Search results for: preferred stocks

Authors: Rudy C. Flores, Felicisima E. Tungol, Armando A. Villafuerte, Abraham S. Antonio, Roy N. Oroyo, Henry A. Cruz

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An assessment of the biosecurity strategies of selected fishponds in Bataan was conducted by the researchers from Bataan Peninsula State University Orani Campus to determine the present status of Biosecurity strategies being practice by selected freshwater and brackish water fishpond operators in the province to have an initial data of their system of safeguarding cultured fishes against possible diseases. Likewise, it aims to evaluate the extent of implementation of the following areas of Biosecurity namely; fishpond location, perimeter, entrance, building/ pond structure, shipping, new stocks, feeds, dead stocks, soil and water treatment, disinfection and vaccination program. The results of the assessment revealed that the present average status of the surveyed fish ponds in Bataan based on the data gathered from selected fishpond operators is poor for 44.64% and fair for 12.61%, which means that more than one- half of the surveyed fishpond do not have the first and second line of defense against diseases and there is always a higher risk of infection, contamination and possibility of disease outbreak. This indicates that fishpond operators in Bataan need technological interventions to improve their harvest and prevent heavy losses from fish diseases, although biosecurity is satisfactory for 12.92% and very good for 9.16%, which indicate that 22.08% of the surveyed fishponds have their own strategies to keep their stocks from diseases.

Keywords: biosecurity, fishpond operators, soil and water treatment, filtration system, bird scaring devices

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Authors: Vish Putcha, Chandrasekhar Putcha, Siva Hari

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In the current digital era of free trading and pandemic-driven remote work culture, markets worldwide gained momentum for retail investors to trade from anywhere easily. The number of retail traders rose to 24% of the market from 15% at the pre-pandemic level. Most of them are young retail traders with high-risk tolerance compared to the previous generation of retail traders. This trend boosted the growth of subscription-based market predictors and market data vendors. Young traders are betting on these predictors, assuming one of them is correct. However, 90% of retail traders are on the losing end. This paper presents multiple indicators and attempts to derive behavioral patterns from the underlying stocks. The two major indicators that traders and investors follow are technical and fundamental. The famous investor, Warren Buffett, adheres to the “Value Investing” method that is based on a stock’s fundamental Analysis. In this paper, we present multiple indicators from various methods to understand the behavior patterns of stocks. For this research, we picked five stocks with a market capitalization of more than $200M, listed on the exchange for more than 20 years, and from different industry sectors. To study the behavioral pattern over time for these five stocks, a total of 8 indicators are chosen from fundamental, technical, and financial indicators, such as Price to Earning (P/E), Price to Book Value (P/B), Debt to Equity (D/E), Beta, Volatility, Relative Strength Index (RSI), Moving Averages and Dividend yields, followed by detailed mathematical Analysis. This is an interdisciplinary paper between various disciplines of Engineering, Accounting, and Finance. The research takes a new approach to identify clear indicators affecting stocks. Statistical Analysis of the data will be performed in terms of the probabilistic distribution, then follow and then determine the probability of the stock price going over a specific target value. The Chi-square test will be used to determine the validity of the assumed distribution. Preliminary results indicate that this approach is working well. When the complete results are presented in the final paper, they will be beneficial to the community.

Keywords: stock pattern, stock market analysis, stock predictions, trading, investing, fundamental analysis, technical analysis, quantitative trading, financial analysis, behavioral analysis

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Authors: Sumit Sen, Sohan Khedekar, Umang Shinde, Shivam Bhargava

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This study has been undertaken to investigate whether the deep learning models are able to predict the future stock prices by training the model with the historical stock price data. Since this work required time series analysis, various models are present today to perform time series analysis such as Recurrent Neural Network LSTM, ARIMA and Facebook Prophet. Applying these models the movement of stock price of stocks are predicted and also tried to provide the future prediction of the stock price of a stock. Final product will be a stock price prediction web application that is developed for providing the user the ease of analysis of the stocks and will also provide the predicted stock price for the next seven days.

Keywords: Autoregressive Integrated Moving Average, Deep Learning, Long Short Term Memory, Time-series

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Authors: Guoyu Lin

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This paper explores the role investor sentiment plays in the relationship between analyst forecast dispersion and stock returns. With short sale constraints, stock prices are determined by the optimistic investors. During the high sentiment periods when investors suffer more from psychological bias, there are more optimistic investors. This is the first paper to document that following the high sentiment periods, stocks with the most analyst forecast dispersion are overpriced, earning significantly negative returns, while those with the least analyst forecast dispersion are not overpriced as the degree of belief dispersion is low. However, following the low sentiment periods, both are not overpriced. A portfolio which longs the least dispersed stocks and shorts the most dispersed stocks yields significantly positive returns only following the high sentiment periods. My findings can potentially reconcile the puzzling risk effect and mispricing effect in the literature. The risk (mispricing) effect suggests a positive (negative) relation between analyst forecast dispersion and future stock returns. Presumably, the magnitude of the mispricing effect depends on the proportion of irrational investors and their bias, which is positively related to investor sentiment. During the high sentiment period, the mispricing effect takes over and the overall effect is negative. During the low sentiment period, the percentage of irrational investors is mediate, and the mispricing effect and the risk effect counter each other, leading to insignificant relation.

