The analysis of wheat prices using multiple structural breakpoint co-integration test

From 2005 to 2008, high volatility in the markets affected grain prices significantly. This high volatility in grain prices made many researchers curious, and many discussions aroused from this topic. This study analyzes wheat price behavior during this period of high volatility. We estimate a return index for wheat using spot and futures wheat prices with the help of a present value model. To analyze the cointegration between the wheat prices and return index, a new co-integration test with multiple structural breaks, developed by Daiki Maki (2012), is used. The long-run cointegration coefficients are estimated using the Dynamic Ordinary Least Squares methodology. The empirical results show that there is cointegration between the spot and futures wheat prices, which tends to change at breakpoints. In other words, there is an equilibrium relation between spot prices and futures prices; however, it becomes unstable during the crisis in 2008. The results may help in understanding the dynamics of wheat prices, especially during high-volatility periods.

Break Risk

We develop a new approach to modeling and predicting stock returns in the presence of breaks that simultaneously affect a large cross-section of stocks. Exploiting information in the cross-section enables us to detect breaks in return prediction models with little delay and to generate out-of-sample return forecasts that are significantly more accurate than those from existing approaches. To identify the economic sources of breaks, we explore the asset pricing restrictions implied by a present value model which links breaks in return predictability to breaks in the cash flow growth and discount rate processes.

THE CURRENT ACCOUNT OF THE SPANISH ECONOMY, 1850-2016: WAS IT OPTIMAL?

ABSTRACT We analyse the possible optimality of the path followed by the current account of the Spanish economy over a very long period of almost 170 years (1850-2016), according to the intertemporal approach to the current account and using a present-value model. In particular, from the estimation of a bivariate vector autoregression model for the current account, we attempt to assess the extent to which the latter has been used to smooth private consumption over time in the presence of temporary shocks that the economy might suffer. In general, evidence does not seem to be particularly favourable to the validity of the model over the period of analysis.

Valuation Of Fmcg Company Using Adjusted Present Value Model

Valuation is the process of finding the current net worth of the company or finding the fair & market rate of particular company by consider the market rate of the asset of the company, capital structure of the company. For calculating the current net-worth of the company researcher used APV model for the study. Objective of the paper is to find out the current net-worth of the company, the researcher adopted analytical research method. FCFF, WACC, ROIC and growth rate are data analysis tools used for the study are. From this research it is found that company has to focus on increasing its profit by reducing its expenses. Company has to improve their operations in order to increase in the return on invested capital.

Carry-Based Expected Returns for Strategic Asset Allocation

In this article, the author investigates expected return forecasting methodologies and their application in an asset allocation context. Although present value model–related methods are popular in practice, little is known about their performance when used for asset allocation. An intuitive and traceable carry-based method is developed by the author and tested and benchmarked against competing alternatives. The results are evaluated from different perspectives, and the obtained returns are regressed on well-known risk factors. The proposed methodology outperformed other return forecasting variants on various metrics and generated significant alphas regardless of the weight determination approach used. The methodology can be extended to further asset classes and geographic regions and provides a framework for allocating assets strategically.

A look into German housing markets: A bubble call?

The steep rise in German house prices in recent years raises the question of whether a speculative bubble has already emerged. Using a modified present-value model, we estimate the size of speculative house price bubbles in the German housing market. We do not find evidence for positive bubble accumulation in recent years, and interpret the current bullish run as reflecting the correction of house prices that have been undervalued for more than 10 years. With house prices close to their fair values as of 2018:Q1, our answer to the question is, ‘Not yet, but it is likely soon’.