Ch05 Determination of Forward and Futures Prices
迎浪船舶参数横摇的理论研究
1.2 参数横摇研究进展
long-crest waves，wave group
VII
上海交通大学硕士学位论文
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上海交通大学硕士学位论文
时也导致了船舶在波浪上的稳性特征值的变化。其中，船舶横摇恢复力矩作为保证 船舶安全的最为重要的参数受此变化影响最为严重。传统理论对船舶各个运动模态 的数值估计和预报是在船舶线性运动理论框架下进行的，适应于微幅运动，对于船 舶发生大幅度运动时所呈现强烈的非线性运动无法适用。参数横摇的存在揭示了船 舶海上客货安全和航行效率上存在的危险隐患.其影响强度是船舶频域幅值理念下 安全预报的盲区，因此正确预报船舶参数横摇的发生范围和危险程度势在必行。 1.1.2 研究目的
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上海交通大学硕士学位论文
Derivative05-Swaps
• A swap is an agreement between two companies to exchange cash flows in the future.
• The agreement defines the dates when the cash flows are to be paid and the way in which they are to be calculated.
• In return, it receives interest at a floating rate on the same notional principal for the same period of time.
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LIBOR
• The floating rate in most interest rate swap agreements is the London Interbank Offered Rate (LIBOR).
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• A deposit with a bank can be regarded as a loan to that bank.
• A bank must therefore satisfteria in order to be able to accept a LIBOR quote from another bank so that it receives deposits from that bank at LIBOR.
• This swap is represented diagrammatically in Figure 1.
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• The first exchange of payments would take place on September 5, 2012, 6 months after the initiation of the agreement.
Ch005-Market-for-Foreign-Exchange学习资料
C h005-M a r k e t-f o r-F o r e i g n-E x c h a n g eEun & Resnick 4eCHAPTER 5The Market for Foreign Exchange Function and Structure of the FX MarketInternational Finance in Practice: The Mouse Takes Over the Floor FX Market ParticipantsCorrespondent Banking RelationshipsInternational Finance in Practice: Where Money Talks Very LoudlyThe Spot MarketSpot Rate QuotationsThe Bid-Ask SpreadSpot FX TradingCross-Exchange Rate QuotationsAlternative Expressions for the Cross-Exchange RateThe Cross-Rate Trading DeskTriangular ArbitrageSpot Foreign Exchange Market MicrostructureThe Forward MarketForward Rate QuotationsLong and Short Forward PositionsForward Cross-Exchange RatesSwap TransactionsForward PremiumSummaryMINI CASE: Shrewsbury Herbal Products, Ltd.Function and Structure of the FX Market1The world’s largest foreign exchange trading center is:a)New Yorkb)Tokyoc)Londond)Hong KongAnswer: c)2On average, worldwide daily trading of foreign exchange isa)impossible to estimateb)$15 billionc)$504 billiond)$1.88 trillionAnswer: d)3The foreign exchange market closesa)Neverb)4:00 p.m. EST (New York time)c)4:00 p.m. GMT (London time)d)4:00 p.m. (Tokyo time)Answer: a)FX Market Participants4Most foreign exchange transactions are for:a)Intervention by central banksb)Interbank trades between international banks or nonbank dealersc)retail traded)purchase of hard currenciesAnswer: b)5The difference between a broker and a dealer isa)Dealers sell drugs, brokers sell houses.b)Brokers bring together buyers and sellers, but carry no inventory. Dealers standready to buy and sell from their inventory.c)Brokers transact in stocks and bonds; currency is bought and sold through dealers.d)None of the aboveAnswer b)Rationale: if someone complains about a) being correct, ask them who would sell a crack house or a meth lab.6Most Interbank trades area)Speculative or arbitrage transactionsb)Simple order processing for the retail clientc)Overnight loans from one bank to anotherd)Brokered by dealersAnswer a)7At the wholesale levela)Most trading takes place OTC between individuals on the floor of the exchangeb)Most trading takes place over the phonec)Most trading flows over Reuters and EBS platformsd)Most trading flows through specialized “broking” firmsAnswer: c)8Intervention in the foreign exchange market is the process of:a) A central bank requiring the commercial banks of that country to trade at a setprice level.b)Commercial banks in different countries coordinating efforts in order to stabilizeone or more currencies.c) A central bank buying or selling its currency in order to influence its value.d)The government of a country prohibiting transactions in one or more currencies. Answer: c)Correspondent Banking Relationships9Consider a U.S. importer desiring to purchase merchandise from a Dutch exporter invoiced in euros, at a cost of €512,100. The U.S. importer will contact his U.S. bank (where of course he has an account denominated in U.S. dollars) and inquire about the exchange rate, which the bank quotes as €1.0242/$1.00. The importer accepts th is price, so his bank will ____________the importer’s account in the amount of____________.a)Debit, $500,000b)Credit, €512,100c)Credit, $500,000d)Debit €512,100Answer: a)Rationale: debit, since the importer is paying. $500,000 = €512,100×$1.00/€1.0242The Spot Market10The spot marketa)Involves the almost-immediate purchase or sale of foreign exchange.b)Involves the sale of futures, forwards, and options on foreign exchangec)Takes place only on the floor of a physical trading floord)All of the above.Answer: a)11Spot foreign exchange tradinga)accounts for about 5 percent of all foreign exchange tradingb)accounts for about 20 percent of all foreign exchange tradingc)accounts for about 35 percent of all foreign exchange tradingd)accounts for about 70 percent of all foreign exchange tradingAnswer: d)Spot Rate Quotationspounds? Use a direct quotea)$1.61 = £1.00b)$1.60 = £1.00c)$1.00 = £0.625d)$1.72 = £1.00Answer: b)13It is common practice among currency traders worldwide to both price and tradecurrencies against the U.S. dollar. In fact, BIS statistics indicate that about __ percent of currency trading in the world involves the U.S. dollar on one side of the transactiona)90 percentb)75 percentc)45 percentd)15 percentAnswer: a)14Suppose that the current exchange rate is €0.80 = $1.00. The direct quote, from the U.S. perspective isa)€1.00 = $1.25b)€0.80 = $1.00c)£1.00 = $1.80d)None of the aboveAnswer: a)Rationale: The direct quotation, from the U.S. perspective, the price of one unit of the foreign currency priced in U.S. dollars.The Bid-Ask Spread15The Bid pricea)Is the price that the dealer has paid for something, his historical costb)Is the price that a dealer stands ready to payc)Refers only to auctions like eBay, not over the counter transactions with dealersd)Is the price that a dealer stands ready to sell atAnswer: bThe bid price is the price a dealer will pay; the ask price is the price he charges to sell. Answer a) is a bit tricky, but the dealer’s historical cost is not necessarily the price at which he will be willing to buy more16Suppose the spot ask exchange rate, S a($|£), is $1.90 = £1.00 and the spot bid exchange rate, S b($|£), is $1.89 = £1.00. If you were to buy $10,000,000 worth of British pounds and then sell them five minutes later, how much of your $10,000,000 would be “eaten” by the bid-ask spread?a)$1,000,000b)$52,910.05c)$100,000d)$52,631.58Answer: d)Rationale:?.00First, buy $10m in pounds: $10,000,000?,263,157.895$1.90$1.89then sell the pounds for dollars: ?,263,157.895$9,947,368.42?.00Net loss to bid-ask spread = $10,000,000$9,947,368.42$52,631.⨯=⨯=-=5817If the $/£bid and ask prices are $1.50 and $1.51, respectively, the corresponding£/$ bid and ask prices are: a) £0.6667 and £0.6623 b) $1.51 and $1.50 c) £0.6623 and £0.6667d) cannot be determined with the information given Answer: c) Rationale: £1/$1.51 = ask price = £0.6623 bid price/$1; £1/$1.50 bid price = £0.6667 ask price/$1. See equation 5-3:1??.6623($|?($|?$1.51$1.00a b S S ===Spot FX Trading18 In conversation, Interbank FX trades use a shorthand abbreviation in expressing spot currency quotations. Consider a $/£ bid-ask quote of $1.9072-$1.9077. The “big figure”, assumed to be known to all traders is: a) $1.9077 b) 1 c) 1.90 d) 77 Answer: c)19 in the Interbank market, the standard size of a trade among large banks in the major currencies isa) for the U.S.-dollar equivalent of $10,000,000,000 b) for the U.S.-dollar equivalent of $10,000,000 c) for the U.S.-dollar equivalent of $100,000. d) for the U.S.-dollar equivalent of $1,000 Answer: b)20 A dealer in British pounds who thinks that the pound is about to appreciate a) May want to widen his bid-ask spread by raising his ask price b) May want to lower his bid price c) May want to lower his ask price d) None of the above Answer: c)Rationale: A dealer who thinks that the pound is about to appreciate will want to increase his inventory, none of the strategies listed will accomplish this. While a)Cross-Exchange Rate Quotations21Using the table shown, what is the spot cross-exchange rate between pounds and euro?a)€1.00 = £0.75b)£1.33 = €1.00c)£1.00 = €0.75d)none of the aboveAnswer: a)Rationale:$1.20?.00€1?.75€1$1.60⨯⨯= you also get the same result with indirect quotes22The dollar-euro exchange rate is $1.25 = €1.00 and the dollar-yen exchange rate is ¥100 = $1.00. What is the euro-yen cross rate?a)¥125 = €1.00b)¥1.00 = €125c)¥1.00 = €0.80d)None of the aboveAnswer: a)23The AUD/$ spot exchange rate is AUD1.60/$ and the SF/$ is SF1.25/$. The AUD/SF cross exchange rate is:a)0.7813b) 2.0000c) 1.2800d)0.3500Answer: c)Rationale:1.60$1 1.28$1 1.25 1.25 AUD AUDSF SF⨯=Alternative Expressions for the Cross-Exchange Rate 24The euro-pound cross exchange rate can be computed as:a)S(€/£) = S($/£) ×S(€/$)b)S($/? S(€/? =S($/€)c)S(€/$) S(€/? =S(?$)d)all of the aboveAnswer: d)The Cross-Rate Trading Desk25Suppose a bank customer wishes to trade out of British pounds and into Swiss francs.a)In dealer jargon, this is a currency against currency tradeb)The bank will frequently handle such a trade by selling British pounds for U.S.dollars and then buying francs with U.S. dollars.c)The bank would sell the British pounds directly for Swiss francs.d)a) and b) but not c)Answer: d)26Including the transactions costs of the bid-ask spread, the euro-pound cross exchange rate for a customer who wants to sell euro and buy pounds can be computed asa)S b(£/€) = S b($/€) × S b(£/$)b)S a(€/£) = S a(€/$) × S a($/£)c)S b(€/£) = S b($/€) ×1 (?$) aSd)All of the aboveAnswer: d)Rationale: The bank could alternatively quote its customer an ask price for pounds in terms of euro or quote a bid price for euro in terms of pounds. Someone who sells euro will sell them to the dealer for dollars at the dealer’s bid price, S b($/€), then he will buypounds with dollars from the dealer at his asking price ,1 (?$)($/?abSS=.Triangular Arbitrage27The Singapore dollar—U.S. dollar (S$/$) spot exchange rate is S$1.60/$, the Canadian dollar—U.S. dollar (CD/$) spot rate is CD1.33/$ and the S$/CD1.15.Determine the triangular arbitrage profit that is possible if you have $1,000,000.a)$44,063 profitb)$46,093 lossc)No profit is possibled)$46,093 profitAnswer: d)Rationale:$1.60 1.00$1$1,000,000$1,046,093$1$1.15 1.33S CDS CD⨯⨯⨯=28You are a U.S.