US Sector Research Articles

Time-varying correlations and interrelations: Firm-level-based sector evidence

Using firm-level data, we examine stock market correlations and interrelations for the G7 over the period 2000–2013. An examination using aggregate market data supports the view that correlations have risen and particularly so during crisis periods. Using firm-level data, which is tradeable, we establish sector portfolios. We consider three regression approaches. The results support, first, that correlations using firm data are lower than those observed using aggregate market index data. Second, the most important driver for home sector returns is the home market followed by the corresponding US sector. Third, correlations rose during the crisis but have stabilised and even fallen since. This supports the view that markets fall together but rise apart. Fourth, there is evidence that most sector correlations follow a market-wide component, but some sector correlations follow their own component. Subsequently, we examine the key drivers of time-varying correlations. We find that the market-wide component of correlations increases in a US bear market as well as with higher US market volatility and lower US interest rates. However, on a sector basis, there are notable exceptions with some correlations falling in a bear market. Together, these results support the view that diversification benefits remain across market sectors.

Submission to The Business Skills and Innovation Commons Select Committee: Corporate Governance Inquiry

This Submission deals with corporate governance reforms that we propose are needed in the UK.The context for this Parliament Inquiry into corporate governance in the UK largely revolves around public distaste for the ‘unacceptable face of capitalism’ (eg see ‘Philip Green is not the only unacceptable face of capitalism’, Financial Times (28 July 2016)) which has manifested itself in several recent corporate scandals, such as those at BHS and SportsDirect. We believe that the capitalist model is still a sound basis for economic order as it can be supportive of individual development and freedom, economic growth, and aligned with our democratic values. However, modern capitalism is interposed by the corporation (eg Galbraith, 1976), now the predominant way of organising business and enterprise. For various reasons, the modern corporation can fall short as an effective vehicle through which to realise the optimistic capitalist vision.In the UK, the legal construct of the modern corporation is a ‘separate legal person’ subject to internal control by the ‘Board of Directors’ and, to a greater latitude than in many jurisdictions, by shareholders. The dominant ‘contractarian’ ideology of the corporation which underlies shareholder primacy unabashedly supports the purpose of the modern corporation as maximising shareholder wealth. Neither the legal nor prevailing ideological construct of the modern corporation reflects the reality that (a) the economic organisation is made up of many more parts than its ‘Board’ or shareholders, and (b) the societal institution that is the corporation serves multifaceted purposes and carries out activities not narrowly confined to shareholder wealth maximisation. Where recent corporate practices now reflect the ‘unacceptable face of capitalism’, we argue that this is because such practices are based on exploiting the limits in existing corporate law and ideology, i.e. pursuing a narrow-minded view of ‘shareholder primacy’ which ultimately subverts the more positive elements that could characterise a capitalist economic system.Importance of Corporate Governance: The economy-wide framework of corporate governance (as embodied in both legislation/regulations imposed by the state and company-level business practices and attitudes) could play a significant role in driving recognition and fair valuation of plural and diverse sources of ‘capital’ mediated by the modern corporation. We should not accept that corporate governance should only be about the Board’s accountability to shareholders. The argument for accepting such a model, which has been in the past justified by arguments concerning corporate efficiency, is increasingly weak, as the US and UK corporate sectors, representative of this approach, have produced many instances of corporate scandals and malpractices, and have contributed greatly to social inequality. It is also increasingly clear that a corporate objectives driven by considerations of short-term shareholder value maximisation are associated with various undesirable features of the UK economy, such as internationally weak levels of research and development expenditure (less than half that of China as a percentage of GDP), an unhelpful tendency amongst listed companies to distribute cash flow to shareholders (through share buy-backs and dividends) rather than re-invest in innovation, training and long-term success, and low levels of labour productivity relative to other advanced economies. Rising levels of income inequality and low levels of public trust in business are also deleterious side effects of the UK model of corporate and economic governance.This does not mean that we argue for corporate law to intervene into the distributive outcomes in a corporation directly, as we view this approach to be too intrusive. We argue that there is a need for more emphasis on ‘procedural justice’, i.e. in the adoption by companies of a framework for corporate governance where the voice of different ‘capital’ suppliers to the corporation can be heard in such a way that the interests of any one powerful group may be effectively balanced and complemented.We submit that: (a) Directors’ duties framed towards the long-term success of the company is the correct position but the current s172 should be redrafted and flanked by new duties proposed in this submission;(b) The corporate governance of a corporation must incorporate ‘key stakeholder’ representation in salient decisions;(c) There should be a case for considering duties for controlling shareholders whether in private or public companies in order to be consistent with the long-term success of the company as a whole;(d) There is scope for more governance over executive pay other than relying on shareholders’ vote. Executive pay levels at larger companies often represent the unbalanced and distorted face of capitalism that society is increasingly finding unacceptable and symptomatic of weak underlying governance;(e) Reform in Board composition that reflects a balanced corporate governance framework is desirable.

