Search results for: earnings volatility

Authors: Damien Kunjal, Faeezah Peerbhai

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Despite the increasing popularity of exchange-traded funds (ETFs), ETF investment choices may not always be rational. Excess trading volume, misevaluations of securities, and excess return volatility present in financial markets can be attributed to the influence of the overconfidence bias. Whilst previous research has explored the overconfidence bias in stock markets; this study focuses on trading in ETF markets. Therefore, the objective of this study is to investigate the presence of investor overconfidence in the South African ETF market. Using vector autoregressive models, the lead-lag relationship between market turnover and the market return is examined for the market of South African ETFs tracking domestic benchmarks and for the market of South African ETFs tracking international benchmarks over the period November 2000 till August 2019. Consistent with the overconfidence hypothesis, a positive relationship between current market turnover and lagged market return is found for both markets, even after controlling for market volatility and cross-sectional dispersion. This relationship holds for both market and individual ETF turnover suggesting that investors are overconfident when trading in South African ETFs tracking domestic benchmarks and South African ETFs tracking international benchmarks since trading activity depends on past market returns. Additionally, using the global recession as a structural break, this study finds that investor overconfidence is more pronounced after the global recession suggesting that investors perceive ETFs as risk-reducing assets due to their diversification benefits. Overall, the results of this study indicate that the overconfidence bias has a significant influence on ETF investment choices, therefore, suggesting that the South African ETF market is inefficient since investors’ decisions are based on their biases. As a result, the effect of investor overconfidence can account for the difference between the fair value of ETFs and its current market price. This finding has implications for policymakers whose responsibility is to promote the efficiency of the South African ETF market as well as ETF investors and traders who trade in the South African ETF market.

Keywords: exchange-traded fund, market return, market turnover, overconfidence, trading activity

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Authors: Elisa Menicucci, Guido Paolucci

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Purpose: The aim of this paper is to investigate the factors influencing profitability in the Italian hospitality industry during the period 2008-2016. Design/methodology/approach: This study examines the profitability and its determinants using a sample of 2366 Italian hotel firms. First, we use a multidimensional measure of profitability including attributes as return on equity, return on assets and occupancy rate. Second, we examine variables that are potentially related with performance and we sort these into five categories: market variables, business model, ownership structure, management education and control variables. Findings: The results show that financial crisis, business model and ownership structure influence profitability of hotel firms. Specific factors such as the internationalization, location, firm’s declaring accommodation as their primary activity and chain affiliation are associated positively with profitability. We also find that larger hotel firms have higher performance rankings, while hotels with higher operating cash flow volatility, greater sales volatility and a higher occurrence of losses have lower profitability. Research limitations/implications: Findings suggest the importance of considering firm specific factors to evaluate the profitability of a hotel firm. Results also provide evidence for academics to critically evaluate factors that would ensure profitability of hotels in developed countries such as Italy. Practical implications: This investigation offers valuable information and strategic implications for government, tourism policymakers, tourist hotel owners, hoteliers and tourism managers in their decision-making. Originality/value: This paper provides interesting insights into the characteristics and practices of profitable hotels in Italy. Few econometric studies empirically explored the determinants of performance in the European hospitality field so far. Therefore, this paper tries to close an important gap in the existing literature improving the understanding of profitability in the Italian hospitality industry.

Keywords: hotel firms, profitability, determinants, Italian hospitality industry

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Authors: Periklis Brakatsoulas

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Recent empirical research shows a growing interest in investment decision-making under market anomalies that contradict the rational paradigm. Momentum is undoubtedly one of the most robust anomalies in the empirical asset pricing research and remains surprisingly lucrative ever since first documented. Although predominantly phenomena identified across equities, momentum premia are now evident across various asset classes. Yet few many attempts are made so far to provide traders a diversified portfolio of strategies across different assets and markets. Moreover, literature focuses on patterns from past returns rather than mechanisms to signal future price directions prior to momentum runs. The aim of this paper is to develop a diversified portfolio approach to price distortion signals using daily position data on stocks, credit derivatives, and bonds. An algorithm allocates assets periodically, and new investment tactics take over upon price momentum signals and across different ranking groups. We focus on momentum life cycles, trend reversals, and price acceleration signals. The main effort here concentrates on the density, time span and maturity of momentum phenomena to identify consistent patterns over time and measure the predictive power of buy-sell signals generated by these anomalies. To tackle this, we propose a two-stage modelling process. First, we generate forecasts on core macroeconomic drivers. Secondly, satellite models generate market risk forecasts using the core driver projections generated at the first stage as input. Moreover, using a combination of the ARFIMA and FIGARCH models, we examine the dependence of consecutive observations across time and portfolio assets since long memory behavior in volatilities of one market appears to trigger persistent volatility patterns across other markets. We believe that this is the first work that employs evidence of volatility transmissions among derivatives, equities, and bonds to identify momentum life cycle patterns.

