

Bending, Stretching, and Smiling: A Common Ratio in Homeomorphisms of the Faces of Finance

The ratio of the arrival and processing rates of information at financial markets (CCA/CCL) determines the structure and evolution of a wide variety of topologies of financial interest. This ratio (CCA/CCL) has common and intuitive effects on the distribution of returns, the volatility surface, and the yield curve in the equity and bond markets. As the level and variance of CCA/CCL changes so does the amount of uncertainty in each of the corresponding markets. The simplistic shapes from theory: the normal distribution, constant volatility across strikes and terms to expiration, and the upward sloping yield curve are transformed into the complex and evolving structures of financial reality. The central role of this ratio elucidates a previously unknown and important connection between the disparate branches of finance.

On the Behavior of Entrepreneurial Factor Supply to the Firm

This paper draws on an existing, but little used, approach to the choices governing the supply of ‘entrepreneurial’, in the sense of ‘residually remunerated’, resources to an enterprise, especially post start up. It focuses in particular on the hybrid ‘own factor demand/supply curve’ to the firm of Bronfenbrenner (1960), but attempts to treat such supply in conjunction with ‘contractual’ employment of resources, thus making use of gearing and portfolio concepts. To achieve this, it is found necessary for the hybrid schedule to be reinterpreted and recast as the locus of the relevant utility maximising choices. A model is presented which features combining all productive resources in a single factor F so as to concentrate on the choice between the entrepreneurial and contractual employment of these. The model identifies a variety of possible entrepreneurial resource supply responses to product market signals, including the possibility of divergence from the ‘normal’ expectation of a monotonically upward sloping supply curve. Such ‘unexpected’ behaviour is seen as rational and consistent, both with the needs of survival in distress and of safeguarding gains in the upside. Hence it is also efficient on welfare grounds. Analogies with the backward bending labour supply model and with risk/return choices in finance are pursued. The policy implication is that greater use of equity, especially in start ups and distress situations, should be encouraged.

Aggregate matching in Spain. Time series analysis using cointegration techniques

I analyze the matching process in the Spanish labor market from 1994-2005. I use monthly registered unemployment data and refer solely to public employment intermediation. This period reflects an upward movement along a downward sloping Beveridge curve; therefore, major changes in the process efficiency should not be observed. I narrow the considerations to a job queuing model, which is the most relevant description of the labor market matching process in Spain, according to the literature. I apply various quantitative methods to address the problem of non-stationary data. The EngleGranger estimates emphasize the crucial role of the demand in generating the outflows from unemployment to employment. The ECT coefficient confirms that the model efficiently approaches the new equilibrium. These findings confirm that job seekers find themselves on the disadvantaged side of the market and compete for scarce job offers, which, in turn, are ascribed randomly to the workers. The diagnostic tests of the VAR models question the relevance of a multivariate space analysis because the outflow from unemployment to employment appears to be the sole endogenous variable.

Impact of reorder option in supply chain coordination

This paper studies the impacts of some reorder options on the performance as well as the coordination issues in a supply chain. A large category of products requires a long procurement lead time yet only has a relatively short selling season. Hence the purchase decisions usually have to be made well in advance of the opening of the sales. However, when uncertainty exists, the actual market demand may turn out to severely deviate from the initial order amount. To make up for the deficiency arising from this situation, a reorder option is introduced which renders a second manufacturing chance available shortly before he selling season. This reorder option facilitates an adjustment of the inventory level according to the realization of market demand. Since the market under investigation is facing a downward sloping demand curve, the effect of implementing this option is multi-fold. Moreover, the launch of the reorder option may also affect the decision makings at other levels of operations, such as altering the size of the initial order. Therefore, the overall impact of such option is not immediately clear. In this paper, it is shown that a properly designed reorder option is able to bring in profit growth and stabilize the fluctuations in the market retail price. Besides, quantity discount contracts are constructed to coordinate decisions on the initial inventory amount within the supply chain, so as to achieve higher economic efficiency. Finally, numerical examples are given to demonstrate the conclusions obtained in this paper.

