2012-02-08 papers

on Risk Management

Issue of 2012‒02‒08
three papers chosen by

Derivatives at Agricultural Banks By Shen, Xuan; Hartarska, Valentina
Tactical allocation in falling stocks: Combining momentum and solvency ratio signals By Piotr Arendarski
An Examination of How the Level of Yield Aggregation Impacts the Effectiveness of Area-based Insurance Designs By Wang, Yang; Barnett, Barry; Coble, Keith; Harri, Ardian

By:	Shen, Xuan; Hartarska, Valentina
Abstract:	Using data between 1995 and 2010, we find that agricultural banks are benefiting from the derivatives activities by reducing total risk without hurting their profit. In nonagricultural banks, both profitability and total risk are adversely affected, possibly due to speculative derivatives positions.
Keywords:	Agricultural Banks, Financial Derivatives, Profitability, Risk Management, Agricultural Finance, Risk and Uncertainty,
Date:	2012
URL:	http://d.repec.org/n?u=RePEc:ags:saea12:119789&r=rmg

Tactical allocation in falling stocks: Combining momentum and solvency ratio signals

By:	Piotr Arendarski (University of Warsaw, Faculty of Economic Sciences)
Abstract:	We identified 4500 US stocks with year ending losses of 50 percent or more during the 2001-2011 period. We screened our "falling knives" for financial strength to promote a greater likelihood of recovery and minimize any survivorship bias. We added the constraints of Altman Z-Scores, debt/equity ratio, and current ratio to our data set. We use GARCH-in-mean model to control the risk of the strategies. The results show consistent improvement of risk-standardized return profiles of the strategies in comparison with buy and hold strategy.
Keywords:	falling stocks, contrarian investing, financial strength ratios, GARCH in mean model, Augmented Dickey-Fuller test
JEL:	C58 G11 G17 G14
Date:	2012
URL:	http://d.repec.org/n?u=RePEc:war:wpaper:2012-01&r=rmg

An Examination of How the Level of Yield Aggregation Impacts the Effectiveness of Area-based Insurance Designs

By:	Wang, Yang; Barnett, Barry; Coble, Keith; Harri, Ardian
Keywords:	Area yield insurance, risk management, Agricultural and Food Policy, Risk and Uncertainty, Q18, G22,
Date:	2012
URL:	http://d.repec.org/n?u=RePEc:ags:saea12:119775&r=rmg

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