Search results for: Stock Price Informativeness

Authors: Pallavi Kishore, Mariam Aslam

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The sharp decline in oil prices that started in 2014 affected most economies in the world either positively or negatively. In some economies, particularly the oil exporting countries, the effects were felt immediately. The Gulf Cooperation Council’s (GCC henceforth) countries are oil and gas-dependent with the largest oil reserves in the world. UAE (United Arab Emirates) has been striving to diversify away from oil and expects higher non-oil growth in 2018. These two factors, falling oil prices and the economy strategizing away from oil dependence, make a compelling case to study the financial performance of various sectors in the economy. Among other sectors, the insurance sector is widely recognized as an important indicator of the health of the economy. An expanding population, surge in construction and infrastructure, increased life expectancy, greater expenditure on automobiles and other luxury goods translate to a booming insurance sector. A slow-down of the insurance sector, on the other hand, may indicate a general slow-down in the economy. Therefore, a study on the insurance sector will help understand the general nature of the current economy. This study involves calculations and comparisons of ratios pre and post the fall in oil prices in the insurance sector in the UAE. A sample of 33 companies listed on the official stock exchanges of UAE-Dubai Financial Market and Abu Dhabi Stock Exchange were collected and empirical analysis employed to study the financial performance pre and post fall in oil prices. Ratios were calculated in 5 categories: Profitability, Liquidity, Leverage, Efficiency, and Investment. The means pre- and post-fall are compared to conclude that the profitability ratios including ROSF (Return on Shareholder Funds), ROCE (Return on Capital Employed) and NPM (Net Profit Margin) have all taken a hit. Parametric tests, including paired t-test, concludes that while the fall in profitability ratios is statistically significant, the other ratios have been quite stable in the period. The efficiency, liquidity, gearing and investment ratios have not been severely affected by the fall in oil prices. This may be due to the implementation of stronger regulatory policies and is a testimony to the diversification into the non-oil economy. The regulatory authorities can use the findings of this study to ensure transparency in revealing financial information to the public and employ policies that will help further the health of the economy. The study will also help understand which areas within the sector could benefit from more regulations.

Keywords: UAE, insurance sector, ratio analysis, oil price, profitability, liquidity, gearing, investment, efficiency

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Authors: Prama Mukhopadhyay

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Starting from transport to food, today’s world platform economy and digital markets have taken over almost every sphere of consumers’ lives. Sellers and buyers are getting connected through platforms, which is acting as an intermediary. It has made consumer’s life easier in terms of time, price, choice and other factors. Having said that, there are several concerns regarding platforms. There are competition law concerns like unfair pricing, deep discounting by the platforms which affect the consumer welfare. Apart from that, the biggest problem is lack of transparency with respect to the business models, how it operates, price calculation, etc. In most of the cases, consumers are unaware of how their personal data are being used. In most of the cases, they are unaware of how algorithm uses their personal data to determine the price of the product or even to show the relevant products using their previous searches. Using personal or non-personal data without consumer’s consent is a huge legal concern. In addition to this, another major issue lies with the question of liability. If a dispute arises, who will be responsible? The seller or the platform? For example, if someone ordered food through a food delivery app and the food was bad, in this situation who will be liable: the restaurant or the food delivery platform? In this paper, the researcher tries to examine the legal concern related to platform economy from the consumer protection and consumer welfare perspectives. The paper analyses the cases from different jurisdictions and approach taken by the judiciaries. The author compares the existing legislation of EU, US and other Asian Countries and tries to highlight the best practices.

Keywords: competition, consumer, data, platform

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Authors: Aslam Faheem, Hunjra Ahmed Imran, Tayachi Tahar, Verhoeven Peter, Tariq Yasir

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We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers.

Keywords: asset pricing, frontier markets, market efficiency, Islamic calendar effects, Islamic stock markets

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Authors: Jagbir Singh Kadyan, C. A. Suman Kadyan

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The researchers attempts to establish whether a relationship exists between the social activities undertaken & the funds that has been spent by the selected corporate organisations. Corporate listed on the (NSE) National Stock Exchange of India, under different categories shall be selected as a sample for the purpose of this study. The researches shall also study the dynamics of corporate social responsibility funding, financing & management of corporate social responsibility funds by the above selected organisations in the Indian context. The rationale behind selecting & undertaking specific corporate social responsibility activities shall be analysed & interpreted to discover the real drivers of corporate social responsibility. Besides above, an attempt shall further make an effort to understand & analyse the nature of impact on the selected corporate organisations on its overall performances due to the activities undertaken under their specific corporate social responsibility programs.

