Search results for: portfolio turnover

Authors: Piyangkun Kukutapan, Siridech Boonsang

Abstract:

The article proposes maximum power point tracking without mechanical sensor using Multilayer Perceptron Neural Network (MLPNN). The aim of article is to reduce the cost and complexity but still retain efficiency. The experimental is that duty cycle is generated maximum power, if it has suitable qualification. The measured data from DC generator, voltage (V), current (I), power (P), turnover rate of power (dP), and turnover rate of voltage (dV) are used as input for MLPNN model. The output of this model is duty cycle for driving the converter. The experiment implemented using Arduino Uno board. This diagram is compared to MPPT using MLPNN and P&O control (Perturbation and Observation control). The experimental results show that the proposed MLPNN based approach is more efficiency than P&O algorithm for this application.

Keywords: maximum power point tracking, multilayer perceptron netural network, optimal duty cycle, DC generator

Procedia PDF Downloads 296

Authors: Viviana Ventre, Giacomo Di Tollo, Roberta Martino

Abstract:

The portfolio selection problem includes the evaluation of many criteria that are difficult to compare directly and is characterized by uncertain elements. The portfolio selection problem can be modeled as a group decision problem in which several experts are invited to present their assessment. In this context, it is important to study and analyze the process of reaching a consensus among group members. Indeed, due to the various diversities among experts, reaching consensus is not necessarily always simple and easily achievable. Moreover, the concept of consensus is accompanied by the concept of false consensus, which is particularly interesting in the dynamics of group decision-making processes. False consensus can alter the evaluation and selection phase of the alternative and is the consequence of the decision maker's inability to recognize that his preferences are conditioned by subjective structures. The present work aims to investigate the dynamics of consensus attainment in a group decision problem in which equivalent portfolios are proposed. In particular, the study aims to analyze the impact of the subjective structure of the decision-maker during the evaluation and selection phase of the alternatives. Therefore, the experimental framework is divided into three phases. In the first phase, experts are sent to evaluate the characteristics of all portfolios individually, without peer comparison, arriving independently at the selection of the preferred portfolio. The experts' evaluations are used to obtain individual Analytical Hierarchical Processes that define the weight that each expert gives to all criteria with respect to the proposed alternatives. This step provides insight into how the decision maker's decision process develops, step by step, from goal analysis to alternative selection. The second phase includes the description of the decision maker's state through Markov chains. In fact, the individual weights obtained in the first phase can be reviewed and described as transition weights from one state to another. Thus, with the construction of the individual transition matrices, the possible next state of the expert is determined from the individual weights at the end of the first phase. Finally, the experts meet, and the process of reaching consensus is analyzed by considering the single individual state obtained at the previous stage and the false consensus bias. The work contributes to the study of the impact of subjective structures, quantified through the Analytical Hierarchical Process, and how they combine with the false consensus bias in group decision-making dynamics and the consensus reaching process in problems involving the selection of equivalent portfolios.

Keywords: analytical hierarchical process, consensus building, false consensus effect, markov chains, portfolio selection problem

Procedia PDF Downloads 62

Authors: Abdelouahab Errida, Bouchra Lotfi, Elalami Semma

Abstract:

In this paper, we try to address the topic of multiple change management by adopting an engineered research methodology, conducted within a Moroccan company during its implementation of several change projects that aim at improving its supply chain management performance. Firstly, we present the key concepts related to our research, namely change management, multiproject management and supply chain management. Then, we try to assess how the change management and multi-project management are applied in this company. Finally, we try to propose an approach that will help managers in dealing with multiple change projects. This approach proposes to integrate change management, project management and multi-project management for managing change projects according to three organizational levels: executive level, project portfolio level and change project level.

Keywords: change management, multi-project management, project management, change portfolio, supply chain management,

Procedia PDF Downloads 183

Authors: Walid Chkili

Abstract:

This paper investigates the dynamic relationship between gold and stock markets using data for BRICS counties. For this purpose, we estimate three multivariate GARCH models (namely CCC, DCC and BEKK) for weekly stock and gold data. Our main objective is to examine time variations in conditional correlations between the two assets and to check the effectiveness use of gold as a hedge for equity markets. Empirical results reveal that dynamic conditional correlations switch between positive and negative values over the period under study. This correlation is negative during the major financial crises suggesting that gold can act as a safe haven during the major stress period of stock markets. We also evaluate the implications for portfolio diversification and hedging effectiveness for the pair gold/stock. Our findings suggest that adding gold in the stock portfolio enhance its risk-adjusted return.