Keywords: forecasting, long memory, momentum, returns

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Authors: Renaud Gaucher

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Research on happiness has developed significantly in the past fifty years and economics and the political science are starting to be influenced by advances in the field. Until recently, finance has stayed outside this movement. The goal of our research is to integrate finance into this movement conceptually. We explain the why, the what and the how of the finance of happiness. We then study the relationship between corporate finance and happiness. We discuss the optimization of the relationship between the financial performance of a firm and the happiness at work of its employees, and the reduction of financial risk by developing goods that foster the happiness of their users. Finally we look at the development of happiness investment funds, that is investment funds founded on happiness research, and the best ways to share risks and earnings to build a happier society.

Keywords: finance, happiness, investment fund, risk

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Authors: Mia Françoise

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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: Valeria Bondarenko

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In this paper, we propose two problems related to fractal Brownian motion. First problem is simultaneous estimation of two parameters, Hurst exponent and the volatility, that describe this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem is approximation of the increments of the observed time series by a power function by increments from the fractional Brownian motion. Approximation and estimation are shown on the example of real data, daily deposit interest rates.

Keywords: fractional Brownian motion, Gausssian processes, approximation, time series, estimation of properties of the model

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Authors: Dávid Kovács, Bálint Csanády, Dániel Boros, Iván Ivkovic, Lóránt Nagy, Dalma Tóth-Lakits, László Márkus, András Lukács

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The modeling practice of financial instruments has seen significant change over the last decade due to the recognition of time-dependent and stochastically changing correlations among the market prices or the prices and market characteristics. To represent this phenomenon, the Stochastic Correlation Process (SCP) has come to the fore in the joint modeling of prices, offering a more nuanced description of their interdependence. This approach has allowed for the attainment of realistic tail dependencies, highlighting that prices tend to synchronize more during intense or volatile trading periods, resulting in stronger correlations. Evidence in statistical literature suggests that, similarly to the volatility, the SCP of certain stock prices follows rough paths, which can be described using fractional differential equations. However, estimating parameters for these equations often involves complex and computation-intensive algorithms, creating a necessity for alternative solutions. In this regard, the Fractional Ornstein-Uhlenbeck (fOU) process from the family of fractional processes offers a promising path. We can effectively describe the rough SCP by utilizing certain transformations of the fOU. We employed neural networks to understand the behavior of these processes. We had to develop a fast algorithm to generate a valid and suitably large sample from the appropriate process to train the network. With an extensive training set, the neural network can estimate the process parameters accurately and efficiently. Although the initial focus was the fOU, the resulting model displayed broader applicability, thus paving the way for further investigation of other processes in the realm of financial mathematics. The utility of SCP extends beyond its immediate application. It also serves as a springboard for a deeper exploration of fractional processes and for extending existing models that use ordinary Wiener processes to fractional scenarios. In essence, deploying both SCP and fractional processes in financial models provides new, more accurate ways to depict market dynamics.

Keywords: fractional Ornstein-Uhlenbeck process, fractional stochastic processes, Heston model, neural networks, stochastic correlation, stochastic differential equations, stochastic volatility

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Authors: Alka Obadić

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The research concentrates on the role of tourism in generating female employment and on impact of gender discrimination in tourism sector. Unfortunately, in many countries there are still some barriers to the inclusion of women at all hierarchical levels of tourism labor market. Research analysis focuses on EU countries where tourism is a main employer of women. The analysis shows that women represent over third persons employed in the non-financial business economy and almost two thirds in core tourism activities. Women's gross hourly earnings in accommodation and food services were below those of men in the European Union and only countries who recorded increase of gender pay gap from the beginning of crisis are Bulgaria and Croatia. Women in tourism industry are still overrepresented in lower status jobs with fewer opportunities for career progression and are often treated unequally.