Keywords: analyst forecast dispersion, short-sale constraints, investor sentiment, stock returns

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Authors: Eti Mizrahi, Gizem İntepe

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The geographical location of Turkey that stretches from Asia to Europe and Russia to Africa makes it an important logistics hub in the region. Although logistics is a developing sector in Turkey, the stock market representation is still low with only two companies listed in Turkey’s stock exchange since 2010. In this paper, we use the daily values of these two listed stocks as a benchmark for the logistics sector. After modeling logistics stock prices, an empirical examination is conducted between the existing logistics indices and these stock prices. The paper investigates whether the measures of logistics stocks are correlated with newly available logistics indices. It also shows the reflection of the economic activity in the logistics sector on the stock exchange market. The results presented in this paper are the first analysis of the behavior of logistics indices and logistics stock prices for Turkey.

Keywords: forecasting, logistic stock exchange, modeling, Africa

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Authors: Xia Fang

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Arid and semiarid areas of China (ASAC) have experienced significant land-use/cover changes (LUCC), along with intensified climate change. However, LUCC and climate changes and their individual and interactive effects on carbon stocks have not yet been fully understood in the ASAC. This study analyses the carbon stocks in the ASAC during 1980 - 2020 using the specific arid ecosystem model (AEM), and investigates the effects of LUCC and climate change on carbon stock trends. The results indicate that in the past 41 years, the ASAC carbon pool experienced an overall growth trend, with an increase of 182.03 g C/m2. Climatic factors (+291.99 g C/m2), especially the increase in precipitation, were the main drivers of the carbon pool increase. LUCC decreased the carbon pool (-112.27 g C/m2), mainly due to the decrease in grassland area (-2.77%). The climate-induced carbon sinks were distributed in northern Xinjiang, on the Ordos Plateau, and in Northeast China, while the LUCC-induced carbon sinks mainly occurred on the Ordos Plateau and the North China Plain, resulting in a net decrease in carbon sequestration in these regions according to carbon pool measurements. The study revealed that the combination of climate variability, LUCC, and increasing atmospheric CO2 concentration resulted in an increase of approximately 182.03 g C/m2, which was mainly distributed in eastern Inner Mongolia and the western Qinghai-Tibet Plateau. Our findings are essential for improving theoretical guidance to protect the ecological environment, rationally plan land use, and understand the sustainable development of arid and semiarid zones.

Keywords: AEM, climate change, LUCC, carbon stocks

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Authors: Thomas Chinwe Urama, Patrick Oseloka Ezepue, Peters Chimezie Nnanwa

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This paper investigates the universal financial dynamics in two dominant stock markets in Sub-Saharan Africa, through an in-depth analysis of the cross-correlation matrix of price returns in Nigerian Stock Market (NSM) and Johannesburg Stock Exchange (JSE), for the period 2009 to 2013. The strength of correlations between stocks is known to be higher in JSE than that of the NSM. Particularly important for modelling Nigerian derivatives in the future, the interactions of other stocks with the oil sector are weak, whereas the banking sector has strong positive interactions with the other sectors in the stock exchange. For the JSE, it is the oil sector and beverages that have greater sectorial correlations, instead of the banks which have the weaker correlation with other sectors in the stock exchange.

Keywords: random matrix theory, cross-correlations, emerging markets, option pricing, eigenvalues eigenvectors, inverse participation ratios and implied volatility

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Authors: Pratap Chandra Pati, Prabina Rajib, Parama Barai

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The traditional finance theory neglects the role of sentiment factor in asset pricing. However, the behavioral approach to asset-pricing based on noise trader model and limit to arbitrage includes investor sentiment as a priced risk factor in the assist pricing model. Investor sentiment affects stock more that are vulnerable to speculation, hard to value and risky to arbitrage. It includes small stocks, high volatility stocks, growth stocks, distressed stocks, young stocks and non-dividend-paying stocks. Since the introduction of Chicago Board Options Exchange (CBOE) volatility index (VIX) in 1993, it is used as a measure of future volatility in the stock market and also as a measure of investor sentiment. CBOE VIX index, in particular, is often referred to as the ‘investors’ fear gauge’ by public media and prior literature. The upward spikes in the volatility index are associated with bouts of market turmoil and uncertainty. High levels of the volatility index indicate fear, anxiety and pessimistic expectations of investors about the stock market. On the contrary, low levels of the volatility index reflect confident and optimistic attitude of investors. Based on the above discussions, we investigate whether market-wide fear levels measured volatility index is priced factor in the standard asset pricing model for the Indian stock market. First, we investigate the performance and validity of Fama and French three-factor model and Carhart four-factor model in the Indian stock market. Second, we explore whether India volatility index as a proxy for fearful market-based sentiment indicators affect the cross section of stock returns after controlling for well-established risk factors such as market excess return, size, book-to-market, and momentum. Asset pricing tests are performed using monthly data on CNX 500 index constituent stocks listed on the National stock exchange of India Limited (NSE) over the sample period that extends from January 2008 to March 2017. To examine whether India volatility index, as an indicator of fear sentiment, is a priced risk factor, changes in India VIX is included as an explanatory variable in the Fama-French three-factor model as well as Carhart four-factor model. For the empirical testing, we use three different sets of test portfolios used as the dependent variable in the in asset pricing regressions. The first portfolio set is the 4x4 sorts on the size and B/M ratio. The second portfolio set is the 4x4 sort on the size and sensitivity beta of change in IVIX. The third portfolio set is the 2x3x2 independent triple-sorting on size, B/M and sensitivity beta of change in IVIX. We find evidence that size, value and momentum factors continue to exist in Indian stock market. However, VIX index does not constitute a priced risk factor in the cross-section of returns. The inseparability of volatility and jump risk in the VIX is a possible explanation of the current findings in the study.

