A Multi-Model Approach to Implement a Dynamic Shelf Life Criterion in Meat Supply Chains

The high perishability of fresh meat results in short sales and consumption periods, which can lead to high amounts of food waste, especially when a fixed best-before date is stated. Thus, the aim of this study was the development of a real-time dynamic shelf-life criterion (DSLC) for fresh pork filets based on a multi-model approach combining predictive microbiology and sensory modeling. Therefore, 647 samples of ma-packed pork loin were investigated in isothermal and non-isothermal storage trials. For the identification of the most suitable spoilage predictors, typical meat quality parameters (pH-value, color, texture, and sensory characteristics) as well as microbial contamination (total viable count, Pseudomonas spp., lactic acid bacteria, Brochothrix thermosphacta, Enterobacteriaceae) were analyzed at specific investigation points. Dynamic modeling was conducted using a combination of the modified Gompertz model (microbial data) or a linear approach (sensory data) and the Arrhenius model. Based on these models, a four-point scale grading system for the DSLC was developed to predict the product status and shelf-life as a function of temperature data in the supply chain. The applicability of the DSLC was validated in a pilot study under real chain conditions and showed an accurate real-time prediction of the product status.

Aspects Regarding a New Methodology for Active Portfolio Management of Hedge Funds Alternative in Emerging Markets-the Case of Romanian Capital Market in the Actual Context of Post-Crisis Recovery

In emerging markets, the processes in portfolio management should be adapted according to the typical constraints (market liquidity aspect and other market imperfections)that limits the use of alternative instruments / strategies and diversification capabilities. The aim is to develop a new way to understand and implement innovative solutions in real portfolio management in the case of Romanian capital market. The innovation is based on a scalable hedge-fund (HF) structure that capture different alternative instruments. This HF architecture represents a versatile dynamic AIF, equipped with capabilities to integrate the synergies between diversification based on alternative instruments but also the diversification based on alternative strategies and it integrates a core thematic sub-portfolio and 2-4 satellite rotating sub-portfolios capable to compensate the impossibility to use short sales and leverage strategies.

Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket

We use the initial public offering (IPO) setting to provide evidence that the combination of valuation uncertainty and short-sales constraints generates significant equity market mispricing. The IPOs that we predict to be most susceptible to overpricing in the immediate aftermarket have first-day returns of +47% and lockup expiration returns of [Formula: see text]9%. Our detailed analysis of securities lending market data confirms that these IPOs experience severe short-sales constraints that peak around the lockup expiration. Our paper both explains the anomalous pricing of IPOs and highlights the importance of valuation uncertainty and short-sales constraints in explaining equity mispricing. This paper was accepted by Brian Bushee, accounting.

A comprehensive investigation into style momentum strategies in China

This study conducts a comprehensive investigation into style momentum strategies—the combination of price momentum strategies based on previous medium-term returns and style investing in terms of firm characteristics—in the China stock market over the period 1994 to 2017. Although we do not find style momentum profits over the first sub-period 1994 to 2006, strong evidence shows that style momentum strategies are profitable over the second sub-period 2007 to 2017, even after controlling for trading costs and various market and firm-specific risks. Importantly, the observed style momentum in the second sub-period is distinguished from price momentum and industry momentum but could be attributed to the improved institutional settings in recent years. Specifically, the fast growth of institutional investors since 2006, along with the introduction of margin trading and short sales in 2010, provides style switchers with more efficient investment vehicles to trade an entire style in the China stock market. Finally, we find that style profits exhibit momentum in a cyclical nature; in particular, style momentum profits are negatively related to market states, implying that it is likely for institutional investors to make profits by constructing style momentum strategies when stock market experiences a major decline.

Equity Short Selling and the Cost of Debt

Empirical evidence suggests that short sales have pertinent information about firm fundamentals. If so, then information from short selling in liquid equity markets can be informative for infrequently traded corporate bonds. The adverse information conveyed by short interest should mean higher cost of debt. Using a large sample of corporate bonds, we examine whether lagged equity short interest affects credit spreads. Highly shorted firms do experience wider credit spreads in the subsequent months. Moreover, the increase in short interest leads to higher credit spreads. Short interest thus seems to contain adverse information about firm fundamentals that can prove useful to bond investors.