Keywords: employment, gender discrimination, tourism, women’s participation

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Authors: Sabur Mollah, Asma Mobarek

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This study aims to explore the endogenous relationship between Shari’ah governance and board governance for Islamic banks to identify complementary or substituting relationship between these governance parameters. By using a sample of 161 Islamic Banks from 24 countries for the period of 2005-2013, we show an endogenous relationship between Shari’ah Supervisory Board (SSB) and Board of Directors (BoD). In this relationship, SSB and BoD complement each other. We also show that this complementary relationship between SSB and BoD helps enhance both management and asset quality, but mitigates capital adequacy, earnings, and liquidity in Islamic banks. The study has important implications for financial stability in the Islamic banking system.

Keywords: Shari’ah Supervisory Board, Boards of Directors, Islamic banking, financial stability

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Authors: Fathi Abid, Bilel Kaffel

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The olive tree, the olive harvest during winter season and the production of olive oil better known by professionals under the name of the crushing operation have interested institutional traders such as olive-oil offices and private companies such as food industry refining and extracting pomace olive oil as well as export-import public and private companies specializing in olive oil. The major problem facing producers of olive oil each winter campaign, contrary to what is expected, it is not whether the harvest will be good or not but whether the sale price will allow them to cover production costs and achieve a reasonable margin of profit or not. These questions are entirely legitimate if we judge by the importance of the issue and the heavy complexity of the uncertainty and competition made tougher by a high level of indebtedness and the experience and expertise of speculators and producers whose objectives are sometimes conflicting. The aim of this paper is to study the formation mechanism of olive oil prices in order to learn about speculators’ behavior and expectations in the market, how they contribute by their industry knowledge and their financial alliances and the size the financial challenge that may be involved for them to build private information hoses globally to take advantage. The methodology used in this paper is based on two stages, in the first stage we study econometrically the formation mechanisms of olive oil price in order to understand the market participant behavior by implementing ARMA, SARMA, GARCH and stochastic diffusion processes models, the second stage is devoted to prediction purposes, we use a combined wavelet- ANN approach. Our main findings indicate that olive oil market participants interact with each other in a way that they promote stylized facts formation. The unstable participant’s behaviors create the volatility clustering, non-linearity dependent and cyclicity phenomena. By imitating each other in some periods of the campaign, different participants contribute to the fat tails observed in the olive oil price distribution. The best prediction model for the olive oil price is based on a back propagation artificial neural network approach with input information based on wavelet decomposition and recent past history.

Keywords: olive oil price, stylized facts, ARMA model, SARMA model, GARCH model, combined wavelet-artificial neural network, continuous-time stochastic volatility mode

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Authors: Valeria Bondarenko

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We proposed algorithms for: estimation of parameters fBm (volatility and Hurst exponent) and for the approximation of random time series by functional of fBm. We proved the consistency of the estimators, which constitute the above algorithms, and proved the optimal forecast of approximated time series. The adequacy of estimation algorithms, approximation, and forecasting is proved by numerical experiment. During the process of creating software, the system has been created, which is displayed by the hierarchical structure. The comparative analysis of proposed algorithms with the other methods gives evidence of the advantage of approximation method. The results can be used to develop methods for the analysis and modeling of time series describing the economic, physical, biological and other processes.

Keywords: mathematical model, random process, Wiener process, fractional Brownian motion

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Authors: Soumaya Ben Kheilifa, Dorra Mezzez Hmaied

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We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity timing remains significant after controlling for market timing and volatility timing.

Keywords: european hedge funds, liquidity timing ability, market liquidity, crisis

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Authors: Paola Bordon, Breno Braga

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This paper investigates whether firms use university prestige to statistically discriminate among college graduates. The test is based on the employer learning literature which suggests that if firms use a characteristic for statistical discrimination, this variable should become less important for earnings as a worker gains labor market experience. In this framework, we use a regression discontinuity design to estimate a 19% wage premium for recent graduates of two of the most selective universities in Chile. However, we find that this premium decreases by 3 percentage points per year of labor market experience. These results suggest that employers use college selectivity as a signal of workers' quality when they leave school. However, as workers reveal their productivity throughout their careers, they become rewarded based on their true quality rather than the prestige of their college.

