Article
Management
Michael Hasler, Charles Martineau
Summary: This study empirically tests the conditional capital asset pricing model (CAPM) and finds that it successfully explains the conditional level of asset returns when the cost of hedging is nil. However, it fails to explain the cross section of average asset returns. The study provides an explanation for the coexistence of these two apparently contradictory results.
MANAGEMENT SCIENCE
(2023)
Article
Management
Michael Hasler, Charles Martineau
Summary: When the cost of hedging is zero, the conditional CAPM holds, as shown by empirical testing. The intercepts in the regression analysis are not statistically different from zero, indicating that the conditional CAPM successfully explains the level of asset returns. However, the unconditional betas do not explain the cross section of average asset returns, leading to the failure of the unconditional CAPM. This study rationalizes the coexistence of these two results.
MANAGEMENT SCIENCE
(2023)
Article
Business, Finance
Sree Vinutha Venkataraman
Summary: In this study, a new model called D-CAPM, which measures downside risk, is proposed along with a version of downside beta. Empirical tests on two Indian stock market indices show that D-CAPM holds true in both market portfolios.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2023)
Article
Management
Chris Anderson, Weiling Liu
Summary: This study proposes a novel measure of intermediary risk exposure and finds that market-specific interdealer trade measures can enhance predictability of returns.
MANAGEMENT SCIENCE
(2023)
Article
Business, Finance
Pengcheng Song, Xinxin Ma, Xuan Zhang, Qin Zhao
Summary: This paper introduces the IF-CAPM model to explain the impact of the SARS pandemic on asset prices, showing that it outperforms the traditional CAPM model in capturing structural changes in the financial market caused by the pandemic.
PACIFIC-BASIN FINANCE JOURNAL
(2021)
Article
Business, Finance
Chune Young Chung, Seok-Kyun Hur, Kainan Wang
Summary: This study uses the capital asset pricing model to explain how small changes in asset prices can disrupt an entire financial market, influencing the relative distribution of individual assets and causing all tradable assets to comove during market crashes. Empirical results from US stock market data support the model's predictions, helping to understand price patterns of assets during substantial market downturns such as financial crises.
JOURNAL OF FINANCIAL STABILITY
(2022)
Article
Business, Finance
Yang Zhao, Yuan Yao, Mingtao Wang
Summary: This paper addresses the risk-free rate puzzle in the original C-CAPM model and proposes a new model and equation that take into account the income gap in China. The findings suggest that the heterogeneity of risk attitudes among different income groups is crucial in achieving equilibrium in the capital and consumer markets.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2024)
Article
Business, Finance
Nardos Beyene, Peng Huang, C. James Hueng
Summary: This study examines the pricing of commonality in liquidity risk in the U.S. stock market using a comprehensive measure of market illiquidity cost and forming portfolios based on the definition of commonality risk. By estimating a conditional version of the Liquidity-Adjusted Capital Asset Pricing Model through the Dynamic Conditional Correlation approach, it finds a time-varying commonality risk premium, with higher values during periods of market turmoil.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Byeung-Joo Lee, Ji Ho Kwon
Summary: This study examines the relationship between the output gap and the consumption-based asset pricing model in the Korean stock market. The results show that the output gap, as a conditioning variable, can explain a significant portion of the cross-sectional variation in stock returns in Korea. Furthermore, the conditional version of the consumption capital asset pricing model (CCAPM) with the output gap as a conditioning variable performs similarly to the Fama-French three- and five-factor models in explaining the cross-section of stock returns. The riskiness of an asset is determined by its correlation with consumption growth conditional on the business cycle, as measured by the output gap.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2023)
Article
Business, Finance
Bart Claassen, Lammertjan Dam, Pim Heijnen
Summary: This study examines the interaction between equity returns and firms' financing policies in a stochastic Ramsey model with heterogeneous firms. The authors present a closed-form solution to this class of models and show that restricting firms' financing policies can explain various stylized facts of equity returns, both in terms of dynamic behavior and cross-sectional patterns.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2023)
Article
Management
Alex R. Horenstein
Summary: This paper explores how asset-pricing anomalies can arise as investors adjust portfolios based on academic research findings. The author finds that assets with low realized CAPM alphas outperform those with high alphas, but this effect is only observed after the publication of CAPM. Evidence suggests that the widespread application of CAPM may lead to systematic tilting of portfolios away from low CAPM alpha assets, causing them to be undervalued.