Keywords: corporate social responsibility, organisational performance, national stock exchange, sustainability, society, health, education, sanitation, environment

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Authors: Mahdi Azizzadeh, Ali Nabizadeh

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This paper investigates whether ownership structure has significant effects on dividend policy and the percentage of cash dividend payout ratio in Iranian companies listed on the Tehran Stock Exchange. We use a sample of 300 firm-years for 2010-2014. Results indicate that there is no significant relationship between family ownership and/or institutional ownership and dividend policy. Furthermore, there is no significant relationship between dividend policies in family-owned firms with high or low institutional ownership. However, our empirical test shows that family firms with a low level of institutional investors distribute more cash dividends on average than family firms with a high level of institutional ownership.

Keywords: family ownership, institutional ownership, dividend policy, dividend payout ratio

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Authors: N. Ahmadi, H. Yousefnia, A. Bahrami-Samani

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Chitosan is a natural and biodegradable polysaccharide with special characteristic for application in intracavital therapy. 166Ho-chitosan has been reported for the treatment of hepatocellular carcinoma and RSV with promising results. The aim of this study was to prepare 186/188Re-chitosan for radiosynovectomy purposes and investigate the probability of its leakage from the knee joint. 186/188Re was produced by neutron irradiation of the natural rhenium in a research reactor. Chemical processing was performed to obtain (186/188Re)-NaReO4- according to the IAEA manual. A stock solution of chitosan was prepared by dissolving in 1 % acetic acid aqueous solution (10 mg/mL). 1.5 mL of this stock solution was added to the vial containing the activity and the mixture was stirred for 5 min in the room temperature. The radiochemical purity of the complex was checked by the ITLC method, showing the purity of higher than 98%. Distribution of the radiolabeled complex was determined after intra-articular injection into the knees of rats. Excellent retention was observed in the joint with approximately no activity in the other organs.

Keywords: chitosan, leakage, radiosynovectomy, rhenium

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Authors: Cinthia C. Costa, Heloisa L. Burnquist, Joaquim J. M. Guilhoto

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This study identified the impact of special agricultural safeguards (SSG) for the global market of meat and for the Brazilian economy. The tariff lines subject to SSG were selected and the period of analysis was 1995 (when the rules about the SSGs were established) to 2015 (more recent period for which there are notifications). The value of additional tariff was calculated for each of the most important tariff lines. The import volume and the price elasticities for imports were used to estimate the impacts of each additional tariff estimated on imports. Finally, the effect of Brazilian exports of meat without SSG taxes was calculated as well as its impact in the country’s economy by using an input-output matrix. The most important markets that applied SSGs were the U.S. for beef and European Union for poultry. However, the additional tariffs could be estimated in only two of the sixteen years that the U.S. applied SSGs on beef imports, suggesting that its use has been enforced when the average annual price has been higher than the trigger price level. The results indicated that the value of the bovine and poultry meat that could not be exported by Brazil due to SSGs to both markets (EU and the U.S.) was equivalent to BRL 804 million. The impact of this loss in trade was about: BRL 3.7 billion of the economy’s production value (at 2015 prices) and almost BRL 2 billion of the Brazilian Gross Domestic Product (GDP).

Keywords: beef, poultry meat, SSG tariff, input-output matrix, Brazil

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Authors: Waqar Ahmad Butt, Gholamreza Vakili Nezhaad, Ali Soud Al Bemani, Yahya Al Wahaibi

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Minimum miscibility pressure (MMP) plays a great role in determining the displacement efficiency of different gas injection processes. Experimental techniques for MMP determination include industrially recommended slim tube, vanishing interfacial tension (VIT) and rising bubble apparatus (RBA). In this paper, MMP measurement study using slim tube and VIT experimental techniques for two different crude oil samples (M and N) both in live and stock tank oil forms is being presented. VIT measured MMP values for both 'M' and 'N' live crude oils were close to slim tube determined MMP values with 6.4 and 5 % deviation respectively. Whereas for both oil samples in stock tank oil form, VIT measured MMP showed a higher unacceptable deviation from slim tube determined MMP. This higher difference appears to be related to high stabilized crude oil heavier fraction and lack of multiple contacts miscibility. None of the different nine deployed crude oil and CO2 MMP computing correlations could result in reliable MMP, close to slim tube determined MMP. Since VIT determined MMP values for both considered live crude oils are in close match with slim tube determined MMP values, it confirms reliable, reproducible, rapid and cheap alternative for live crude oil MMP determination. Whereas VIT MMP determination for stock tank oil case needed further investigation about stabilization / destabilization mechanism of oil heavier ends and multiple contacts miscibility development issues.