Forecasting with CAPM

Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying. Five US sectors, five ASEAN countries and South Africa, for 11 portfolios will also be included in this research. Also the portfolios are also used testing amount of input years that will reduce the mispricing in both developed and developing markets.

CO2 emission trends for the US and electric power sector

A shift in generation mix from coal to natural gas and renewables has yielded a dramatic decline in U.S. and power sector CO2 emissions. Since 2005, the U.S. has reduced CO2 emissions over 700 million metric tons, an amount unmatched in U.S. or any other country’s history. Power sector emissions alone have fallen over 20%, nearly 500 MMT since 2005. EIA’s outlook shows these trends likely to continue. Since 2005, the U.S. has reduced CO2 emissions over 700 million metric tons, an amount unmatched in U.S. or any other country’s history. Power sector emissions alone have fallen over 20%, nearly 500MMT since 2005. This paper examines the drivers behind the decline in U.S. and power sector CO2 emissions. Shifting generation mixes are largely responsible, with less coal and more natural gas and renewables. EIA’s outlook shows these trends to continue.

Modelling interactions among the housing market and key US sectors

This study evaluates the dynamic interactions among the housing market and ten key US sectors including: consumer discretionary, consumer staples, energy, financials, industrial, technology, health care, materials, utility and telecommunications. Long-run results indicate that the housing market is integrated with each of the ten sector and that the degree of convergence has increased over time and especially after the onset of the most recent housing crisis. Moreover, the housing market contributes most heavily to the common trends indicating that the housing market is the ‘leader’ market that drives each sector towards the long-run equilibrium relationships. Short-run analyses indicate causal linkages emanating from the housing market to each sector with reciprocal feedback. Finally, impulse response function analysis reveal that shocks from each sector affect the housing market but that shocks from the housing market have a (comparatively) more profound and persistent impact on each sector.

Time-Varying Correlations and Interrelations: Firm-Level Based Sector Evidence

Using firm-level data, we examine stock market correlations and interrelations for the G7 over the period 2000-2013. An examination using aggregate market data supports the view that correlations have risen and particularly so during crisis periods. Using firm-level data, which is tradeable, we establish sector portfolios. We consider three regression approaches. The results support, first, that correlations using firm data are lower than those observed using aggregate market index data. Second, the most important driver for home sector returns is the home market followed by the corresponding US sector. Third, correlations rose during the crisis but have stabilised and even fallen since. This supports the view that markets fall together but rise apart. Fourth, there is evidence that most sector correlations follow a market-wide component, but some sector correlations follow their own component. Subsequently, we examine the key drivers of time-varying correlations. We find that the market-wide component of correlations increase in a US bear market as well as with higher US market volatility and lower US interest rates. However, on a sector basis there are notable exceptions with some correlations falling in a bear market. Together these results support the view that diversification benefits remain across market sectors.

Bubble Detection and Sector Trading in Real Time

We conduct a pseudo real-time analysis of the existence and severity of speculative bubbles in eleven US sectors over the period 1973-2015. Based on the real-time bubble signals, a trading strategy is constructed which switches funds between the market index and those industry sectors that exhibit bubble dynamics. Our strategy generates highest after-transaction-cost return and Sharpe ratio, and first-order stochastically dominates three other investments (including two alternative active strategies as well as the buy-and-hold investment in the market index). Subsample analysis and specification checks confirm the robustness of the reported findings.

Sectoral sources of sub-Saharan Africa’s convergence

ABSTRACTFrom 1970 to 2010, sub-Saharan African’s (SSA) labour productivity hovered at around 6% of the US level. This lacklustre performance, which remained stubbornly low despite the SSA’s growth spurt that started in the mid-1990s, masks a great deal of variations across sectors and countries. Using a structural decomposition, we examine, for a representative sample of SSA countries, the sectoral sources that hold back their convergence to the US frontier. Our results suggest the presence of strong – and possibly long-lasting – headwinds that have wiped out the favourable effects of substantial, yet circumstantial, tailwinds. Headwinds, quantified by the unfavourable within- and reallocation-effects, are indicative of significant capital-deepening and technology gaps, both of which are extremely hard to bridge. The tailwinds, represented by favourable between-effects, result from the convergence of the SSA labour force to sectors where some US sectors have seen a slowdown of their productivity relative to that of the whole economy – a development unrelated to the fundamentals underlying the SSA economy. Although few exceptions emerged out of this general pattern, these results are indicative of a bleak outlook for the SSA economic performance at least in the medium run.