-based treasurer with $1,000,000 to invest. The dollar-euro exchange rate is quoted as $1.20 = €1.00 and the dollar-pound exchange rate is quoted at $1.80 = £1.00. If a bank quotes you a cross rate of £1.00 = €1.50 how much money can an astute trader make?a)No arbitrage is possibleb)$1,160,000c)$500,000d)$250,000Answer: a)Rationale:?.00€1.50$1.20$1,000,000$1,000,000$1.80?.00€1.00⨯⨯⨯=Spot Foreign Exchange Market Microstructure29Market microstructure refers toa)The basic mechanics of how a marketplace operatesb)The basics of how to make small (micro-sized) currency trades.c)How macroeconomic variables such as GDP and inflation are determinedd)None of the aboveAnswer: a)30A recent survey of U.S. foreign exchange traders measured traders perceptions about how fast news events that cause movements in exchange rates actually change the exchange rate. The survey respondents claim that the bulk of the adjustment toeconomic announcements regarding unemployment, trade deficits, inflation, GDP, and the Federal funds rate takes place withina)ten secondsb)one minute.c)five minutesd)one hourAnswer: b). The answer is “one minute” but note that one-third of the respondents claim that full price adjustment takes place in less than ten seconds. You might consider partial credit for response a).The Forward Market31The forward pricea)May be higher than the spot priceb)May be the same as the spot pricec)May be less than the spot priced)All of the aboveAnswer: d)32Relative to the spot price the forward price will bea)Usually less than the spot priceb)Usually more than the spot pricec)Usually equal to the spot priced)Usually less than or more than the spot price more often than it is equal to the spotprice.Answer: d)33For a U.S. trader working in American quotes, if the forward price is higher than the spot pricea)The currency is trading at a premium in the forward marketb)The currency is trading at a discount in the forward marketc)Then you should buy at the spot, hold on to it and sell at the forward—it’s a built-in arbitrage.d)All of the above—it really depends if you’re talking American or EuropeanquotesAnswer: a)Rationale: d) is tricky and you will get some students lobbying hard for it—until you remind them to read the question carefully.34The forward marketa)Involves contracting today for the future purchase of sale of foreign exchange atthe spot rate that will prevail at the maturity of the contract.b)Involves contracting today for the future purchase of sale of foreign exchange at aprice agreed upon today.c)Involves contracting today for the right but not obligation to the future purchaseof sale of foreign exchange at a price agreed upon today.d)None of the aboveAnswer: b)Forward Rate Quotations35The $/CD spot bid-ask rates are $0.7560-$0.7625. The 3-month forward points are 12-16. Determine the $/CD 3-month forward bid-ask rates.a)$0.7548-$0.7609b)$0.7572-$0.7641c)$0.7512-$0.7616d)cannot be determined with the information givenAnswer: b)Rationale: forward bid = $0.7560 + 0.0012 = $0.7572;forward ask = $0.7625 + 0.0016 = $0.7641.Long and Short Forward Positions36If one has agreed to buy foreign exchange forwarda)You have a short position in the forward contractb)You have a long position in the forward contractc)Until the exchange rate moves, you haven’t made money, so you’re neither shortnor longd)You have a long position in the spot marketAnswer: b)37The current spot exchange rate is $1.55/£ and the three-month forward rate is $1.50/£.You enter into a short position on £1,000. At maturity, the spot exchange rate is$1.60/£. How much have you made or lost?a)Lost $100b)Made £100c)Lost $50d)Made $150Answer: a)Rationale: Your loss will be $100 = £1,000 × ($1.50/£– $1.60/£)38The current spot exchange rate is $1.55/£ and the three-month forward rate is $1.50/£.Based on your analysis of the exchange rate, you are confident that the spot exchange rate will be $1.52/£ in three months. Assume that you would like to buy or sell£1,000,000. What actions do you need to take to speculate in the forward market?a)Take a long position in a forward contract on £1,000,000 at $1.50/£.b)Take a short position in a forward contract on £1,000,000 at $1.50/£.c)Buy pounds today at the spot rate, sell them forwardd)Sell pounds today at the spot rate, buy them forwardAnswer; a)Rationale: Your expected profit will be $20,000 = £1,000,000 × ($1.52 – $1.50)c) and d) are wrong because the question asks “What actions do you need to take to speculate in the forward market?” not the spot market. In addition, there is no information regarding interest rates.39The current spot exchange rate is $1.55/£ and the three-month forward rate is $1.50/£.Based on your analysis of the exchange rate, you are confident that the spot exchange rate will be $1.52/£in three months. Assume that you would like to buy or sell £1,000,000. What actions do you need to take to speculate in the forward market?What is the expected dollar profit from speculation?a)Sell £1,000,000 forward for $1.50/£.b)Buy £1,000,000 forward for $1.50/£.c)Wait three months, if your forecast is correct buy £1,000,000 at $1.52/£d)Sell £1,000,000 today at $1.55/£; wait three months, if your forecast is correctbuy £1,000,000 back at $1.52/£Answer: b)Rationale: if you agree to buy £1,000,000 forward for $1.50/£ and the price is actually turns out to be $1.52/£ in three months, your expected profit will be$20,000 = £1,000,000 × ($1.52 – $1.50)Answer d), while tempting from an accounting standpoint, is wrong since the question asks you to make money with futures, not by holding a spot position.Forward Cross-Exchange Rates40Which of the following are correct?a)($/) (/)($/)NNNF k F j kF j=b)(/$) (/)(/$)NNNF jF j kF k=c)($/) (/)($/)NNNF j F k jF k=d)all of the above are correct.Answer: d)Rationale: these are equations 5.14, 5.15, and 5.16.Swap Transactions41Swap transactionsa)Involve the simultaneous sale (or purchase) of spot foreign exchange against aforward purchase (or sale) of approximately an equal amount of the foreigncurrency.b)Account for about half of Interbank FX trading.c)All of the aboved)Involve trades of one foreign currency for another without going through the U.S.dollarAnswer: a)42As a rule, when the interest rate of the foreign currency is greater than the interest rate of the quoting currency,a)the outright forward rate is less than the spot exchange rateb)the outright forward rate is more than the spot exchange ratec)the currency will trade at a premium in the forward contractd)none of the aboveAnswer: a)43Bank dealers in conversations among themselves use a shorthand notation to quote bid and ask forward prices in terms of forward points. This is convenient because:a)Forward points may change faster than spot and forward quotes.b)In swap transactions where the trader is attempting to minimize currencyexposure the actual spot and outright forward rates are often of no consequence.c)It’s cool to look smart around your peersd)Time is money.Answer: b)44Bank dealers in conversations among themselves use a shorthand notation to quote bid and ask forward prices in terms of forward points. Complete the following table: Spot 1.9072-1.9077Forward Point QuotationsOne-month 32-30Three-month 57-54 1.9015-1.9023Six-month 145-138 1.8927-1.8939a) 1.9040-1.9047b) 1.9042-1.9049c) 1.9032-1.9030d)none of the aboveAnswer: a)Forward Premium45When a currency trades at a premium in the forward marketa)The exchange rate is more than one dollar (e.g. €1.00 = $1.28)b)The exchange rate is less than one dollarc)The forward rate is less than the spot rated)The forward rate is more than the spot rate.Answer: d)46When a currency trades at a discount in the forward marketa)The forward rate is less than the spot rateb)The forward rate is more than the spot rate.c)The forward exchange rate is less than one dollar (e.g. €1.00 = $0.928)d)The exchange rate is less than it was yesterdayAnswer: a)47The SF/$ spot exchange rate is SF1.25/$ and the 180 day forward exchange rate isSF1.30/$. The forward premium (discount) is:a) The dollar is trading at an 8% premium to the Swiss franc for delivery in 180 days. b) The dollar is trading at a 4% premium to the Swiss franc for delivery in 180 days. c) The dollar is trading at an 8% discount to the Swiss franc for delivery in 180 days. d) The dollar is trading at a 4% discount to the Swiss franc for delivery in 180 days. Answer: a) Rationale: 1.30 1.253600.08 or 8%1.25180-⨯= If you’re curios about the premium or discount thing, notice that your dollar-denominated holding period return is negative for someone who buys at the spot and sells at the forward:$0.77/$0.80/3600.08 or 8%$0.80/180SF SF SF -⨯=--48 The SF/$ spot exchange rate is SF1.25/$ and the 180 forward premium is 8 percent. What is the outright 180 day forward exchange rate?a) SF1.30/$b) SF1.35/$c) SF6.25/$d) None of the aboveAnswer: a) Rationale: 1.30 1.253600.08 or 8%1.25180-⨯=Summary49 The largest and most active financial market in the world isa) The Fleet Street Exchange in Londonb) The NYSE in New Yorkc) The FX marketd) None of the aboveAnswer: c).50 Nondollar currency transactionsa) Are priced by looking at the price that must exist to eliminate arbitrage. b) Allow for triangular arbitrage opportunities to keep the currency dealers employed.c) Are only for poor people who don’t have dollars.d) None of the above.Answer: a)。
Ch05HullFundamentals9thEd
Investment assets are assets held by many traders purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil)
Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C. Hull 2016
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Valuing a Forward Contract
A forward contract is worth zero (except for bidoffer spread effects) when it is first negotiated Later it may have a positive or negative value Suppose that K is the delivery price and F0 is the forward price for a contract that would be negotiated today
Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C. Hull 2016
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When Interest Rates are Measured with Continuous Compounding
Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C. Hull 2016
TB-Ch.02-8e-hull
Fundamentals of Futures and Options Markets, 8e (Hull)Chapter 2 Mechanics of Futures Markets1) Which of the following is trueA) Both forward and futures contracts are traded on exchangesB) Forward contracts are traded on exchanges, but futures contracts are notC) Futures contracts are traded on exchanges, but forward contracts are notD) Neither futures contracts nor forward contracts are traded on exchanges Answer: C2) Which of the following is NOT trueA) Futures contracts nearly always last longer than forward contractsB) Futures contracts are standardized; forward contracts are notC) Delivery or final cash settlement usually takes place with forward contracts; the same is not true of futures contractsD) Forward contracts usually have one specified delivery date; futures contract often have a range of delivery datesAnswer: A3) In the corn futures contract a number of different types of corn can be delivered (with price adjustments specified by the exchange) and there are a number of different delivery locations. Which of the following is trueA) This flexibility tends increase the futures priceB) This flexibility tends decrease the futures priceC) This flexibility may increase and may decrease the futures priceD) This flexibility has no effect on the futures priceAnswer: B4) A company enters into a short futures contract to sell 50,000 units of a commodity for 70 cents per unit. The initial margin is $4,000 and the maintenance margin is $3,000. What is the futures price per unit above which there will be a margin callA) 78 centsB) 76 centsC) 74 centsD) 72 centsAnswer: D5) A company enters into a long futures contract to buy 1,000 units of a commodity for $60 per unit. The initial margin is $6,000 and the maintenance margin is $4,000. What futures price will allow $2,000 to be withdrawn from the margin accountA) $58B) $62C) $64D) $66Answer: B6) One futures contract is traded where both the long and short parties are closing out existing positions. What is the resultant change in the open interestA) No changeB) Decrease by oneC) Decrease by twoD) Increase by oneAnswer: B7) Who initiates delivery in a corn futures contractA) The party with the long positionB) The party with the short positionC) Either partyD) The exchangeAnswer: B8) You sell one December futures contracts when the futures price is $1,010 per unit. Each contract is on 100 units and the initial margin per contract that you provide is $2,000. The maintenance margin per contract is $1,500. During the next day the futures price rises to $1,012 per unit. What is the balance of your margin account at the end of the dayA) $1,800B) $3,300C) $2,200D) $3,700Answer: A9) A hedger takes a long position in a futures contract on a commodity on November1, 2012 to hedge an exposure on March 1, 2013. The initial futures price is $60. On December 31, 2012 the futures price is $61. On March 1, 2013 it is $64. The contract is closed out on March 1, 2013. What gain is recognized in the accounting year January 1 to December 31, 2013 Each contract is on 1000 units of the commodity.A) $0B) $1,000C) $3,000D) $4,000Answer: D10) A speculator takes a long position in a futures contract on a commodity on November 1, 2012 to hedge an exposure on March 1, 2013. The initial futures price is $60. On December 31, 2012 the futures price is $61. On March 1, 2013 it is $64. The contract is closed out on March 1, 2013. What gain is recognized in the accounting year January 1 to December 31, 2013 Each contract is on 1000 units of the commodity.A) $0B) $1,000C) $3,000D) $4,000Answer: C11) The frequency with which margin accounts are adjusted for gains and losses isA) DailyB) WeeklyC) MonthlyD) QuarterlyAnswer: A12) Margin accounts have the effect ofA) Reducing the risk of one party regretting the deal and backing outB) Ensuring funds are available to pay traders when they make a profitC) Reducing systemic risk due to collapse of futures marketsD) All of the aboveAnswer: D13) Which entity in the United States takes primary responsibility for regulating futures marketA) Federal Reserve BoardB) Commodities Futures Trading Commission (CFTC)C) Security and Exchange Commission (SEC)D) US TreasuryAnswer: B14) For a futures contract trading in April 2012, the open interest for a June 2012 contract, when compared to the open interest for Sept 2012 contracts, is usuallyA) HigherB) LowerC) The sameD) Equally likely to be higher or lowerAnswer: A15) Clearing houses areA) Never used in futures markets and sometimes used in OTC marketsB) Used in OTC markets, but not in futures marketsC) Sometimes used in both futures markets and OTC marketsD) Always used in both futures markets and OTC marketsAnswer: C16) A haircut of 20% means thatA) A bond with a market value of $100 is considered to be worth $80 when used to satisfy a collateral requestB) A bond with a face value of $100 is considered to be worth $80 when used to satisfy a collateral requestC) A bond with a market value of $100 is considered to be worth $ when used to satisfy a collateral requestD) A bond with a face value of $100 is considered to be worth $ when used to satisfy a collateral requestAnswer: A17) With bilateral clearing, the number of agreements between four dealers, who trade with each other, isA) 12B) 1C) 6D) 2Answer: C18) Which of the following best describes central clearing partiesA) Help market participants to value derivative transactionsB) Must be used for all OTC derivative transactionsC) Are used for futures transactionsD) Perform a similar function to exchange clearing housesAnswer: D19) Which of the following are cash settledA) All futures contractsB) All option contractsC) Futures on commoditiesD) Futures on stock indicesAnswer: D20) A limit orderA) Is an order to trade up to a certain number of futures contracts at a certain priceB) Is an order that can be executed at a specified price or one more favorable to the investorC) Is an order that must be executed within a specified period of timeD) None of the aboveAnswer: B。
Testing Theories of Capital Structure and Estimating the Speed of Adjustment
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol.44,No.2,Apr.2009,pp.237–271 COPYRIGHT2009,MICHAEL G.FOSTER SCHOOL OF BUSINESS,UNIVERSITY OF WASHINGTON,SEATTLE,WA98195 doi:10.1017/S0022109009090152Testing Theories of Capital Structure and Estimating the Speed of AdjustmentRongbing Huang and Jay R.Ritter∗AbstractThis paper examines time-series patterns of externalfinancing decisions and shows that publicly traded U.S.firms fund a much larger proportion of theirfinancing deficit with external equity when the cost of equity capital is low.The historical values of the cost of equity capital have long-lasting effects onfirms’capital structures through their influence onfirms’historicalfinancing decisions.We also introduce a new econometric technique to deal with biases in estimates of the speed of adjustment toward target leverage.Wefind thatfirms adjust toward target leverage at a moderate speed,with a half-life of3.7years for book leverage,even after controlling for the traditional determinants of capital structure andfirmfixed effects.I.IntroductionThe three preeminent theories of capital structure are the static trade-off, pecking order,and market timing models.Other studies have examined the rela-tive merits of static trade-off and pecking order theories.In this paper,we present empirical evidence regarding the relative importance of all three of these ing a direct measure of the equity risk premium(ERP),wefind that U.S.firms during1964–2001are much more likely to use external equityfinancing when the relative cost of equity is low.Furthermore,ERPs have long-lived effects on capital structure through their influence on securities issuance decisions,even ∗Huang,rhuang1@,Coles School of Business,Kennesaw State University,1000 Chastain Road NW,Kennesaw,GA30144;Ritter,jay.ritter@cba.ufl.edu,Warrington College of Busi-ness Administration,University of Florida,PO Box117168,Gainesville,FL32611.We thank Chun-rong Ai,Harry DeAngelo,Ralf Elsas,Kristine Hankins,Steve Huddart,Marcin Kacperczyk,Jason Karceski,Robert Kieschnick,Paul Malatesta(the editor),Andy Naranjo,M.Nimalendran,Gabriel Ramirez,Kasturi Rangan,Michael Roberts,Ren´e Stulz,Jeffrey Wurgler,Donghang Zhang,and espe-cially Mark Flannery and Ivo Welch,and seminar participants at the University of Florida,Kennesaw State University,the University of Michigan,NTU(Singapore),the2004All-Georgia Finance Con-ference at the Federal Reserve Bank of Atlanta,the October2004Notre Dame Behavioral Finance Conference,the2005Western Finance Association Conference,and the2005Financial Management Association Conference,as well as two anonymous referees for useful comments.We also thank Vidhan Goyal,Kamil Tahmiscioglu,and Richard Warr for kind programming assistance and Xiao Huang for help with econometrics.This paper is based on Rongbing Huang’s2004University of Florida doctoral dissertation.Earlier versions of this paper were circulated under the title“Testing the Market Timing Theory of Capital Structure,”but most of the analysis on the speed of adjustment (Section V)was added subsequently.237238Journal of Financial and Quantitative Analysisafter controlling for the traditional determinants of capital structure,consistent with the hypothesis that market timing is an important determinant of observed capital structures.After further controlling forfirmfixed effects and correcting for biases that are created by some of thefirms being present for only a short part of the sample period and leverage ratios being highly persistent,wefind thatfirms adjust toward their target leverage at a moderate speed.No single theory of capital structure is capable of explaining all of the time-series and cross-sectional patterns that have been documented.The relative impor-tance of these explanations has varied in different studies.In general,the pecking order theory enjoyed a period of ascendancy in the1990s,but it has recently fallen on hard times.With the publication of Baker and Wurgler’s(2002)article relating capital structure to past market-to-book ratios,the market timing theory has increasingly challenged both the static trade-off and pecking order theories.A number of recent papers,however,challenge Baker and Wurgler’s evidence that securities issued in a year have long-lived effects on capital structure.The market timing theory posits that corporate executives issue securities de-pending on the time-varying relative costs of equity and debt,and these issuance decisions have long-lasting effects on capital structure because the observed cap-ital structure at date t is the outcome of prior period-by-period securities issuance decisions.According to the market timing theory,firms prefer equity when they perceive the relative cost of equity as low,and they prefer debt otherwise.The capital structure literature has,to date,refrained from explicitly measuring the cost of equity.A major contribution of this paper is to link securities issuance explicitly to the cost of equity capital,using a direct measure of the ERP.Shyam-Sunder and Myers(1999)test the pecking order theory by estimating an ordinary least squares(OLS)regression using afirm’s net debt issuance as the dependent variable and its netfinancing deficit as the independent variable.They find that the estimated coefficient on thefinancing deficit is close to one for their sample of157firms continuously listed during1971–1989,and they interpret the evidence as supportive of the pecking order theory.Frank and Goyal(2003),how-ever,find that the coefficient on thefinancing deficit is far below one in the1990s. We explore the role of changing market conditions infirms’changingfinancing behavior.Wefind that our market condition proxies,especially a measure for the time-varying cost of equity capital,have an important impact on the estimated coefficient of thefinancing deficit.To measure the relative cost of equity,we use the beginning-of-year implied ERP,estimated using forecasted earnings and long-term growth(LTG)rates.Con-sistent with the market timing theory,wefind thatfirms fund a large proportion of theirfinancing deficit with external equity when the relative cost of equity is low.The magnitude of the effect is economically and statistically significant.For example,an increase from3%to4%in the implied ERP results in approximately 3%more(e.g.,from62%to65%)of thefinancing deficit being funded with net debt.To our knowledge,our study is thefirst to systematically link the time series offinancing choices to the time-varying ERP for a large sample of U.S.publicly tradedfirms.After establishing the importance of market conditions for securities issuance, we examine the effect of historical ERPs on current leverage.Wefind that pastHuang and Ritter239 ERPs have long-lasting effects on afirm’s current capital structure through their influence on historicalfinancing decisions.Afirm funds a larger proportion of itsfinancing deficit with debt when the market ERP is higher,resulting in higher leverage for many subsequent years.For example,afinancing deficit that was 10%of total assets in1974,when the ERP was high,results in an increase of 2.91%in book leverage(e.g.,increasing from47.09%to50%)four years later, while afinancing deficit of10%in1996,when the ERP was low,results in an increase of only0.35%in book leverage four years later.We also estimate the speed with whichfirms adjust toward target leverage. This is perhaps the most important issue in capital structure research today.If firms adjust quickly toward their target leverage,which changes across time as firm characteristics and market conditions change,then historicalfinancing ac-tivities and market conditions will have only short-lived effects onfirms’current capital structures,implying that the market timing theory of capital structure is unimportant.The existing literature has provided mixed results on the speed of adjust-ment(SOA)toward targetfinancial leverage.Fama and French(2002)estimate an SOA of7%–18%per year.Lemmon,Roberts,and Zender(2008)find that capital structure is so persistent that the cross-sectional distribution of leverage in the year prior to the initial public offering(IPO)predicts leverage20years later,yet they estimate a relatively rapid SOA of25%per year for book leverage. Flannery and Rangan(2006)estimate an even faster SOA:35.5%per year using market leverage and34.2%per year using book leverage,suggesting that it takes about1.6years for afirm to remove half of the effect of a shock on its leverage. Both Leary and Roberts(2005)and Alti(2006)find that the effect of equity is-suance on leverage completely vanishes within two to four years,suggesting fast adjustment toward target leverage.As Frank and Goyal(2008)state in their sur-vey article:“Corporate leverage is mean reverting at thefirm level.The speed at which this happens is not a settled issue”(p.185).We reconcile these differentfindings by showing that the estimated SOA in a dynamic panel model withfirmfixed effects is sensitive to the econometric procedure employed when many of thefirms are present for relatively brief pe-riods,especially when afirm’s debt ratio is highly autocorrelated.A traditional estimator for a dynamic panel model withfirmfixed effects involves mean dif-ferencing the model.As Flannery and Rangan(2006)observe,however,the bias in the mean differencing estimate of the SOA can be substantial for a dynamic panel data set in which manyfirms have only a few years of data(the short time dimension bias).To reduce the bias,Flannery and Rangan(2006)rely on an in-strumental variable in their mean differencing estimation,while Antoniou,Guney, and Paudyal(2008)and Lemmon et al.(2008)use a system generalized method of moments(GMM)estimator.In the system GMM estimation,the model itself and thefirst difference of the model are estimated as a“system.”The system GMM estimator,however,is biased when the dependent variable is highly persistent,as is the case with debt ratios.Hahn,Hausman,and Kuersteiner(2007)propose a long differencing estima-tor for highly persistent data series.In this estimator,a multiyear difference of the model is taken rather than a one-year difference.Our simulations show that240Journal of Financial and Quantitative Analysisthe long differencing estimate is much less biased than the OLS estimate ignoring firmfixed effects unless the true SOA is slow,in which case neither procedure has an appreciable bias.The long differencing estimate is also much less biased than thefirmfixed effects mean differencing estimate unless the true SOA is fast, in which case neither procedure has an appreciable bias.Hahn et al.(2007)show that the long differencing estimator is also much less biased than the system GMM estimator when the dependent variable is highly persistent(i.e.,the true SOA is slow).In a simulation,they show that if the true autoregressive parameter is0.9, the system GMM estimate is only0.664,whereas the long differencing estimator produces an estimate of0.902with a differencing length of k=5.Using the long differencing technique,wefind thatfirms only slowly rebal-ance away the undesired effects of leverage ing a differencing length of k=8,the SOA is17.0%per year for book leverage and23.2%per year for market leverage.Such estimates suggest that it takes about3.7and2.6years for afirm to remove half of the effect of a shock on its book and market leverage, respectively.This is the most important result of this paper.Throughout our empirical analysis,we do not give equal attention to the mar-ket timing,pecking order,and static trade-off models.This is because many of our findings are consistent with earlier research,and little purpose would be served by long discussions that would largely repeat the existing literature.Instead,we focus on our newfindings regarding time variation in the relative cost of equity as it relates to the pecking order and market timing hypotheses,on whether past securities issues have persistent effects on capital structure,and on the SOA to target leverage.The rest of this paper is organized as follows.Section II describes the data and summary statistics.Section III presents the empirical results of the role of market timing in securities issuance decisions.Section IV examines the effects of securities issues on capital structure.Section V discusses econometric issues and presents estimates of the SOA to target capital structure using the long differenc-ing estimator.Section VI concludes.II.Data and Summary StatisticsA.DataThefirm-level data are from the Center for Research in Security Prices (CRSP)and Compustat.The sample consists offirms from1963to2001.Since R&D(item46)is missing for about39%offirm years,we set the missing value to zero to avoid losing many observations.We rely on a dummy variable to capture the effect of missing values when using R&D in our analysis.1Utilities(4900–4949)andfinancialfirms(6000–6999)are excluded because they were regulated during most of the sample period.A small number offirms with a format code 1The vast majority offirms with missing R&D are in industries such as clothing retailers for which R&D expenditures are likely to be zero.Capital expenditures and convertible debt are missing for about2%offirm years.We set missing capital expenditures(128)and convertible debt(79)to zero, although our results are essentially the same if we excludefirm years with missing capital expenditures or convertible debt.Huang and Ritter241 of4,5,or6are also excluded from the sample.2Firm years with beginning-of-year book assets of less than$10million,measured in terms of1998purchasing power,are also excluded to eliminate very smallfirms and reduce the effect of outliers.3Finally,we excludefirm-year observations for which there was an ac-counting change for adoption of Statement of Financial Accounting Standards (SFAS)No.94,which requiredfirms to consolidate off-balance sheetfinancing subsidiaries.4B.Summary Statistics of Financing ActivitiesSummary statistics offinancing activities are presented by year because we are interested in the time-series properties.Figure1presentsfinancing activities using information from the balance debt is defined as the change in book equity is defined as the change in book equity minus the change in retained earnings.Following Baker and Wurgler(2002)and Fama and French (2002),book debt is defined as total liabilities plus preferred stock(10)minus deferred taxes(35)and convertible debt(79),and book equity is total assets less book debt.5In Figure1,the average ratios are the annual averages of netfinancing scaled by beginning-of-year assets(in percent),and the aggregate ratios are the annual aggregate amount of netfinancing of allfirms scaled by the aggregate amount of beginning-of-year total assets(in percent).Figure1shows that the average net debt increase exceeded10%of beginning-of-year assets in eight years.The average net equity issuance exceeded6%in12years.The average change in retained earnings shows a declining trend,with the lowest value in2001,the last year of our sample period.The aggregate net debt and equity issuancesfluctuate substantially,with aggregate net external equity issuance peaking at over7%of aggregate assets in2000.The static trade-off theory has been unable to provide a satisfactory explanation for the magnitude of thesefluctuations.The pecking2Format code5is for Canadianfirms,and format codes4and6are not defined in Compustat.3To further reduce the effect of outliers,we also dropfirm-year observations with book leverage or market leverage that is negative or greater than one and Tobin’s Q that is negative or greater than10. These variables will be defined later.Our results are robust to whether or not we keep thesefirm-year observations.4We exclude201suchfirm years identified with Compustat footnote codes.The Financial Ac-counting Standards Board(FASB)issued SFAS No.94in late1987.Heavy equipment manufacturers and merchandise retailers were most affected by the standard because they made extensive use of unconsolidatedfinance subsidiaries.For example,Ford,General Motors,General Electric,and Inter-national Business Machines all had a huge increase in debt on their balance sheets fromfiscal year 1987to1988.More specifically,Ford had a debt increase of about$93.8billion,while its end-of-year total assets were$45.0billion in1987and$143.4billion in1988,largely because Ford Credit was consolidated under the new standard.This standard also caused somefirms to divest themselves of unconsolidated subsidiaries because otherwise they would violate debt covenant agreements on the maximum amount of leverage,and their returns on assets would appear too low andfinancial leverage would appear too high.5When the liquidating value of preferred stock(item10)is missing,we use the redemption value of preferred stock(56).When the redemption value is also missing,we use the carrying value of pre-ferred stock(130).As one referee noted,convertible preferred stock is more equity-like than straight preferred stock.In unreported analysis we include the change in the carrying value of convertible preferred stock(214)in our definition of net equity.Our results remain qualitatively the same.242Journal of Financial and Quantitative AnalysisFIGURE 1Average and Aggregate Financing Activities from the Balance SheetNet debt is the change in debt and preferred stock (Compustat items 181+10−35−79).Net equity is the change in equity and convertible debt (items 6−181−10+35+79)minus the change in retained earnings (36).Graph A of Figure 1shows the equally weighted annual averages of net financing scaled by beginning-of-year assets of each firm (in percent).Graph B shows the annual aggregate amount of net financing of all firms in the sample scaled by the aggregate amount of beginning-of-year assets (in percent).Graph A.Equally Weighted Averages of Net Financing/AssetsGraph B.Aggregate Amount of Net Financing/Aggregate Amount of Assetsorder theory gains some support during 1974–1978,when the average net equity issuance was below 2%.As so often happens,however,the pattern on which the pecking order hypothesis was based began to break down shortly after the publication of Myers (1984).Figure 1understates securities issues because other firms that are retiring debt or buying back stock lower the averages.Table 1reports the percentage of firms that are net securities issuers.Issuing firms in a year are defined as those forHuang and Ritter243TABLE1Percent of Firms in Different Financing Groups across TimeAfirm is defined as issuing debt ifΔD scaled by beginning-of-year assets is at least5%,whereΔD is the change in debt and preferred stock(Compustat items181+10−35−79)from year t−1to year t,or issuing equity ifΔE scaled by beginning-of-year assets is at least5%,whereΔE is the change in equity and convertible debt(6−181−10+35+79) minus the change in retained earnings(36).The percentages of debt and equity issuers do not necessarily add up to100 becausefirms can issue both debt and equity or neither debt nor equity.Firms with beginning-of-year assets of less than $10million(1998purchasing power)are excluded.Year Total Number of Firms Debt Issues(%)Equity Issues(%) 196312933.316.3 196446535.712.0 196555845.914.3 196672254.216.3 19671,31643.816.6 19681,57053.924.5 19691,92947.434.1 19702,21140.914.7 19712,49333.814.4 19722,73943.016.7 19732,98658.610.4 19743,03957.9 6.8 19753,09728.1 6.6 19763,04638.68.1 19772,98646.97.9 19782,87557.79.5 19792,90556.911.6 19802,97545.515.4 19812,91542.419.3 19823,07334.813.1 19833,06535.723.1 19843,14645.317.7 19853,21040.216.4 19863,07939.619.4 19873,10443.919.8 19883,09744.414.8 19893,07541.214.7 19903,06339.713.5 19913,04130.616.2 19923,13335.821.8 19933,38040.224.0 19943,71545.024.5 19953,94447.625.2 19964,21443.529.7 19974,54344.829.5 19984,56449.527.4 19994,36644.726.7 20004,20243.131.5 20014,16028.427.7 which debt or equity increases by more than5%of beginning-of-year assets,the same definition that has been used,for example,in Hovakimian,Hovakimian,and Tehranian(2004)and Korajczyk and Levy(2003).Once we separatefirms with net securities issues from otherfirms,we see a higher frequency of issuing.The percentage offirms with net debt issuance of at least5%of assets is never below 28%.The pecking order theory predicts that equity issues will be rare.However, the proportion of net equity issuers(firms issuing at least5%of assets)never drops below6.6%in any year,peaks at over34%in1969,and is at least25%in each year from1995to2001.66Our proportion of equity issuers is much higher than in studies such as Jung,Kim,and Stulz (1996)and DeAngelo,DeAngelo,and Stulz(2009),which define an equity issuer as afirm conducting a public seasoned equity offering for cash.Our definition of an equity issuer,which is standard in the empirical capital structure literature,includesfirms that conduct private placements of equity or stock-financed acquisitions that increase the book value of equity by at least5%of assets,net of share repurchases.244Journal of Financial and Quantitative AnalysisOverall,our summary statistics offinancing activities cast doubt on the abil-ity of the pecking order model to describe most of the observed capital structures, consistent with Fama and French(2002),(2005),Frank and Goyal(2003),and Hovakimian(2006).C.Summary Statistics of Macroeconomic VariablesHow dofirms judge the relative cost of equity?On the one hand,somefirm executives may possess private information that is not reflected in market prices about theirfirms or their industries.On the other hand,they may follow certain psychological patterns.For example,reference points,as suggested by prospect theory,may play a role.7Alternatively,they may issue equity to take advantage of publicly observable misvaluations if the equity market becomes temporarily overvalued(Stein(1996)).Our proxy for the cost of equity is the implied ERP,estimated using analyst earnings forecasts(earnings per share(EPS)and LTG rate)at the end of the pre-vious calendar year for the30stocks in the Dow Jones Industrial Average.8The implied ERP is defined as the real internal rate of return that equates the current stock price to the present value of all future cashflows to common sharehold-ers of thefirm(measured as book value of equity plus forecasted future residual earnings),minus the real risk-free rate(see Appendix A for details).Although they differ in their specific procedures,this is the general approach used by Claus and Thomas(2001),Gebhardt,Lee,and Swaminathan(2001),and Ritter and Warr(2002).9We follow Ritter and Warr(2002)to correct for inflation-induced distortions in the estimation of the implied ERP.The equally weighted average of 7Casual conversations with investment bankers suggest that when they advise their clients on the choice between debt and external equityfinancing,the most important factors they consider are whether a client’s stock price is near a52-week high and whether the earnings yield on the stock is below the interest rate on debt.8By using the lagged year-end values during year t for afirm with a Dec.31fiscal year,we are using the Dec.31of year t−1accounting information and stock price.For afirm with a June30fiscal year,during year t we use the June30of year t−1accounting information and Dec.31of year t−1stock price.We use forecasts from Value Line for1968–1976and from Institutional Brokers’Estimate System(IBES)for1977–2001.We hand-collect Value Line data from Value Line Investment Survey for early years when the IBES database is not available.Because previous studies document that IBES and Value Line analysts make systematically different forecasts,we estimate the implied ERP for1977using analyst forecasts from both sources and then adjust the implied ERP for1968–1976by multiplying the Value Line forecast by the ratio of the1977premium using IBES to the1977 premium using Value Line.Brav,Lehavy,and Michaely(2005)estimate the implied nominal expected market return using target prices and future dividends from Value Line for1975–2001.They estimate annual nominal expected returns varying from34.1%in1975to12.1%ing their series instead of ours does not change our major results.Our qualitative results are also robust to using the value-weighted book-to-market ratio of equity for all NYSE-listedfirms as a proxy for the relative cost of equity rather than the implied ERP.9Consistent with the literature,we assume that analyst EPS forecasts are exogenous.Bayesian an-alysts,however,may become overly conservative in their forecasts of EPS when the cost of equity is high,and overly optimistic when the cost of equity is low.This is because the market price implies fu-ture earnings,and a Bayesian analyst will incorporate these into his or her own forecasts.Furthermore, when P/E ratios are high,more optimistic forecasts are necessary in order to justify“buy”recommen-dations.The endogeneity results in a dampening of the time series of the implied ERP relative to its truefluctuations and hence creates a bias against our results.Huang and Ritter245 the implied ERP for each of the Dow30stocks is used as an estimate of the ERP for the market.The time-variation of the implied ERP may be due to either the time-variation of risk,or of the risk aversion of investors(rational reasons),or to the time-variation of investor sentiment(an irrational reason).Figure2shows the real interest rate(RIR)and the implied ERP at the end of each calendar year.The ERP turned negative during1996–2001,suggesting over-valuation of the stock market.10Firms display a high propensity to issue equity during these years,as indicated in Table1.FIGURE2Equity Risk Premium and Real Interest RateThe market equity risk premium is estimated using analyst forecasts at the year-end for the Dow30stocks from Value Line for1968–1976and from IBES for1977–2001.The real interest rate is the nominal interest rate minus inflation,where the nominal interest rate is the yield on one-year Treasury bills in the secondary market at the beginning of each calendar year at /,and inflation is the rate of change of the consumer price index during the calendar year from CRSP.Figure2also shows that the RIR was very low in1973–1974and1978–1979, when the percentage of samplefirms issuing debt rose to historic highs(over56% 10Although we estimate a negative ERP for some years,our qualitative results are not dependent on the ERPs being negative.The residual income methodology that we employ states that the value of equity is equal to the book value of equity plus the present value of future residual income(economic profits).Because we assume that future residual income is mean-reverting,a large present value of future residual income can only be achieved by using a low discount rate(i.e.,since the numerator converges to zero,a small denominator is needed to generate a high ratio).When both the market-to-book ratio and the RIR are high,as was the case in the1996–2001period,the model produces a negative implied ERP.Some have argued that a high market-to-book ratio has existed in most years after1995because the book value of equity increasingly underrepresents the value of assets in place as intangibles represent more and more offirm value.If so,our estimates may overstate the downtrend in the ERP,and the true ERP may not be as negative as we estimate.Since we use the ERP as an explanatory variable,overestimating its decline would lead to underestimating the slope coefficient on the ERP.246Journal of Financial and Quantitative Analysisfor each of these years in Table1).The RIR is used as a proxy for the time-varying cost of debt perceived by corporate executives.Previous studies also use the term spread and the default spread as proxies for the costs of various forms of debt(e.g.,Baker,Greenwood,and Wurgler(2003)). It is likely that the time-varying default risk premium can help explain the time-varyingfinancing decisions.We thus include the default spread,which is defined as the difference in yields between Moody’s Baa-and Aaa-rated corporate bonds. The term spread,defined as the difference in yields between10-and one-year Treasuries,is also included becausefirms might increase the use of long-term debt when the term spread is low.We also include contemporaneous measures of the statutory corporate tax rate and the real gross domestic product(GDP)growth rate.The statutory cor-porate tax rate has changed over time and may have a major influence on the financing decisions of U.S.firms(see,among others,Graham(2003)and Kale, Noe,and Ramirez(1991)).11The real GDP growth rate controls for growth op-portunities.To the degree that these variables are important and have the expected signs,this lends support to the static trade-off model.The lagged average announcement effect on seasoned equity offerings(SEOs) is included to see whether,as implied by the pecking order theory,time-varying information asymmetry is able to explain time-varyingfinancing activities.Since the pecking order theory assumes that markets are semi-strong-form efficient,the announcement effect associated with equity issues is the primary proxy for the level of information asymmetry(Bayless and Chaplinsky(1996)).Table2reports summary statistics for our proxies for market conditions. The implied ERP is positively correlated with the default spread and the statutory corporate tax rate and is negatively correlated with the RIR.III.Market Timing and Securities Issuance Decisions How important are market conditions,especially the ERP,in securities is-suance decisions?This section reports and discusses the results from i)annual OLS regressions using afirm’s net debt issuance as the dependent variable and its netfinancing deficit as the independent variable,ii)pooled OLS regressions linking the pecking order slope coefficient to the time-varying cost of capital, and iii)a pooled nested logit regression for the joint decision of whether to issue securities and which security to issue.A.Pecking Order TestsFollowing Shyam-Sunder and Myers(1999),wefirst estimateΔD it=a t+b t DEF it+u it,(1)11The statutory corporate tax rate was52%in1963,50%in1964,48%in1965–1967,52.8%in 1968–1969,49.2%in1970,48%in1971–1978,46%in1979–1986,40%in1987,34%in1988–1992, and35%in1993–2001.。
小学上册第十一次英语第1单元真题试卷(有答案)
小学上册英语第1单元真题试卷(有答案)英语试题一、综合题(本题有100小题，每小题1分，共100分.每小题不选、错误，均不给分)1.The flowers in the garden are _______ and cheerful, spreading happiness.2. A _______ (海鸥) flies near the shore.3.I can sing songs with my musical ________ (玩具名称).4.The density of a substance tells us how much mass is in a _______.5.What do we call the main ingredient in salad?A. LettuceB. DressingC. VegetablesD. All of the above答案:D. All of the above6.What is the capital of Portugal?A. LisbonB. MadridC. RomeD. Athens答案: A. Lisbon7.I want to _____ (read/write) a story.8.The capital of Brazil is ________ (巴西的首都是________).9.The chemical symbol for chromium is ______.10.I have learned a lot about __________ in school this year.11.The ice cream is ________ (冷).12.This boy, ______ (这个男孩), is working on a science project.13.I like to ride ______ with my friends. (horses)14.The ______ (小鱼) swims gracefully in the aquarium.15. A _______ is used to measure electrical current.16.The ancient Egyptians used _____ for mummification.17.He is a mechanic, ______ (他是一名机械师), who fixes cars.18.The main gas emitted from vehicles is __________.19.The ancient Greeks held _____ to commemorate their gods.20.The _______ plays an important role in the ecosystem.21.What is the opposite of "hot"?A. ColdB. WarmC. HighD. Tall答案:A Cold22.The first successful vaccine was developed for _______.23.My teacher helps me with ____.24. A neutral solution has a pH of _____.25.My aunt, ______ (我的阿姨), loves to travel and explore.26.What do we call a story that is made up?A. FictionB. Non-fictionC. BiographyD. History答案:A27.In 1776, the Declaration of Independence was signed in _____.28.The Titanic was a famous _______ ship.29.I can use my toy ________ (玩具名称) to inspire creativity.30.The __________ can reveal the geological timeline of Earth.31.I want to learn how to ______ (skate) on ice.32.What is 9 2?A. 5B. 6C. 7D. 8答案: C33.The ancient civilizations of the Americas built ________ for religious ceremonies.34.The _______ of sound is perceived as volume.35.The teacher promotes _____ (学习) in the classroom.36.I enjoy planting ________ in different colors.37.ts can _____ (存活) in extreme conditions. Some pla38.The chemical formula for water is ______.39.The __________ (历史的背景) shapes individual experiences.40.We enjoy _____ (hiking) trails.41. A reaction that results in a change of state is called a ______ reaction.42.The chemical formula for lithium hydroxide is _______.43.The __________ (历史的洞察) opens eyes.44.My favorite animal is a _______ (海豚).45.I have a favorite ________ that I bring everywhere.46.The car is parked _____ (in front/behind) the house.47.The ______ teaches us about international relations.48.The capital of Oman is __________.49.My sister and I have fun ____.50. A _____ (鱼) swims happily in the water. It has shiny scales. 一条鱼在水中快乐地游泳。
Handbookofself-determinationresearch
Edward L. Deci & Richard M. Ryan (Hg.) (2002)Handbook of Self-Determination Research.The University of Rochester Press, Rochester, NY (softcover version: 2004), 470 S. Wie kommt es, dass einem manchmal eine Zustimmung die Lust am Weitermachen verhageln kann? Wieso ist es manchmal so diffizil, die richtigen Worte zu finden, wenn man einen doch …nur“ unterstützen möchte? Und was wäre eigentlich ein plau-sibler Hintergrund für die gängige (auch von mir oft) genutzte Wendung, dass die Botschaft stets von den EmpfängerInnen bestimmt werde? Mit solchen und ähnlichen Fragen ist man dicht an dem, was mir seit einiger Zeit unter dem Namen …Self-Deter-mination Theory“ (SDT, Theorie der Selbstbestimmung) eine ziemlich hilfreiche und weiterführende Anregung geworden ist. Als Edward Deci und Richard Ryan im Jahr 2000 die SDT einem umfassenderen Fachpublikum vorstellten, konnten sie auf die Ergebnisse von etwa 30 Jahren Forschung zurückgreifen. Das vorliegende Buch ver-dankt sein Entstehen dann dem offenbar fruchtbaren Impuls, den 1999 eine erste, exklusiv der SDT gewidmete Konferenz setzte. Die meisten der hier versammelten Beiträge entstammen diesem Umfeld. Mittlerweile ist die zur Verfügung stehende Literatur weiter angewachsen, etwa zur allgemeinen Frage der menschlichen Auto-nomie (Ryan & Deci 2006), bis hin zur Perspektive einer Makrotheorie menschlicher Motivation (Deci & Ryan 2008, Ryan & Deci 2008).Grundlegend für die SDT ist die Annahme eines Organisationsprinzips, nach dem Menschen als aktive, wachstumsorientierte Organismen gelten, gekennzeichnet durch eine Tendenz, die allfälligen unterschiedlichen Erfahrungen zu einem verein-heitlichten regulatorischen Prozess zu integrieren. Diese integrative Tendenz wird in notwendiger Wechselwirkung mit aufbauenden bzw. hinderlichen Einflüssen aus der sozialen Umgebung gesehen. Mit einem solchen Intro dürfte sowohl die Verflochten-heit mit Konzepten der humanistischen Psychologie kenntlich werden wie auch eine einigermaßen fremde Beziehung zu neueren systemtheoretischen Betrachtungswei-sen. Dennoch möchte ich das vorliegende Buch, stellvertretend für den Ansatz an sich, hier vorstellen und dafür plädieren, dass viele der über die SDT angestoßenen Fragen, Hypothesen und Ergebnisse auch für systemische Überlegungen von Nutzen sein können.Als für die Praxis m. E. attraktive Kernzelle der SDT dürfte die Konzentration auf die drei Begriffe Autonomie, Bezogenheit und Kompetenz gelten. Diese Begriffe stehen in der Diktion der SDT für drei Grundbedürfnisse, deren Erfüllung als notwendige Basis für ein wohlbehaltenes Leben gilt. Entscheidend ist dabei die wechselseitige Dynamik der drei Begriffe. Nur in ihrer Gesamtheit können sie die Basis bilden für ein Wohlbefinden, das sich in einem ebenso selbstwirksam erlebten wie sozialverträg-lich gestalteten Leben zeigt. Autonomie bezieht sich auf das Ausmaß, in dem man sich als Quelle des eigenen Tuns erlebt. Das Ausmaß, in dem man sein eigenes Leben als kompatibel und konkordant mit dem erlebt, was einem wichtig ist und was den eigenen Wertvorstellungen entspricht. Bezogenheit findet sich in dem Ausmaß wie-der, in dem jemand sich mit (ihm/ihr) wichtigen anderen verbunden fühlt, beachtet, unterstützt und diesen wiederum mit Achtung, Aufmerksamkeit, Zuvertrauen begeg-nen kann. Kompetenz schließlich findet sich als Ausmaß der eigenen Erfahrung, sich im eigenen Umgang mit der umgebenden Welt sicher genug als Ursache erwünschter Wirkung betrachten zu können. Aus der stets gleichzeitigen Beachtung dieser drei Begriffe ergibt sich u. a., dass Autonomie nicht gleichgesetzt wird mit Abschottung, Abgetrenntheit und auch nicht mit Individualität. Auch das Argument einer kultur-spezifischen Bevorzugung von Individualität oder Kollektivität passt nicht in dieses Raster. Ein individuelles Profil ist auch ohne Erleben eigener Autonomie möglich, und das Bevorzugen von Kollektivität kann ohne erlebte Bezogenheit geschehen.In ihrem einleitenden Überblick nennen die beiden Herausgeber vier …Mini-Theorien“, die sich im Lauf der Zeit zum Gesamtbild der SDT zusammengefügt haben: die Theo-rie der kognitiven Evaluation (Auswirkungen sozialer Kontexte auf den Grad der i ntrinsischen Motivation), die Theorie der organismischen Integration (Konzept der Internalisierung, insbesondere im Hinblick auf extrinsische Ausgangsmotivation), die Theorie der Verursachungs-Orientierung (individuelle Unterschiede in den Tenden-zen, sich selbstbestimmt zu verhalten und nach entsprechenden Hinweisen dafür zu suchen), und die Theorie der grundlegenden Bedürfnisse (s. o.).Der Reader enthält neben der Einführung (I) und den abschließenden Kommentaren (V) der beiden Herausgeber drei jeweils ausführlich bestückte Themenbereiche: T heoretische Abhandlungen und Betrachtungen (II), Selbstbestimmung in verschie-denen Lebenskontexten (III) sowie Verwandte Blickwinkel (IV). Im Theorieteil geht es u. a. um ein hierarchisches Modell intrinsischer und extrinsischer Motivation (Val-lerand & Ratelle), die Integration von Selbst und bewusster Erfahrung (Hodgins & Knee), eine vertiefende Diskussion von Introjektion, Identifikation und intrinsischer Motivation (Koestner & Losier). Von besonderem heuristischen Wert scheint mir Shel-dons …Selbstkonkordanz-Modell eines gesunden Zielstrebens: Wenn persönliche Ziele die Person korrekt repräsentieren“. Sheldon unterscheidet grundsätzlich zwischen Zielen, die aus autonomen Gründen, und solchen, die auf der Basis äußerer Kontrolle verfolgt werden. Der lange Atem, das auch Widrigkeiten nicht scheuende Dranbleiben zeigen sich eher beim Verfolgen von Zielen, die mit der eigenen Person als vereinbar erlebt werden, je mehr, um so zentraler sie Bedeutung gewonnen haben für das eigene Erleben von sich als einer in sich stimmigen Person. Das heißt nicht, dass extrinsisch motivierte Ausgangspunkte keine Chance hätten. Es kommt darauf an, ob ein von a ußen herangetragenes Ziel und die Form, in der es herangetragen wird, grundsätz-lich akzeptierbar sind oder nicht. Auch hier zeigt sich die Verwobenheit von Autono-mie, Bezogenheit und Kompetenz. Unter geeigneten Bedingungen entsteht durchaus Spielraum dafür, ein inneres Adoptieren von Perspektiven ernsthaft zu erwägen undzu übernehmen, die zunächst nicht aus dem eigenen Stall kommen. Wie sonst könnte individuelle Zustimmung zu überindividuellen Notwendigkeiten entstehen, die per se Abstriche von eigenen Maximalvorstellungen verlangen?Im zweiten Teil steht u. a. die Frage auf dem Programm, was Eltern dazu bringt zu kontrollieren (Grolnick & Apostoleris), SDT und ihre Bedeutung für Erziehungsset-tings (Reeve), für Umweltpolitische Fragen (Pelletier) sowie für Gesundheitsförde-rung- und Politik (Williams). Bei den …Verwandten Blickwinkeln“ finden sich u. a. Bei-träge zum Coping (Skinner & Edge), zur Stabilität des Selbstwerterlebens (Kernis & Paradise) und eine vertiefende Betrachtung zum Bedürfnis nach Kompetenz (Elliot et al.).Die kurze Skizze zu diesem Reader kann nicht ansatzweise die Fülle wiedergeben, die sich an Überlegungen und Forschungsergebnissen hier versammeln. Für Praktike-rInnen dürfte das erst einmal auch kein Manko sein. Der Reader liest sich wie die meisten seiner Art eher sperrig, erweist sich als seriös, nachdenklich, bei allem En-thusiasmus für SDT und seine Übersetzungsmöglichkeiten auch selbstkritisch. Es wird nicht unterschlagen, dass SDT nicht einfach (wenn überhaupt) mit postmoder-nen Blickwinkeln unter einen Hut zu bringen ist. Das Ausgehen von Grundbedürfnis-sen und das Reflektieren von Lebensumständen auf der Basis relativ kohärent er-scheinender Grundlagen vermag aus neueren systemtheoretischen Blickwinkeln vermutlich wie von (vor)gestern wirken. Mag sein. Ich halte jedoch dafür, dass auch ein systemisch-konstruktivistisches (und erst recht ein systemisch-existenzielles) Herangehen an …die Dinge des Lebens“ nur dann …Sinn macht“, wenn es nicht formal oder formalistisch geschieht. D. h.: auch Systemische TherapeutInnen werden eine Haltung finden müssen, mit sich im Reinen zu sein (auch mit dem, was nicht rund läuft), wenn sie mit dem im Reinen sein wollen, was KlientInnen von ihren so erlebten Lebenswirklichkeiten mitteilen. Dabei hat sich für mich die Möglichkeit zunehmend als hilfreich erwiesen, das miteinander in Beratung und Therapie Gestaltete danach zu befragen: in welchem Ausmaß trage ich dazu bei, dass jemand sich bestärkt fühlen kann, seine eigenen Qualitäten als gute Basis für nächste gute Schritte zu nehmen? In welchem Ausmaß trage ich dazu bei, dass jemand Vertrauen schöpft in die Möglich-keit, sich auf andere zu beziehen, und in diesem Bezogensein sowohl standzuhalten als auch sich getragen zu fühlen? In welchem Ausmaß trage ich dazu bei, dass jemand sich ermutigt fühlt, die eigenen Fähigkeiten einzusetzen, sie zu üben und weiterzuent-wickeln, und weiter: sie anzuerkennen als ihren Beitrag zu einem ausreichend guten Leben für sie selbst und andere? Wenn ich das dann anschließend reflektieren kann, inwieweit sich das sinnstiftend angeschlossen hat aneinander und zur Stärkung sozi-aler Adressen geführt hat, umso besser. Ich kann das Buch nun nicht als Standard-lektüre für PraktikerInnen empfehlen, dazu ist es wohl als Kost für die –baren Lese-minuten zu komplex. Doch diejenigen, die im Forschungsbetrieb handeln, könnten ihr Betreiben mit dem vorliegenden Reader sicher befördern. Insgesamt möchte ich dazu ermuntern, den Blick offen zu halten für Möglichkeiten, die sich aus den Blickwinkeln der SDT ergeben.LiteraturDeci EL, Ryan RM (2008) Self-Determination Theory: A Macrotheory of Human Motivation, Deve-lopment, and Health. Canadian Psychology 49(3):182-185Ryan RM, Deci EL (2000) Self-Determination Theory and the Facilitation of Intrinsic Motivation, Social development, and Well-Being. American Psychologist 55(1):68-78Ryan RM, Deci EL (2006) Self-Regulation and the Problem of Human Autonomy: Does Psychology Need Choice, Self-Determination, and Will? Journal of Personality 74(6):1557-1586Ryan RM, Deci EL (2008) A Self-Determination Theory Approach to Psychotherapy: The Motiva-tional Basis for Effective Change. Canadian Psychology 49(3):186-193Wolfgang Loth (Bergisch Gladbach)。
ch05
Large Sample Inference
Recall that under the CLM assumptions, the sampling distributions are normal, so we could derive t and F distributions for testing This exact normality was due to assuming the population error distribution was normal This assumption of normal errors implied that the distribution of y, given the x’s, was normal as well
a 1 2 ij
ˆ is a consistentestimatorof s (ii) s ˆ b se b ˆ ~ Normal 0,1 (iii) b j j j
Economics 20 - Prof. Anderson
2
a
12
Asymptotic Normality (cont)
Economics 20 - Prof. Anderson 13
Asymptotic Standard Errors
If u is not normally distributed, we sometimes will refer to the standard error as an asymptotic standard error, since
Multiple Regression Analysis
2] 2005 G.J.Hutchings [Catalysis Today] Catalysis by gold
Catalysis by goldGraham J.Hutchings *School of Chemistry,Cardiff University,P .O.Box 912,Cardiff CF103TB,UKAvailable online 18January 2005AbstractThe recent interest in gold catalysis provides the focus for this perspectives paper.Until recently gold has been overlooked as a key component of both homogeneous and heterogeneous catalysts.Two observations in the 1980s showed that gold could be a catalyst of choice,but it is only relatively recently that gold has been shown to be a very versatile redox catalyst.In this paper aspects of both the background to this interest and some of the recent work on gold will be discussed.#2004Elsevier B.V .All rights reserved.Keywords:Catalysis;Gold;Nanoparticles1.IntroductionThe discovery in the 1980s that finely supported divided nanoparticles of gold could act as catalysts for reactions at low temperatures has to be one of the most fascinating recent observations in chemistry,since most consider gold to be an unreactive metal.Typically chapters on gold chemistry in the standard textbooks are relatively thin in comparison to those for other noble metals.For example platinum and palladium are both extensively used as catalysts,in addition copper and silver (both in the same triad of the periodic table as gold)are used in many large scale processes,and it has been known for many years that the preparation of active catalysts with these metals requires the metal to be well dispersed on a support.Hence,there should not be so much surprise when the same is observed for gold,but it had been long considered that gold was unreactive and consequently its chemistry was particularly unexciting.However,just as with the other metals it is nanocrystalline gold supported on oxides has been found to be most reactive in many reactions [1–5].This has been led by the seminal work of Haruta et al.[1]who discovered the high activity of gold for CO oxidation at subambient temperature.The new discoveries bring the opportunity that gold,in an appropriate form,isperhaps the most interesting metal in the periodic with respect to table its potential to act as a catalyst.Bond and co-workers [6]in early studies demonstrated that very small gold particles supported on silica could give interesting catalytic performance for hydrogenation,but until very recently the use of gold as selective hydrogenation catalyst has received little attention [7].In the 1980s there were two significant observations that completely changed this perception and highlighted the special attributes of gold as a heterogeneous catalyst:the discovery that supported Au catalysts are very active for low temperature CO oxidation [1];the prediction that Au would be best catalyst for ethyne hydrochlorination [8].In this paper these early studies will be considered and against this background some recent research concerning the use of gold as a selective oxidation catalyst will be discussed as a way of providing a brief introduction into this fasci-nating new field.2.Ethyne hydrochlorinationIn the early 1980s one of the routes to the synthesis of vinyl chloride was based on ethyne hydrochlorination using mercuric chloride supported on carbon as catalyst.This/locate/cattod*Tel.:+442920874805;fax:+442920874075.E-mail address:hutch@.0920-5861/$–see front matter #2004Elsevier B.V .All rights reserved.doi:10.1016/j.cattod.2004.12.016catalyst suffers from deactivation due to sublimation of the active component and so a replacement catalyst that was more stable was an important research goal.Based on a detailed study by Shinoda [9]it was observed that a range of metal chlorides supported on carbon could give a spectrum of activities for this reaction.The key observation was that the activity was correlated with the standard electrode potential (Fig.1).The plot of conversion against the standard electrode potential gives a smooth curve and this predicts that gold,and more importantly Au 3+,will be the best catalyst for this reaction,and this was con firmed in subsequent research [10–12].Although the gold catalysts were much more stable than the supported mercuric chloride catalysts,they still deactivated slowly with time and the rate of deactivation is dependent on temperature (Fig.2).The deactivation rate was at a minimum at 1008C,but at this temperature the catalyst was not suf ficiently active and temperatures of ca.1808C are preferred.At temperatures below 1008C the deactivation was caused by deposition of polymeric carbonaceous materials and at higher tempera-tures the deactivation was caused by reduction of Au 3+to Auas shown by detailed 197Au Mo¨ssbauer spectroscopy (Fig.3).This was a key observation and meant that the deactivation could be arrested by in situ reactivation bycofeeding dilute NO in with the reactor feedstock.This had no effect on catalyst selectivity but did stop deactivation (Fig.4).This was the first demonstration of in situ reactivation of gold catalysts and also the first clear demonstration that cationic gold can be an effective heterogeneous catalyst.In this early study it was predicted,and subsequently veri fied,that gold was the catalyst of choice for this reaction.It was also recognised that Au 3+was the active form of gold.One interesting observation is thatG.J.Hutchings /Catalysis Today 100(2005)55–6156Fig. 1.Correlation of activity for ethyne hydrochlorination with the standard electrode potential [4].Fig.2.Deactivation rate of Au/carbon catalysts for ethyne hydrochlorina-tion as a function of temperature (0.0005mol Au/100g catalyst,C 2H 2:HCl =1:1.2)[6].Fig. 3.197Au Mo¨ssbauer spectra of:(a)2%HAuCl 4/C adsorbed on activated carbon from an aqua regia solution,(b)the same catalyst after deactivation at 1808C for 6h (GHSV =1140h À1,C 2H 2:HCl =1:1.1),(c)a sample of the same type after reactivation by boiling in aqua regia,and (d)crystalline HAuCl 4Áx H 2O [7].the catalysts could be easily prepared by a simple impregnation onto activated carbon of a gold solution in aqua regia,subsequently it was observed that boiling deactivated catalysts in aqua regia restored the activity of the catalyst totally.This clearly demonstrates aspects of the unique robustness of supported gold catalysts.2.1.CO oxidationAlso in the early1980s Haruta et al.[1]recognised that supported gold nano-crystals can be highly effective catalysts for the oxidation of CO at very low temperatures (Fig.5)and in particular at temperatures below08C.This is a surprisingly high activity and is not replicated by other metals.This low temperature activity has spurred a great deal of the current research interest in gold today.CO oxidation is now being used by many researchers as a standard test reaction,and this early work has been extensively reviewed[2–5].This early research indicates that catalysts must be prepared in a particular way using precipitation.Many of the active catalysts are typically found to comprise small crystallites,2–4nm in diameter,of gold supported on an oxide.There has been much debate concerning the nature of the active site for these catalysts and,recently,Bond and Thompson[3]have proposed a model where Au atoms at the interface between the Au particle and the oxide are the active oxidation centres. However,it remains unclear whether Au3+or Au is the active form of gold.There has been much research using model systems but as yet there has not been a definitive study published.For example,Goodman and co-workers [13]using a combination of STM and spectroscopy considered that the unusual reactivity could be due to quantum size effects of the very small gold particles. Subsequently,Boyen et al.[14]concluded that Au particles containing55atoms,which are1.4nm in diameter,are extraordinarily stable and these Au55particles could be active site for CO oxidation.Nørskov and co-worker[15] showed using DFT calculations that the activation of CO was energetically favoured reaction path on Au particles with10atoms.However,others have focussed on the role of Au3+.In particular Baker[16]noted that trying to explain the enhanced reactivity of small gold nano-crystals on the basis of size alone neglects the impor-tance of the underlying support.Consequently,it is the interface between the small gold particles and the support that is important and this re-emphasis the key part of the Bond–Thompson mechanistic proposal.How-ever,it must be stressed that the model of the active site proposed by Bond and Thompson has yet to be experimentally verified.Hutchings and co-workers[17]showed that Au3+in Au/ Fe2O3was an important component of very active catalysts for the oxidation of CO.In2003,Flytzani-Stephanopoulos and co-workers[18]demonstrated that the cationic form of gold was an important factor in obtaining high activity water gas shift catalyst based on Au added by deposition precipitation onto nano-crystalline10%La-doped CeO2 ($5nm).The catalysts were subsequently leached with2% NaCN removing90%of the gold and,importantly,no Au particles remained after NaCN leaching.However,the catalytic activity was not only retained it was significantly enhanced.CO oxidation can be viewed as an elementary reaction in the water gas shift reaction and so the observations by Flytzani-Stephanopoulos may be of general significance.It is clear that the debate will continue for the immediate future.There are two reasons whyfinding an answer to the key question of the nature of the active site in gold catalysts for CO oxidation.Thefirst is purely scientific in that the problem poses a significant challenge and it is worthy of close analysis and reflection.Secondly,the oxidation of CO is seen as a crucial aspect of using methanol or hydrocarbons as fuels for fuel cells.At present the reformate from these materials contains traces of CO that must be removed as they poison the electrodes,and gold catalysts may provide a mechanism to removing these trace amounts.G.J.Hutchings/Catalysis Today100(2005)55–6157Fig.4.Effect of in situ reactivation of2wt.%Au/C catalyst at1808C.Key: (D)C2H2/HCl/N2,(Â)0.42vol.%NO cofed with reactants[7].3.Selective oxidation:oxidation of alcoholsIn recent years,the investigation of a range of oxidation reactions using gas or liquid phase reagents to produce valuable intermediates or products for the chemicals industry has been a major research target.There are many catalytic processes operated today that rely on oxidation,but very few of these are used in thefine chemicals industry. Unfortunately,many reactions are still carried out using stoichiometric oxygen donors often with particularly non-green components.This is afield where we can expect a number of advances with gold as a catalyst.In particular,the oxidation of alcohols and polyols to chemical intermediates represents a demanding target. Supported platinum and palladium nanoparticles are gen-erally acknowledged as effective catalysts for the oxidation of polyols,for example in carbohydrate chemistry for the oxidation of glucose to glucinic acid.Glycerol is a highly functionalised molecule that is readily available from biosustainable sources,for example it can be obtained as a by-product of the utilisation of rape seed and sunflower crops. This makes glycerol a particularly attractive starting point for the synthesis of intermediates,and a large number of products can be obtained from glycerol oxidation(Fig.6).One of the key problems is the potential complexity of the products that can be formed and so control of the reaction selectivity by careful design of the catalyst is required.Glycerol oxidation, in aqueous solution,has been extensively studied and in general,palladium catalysts were found to be more selective than platinum,but in all these previous studies using Pt and Pd,mixtures of most of the potential products were formed in addition to non-selective products such as formic acid and carbon dioxide.Hence,glycerol has remained an elusive starting point for the synthesis of chemical intermediates.G.J.Hutchings/Catalysis Today100(2005)55–6158Fig.6.Reaction scheme for the oxidation of glycerol. Table1Oxidation of glycerol using1wt.%Au/C catalystsCatalyst Glycerol(mmol)Po2(bar)Glycerol/metalratio(mol)NaOH(mmol)Glycerolconversion(%)Selectivity(%)Glyceric acid Glyceraldehyde Tartronic acid1wt.%Au/activated carbon123538a125610000 1wt.%Au/graphite123538a125410000 126538a127286212126538a2458970363540b1256930763540b6438002063214c6596301263214c12698201866214c6586703366214c1291920666214c00608C,3h,H2O(and20ml),stirring speed1500rpm.a220mg catalyst.b217mg catalyst.c450mg catalyst.In recent years,there has been immense interest in the use of gold catalysts for oxidation reactions.Prati and co-workers[19–22]have shown that supported gold nanopar-ticles can be very effective catalysts for the oxidation of alcohols,including diols.Recently,we have extended these studies to show that Au supported on graphite can oxidise glycerol to glycerate with100%selectivity using dioxygen as the oxidant under relatively mild conditions[23,24].The oxidation of glycerol with dioxygen was also investigated using1wt.%Au/C catalysts in an autoclave and the results are given in Table1.NaOH was added as a base since,in the absence of NaOH,no glycerol conversion was observed.In addition,as noted earlier,the carbon supports were also inactive for glycerol oxidation under these conditions,even when NaOH was present.For all the data presented in Table1,the carbon mass balance was100% indicating that,under these conditions,supported Au/C catalysts are extremely selective for this reaction and no C1 or C2by-products were detected.In addition,it is apparent that the selectivity to glyceric acid and the glycerol conversion are very dependent upon the glycerol/NaOH ratio.In general,with high concentrations of NaOH, exceptionally high selectivities to glyceric acid can be observed.However,decreasing the concentration of glycerol,and increasing the mass of the catalyst and the concentration of oxygen,leads to the formation of tartronic acid via consecutive oxidation of glyceric acid.Interestingly, this product is stable with these catalysts.It is apparent that,G.J.Hutchings/Catalysis Today100(2005)55–6159 Fig.7.Cyclic voltammetry of Au/graphite catalysts in aqueous NaOH(0.5mol/l)and glycerol(0.5mol/l).(a)0.25wt.%Au/graphite;(b)0.5wt.%Au/ graphite.with careful control of the reaction conditions,100%selectivity to glyceric acid can be obtained with 1wt.%Au/C.For comparison,the supported Pd/C and Pt/C always gave other C 3and C 2products in addition to glyceric acid and,in particular,also gave some C 1by-products.In a final set of experiments,catalysts with lower Au concentrations were investigated.For catalysts containing 0.25or 0.5wt.%Au supported on graphite,lower glycerol conversions were observed (18and 26%,respectively as compared to 54%for 1wt.%Au/graphite under the same conditions)and lower selectivities to glyceric acid were also observed.The previous studies for diol oxidation by Prati and co-workers [19–22]have also shown that the conversion is dependent on the Au loading upon the support.This is possibly due to a particle size effect of the Au nanoparticles on the support.As noted earlier in this paper,for gold as a CO oxidation catalyst,it has been shown that the activity is highly dependent on the particle size,and the optimum size is ca.2–4nm [1,2].However,the Au supported catalysts that were selective for glycerol oxidation comprised Au particles as small as 5nm and as large as 50nm in diameter.The majority,however,were about 25nm in size and were multiply twinned in character.Decreasing the loading to 0.5or 0.25wt.%did not appreciably change the particle size distribution;the particle number density per unit area was observed to decrease proportionately however,which may be correlated to the decrease in glycerol conversion and selectivity to glyceric acid.The catalysts that were active and selective for glycerol oxidation were not found to be active for the CO oxidation reaction.Consequently,we consider that different active sites are involved in these two contrasting reactions.Subsequently,we have shown that catalysts comprising relatively large gold nanocrystals supported on oxides are very active and selective for the direct oxidation of molecular hydrogen to hydrogen peroxide [25,26].Again these catalysts are inactive for CO oxidation indicating that catalysts for selective oxidation probably have signi ficantly different active sites than those of the catalysts that are active for CO oxidation.Recently,we have used cyclic voltammetry to study the Au catalysts supported on graphite [27],since in this case the support is conducting and this very incisive technique can be used.A set of CV experiments were carried out with the Au/graphite catalysts in the presence of glycerol,air and NaOH,thereby studying the behaviour in situ under reaction condi-tions (Fig.7).In the forward potential sweep,all catalysts showed a broad signal associated with the electrooxidation of glycerol at ca.0.9–1.3V (labelled C)and a narrower feature on the reverse sweep (labelled D).Peak D corresponds to the situation in which the gold surface is being stripped of bulk oxide leaving behind only the Au-OH species (peak A)with a minimal amount of molecular fragments adsorbed (since these have been oxidised during the previous positive potential sweep).This situation leads to peak D being the most intense and the catalyst being in its most active state.Peak C corresponds to the same situation although the relative amounts of strongly adsorbed molecular fragments is increased (since these have not yet been oxidised)and hence a smaller concentration of Au-OH species due to site-blocking via glycerol decomposition.Both of these factors lead to peak C being smaller than peak D.This behaviour also emphasises the poisoning effect on the reaction of bulk gold oxides which quench reaction at potentials >1.3V on the forward sweep and also down to 1.1Von the negative sweep due to hysteresis in the ‘‘irreversible ’’formation/desorption of the bulk oxide phase [28].This suggests that there should be a strong correlation between activity and the relative intensities of peaks C and D.This proposition is explored below.In addition,it should be noted that the 0.25and 0.5%Au/C catalysts gave rise to two less intense peaks labelled E (0.38V)and F (1.0V).For the active catalyst displaying total speci ficity to glycerate (1wt.%Au/graphite)peaks E and F are both absent and we also considered this to be a key finding.Furthermore,current density positive of 1.3Vassociated withG.J.Hutchings /Catalysis Today 100(2005)55–6160Fig.8.Plot of current density at 1.6V (j 1.6)/current density at 1.15V (j 1.15)and ratio of peak C/peak D vs.percentage conversion for various supported Au/C catalysts used for glycerol oxidation.the electrooxidation of strongly adsorbed glycerol fragments increases in the order:1%Au=C<0:5%Au=C<0:25%Au=C<1%Au=CðinactiveÞIn this way,the CV study,however,revealed differences between all four the catalyst samples we investigated.In particular,two features were identified that appeared to correlate with catalyst activity(a)the relative intensities of specific peaks observed in the CV and(b)the amplitude of the current density at>1.3V.Therefore,in Fig.8,these two parameters are plotted versus catalyst activity,namely(i)the ratio of current densities(j)of peak C/peak D and(ii)the ratio of current density at1.6V/the current density of peak C.Both these parameters express the rates of surface blocking(poisoning)relative to oxidation by adsorbed Au-OH species.Inspection of Fig.8demonstrates a smooth correlation between activity and both of these parameters and we consider this observation may have significance in the design of improved oxidation catalysts.4.Concluding commentsThefield of catalysis by gold is just starting to show the potential that exists.At present a large amount of effort is focussed on the well documented oxidation of CO at ambient temperature.However,it is clear that supported gold catalysts can provide the basis for an exciting new class of oxidation catalysts and we can expect many new developments in this area in the near future. References[1]M.Haruta,T.Kobayashi,H.Sano,N.Yamada,Chem.Lett.4(1987)405.[2]G.C.Bond,D.T.Thompson,Catal.Rev.Sci.Eng.41(1999)319.[3]G.C.Bond,D.T.Thompson,Gold Bull.33(2000)41.[4]G.J.Hutchings,Gold Bull.29(1996)123.[5]G.J.Hutchings,M.S.Scurrell,CATTECH7(2003)90.[6]P.A.Sermon,G.C.Bond,P.B.Wells,J.Chem.Soc.,Faraday Trans.1(75)(1979)385.[7]J.E.Bailie,G.J.Hutchings,mun.(1999)2151.[8]G.J.Hutchings,J.Catal.96(1985)292.[9]K.Shinoda,Chem.Lett.(1975)219.[10]B.Nkosi,N.J.Coville,G.J.Hutchings,Appl.Catal.43(1988)33.[11]B.Nkosi,N.J.Coville,G.J.Hutchings,M.D.Adams,J.Friedl,F.Wagner,J.Catal.128(1991)366.[12]B.Nkosi,M.D.Adams,N.J.Coville,G.J.Hutchings,J.Catal.128(1991)378.[13]M.Valden,i,D.W.Goodman,Science281(1998)1647.[14]H.-G.Boyen,G.Ka¨stle,F.Weigl,B.Koslowski,G.Dietrich,P.Ziemann,J.P.Spatz,S.Rietmu¨ller,T.Hartmann,M.No¨ller,G.Smid, M.Garnier,P.Oelhafen,Science297(2002)1533.[15]N.Lopez,J.K.Nørskov,J.Am.Chem.Soc.124(2002)11262.[16]H.Baker,Science Perspectives,vol.301,15August2003.[17]N.A.Hodge,C.J.Kiely,R.Whyman,M.R.H.Siddiqui,G.J.Hutch-ings,Q.A.Pankhurst,F.E.Wagner,R.R.Rajaram,S.E.Golunski, Catal.Today72(2002)133.[18]Q.Fu,H.Saltsburg,M.Flytzani-Stephanopoulos,Science301(2003)935.[19]L.Prati,M.Rossi,J.Catal.176(1998)552.[20]F.Porta,L.Prati,M.Rossi,S.Colluccia,G.Martra,Catal.Today61(2000)165.[21]C.Bianchi,F.Porta,L.Prati,M.Rossi,Top.Catal.13(2000)231.[22]L.Prati,Gold Bull.32(1999)96.[23]S.Carrettin,P.McMorn,P.Johnston,K.Griffin,G.J.Hutchings,mun.(2002)696.[24]S.Carretin,P.McMorn,P.Johnston,K.Griffin,C.J.Kiely,G.J.Hutchings,Phys.Chem.Chem.Phys.5(2003)1329.[25]ndon,P.J.Collier,A.J.Papworth,C.J.Kiely,G.J.Hutchings,mun.(2002)2058.[26]ndon,P.J.Collier,A.F.Carley,D.Chadwick,A.J.Papworth,A.Burrows,C.J.Kiely,G.J.Hutchings,Phys.Chem.Chem.Phys.5 (2003)1917.[27]S.Carretin,P.McMorn,P.Jenkins,G.A.Attard,P.Johnston,K.Griffin,C.J.Kiely,G.J.Hutchings,in press.[28]M.A.Schneeweiss,D.M.Kolb,D.Liu,D.Mandler,Can.J.Chem.(75)(1987)1703.G.J.Hutchings/Catalysis Today100(2005)55–6161。
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The present value of a forward contract
The present value of the asset? The present value of the money for delivery?
15
When an Investment Asset Provides a Known Income (page 107,
5
The Reasonable Delivery Price
Question:
The delivery price of a forward contract can be arbitrary? Or the price that the investor thought it would to be at the delivery time?
Chapter 5 Determination of Forward and Futures Prices
1
Consumption VS Investment Assets
Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption (Examples: copper, oil)
The present value of a forward contract
The present value of the asset? The present value of the money for delivery?
18
When an Investment Asset Provides a Known Yield (Page 109, equation 5.3) F0 = S0 e(r–q )T
19
Summarize
t Long position Buy Lend Short position Short invest 0 -S +Ke-rT 0 +S -Ke-rT T ST-K ST -K K-ST -ST K
20
The forward price under market frictions
equation 5.2)
F0 = (S0 – I )erT
where I is the present value of the income during life of forward contract how to have a free launch if F0 > (S0 -I)erT ? Short position in a forward and borrow money to buy an asset, why? How to have a free launch if F0 < (S0 -I)erT ?
Is there an arbitrage opportunity?
12
Understanding the relationship between the Forward Price and spot price
The forward price F0 = S0erT Question: 1. Why the forward price is higher than the spot price? 2. Why the spot price multiply a future-value interest factor ?
16
Understanding the relationship between the Forward Price and spot price
The forward price
F0 = (S0 – I )erT
Question: 1. Why the spot price minus the present value of the income ?
Two ways to determine the delivery price
The no arbitrage condition The fairness of a new contract
6
Two Types of Arbitrage
The strong form:
Get money at the beginning, no debt in the future No money at the beginning, but get money in the future for sure
where q is the average yield during the life of the contract (expressed with continuous compounding) how to have a free launch if F0 > S0 e(r-q)T ? Short position in a forward and borrow money to buy an asset ? How to have a free launch if F0 < S0 e(r-q)T ?
What is about the forward price if there have a fixed cost for the forward contract and a proportional cost for the underlying asset with each transaction? What is about the forward price if the lending interest rate is not equal with the borrowing?
2
Short Selling (Page 102-103)
Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way
10
An Arbitrage Opportunity?
Suppose that:
The spot price of a non-dividend-paying stock is $40 The 3-month forward price is $43 The 3-month US$ interest rate is 5% per annum
14
When an Investment Asset Provides a Known Income
The portfolio of a forward contract and the underlying asset:
The payoff of a long position in a forward? The payoff of an asset at T?
17
When an Investment Asset Provides a Known Yield
The portfolio of a forward contract and the underlying asset:
The payoff of a long position in a forward? The payoff of an asset at T?
The weak form:
No money at the beginning, possibly get money in the future, but no debt for sure
7
Notation for Valuing Futures and Forward Contracts
S0: Spot price today F0: Futures or forward price today T: Time until delivery date r: Risk-free interest rate for maturity T K: Delivery price
The present value of a forward contract
The present value of the asset? The present value of the money for delivery?
9
The Forward Price
If the spot price of an investment asset is S0 and the futures price for a contract deliverable in T years is F0, then F0 = S0erT where r is the T-year risk-free rate of interest. how to have a free launch if F0 > S0erT ? Short position in a forward and borrow money to buy an asset, why? How to have a free launch if F0 < S0erT ?
Is there an arbitrage opportunity?
11
Another Arbitrage Opportunity?
Suppose that:
The spot price of non-dividend-paying stock is $40 The 3-month forward price is US$39 The 1-year US$ interest rate is 5% per annum