Keywords: gold, financial markets, hedge, multivariate GARCH

Procedia PDF Downloads 434

Authors: Surayyo Shaamirova, Anwar Hasan Abdullah Othman

Abstract:

This study investigates the co-integration association between the top 10 cryptocurrencies, namely Bitcoin, Ethereum, Ripple, Bitcoin Cash, EOS, Cardano, Litecoin, Stellar, IOTA, and NEO. The study applies Johansen Juselius co-integration test to examine the long-run co-integration and utilize the Engle and Granger casualty test to examine the short-run relationship. The findings of the study show that there is a strong co-integration relationship among the cryptocurrencies; however, in the short run, there is no causal relationship among the crypto currencies. These results, therefore, suggest that there are portfolio diversification opportunities in the cryptocurrencies industry when it comes to long run investment decisions, on the other hand, the cryptocurrencies industry shows the characteristics of efficiency in the short-run. This is an indication of a non-speculation investment in the cryptocurrencies industry in the short term investment.

Keywords: cryptocurrencies, Johansen-Juselius co-integration test, Engle and Granger casualty test, portfolio diversification

Procedia PDF Downloads 105

Authors: A. Lefebre, M. Willekens, K. Debackere

Abstract:

Since the 1990s, patent applications have been booming, especially in the field of telecommunications. However, this increase in patent filings has been associated with an (alleged) decrease in patent quality. The plethora of low-quality patents devalues the high-quality ones, thus weakening the incentives for inventors to patent inventions. Despite the rich literature on strategic patenting, previous research has neglected to emphasize the importance of patent portfolio management and its impact on patent quality. In this paper, we compare related patent portfolios vs. nonrelated patents and investigate whether the patent quality and innovativeness differ between the two types. In the analyses, patent quality is proxied by five individual proxies (number of inventors, claims, renewal years, designated states, and grant lag), and these proxies are then aggregated into a quality index. Innovativeness is proxied by two measures: the originality and radicalness index. Results suggest that related patent portfolios have, on average, a lower patent quality compared to nonrelated patents, thus suggesting that firms use them for strategic purposes rather than for the extended protection they could offer. Even upon testing the individual proxies as a dependent variable, we find evidence that related patent portfolios are of lower quality compared to nonrelated patents, although not all results show significant coefficients. Furthermore, these proxies provide evidence of the importance of adding fixed effects to the model. Since prior research has found that these proxies are inherently flawed and never fully capture the concept of patent quality, we have chosen to run the analyses with individual proxies as supplementary analyses; however, we stick with the comprehensive index as our main model. This ensures that the results are not dependent upon one certain proxy but allows for multiple views of the concept. The presence of divisional applications might be linked to the level of innovativeness of the underlying invention. It could be the case that the parent application is so important that firms are going through the administrative burden of filing for divisional applications to ensure the protection of the invention and the preemption of competition. However, it could also be the case that the preempting is a result of divisional applications being used strategically as a backup plan and prolonging strategy, thus negatively impacting the innovation in the portfolio. Upon testing the level of novelty and innovation in the related patent portfolios by means of the originality and radicalness index, we find evidence for a significant negative association with related patent portfolios. The minimum innovation that has been brought on by the patents in the related patent portfolio is lower compared to the minimum innovation that can be found in nonrelated portfolios, providing evidence for the second argument.

Keywords: patent portfolio management, patent quality, related patent portfolios, strategic patenting

Procedia PDF Downloads 55

Authors: Till Gramberg

Abstract:

