Search results for: cost and returns

Authors: Indu Bala Sethi, Meena Sewhag, Rakesh Kumar, Parveen Kumar

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Field experiment was conducted at Pulse Research Area of CCS Haryana Agricultural University, Hisar during rabi 2012-13 to study the economics of chickpea cultivars as influenced by sowing time and seed rate on sandy loam soils under irrigated conditions. The factorial experiment consisting of 24 treatment combinations with two sowing time (1st fortnight of November and 1st fortnight of December.) and four cultivars (H09-23, H08-18, C-235 and HC-1) kept in main plots while three seed rates viz. 40 kg ha-1, 50 kg ha-1 and 60 kg ha-1 was laid out in split plot design with three replications. The crop was sown with common row spacing of 30 cm as per the dates of sowing. The fertilizer was applied in the form of di- ammonium phosphate. The soil of the experimental site was deep sandy loam having pH of 7.9, EC of 0.13 dS/m and low in organic carbon (0.34%), low in available N status (193.36 kg ha-1), medium in available P2O5 (32.18 kg ha-1) and high in available K2O (249.67 kg ha-1). The crop was irrigated as and when required so as to maintain adequate soil moisture in the root zone The crop was sprayed with monocrotophos (1.25 l/ha) at initiation of flowering and at pod filling stage to protect the crop from pod borer attack. The yield was measured at the time of harvest. The cost of field preparation, sowing of seeds, thinning, weeding, plant protection, harvesting and cleaning contributed to fixed cost. The experiment was laid out in a split plot design with two sowing time (1st fortnight of November and 1st fortnight of December.) and four cultivars (H09-23, H08-18, C-235 and HC-1) kept in main plots while three seed rates viz. 40 kg ha-1, 50 kg ha-1 and 60 kg ha-1 were kept in subplots and replicated thrice. Results revealed that 1st fortnight of November sowing recorded significantly higher gross (Rs.1, 01,254 ha-1), net returns (Rs. 68,504 ha-1) and BC (3.09) ratio as compared to delayed crop of chickpea. Highest gross (Rs.91826 ha-1), net returns (Rs. 59076ha-1) and BC ratio (2.81) was recorded with H08-18. Higher value of cost of cultivation of chickpea was observed in higher seed rate than the lower ones. However no significant variation in net and gross returns was observed due to seed rates. Highest BC (2.72) ratio was recorded with 50 kg ha-1 which differs significantly from 60 kg ha-1 but was at par with 40 kg ha-1. This is because of higher grain yield obtained with 50 kg ha-1 seed rate. Net profit for farmers growing chickpea with seed rate of 50 kg ha-1 was higher than the farmers growing chickpea with seed rate of 40 and 60 kg ha.

Keywords: chickpea, cultivars, seed rate, sowing time

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Authors: Manel Youssef, Lotfi Belkacem

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This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

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Authors: Ubon Asuquo Essien, Okwudili Bismark Ibeagwa, Daberechi Peace Ubabuko

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The Broiler Poultry subsector is dominated by small scale production with low aggregate output. The high cost of inputs currently experienced in Nigeria tends to aggravate the situation; hence many broiler farmers struggle to break-even. This study was designed to examine income and input factors in small scale deep liter broiler production in Imo state, Nigeria. Specifically, the study examined; socio-economic characteristics of small scale deep liter broiler producing Poultry farmers; estimate cost and returns of broiler production in the area; analyze input factors in broiler production in the area and examined marketability, age and profitability of the enterprise. A multi-stage sampling technique was adopted in selecting 60 small scale broiler farmers who use deep liter system from 6 communities through the use of structured questionnaire. The socioeconomic characteristics of the broiler farmers and the profitability/ marketability age of the birds were described using descriptive statistical tools such as frequencies, means and percentages. Gross margin analysis was used to analyze the cost and returns to broiler production, while Cobb Douglas production function was employed to analyze input factors in broiler production. The result of the study revealed that the cost of feed (P<0.1), deep liter material (P<0.05) and medication (P<0.05) had a significant positive relationship with the gross return of broiler farmers in the study area, while cost of labour, fuel and day old chicks were not significant. Furthermore, Gross profit margin of the farmers who market their broiler at the 8th week of rearing was 80.7%; and 78.7% and 60.8% for farmers who market at the 10th week and 12th week of rearing, respectively. The business is, therefore, profitable but at varying degree. Government and Development partners should make deliberate efforts to curb the current rise in the prices of poultry feeds, drugs and timber materials used as bedding so as to widen the profit margin and encourage more farmers to go into the business. The farmers equally need more technical assistance from extension agents with regards to timely and profitable marketing.

