The Evaluation of Company's Intangible Assets' influence for Business Value

OpenAIRE

Savickaitė, Živilė

2014-01-01

Mismeasurement of intangible assets in a company may result in high costs and loss of its competitiveness and position in the market. Conventional evaluation methods are not able to identify reliably intangible intensive business value because of such assets specificity. Therefore, the business assessment process adjustment, making it comprehensive and including the intangible asset valuation methods is a critical process that allows to evaluate companies better and increases business managem...

Futures markets, cognitive ability, and mispricing in experimental asset markets

NARCIS (Netherlands)

Noussair, Charles; Tucker, Steven; Xu, Yilong

2016-01-01

We study the effect of a futures market, in which contracts maturing in the last period of the life of the asset can be traded. Our experiment has two treatments, one in which a spot market operates on its own, and a second treatment, in which a spot and a futures market are active simultaneously.

The Evaluation of Company's Intangible Assets' influence for Business Value

Directory of Open Access Journals (Sweden)

Živilė Savickaitė

2014-12-01

Full Text Available Mismeasurement of intangible assets in a company may result in high costs and loss of its competitiveness and position in the market. Conventional evaluation methods are not able to identify reliably intangible intensive business value because of such assets specificity. Therefore, the business assessment process adjustment, making it comprehensive and including the intangible asset valuation methods is a critical process that allows to evaluate companies better and increases business management efficiency and quality. The article states the importance of further scientific research in the areas of the intangible value resources, creation of business valuation, intangible assets valuation methods and models - the creation of intangible assets on the firm level and how they meet changing needs of the company's owners, capital markets investors, politicians and other interest-groups needs in the intangible intensive economy should be analysed as well as how economic systems based on intangible assets operates. Also special attention is be given to the strenghtening of the cooperation of scientific research and business. It's important to avoid a repeat of guidelines, methods, models and systems of intangible assets' measurement and business valuation methods and to eliminate its disadvantages in order to create and establish universal system for effective intangible intensive business valuation.

Key determinants of managing the marketing asset of global companies

OpenAIRE

Tatyana Tsygankova; Roman Ponomarenko

2016-01-01

As a result of organization and summarization of key concepts of evolution of the marketing tools of global companies, the authors determined the role of the marketing assets in the system of modern marketing management (as a dialectically higher stage of development of the analyzed tools, which will allow overcoming the antagonistic contradiction of “P- and C-vectors” of their development). The article identified the optimal set of key elements of the system of marketing assets, which are th...

The Educational Asset Market: A Finance Perspective on Human Capital Investment

DEFF Research Database (Denmark)

Christiansen, Charlotte; Nielsen, Helena Skyt

2002-01-01

on type and level of education enables us to focus on the shared features between human capital and stock investments. An innovative finance-labor approach is applied to study the educational asset market. A risk-return trade-off is revealed which is not directly related to the length of education.......Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each young individual chooses the educational asset that matches his preferred combination of risk and return in terms of future income. A unique register-based data set with exact information...

Marketing Plan for Demonstration and Validation Assets

Energy Technology Data Exchange (ETDEWEB)

None, None

2008-05-30

The National Security Preparedness Project (NSPP), is to be sustained by various programs, including technology demonstration and evaluation (DEMVAL). This project assists companies in developing technologies under the National Security Technology Incubator program (NSTI) through demonstration and validation of technologies applicable to national security created by incubators and other sources. The NSPP also will support the creation of an integrated demonstration and validation environment. This report documents the DEMVAL marketing and visibility plan, which will focus on collecting information about, and expanding the visibility of, DEMVAL assets serving businesses with national security technology applications in southern New Mexico.

The impact of asset repurchases and issues in an experimental market

NARCIS (Netherlands)

Haruvy, E.; Noussair, C.N.; Powell, O.R.

We create an experimental asset market in which the value of the shares is independent of the quantity outstanding, and find that (i) repurchases increase, whereas share issues decrease, the price of the asset. These effects are consistent with downward-sloping demand for the asset. (ii) This

Asset Stripping in a Mature Market Economy

DEFF Research Database (Denmark)

Klarskov Jeppesen, Kim; Møller, Ulrik Gorm

2011-01-01

Purpose – The purpose of this paper is to document a Danish fraud scheme, in which a large number of limited companies were stripped of their assets leaving them with nothing but tax debt, eventually causing the Danish Tax and Customs Administration to lose large sums. Furthermore, the purpose...... indicates that asset stripping may take place in mature market economies to the extent that perpetrators are able to circumvent the corporate governance system by giving lawyers, public accountants and banks incentives to act less critically towards dubious business transactions. Research limitations...

Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals

NARCIS (Netherlands)

Noussair, C.N.; Powell, O.R.

2008-01-01

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals decline

Trader characteristics and fundamental value trajectories in an asset market experiment

NARCIS (Netherlands)

Breaban, Adriana; Noussair, Charles

2015-01-01

We report results from an asset market experiment, in which we investigate the relationship between traders’ risk aversion, loss aversion, and cognitive ability and their trading behavior and market outcomes. Greater average risk aversion on the part of traders in the market predicts lower market

Incentive structures in institutional asset management and their implications for financial markets

OpenAIRE

Bank for International Settlements

2003-01-01

Executive summary The institutional asset management industry has become an important feature of modern financial markets, with the scale of this business's importance readily apparent from the size of assets under management by different types of institutional asset managers. With asset management involving a delegation process, shaping appropriate incentive structures is essential for aligning the incentives of owners of funds with those of the institutional managers of these funds. Further...