Downward Sloping Demand Curve, Price Pressure, or Slow Moving Capital?: Evidence from an Exogenous Supply Shock

We examine the price reaction to an exogenous share sale by inside blockholders, who were forced to reduce their stake due to a regulatory change. We conjecture that the price reaction to this event may be explained by three competing hypotheses, namely, a downward sloping demand curve, price pressure, and slow moving capital. Consistent with all three hypotheses, the affected firms experience a negative cumulative abnormal return of 4.5% during the week of the share sale. Crucially, prices revert completely in about 85 days, although the selling pressure eases within eight days. Our results are consistent with the slow moving capital paradigm and rule out the other hypotheses.

The Term Structure of Short Selling Costs

I derive the term structure of short selling costs using the put-call parity relationship. The shape of the term structure is determined by informed investors’ beliefs of when negative information will enter the market and correct the overpricing. I show that forward costs predicts future costs and stock returns, consistent with the expectations hypothesis in the model. I also find that an upward sloping curve around the earnings announcement increases the probability of a negative earnings surprise by 6.7%, supporting the prediction that short selling costs are higher when negative information is more likely to arrive.

High temperature investigation of electrochemical lithium insertion into Li4Ti5O12.

Li4Ti5O12 was synthesized via a solid state reaction and lithiated at 400 °C in a custom built galvanostatic cell consisting of a molten LiCl-KCl electrolyte and Li-Al alloy wires as counter and reference electrodes. The material exhibits decreased rate capability at 400 °C compared to the room temperature behavior. Electrochemical lithiation at C/20 exhibits a discharge profile with both a sloping curve and flat plateau, which is indicative of a solid solution behavior before reaching a two phase region. This electrochemical behavior is shown to be correlated with reversible formation of the cubic Li2TiO3 phase.

Learning curve and perioperative outcomes analysis in three–port extraperitoneal laparoscopic radical prostatectomy : initial experience in 95 cases in single center

Objective To evaluate the learning curve of three–port extraperitoneal laparoscopic radical prostatectomy(ELRP) and to minimize operative time and blood loss about this procedure. Methods From August 2013 to October 2014, the data from 95 consecutive patients, who had undergone three–port ELRP for prostate cancer, were retrospectively analyzed. The mean age was 65.9±7.7 years, mean total PSA level was 15.4±12.7 μg/L, and mean body mass index(BMI) was 24.8±3.2 kg/m2. According to the number of procedures performed by the surgeon, all patients were classified into three chronologic groups, including group A(No.1–32), group B(No.33–64) and group C(No.65–95). There were no significant differences including age, BMI, tPSA, estimated prostate volume, clinical stages, history of neoadjuvant endocrine therapy, history of transurethral resection of the prostate(TURP) among group A, B and C (P>0.05). The operative outcomes analyzed were operative time, estimated blood loss, hospital stay, drainage tube indwelling days, pathological Gleason scores, pathological stages, positive surgical margin rates, biochemical recurrence rates and urinary incontinence rates. Among these 95 patients, the results of the first 32 cases were compared with those of the remaining 63 cases, the first 64 with the remaining 31. Results The average operative time in 95 patients was 81.0±18.6 min. The sloping learning curve for this surgeon showed that the operative time for all 95 cases was strongly correlated with additional experience(|rs|=0.612, P 0.05). Group A had longer operative time than that of Group B plus C(96.4±11.3 min vs 73.2±16.7 min, P 0.05). There were no significant correlation between the accumulation of experience and positive surgical margin rates, biochemical recurrence rates and urinary incontinence rates. Conclusion Our experience of three–port ELRP cases appears to be favorable with decreasing tendency in operative time, estimated blood loss with experience accumulation. Exposure to 32 surgeries, operative time and estimated blood loss reduced significantly, and after 64 cases operative time and estimated blood loss further reduced. Key words: Prostate cancer; Radical prostatectomy; Extraperitoneal approach; Laparoscopy; Learning curving

Sulfur-Doped Carbon with Enlarged Interlayer Distance as a High-Performance Anode Material for Sodium-Ion Batteries.

S-doped carbon is investigated as a high-performance anode material for sodium-ion batteries. Due to the introduction of a high-content of S atoms, the as-obtained S-doped carbon shows an enlarged interlayer distance. As an anode, a high specific capacity of up to 303 mAh g-1 is achieved, even after 700 cycles at 0.5 A g-1.