Keywords: minimum miscibility pressure, interfacial tension, multiple contacts miscibility, heavier ends

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Authors: Anwar Hasan Abdullah Othman, Ahamed Kameel, Hasanuddeen Abdul Aziz

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In this study, an attempt has been made to investigate the relationship specifically the causal relation between fund unit prices of Islamic equity unit trust fund which measure by fund NAV and the selected macro-economic variables of Malaysian economy by using VECM causality test and Granger causality test. Monthly data has been used from Jan, 2006 to Dec, 2012 for all the variables. The findings of the study showed that industrial production index, political election and financial crisis are the only variables having unidirectional causal relationship with fund unit price. However, the global oil prices is having bidirectional causality with fund NAV. Thus, it is concluded that the equity unit trust fund industry in Malaysia is an inefficient market with respect to the industrial production index, global oil prices, political election and financial crisis. However, the market is approaching towards informational efficiency at least with respect to four macroeconomic variables, treasury bill rate, money supply, foreign exchange rate and corruption index.

Keywords: fund unit price, unit trust industry, Malaysia, macroeconomic variables, causality

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Authors: Li-hsing Shih, Wei-Jen Hsu

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Recently, the sale of electrical vehicles (EVs) has increased dramatically due to maturing technology development and decreasing cost. Governments of many countries have made regulations and policies in favor of EVs due to their long-term commitment to net zero carbon emissions. However, due to uncertain factors such as the future price of EVs, forecasting the future market share of EVs is a challenging subject for both the auto industry and local government. This study tries to forecast the market share of EVs using conjoint models and Monte Carlo simulation. The research is conducted in three phases. (1) A conjoint model is established to represent the customer preference structure on purchasing vehicles while five product attributes of both EV and internal combustion engine vehicles (ICEV) are selected. A questionnaire survey is conducted to collect responses from Taiwanese consumers and estimate the part-worth utility functions of all respondents. The resulting part-worth utility functions can be used to estimate the market share, assuming each respondent will purchase the product with the highest total utility. For example, attribute values of an ICEV and a competing EV are given respectively, two total utilities of the two vehicles of a respondent are calculated and then knowing his/her choice. Once the choices of all respondents are known, an estimate of market share can be obtained. (2) Among the attributes, future price is the key attribute that dominates consumers’ choice. This study adopts the assumption of a learning curve to predict the future price of EVs. Based on the learning curve method and past price data of EVs, a regression model is established and the probability distribution function of the price of EVs in 2030 is obtained. (3) Since the future price is a random variable from the results of phase 2, a Monte Carlo simulation is then conducted to simulate the choices of all respondents by using their part-worth utility functions. For instance, using one thousand generated future prices of an EV together with other forecasted attribute values of the EV and an ICEV, one thousand market shares can be obtained with a Monte Carlo simulation. The resulting probability distribution of the market share of EVs provides more information than a fixed number forecast, reflecting the uncertain nature of the future development of EVs. The research results can help the auto industry and local government make more appropriate decisions and future action plans.

Keywords: conjoint model, electrical vehicle, learning curve, Monte Carlo simulation

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Authors: Gabriele Iannotta

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This paper investigates credit cycles by means of an experiment based on a Kiyotaki & Moore (1997) model with heterogeneous expectations. The aim is to examine how a credit squeeze caused by high lender-level risk perceptions affects the real prices of a collateralised asset, with a special focus on the macroeconomic implications of rising price volatility in terms of total welfare and the number of bankruptcies that occur. To do that, a learning-to-forecast experiment (LtFE) has been run where participants are asked to predict the future price of land and then rewarded based on the accuracy of their forecasts. The setting includes one lender and five borrowers in each of the twelve sessions split between six control groups (G1) and six treatment groups (G2). The only difference is that while in G1 the lender always satisfies borrowers’ loan demand (bankruptcies permitting), in G2 he/she closes the entire credit market in case three or more bankruptcies occur in the previous round. Experimental results show that negative risk-driven supply shocks amplify the volatility of collateral prices. This uncertainty worsens the agents’ ability to predict the future value of land and, as a consequence, the number of defaults increases and the total welfare deteriorates.

Keywords: Behavioural Macroeconomics, Credit Cycle, Experimental Economics, Heterogeneous Expectations, Learning-to-Forecast Experiment

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Authors: Yan Wang, Yasushi Asami, Yukio Sadahiro

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In urban context, urban nodes such as amenity or hazard will certainly affect house price, while classic hedonic analysis will employ distance variables measured from each urban nodes. However, effects from distances to facilities on house prices generally do not represent the true price of the property. Distance variables measured on the same surface are suffering a problem called multicollinearity, which is usually presented as magnitude variance and mean value in regression, errors caused by instability. In this paper, we provided a theoretical framework to identify and gather the data with less bias, and also provided specific sampling method on locating the sample region to avoid the spatial multicollinerity problem in three distance variable’s case.

Keywords: hedonic regression, urban node, distance variables, multicollinerity, collinearity

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Authors: Andrei-Marius Sandu

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This study aims to analyze the bovine meat and milk sector for the period 2007-2013. For the period analyzed, it is known that Romania has benefited from EU funding through the National Rural Development Programme 2007-2013. In this programme, there were measures that addressed exclusively the animal husbandry sector in Romania. This paper presents data on bovine production of meat, milk and livestock in Romania, but also data on the price and impact the European Funds implementation had on them.