MANAGEMENT SCIENCE
(2021)
Article
Business, Finance
Kam Fong Chan, Terry Marsh
Summary: This study shows that US midterm elections play a crucial role in asset pricing, even more so than presidential elections. In the months following midterm elections, equity premiums, mutual fund flows, and real investment growth rates significantly increase, while Treasury premiums decrease. The results are consistent with theoretical models linking higher asset prices to lower future discount rates when post-election political uncertainty decreases.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Na Chen, Xiu Jin
Summary: By using a spatial econometric approach, this study constructs an economic distance-based spatial weight matrix to capture the spatial interaction across industries. A return estimation model is then built based on the spatial interaction, and the covariance matrix and cross-industry asset allocation model are derived. The empirical results demonstrate that spatial interaction has a strong explanatory power for returns, integrating spatial interaction on multiple risk transmission channels can enhance the effectiveness of the return estimation model, and the asset allocation model with spatial interaction can improve portfolio performance and provide valuable guidance for investors' risk management and investment decisions.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2023)
Article
Economics
Xiuli Ma, Xindong Zhang, Weimin Liu
Summary: The study evaluates the performance of liquidity-risk-based models, particularly the Liquidity-augmented Capital Asset Pricing Model (LCAPM), which shows significant pricing ability for liquidity risk even in highly volatile markets. The findings suggest that liquidity risk is priced highly during turmoil markets and the LCAPM is a preferable choice for investment decision making and regulation.
ECONOMIC MODELLING
(2021)
Article
Business, Finance
Andrea Bellucci, Serena Fatica, Wouter Heynderickx, Virmantas Kvedaras, Andrea Pagano
Summary: This study examines the impact of bank liability taxes on risk and financial stability in European countries after the global financial crisis. Through a difference-in-differences analysis, it is found that banks responded to these taxes by reducing interbank exposure and increasing both equity and the risk weight of their assets in the short term. The microsimulation model shows that these adjustments reduce risk in the banking sector, potentially decreasing the cost of crises.
JOURNAL OF CORPORATE FINANCE
(2023)
Article
Agricultural Economics & Policy
Jose L. Oviedo, Pablo Campos, Alejandro Caparros
Summary: This study applies discrete choice contingent valuation to assess the amenities consumed by non-industrial private forest owners in Andalusia, Spain. The findings reveal that the landowners' median willingness to accept compensation for giving up land amenity consumption is EUR 387.8 per hectare yearly. The preferred model shows diminishing marginal values of amenity consumption with property size, negative effects of eucalyptus and Aleppo pine presence, and positive effects of distance to urban centers. The study discusses the performance of question formats and models and recommends the use of the single-bounded format in this valuation context.
EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS
(2022)
Article
Ecology
Nicole Buckley Biggs, Lynn Huntsinger
Summary: This study investigates the impact of grazing management on soil carbon cycling on annual rangelands in California. It concludes that using managed grazing to augment soil organic carbon presents significant challenges and should not be prioritized as a climate change mitigation strategy in the state. Alternative climate change mitigation opportunities on these landscapes include preventing rangeland conversion and enhancing soil carbon stocks through range management practices.
RANGELAND ECOLOGY & MANAGEMENT
(2021)
Article
Green & Sustainable Science & Technology
Sheila Barry, Lynn Huntsinger
Summary: The relationship between grazing and species conservation in California is complex and varied. Some species are threatened by livestock grazing, some are positively influenced, and grazing is beneficial for managing vegetation and providing habitat structure and ecosystem functions. Managed grazing can combat anthropogenic threats and support conservation-reliant species.
Article
Engineering, Environmental
Yu Lu, Lynn Huntsinger, WenJun Li
Summary: This study explores the impact of easily accessible microcredit loans on households in pastoral areas of Inner Mongolia, finding that the loans increase financial risk due to misalignment with the local husbandry production cycle. Borrowers are forced to turn to usurers to repay bank loans, leading to a vicious cycle of increasing debt and ultimately impoverishment. The findings highlight the importance of aligning microcredit programs with local production cycles and considering environmental constraints in semiarid regions.
Article
Economics
Pablo Campos, Alejandro Alvarez, Bruno Mesa, Jose L. Oviedo, Alejandro Caparros
Summary: The study proposes an Agroforestry Accounting System (AAS) to measure total incomes and environmental assets of publicly-protected conifer forests, revealing that the total income measured by AAS is 38 times higher than the EAF net value added (NVA). The AAS activities of forestry conservation, fire services, and landscape conservation activities generate 71% of labor compensation in the conifer farm. The sensitivity analysis shows significant effects on environmental assets from changes in land ownership rights and discounting rates.
