Pricing Liquidity Risk with Heterogeneous Investment Horizons

We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small

Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill

This is the author accepted manuscript. the final version is available from Elsevier via the DOI in this recordWhile no two mutual funds are alike in terms of their mandates and constraints, metrics used to evaluate fund performance relative to peers typically fail to account for these differences by relying on generic benchmark indices and rankings. We develop a methodology to construct a conditional multi-factor benchmark that explicitly incorporates the details of a given fund’s mandates and constraints. The results suggest that (i) mandates and constraints are economically important and affect funds differently, (ii) in general, the average mutual fund has a much improved track record when comparing themselves to a bespoke benchmark, and (iii) the rank ordering of fund bespoke performance relative peers is significantly different than the original rank ordering suggesting advisors and board of directors would make better decisions regarding compensation and performance assessment respectively, if they incorporate the impact of mandates and constraints.Inquire Europ

A produção animal da agricultura familiar na Reserva Extrativista Cazumbá-Iracema, Acre, Brasil.

Objetivou-se caracterizar o perfil socioeconômico dos agricultores familiares, o modo de produção animal e aquisição de alimentos de origem animal na Reserva Extrativista Cazumbá - Iracema. Por meio de entrevistas utilizando-se questionários semi estruturados. Constatou-se que 48,0 % dos entrevistados são do sexo feminino e com faixa etária entre 20 e 29 anos. Dos entrevistados 60,0% possuem ensino fundamental incompleto e apenas 6,7% o ensino superior completo; 60,0% dos entrevistados responderam que a renda principal vem do programa bolsa família-PBF; as principais dificuldades relatadas foram assistência técnica deficiente, falta de crédito e regime de chuvas, correspondendo a 70,0; 43,0 e 13,0%, respectivamente. Predominam na reserva a criação de aves; equinos; ovinos; suínos; asininos; muares e peixes, representando 80,0; 13,0; 10,0; 6,6; 6,6; 3,3 e 3,3%, respectivamente, a produtividade e lucratividade nas criações são baixas em razão do manejo sanitário e nutricional ineficiente adotado e baixo nível tecnológico. Portanto, é necessário transferência de conhecimentos entre os órgãos de pesquisa, ensino e extensão, e os agricultores, visando o melhoramento dos seus sistemas de produção. The objective was to characterize the socioeconomic profile of family farmers, the way of animal production and purchase of food of animal origin in the Cazumbá - Iracema Extractive Reserve. Through interviews using semistructured questionnaires. It was found that 48.0 % of respondents are female and aged between 20 and 29 years. Of those interviewed, 60.0% had incomplete elementary education and only 6.7% had completed higher education; 60.0% of respondents answered that their main income comes from the Bolsa Família-PBF program; the main difficulties reported were poor technical assistance, lack of credit and rainfall, corresponding to 70.0; 43.0 and 13.0%, respectively. The breeding of birds predominates in the reserve; horses; sheep; swine; donkeys; mules and fish, representing 80.0; 13.0; 10.0; 6.6; 6.6; 3.3; and 3.3 %, respectively, the productivity and profitability in the creations are low due to the inefficient sanitary and nutritional management adopted and low level technological. Therefore, it is necessary to transfer knowledge between research, teaching and extension agencies, and farmers, with a view to improving their production systems

Seleção genotípica de variedades de milho via metodologia de modelos mistos.