Keywords: European funds, measures, national rural development programme, price

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Authors: Chih-Hsiang Chang, Pei-Shan Kao

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This paper discusses the reaction of investors in the Taiwan stock market to the most probable unknown earnings-related information and the most probable known earnings-related information. As compared with the previous literature regarding the effect of an official announcement of earnings forecast revision, this paper further analyzes investors’ cognitive bias toward the unknown and known earnings-related information, and the role of media during the investors' reactions to the foresaid information shocks. The empirical results show that both the unknown and known earnings-related information provides useful information content for a stock market. In addition, cognitive bias and disposition effect are the behavioral pitfalls that commonly occur in the process of the investors' reactions to the earnings-related information. Finally, media coverage has a remarkable influence upon the investors' trading decisions.

Keywords: cognitive bias, role of media, disposition effect, earnings-related information, behavioral pitfall

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Authors: Ira Joseph

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The LNG paradox addresses the issue of how the most expensive form of gas supply, which is LNG, will grow in an end user market where demand is most competitive, which is power generation. In this case, LNG demand growth is under siege from two entirely different directions. At one end is price; it will be extremely difficult for gas to replace coal in Asia due to the low price of coal and the age of the generation plants. Asia's coal fleet, on average, is less than two decades old and will need significant financial incentives to retire before its state lifespan. While gas would cut emissions in half relative to coal, it would also more than double the price of the fuel source for power generation, which puts it in a precarious position. In most countries in Asia other than China, this cost increase, particularly from imports, is simply not realistic when it is also necessary to focus on economic growth and social welfare. On the other end, renewables are growing at an exponential rate for three reasons. One is that prices are dropping. Two is that policy incentives are driving deployment, and three is that China is forcing renewables infrastructure into the market to take a political seat at the global energy table with Saudi Arabia, the US, and Russia. Plus, more renewables will lower import growth of oil and gas in China, if not end it altogether. Renewables are the predator at the gate of gas demand in power generation and in every year that passes, renewables cut into demand growth projections for gas; in particular, the type of gas that is most expensive, which is LNG. Gas does have a role in the future, particularly within a domestic market. Once it crosses borders in the form of LNG or even pipeline gas, it quickly becomes a premium fuel and must be marketed and used this way. Our research shows that gas will be able to compete with batteries as an intermittency and storage tool and does offer a method to harmonize with renewables as part of the energy transition. As a baseload fuel, however, the role of gas, particularly, will be limited by cost once it needs to cross a border. Gas converted into blue or green hydrogen or ammonia is also an option for storage depending on the location. While this role is much reduced from the primary baseload role that gas once aspired to land, it still offers a credible option for decades to come.

Keywords: natural gas, LNG, demand, price, intermittency, storage, renewables

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Authors: Carlos Tapia Cortez, Serkan Saydam, Jeff Coulton, Claude Sammut

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Strategic mineral commodities (SMC) both energetic and metals have long been fundamental for human beings. There is a strong and long-run relation between the mineral resources industry and society's evolution, with the provision of primary raw materials, becoming one of the most significant drivers of economic growth. Due to mineral resources’ relevance for the entire economy and society, an understanding of the SMC market behaviour to simulate price fluctuations has become crucial for governments and firms. For any human activity, SMC price fluctuations are affected by economic, geopolitical, environmental, technological and psychological issues, where cognition has a major role. Cognition is defined as the capacity to store information in memory, processing and decision making for problem-solving or human adaptation. Thus, it has a significant role in those systems that exhibit dynamic equilibrium through time, such as economic growth. Cognition allows not only understanding past behaviours and trends in SCM markets but also supports future expectations of demand/supply levels and prices, although speculations are unavoidable. Technological developments may also be defined as a cognitive system. Since the Industrial Revolution, technological developments have had a significant influence on SMC production costs and prices, likewise allowing co-integration between commodities and market locations. It suggests a close relation between structural breaks, technology and prices evolution. SCM prices forecasting have been commonly addressed by econometrics and Gaussian-probabilistic models. Econometrics models may incorporate the relationship between variables; however, they are statics that leads to an incomplete approach of prices evolution through time. Gaussian-probabilistic models may evolve through time; however, price fluctuations are addressed by the assumption of random behaviour and normal distribution which seems to be far from the real behaviour of both market and prices. Random fluctuation ignores the evolution of market events and the technical and temporal relation between variables, giving the illusion of controlled future events. Normal distribution underestimates price fluctuations by using restricted ranges, curtailing decisions making into a pre-established space. A proper understanding of SMC's price dynamics taking into account the historical-cognitive relation between economic, technological and psychological factors over time is fundamental in attempting to simulate prices. The aim of this paper is to discuss the SMC market cognition hypothesis and empirically demonstrate its dynamic-cognitive capacity. Three of the largest and traded SMC's: oil, copper and gold, will be assessed to examine the economic, technological and psychological cognition respectively.

