Times Series, Statistics

This paper provides novel findings on idiosyncratic momentum in commodity futures. Momentum strategy that forms portfolios on the basis of commodity-specific returns delivers compelling investment returns which are substantially more robust and superior to total return momentum on an absolute and risk-adjusted basis. Furthermore, idiosyncratic return momentum is materially more persistent than total return momentum in that it delivers statistically significant positive returns over longer term horizons including ranking periods of up to 24 months. A set of commodity specific and equity markets inspired factors are examined. Notably, the results corroborate that hedging pressure and term structure are sources of risk premium in commodity futures. The analysis in this chapter expose that momentum in commodity futures is fundamentally different to the momentum effect in equity markets. Specifically, momentum in commodity futures is entirely attributed to the momentum effect in long-only portfolios whilst none of the short-only strategies' returns are either profitable or statistically significant. Lastly, the two types of long-only momentum significantly outperform a passive investing into a broad market index such as S&P GSCI. The views expressed here are those of the authors and not necessarily those of any affiliated institutions.

Non-linear time series and linear models were not designed to detect probabilistic process that are depict by velocity and drift associated to returns the way Ornstein-Uhlenbeck stochastic process describes diffusion and velocity associated to series or waves influenced by Brownian motion or Lévy process. In this research, Brownian motion and Lévy process were conflated as driving force for Ornstein-Uhlenbeck process with its solution applied to Naira-Dollar exchange rates from 2009-2019.The drift and diffusion estimates for the Ornstein-Uhlenbeck process driven by Brownian motion and Lévy process are realization of AR (1) with 2.991 and 0.1672 respectively. The AR(1) realization for the Ornstein-Uhlenbeck process was stationary with estimate 0.7204  that lies outside the unit circle. The AIC, BIC, RMSE, and MSE for the Ornstein-Uhlenbeck process were estimated to be 483.7572, 483.4782, 0.00101, and 8.395 respectively, compare to estimates of the same indexes for AR (1) of 767.5, 634.09, 0.3819, and 23.48. The criterion via the residuals from the Ornstein-Uhlenbeck process was smaller, which connotes that the errors approximated in using drift, Brownian motion and 1 t x  to estimate t x is relatively small via the Ornstein-Uhlenbeck process.

The explanatory factors of companies regarding their funding sources are still quite obscure in Brazil, although considered as relevant from the practical and theoretical standpoints. This study investigated corporate governance (GC) as a potential determining factor for the choice of corporate funding sources. To this end, a panel data model was used with data from 2010 to 2014. The sample consisted of 177 non-financial public companies. The empirical results indicated that corporate bond issuance (public debt) is associated with companies with higher levels of corporate governance regarding their board structure and ownership, and information disclosure. This relationship was negative for funds subsidized by the government and banks. A weak relation was found between the simultaneous use of different funding sources and corporate governance practices. Evidence suggests that there is a relationship between debt structure and CG practices, especially when related to board structure and ownership.

Abstratct: The objective of this study is to comprehend the dynamic of the relationships in the long term between the economic growth, represented by Gross Domestic Product (GDP) and the exportations from the Southern America's countries and the United States. Therefore, note that both move together in a period of 51 years, just as well the existence of the causality relationship between them. For this examination, it was used Amplified Dickey Fuller's methodology and the cointegration test of Johansen (1991) to compare the relationship between the exportations and economic growth and, the causality model proposed by Granger (1969). The results allow inferring, through Johansen's test, eigenvalue's statistic and the trace of vector's existence of cointegration in the United States, Brazil, Colombia, Ecuador and Uruguay. The causality unidirectional was confirmed in Bolivia, Brazil, Chile, Ecuador and Uruguay, confirming the hypotheses GLE (export-led-growth). The main study's contribution allows inferring that the maintenance of causality relationship, contribute to an economic development, thereby, politics incentive domestic production can be progressives, because the exportations showed up the causer of economic growth. In this respect, the political conduct could highlight the importance of competitiveness from countries in the support to domestic to productivity, fiscal incentives and infrastructure, the realization of commercial deals, aiming the exporter growth. For countries which the causality wasn't identified, contributes for the clarification for other peculiarities, inherent to the individuals contexts that might contribute to economic growth.