Momentum strategies with stock index exchange-traded funds

Previously reported momentum profits may not be available to individual investors who have more trading constraints. Therefore, I examine the profitability of momentum strategies with international iShares and US sector exchange-traded funds (ETFs) traded on the NYSE. The index ETFs provide individual investors easy access to international stock markets and US sectors for asset allocations. Using cross-sectional momentum strategies, in contrast to prior research, I find that momentum profits are insignificant for the late 1990s–2014 period. Few country and industry ETFs yield positive results using time series momentum, and the overall performance is worse than the buy-and-hold strategy. Time series momentum offers significant profits during the 2008 global financial crisis, but the profits decline sharply for the post-crisis period.

Comparative evaluation of optimal energy efficiency designs for French and US office buildings

In both the US and French building sectors, significant efforts have been undertaken to reduce the environmental impacts of new constructions notably their fossil energy consumption and related carbon emissions. This paper summarizes the results of a comparative evaluation of optimal design specifications for office buildings for selected locations in both US and France using life cycle cost analysis approach. First, an overview of both the US and French approaches for developing building energy efficiency standards and design of high performance buildings is outlined. Then, a general approach for design optimization of energy efficient office buildings is presented. Finally, selected results of the optimal analysis are discussed. In particular, it is found that optimizing life cycle costs (LCC) resulted on average in 30% in primary energy savings for office buildings located in the US and 40% savings in France. However, it is found that LCC-based optimal building designs do not meet the French energy efficiency RT 2012 standard. When accounting for typical operating conditions, photovoltaic (PV) panels are needed in order to comply with the RT 2012 required thresholds for the total primary energy consumption of the office buildings located in the French cities considered in the analysis.

Trends in Markets for Forest-Based Products and Consequences for Selected Countries

The forest sectors in many regions and countries are facing a need to change their structure, due to the development of new markets, emergence of new competitors, and shifts in production and consumption patterns for forest products. This article focuses on recent changes in the trade in these products, on imports and exports of four countries (USA, Sweden, Ukraine and, to a lesser extent, China) during the period from 1995 to 2011. For this purpose we use explanatory data analysis, time series analysis, benchmarking, meta-synthesis and content analysis of scientific and business publications concerning national and global trends in forest product industries. Data sources are various organizations’ databases of international trade in forest-based products in both monetary and physical terms (cubic meters and tons). The results show that the US and Swedish forest sectors are adversely affected by downturns in both their domestic and foreign markets during the study period, while the Ukrainian sector maintains exports of low value-added products at roughly constant levels (except that particle-board exports increase). China maintains production quantities of low value-added forest-based products, but also substantially increases exports of high-value added products. The results may facilitate efforts to forecast future trends and provide useful information and methodological approaches for future studies of interest to industry representatives, policy-makers and researchers.

Deciphering the imperative: translating public health quality improvement into organizational performance management gains.

With the launching of the national public health accreditation program under the auspices of the Public Health Accreditation Board (PHAB), health department momentum around quality improvement adoption has accelerated. Domain 9 of the PHAB standards (one of 12 domains) focuses on evaluation and improvement of performance and is acting as a strong driver for quality improvement and performance management implementation within health departments. Widespread adoption of quality improvement activities in public health trails that in other US sectors. Several performance management models have received broad acceptance, including models among government and nonprofits. A model specifically for public health has been developed and is presented herein. All models in current use reinforce customer focus; streamlined, value-added processes; and strategic alignment. All are structured to steer quality improvement efforts toward organizational priorities, ensuring that quality improvement complements performance management. High-performing health departments harness the synergy of quality improvement and performance management, providing powerful tools to achieve public health strategic imperatives.

Stock market efficiency and international shipping-market information

Changes in international shipping freight rates can predict US and international stock market returns. In today’s global world where economies are linked, shipping freight rates carry information about economic activity and stock returns. Using US size and sector indices we find that shipping market movements can explain returns and volatility of stock indices. The results are economically significant and cannot be explained by time-varying risk premia thus constituting a challenge to the EMH. Consistent with the gradual information-diffusion hypothesis, investors are slow in responding to the information from changes in shipping freight rates across industries and around the world.

The conditional dependence structure of insurance sector credit default swap indices

This study assesses the dependence structure of insurance sector credit default swap indices, using a copula-GARCH approach. We use daily data of the US, EU, and UK insurance sectors, covering the period from January 2004 to June 2013. We find substantial increases in dependence during the financial crisis periods. Prior to the crises, various copulas are found to best fit each pair; specifically, asymmetric tail dependence is found for the UK–US pair, suggesting the possibility of large simultaneous losses. However, during the crisis periods, the Frank copula fits best, with no significant tail dependence detected, implying low systemic risks.