Disordered Carbons As Negative Electrode Materials for Na-Ion Batteries

With the recent renewal of interest for Na-ion batteries as a potential low cost alternative to Li-ion technology, the study of sodium insertion into carbonaceous materials experiences a revival in recent years.[1] Although many candidates for positive electrode active materials have been discovered with fairly good performance,[1] major improvements remain to be made on the negative electrode side.[2-3] Mimicking the Li-ion technology shows its limit in this domain as graphite presents very limited Na insertion.[4-6] Although promising efforts have been recently dedicated to circumvent this issue,[6-7] it does not match the best reports made on disordered carbons.[4,8-12] Disordered carbons, being “soft” or “hard”, present a typical sloping voltage-composition curve below 1V related to the insertion of Na between the disordered graphene layers. The specificity of hard carbons is to present an additional low voltage plateau ascribed to the packing of sodium within the micro-pores formed by cross-linked graphitic layers.[13] Due to this extra capacity, the efforts of the community have been mainly focused on hard carbons. To improve the capacity efforts have been put on increasing the micro-porosity of hard carbons obtained by the pyrolysis of sucrose, via ball milling or physical activation.[9-10] However, it resulted in lower capacities than the pristine material after pyrolysis,[9-10] demonstrating that the correlation between the microstructure of these carbons and their electrochemical performance is not yet fully understood. Moreover, as the plateau of hard carbons is observed at very low voltage (< 50mV) the use of this extra capacity may induce safety issues for being very close to metal plating, as pointed out for its use in Li-ion batteries.[14-15] This is even more critical in the case of sodium due to its higher reactivity, lower fusion point and tendency to form dendrites.[2] Should we avoid this potential risk, the actual practical capacity of hard carbons would be limited to the sloping region. This later extends from 120 to 170 mAh/g for best reports,[8,10-12] which is similar to the best capacities reported for soft carbons or carbon spheres with no low voltage plateau.[13,16-18] This suggests that, although presenting lower overall capacity, soft carbons are also worth considering as good candidates for negative electrodes. Within this perspective, we underwent a comparative electrochemical and microstructural study of various soft and hard carbons. By coupling gas adsorption, powder X-ray diffraction (in-situ and ex-situ PXRD) and Small Angle X-ray Scattering (SAXS) we were able to depict the microstructure and morphology of these carbons. It allowed us to get new insights into the mechanism of sodium insertion into disordered soft and hard carbons and identify key microstructural features to be considered for best electrochemical performance. We will also report on the electrochemical performance of a disordered carbon presenting no low voltage plateau, with a reversible capacity of 170mAh/g at low rate and 76% coulombic efficiency at first cycle, and presenting a better rate capability than sugar hard carbon prepared and tested in similar conditions. [1] Palomares et al., Energy Environ. Sci. 5, 5884 (2012); Yabuuchi et al., Chem. Rev. 114, 11636 (2014) [2] Chevrier et al., J. Electrochem. Soc. 158, A1011 (2011) [3] Dahbi et al., Phys. Chem. Chem. Phys.16, 15007 (2014) [4] Stevens et al., J. Electrochem. Soc. 147, 1271 (2000) [5] Doeff et al., J. Electrochem. Soc. 140, L169 (1993) [6] Jache et al., Angew. Chem. Int. Ed. 53, 10169 (2014) [7] Wen et al., Nature comm. 5, 4033 (2014) [8] Thomas et al., Electrochim. Acta 47, 3303 (2002) [9] Ponrouch et al., Electrochem. Commun. 27, 85 (2013) [10] Bommier et al., Carbon 76, 165 (2014) [11] Zhao et al., J. Power Sources 244, 752 (2013) [12] Komaba et al., Adv. Funct. Mater. 21, 3859 (2011) [13] Stevens et al., J. Electrochem. Soc. 148, A803 (2001) [14] Kasuh et al., J. Power Sources 68, 99 (1997) [15] Winter et al., Adv. Mater. 10, 725 (1998) [16] Alcántara et al., J. Electrochem. Soc. 149, A201 (2002) [17] D. A. Stevens, Mechanisms for Sodium Insertion in Carbon Materials, PhD thesis (2000) [18] Pol et al., Electrochim. Acta 127, 61 (2014)

CAR associated with SEO share lockups: Real or illusionary?