Keywords: India VIX, Fama-French model, Carhart four-factor model, asset pricing

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Authors: Arti Bakhshi, Remia Mahajan

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Social networking sites have evolved with great pace and India has been no exception. Facebook is the top most rated social networking site (SNS) in India. Though this site is mostly used by younger generations, the popularity of this site is increasing among all masses and classes. The current paper explores gender differences in motivations for the use of Facebook. Of the sample (N=556), 229 male and 327 female Facebook users from India were asked to rate the motivations for the use of Facebook from ‘most preferred’ to ‘least preferred’. The five motivations studied were- time passing, information, relationship development, relationship maintenance and trend following. The cross tab chi square analyses revealed significant differences in three out of five motivations between male and female Facebook users, namely time passing, relationship development and trend following. Female Facebook users rated ‘time passing’ as a more preferred motivation in comparison to male Facebook users, while male users rated ‘relationship development’ and ‘trend following’ motivations as more preferred in comparison to female Facebook users. Suggestions for future research are discussed.

Keywords: facebook, gender, motivations, social networking sites

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Authors: Meseret Mulugeta, Alemmebrat Kiflu, Belaynehchikle

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The purpose of the present study was to examine the preferred leadership style and motivation of premier league volleyball players. The sample encompassed 46 female premier league volleyball players whose ages ranged between 15 and 35 years. The data were collected using standardized questionnaires. The questionnaires were distributed to 46 female players from five volleyball clubs in the Premier League. To evaluate the motivational level of the players, the Sports Motivation Scale (SMS-6) was used. The leadership scale for sport was used to evaluate leadership. Descriptive statistics and the person correlation coefficient (P <0.05) were used to validate the relationship between leadership style and motivation. The result showed that there is a meaningful and significant relationship between leadership style and motivation. Concerning preferred coaching styles, the most preferred style was training and instruction, with a mean score of 4.10, and the least preferred style was autocratic, with a mean score of 3.37. The result of the Pearson correlation coefficient showed that the correlation between motivation types and leadership styles showed that motivation was significantly and positively correlated with all independent variables except autocratic leadership style, which is negatively correlated with motivation. This study’s nobility is to provide evidence for the most effective coaching to practice the training and instruction behaviour and social support behaviour leadership styles and refrain from using the autocratic leadership style.

Keywords: autocratic, training and instruction, motivation, leadership style

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Authors: Lukáš Mazánek, Zdeňka Konečná

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The article is devoted to the area of personnel marketing. A comprehensive review of scientific literature and articles published predominantly in personnel-oriented journals was carried out, followed by a qualitative exploratory research with the aim to explore and explain the perception of personnel marketing. Due to the lack of research in this field in Czech Republic, we have focused on Czech HR managers, more specifically, on how they understand the tasks of personnel marketing, which tools they use and whether the companies they work for try to be a preferred employer. The answers from our respondents were used to help us determine what is important within this field. All of the respondents strive to be a preferred employer and try to achieve it by using an extensive range of marketing tools. The most frequently used tools are advertising, job fairs presentations, employee care and employer brand promotion.

Keywords: Czech Republic, personnel marketing, preferred employer, qualitative research study

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Authors: Ayelet Hersch, Corrine Serfaty, Sigal Portnoy

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Stroke survivors commonly report persistent fatigue and sleep disruptions during rehabilitation and post-recovery. While limited research has explored the impact of stroke on a patient's chronotype, there is a gap in understanding the differences in cognitive performance based on treatment timing. Study objectives: (a) To characterize the sleep chronotype in sub-acute post-stroke individuals. (b) Explore cognitive task performance differences during preferred and non-preferred hours. (c) Examine the relationships between sleep quality and cognitive performance. For this intra-subject study, twenty participants (mean age 60.2±8.6) post-first stroke (6-12 weeks post stroke) underwent assessments at preferred and non-preferred chronotypic times. The assessment included demographic surveys, the Munich Chronotype Questionnaire, Montreal Cognitive Assessment (MoCA), Rivermead Behavioral Memory Test (RBMT), a fatigue questionnaire, and 4-5 days of actigraphy (wrist-worn wGT3X-BT, ActiGraph) to record sleep characteristics. Four sleep quality indices were extracted from actigraphy wristwatch recordings: The average of total sleep time per day (minutes), the average number of awakenings during the sleep period per day, the efficiency of sleep (total hours of sleep per day divided by hours spent in bed per day, averaged across the days and presented as percentage), and the Wake after Sleep Onset (WASO) index, indicating the average number of minutes elapsed from the onset of sleep to the first awakening. Stroke survivors exhibited an earlier sleep chronotype post-injury compared to pre-injury. Enhanced attention, as indicated by higher RBMT scores, occurred during preferred hours. Specifically, 30% of the study participants demonstrated an elevation in their final scores during their preferred hours, transitioning from the category of "mild memory impairment" to "normal memory." However, no significant differences emerged in executive functions, attention tasks, and MoCA scores between preferred and non-preferred hours. The Wake After Sleep Onset (WASO) index correlated with MoCA/RBMT scores during preferred hours (r=0.53/0.51, p=0.021/0.027, respectively). The number of awakenings correlated with MoCA letter task performance during non-preferred hours (r=0.45, p=0.044). Enhanced attention during preferred hours suggests a potential relationship between chronotype and cognitive performance, highlighting the importance of personalized rehabilitation strategies in stroke care. Further exploration of these relationships could contribute to optimizing the timing of cognitive interventions for stroke survivors.