Keywords: broilers, factor analysis, income, small scale

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Authors: Petar Dobrev

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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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Authors: Kamran Baksh Soomro, Amin Talei, Sina Alaghmand

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Due to the declining freshwater availability to agriculture in many areas, the utilization of saline irrigation requires more consideration. For this purpose, the effects of saline irrigation on the economics of crop yield and soil salinity should be understood. A two-year field experiment was carried out during 2017-18 with three replications to investigate the effect of saline groundwater on the economics of bitter gourd production and soil salinity status after harvesting the crop. Two irrigation treatments, i.e., fresh quality irrigation water (IT₁ EC 0.56 dS.m⁻¹ (control) and other is saline groundwater ( IT₂ EC 2.56 dS.m⁻¹) were used under drip system of irrigation. Cost-benefit analysis is often used to assess adaptation approaches. In this study, it has been observed that the salts under IT₁ (fresh quality water) and IT₂ (saline groundwater) did not accumulate in the wetted zone. However, the salts were observed deposited at wetted periphery under both the treatments after the crop end at all the three sampling depths under drip system of irrigation. Moreover, the costs and benefits associated with different irrigation treatments for two consecutive seasons for bitter-gourd cultivation were also investigated, and it was found that the average gross returns per hectare in season 1 were USD 5008.22 and 4454.78 under irrigation treatment IT₁ and IT₂ respectively. Whereas in season 2 the average gross returns per hectare were 3713.47 and 3140.51 under IT₁ and IT₂ respectively.

Keywords: ground-water, soil salinity, drip irrigation, wetted zone, wetted periphery, cost benefit analysis

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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: Roman Asatryan

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The decision-making processes in Corporate Social Responsibility (CSR) among firms in general and airlines in particular have to do with the benefits that accrue through those investments. The crux of the matter is not whether to invest in CSR or not, but rather, how firms can quantify the benefits derived from such investments. This paper analyzes the cost benefit adjustment strategies for firms in the airline industry in their CSR strategy adoption and implementation. The adjustment strategies identified will enable firms in the airline industry to have a basis for determining the worth of such CSR investments. This paper discusses the cost and benefit analysis model in order to understand the ways airlines can reduce costs and increase returns on CSR, or balance the cost and benefits. The analysis from this study points to the fact that economic concepts especially the CBA are useful, though they are not without challenges. The challenge arises when it is problematic to express the real impact of the externality in monetary terms. The use of rational maximization of the gains may seem to be a rather optimistic goal mainly because of environmental variability, perceptual uncertainty, and imperfect knowledge about the potential externality. This paper concludes that the CBA model gives a basic understanding of the motivations for investing in intangible assets like CSR. Consequently, it sets the tone for formulating relevant hypothesis in empirical studies in investment in CSR in particular and other intangible assets in business operations.

Keywords: cost-benefit analysis, corporate social responsibility, airline industry

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Authors: Reza Lotfalian, Sudarshan Martins, Peter Radziszewski

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The effect of reliability on life-cycle cost, including initial and maintenance cost of a system is studied. The failure probability of a component is used to calculate the average maintenance cost during the operation cycle of the component. The standard deviation of the life-cycle cost is also calculated as an error measure for the average life-cycle cost. As a numerical example, the model is used to study the average life cycle cost of an electric motor.

Keywords: initial cost, life-cycle cost, maintenance cost, reliability

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Authors: Manoel Pereira, Alvaro Veiga, Camila Epprecht, Renato Costa

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This paper introduces an empirical version of the Esscher transform for risk-neutral option pricing. Traditional parametric methods require the formulation of an explicit risk-neutral model and are operational only for a few probability distributions for the returns of the underlying. In our proposal, we make only mild assumptions on the pricing kernel and there is no need for the formulation of the risk-neutral model for the returns. First, we simulate sample paths for the returns under the physical distribution. Then, based on the empirical Esscher transform, the sample is reweighted, giving rise to a risk-neutralized sample from which derivative prices can be obtained by a weighted sum of the options pay-offs in each path. We compare our proposal with some traditional parametric pricing methods in four experiments with artificial and real data.

