Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach
We considered the problem of choosing optimal hedging ratio taking into account interday and intraday return decomposition. It was shown that the standard hedging approach which uses only close prices (i.e. daily returns) is inefficient in comparison with hedging strategy based on open and close prices, i.e. when differentiating hedging ratio for interday and intraday periods. Results are confirmed both by applying Moving Window Regression and Error Correction Model for major world indexes for 1992–2012.
We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann – Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.
The article is concerned with the pragmatics behind the usage of hedges a bit (of) and somewhat. There is no common agreed-upon understanding concerning their categorization as the ambiguous nature of any vagueness marker makes an utterance more open to the negotiation of meaning, whereas multiple approaches applied to the investigation resulted in the abundance of incompatible characteristics of the above-mentioned hedges.
Initially, mainly isolated hedged speech acts were analysed which revealed only explicit pragmatic information, whereas later researchers focused on hedges in academic writing, political and media discourse. Therefore, it makes sense to explore hedges individually taking into account situational parameters. With this aim in mind, verbal exchanges including hedges a bit (of) and somewhat have been chosen from the dialogue corpus containing examples of interpersonal communication. Socio- and pragmalinguistic methods, conversational analysis as well as quantitative procedures and comparison have been used to conduct the research. The results have been verified by addressees, since hedging strategies make utterances vague and suggest alternative interpretations.
Such combination of methods in analyzing the most typical hedged speech acts uncovered explicit and implicit information the speaker was trying to communicate. Both hedges a bit (of) and somewhat are used as mitigators to avoid a face threat for both interlocutors. Hedge a bit (of) is often a part of conventional speech formula, as well as means to express irony or imply vagueness of addressee`s intentions. Hedge somewhat can also be used as a conversation filler to avoid communication failure.
The objective of this paper is to examine the relationship between bank characteristics, in particular
value, performance and volatility of bank stock returns, and its exposure to financial derivative contracts.
The study is based on 109 publicly traded European banks over the period from 2005 to 2010. The database
contains both accounting data from Bankscope and manually collected information from the notes to financial
statements. After controlling for bank-specific characteristics, time effects and cross-country differences,
we find that banks efficiently using hedging derivatives have a lower risk and a higher value. However,
this relationship becomes less pronounced or is inversed in the post-crisis period and concerns both
trading and hedging derivatives. For systemically important banks heavily involved in derivatives market
volatility of stock returns is higher and valuations are lower.We notice however that derivatives play second
fiddle to bank risk and performance. Our findings corroborate the importance of distinction of derivatives
by the purpose of use, which becomes less obvious for investors in the post-crisis period. Our results have
important policy implications, especially in the light of the recent debate over the necessity of separation of
risky banking activities from commercial bank branches (for instance, as proposed in Liikanen report) in an
attempt to reduce systemic risk. We emphasize the need for a higher transparency of disclosures regarding
hedge accounting and harmonisation of reporting formats across EU.
The article studies the correlation between emotional and cognitive competences of students during the course of academic writing in English and their influence on writing skills development, particularly, the ability and desire of learners to mitigate their academic stance expression. In the process of academic text production there can arise negative emotions, which block learners’ thinking abilities. Understanding these can help students cope with them and also boost the thinking process. The development of emotional competence is also seen in the context of academic writing learning because due to cultural peculiarities Russian students tend to be categorical in their utterances and excessively emotional. The results of the experiment, with 30 participants studying at a university, show that emotional and cognitive competences can be crucial constructs in learning skills in the context of explicit academic writing teaching. Introducing the theory of emotional intelligence to the students as a means of pedagogical exposure has shown a positive effect on the learning process; due to comparatively well-developed cognitive abilities the student succeeded in applying the interpersonal component of emotional intelligence in writing for understanding the reader’s perception.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.