Keywords: sleep chronotype, chronobiology, circadian rhythm, rehabilitation timing

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Authors: Gadisa Demie, Mesele Negash, Zerihun Asrat, Lojka Bohdan

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Deforestation and forest degradation in the tropics have led to significant carbon (C) emissions. Agroforestry (AF) is a suitable land-use option for tackling such declines in ecosystem services, including climate change mitigation. However, it is unclear how biomass models, AF practices, and socio-ecological factors determine these roles, which hinders the implementation of climate change mitigation initiatives. This study aimed to estimate the ecosystem C stocks of the studied AF practices in relation to socio-ecological variables in central Ethiopia. Out of 243 AF farms inventoried, 108 were chosen at random from three AF practices to estimate their biomass and soil organic carbon. A total of 432 soil samples were collected from 0–30 and 30–60 cm soil depths; 216 samples were taken for each soil organic carbon fraction (%C) and bulk density computation. The study found that the currently developed allometric equations were the most accurate to estimate biomass C for trees growing in the landscape when compared to previous models. The study found higher overall biomass C in woodlots (165.62 Mg ha-¹) than in homegardens (134.07 Mg ha-¹) and parklands (19.98 Mg ha-¹). Conversely, overall, SOC was higher for homegardens (143.88 Mg ha-¹), but lower for parklands (53.42 Mg ha-¹). The ecosystem C stock was comparable between homegardens (277.95 Mg ha-¹) and woodlots (275.44 Mg ha-¹). The study found that elevation, wealthy levels, AF farm age, and size have a positive and significant (P < 0.05) effect on overall biomass and ecosystem C stocks but non-significant with slope (P > 0.05). Similarly, SOC increased with increasing elevation, AF farm age, and wealthy status but decreased with slope and non-significant with AF farm size. The study also showed that species diversity had a positive (P <0.05) effect on overall biomass C stocks in homegardens. The overall study highlights that AF practices have a great potential to lock up more carbon in biomass and soils; however, these potentials were determined by socioecological variables. Thus, these factors should be considered in management strategies that preserve trees in agricultural landscapes in order to mitigate climate change and support the livelihoods of farmers.

Keywords: agricultural landscape, biomass, climate change, soil organic carbon

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Authors: Razan Salem

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Gender plays a vital role in the stock markets because men and women differ in their behavior when investing in stocks. Accordingly, the role of gender differences in investment behavior is an increasingly important strand in the field of behavioral finance research. The investment behaviors of women relative to men have been examined in the behavioral finance literature, mainly for comparison purposes. Women's roles in the stock market have not been examined in the behavioral finance literature, however, particularly with respect to the Arab region. This study aims to contribute towards a better understanding of the investment behavior of Arab women (in regards to their risk tolerance, investment confidence, and investment literacy levels) relative to Arab men; using a sample from Arab women and men investors living in Saudi Arabia and Jordan. In order to achieve the study's main aim, the researcher used non-parametric tests, as Mann-Whitney U test, along with frequency distribution analysis to analyze the study’s primary data. The researcher distributed close-ended online questionnaires to a sample of 550 Arab male and female individuals investing in stocks in both Saudi Arabia and Jordan. The results confirm that the sample Arab women invest less in stocks compared to Arab men due to their risk-averse behaviors and limited confidence levels. The results also reveal that due to Arab women’s very low investment literacy levels, they fear from taking the risk and invest often in stocks relative to Arab men. Overall, the study’s main variables (risk tolerance, investment confidence, and investment literacy levels) have a combined effect on the investment behavior of Arab women and their limited participation in the stock market. Hence, this study is one of the very first studies that indicate the combined effect of the three main variables (which are usually studied separately in the existing literature) on the investment behavior of women, particularly Arab women. This study makes three important contributions to the growing literature on gender differences in investment behavior. First, while the behavioral finance literature documents evidence on gender differences in investment behaviors in many developed countries, there are very limited studies that investigate such differences in Arab countries. Arab women investors, generally, are ignored from the behavioral finance literature due probably to cultural barriers and data collection difficulties. Thus, this study extends the literature to include Arab women and their investment behaviors when trading stock relative to Arab men. Moreover, the study associates women investment literacy and confidence levels with their financial risk behaviors and participation in the stock market. This study provides direct evidence on Arab women's investment behaviors when trading stocks. Overall, studying Arab women investors is important to investigate whether the investment behavior identified for Western women investors are also found in Arab women investors.