Keywords: commodity price simulation, commodity price uncertainties, dynamic-cognition, dynamic systems

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Authors: Dany Ng Cheong Vee, Preethee Nunkoo Gonpot, Noor Sookia

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In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The Value at Risk, for a set of indices, from six Stock Exchanges of Frontier markets is calculated using the Peaks over Threshold method and the performance of the model index-wise is evaluated using coverage tests and loss functions. Our results show that 'fat-tailedness' alone of the data is not enough to justify the use of EVT as a VaR approach. The structure of the returns dynamics is also a determining factor. This approach works fine in markets which have had extremes occurring in the past thus making the model capable of coping with extremes coming up (Colombo, Tunisia and Zagreb Stock Exchanges). On the other hand, we find that indices with lower past than present volatility fail to adequately deal with future extremes (Mauritius and Kazakhstan). We also conclude that using EVT alone produces quite static VaR figures not reflecting the actual dynamics of the data.

Keywords: extreme value theory, financial crisis 2008, value at risk, frontier markets

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Authors: Victoria Masi Haruna Karatu, Nik Kamariah Nikmat

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In recent times awareness about the environment and green purchase has been on the increase across nations due to global warming. Previous researchers have attempted to determine what actually influences the purchase intention of consumers in this environmentally conscious epoch. The consumers too have become conscious of what to buy and who to buy from in their purchasing decisions as this action will reflect their concern about the environment and their personal well-being. This trend is a widespread phenomenon in most developed countries of the world. On the contrary evidence revealed that only 5% of the populations of Nigeria involve in green purchase activities thus making the country lag behind its counterparts in green practices. This is not a surprise as Nigeria is facing problems of inadequate green knowledge, non-enforcement of environmental regulations, sensitivity to the price of green products when compared with the conventional ones and distrust towards green products which has been deduced from prior studies of other regions. The main objectives of this study is to examine the direct antecedents of green purchase intention (green availability, government regulations, perceived green knowledge, perceived value and green price sensitivity) in Nigeria and secondly to establish the mediating role of perceived behavioral control on the relationship between these antecedents and green purchase intention. The study adopts quantitative method whereby 700 questionnaires were administered to lecturers in three Nigerian universities. 502 datasets were collected which represents 72 percent response rate. After screening the data only 440 were usable and analyzed using structural equation modeling (SEM) and bootstrapping. From the findings, three antecedents have significant direct relationships with green purchase intention (perceived green knowledge, perceived behavioral control, and green availability) while two antecedents have positive and significant direct relationship with perceived behavioral control (perceived value and green price sensitivity). On the other hand, PBC does not mediate any of the paths from the predictors to criterion variable. This result is discussed in the Nigerian context.

Keywords: Green Availability, Green Price Sensitivity, Green Purchase Intention, Perceived Green Knowledge, Perceived Value

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Authors: Selin Guney, Andres Riquelme

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The traditional bio-economic method for fisheries modeling uses some estimate of the growth parameters and the system carrying capacity from a biological model for the population dynamics (usually a logistic population growth model) which is then analyzed as a traditional production function. The stock dynamic is transformed into a revenue function and then compared with the extraction costs to estimate the maximum economic yield. In this paper, the logistic population growth model for the population is combined with a forecast of the abundance and location of the stock by using a generalized additive model approach. The paper focuses on the Chilean hake population. This method allows for the incorporation of climatic variables and the interaction with other marine species, which in turn will increase the reliability of the estimates and generate better extraction paths for different conservation objectives, such as the maximum biological yield or the maximum economic yield.

Keywords: bio-economic, fisheries, GAM, production

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Authors: Marlen Acosta Alamo, Lisa Manne, Richard Veit

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Habitat loss due to land use change is one of the leading causes of biodiversity loss worldwide. This form of habitat loss is a non-random phenomenon since the same environmental factors that make an area suitable for supporting high local biodiversity overlap with those that make it attractive for urban development. We aimed to compare the effect of two non-random habitat loss predictors on the richness, abundance, and rarity of nature-affiliated and human-affiliated North American breeding birds. For each group of birds, we simulated the non-random habitat loss using two predictors: the House Price Index as a measure of the attractiveness of an area for humans and the Normalized Difference Vegetation Index as a proxy for primary productivity. We compared the results of the two non-random simulation sets and one set of random habitat loss simulations using an analysis of variance and followed up with a Tukey-Kramer test when appropriate. The attractiveness of an area for humans predicted estimates of richness loss and increase of rarity higher than primary productivity and random habitat loss for nature-affiliated and human-affiliated birds. For example, at 50% of habitat loss, the attractiveness of an area for humans produced estimates of richness at least 5% lower and of a rarity at least 40% higher than primary productivity and random habitat loss for both groups of birds. Only for the species abundance of nature-affiliated birds, the attractiveness of an area for humans did not outperform primary productivity as a predictor of biodiversity following habitat loss. We demonstrated the value of the House Price Index, which can be used in conservation assessments as an index of the risks of habitat loss for natural communities. Thus, our results have relevant implications for sustainable urban land-use planning practices and can guide stakeholders and developers in their efforts to conserve local biodiversity.