FOREST POLICY AND ECONOMICS
(2021)
Review
Ecology
Wenjing Xu, Lynn Huntsinger
Summary: Fencing, a common yet underestimated human infrastructure, affects not only the ecological aspect but also the social dynamics in landscapes. Through case studies, it is found that the social functions and physical appearance of fencing create a positive feedback loop, leading to the widespread proliferation of fences in landscapes, making it more impactful than expected solely based on its ecological impacts. Therefore, fence ecology and management should consider the social-ecological complexities of fenced landscapes to minimize unintended social consequences.
FRONTIERS IN ECOLOGY AND THE ENVIRONMENT
(2022)
Article
Agronomy
Franziska Wolpert, Cristina Quintas-Soriano, Fernando Pulido, Lynn Huntsinger, Tobias Plieninger
Summary: Wildfires in the Mediterranean Basin have been increasing in severity and magnitude. To mitigate the risk, an integrated landscape management approach involving collaboration among stakeholders can be effective. Agroforestry systems act as productive fuelbreaks and can also contribute to rural revival and provision of ecosystem services.
AGROFORESTRY SYSTEMS
(2022)
Article
Food Science & Technology
Maria Garcia-Martin, Lynn Huntsinger, Maria Jose Ibarrola-Rivas, Marianne Penker, Ugo D'Ambrosio, Thymios Dimopoulos, Maria E. Fernandez-Gimenez, Thanasis Kizos, Jose Munoz-Rojas, Osamu Saito, Karl S. Zimmerer, David J. Abson, Jianguo Liu, Cristina Quintas-Soriano, Irene Holm Sorensen, Peter H. Verburg, Tobias Plieninger
Summary: This article explores the multiple functions of seven landscape products worldwide, emphasizing that landscape products can improve food systems by promoting place-sensitive sustainability strategies and standards, thus addressing conflicts related to food production, social justice, and the environment.
Article
Environmental Studies
Pablo Campos, Jose L. Oviedo, Alejandro Alvarez, Bruno Mesa
Summary: This article examines the existence value output generated for society through the preservation of threatened wildlife species, with the added transaction price of consumer or government willingness to pay extra taxes to prevent an increase in the number of threatened species. The application of refined System of Environmental-Economic Accounting (rSEEA) to Pinus pinea forests in protected and non-protected areas in Andalusia, Spain in 2010 showed a 40% higher net value added in protected areas compared to non-protected areas, with coinciding environmental benefits.
Article
Ecology
Tobias Plieninger, Lukas Flinzberger, Maria Hetman, Imke Horstmannshoff, Marilena Reinhard-Kolempas, Emmeline Topp, Gerardo Moreno, Lynn Huntsinger
Summary: Dehesas and montados are Mediterranean agroforestry systems characterized by scattered oak trees with an understory grazed extensively by livestock. Traditional management practices have contributed to rich biodiversity and ecosystem services, but socio-cultural factors, economic dynamics, and agricultural policies have led to challenges and negative impacts on these systems.
ECOLOGY AND SOCIETY
(2021)
Review
Food Science & Technology
Lynn Huntsinger, Sheila Barry
Summary: The California landscape has been significantly altered by various factors, leading to increased susceptibility to wildfires. Despite the potential benefits of livestock grazing in fuel management, it is not widely promoted by government agencies. The neglect of active management approaches has contributed to the current wildfire crisis in the state.
FRONTIERS IN SUSTAINABLE FOOD SYSTEMS
(2021)
Article
Ecology
Nathan D. Van Schmidt, Jose L. Oviedo, Tracy Hruska, Lynn Huntsinger, Tony J. Kovach, A. Marm Kilpatrick, Norman L. Miller, Steven R. Beissinger
Summary: The study suggests that diverse water sources, particularly a combination of natural and irrigated sources, play a vital role in the persistence of wetlands and in providing suitable habitat for threatened species like the California Black Rail. The impact of irrigation on wetlands also increases the risk of transmitting West Nile virus. Additionally, the influence of social diversity, such as profit-motivated landowners providing more irrigation during drought, can affect wetland management.