Keywords: Arab women, gender differences, investment behavior, stock markets

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Authors: Titinan Pothong, Prasit Wangpakapattanawong, Stephen Elliott

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Shifting cultivation is an indigenous agricultural practice among upland people and has long been one of the major land-use systems in Southeast Asia. As a result, fallows and secondary forests have come to cover a large part of the region. However, they are increasingly being replaced by monocultures, such as corn cultivation. This is believed to be a main driver of deforestation and forest degradation, and one of the reasons behind the recurring winter smog crisis in Thailand and around Southeast Asia. Accurate biomass estimation of trees is important to quantify valuable carbon stocks and changes to these stocks in case of land use change. However, presently, Thailand lacks proper tools and optimal equations to quantify its carbon stocks, especially for secondary evergreen forests, including fallow areas after shifting cultivation and smaller trees with a diameter at breast height (DBH) of less than 5 cm. Developing new allometric equations to estimate biomass is urgently needed to accurately estimate and manage carbon storage in tropical secondary forests. This study established new equations using a destructive method at three study sites: approximately 50-year-old secondary forest, 4-year-old fallow, and 7-year-old fallow. Tree biomass was collected by harvesting 136 individual trees (including coppiced trees) from 23 species, with a DBH ranging from 1 to 31 cm. Oven-dried samples were sent for carbon analysis. Wood density was calculated from disk samples and samples collected with an increment borer from 79 species, including 35 species currently missing from the Global Wood Densities database. Several models were developed, showing that aboveground biomass (AGB) was strongly related to DBH, height (H), and wood density (WD). Including WD in the model was found to improve the accuracy of the AGB estimation. This study provides insights for reforestation management, and can be used to prepare baseline data for Thailand’s carbon stocks for the REDD+ and other carbon trading schemes. These may provide monetary incentives to stop illegal logging and deforestation for monoculture.

Keywords: aboveground biomass, allometric equation, carbon stock, secondary forest

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Authors: Monette S. De Castro, Veneranda A. Magpantay, Christine B. Adiova, Mark D. Arboleda

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One-hundred-layer chicken farmers were randomly selected and interviewed using structured questionnaires to assess the production system and management practices in layer chicken farms. The respondents belonged to the commercial scale operation. Results showed that the predominant rearing and housing systems were intensive/complete confinement and open-sided, while slatted was the common type of flooring used during the brood-grow period. Dekalb and Lohmann were the common chicken layer strains reared by farmers. The majority of commercial chicken layer farms preferred ready-to-lay (RTL) pullets as their replacement stocks. Selling was the easiest way for farmers to dispose of and utilize poultry manure, while veterinary waste and mortality were disposed of in pits. Biosecurity practices employed by the farmers conformed with the ASEAN Biosecurity Management Manual for Commercial Poultry Farming. Flies and odor were the major problems in most layer farms that are associated with their farm wastes. Therefore, the application of new technologies and husbandry practices through training and actual demonstrations could be implemented to further improve the layer chicken raising in the province.

Keywords: layer chicken farms, marketing, production system, waste management

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Authors: Aditya Sharma

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Profits earned from relative strength strategy of zero-cost portfolio i.e. taking long position in winner stocks and short position in loser stocks from recent past are termed as momentum profits. In recent times, there has been lot of controversy and concern about sources of momentum profits, since the existence of these profits acts as an evidence of earning non-normal returns from publicly available information directly contradicting Efficient Market Hypothesis. Literature review reveals conflicting theories and differing evidences on sources of momentum profits. This paper aims at re-examining the sources of momentum profits in Indian capital markets. The study focuses on assessing the effect of fundamental as well as behavioral sources in order to understand the role of investor behavior in stock returns and suggest (if any) improvements to existing behavioral asset pricing models. This Paper adopts calendar time methodology to calculate momentum profits for 6 different strategies with and without skipping a month between ranking and holding period. For each J/K strategy, under this methodology, at the beginning of each month t stocks are ranked on past j month’s average returns and sorted in descending order. Stocks in upper decile are termed winners and bottom decile as losers. After ranking long and short positions are taken in winner and loser stocks respectively and both portfolios are held for next k months, in such manner that at any given point of time we have K overlapping long and short portfolios each, ranked from t-1 month to t-K month. At the end of period, returns of both long and short portfolios are calculated by taking equally weighted average across all months. Long minus short returns (LMS) are momentum profits for each strategy. Post testing for momentum profits, to study the role market risk plays in momentum profits, CAPM and Fama French three factor model adjusted LMS returns are calculated. In the final phase of studying sources, decomposing methodology has been used for breaking up the profits into unconditional means, serial correlations, and cross-serial correlations. This methodology is unbiased, can be used with the decile-based methodology and helps to test the effect of behavioral and fundamental sources altogether. From all the analysis, it was found that momentum profits do exist in Indian capital markets with market risk playing little role in defining them. Also, it was observed that though momentum profits have multiple sources (risk, serial correlations, and cross-serial correlations), cross-serial correlations plays a major role in defining these profits. The study revealed that momentum profits do have multiple sources however, cross-serial correlations i.e. the effect of returns of other stocks play a major role. This means that in addition to studying the investors` reactions to the information of the same firm it is also important to study how they react to the information of other firms. The analysis confirms that investor behavior does play an important role in stock returns and incorporating both the aspects of investors’ reactions in behavioral asset pricing models help make then better.

