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Reexamining the Maturity Effect Using Extensive Futures Data

Reexamining the Maturity Effect Using Extensive Futures Data
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Release: 2003
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In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts over longer period than previous studies: 8451 futures contracts drawn from 74 commodities and four International exchanges, (London, Sydney, Tokyo and Winnipeg Futures), in addition to the U.S. markets over the years from 1960 to 2000. Strong support is found for the maturity effect in agricultural and energy commodities, but not for financial futures. Moreover, negative covariance between spot price and net carry cost appears to be able explain the maturity effect fairly well for commodity futures.


Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts

Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts
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Release: 2004
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ISBN:

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In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and analyzing each contract separately. Using 6805 futures contracts drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the majority of contracts. In addition, the maturity effect tends to be stronger in agricultural and energy commodities than in financial futures. We also examine the hypothesis in Bessembinder, Coughenour, Seguin, and Smoller (1996), which states that negative covariance between the spot price and net carry cost causes the maturity effect in futures. Our results provide very weak evidence in favor of this hypothesis.


Weight Gain During Pregnancy

Weight Gain During Pregnancy
Author: National Research Council
Publisher: National Academies Press
Total Pages: 868
Release: 2010-01-14
Genre: Medical
ISBN: 0309131138

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As women of childbearing age have become heavier, the trade-off between maternal and child health created by variation in gestational weight gain has become more difficult to reconcile. Weight Gain During Pregnancy responds to the need for a reexamination of the 1990 Institute of Medicine guidelines for weight gain during pregnancy. It builds on the conceptual framework that underscored the 1990 weight gain guidelines and addresses the need to update them through a comprehensive review of the literature and independent analyses of existing databases. The book explores relationships between weight gain during pregnancy and a variety of factors (e.g., the mother's weight and height before pregnancy) and places this in the context of the health of the infant and the mother, presenting specific, updated target ranges for weight gain during pregnancy and guidelines for proper measurement. New features of this book include a specific range of recommended gain for obese women. Weight Gain During Pregnancy is intended to assist practitioners who care for women of childbearing age, policy makers, educators, researchers, and the pregnant women themselves to understand the role of gestational weight gain and to provide them with the tools needed to promote optimal pregnancy outcomes.


Protecting Youth at Work

Protecting Youth at Work
Author: National Research Council and Institute of Medicine
Publisher: National Academies Press
Total Pages: 335
Release: 1998-12-18
Genre: Social Science
ISBN: 0309064139

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In Massachusetts, a 12-year-old girl delivering newspapers is killed when a car strikes her bicycle. In Los Angeles, a 14-year-old boy repeatedly falls asleep in class, exhausted from his evening job. Although children and adolescents may benefit from working, there may also be negative social effects and sometimes danger in their jobs. Protecting Youth at Work looks at what is known about work done by children and adolescents and the effects of that work on their physical and emotional health and social functioning. The committee recommends specific initiatives for legislators, regulators, researchers, and employers. This book provides historical perspective on working children and adolescents in America and explores the framework of child labor laws that govern that work. The committee presents a wide range of data and analysis on the scope of youth employment, factors that put children and adolescents at risk in the workplace, and the positive and negative effects of employment, including data on educational attainment and lifestyle choices. Protecting Youth at Work also includes discussions of special issues for minority and disadvantaged youth, young workers in agriculture, and children who work in family-owned businesses.


Social Science Research

Social Science Research
Author: Anol Bhattacherjee
Publisher: CreateSpace
Total Pages: 156
Release: 2012-04-01
Genre: Science
ISBN: 9781475146127

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This book is designed to introduce doctoral and graduate students to the process of conducting scientific research in the social sciences, business, education, public health, and related disciplines. It is a one-stop, comprehensive, and compact source for foundational concepts in behavioral research, and can serve as a stand-alone text or as a supplement to research readings in any doctoral seminar or research methods class. This book is currently used as a research text at universities on six continents and will shortly be available in nine different languages.


Accounting discretion of banks during a financial crisis

Accounting discretion of banks during a financial crisis
Author: Mr.Luc Laeven
Publisher: International Monetary Fund
Total Pages: 43
Release: 2009-09-01
Genre: Business & Economics
ISBN: 1451873549

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This paper shows that banks use accounting discretion to overstate the value of distressed assets. Banks' balance sheets overvalue real estate-related assets compared to the market value of these assets, especially during the U.S. mortgage crisis. Share prices of banks with large exposure to mortgage-backed securities also react favorably to recent changes in accounting rules that relax fair-value accounting, and these banks provision less for bad loans. Furthermore, distressed banks use discretion in the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks.


Parenting Matters

Parenting Matters
Author: National Academies of Sciences, Engineering, and Medicine
Publisher: National Academies Press
Total Pages: 525
Release: 2016-11-21
Genre: Social Science
ISBN: 0309388570

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Decades of research have demonstrated that the parent-child dyad and the environment of the familyâ€"which includes all primary caregiversâ€"are at the foundation of children's well- being and healthy development. From birth, children are learning and rely on parents and the other caregivers in their lives to protect and care for them. The impact of parents may never be greater than during the earliest years of life, when a child's brain is rapidly developing and when nearly all of her or his experiences are created and shaped by parents and the family environment. Parents help children build and refine their knowledge and skills, charting a trajectory for their health and well-being during childhood and beyond. The experience of parenting also impacts parents themselves. For instance, parenting can enrich and give focus to parents' lives; generate stress or calm; and create any number of emotions, including feelings of happiness, sadness, fulfillment, and anger. Parenting of young children today takes place in the context of significant ongoing developments. These include: a rapidly growing body of science on early childhood, increases in funding for programs and services for families, changing demographics of the U.S. population, and greater diversity of family structure. Additionally, parenting is increasingly being shaped by technology and increased access to information about parenting. Parenting Matters identifies parenting knowledge, attitudes, and practices associated with positive developmental outcomes in children ages 0-8; universal/preventive and targeted strategies used in a variety of settings that have been effective with parents of young children and that support the identified knowledge, attitudes, and practices; and barriers to and facilitators for parents' use of practices that lead to healthy child outcomes as well as their participation in effective programs and services. This report makes recommendations directed at an array of stakeholders, for promoting the wide-scale adoption of effective programs and services for parents and on areas that warrant further research to inform policy and practice. It is meant to serve as a roadmap for the future of parenting policy, research, and practice in the United States.


Commodities and Commodity Derivatives

Commodities and Commodity Derivatives
Author: Helyette Geman
Publisher: John Wiley & Sons
Total Pages: 479
Release: 2009-09-24
Genre: Business & Economics
ISBN: 0470687738

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The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV