Salah satu kriteria dalam menentukan varietas tebu unggul adalah memiliki hasil serta stabilitas yang tinggi. Hambatan besarnya pengaruh interaksi genetik x lingkungan. Tujuan dari penelitian ini untuk pada beberapa harapan tebu. Penelitian dilakukan di 4 lokasi yaitu Jatiroto, Malang, Pasuruan dan Madura masa tanam (MT) 2016/2017 MT 2017/2018. Pada digunakan 14 2 bina sebagai kontrol. Rancanga...

This study was conducted to investigate the genotype by environment (G×E) interaction of 20 rice hybrids tested in eight environments which include four locations and two different cropping seasons Malaysia. The parameter observed on yield per ha, number panicles plant, filled grains panicle, thousand-grain weight. Data analysis used ANOVA stability measurement according AMMI GGE biplot graph. ...

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the timeseries variation in post-1990 aggregate stock market returns. This predictability is particularly strong from one month to one year, and it dominates that afforded by the variance risk premium and other po...

This paper analyzes the recommendations of common stocks made by the investment newsletters followed by the Hulbert Financial Digest. We conclude that, taken as a whole, the securities that newsletters recommend do not outperform appropriate benchmarks. Our data provide modest evidence that the future performance of a newsletter is related to its past performance, when performance is measure by...

In this paper, we present a few simple market-timing strategies that appear to outperform the “buy-and-hold” strategy, with real-time data from 1970 to 2000. Our focus is on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely low spreads, as compared to their historical ranges, appear to predict higher frequencies of subsequent market downturns in monthly data. We c...

Using a large and representative dataset of commodity trading advisors (CTAs), we provide compelling evidence that CTAs generate significant net excess returns of at least 4.1% annually; that approximately 64% of the funds have positively skewed returns; and that there is considerable heterogeneity among CTAs, with systematic trend followers doing significantly better than other subcategories. ...

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put optionimplied volatility is an important determinant of CDS spreads. Using a large sample of firms with both CDS and options data, we find that individual firms’ put option-implied volatility dominates historical...

We propose an equilibrium model to study the impact of short-sale constraints on market prices and liquidity in imperfectly competitive markets where market makers have significant market power and are averse to inventory risk. We show that shortsale constraints decrease bid because of the market power and increase ask because of the risk aversion. Our model can therefore help explain why short...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011 (14 million transactions), we find that the intraday evolution of volatility smil...

Asset allocation is widely recognized as the most fundamental decision in the investment process. Surprisingly little work has been done on examining what drives the asset allocation recommendations of professional investment advisors. To address this issue, we propose a general framework to identify and estimate the parameters characterizing the preferences and beliefs of money managers. In a ...