This paper examines the cumulative abnormal return (CAR) associated with both the expiration and initiation of SEO share lockups. First, we find that the average CAR around the expiration of SEO share lockups is significantly negative, but this result is mainly attributed to inappropriate benchmarking of the CAR. Second, there is also, on average, a significant negative CAR at the initiation of SEO share lockups, but the negative CAR is a temporary phenomenon that reverses itself within a short period of time. Overall, our findings do not support the downward sloping demand curve hypothesis on the lockup expiration effect.

A supply-and-demand based price model for financial assets

This paper proposes a price model for financial assets using the supply-demand relationship, referred to as a supply and demand based price (SDP) model for financial assets. The model demonstrates that stock price volatility is characterized by the downward sloping demand curve and volume fluctuation, not by another stochastic volatility process often employed in security markets. In particular, it is found that the flatter demand curve using inverse Box-Cox transformation with a positive parameter causes the asymmetric volatility, i.e., negative price return-volatility correlation, often observed in security markets. The model can also classify the asymmetric volatility into leverage effect and feedback effect examining the relationship between expected price return and volatility. We then characterize the time varying market price of risk based on the SDP model. Empirical studies using a recent decade data for many asset classes show that stock market indices, freight indices, and carbon assets possess positive inverse Box-Cox transformation parameters, resulting in asymmetric volatility while commodity-related assets tend to have negative parameters, resulting in inverse leverage effects. In contrast, using the long run data from 1950 to 2009, we illustrate the inverse leverage effect in security markets. Finally, we show that the positive risk and return relationship holds if the expected return is positive, regardless of the asset class.

Economic Democracy and Business Governance in Meade’s Works

The supposedly inefficient use of resources in producer cooperatives has been the object of eager debate among theorists for decades. This debate originated from the fact that Ward and Vanek, whose model had long been rated as a blueprint for the working of cooperatives, had reached the conclusion that their short-run behaviour was not Pareto-optimal. Their finding is highlighted by a downward sloping supply curve. The first solution suggested by Meade was differentiating the pay rates of workers assigned to the same jobs, in terms of fixing the incomes of new entrants at levels not exceeding the value generated by their work inputs. The Inegalitarian Cooperative does solve short-term problems, but fails to remove the odds faced by cooperatives when it comes to financing their investments and working capital. In later years, Meade proposes a new business form in order to deal with the last mentioned drawbacks. The business form concerned is the Discriminating Labour-Capital Partnership , whose microeconomic characteristics will be analysed in this paper. The issue discussed by Meade has great importance with regard to the current debate on social welfare because it provides a comprehensive reform of the fiscal and social policy by introducing, inter alia, a generalized and unconditional social dividend. The critical analysis of his works shows some weaknesses.

The Market Impact on Shares Entering or Leaving JSE Indices

A company's entry into (or exit from) a major share index provides a special opportunity to examine price discovery. In an efficient market, we expect the demand curve to remain horizontal and to be unaffected by external events that do not communicate new information to the public, even if demand is affected. However, there is evidence that changes to index composition do impact the value of affected shares. This may be due to the price pressure generated by passively managed investment funds that simultaneously reconstitute their portfolios in order to remain aligned to the index they are tracking. This study investigates downward sloping demand curves, price pressure and other hypotheses which are related to changes in index composition on the Johannesburg Stock Exchange (JSE). We calculate abnormal returns using a control portfolio model for shares entering/exiting four major FTSE/JSE indices between 2002 and 2011. In the pre-event window, a long-term increasing trend was observed in the share prices ...

The market impact on shares entering or leaving JSE indices

A company's entry into (or exit from) a major share index provides a special opportunity to examine price discovery. In an efficient market, we expect the demand curve to remain horizontal and to be unaffected by external events that do not communicate new information to the public, even if demand is affected. However, there is evidence that changes to index composition do impact the value of affected shares. This may be due to the price pressure generated by passively managed investment funds that simultaneously reconstitute their portfolios in order to remain aligned to the index they are tracking. This study investigates downward sloping demand curves, price pressure and other hypotheses which are related to changes in index composition on the Johannesburg Stock Exchange (JSE). We calculate abnormal returns using a control portfolio model for shares entering/exiting four major FTSE/JSE indices between 2002 and 2011. In the pre-event window, a long-term increasing trend was observed in the share prices of companies that are added to market cap weighted indices, beginning 70 trading days before the effective date. The opposite behaviour was true for index deletions, with some variation in the timing. In the post-event window the results show, to some extent, an asymmetric response to share returns; shares entering the index underperform thereafter, whereas those leaving the index outperform. Although these findings were not significant for all of the indices examined, they do support the Price Pressure Hypothesis of Harris and Gurel.