Keywords: esscher transform, generalized autoregressive Conditional Heteroscedastic (GARCH), nonparametric option pricing

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Authors: Belhouchet Selma, Ben Amar Anis

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We examine the impact of COVID-19 transmission, containment measures, and vaccination growth on daily stock market returns for the G7 countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) from January 22, 2020, to August 31, 2021, more than a year and a half after COVID-19. For this objective, we use panel pooled ordinary least squares regressions. Our findings indicate that the spread of the pandemic has a negative impact on the daily performance of the world's seven main stock markets. Government measures to improve stock market returns are no longer successful. Furthermore, our findings demonstrate that immunization efforts in G7 nations do not increase stock market performance in these countries. A variety of robustness tests back up our conclusions. Our findings have far-reaching implications for investors, governments, and regulators not only in the G7 countries but also in all developed countries and all countries globally.

Keywords: COVID-19, G7 stock market, containment measures, vaccination

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Authors: Shu-Han Hsu, Jiho Yoon, Chwen Sheu

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With the rapidly growing of blockchain technology and cryptocurrency, various industries which include tourism has added in cryptocurrency as the payment method of their transaction. More and more tourism companies accept payments in digital currency for flights, hotel reservations, transportation, and more. For travellers and tourists, using cryptocurrency as a payment method has become a way to circumvent costs and prevent risks. Understanding volatility dynamics and interdependencies between standard currency and cryptocurrency is important for appropriate financial risk management to assist policy-makers and investors in marking more informed decisions. The purpose of this paper has been to understand and explain the risk spillover effects between six major cryptocurrencies and the top ten most traded standard currencies. Using data for the daily closing price of cryptocurrencies and currency exchange rates from 7 August 2015 to 10 December 2019, with 1,133 observations. The diagonal BEKK model was used to analyze the co-volatility spillover effects between cryptocurrency returns and exchange rate returns, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility. The empirical results show there are co-volatility spillover effects between the cryptocurrency returns and GBP/USD, CNY/USD and MXN/USD exchange rate returns. Therefore, currencies (British Pound, Chinese Yuan and Mexican Peso) and cryptocurrencies (Bitcoin, Ethereum, Ripple, Tether, Litecoin and Stellar) are suitable for constructing a financial portfolio from an optimal risk management perspective and also for dynamic hedging purposes.

Keywords: blockchain, co-volatility effects, cryptocurrencies, diagonal BEKK model, exchange rates, risk spillovers

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Authors: Ly Nguyen, Vidit Munshi

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During the Covid-19 recession, the United States government has implemented several instruments to mitigate the impacts and revitalize the economy. This paper explores the effects of the various government policy decisions on stock returns, housing prices, and investor psychology during the pandemic in the United States. A numerous previous literature studies on this subject, yet very few focus on the context similar to what we are currently experiencing. Our monthly data covering the period from January 2019 through July 2021 were collected from Datastream. Utilizing the VAR model, we document a dynamic relationship between the market and policy actions throughout the period. In particular, the movements of Unemployment, Stock returns, and Housing prices are strongly sensitive to changes in government policies. Our results also indicate that changes in production level, stock returns, and interest rates decisions influence how investors perceived future market risk and expectations. We do not find any significant nexus between monetary and fiscal policy. Our findings imply that information on government policy and stock market performance provide useful feedback to one another in order to make better decisions in the current and future pandemic. Understanding how the market responds to a shift in government practices has important implications for authorities in implementing policy to avoid assets bubbles and market overreactions. The paper also provides useful implications for investors in evaluating the effectiveness of different policies and diversifying portfolios to minimize systematic risk and maximize returns.

Keywords: Covid-19 recession, United States, government policies, investor psychology, housing prices, stock market returns

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Authors: Mohsin Sadaqat, Hilal Anwar Butt

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Following the stock selection guidelines provided by the Sharia Board (SB), we segregate the firms listed at Pakistan Stock Exchange (PSX) into Sharia Compliant (SC) and Non-Sharia Compliant (NSC) stocks. Subsequently, we form portfolios within each group based on market capitalization and volatility. The purpose is to analyze and compare the performance of these two groups as the SC stocks have lesser diversification opportunities due to SB restrictions. Using data ranging from January 2004 until June 2016, our results indicate that in most of the cases the risk-adjusted returns (alphas) for the returns differential between SC and NCS firms are positive. In addition, the SC firms in comparison to their counterparts in PSX provides excess returns that are hedged against the market, size, and value-based systematic risks factors. Overall, these results reconcile with one prevailing notion that the SC stocks that have lower financial leverage and higher investment in real assets are lesser exposed to market-based risks. Further, the SC firms that are more capitalized and less volatile, perform better than lower capitalized and higher volatile SC and NSC firms. To sum up our results, we do not find any substantial evidence for opportunity loss due to limited diversification opportunities in case of SC firms. To optimally utilize scarce resources, investors should consider SC firms as a candidate in portfolio construction.