Uma das técnicas utilizadas que tem evoluído em programas de melhoramento vegetal trata-se da análise via modelos mistos. A seleção de cultivares utilizando esta metodologia permite inferências mais precisas e realista acerca da avaliação genotípica dos genótipos superiores para de seleção. O objetivo deste trabalho foi selecionar genótipos de milho (Zea mays L.) de quatro safras do programa de melhoramento da Embrapa Acre, utilizando a metodologia de modelos mistos - REML/BLUP. Os experimentos foram conduzidos no campo Experimental da Embrapa Acre. O delineamento utilizado foi em látice retangular 5x6, com duas repetições. Utilizaram-se dados de produtividade de grãos de 78 variedades testadas no ensaio Nacional de milho nos anos 2013/2014, 2014/2015, 2015/2016, 2017/2018. Utilizou-se o modelo MHVG para estimar a estabilidade genotípica. Utilizou-se o software Selegem REML/BLUP para as análises estatístico-genéticas. Nos quatro anos verificou-se que as variedades não superaram as médias de produção dos híbridos. O ordenamento dos genótipos coincidiu nos quatro anos de avaliação indicando comportamento amplo das cultivares. A metodologia de modelos mistos foi eficiente na avaliação dos ensaios de valor de cultivo e uso, auxiliando na seleção e descarte de cultivares a cada ano agrícola. Os genótipos BRS 1055 e HTCMS-SP1 são os selecionados. One of the techniques used that has advanced in breeding programs is the analysis using mixed models. The selection of cultivars using this methodology allows for more accurate and realistic inferences about the genotypic evaluation of the superior genotypes for selection. The objective of this work was to select corn genotypes from four harvests of the Embrapa Acre breeding program, using the mixed model methodology - REML / BLUP. The experiments were conducted in the Experimental field of Embrapa Acre. The design used was in a 5x6 rectangular lattice, with two replications. Grain yield data from 78 varieties tested in the years 2013/2014, 2014/2015, 2015/2016, 2017/2018 were used. The MHVG model was used to estimate the genotypic stability. The Selegem REML / BLUP software was used for statistical-genetic analysis. In the four years it was found that the varieties did not exceed the average production of the hybrids. The ordering of the genotypes coincided in the four years of evaluation, indicating broad behavior of the cultivars. The mixed model methodology was efficient in evaluating the cultivation and use value tests, assisting in the selection and disposal of cultivars each agricultural year. The genotypes BRS 1055 and HTCMS-SP1 are selected

The Microstructure of a U.S. Treasury ECN: The Brokertec Platform

This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec - the ability to enter hidden ('iceberg') orders - and find that, as predicted by theory, such orders are more common when price volatility is higher

Network analyses in systems biology: new strategies for dealing with biological complexity

The increasing application of network models to interpret biological systems raises a number of important methodological and epistemological questions. What novel insights can network analysis provide in biology? Are network approaches an extension of or in conflict with mechanistic research strategies? When and how can network and mechanistic approaches interact in productive ways? In this paper we address these questions by focusing on how biological networks are represented and analyzed in a diverse class of case studies. Our examples span from the investigation of organizational properties of biological networks using tools from graph theory to the application of dynamical systems theory to understand the behavior of complex biological systems. We show how network approaches support and extend traditional mechanistic strategies but also offer novel strategies for dealing with biological complexity

EMU sovereign spreads and macroeconomic news

We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by aggregating deviations between data releases and market expectations on a set of indicators chosen for being closely watched by economic analysts and financial operators. We find that the dissemination of macroeconomic data on the US economy affects the level of sovereign spreads, i.e. the better the news the lower the spreads. Moreover, the dissemination of bad news on the euro area economy affects negatively the volatility, i.e. the worse the news the higher the volatility

The Role of Data Revisions and Disagreement in Professional Forecasts

This paper aims at evaluating individual expectation accuracy of professional forecasters for 57 U.S., European, and German macroeconomic indicators over the period 1999-2010. The empirical analysis shows that initial announcements are partly considerably revised, and that some revisions occur systematically. Taking into account whether announcements are revised systematically and whether economists (assumingly) aim at forecasting the initial release or the latest revision, signi cant differences can be observed with regard to forecasters' expectation errors. In general, forecasters that are (assumingly) aiming to predict the latest revisions of German indicators are able to form better forecasts if these indicators are revised systematically. Though to a lower extent, this relationship is also observable regarding U.S. indicators. Forecasters' disagreement about fundamentals is higher during recessions and when stock markets are volatile