Relationship between hearing threshold at the affected and unaffected ear in unilateral Meniere's disease.

Hearing loss in Menière's disease has been described to affect above all low frequencies (upward curve) with a tendency to become irreversible and non-fluctuating at the higher frequencies (peaked curve) over time. The aim of the study was to determine the effects of MD on hearing function on the basis of differences existing between the affected and the unaffected ear in a group of patients affected by definite unilateral MD and whose contralateral ear was not affected by any disease other than age-related hearing loss (ARHL). Following this procedure we have also evaluated the possible effects of age and disease duration on hearing loss in MD. The study group consisted of 86 subjects affected by definite unilateral MD. In our sample a peaked audiometric curve characterized the affected ears; however, the result after subtracting the normal ear hearing threshold was an upward sloping curve, which highlighted the greater suffering at the lower frequencies. On the basis of differences existing between affected and unaffected ear, our data suggest that threshold evolution is more related to disease duration rather than to age.

A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market

The aim of this article is to develop a methodology to estimate the interest rate yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the missing observation problem. Second, we focus on the work of Vasicek ( 1977 ) and Cox-Ingersoll and Ross (CIR) (1985), we estimate each model and discuss its performance in predicting the dynamics of the interest rate yield curve using ordinary least squares (OLS) and maximum likelihood estimation (MLE) methods. The data sample consists of Treasury bond prices for the period from 14 July 2004 to 10 September 2012 collected from over the counter market. This assessment is done by Matlab software using the specified algorithms. The results suggest that the cubic spline method is accurate for construction of the average interest rate yield curve. Then, the estimation of Vasicek ( 1977 ) and CIR (1985) models generate an upward sloping yield curves and the Vasicek ( 1977 ) model shows more ability to replicate the stylised facts of the short-term interest rates in the Tunisian bond market. Finally, the forecasting of the yield curve predicts an economic growth in the future characterised by a higher inflation. JEL Classification: G12

Should before or after tax equilibria point elasticities be calculated when the Laffer effect is considered in a micro market?

Purpose – Traditionally, the Laffer effect has been discussed in the context of endogenous growth models or in the case of the labor market with respect to willingness to supply more labor given a tax incentive on wages. The paper adopts an inductive approach to discuss it in the context of a product's market, say automobile industry in Turkey. Design/methodology/approach – The author revisits the ad valorem tax model on a product and investigates how the elasticities of demand and supply and the tax rate are related to the Laffer effect. The author considers a special case where demand curve is non-linear and the supply curve is completely elastic. This specific model fits the practical case where the Turkish government expected the auto sellers to pass fully the temporary partial tax concession onto the consumers during the global crisis in 2009. Findings – The author showed that the demand elasticitiy must be calculated neither at the intersection of the initial equilibrium nor that of the final equilibrium points, but somewhere else. The author defined a pass-through coefficient which was different from the classical burden of tax concept, calculating the degree of pass-through of a tax decrease from firms to consumers. Moreover, the author found a one-way relationship between the overall tax revenues of the government and a single sector. Research limitations/implications – The case of tax revenues where both the demand and supply curves are non-linear and non-extreme must be solved. Practical implications – The author showed that the government's dual expectation of both boosting the economy, increasing employment and raising its tax revenues can sometimes be consistent given a usual upward sloping supply curve. In the case of a perfectly elastic supply curve, the tax revenues can even be higher with a higher level of equilibrium quantity. Social implications – The Turkish government aiming to support the production and employment in this leading export industry, may have expected this temporary tax decrease to be passed completely onto the consumers by the producers. However, this did not happen as producers’ prices to the consumers did not decrease as much as the amount of tax. This paper shows that the after tax elasticities and the current level of tax rate must have been compared. Originality/value – The author pointed out to the importance of being clear in explicitly indicating at which points the elasticities derived from some function (tax revenue function) of equilibria variables (price and quantity) must be interpreted. In this paper, doing many numerical calculations allowed us to notice the proper point of calculation of the demand elasticity, which is the after-tax price along the “no tax demand curve”. Moreover, a pass-through coefficient is defined which is different from the classical burden of tax concept.