Venture Capital Fund Performance and the IPO Market

In this paper, the investment performance of a large database of venture funds is considered over a 28 year period. The results suggest that a portfolio of venture capital partnerships can provide an average return that is superior to the public equity market, although the individual fund returns are highly positively skewed. Absent these outliers, the level of fund performance is more in line with public equity market returns. This paper also establishes a link between public equity market conditions and venture capital returns. Finally, some preliminary evidence is provided of venture fund performance during and immediately following the dot.com bubble

From Trade-to-Trade in US Treasuries

The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the markets. Finally, the length of time taken to complete a given transaction, or ‘workup’, has a measurable impact on the trade duration

Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency,

The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more general autoregressive-moving average model.

The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong

This paper considers the relationship between traded volume and volatility. We employ short sales data to discriminate between transactions that close existing long positions and transactions that establish new short positions. We test for, and where appropriate, incorporate non–linearity and asymmetry into the modelling process. The evidence supports a non-linear, bi-directional relationship between volume and volatility. The results suggest (i) that the market displays greater volatility following a period of short selling and (ii) that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling.

Hole in the wall: informed short selling ahead of private placements

Companies planning a private placement typically gauge the interest of potential buyers before the offering is publicly announced. Regulators are concerned with this practice, called wall-crossing, as it might invite insider trading, especially when the potential investors are hedge funds. We examine privately placed common stock and convertible offerings and find evidence of widespread pre-announcement short selling. We show that pre-announcement short sellers are able to predict announcement day returns. The effects are especially strong when hedge funds are involved and when the number of buyers is high. We also observe pre-announcement trading in the options market

A return on investment: the future of police cooperation between Australia and Indonesia

This Special Report presents a strategy for the future relationship between Indonesia’s National Police—known as POLRI—and the Australian Federal Police (AFP). It draws on 60 interviews with current and retired police officers, officials from other Australian and Indonesian agencies, and academic experts in related fields. The report presents a strategy for the future POLRI–AFP relationship in two parts. The first paperexamines the near term to early 2015. POLRI and the AFP should first aim to restore full trust and cooperation in all relevant policing areas, especially in cybercrime. Early initiatives could include a 10‑year celebration for the Jakarta Centre for Law Enforcement Cooperation, workshops for future AFP and POLRI leaders, and a request for POLRI officers to support the AFP during the G20 meeting in November 2014. It would also be worth sponsoring an international ‘needs analysis’ for POLRI. Reinstating funding for the Law Enforcement Cooperation Program is needed to promote the AFP’s flexibility and responsiveness during this time. The second paper provides background, tracing the remarkable relationship between the Australian Federal Police and the Indonesian National Police from its early days, where the focus was on information sharing, through a journey into joint operations. The paper describes the numerous capability cooperation initiatives that the forces have undertaken, especially since 2002, and charts both successes and times where cooperation didn’t necessarily deliver as intended

Hedging Break-Even Biodiesel Production Costs Using Soybean Oil Futures

The effectiveness of hedging volatile input prices for biodiesel producers is examined over one- to eight-week time horizons. Results reveal that hedging break-even soybean costs with soybean oil futures offers significant reductions in input price risk. The degree of risk reduction is dependent upon type of hedge, naïve or risk-minimizing, and upon time horizon. In contrast, cross-hedging break-even poultry fat costs with soybean oil futures failed to reduce input price risk.biodiesel, hedging, poultry fat, soybean oil, Agribusiness, Demand and Price Analysis, Environmental Economics and Policy,

Outcrop-derived facies model and cycle architecture of the Tansill G27-G28 high-frequency sequences, Rattlesnake Canyon, New Mexico

High-relief, steep-rimmed carbonate margins are significant geologic features documented in a variety of locations throughout the geologic record. The Tansill Formation, the shallow-water platform equivalent of the steep-rimmed Capitan Reef, is the end member of a depositional system that progressively narrowed through time and has the most compressed outer-shelf-facies tract of Permian strata on the Northwest Shelf. Extensive precipitation of in-situ marine cements allowed for early lithification and oversteepening of the narrow outer-shelf and resulted in the most extensive network of syndepositional fractures and the best margin collapse features documented in the Late Guadalupian. Tansill shelfal strata is well constrained and served as part of the the archetype high-frequency cycle (HFC)/sequence (HFS) stratigraphic framework developed and modified over decades of extensive outcrop studies (Tyrrell, 1969), making it one of the type locations to study depositinal processes of a structurally dynamic platform. This study provides the opportunity to examine the terminal phase of carbonate deposition of a dynamically restrictive basin and better understand the associated platform geometries and facies architecture of a steep-rimmed platform leading up to the extreme reorganization of basin fill as evaporite precipitation took over during the Wuchiapingian Stage, Ochoan Series. The stratigraphic framework at Rattlesnake Canyon for the lower and middle Tansill was built from eight detailed measured sections within the Guadalupian HFS G27-G28 interval, totaling 467 m. Sections were described on the northern wall of Rattlesnake Canyon where detailed characterization of the G25 and G26 (Hairpin and Triplet) HFSs had been resolved. Distinct bedding planes within each measured sections were correlated using photomosaic panels of the canyon walls and airborne LIDAR-based digital outcrop models, creating a high degree of certainty when correlating and interpreting cycle architecture along a palinspastically reconstructed dip-oriented cross section. The spacing between sections ranges between 58 m – 232 m, and when projected onto a true dip profile they span a distance of 1.1 km, beginning 300 m inland of the G28 platform margin. The close spacing of measured sections was mandated by the abrupt lateral facies tract changes within the narrow Tansill shelf. A more extensive record of the G27 and G28 HFSs were documented in Rattlesnake Canyon than in adjacent canyons where exposure is incomplete because of covered intervals (Dark Canyon) or the collapse of the time-equivalent platform margin and removal of outer-shelf strata (Walnut Canyon). The framework of the G27-G28 HFSs further constrains the maximum flooding surface (MFS) of the CS13 and indicates a rocky shoreline juxtaposed against the windward side of shelf-crest tepee-pisolite barrier-island complexes. Previous studies have emphasized the stacking patterns comprising the outer few kilometers of the platform but have given little to no recognition to the breccia prone high-energy shorelines deposits and have not incorporated this distinct facies into depositional models. Comparison of data from this study with the proximal Walnut and Dark Canyon profiles help to further delineate the G27 – G28 platform geometries and facies tract widths and can be incorporated into the larger scale stratigraphic framework of Permian strata exposed in the Guadalupe Mountains.Geological SciencesGeological Science

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements

options markets, live cattle, volatility, pricing density function, Financial Economics, Livestock Production/Industries, Risk and Uncertainty,