ECOLOGY AND SOCIETY
(2021)
Article
Ecology
Gongbuzeren, Jing Zhang, Minghao Zhuang, Jian Zhang, Lynn Huntsinger
Summary: The privatization of collectively used rangelands has resulted in new grazing management systems in pastoral areas of the Qinghai-Tibetan Plateau. Two main systems have emerged: renting allocated grazing land parcels and a community-based grazing quota system. While the rented system has higher above-ground biomass, it also leads to changes in vegetation composition and lower carbon and nitrogen density compared to the community-based system. The case study villages show that addressing rangeland fragmentation and improving vegetation conditions may require institutions operating at both household and community scales.
ECOLOGY AND SOCIETY
(2021)
Article
Ecology
Nicole Buckley Biggs, Jayce Hafner, Fadzayi E. Mashiri, Lynn Huntsinger, Eric F. Lambin
Summary: This study explores the governance of soil carbon on California rangelands, focusing on a new payment for ecosystem services initiative led by the agriculture industry. By applying hybrid governance theory to agricultural lands, the study evaluates the alignment of corporate sustainability goals with ranchers' priorities and the complementarity of the ESMC market with existing policies. The research highlights the potential benefits and challenges of corporations developing the PES market motivated by carbon insetting and the importance of complementary governance mechanisms to mitigate upfront risks.
ECOLOGY AND SOCIETY
(2021)
Article
Ecology
Joaquin Aldabe, Ana Ines Sanchez-Iriarte, Mercedes Rivas, Oscar Blumetto
Summary: Success in conserving biodiversity in rangelands depends on effectively managing the systems to achieve positive economic outcomes while preserving biodiversity. This study found that managing grass height can increase forage mass without replacing native vegetation. However, the impact on grassland bird populations remains unclear. The findings suggest that maintaining grassland bird specialists and potentially increasing livestock production is feasible, but longer time frames may be needed to support endangered tall grass specialists.
RANGELAND ECOLOGY & MANAGEMENT
(2024)
Article
Ecology
Timothy H. Parker, Alex Gerber, Erin Campbell, Molly Simonson, Robert K. Shriver, Lyman Persico
Summary: Many perennial plants in semiarid rangelands have experienced population declines. Solar radiation may be the primary factor causing high seedling mortality on south-facing slopes.
RANGELAND ECOLOGY & MANAGEMENT
(2024)
Article
Ecology
Amin Ghasemi, Mahmoud-Reza Hemami, Sorour Karimi, Majid Iravani, Josef Senn
Summary: Seed dispersal is of great importance in plant ecology. This study examines the role of the onager in the endozoochoric seed dispersal of various plant species in an Iranian national park. The findings highlight the significance of conserving this threatened subspecies to maintain seed dispersal in arid habitats.
RANGELAND ECOLOGY & MANAGEMENT
(2024)
Article
Ecology
Nicki Frey, Jeffrey L. Beck, Loretta Singletary, Laura Snell, Derek Scasta, Jessie Hadfield
Summary: This article presents a survey on public knowledge of wild free-roaming horse populations. The results indicate that the public has limited understanding of the ecology and management of these horses, which may affect their ability to support management efforts and distinguish fact from propaganda.
RANGELAND ECOLOGY & MANAGEMENT
(2024)
Article
Ecology
Seyedeh Khadijeh Mahdavi, Mohammadreza Shahraki, Mohsen Sharafatmandrad
Summary: This study aimed to analyze the impact of Turkmen pastoralists' participation in rangeland restoration practices in Aqqala County. The results showed that pastoralists' age, annual income, number of animals, and animal husbandry experience had positive relationships with participatory behavior. Pastoralists who were members of rangeland management cooperatives and participated in training courses performed better in implementation. By identifying the consequences of participatory behavior, barriers to participation in restoration practices can be overcome.
RANGELAND ECOLOGY & MANAGEMENT
(2024)
Article
Ecology
Corinna M. Holfus, Chad S. Boyd, Roxanne C. Rios, Kirk W. Davies, Stella M. Copeland, Ricardo Mata-Gonzalez
Summary: The distribution of Wyoming big sagebrush has decreased due to its interaction with invasive annual grasses and increased wildfire frequency. Traditional seeding methods have low success rates, while transplanting sagebrush has a higher success rate. Planting younger transplants and controlling invasive annual grasses before planting can increase transplant survival and canopy volume.
RANGELAND ECOLOGY & MANAGEMENT
(2024)