In the dynamic world of machine and plant engineering, stagnation in the growth of new product sales compels companies to reconsider their business models. The increasing shift toward service orientation, known as "servitization," along with challenges posed by digitalization and sustainability, necessitates an adaptation of product portfolio management (PPM). Against this backdrop, this study investigates the current challenges and requirements of PPM in this industrial context and develops a framework for the application of generative artificial intelligence (AI) to enhance agility and efficiency in PPM processes. The research approach of this study is based on a mixed-method design. Initially, qualitative interviews with industry experts were conducted to gain a deep understanding of the specific challenges and requirements in PPM. These interviews were analyzed using the Gioia method, painting a detailed picture of the existing issues and needs within the sector. This was complemented by a quantitative online survey. The combination of qualitative and quantitative research enabled a comprehensive understanding of the current challenges in the practical application of machine and plant engineering PPM. Based on these insights, a specific framework for the application of generative AI in PPM was developed. This framework aims to assist companies in implementing faster and more agile processes, systematically integrating dynamic requirements from trends such as digitalization and sustainability into their PPM process. Utilizing generative AI technologies, companies can more quickly identify and respond to trends and market changes, allowing for a more efficient and targeted adaptation of the product portfolio. The study emphasizes the importance of an agile and reactive approach to PPM in a rapidly changing environment. It demonstrates how generative AI can serve as a powerful tool to manage the complexity of a diversified and continually evolving product portfolio. The developed framework offers practical guidelines and strategies for companies to improve their PPM processes by leveraging the latest technological advancements while maintaining ecological and social responsibility. This paper significantly contributes to deepening the understanding of the application of generative AI in PPM and provides a framework for companies to manage their product portfolios more effectively and adapt to changing market conditions. The findings underscore the relevance of continuous adaptation and innovation in PPM strategies and demonstrate the potential of generative AI for proactive and future-oriented business management.

Keywords: servitization, product portfolio management, generative AI, disruptive innovation, machine and plant engineering

Procedia PDF Downloads 27

Authors: Shu Jiuan Chen, Shu Fen Wu, I. Ling Tsai, Chia Yu Chen, Yen Lin Liu, Chen-Fuh Lam

Abstract:

Background: Increased emotional stress in workplace and depressed job satisfaction may significantly affect the turnover intention and career life of personnel. However, very limited studies have reported the factors influencing the turnover intention of the surgical team members in the operating rooms, where extraordinary stress is normally exit in this isolated medical care unit. Therefore, this study aimed to determine the environmental and personal characteristic factors that might be associated with job satisfaction and turnover intention in the non-physician staff who work in the operating rooms. Methods: This was a cross-sectional, descriptive study performed in a metropolitan teaching hospital in southern Taiwan between May 2017 to July 2017. A structured self-administered questionnaire, modified from the Practice Environment Scale of the Nursing Work Index (PES-NWI), Occupational Stress Indicator-2 (OSI-2) and Maslach Burnout Inventory (MBI) manual was collected from the operating room nurses, nurse anesthetists, surgeon assistants, orderly and other non-physician staff. Numerical and categorical data were analyzed using unpaired t-test and Chi-square test, as appropriate (SPSS, version 20.0). Results: A total of 167 effective questionnaires were collected from 200 eligible, non-physician personnel who worked in the operating room (response rate 83.5%). The overall satisfaction of all responders was 45.64 ± 7.17. In comparison to those who had more than 4-year working experience in the operating rooms, the junior staff ( ≤ 4-year experience) reported to have significantly higher satisfaction in workplace environment and job contentment, as well as lower intention to quit (t = 6.325, P =0.000). Among the different specialties of surgical team members, nurse anesthetists were associated with significantly lower levels of job satisfaction (P=0.043) and intention to stay (x² = 8.127, P < 0.05). Multivariate regression analysis demonstrates job title, seniority, working shifts and job satisfaction are the significant independent predicting factors for quit jobs. Conclusion: The results of this study highlight that increased work seniorities ( > 4-year working experience) are associated with significantly lower job satisfaction, and they are also more likely to leave their current job. Increased workload in supervising the juniors without appropriate job compensation (such as promotions in job title and work shifts) may precipitate their intention to quit. Since the senior staffs are usually the leaders and core members in the operating rooms, the retention of this fundamental manpower is essential to ensure the safety and efficacy of surgical interventions in the operating rooms.

Keywords: surgical team, job satisfaction, resignation intention, operating room

Procedia PDF Downloads 226

Authors: M. Khajezadeh, M. Saied Fallah Niasar, S. Ali Asli, D. Davani Davari, M. Godarzi, Y. Asgari

Abstract:

This study aims to explore the joint application of both Boston and Ansoff matrices in the operational development of the product. We conduct deep analysis, by utilizing the Artificial Neural Network, to predict the position of the product in the market while the company is interested in increasing its share. The data are gathered from two industries, called hygiene and detergent. In doing so, the effort is being made by investigating the behavior of top player companies and, recommend strategic orientations. In conclusion, this combination analysis is appropriate for operational development; as well, it plays an important role in providing the position of the product in the market for both hygiene and detergent industries. More importantly, it will elaborate on the company’s strategies to increase its market share related to a combination of the Boston Consulting Group (BCG) Matrix and Ansoff Matrix.