Keywords: biodiversity loss, bird biodiversity, house price index, non-random habitat loss

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Authors: Muktar Haruna

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This research work examines the International Financial Reporting Standard (IFRS) adoption and value relevance of earnings of listed consumer goods companies in the Nigerian. The population of the study comprises 22 listed consumer goods companies, out of which 15 were selected as sample size of the study. The scope of the study is a 12-year period covering from 2006 to 2018. Secondary data from the annual report of sampled companies were used, which consists of earnings per share (EPS), the book value of equity per share (BVE) as independent variables; firm size (FSZ) as a control variable, and market share price of sampled companies from Nigerian stock exchange as dependent variable. Multiple regressions were used to analyze the data. The results of the study showed that IFRS did not improve the value relevance of earnings after the adoption, which translates to a decrease in value relevance of accounting numbers in the post-adoption period. The major recommendation is that the Nigerian Reporting Council should ensure full compliance to all provisions of IFRS and provide uniformity in the presentation of non-current assets in the statement of financial position, where some present only net current assets leaving individual figures for current assets and liabilities invisible.

Keywords: IFRS, adoption, value relevance, earning per share, book value of equity per share

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Authors: Muhammad Sheraz, Vasile Preda, Silvia Dedu

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Concepts of econophysics are usually used to solve problems related to uncertainty and nonlinear dynamics. In the theory of option pricing the risk neutral probabilities play very important role. The application of entropy in finance can be regarded as the extension of both information entropy and the probability entropy. It can be an important tool in various financial methods such as measure of risk, portfolio selection, option pricing and asset pricing. Gulko applied Entropy Pricing Theory (EPT) for pricing stock options and introduced an alternative framework of Black-Scholes model for pricing European stock option. In this article, we present solutions to maximum entropy problems based on Tsallis, Weighted-Tsallis, Kaniadakis, Weighted-Kaniadakies entropies, to obtain risk-neutral densities. We have also obtained the value of European call and put in this framework.

Keywords: option pricing, Black-Scholes model, Tsallis entropy, Kaniadakis entropy, weighted entropy, risk-neutral density

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Authors: Rui Brito

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This contribution regards a literature review of inventory management that is a relevant topic for the firms, due to its important use of capital with implications in firm’s profitability within the complexity of a more competitive and globalized world. Firms look for small inventories in order to reduce holding costs, namely opportunity cost, warehousing and handling costs, deterioration and being out of style, but larger inventories are required by some reasons, such as customer service, ordering cost, transportation cost, supplier’s payment to reduce unit costs or to take advantage of price increase in the near future, and equipment setup cost. Thus, management shall address a trade-off between small inventories and larger inventories. This literature review concerns three types of inventory (spare parts, safety stock, and vendor) whose management usually is beyond the scope of logistics. The applied methodology consisted of an online search of databases regarding scientific documents in English, namely Elsevier, Springer, Emerald, Wiley, and Taylor & Francis, but excluding books except if edited, using search engines, such as Google Scholar and B-on. The search was based on three keywords/strings (themes) which had to be included just as in the article title, suggesting themes were very relevant to the researchers. The whole search period was between 2009 and 2018 with the aim of collecting between twenty and forty studies considered relevant within each of the key words/strings specified. Documents were sorted by relevance and to prevent the exclusion of the more recent articles, based on lower quantity of citations partially due to less time to be cited in new research articles, the search period was divided into two sub-periods (2009-2015 and 2016-2018). The number of surveyed articles by theme showed a variation from 40 to 200 and the number of citations of those articles showed a wider variation from 3 to 216. Selected articles from the three themes were analyzed and the first seven of the first sub-period and the first three of the second sub-period with more citations were read in full to make a synopsis of each article. Overall, the findings show that the majority of article types were models, namely mathematical, although with different sub-types for each theme. Almost all articles suggest further studies, with some mentioning it for their own author(s), which widen the diversity of the previous research. Identified research gaps concern the use of surveys to know which are the models more used by firms, the reasons for not using the models with more performance and accuracy, and which are the satisfaction levels with the outcomes of the inventories management and its effect on the improvement of the firm’s overall performance. The review ends with the limitations and contributions of the study.