Financial linkages between US sector credit default swaps markets

We investigate the dynamic relationships between the US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent period which is marked by the onset of the global financial crisis. For this purpose, we implement a Smooth Transition Error-Correction Model (STECM) to accommodate the presence of nonlinearities and asymmetry in the adjustment process of the CDS variables toward their long-run equilibrium. Our findings provide evidence of significant long-run equilibrium links for two out of the three CDS indices, which are found to be typically asymmetric and nonlinear. These findings are more potent and more strongly policy oriented when the control variables are introduced into an extended STECM.

Major Harvey Cushing's difficulties with the British and American armies during World War I.

This historical review explores Harvey Cushing's difficulties with both the British and American armies during his World War I service to definitively examine the rumor of his possible court martial. It also provides a further understanding of Cushing the man. While in France during World War I, Cushing was initially assigned to British hospital units. This service began in May 1917 and ended abruptly in May 1918 when the British cashiered him for repeated censorship violations. Returning to American command, he feared court martial. The army file on this matter (retrieved from the United States National Archives) indicates that US Army authorities recommended that Cushing be reprimanded and returned to the US for his violations. The army carried out neither recommendation, and no evidence exists that a court martial was considered. Cushing's army career and possible future academic life were protected by the actions of his surgical peers and Merritte Ireland, Chief Surgeon of the US Army in France. After this censorship episode, Cushing was made a neurosurgical consultant but was also sternly warned that further rule violations would not be tolerated by the US Army. Thereafter, despite the onset of a severe peripheral neuropathy, probably Guillian Barré's syndrome, Cushing was indefatigable in ministering to neurosurgical needs in the US sector in France. Cushing's repeated defying of censorship regulations reveals poor judgment plus an initial inability to be a "team player." The explanations he offered for his censorship violations showed an ability to bend the truth. Cushing's war journal is unclear as to exactly what transpired between him and the British and US armies. It also shows no recognition of the help he received from others who were instrumental in preventing his ignominious removal from service in France. Had that happened, his academic future and ability to train future neurosurgical leaders may have been seriously threatened. Cushing's foibles notwithstanding, all realized that he contributed greatly to both British and US war neurosurgery. United States Army surgeons who operated upon brain wounds in France recognized Cushing as their leader.

Lobbying in the Financial Sector in US

The paper investigate the lobbying affords in the financial sector in US and observing the risks that might appeared thorough lobbying the legislations in the Basel regulatory framework. I was looking for the changes in lobbying activities connected with the changes in the Basel framework regulations as well as I wanted to look at the historical volatility of lobbying and through the regression analysis try to build a prognoses for the future development of the sector.

Contagion effects of the global financial crisis in us and European real economy sectors

This paper empirically investigates the contagion effects of the Global Financial Crisis (2007-2009) from the financial sector to the real economy by examining nine sectors of US and developed European region. We provide a regional analysis by testing stock market contagion on the aggregate level and the sector level, on the global level and the domestic/regional level. Results show evidence of global contagion in US and developed European aggregate stock market indices and all US sector indices, implying the limited benefits of portfolio diversification. On the other hand, most of the European regional sectors seem to be immune to the adverse effects of the crisis. Finally, all non-financial sectors of both geographical areas seem to be unaffected by their domestic financial systems. These findings have important implications for policy makers, investors and international organizations.

European biodiesel market and rapeseed oil: what impact on agricultural food prices?

The last decade has seen a rapid increase in the production and consumption of biodiesel in the EU. This development has been especially stimulated by EU policy as a means to promote energy security and to reduce the emissions of greenhouse gases. However, in recent years, biodiesel production has been questioned due to the possible impact on food prices. This paper aims to explore the impact of EU biodiesel prices on diesel and rapeseed oil prices, using a Vector Error Corrections Model (VECM). Impulse response functions and forecast error variance decompositions are also computed in order to investigate the interrelationships within the relevant time series. Unlike the predominant literature, which mainly addresses the US and Brazilian ethanol sector, this paper focuses on the European biodiesel market. Our results suggest that biodiesel prices are mainly affected by feedstock prices, but there is no strong evidence that changes in biodiesel prices affect food prices.

The Impact of Natural Disasters on Stock Markets: Evidence from Japan and the US

This paper investigates the impact of natural disasters on the insurance sector as well as on the composite stock market in Japan and the US. GARCH models are employed to capture both wealth and risk effects of natural disasters. There are no wealth effects in the US and Japan composite stock markets, indicating that these markets can well diversify away the impact of natural disasters on stock return, but there are significant wealth effects in the US and Japan insurance sectors. While US investors in the insurance sector lose, those in Japan gain. All markets except the composite stock market in Japan face risk effects of natural disasters.