Keywords: diversification, performance, sharia compliant stocks, risk adjusted returns

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Authors: Taisier A. Zoubi, Feras Salama, Mahmud Hossain, Yass A. Alkafaji

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The purpose of this study is to examine the equity pricing of other comprehensive income when earnings are disaggregated into several components. Our findings indicate that other comprehensive income can better explain variation in stock returns when net income is reported in a disaggregated form. Additionally, we found that disaggregating both net income and other comprehensive income can explain more of the variation in the stock returns than the two summary components of comprehensive income. Our results survive a series of robustness checks.

Keywords: market valuation, other comprehensive income, value-relevance, incremental information content

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Authors: Pavak Vyas, Hiral Vyas

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Spin-offs commonly known as demergers in India, represents dismantling of conglomerates which is a common phenomenon in financial markets across the world. Demergers are carried out with different motives. A demerger generally refers to a corporate restructuring where, a large company divests its stake in in its subsidiary and distributes the shares of the subsidiary - demerged entity to the existing shareholders without any consideration. Demergers in Indian companies are over a decade old phenomena, with many companies opting for the same. This study examines the demerger regulations in Indian capital markets and the announcement period price reaction of demergers during year 2010-2015. We study total 97 demerger announcements by companies listed in India and try to establish that demergers results into abnormal returns for the shareholders of the parent company. Using event study methodology we have analyzed the security price performance of the announcement day effect 10 days prior to announcement to 10 days post demerger announcement. We find significant out-performance of the security over the benchmark index post demerger announcements. The cumulative average abnormal returns range from 3.71% on the day of announcement of a private demerger to 2.08% following 10 days surrounding the announcement, and cumulative average abnormal returns range from 5.67% on the day of announcement of a public demerger to 4.15% following10 days surrounding the announcement.

Keywords: demergers, event study, spin offs, stock returns

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Authors: Babatunde Akeem Lawal

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In any organization, the primary aim is to maximize profit, but the major challenges facing them is the increase in cost of operation because of this there is increase in cost of production that could lead to inevitable cost control and cost reduction scheme which make it difficult for most organizations to operate at the cost efficient frontier. The study aims to critically examine and evaluate the application of cost control and cost reduction in organization performance and also to review budget as an effective tool of cost control and cost reduction. A descriptive survey research was adopted. A total number of 40 respondent retrieved were used for the study. The analysis of data collected was undertaken by applying appropriate statistical tools. Regression analysis was used to test the hypothesis with the use of SPSS. Based on the findings; it was evident that cost control has a positive impact on organizational performance and also the style of management has a positive impact on organizational performance.

Keywords: organization, cost reduction, cost control, performance, budget, profit

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Authors: Chayanika Rout, Debjani Chakraborty, Adrijit Goswami

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Our work presents an inventory model which illustrates imperfect production and imperfect inspection processes for deteriorating items. A cost-minimizing model is studied considering two types of inspection errors, namely, Type I error of falsely screening out a proportion of non-defects, thereby passing them on for rework and Type II error of falsely not screening out a proportion of defects, thus selling those to customers which incurs a penalty cost. The screened items are reworked; however, no returns are entertained due to deteriorating nature of the items. In more practical situations, certain parameters such as the demand rate and the deterioration rate of inventory cannot be accurately determined, and therefore, they are assumed to be triangular fuzzy numbers in our model. We calculate the optimal lot size that must be produced in order to minimize the total inventory cost for both the crisp and the fuzzy models. A numerical example is also considered to exemplify the procedure which is followed by the analysis of sensitivity of various parameters on the decision variable and the objective function.

Keywords: deteriorating items, EPQ, imperfect quality, rework, type I and type II inspection errors

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Authors: Remzi Saltoglu, Nazmia Humaira, Gokhan Inalhan

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During aircraft maintenance scheduling, operator calculates the budget of the maintenance. Usually, this calculation includes only the costs that are directly related to the maintenance process such as cost of labor, material, and equipment. In some cases, overhead cost is also included. However, in some of those, downtime cost is neglected claiming that grounding is a natural fact of maintenance; therefore, it is not considered as part of the analytical decision-making process. Based on the normalized data, we introduce downtime cost with its monetary value and add its seasonal character. We envision that the rest of the model, which works together with the downtime cost, could be checked with the real life cases, through the review of MRO cost and airline spending in the particular and scheduled maintenance events.

Keywords: aircraft maintenance, downtime, downtime cost, maintenance cost

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Authors: Ratna Kuswardani

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This paper aims to study the impact of recent Global Financial Crisis (GFC) on 6 selected emerging Asian economies (Indonesia, Malaysia, Thailand, Philippines, Singapore, and South Korea). We first figure out the contagion of GFC from the US and Europe to the selected emerging Asian countries by studying the tail dependence of market stock returns between those countries. We apply the concept of Extreme Value Theory (EVT) to model the dependence between multiple returns series of variables under examination. We explore the factors causing the contagion between the regions. We find dependencies between markets that are influenced by their size, especially for large markets in emerging Asian countries that tend to have a higher dependency to the market in the more advanced country such as the U.S. and some countries in Europe. The results also suggest that the dependencies between market returns and bank stock returns in the same region tend to be higher than dependencies between these returns across two different regions. We extend our analysis by studying the impact of GFC on the systemic in the banking system. We also find that larger institution has more dependencies with the market stock, suggesting that larger size bank can cause disruption in the market. Further, the higher probability of extreme loss can be seen during the crisis period, which is shown by the non-linear dependency between the pre-crisis and the post-crisis period. Finally, our analysis suggests that systemic risk appears in the domestic banking systems in emerging Asia, as shown by the extreme dependencies within banks in the system. Overall, our results provide caution to policy makers and investors alike on the possible contagion of the impact of global financial crisis across different markets.

Keywords: contagion, extreme value theory, global financial crisis, systemic risk

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Authors: Kaleem Ullah, Abd Halid Bin Abdullah

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This study examines previous literature on cost overrun in construction projects with the specific aim of determining the frequently observed causes of cost overruns in Malaysian construction projects. Cost overrun is one of the major problems in construction projects. Cost overrun is frequently observed in almost every construction projects. This cost overrun in construction projects occurs due to various reasons and many researchers have carried out various studies to identify the cause factors of this issue. The causes of construction cost overrun could vary from country to country because of the difference in political, economic, social and environmental conditions. Likewise, other countries construction projects in Malaysia have also the issue of cost overrun. The concept of cost overrun in construction projects has attracted much attention in recent years and researches are trying to understand the causes of these overruns and their effects to the construction industry as whole. This paper review various research studies carried out in Malaysia which surveyed the cost performance and cause factors of cost overruns in construction projects in Malaysia.

Keywords: cause of cost overrun, cost overrun, construction industry in Malaysia, effects of cost overrun

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Authors: Hamid Rostami Jaz, Kamran Ameri Siahooei

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Up to now different methods have been used to forecast the index returns and the index rate. Artificial intelligence and artificial neural networks have been one of the methods of index returns forecasting. This study attempts to carry out a comparative study on the performance of different Radial Base Neural Network and Feed-Forward Perceptron Neural Network to forecast investment returns on the index. To achieve this goal, the return on investment in Tehran Stock Exchange index is evaluated and the performance of Radial Base Neural Network and Feed-Forward Perceptron Neural Network are compared. Neural networks performance test is applied based on the least square error in two approaches of in-sample and out-of-sample. The research results show the superiority of the radial base neural network in the in-sample approach and the superiority of perceptron neural network in the out-of-sample approach.

Keywords: exchange index, forecasting, perceptron neural network, Tehran stock exchange

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Authors: V. S. S. Kumar, B. Vikram, G. C. S. Reddy

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Time and cost are the two critical objectives of construction project management and are not independent but intricately related. Trade-off between project duration and cost are extensively discussed during project scheduling because of practical relevance. Generally when the project duration is compressed, the project calls for an increase in labor and more productive equipments, which increases the cost. Thus, the construction time-cost optimization is defined as a process to identify suitable construction activities for speeding up to attain the best possible savings in both time and cost. As there is hidden tradeoff relationship between project time and cost, it might be difficult to predict whether the total cost would increase or decrease as a result of compressing the schedule. Different combinations of duration and cost for the activities associated with the project determine the best set in the time-cost optimization. Therefore, the contractors need to select the best combination of time and cost to perform each activity, all of which will ultimately determine the project duration and cost. In this paper, the fuzzy set theory is used to model the uncertainties in the project environment for time-cost trade off analysis.

Keywords: fuzzy sets, uncertainty, qualitative factors, decision making

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Authors: Michael A. Sprayberry, Vincent C. Paquit

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Process parameter optimization in metal powder bed electron beam melting (MPBEBM) is crucial to ensure the technology's repeatability, control, and industry-continued adoption. Despite continued efforts to address the challenges via the traditional design of experiments and process mapping techniques, there needs to be more successful in an on-the-fly optimization framework that can be adapted to MPBEBM systems. Additionally, data-intensive physics-based modeling and simulation methods are difficult to support by a metal AM alloy or system due to cost restrictions. To mitigate the challenge of resource-intensive experiments and models, this paper introduces a Multi-Objective Reinforcement Learning (MORL) methodology defined as an optimization problem for MPBEBM. An off-policy MORL framework based on policy gradient is proposed to discover optimal sets of beam power (P) – beam velocity (v) combinations to maintain a steady-state melt pool depth and phase transformation. For this, an experimentally validated Eagar-Tsai melt pool model is used to simulate the MPBEBM environment, where the beam acts as the agent across the P – v space to maximize returns for the uncertain powder bed environment producing a melt pool and phase transformation closer to the optimum. The culmination of the training process yields a set of process parameters {power, speed, hatch spacing, layer depth, and preheat} where the state (P,v) with the highest returns corresponds to a refined process parameter mapping. The resultant objects and mapping of returns to the P-v space show convergence with experimental observations. The framework, therefore, provides a model-free multi-objective approach to discovery without the need for trial-and-error experiments.

Keywords: additive manufacturing, metal powder bed fusion, reinforcement learning, process parameter optimization

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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: Onur Arugaslan, Ajay Samant, Devrim Yaman

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Financial advisors and investors seek new assets which could potentially increase portfolio returns and decrease portfolio risk. Cryptocurrencies represent a relatively new asset class which could serve in both these roles. There has been very little research done in the area of the risk/return tradeoff in a portfolio consisting of fixed income assets, stocks, and cryptocurrency. The objective of this study is a rigorous examination of this issue. The data used in the study are the monthly returns on 4-week US Treasury Bills, S&P Investment Grade Corporate Bond Index, Bitcoin and the S&P 500 Stock Index. The methodology used in the study is the application Modern Portfolio Theory to evaluate the risk-adjusted returns of portfolios with varying combinations of these assets, using Sharpe, Treynor and Jensen Indexes, as well as the Sortino and Modigliani measures. The results of the study would include the ranking of various investment portfolios based on their risk/return characteristics. The conclusions of the study would include objective empirical inference for investors who are interested in including cryptocurrency in their asset portfolios but are unsure of the risk/return implications.

Keywords: financial economics, portfolio diversification, fixed income securities, cryptocurrency, stock indexes

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Authors: Picha Sriprachan

Abstract:

The increase in electricity prices affects the cost of high-rise building construction. The objectives of this research are to study the electrical cost, trend of electrical cost and to forecast electrical cost of high-rise building construction. The methods of this research are: 1) to study electrical payment formats, cost data collection methods, and the factors affecting electrical cost of high-rise building construction, 2) to study the quantity and trend of cumulative percentage of the electrical cost, and 3) to forecast the electrical cost for different types of high-rise buildings. The results of this research show that the average proportion between electrical cost and the value of the construction project is 0.87 percent. The proportion of electrical cost for residential, office and commercial, and hotel buildings are closely proportional. If construction project value increases, the proportion of electrical cost and the value of the construction project will decrease. However, there is a relationship between the amount of electrical cost and the value of the construction project. During the structural construction phase, the amount of electrical cost will increase and during structural and architectural construction phase, electrical cost will be maximum. The cumulative percentage of the electrical cost is related to the cumulative percentage of the high-rise building construction cost in the same direction. The amount of service space of the building, number of floors and the duration of the construction affect the electrical cost of construction. The electrical cost of construction forecasted by using linear regression equation is close to the electrical cost forecasted by using the proportion of electrical cost and value of the project.

Keywords: high-rise building construction, electrical cost, construction phase, architectural phase

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Authors: Ibrahim Mahamid, A. Al-Ghonamy, M. Aichouni

Abstract:

This study is conducted to identify causes of cost deviations in public construction projects in Saudi Arabia from contractors’ perspective. 41 factors that might affect cost estimating accuracy were identified through literature review and discussion with some construction experts. The factors were tabulated in a questionnaire form and a field survey included 51 contractors from the Northern Province of Saudi Arabia was performed. The results show that the top five important causes are: wrong estimation method, long period between design and time of implementation, cost of labor, cost of machinary and absence of construction-cost data.

Keywords: cost deviation, public construction, cost estimating, Saudi Arabia, contractors

Procedia PDF Downloads 433

Authors: Clyde Haruzivi, Olusegun Oyebade Ikusika, Thando Conference Mpendulo

Abstract:

Feed scarcity, increasing demand for animal products due to the growing human population, competition for conventional feed resources for humans and animal production, and ever-increasing prices of these feed resources are major constraints to the livestock industry in Sub-Saharan Africa. As a result, the industry is suffering immensely as the cost of production is high, hence the reduced returns. Most affected are the communal and resource-limited farmers who cannot afford the cost of conventional feed resources to supplement feeds, especially in arid and semi-arid areas where the available feed resources are not adequate for maintenance and production. This has tasked researchers and animal scientists to focus on the potential of non-conventional feed resources (NCFRs). Non-conventional feed resources could fill the gap through reduced competition, cost of feed, increased supply, increased profits, and independency as farmers will be utilizing locally available feed resources. Identifying available non-conventional feed resources is vital as it creates possibilities for novel feed industries and markets and implements methods of using these feedstuffs to improve livestock production and livelihoods in Sub-Saharan Africa. Hence, this research work analyses the progress, challenges, and prospects of some non-conventional feed resources in Sub-Saharan Africa.

Keywords: non-conventional, feed resources, livestock production, food security, Sub-Saharan

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Authors: Zohreh Soltani, Seyedmohammadhossein Hosseinian

Abstract:

Reduction of energy consumption in built infrastructure, through the installation of energy-efficient technologies, is a major approach to achieving sustainability. In practice, the viability of energy efficiency projects strongly depends on the cost reimbursement and profitability. These projects are subject to failure if the actual cost savings do not reimburse the project cost in a timely manner. In such cases, refinancing could be a solution to benefit from the long-term returns of the project if implemented wisely. However, very little is still known about the effect of refinancing options on financial performance of energy efficiency projects. To fill this gap, the present study investigates the financial behavior of energy efficiency projects with focus on refinancing options, such as Leveraged Loans. A System Dynamics (SD) model is introduced, and the model application is presented using an actual case-study data. The case study results indicate that while high-interest start-ups make using Leveraged Loan inevitable, refinancing can rescue the project and bring about profitability. This paper also presents some managerial implications of refinancing energy efficiency projects based on the case-study analysis. Results of this study help implementing financially viable energy efficiency projects, so the community could benefit from their environmental advantages widely.

Keywords: energy efficiency projects, leveraged loan, refinancing, sustainability

Procedia PDF Downloads 370

Authors: Givi Kupatadze

Abstract:

Backward economies are facing a challenge of achieving sustainable high economic growth rate. Dominant growth models represent a roadmap in framing economic development strategy. This paper examines a relevance of the dominant growth models for backward economies. Cobb-Douglas production function, the Harrod-Domar model of economic growth, the Solow growth model and general formula of gross domestic product are examined to undertake a comprehensive study of the dominant growth models. Deductive research method allows to uncover major weaknesses of the dominant growth models and to come up with practical implications for economic development strategy. The key finding of the paper shows, contrary to what used to be taught by textbooks of economics, that constant returns to scale property of the dominant growth models are a mere coincidence and its generalization over space and time can be regarded as one of the most unfortunate mistakes in the whole field of political economy. The major suggestion of the paper for backward economies is that understanding and considering taxonomy of economic activities based on increasing and diminishing returns to scale represent a cornerstone of successful economic development strategy.

Keywords: backward economies, constant returns to scale, dominant growth models, taxonomy of economic activities

Procedia PDF Downloads 344