Keywords: inventory management, safety stock, spare parts inventory, vendor managed inventory

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Authors: Martin Pellon Consunji

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Due to the rise in popularity of Bitcoin and other crypto assets as a store of wealth and speculative investment, there is an ever-growing demand for automated trading tools, such as bots, in order to gain an advantage over the market. Traditionally, trading in the stock market was done by professionals with years of training who understood patterns and exploited market opportunities in order to gain a profit. However, nowadays a larger portion of market participants are at minimum aided by market-data processing bots, which can generally generate more stable signals than the average human trader. The rise in trading bot usage can be accredited to the inherent advantages that bots have over humans in terms of processing large amounts of data, lack of emotions of fear or greed, and predicting market prices using past data and artificial intelligence, hence a growing number of approaches have been brought forward to tackle this task. However, the general limitation of these approaches can still be broken down to the fact that limited historical data doesn’t always determine the future, and that a lot of market participants are still human emotion-driven traders. Moreover, developing markets such as those of the cryptocurrency space have even less historical data to interpret than most other well-established markets. Due to this, some human traders have gone back to the tried-and-tested traditional technical analysis tools for exploiting market patterns and simplifying the broader spectrum of data that is involved in making market predictions. This paper proposes a method which uses neuro evolution techniques on both sentimental data and, the more traditionally human-consumed, technical analysis data in order to gain a more accurate forecast of future market behavior and account for the way both automated bots and human traders affect the market prices of Bitcoin and other cryptocurrencies. This study’s approach uses evolutionary algorithms to automatically develop increasingly improved populations of bots which, by using the latest inflows of market analysis and sentimental data, evolve to efficiently predict future market price movements. The effectiveness of the approach is validated by testing the system in a simulated historical trading scenario, a real Bitcoin market live trading scenario, and testing its robustness in other cryptocurrency and stock market scenarios. Experimental results during a 30-day period show that this method outperformed the buy and hold strategy by over 260% in terms of net profits, even when taking into consideration standard trading fees.

Keywords: neuro-evolution, Bitcoin, trading bots, artificial neural networks, technical analysis, evolutionary algorithms

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Authors: Roohollah Jamshidpour, Elaheh Ahmadi, Farhad Shah Veisi

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Present research seeks to answer this question: Is there any relationship between corporate governance mechanisms and decision on corporate investments? Percentages of institutional, board of director’s, and stockholder’s ownership are among internal mechanisms of corporate governance relationship of which with investment-based decisions are studied by this research. Information on 103 companies during 1388 (2009)- 1393 (2014). Initially, research variables are identified; next, Rah Avard-e Novin software is used to gather Information. SPSS software is employed to test hypotheses with respect to descriptive and inferential statistics like correlation analysis. Research results show that percentage of institutional stockholders’ ownership has a significant direct relationship with investment decisions. For other cases, no significant relationship is observed between corporate governance mechanisms and investment decisions.

Keywords: corporate governance, company size, free floating stock, institutional investors, major shareholders

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Authors: Dwi Wijiastutik, Tarjo, Yuni Rimawati

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The purpose of this empirical study is to analyse how to the market reaction and the conservative degree changes on the adoption of International Financial Reporting Standart (IFRS) through Jakarta Islamic Index. The study also has given others additional analysis on the profitability, capital structure and size company toward IFRS adoption. The data collection methods used in this study reveals as secondary data and deep analysis to the company’s annual report and daily price stock at yahoo finance. We analyse 40 companies listed on Jakarta Islamic Index from 2010 to 2014. The result of the study concluded that IFRS has given a different on the depth analysis to the two of variance analysis: Moderated Regression Analysis and Wilcoxon Signed Rank to test developed hypotheses. Our result on the regression analysis shows that market response and conservatism principle is not significantly after IFRS Adoption in Jakarta Islamic Index. Furthermore, in addition, analysis on profitability, capital structure, and company size show that significantly after IFRS adoption. The findings of our study help investor by showing the impact of IFRS for making decided investment.

Keywords: IFRS, earnings response coefficient, conservatism principle

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Authors: Siphat Lim

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This study used Autoregressive Distributed Lag (ARDL) approach to cointegration. In the long-run the general price level and exchange rate have a positively significant effect on domestic output. The estimated result further revealed that fiscal stimulus help stimulate domestic output in the long-run, but not in the short-run, while monetary expansion help to stimulate output in both short-run and long-run. The result is complied with the theory which is the macroeconomic policies, fiscal and monetary policy; help to stimulate domestic output in the long-run. The estimated result of the Vector Error Correction Model (VECM) has indicated more clearly that the consumer price index has a positive effect on output with highly statistically significant. Increasing in the general price level would increase the competitiveness among producers than increase in the output. However, the exchange rate also has a positive effect and highly significant on the gross domestic product. The exchange rate depreciation might increase export since the purchasing power of foreigners has increased. More importantly, fiscal stimulus would help stimulate the domestic output in the long-run since the coefficient of government expenditure is positive. In addition, monetary expansion would also help stimulate the output and the result is highly significant. Thus, fiscal stimulus and monetary expansionary would help stimulate the domestic output in the long-run in Cambodia.