Keywords: employer learning, statistical discrimination, college returns, college selectivity

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Authors: Gyan Kashyap, Shri Kant Singh

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Improved mental health can be articulated as a good physical health and quality of life. Mental health plays an important role in survival of any one’s life. In today’s time people living with stress in life due to their personal matters, health problems, unemployment, work environment, living environment, substance use, life style and many more important reasons. Many studies confirmed that the significant proportion of mental health people increasing in India. This study is focused on mental well-being of male leather tannery workers in Kanpur city, India. Environment at work place as well as living environment plays an important health risk factors among leather tannery workers. Leather tannery workers are more susceptible to many chemicals and physical hazards, just because they are liable to be affected by their exposure to lots of hazardous materials and processes during tanning work in very hazardous work environment. The aim of this study to determine the level of mental health disorder and quality of life among male leather tannery and non-tannery workers in Kanpur city, India. This study utilized the primary data from the cross- sectional household study which was conducted from January to June, 2015 on tannery and non-tannery workers as a part of PhD program from the Jajmau area of Kanpur city, India. The sample of 286 tannery and 295 non-tannery workers has been collected from the study area. We have collected information from the workers of age group 15-70 those who were working at the time of survey for at least one year. This study utilized the general health questionnaire (GHQ-12) and work related stress scale to test the mental wellbeing of male tannery and non-tannery workers. By using GHQ-12 and work related stress scale, Polychoric factor analysis method has been used for best threshold and scoring. Some of important question like ‘How would you rate your overall quality of life’ on Likert scale to measure the quality of life, their earnings, education, family size, living condition, household assets, media exposure, health expenditure, treatment seeking behavior and food habits etc. Results from the study revealed that around one third of tannery workers had severe mental health problems then non-tannery workers. Mental health problem shown the statistically significant association with wealth quintile, 56 percent tannery workers had severe mental health problem those belong to medium wealth quintile. And 42 percent tannery workers had moderate mental health problem among those from the low wealth quintile. Work related stress scale found the statistically significant results for tannery workers. Large proportion of tannery and non-tannery workers reported they are unable to meet their basic needs from their earnings and living in worst condition. Important result from the study, tannery workers who were involved in beam house work in tannery (58%) had severe mental health problem. This study found the statistically significant association with tannery work and mental health problem among tannery workers.

Keywords: GHQ-12, mental well-being, factor analysis, quality of life, tannery workers

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Authors: Dhaksha Vivekanandan

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DeFi is a network that avoids reliance on financial intermediaries through its peer-to-peer financial network. DeFi operates outside of government control; hence it is important for us to understand its impacts. This study employs a literature review to understand DeFi and its emergence, as well as its implications on transparency, social impact, and regulation. Further, 3 case studies are analysed within the context of these categories. DeFi’s provision of increased transparency poses environmental and storage costs and can lead to user privacy being endangered. DeFi allows for the provision of entrepreneurial incentives and protection against monetary censorship and capital control. Despite DeFi's transparency issues and volatility costs, it has huge potential to reduce poverty; however, regulation surrounding DeFi still requires further tightening by governments.

Keywords: DeFi, transparency, regulation, social impact

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Authors: Wali Ullah, Muhammad Nishat

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The study investigates the extent to which the so called Nelson-Siegel model (DNS) and its extended version that accounts for time varying volatility (DNS-EGARCH) can optimally fit the yield curve and predict its future path in the context of an emerging economy. For the in-sample fit, both models fit the curve remarkably well even in the emerging markets. However, the DNS-EGARCH model fits the curve slightly better than the DNS. Moreover, both specifications of yield curve that are based on the Nelson-Siegel functional form outperform the benchmark VAR forecasts at all forecast horizons. The DNS-EGARCH comes with more precise forecasts than the DNS for the 6- and 12-month ahead forecasts, while the two have almost similar performance in terms of RMSE for the very short forecast horizons.

Keywords: yield curve, forecasting, emerging markets, Kalman filter, EGARCH

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Authors: Alev Atak

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We study the endogeneity in the cryptocurrency market over the branching ratio of the Hawkes process and evaluate the movement of self-excitability in the financial markets. We consider a semi-parametric self-exciting point process regression model where the excitation function is assumed to be smooth and decreasing but otherwise unspecified, and the baseline intensity is assumed to be a linear function of the regressors. We apply the empirical analysis to the three largest crypto assets, i.e. Bitcoin - Ethereum - Ripple, and provide a comparison with other financial assets such as SP500, Gold, and the volatility index VIX observed from January 2015 to December 2020. The results depict variable and high levels of endogeneity in the basket of cryptocurrencies under investigation, underlining the evidence of a significant role of endogenous feedback mechanisms in the price formation process.

