A new movement reconciling corporate sustainability and investment is gaining world-wide attention. Whether corporate sustainability has an impact on market value is examined using large US non-financial firms from 1999 to 2002 in this paper. Taking Tobin's "q" as the proxy for firm value, a significantly positive relation between corporate sustainability and its market value is found. We also find a strong interaction effect between corporate sustainability and sales growth on firm value. Moreover, there is evidence to support that being sustainable causes a firm to increase its value. This indicates that companies with remarkable sustainable development strategies are more likely to be rewarded by investors with a higher valuation in the financial markets. Copyright (c) 2007 The Authors; Journal compilation (c) 2007 Blackwell Publishing Ltd.

A number of prior studies have developed a variety of multivariate volatility models to describe the joint distribution of spot and futures, and have applied the results to form the optimal futures hedge. In this study, the authors propose a new class of multivariate volatility models encompassing realized volatility (RV) estimates to estimate the risk-minimizing hedge ratio, and compare the hedging performance of the proposed models with those generated by return-based models. In an out-of-sample context with a daily rebalancing approach, based on an extensive set of statistical and economic performance measures, the empirical results show that improvement can be substantial when switching from daily to intraday. This essentially comes from the advantage that the intraday-based RV potentially can provide more accurate daily covariance matrix estimates than RV utilizing daily prices. Finally, this study also analyzes the effect of hedge horizon on hedge ratio and hedging effectiveness for both the in-sample and the out-of-sample data.

In the context of agency theory (Jensen and Meckling, 1976. "Journal of Financial Economics", 3, 305-360), how insider stock ownership relates to firm performance is explored in this paper. The relevant performance measure used is total factor productivity. Insiders are classified into executives, board members and blockholders so as to facilitate a detailed study. Five-year (1996-2000) panel data of 333 Taiwanese listed electronics firms are examined. It is observed that total insider ownership remains steady while the executive-to-insider holding ratio increases significantly. In terms of the effect on total factor productivity, neither the total insider ownership nor the board-to-insider holding ratio shows any influence on productivity. However, productivity first decreases then increases with the executive-to-insider holding ratio, forming a U-shaped relationship. The results indicate that stock ownership of top officers in high-tech firms should be encouraged to enhance productivity. Copyright Blackwell Publishing Ltd 2005.

This study investigates the information content of realized ranges for futures hedging. Hedge ratio estimation using generalized autoregressive conditional heteroscedasticity (GARCH) models augmented with intraday price range is proposed. Empirical investigations using the S&P 500 equity index data show that the in-sample fitting of spot-futures distribution is improved by the information recovered from intraday price ranges. Furthermore, the out-ofsample forecasting results show that both the statistical and economic hedging effectiveness increase with the inclusion of intraday price ranges along with intraday and daily price returns. Results indicate that informative realized ranges are valuable for futures hedging.

In this paper, a regime‐switching multivariate rotated BEKK generalized autoregressive conditional heteroskedasticity (GARCH; RS‐MRBEKK) model for optimal futures hedging is proposed. The basic structure of the RS‐MRBEKK model is to rotate returns with spectral decomposition and fit the rotated returns with a Markov regime‐switching BEKK covariance structure that is computationally attractive for modeling higher‐dimensional regime‐switching GARCH dynamics. The empirical results reveal that adding additional commodity index futures to capture the commodity price comovement under regime switching improves hedging performance. The more parsimonious RS‐MRBEKK is statistically no worse than the conventional nonrotated regime‐switching BEKK, illustrating the usefulness of RS‐MRBEKK in higher‐dimensional hedging applications.