Keywords: fiscal policy, monetary policy, ARDL, VECM

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Authors: Raphael Naryongo, Philip Ngare, Anthony Waititu

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This paper deals with numerical simulation of Wishart processes for a single asset risky pricing model whose volatility is described by Wishart affine diffusion processes. The multi-factor specification of volatility will make the model more flexible enough to fit the stock market data for short or long maturities for better returns. The Wishart process is a stochastic process which is a positive semi-definite matrix-valued generalization of the square root process. The aim of the study is to model the log asset stock returns under the double Wishart stochastic volatility model. The solution of the log-asset return dynamics for Bi-Wishart processes will be obtained through Euler-Maruyama discretization schemes. The numerical results on the asset returns are compared to the existing models returns such as Heston stochastic volatility model and double Heston stochastic volatility model

Keywords: euler schemes, log-asset return, infinitesimal generator, wishart diffusion affine processes

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Authors: Lin-Han Chiang Hsieh, Hsiao-Yi Lin

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This study aims to determine the impact of the disclosure of flood potential map on housing prices. The disclosure is supposed to mitigate the market failure by reducing information asymmetry. On the other hand, opponents argue that the official disclosure of simulated results will only create unnecessary disturbances on the housing market. This study identifies the impact of the disclosure of the flood potential map by comparing the hedonic price of flood potential before and after the disclosure. The flood potential map used in this study is published by Taipei municipal government in 2015, which is a result of a comprehensive simulation based on geographical, hydrological, and meteorological factors. The residential property sales data of 2013 to 2016 is used in this study, which is collected from the actual sales price registration system by the Department of Land Administration (DLA). The result shows that the impact of flood potential on residential real estate market is statistically significant both before and after the disclosure. But the trend is clearer after the disclosure, suggesting that the disclosure does have an impact on the market. Also, the result shows that the impact of flood potential differs by the severity and frequency of precipitation. The negative impact for a relatively mild, high frequency flood potential is stronger than that for a heavy, low possibility flood potential. The result indicates that home buyers are of more concern to the frequency, than the intensity of flood. Another contribution of this study is in the methodological perspective. The classic hedonic price analysis with OLS regression suffers from two spatial problems: the endogeneity problem caused by omitted spatial-related variables, and the heterogeneity concern to the presumption that regression coefficients are spatially constant. These two problems are seldom considered in a single model. This study tries to deal with the endogeneity and heterogeneity problem together by combining the spatial fixed-effect model and geographically weighted regression (GWR). A series of literature indicates that the hedonic price of certain environmental assets varies spatially by applying GWR. Since the endogeneity problem is usually not considered in typical GWR models, it is arguable that the omitted spatial-related variables might bias the result of GWR models. By combing the spatial fixed-effect model and GWR, this study concludes that the effect of flood potential map is highly sensitive by location, even after controlling for the spatial autocorrelation at the same time. The main policy application of this result is that it is improper to determine the potential benefit of flood prevention policy by simply multiplying the hedonic price of flood risk by the number of houses. The effect of flood prevention might vary dramatically by location.

Keywords: flood potential, hedonic price analysis, endogeneity, heterogeneity, geographically-weighted regression

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Authors: Omar Hussein El Ayadi, EmadY. El-Mansouri, Mohamed B. Dozan

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Production oil process require specific details i.e. oil composition. Generally, types of oil or differentiation between reservoir fluids depend specifically on composition. The main purpose of this study is to correlate and predict the Libyan oil (reservoir fluid and residual) composition utilizing tri-angle-coordinate plots discovered and tasked with Excel. The reservoir fluid data (61 old + 47 new), the residual oil data (33 new) collected from most of Libyan reservoirs were correlated with each others. Moreover, find a relation between stock tank molecular weight and stock tank oil gravity (oAPI), the molecular weight oh (C7+) versus residual oil gravity (oAPI). The average value of every oil composition was estimated including non-hydrocarbon (H2S, CO2, and N2). Nevertheless, the isomers (i-…) and normal (n-…) structure of (C4) and (C5) were also obtained. The summary of the conclusion is; utilizing excel Microsoft office to draw triangle coordinates to find two unknown component if only one is known. However, it is recommended to use the obtained oil composition plots and equations for any oil composition dependents i.e. optimum separator pressure.

Keywords: PVT, phase behavior, petroleum, chemical engineering

Procedia PDF Downloads 491