Keywords: hawkes process, cryptocurrency, endogeneity, reflexivity

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Authors: Kati Skarp, Keijo Varis, Juha Kettunen

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The purpose of this paper is to examine and evaluate the top-down and bottom-up leadership development programs focused on human capital that improve the performance of a company. This study reports on the external top-down leadership development program supported by a consulting company and the internal participatory action research of the bottom-up program. The sickness rate and the lost time incident failure rate decreased and the ideas produced for cost savings improved, leading to increased earnings during the top-down program. The estimated cost savings potential of the bottom-up program was 3.8 million euro based on the cost savings of meeting habits, maintenance practices and the way of working in production. The results of this study are useful for those who plan and evaluate leadership development and human capital productivity consultation programs to improve the performance of a company.

Keywords: leadership, development, human resources, company, indicators, evaluation

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Authors: Shashwat Gangwal

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This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2^nd of July, 2010 to 2^{nd of} August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.

Keywords: bitcoin, financial instruments, portfolio management, risk adjusted return

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Authors: Liqiang Chen

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This study investigates the effects of political connections on the association between firms’ business strategy and their tax aggressiveness in an emerging economy such as China. By studying all public Chinese firms in the period from 2011 to 2017, we find that firms adopting innovative business strategy are more tax aggressive overall, but innovative firms with political connections are less tax aggressive compared to those without political connections. Moreover, we document several channels through which political connections affect the association between innovative business strategy and tax aggressiveness. In particular, we show that the mitigation effect of political connections on tax aggressiveness is stronger for innovative firms located in areas with a lower marketization index and for innovative firms with a lower leverage level or with less earnings management. Our results are robust to an instrumental variable approach to account for possible endogenous bias. Our study contributes to the understanding of firms’ tax behaviors in an emerging economy setting and suggests that there are costs associated with political connections, such as foregone tax saving opportunities, which are understudied in the prior literature.

Keywords: tax aggressiveness, business strategy, political connections, emerging economy

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Authors: Nada Souissi, Mourad Mroua

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The main purpose of this study is to examine the interaction between financial asset volatility, economic factors and investor's behavioral indicators related to both the company's and the markets stocks for the period from January 2000 to January2020. Using multiple linear regression and Bayesian Networks modeling, results show a positive and negative relationship between investor's psychology index, economic factors and predicted stock market return. We reveal that the application of the Bayesian Discrete Network contributes to identify the different cause and effect relationships between all economic, financial variables and psychology index.

Keywords: Financial asset return predictability, Economic factors, Investor's psychology index, Bayesian approach, Probabilistic networks, Parametric learning

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Authors: Akhentoolove Corbin, Leta De Jonge, Charmaine De Jonge

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Introduction: Various writers have promoted the adoption of the 4th R in the education curricula (relationships, respect, reasoning, religion, computing, science, art, conflict management, music) and the 5th R (responsibility). They argue that the traditional 3 Rs are not adequate for the modern environment and the requirements for students to become functional citizens in society. In particular, the developing countries of the anglophone Caribbean (most of which are tiny islands) are susceptible to the dangers and complexities of climate change and global economic volatility. These proposed additions to the 3Rs do have some justification, but this research considers Resilience as even more important and relevant in a world that is faced with the negative prospects of climate change, poverty, discrimination, and economic volatility. It is argued that the foundation for resilient citizens, workers, and workplaces, must be built in the elementary and secondary/middle schools and then through the tertiary level, to achieve an outcome of more resilient students. Government, business, and society require widespread resilience to be capable of ‘bouncing back’ and be more adaptable, transformational, and sustainable. Methodology: The paper utilises a mixed-methods approach incorporating a questionnaire and interviews to determine participants’ opinions on the importance and relevance of resilience in the schools’ curricula and to government, business, and society. The target groups are as follows: educators at all levels, education administrators, members of the business sector, public sector, and 3rd sector. The research specifically targets the anglophone Caribbean developing countries (Barbados, Guyana, Jamaica, Trinidad, St. Lucia, and St Vincent, and the Grenadines). The research utilises SPSS for data analysis. Major Findings: The preliminary findings suggest that the majority of participants support the adoption of resilience as a 4th R in the curricula of the elementary, secondary/middle schools, and tertiary level in the anglophone Caribbean. The final results will allow the researchers to reveal more specific details on any variations among the islands in the sample andto engage in an in-depth discussion of the relevance and importance of resilience as the 4th R. Conclusion: Results seem to suggest that the education system should adopt the 4th R of resilience so that educators working in collaboration with the family and community/village can develop young citizens who are more resilient and capable of manifesting the behaviours and attitudes associated with ‘bouncing back,’ adaptability, transformation, and sustainability. These findings may be useful for education decision-makers and governments in these Caribbean islands, who have the authority and responsibility for the development of education policy, laws, and regulations.