Keywords: investor behavior, momentum effect, sources of momentum, stock returns

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Authors: Chimezie P. Nnanwa, Thomas C. Urama, Patrick O. Ezepue

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In this paper we use Random Matrix Theory to analyze the eigen-structure of the empirical correlations of 82 stocks which are consistently traded in the Nigerian Stock Exchange (NSE) over a 4-year study period 3 August 2009 to 26 August 2013. We apply the Marchenko-Pastur distribution of eigenvalues of a purely random matrix to investigate the presence of investment-pertinent information contained in the empirical correlation matrix of the selected stocks. We use hypothesised standard normal distribution of eigenvector components from RMT to assess deviations of the empirical eigenvectors to this distribution for different eigenvalues. We also use the Inverse Participation Ratio to measure the deviation of eigenvectors of the empirical correlation matrix from RMT results. These preliminary results on the dynamics of asset price correlations in the NSE are important for improving risk-return trade-offs associated with Markowitz’s portfolio optimization in the stock exchange, which is pursued in future work.

Keywords: correlation matrix, eigenvalue and eigenvector, inverse participation ratio, portfolio optimization, random matrix theory

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Authors: Radhika Ramanchi

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The oil market during 2014-2015 in India with large price fluctuations is very confusing to individual investor. The drop in oil prices supported stocks of some oil marketing companies (OMCs) like Bharat Petroleum Corporation, Hindustan Petroleum Corporation (HPCL) and Indian Oil Corporation etc their shares rose 84.74%, 128.63% and 59.16%, respectively. Lower oil prices, and lower current account, a smaller subsidy burden are the reasons for outperformance. On the other hand, lower crude prices giving downward pressure on upstream companies like Oil and Natural Gas Corp. Ltd (ONGC) and Reliance Petroleum (RIL) Oil India Ltd (OIL). Not having clarity on a subsidy sharing mechanism is the reason for downward trend on these stocks. Shares of ONGC and RIL have underperformed so far in 2015. When the oil price fall profits of the companies will effect, generate less money and may cut their dividends in Long run. In this situation this paper objective is to study investment strategies in oil marketing companies, by applying CAPM and Security Market Line.

Keywords: petrol industry, price fluctuations, sharp single index model, SML, Markowitz model

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Authors: Bashayer Almalki, Mayar Bajrai, Dana Mirah, Kholood Alghamdi, Hala Sanyour

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This research aims to investigate the features of an AI chess app that are most preferred by users. A questionnaire was used as the methodology to gather responses from a varied group of participants. The questionnaire consisted of several questions related to the features of the AI chess app. The responses were analyzed using descriptive statistics and factor analysis. The findings indicate that the most preferred features of an AI chess app are the ability to play against the computer, the option to adjust the difficulty level, and the availability of tutorials and puzzles. The results of this research could be useful for developers of AI chess apps to enhance the user experience and satisfaction.

Keywords: chess, game, application, computics

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Authors: Yi-Min Lan, Hung-Wen Cheng, Hsuan-Ling Chang, Jou-Ping Yu

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The study applies machine learning models to construct momentum strategies and utilizes the information coefficient as an indicator for selecting stocks with strong and weak momentum characteristics. Through this approach, the study has built investment portfolios capable of generating superior returns and conducted a thorough analysis. Compared to existing research on momentum strategies, machine learning is incorporated to capture non-linear interactions. This approach enhances the conventional stock selection process, which is often impeded by difficulties associated with timeliness, accuracy, and efficiency due to market risk factors. The study finds that implementing bidirectional momentum strategies outperforms unidirectional ones, and momentum factors with longer observation periods exhibit stronger correlations with returns. Optimizing the number of stocks in the portfolio while staying within a certain threshold leads to the highest level of excess returns. The study presents a novel framework for momentum strategies that enhances and improves the operational aspects of asset management. By introducing innovative financial technology applications to traditional investment strategies, this paper can demonstrate significant effectiveness.

Keywords: information coefficient, machine learning, momentum, portfolio, return prediction

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Authors: Abel L. Masotla, Phesheya E. Dlamini, Vusumuzi E. Mbanjwa

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Accurate quantification of the vertical distribution of soil organic carbon (SOC) in relation to land cover transformations, associated with shrub encroachment is crucial because deeper lying horizons have been shown to have greater capacity to sequester SOC. Despite this, in-depth soil carbon dynamics remain poorly understood, especially in arid and semi-arid rangelands. The objective of this study was to quantify and compare the vertical distribution of soil organic carbon stocks (SOCs) in shrub-encroached and open grassland sites. To achieve this, soil samples were collected vertically at 10 cm depth intervals under both sites. The results showed that SOC was on average 19% and 13% greater in the topsoil and subsoil respectively, under shrub-encroached grassland compared to open grassland. In both topsoil and subsoil, lower SOCs were found under shrub-encroached (4.53 kg m⁻² and 3.90 kgm⁻²) relative to open grassland (4.39 kgm⁻² and 3.67 kgm⁻²). These results demonstrate that deeper soil horizon play a critical role in the storage of SOC in savanna grassland.