Keywords: artificial neural network, portfolio analysis, BCG matrix, Ansoff matrix

Procedia PDF Downloads 104

Authors: Gulnara Galeeva

Abstract:

The Analytic Hierarchy Process is widely used in the economic and financial studies, including the formation of investment portfolios. In this study, a generalized method of obtaining a vector of priorities for the case with separate pairwise comparisons of the expert opinion being presented as a set of several equal evaluations on a ratio scale is examined. The author claims that this method allows solving an important and up-to-date problem of excluding vagueness and ambiguity of the expert opinion in the decision making theory. The study describes the authentic wide pairwise comparison matrix. Its application in the formation of the efficient investment portfolio of intangible assets of a small business enterprise with limited funding is considered. The proposed method has been successfully approbated on the practical example of a functioning dental clinic. The result of the study confirms that the wide pairwise comparison matrix can be used as a simple and reliable method for forming the enterprise investment policy. Moreover, a comparison between the method based on the wide pairwise comparison matrix and the classical analytic hierarchy process was conducted. The results of the comparative analysis confirm the correctness of the method based on the wide matrix. The application of a wide pairwise comparison matrix also allows to widely use the statistical methods of experimental data processing for obtaining the vector of priorities. A new method is available for simple users. Its application gives about the same accuracy result as that of the classical hierarchy process. Financial directors of small and medium business enterprises get an opportunity to solve the problem of companies’ investments without resorting to services of analytical agencies specializing in such studies.

Keywords: analytic hierarchy process, decision processes, investment portfolio, intangible assets

Procedia PDF Downloads 229

Authors: Napatsorn Suput-Anyaporn

Abstract:

This paper aimed to investigate multilateral relationships across the factors which included labor shortage, trade union, turnover rate of employee, labor law and regulation, and effectiveness of foreign worker administration in the scope of foreign workers in the industrial manufacturing sector of Thailand. The research employed both quantitative and qualitative approaches, in which foreign workers from Myanmar, Laos and Cambodia in the industrial manufacturing sector in selected areas of Thailand were sampled for the quantitative data collection, and persons in the chief executive management and the supervisor levels, and persons in the academic area in relation with foreign workers were selected as the sample for the qualitative data collection method. Thus, a questionnaire, in-depth interview and focus group were utilized as tools in this research paper. The discussion placed an emphasis on the fact that Thailand should design more effective law and regulations for the foreign workers administration and management in response to preparing for the coming ASEAN Economic Community with the declaration of the free- flow labor movement policy.

Keywords: industrial manufacturing sector, labor law and regulation, labor shortage, migrant worker, trade union, turnover rate of employee

Procedia PDF Downloads 379

Authors: Gulnara Galeeva, Yulia Kasperskaya

Abstract:

The study deals with the relevant problem related to the formation of the efficient investment portfolio of an enterprise. The structure of the investment portfolio is connected to the degree of influence of intangible assets on the enterprise’s income. This determines the importance of research on the content of intangible assets. However, intangible assets studies do not take into consideration how the enterprise state can affect the content and the importance of intangible assets for the enterprise`s income. This affects accurateness of the calculations. In order to study this problem, the research was divided into several stages. In the first stage, intangible assets were classified based on their synergies as the underlying intangibles and the additional intangibles. In the second stage, this classification was applied. It showed that the lifecycle model and the theory of abrupt development of the enterprise, that are taken into account while designing investment projects, constitute limit cases of a more general theory of bifurcations. The research identified that the qualitative content of intangible assets significant depends on how close the enterprise is to being in crisis. In the third stage, the author developed and applied the Wide Pairwise Comparison Matrix method. This allowed to establish that using the ratio of the standard deviation to the mean value of the elements of the vector of priority of intangible assets makes it possible to estimate the probability of a full-blown crisis of the enterprise. The author has identified a criterion, which allows making fundamental decisions on investment feasibility. The study also developed an additional rapid method of assessing the enterprise overall status based on using the questionnaire survey with its Director. The questionnaire consists only of two questions. The research specifically focused on the fundamental role of stochastic resonance in the emergence of bifurcation (crisis) in the economic development of the enterprise. The synergetic approach made it possible to describe the mechanism of the crisis start in details and also to identify a range of universal ways of overcoming the crisis. It was outlined that the structure of intangible assets transforms into a more organized state with the strengthened synchronization of all processes as a result of the impact of the sporadic (white) noise. Obtained results offer managers and business owners a simple and an affordable method of investment portfolio optimization, which takes into account how close the enterprise is to a state of a full-blown crisis.

Keywords: analytic hierarchy process, bifurcation, investment portfolio, intangible assets, wide matrix

Procedia PDF Downloads 181

Authors: Slim Amami

Abstract:

A model is developed to prevent the risks related to climate conditions in the agricultural sector. It will determine the yearly optimum premium to be paid by a farmer in order to reach his required turnover. The model is mainly based on both climatic stability and 'soft' responses of usually grown species to average climate variations at the same place and inside a safety ball which can be determined from past meteorological data. This allows the use of linear regression expression for dependence of production result in terms of driving meteorological parameters, main ones of which are daily average sunlight, rainfall and temperature. By a simple best parameter fit from the expert table drawn with professionals, optimal representation of yearly production is deduced from records of previous years, and yearly payback is evaluated from minimum yearly produced turnover. Optimal premium is then deduced, and gives the producer a useful bound for negotiating an offer by insurance companies to effectively protect their harvest. The application to wheat production in the French Oise department illustrates the reliability of the present model with as low as 6% difference between predicted and real data. The model can be adapted to almost every agricultural field by changing state parameters and calibrating their associated coefficients.

Keywords: agriculture, database, meteorological factors, production model, optimal price

Procedia PDF Downloads 190

Authors: Farid Habibi Tanha, Hawati Janor, Mojtaba Jahanbazi

Abstract:

The purpose of this study is to examine the effect of asymmetric information on the composition of capital inflows. This study uses the stock market microstructure to capture the asymmetric information. Such an approach allows one to capture the level and extent of the asymmetric information from a firm’s perspective. This study focuses on the two-dimensional measure of the market microstructure in capturing asymmetric information. The composition of capital inflows is measured by running six models simultaneously. By employing the panel data technique, the main finding of this research shows an increase in the asymmetric information of the stock market, in any of the two dimensions of width and depth. This leads to the reduction of foreign investments in both forms of foreign portfolio investment (FPI) and foreign direct investment (FDI), while the reduction in FPI is higher than that of the FDI. The significant effect of asymmetric information on capital inflows implicitly suggests for policymakers to control the changes of foreign capital inflows through transparency in the level of the market.

Keywords: capital flows composition, asymmetric information, stock market microstructure, foreign portfolio investment, foreign direct investment

Procedia PDF Downloads 323

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

Abstract:

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

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

Procedia PDF Downloads 304

Authors: Hina Munir Abbasi

Abstract:

The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

Procedia PDF Downloads 45

Authors: Jean Marie Tshimula, Atsushi Togashi

Abstract:

We develop a data-science approach for providing an interactive visualization and predictive models to find insights into the projects' historical data in order for stakeholders understand some unseen opportunities in the African market that might escape them behind the online project portfolio of the African Development Bank. This machine learning-based web application identifies the market trend of the fastest growing economies across the continent as well skyrocketing sectors which have a significant impact on the future of business in Africa. Owing to this, the approach is tailored to predict where the investment needs are the most required. Moreover, we create a corpus that includes the descriptions of over more than 1,200 projects that approximately cover 14 sectors designed for some of 53 African countries. Then, we sift out this large amount of semi-structured data for extracting tiny details susceptible to contain some directions to follow. In the light of the foregoing, we have applied the combination of Latent Dirichlet Allocation and Random Forests at the level of the analysis module of our methodology to highlight the most relevant topics that investors may focus on for investing in Africa.

Keywords: machine learning, topic modeling, natural language processing, big data

Procedia PDF Downloads 147

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

Abstract:

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

Procedia PDF Downloads 24

Authors: Talat Baran

Abstract:

Palladium-catalyzed Suzuki coupling reactions are powerful ways for synthesis of biaryls compounds and so far different palladium sources as have been used in catalyst systems. However, the high cost of the ligands using as support materials for palladium ion and so researchers have explored alternative low-cost support materials such as silica, cellule and zeolite. A natural polymer chitosan is suitable for support material because of it unique properties such as eco-friendly, renewable, abundant, low cost, biodegradable and it has free reactive -NH2 and –OH groups. Especially, pendant amino groups of chitosan can easily react with carbonyl groups of aldehyde or ketone by Schiff base formation and thus palladium ions can coordinate with imine groups of Schiff base. This purpose, in this study, firstly a new chitosan Schiff base supported palladium (II) catalyst was synthesized and its chemical structure was characterized with FT-IR, SEM/EDAX, XRD, TG-DTG, ICP-OES and magnetic moment techniques. Then catalytic performance of the catalyst was investigated in Suzuki cross coupling reactions under simple and fast microwave heating methods. Also, recycle activity of palladium catalyst was tested under optimum condition and the catalyst showed long life time. At the end of catalytic performance tests of chitosan supported palladium (II) catalysts indicated high turnover numbers, turnover frequency and selectivity with very small loading catalyst

Keywords: catalyst, chitosan, Schiff base, Suzuki coupling

Procedia PDF Downloads 288

Authors: Helena Susana Afonso Alves, Natália Maria Rafael Canadas, Ana Maria Rodrigues

Abstract:

We examined the impact of governance rules on information asymmetry, using the turnover ratio and the bid-ask spread as proxies for the information asymmetry. We used a SEM model and analyzed the indirect relations through the voluntary disclosure of information and the organizational performance. We built a voluntary disclosure index based on the information firms provided in their annual reports and divided the governance characteristics in two constructs: directors’ and supervisors’ structures and ownership structure. We concluded that the ownership structure exerts a direct influence on share price and share liquidity, Otherwise, the directors’ and supervisors’ structures exert an indirect influence, through the organizational performance and the voluntary disclosure of information. The results also show that for firms with high levels of disclosure the bid-ask spread is lower. However, in firms with a high ownership concentration investors tend to increase the bid-ask spreads and trade less, which, in this case, reduces the liquidity of the stock. The failure to find the relationship between voluntary disclosure of information and the turnover ratio shows us that the liquidity of shares is more related to the greater or lesser concentration of shareholders, with the performance of their companies than with the access to information. Moreover, it is clear that the role that information disclosure plays is mainly at the level of price formation.

Keywords: corporate governance, information asymmetry, voluntary disclosure, structural equation modelling, SEM

Procedia PDF Downloads 475

Authors: Yuyang Cheng, Marcos Escobar-Anel

Abstract:

This paper introduces a multivariate 4/2 stochastic covariance process generalizing the one-dimensional counterparts presented in Grasselli (2017). Our construction permits stochastic correlation not only among stocks but also among volatilities, also known as co-volatility movements, both driven by more convenient 4/2 stochastic structures. The parametrization is flexible enough to separate these types of correlation, permitting their individual study. Conditions for proper changes of measure and closed-form characteristic functions under risk-neutral and historical measures are provided, allowing for applications of the model to risk management and derivative pricing. We apply the model to an expected utility theory problem in incomplete markets. Our analysis leads to closed-form solutions for the optimal allocation and value function. Conditions are provided for well-defined solutions together with a verification theorem. Our numerical analysis highlights and separates the impact of key statistics on equity portfolio decisions, in particular, volatility, correlation, and co-volatility movements, with the latter being the least important in an incomplete market.

Keywords: stochastic covariance process, 4/2 stochastic volatility model, stochastic co-volatility movements, characteristic function, expected utility theory, verication theorem

Procedia PDF Downloads 116

Authors: Ekta Pandey

Abstract:

The Indian Pharmaceutical Industry is ranked third largest by volume and fourteenth by value. It thus accounts for 10% of world’s production by volume and 1.5% by value according to Department of Pharmaceuticals, Government of India. The industry has shown phenomenal growth over past few years, moving from US $ 1 billion turnover in 1990 to a turnover of around US $30 billion in 2015. The Indian pharmaceutical sector is ranked seventeenth in terms of export value of active pharmaceutical ingredients and dosage forms to more than 200 countries around the globe. It has shown tremendous changes especially after Trade Related Aspects of Intellectual Property Rights (TRIPS) agreement. Recognizing the immense potential for growth and its direct impact on Indian economy, it is important to look up the industrial policies adopted since Indian independence which turnaround the Indian pharmaceutical industry. A systematic review of changes in market structure of Indian pharmaceutical industry due to shift in policy regimes is done from 1850 to 2015 using secondary peer reviewed published research work. The aim is to understand the impact of anti-trust laws, intellectual property rights, industry competition acts and regulations are quite crucial in determining effective economic policy and have overall lasting effects on international trade and ties. The proposed paper examines the position of Indian domestic firms relative to multinational pharmaceutical firms tries to throw some light on the growth curve of Indian pharmaceutical sector.

Keywords: active pharmaceutical ingredients, competition act, pharmaceutical industry, TRIPS

Procedia PDF Downloads 417

Authors: Naheed Malik, Marisa Smith

Abstract:

This study has been undertaken as an attempt to explore the underlying reasons that cause higher employee turnover rates at the call centers of Pakistan. This research also aimed to examine the relationship among the job related variables such as job satisfaction, organizational commitment, supervisor support, self-esteem, organizational stressors (work overload, role ambiguity and work family conflict) and quitting inclination. A total of 340 call centers respondents filled the survey questionnaire. The data was analyzed through SPSS 19.0. Results reveal the significant relationship among the study variables and stress level contributing more towards employee penchant to leave the job. A significant amount of call centers employee have proclivity to quit from their jobs as soon as they would be able to find some other jobs with attractive compensation. The majority of the respondents were found to be unhappy and dissatisfied due to hectic schedule and imbalance between family and work. This research also highlighted the specific areas in which call centre management needs to emphasize deliberately that affect more sharply on employee leaving aptitude. This study also suggests some useful strategies for the well being of employees that can minimize their tendency of quitting and retention in the long run.

Keywords: call centers, stress, job satisfaction, organizational commitment, supervisor’s support, self esteem, employee turnover, employees’ intention to quit, customer service representative (CSRs)

Procedia PDF Downloads 245

Authors: Festus Epetimehin

Abstract:

Agriculture remains the dominant sector in the rural areas where over 70% of Nigerian reside and it’s still the backbone of our economy. The observed poor performance of farmers in agricultural productivity is due to the nature of risks and uncertainties in agriculture.Agricultural insurance is one of the mechanisms by which farmers can stabilize farm income and investment. The study examined the relationship between agricultural insurance scheme (AIS) and performance of agribusiness in Nigeria. The study adopted exploratory research design which is an ex-ante research approach. One hundred copies of structured questionnaire were administered for the purpose of the study. Correlation analysis and regression analysis were employed for the study. The correlation analysis of the finding revealed that the independent variable; agricultural insurance scheme (AIS) is positively and significantly correlated with the set of dependent variables; where turnover (ABT)=0.582**, profitability (ABP)=0.321**, solvency (ABS)=0.418**and cost of production (ABC)=0.23** respectively. The regression analysis result also revealed the degree of relationship between the independent variable (AIS) and set of dependent variables where one(1%) percent increase in independent variable will lead to 33.9% (ABT), 9.7% (ABP), 17.5%(ABS) and 1.5%(ABC).The study recommended that the Federal Government in collaboration with the participating Agricultural insurers embark on awareness campaign through to the length and breadth of Nigeria on government support and insurance scheme for farmers. Government should also ensure that the loan and insurance scheme should extend beyond the mechanized farmers and include the intensive subsistence farmers in view of the fact that they are the dominants in most of the farm produce markets.

Keywords: agribusiness, agricultural insurance, performance, turnover, solvency, agricultural risks

Procedia PDF Downloads 59

Authors: Periklis Brakatsoulas

Abstract:

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

Procedia PDF Downloads 72

Authors: Edson Vengesai

Abstract:

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

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

Procedia PDF Downloads 69

Authors: Hong Je Kang, Young Chae Choi, Jin Sung Park, Isac Kim

Abstract:

Purpose: Osteoporotic fractures are an important among postmenopausal women. When osteoporotic distal radial fractures occur, osteoporosis must be treated to prevent the hip and spine fractures. Intravenous injection of Zoledronic acid is expected to improve preventing osteoporotic fractures. Many articles reported the effect of intravenous Zoledronic acid to BMD of the hip and spine fracture or non-fracture patients with low BMD. However, that with distal radial fractures has rarely been reported. Therefore, the authors decided to study the effect of Zoledronic acid in BMD score, bone union, and bone turnover markers in the patients who underwent volar plating due to osteoporotic distal radial fractures. Materials: From April 2018 to May 2022, postmenopausal women aged 55 years or older who had osteoporotic distal radial fractures and who underwent surgical treatment using volar plate fixation were included. Zoledronic acid (5mg) was injected intravenously between 3 and 5 days after surgery. BMD scores after 1 year of operation were compared with the initial scores. Bone turnover markers were measured before surgery, after 3 months, and after 1 year. Radiological follow-up was performed every 2 weeks until the bone union and at 1 year postoperatively. Clinical outcome indicators were measured one year after surgery, and the occurrence of side effects was observed. Result: Total of 23 patients were included, with a lumbar BMD T score of -2.89±0.2 before surgery to -2.27±0.3 one year after surgery (p=0.012) and a femoral neck BMD T score of -2.45±0.3 before surgery to -2.36±0.3 (p=0.041) after one year, and all were statistically significant. Measured as bone resorption markers, serum CTX-1 was 337.43±10.4 pg/mL before surgery, 160.86±8.7 pg/mL (p=0.022) after three months, and 250.12±12.7 pg/mL (p=0.031) after one year. Urinary NTX-1 was 39.24±2.2 ng/mL before surgery, 24.46±1.2 ng/mL (p=0.014) after three months and 30.35±1.6 ng/mL (p=0.042) after one year. Measured as bone formation markers, serum osteocalcin was 13.04±1.1 ng/mL before surgery, 8.84±0.7 ng/mL (p=0.037) after 3 months and 11.1±0.4 ng/mL (p=0.026) after one year. Serum bone-specific ALP was 11.24±0.9 IU/L before surgery, 8.25±0.9 IU/L (p=0.036) after three months, and 10.2±0.9 IU/L (p=0.027) after one year. All were statistically significant. All cases showed bone union within an average of 6.91±0.3 weeks without any signs of failure. Complications were found in 5 out of 23 cases (21.7%), such as headache, nausea, muscle pain, and fever. Conclusion: When Zoledronic acid was used, BMD was improved in both the spine and femoral neck. This may reduce the likelihood and subsequent morbidity of additional osteoporotic fractures. This study is meaningful in that there was no difference in the duration of bone union and radiological characteristics in patients with distal radial fractures administrated with intravenous BP early after the fractures, and improvement in BMD and bone turnover indicators was measured.

Keywords: zeoldreonic acid, BMD, osteoporosis, distal radius

Procedia PDF Downloads 89

Authors: Petar Dobrev

Abstract:

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

Keywords: excess stock returns, management, profitability, quality

Procedia PDF Downloads 64

Authors: Nour Wehbe

Abstract:

The Lebanese electricity sector is at the heart of a deep crisis. Electricity in Lebanon is supplied by Électricité du Liban (EdL) which has to suffer from technical and financial deficiencies for decades and proved to be insufficient and deficient as the demand still exceeds the supply. As a result, backup generation is widespread throughout Lebanon. The sector costs massive government resources and, on top of it, consumers pay massive additional amounts for satisfying their electrical needs. While the developed countries have been investing in renewable energy for the past two decades, the Lebanese government realizes the importance of adopting such energy sourcing strategies for the upgrade of the electricity sector in the country. The diversification of the national electricity generation mix has increased considerably in Lebanon's energy planning agenda, especially that a detailed review of the energy potential in Lebanon has revealed a great potential of solar and wind energy resources, a considerable potential of biomass resource, and an important hydraulic potential in Lebanon. This paper presents a review of the energy status of Lebanon, and illustrates a detailed review of the EDL structure with the existing problems and recommended solutions. In addition, scenarios reflecting implementation of policy projects are presented, and conclusions are drawn on the usefulness of a proposed evaluation methodology and the effectiveness of the adopted new energy policy for the electrical sector in Lebanon.

Keywords: EdL Electricite du Liban, portfolio optimization, electricity generation mix, mean-variance approach

Procedia PDF Downloads 216

Authors: Olivier Mesly

Abstract:

This research presents a conceptual framework termed “Consumer Financial Spinning” (CFS) to analyze consumer behavior in the financial/economic markets. This phenomenon occurs when consumers of high-stakes financial products accumulate unsustainable debt, leading them to detach from their initial financial hierarchy of needs, wealth-related goals, and preferences regarding their household portfolio of assets. The daring actions of these consumers, forming a dark financial triangle, are characterized by three behaviors: overconfidence, the use of rationed rationality, and deceitfulness. We show that we can incorporate CFS into the traditional CAPM and Markovitz’ portfolio optimization models to create a framework that explains such market phenomena as the global financial crisis, highlighting the antecedents and consequences of ill-conceived speculation. Because this is a conceptual paper, there is no methodology with respect to ground studies. However, we apply modeling principles derived from the data percolation methodology, which contains tenets explicating how to structure concepts. A simulation test of the proposed framework is conducted; it demonstrates the conditions under which the relationship between expected returns and risk may deviate from linearity. The analysis and conceptual findings are particularly relevant both theoretically and pragmatically as they shed light on the psychological conditions that drive intense speculation, which can lead to market turmoil. Armed with such understanding, regulators are better equipped to propose solutions before the economic problems become out of control.

Keywords: consumer financial spinning, rationality, deceitfulness, overconfidence, CAPM

Procedia PDF Downloads 11