Keywords: education, resilient students, adaptable, transformational, resilient citizens, workplaces, government

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Authors: Obioma Uche

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Due to the recent volatility in oil & gas prices as well as increased development of non-conventional resources, it has become even more essential to critically evaluate the profitability of petroleum prospects prior to making any investment decisions. Traditionally, simple Monte Carlo (MC) algorithms have been used to randomly sample probability distributions of economic and geological factors (e.g. price, OPEX, CAPEX, reserves, productive life, etc.) in order to obtain probability distributions for profitability metrics such as Net Present Value (NPV). In recent years, second-order MC algorithms have been shown to offer an advantage over simple MC techniques due to the added consideration of uncertainties associated with the probability distributions of the relevant variables. Here, a strategy for the application of the second-order MC technique to a case study is demonstrated to analyze its effectiveness as a tool for portfolio management.

Keywords: Monte Carlo algorithms, portfolio management, profitability, risk analysis

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Authors: Dong Won Kim, Hye Ji Kim, Hyun Young Jung

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Improved energy storage is inevitably needed to improve energy efficiency and to be environmentally friendly to chemical processes. Ionic liquids (ILs) can play a crucial role in addressing these needs due to inherent adjustable properties including low volatility, low flammability, inherent conductivity, wide liquid range, broad electrochemical window, high thermal stability, and recyclability. Here, binary mixtures of ILs were prepared with fumed silica nanoparticles and characterized to obtain ILs with conductivity and electrochemical properties optimized for use in energy storage devices. The solutes were prepared by varying the size and the weight percent concentration of the nanoparticles and made up 10 % of the binary mixture by weight. We report on the physical and electrochemical properties of the individual ILs and their binary mixtures.

Keywords: ionic liquid, silica nanoparticle, energy storage, electrochemical properties

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Authors: Vijay Marisetty, Poonam Singh

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Research on the effect of director's network connections on investor welfare is inconclusive. Some studies suggest that directors' connections are beneficial, in terms of, improving earnings information, firms valuation for new investors. On the other hand, adverse effects of directorial networks are also reported, in terms of higher earnings management, options back dating fraud, reduction in firm performance, lower board monitoring. From regulatory perspective, the role of directorial networks on corporate welfare is crucial. Cognizant of the possible ill effects associated with directorial networks, large investors, for better representation on the boards, are building their own database of prospective directors who are highly qualified, however, sourced from outside the highly connected directorial labor market. For instance, following Dodd-Frank Reform Act, California Public Employees' Retirement Systems (CalPERs) has initiated a database for registering aspiring and highly qualified directors to nominate them for board seats (proxy access). Our paper stems from this background and tries to explore the chances of outside directors getting directorships who lack established network connections. The paper is able to identify such aspiring directors' information by accessing a unique Indian data sourced from an online portal that aims to match the supply of registered aspirants with the growing demand for outside directors in India. The online portal's tie-up with stock exchanges ensures firms to access the new pool of directors. Such direct access to the background details of aspiring directors over a period of 10 years, allows us to examine the chances of aspiring directors without corporate network, to enter directorial network. Using this resume data of 16105 aspiring corporate directors in India, who have no prior board experience in the directorial labor market, the paper analyses the entry dynamics in corporate directors' labor market. The database also allows us to investigate the value of corporate network by comparing non-network new entrants with incumbent networked directors. The study develops measures of network centrality and network degree based on merit, i.e. network of individuals belonging to elite educational institutions, like Indian Institute of Management (IIM) or Indian Institute of Technology (IIT) and based on job or company, i.e. network of individuals serving in the same company. The paper then measures the impact of these networks on the appointment of first time directors and subsequent appointment of directors. The paper reports the following main results: 1. The likelihood of becoming a corporate director, without corporate network strength, is only 1 out 100 aspirants. This is inspite of comparable educational background and similar duration of corporate experience; 2. Aspiring non-network directors' elite educational ties help them to secure directorships. However, for post-board appointments, their newly acquired corporate network strength overtakes as their main determinant for subsequent board appointments and compensation. The results thus highlight the limitations in increasing board diversity.

