Marilyn K. Wiley

The Impact of Trader Type on the Futures Volatility-Volume Relation

We examine the volatility-volume relation in futures markets using volume data categorized by type of trader. We find that the positive volatility-volume relation is driven by the general public, a group of traders who are distant from the trading floor and therefore without precise information on order flow. Clearing members and floor traders who observe order flow often decrease volatility. Our findings are consistent with Shalens (1993) hypothesis that uninformed traders who cannot differentiate liquidity demand from fundamental value change increase volatility.

The Relationships Between Mortgage Rates and Capital-Market Rates Under Alternative Market Conditions

Mortgage interest rates have become more integrated with other capital-market interest rates over recent decades, apparently as a result of the deregulation of financial markets. The link is both imperfect and time-varying. Mortgage rates during some time periods appear to be “sticky” with respect to their adjustment to changes in capital-market rates. We examine the relationship between weekly conventional mortgage rates and the interest rates on treasury and corporate securities under differing market conditions. We draw three conclusions based on the analysis. First, deregulation changed the link between mortgage rates and riskless interest rates, which confirms the findings of Goebel and Ma (1993). Second, mortgage rates were cointegrated with risky interest rates even before deregulation. Third, the link between mortgage rates and the risky bond rate can be associated with the behavior of the risk premium in the bond rate. The observed relationship is consistent with the stickiness observed by Haney (1988) and causes a more pronounced stickiness when rates are falling than when they are rising.

Capital investment analysis for managers

Briefly describes the nature and importance of capital investments and why managers of all functional areas should understand the basics of analysis. Reviews conceptual issues. Develops important perspectives for corporate leaders, managers and analysts. Provides practical guidelines for analysis. Furnishes a useful format for analysis easily adaptable to spreadsheet analysis. Illustrates techniques of analysis using a sample capital project. Interprets the results in a common‐sense manner and in terms of the contribution of the project to shareholder value. Addresses issues at a level appropriate for each professional manager regardless of their area of expertise and functional assignment.

Forecast bias and accuracy of exchange rates in emerging markets

Abstract This study assesses the forecast bias and accuracy of the three commonly used forecast methods for 12 different emerging market currencies. We find that each forecast method commonly exhibits a forecast bias. The random walk method outperformed the forward rate and ARIMA methods for some emerging market currencies, and was not outperformed by these alternative methods. In general, it appears that the incorporation of expectation components by the implicit forward and ARIMA methods do not improve the forecast, and actually reduce forecast accuracy in some cases. Furthermore, the Latin American currencies were typically forecast with more error.

Managing operating assets to create value

Provides the conceptual structure and practical framework for analysing the effects which changes in operating cycle variables will have on economic value. Focuses on important issues and techniques in analysing and managing raw materials, work in process, finished goods and accounts receivable. Addresses single and joint effects of changes in the operating cycle on additions to value. Illustrates the amplification effects of improvements in the operating cycle. Contains simplified sample analysis to allow one to focus on conceptual and practical issues rather than complex numbers.

Factors affecting returns across stock markets

Abstract Complementing recent research on the factors explaining differences in mean returns across stocks within the U.S. (Fama & French, 1992) and Japanese (Chan, Hamio, & Lakonishok, 1991) markets, this article reports the results of an investigation of factors hypothesized to explain differences in mean returns across entire national stock markets. Unlike most studies focused solely on U.S. stocks, this study does not find a beta or size effect in the assessment of national stock market movements. The most relevant factor for explaining disparate returns across markets is country risk.

Cointegration of term structure premiums across countries

Abstract Research investigating the behavior of the term premium in interest rates has not previously analyzed the way in which one countrys term premium may influence the term premiums of others. Because capital flows between developed countries are large, the same underlying factors that influence premiums in one country may be transmitted to others. We test specifically for the existence of cointegration of term premiums across six developed countries. We find support for two cointegrating vectors, suggesting as many as four common trends or underlying factors influencing these premiums. Further, we find that including an error correction term in the forecast of one countrys term premium as a function of the others provides a better forecast than either a Martingale forecast or a vector autoregression.

The critical operating cycle

Focuses on the operating cycle. Provides a conceptual and practical understanding of issues and relationships of importance to all managers, such as invested capital, flowing capital, return of and on capital, lost and idle capital, risk‐return‐value relationships, basic cost relationships and economic break‐even. Explains and emphasizes how the operating cycle, and indeed the survival of the firm and creation of value, are critically dependent on the marketing function. Demonstrates why the contribution of each individual to the “team” is vital to creating value. Illustrates the importance of and provides guidelines for applying the concepts in the different functional areas with an example focusing on human resource management.