Keywords: savanna grasslands, shrub-encroachment, soil organic carbon, vertical distribution

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Authors: Dongxue Li, Zhonghua Ning, Yi’na Li, Baoshan Cui, Wasner Daniel, Sebastian Dötterl

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Most of the world's coastal alluvial plains can be significant carbon (C) eservoirs in which upland sediments are deposited and bury former topsoil, thereby contributing to soil C preservation, especially in river-controlled deltas like the Yellow River Delta, China. These deltas are affected by the continuous large amount of sediment transport and strong river dynamics from the upper reaches, which makes the river course in the deltas change frequently. However, the impact of varying river course changes on C stocks in these estuary wetlands is unclear. To investigate this, we drilled five 2 m cores along a sediment deposition sequence of the Yellow River Delta, which shifted its main course flow in the delta several times throughout the 20th century. Covering 80 years of sediment deposition, we explored both soil C stocks and their potential sources, and identified key soil physicochemical and hydrometeorological variables that correlate to C density and deposition rate. Further, the spatiotemporal C distribution and its relationship with these variables was examined. Our results showed that sediments at a soil depth of 200 cm in the main courses of the Yellow River corresponded to deposition ages ranging from 1942 to 1989. The oldest course has the lowest C stocks and showed C-enriched compared with younger courses. Contributions of soil C stemming from fresh particulate organic carbon from deposited upstream sources were significantly higher than local, in-situ vegetation. In addition, the carbon of the oldest and relatively young courses tends to be affected by interaction effects of hydrometeorological and physiochemical varibales, and that of the middle courses tends to be affected by independent variables. Our findings can help prioritize conservation efforts across different river courses and provide quantitative support for global carbon emission reduction by assessing sediment carbon reservoirs.

Keywords: alluvial plains, coastal wetland, core drilling, course diversion, organic carbon, sediment deposition rate, soil deposition

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Authors: Emma M. Iglesias

Abstract:

We have analyzed extreme movements of the main stocks traded in the Eurozone in the 2000-2012 period. Our results can help future very-risk-averse investors to choose their portfolios in the Eurozone for risk management purposes. We find two main results. First, we can clearly classify firms by economic sector according to their different estimated VaR values in five of the seven countries we analyze. In special, we find sectors in general where companies have very high (telecommunications and banking) and very low (petroleum, utilities, energy and consumption) estimated VaR values. Second, we only find differences according to the geographical situation of where the stocks are traded in two countries: (1) all firms in the Irish stock market (the only financially rescued country we analyze) have very high estimated VaR values in all sectors; while (2) in Spain all firms have very low estimated VaR values including in the banking and the telecommunications sectors. All our results are supported when we study also the expected shortfall of the firms.

Keywords: risk management, firms, pareto tail thickness parameter, GARCH-type models, value-at-risk, extreme value theory, heavy tails, stock indexes, eurozone

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Authors: Frankie Burgos, Emely Munar, Conrado Basa

Abstract:

This paper aimed at developing an artificial neural network (ANN) model specifically for the Philippine Stock Exchange index closing value. The inputs to the ANN are US Dollar and Philippine Peso(USD-PHP) exchange rate, GDP growth of the country, quarterly inflation rate, 10-year bond yield, credit rating of the country, previous open, high, low, close values and volume of trade of the Philippine Stock Exchange Index (PSEi), gold price of the previous day, National Association of Securities Dealers Automated Quotations (NASDAQ), Standard and Poor’s 500 (S & P 500) and the iShares MSCI Philippines ETF (EPHE) previous closing value. The target is composed of the closing value of the PSEi during the 627 trading days from November 3, 2011, to May 30, 2014. MATLAB’s Neural Network toolbox was employed to create, train and simulate the network using multi-layer feed forward neural network with back-propagation algorithm. The results satisfactorily show that the neural network developed has the ability to model the PSEi, which is affected by both internal and external economic factors. It was found out that the inputs used are the main factors that influence the movement of the PSEi closing value.

Keywords: artificial neural networks, artificial intelligence, philippine stocks exchange index, stocks trading

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Authors: Din Eak Arathai

Abstract:

The purpose of this research report is to investigate the language choice and use among the young generation of Malaysian Thais community. Besides that, it aims to investigate if there is a difference in language choice across the different domains. It will also examine if there has been a language shift from Thai to other languages by the young generation of Thai community in Malaysia. First the study focuses on the proficiency of Thai and other languages used by hundred (100) respondents belonging to young generation of Malaysian Thais aged range from 18-35. Next, language use and choice will be presented with a focus on the domains of family, friendship, entertainment and social. Finally, based on the findings and data collected, we will be able to see if language shift from Thai to other languages has occurred among the young Thai generation in Malaysia. The instrument used in this study was a 30-item questionnaire and the findings of the data analysis were presented in the form of frequency counts and percentages. The findings found that Thai language remains the most preferred language of choice among young Malaysian Thais but usage of other languages, such as Malay, English and Mandarin has increased and begun to influence the language choice of young Malaysian Thais and their proficiency of their mother tongue.In all the domains studied, Thai is almost exclusively the preferred language used when communicating with family. Malay is the most preferred language in communicating with friends while English is the most preferred language when communicating with colleagues. With regards to social and entertainment activities, young Malaysian Thais show great affinity for entertainment in the Thai language. In conclusion, the result of the study showed the beginning of young Malaysian Thais shifting to other languages, especially English and Malay through their daily choices when communicating with friends and family and especially through their language preferences in entertainment.

Keywords: language choice, language use, language shift, language maintenance, young Malaysian Thais, code switching, code mixing

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Authors: Riffat Sultana, Ahmed Ali Samejo

Abstract:

Desert Locust is a critical pest of crop and non-crop plants throughout the old world including Pakistan. Geographically, this pest invades 31 million km2 in about 60 countries during the gregarious phase which may bring calamity. The present study is carried out in order to conduct field observations on oviposition behavior from Thar Desert, Pakistan. Females preferred loose soil for oviposition rather than packed or hard soil. The depth of egg pods inside the soil was measured up to 8.996±1.40 cm, and duration of egg laying was measured up to 105.9±26.4 min. Besides this, an insightful recognition has been made that the solitary females oviposited predominantly in the vicinity of pearl millet (Pennisetum glaucum) and guar or cluster bean (Cyamopsis tetragonoloba) crops in cultivated fields while in uncultivated land preferred the surroundings of bekar grass (Indigofera caerulea) and snow bush (Aerva javanica). It was also observed that nymphs preferred to feed on these host plants. Furthermore, experimental outcomes indicated that gravid females oviposited on the bottom of perforated plastic cages while, they did not find suitable soil for oviposition.

Keywords: calamity, cultivated fields, desert locust, host plants, oviposition behavior

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Authors: Edson Vengesai

Abstract:

Derivative products have become essential instruments in portfolio diversification, price discovery, and, most importantly, risk hedging. Derivatives are complex instruments; their valuation, volatility implications, and real impact on the underlying assets' behaviour are not well understood. Little is documented empirically, with conflicting conclusions on how these instruments affect firm risk exposures. Given the growing interest in using derivatives in risk management and portfolio engineering, this study examines the practical impact of derivative usage on the underlying stock price exposure and systematic risk. The paper uses data from South African listed firms. The study employs GARCH models to understand the effect of derivative uses on conditional stock volatility. The GMM models are used to estimate the effect of derivatives use on stocks' systematic risk as measured by Beta and on the total risk of stocks as measured by the standard deviation of returns. The results provide evidence on whether derivatives use is instrumental in reducing stock returns' systematic and total risk. The results are subjected to numerous controls for robustness, including financial leverage, firm size, growth opportunities, and macroeconomic effects.

Keywords: derivatives use, hedging, volatility, stock price exposure

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Authors: Mia Françoise

Abstract:

This report aims to develop a strategy for assisting short-term investors to benefit from the current economic climate in South Africa by utilizing technical analysis techniques and predictive analytics. As part of this research, value investing and technical analysis principles will be combined to maximize returns for South African investors while optimizing volatility. As an emerging market, South Africa offers many opportunities for high growth in sectors where other developed countries cannot grow at the same rate. Investing in South African companies with significant growth potential can be extremely rewarding. Although the risk involved is more significant in countries with less developed markets and infrastructure, there is more room for growth in these countries. According to recent research, the offshore market is expected to outperform the local market over the long term; however, short-term investments in the local market will likely be more profitable, as the Johannesburg Stock Exchange is predicted to outperform the S&P500 over the short term. The instabilities in the economy contribute to increased market volatility, which can benefit investors if appropriately utilized. Price prediction and portfolio optimization comprise the two primary components of this methodology. As part of this process, statistics and other predictive modeling techniques will be used to predict the future performance of stocks listed on the Johannesburg Stock Exchange. Following predictive data analysis, Modern Portfolio Theory, based on Markowitz's Mean-Variance Theorem, will be applied to optimize the allocation of assets within an investment portfolio. By combining different assets within an investment portfolio, this optimization method produces a portfolio with an optimal ratio of expected risk to expected return. This methodology aims to provide a short-term investment with a stock portfolio that offers the best risk-to-return profile for stocks listed on the JSE by combining price prediction and portfolio optimization.

Keywords: financial stocks, optimized asset allocation, prediction modelling, South Africa

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Authors: Petar Dobrev

Abstract:

There is no agreed-upon definition of firm quality. While profitability and stock performance often qualify as popular proxies of quality, in this project, we aim to identify quality without relying on a firm’s financial statements or stock returns as selection criteria. Instead, we use firm-level data on management practices across small to medium-sized U.S. manufacturing firms from the World Management Survey (WMS) to measure firm quality. Each firm in the WMS dataset is assigned a mean management score from 0 to 5, with higher scores identifying better-managed firms. This management score serves as our proxy for firm quality and is the sole criteria we use to separate firms into portfolios comprised of high-quality and low-quality firms. We define high-quality (low-quality) firms as those firms with a management score of one standard deviation above (below) the mean. To study whether this proxy for firm quality can identify better-performing firms, we link this data to Compustat and The Center for Research in Security Prices (CRSP) to obtain firm-level data on financial performance and monthly stock returns, respectively. We find that from 1999 to 2019 (our sample data period), firms in the high-quality portfolio are consistently more profitable — higher operating profitability and return on equity compared to low-quality firms. In addition, high-quality firms also exhibit a lower risk of bankruptcy — a higher Altman Z-score. Next, we test whether the stocks of the firms in the high-quality portfolio earn superior risk-adjusted excess returns. We regress the monthly excess returns on each portfolio on the Fama-French 3-factor, 4-factor, and 5-factor models, the betting-against-beta factor, and the quality-minus-junk factor. We find no statistically significant differences in excess returns between both portfolios, suggesting that stocks of high-quality (well managed) firms do not earn superior risk-adjusted returns compared to low-quality (poorly managed) firms. In short, our proxy for firm quality, the WMS management score, can identify firms with superior financial performance (higher profitability and reduced risk of bankruptcy). However, our management proxy cannot identify stocks that earn superior risk-adjusted returns, suggesting no statistically significant relationship between managerial quality and stock performance.

Keywords: excess stock returns, management, profitability, quality

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