Keywords: aspiring corporate directors, board diversity, director labor market, director networks

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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: A. Hol

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Even in the well developed countries like Australia, Small to Medium Farmers do not often have the power over the market prices as they are more often than not set by the farming agents. This in turn creates problems as farmers only get to know for how much their produce has been sold for by the agents three to four weeks after the sale has taken the place. To see and identify if and how peri-urban Sydney farmers could be assisted, carefully selected group of peri-urban Sydney farmers of the stone fruit has been interviewed. Following the case based interviews collected data was analyzed in detail using the Scenario Based Transformation principles. Analyzed data was then used to create a most common transformation case. The case identified that a mobile web based system could be develop so that framers can monitor agent earnings and in turn gain more power over the markets. It is expected that after the system has been in action for six months to a year, farmers will become empowered and they will gain means to monitor the market and negotiate agent prices.

Keywords: mobile applications, farming, scenario-based analysis, scenario-based transformation, user empowerment

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Authors: Matthias Nnadi

Abstract:

Using samples of 250 large listed firms by market capitalization in China and Hong Kong, we conducted empirical test to determine the impact of regulatory environment on reporting quality following IFRS convergence using three financial reporting measures; earning management, timely loss recognition and value relevance. Our results indicate that accounting data are more value relevant for Hong Kong listed firms than the Chinese A-share firms. The empirical results for timely loss recognition further reveal that there is a larger coefficient estimate on bad news earnings, which suggests that Chines A-share firms are more likely to report losses in a timely manner. The results support the evidence that substantial convergence of IFRS can improve financial reporting quality in a regulated environment such as China. This further supports the expectation that IFRS are relevant to China and has positive effect on its accounting practice and quality.

Keywords: reporting, quality, earning, loss, relevance, financial, China, Hong Kong

Procedia PDF Downloads 435

Authors: M. G. Mattos, J. E. Pécora Jr, T. A. Briso

Abstract:

Today's challenging business environment, with unpredictable demand and volatility, requires a supply chain strategy that handles uncertainty and risks in the right way. Even though inventory models have been previously explored, this paper seeks to apply these concepts on a practical situation. This study involves the inventory replenishment problem, applying techniques that are mainly based on mathematical assumptions and modeling. The primary goal is to improve the retailer’s supply chain processes taking store differences when setting the various target stock levels. Through inventory review policy, picking piece implementation and minimum exposure definition, we were able not only to promote the inventory reduction as well as improve sales results. The inventory management theory from literature review was then tested on a single case study regarding a particular department in one of the largest Latam retail chains.

Keywords: inventory, distribution, retail, risk, safety stock, sales, uncertainty

Procedia PDF Downloads 242

Authors: Ajayi Oluwasola Felix

Abstract:

This paper examines how firm investments in technology-based employee monitoring impact both misconduct and productivity. We use unique and detailed theft and sales data from 392 restaurant locations from five firms that adopt a theft monitoring information technology (IT) product. We use difference-in-differences (DD) models with staggered adoption dates to estimate the treatment effect of IT monitoring on theft and productivity. We find significant treatment effects in reduced theft and improved productivity that appear to be primarily driven by changed worker behavior rather than worker turnover. We examine four mechanisms that may drive this productivity result: economic and cognitive multitasking, fairness-based motivation, and perceived increases of general oversight. The observed productivity results represent substantial financial benefits to both firms and the legitimate tip-based earnings of workers. Our results suggest that employee misconduct is not solely a function of individual differences in ethics or morality, but can also be influenced by managerial policies that can benefit both firms and employees.

Keywords: information technology, monitoring, misconduct, employee theft

Procedia PDF Downloads 376