Stock Market Integration: Are Risk Premiums of International Assets Equal?

Directory of Open Access Journals (Sweden)

Kusdhianto Setiawan

2014-02-01

Full Text Available This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.

Real options and asset valuation in competitive energy markets

Science.gov (United States)

Oduntan, Adekunle Richard

The focus of this work is to develop a robust valuation framework for physical power assets operating in competitive markets such as peaking or mid-merit thermal power plants and baseload power plants. The goal is to develop a modeling framework that can be adapted to different energy assets with different types of operating flexibilities and technical constraints and which can be employed for various purposes such as capital budgeting, business planning, risk management and strategic bidding planning among others. The valuation framework must also be able to capture the reality of power market rules and opportunities, as well as technical constraints of different assets. The modeling framework developed conceptualizes operating flexibilities of power assets as "switching options' whereby the asset operator decides at every decision point whether to switch from one operating mode to another mutually exclusive mode, within the limits of the equipment constraints of the asset. As a current decision to switch operating modes may affect future operating flexibilities of the asset and hence cash flows, a dynamic optimization framework is employed. The developed framework accounts for the uncertain nature of key value drivers by representing them with appropriate stochastic processes. Specifically, the framework developed conceptualizes the operation of a power asset as a multi-stage decision making problem where the operator has to make a decision at every stage to alter operating mode given currently available information about key value drivers. The problem is then solved dynamically by decomposing it into a series of two-stage sub-problems according to Bellman's optimality principle. The solution algorithm employed is the Least Squares Monte Carlo (LSM) method. The developed valuation framework was adapted for a gas-fired thermal power plant, a peaking hydroelectric power plant and a baseload power plant. This work built on previously published real options valuation

Estimating Phenomenological Parameters in Multi-Assets Markets

Science.gov (United States)

Raffaelli, Giacomo; Marsili, Matteo

Financial correlations exhibit a non-trivial dynamic behavior. This is reproduced by a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that correlations determine the optimal portfolio but are affected by investment based on it. Such a feedback on correlations gives rise to an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. We discuss how the model's parameter can be estimated in real market data with a maximum likelihood principle. This confirms the main conclusion that real markets operate close to a dynamically unstable point.

Information mirages and financial contagion in an asset market experiment

NARCIS (Netherlands)

Noussair, Charles; Xu, Yilong

2015-01-01

Purpose – The purpose of this paper is to consider whether asymmetric information about correlations between assets can induce financial contagion. Contagion, unjustified by fundamentals, would arise if participants react in one market to uninformative trades in the other market that actually convey

Fundamental Value Trajectories and Trader Characteristics in an Asset Market Experiment

NARCIS (Netherlands)

Breaban, A.G.; Noussair, C.N.

2014-01-01

Abstract: We report results from an asset market experiment, in which we investigate how the time path of the fundamental value trajectory affects the level of adherence to fundamentals. In contrast to previous experiments with long-lived assets, there is a phase in which fundamental values are

The Impact of Asset Repurchases and Issues in an Experimental Market

NARCIS (Netherlands)

Haruvy, E.; Noussair, C.N.; Powell, O.R.

2012-01-01

Abstract: We create an experimental asset market in which we conduct share repurchases and share issues. Although the intrinsic value of the shares is independent of the quantity outstanding, the interventions result in changes in asset price. Specifically, we find the following. (1) A repurchase of

Static and dynamic factors in an information-based multi-asset artificial stock market

Science.gov (United States)

Ponta, Linda; Pastore, Stefano; Cincotti, Silvano

2018-02-01

An information-based multi-asset artificial stock market characterized by different types of stocks and populated by heterogeneous agents is presented. In the market, agents trade risky assets in exchange for cash. Beside the amount of cash and of stocks owned, each agent is characterized by sentiments and agents share their sentiments by means of interactions that are determined by sparsely connected networks. A central market maker (clearing house mechanism) determines the price processes for each stock at the intersection of the demand and the supply curves. Single stock price processes exhibit volatility clustering and fat-tailed distribution of returns whereas multivariate price process exhibits both static and dynamic stylized facts, i.e., the presence of static factors and common trends. Static factors are studied making reference to the cross-correlation of returns of different stocks. The common trends are investigated considering the variance-covariance matrix of prices. Results point out that the probability distribution of eigenvalues of the cross-correlation matrix of returns shows the presence of sectors, similar to those observed on real empirical data. As regarding the dynamic factors, the variance-covariance matrix of prices point out a limited number of assets prices series that are independent integrated processes, in close agreement with the empirical evidence of asset price time series of real stock markets. These results remarks the crucial dependence of statistical properties of multi-assets stock market on the agents' interaction structure.

A multi-assets artificial stock market with zero-intelligence traders

Science.gov (United States)

Ponta, L.; Raberto, M.; Cincotti, S.

2011-01-01

In this paper, a multi-assets artificial financial market populated by zero-intelligence traders with finite financial resources is presented. The market is characterized by different types of stocks representing firms operating in different sectors of the economy. Zero-intelligence traders follow a random allocation strategy which is constrained by finite resources, past market volatility and allocation universe. Within this framework, stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Moreover, the cross-correlations between returns of different stocks are studied using methods of random matrix theory. The probability distribution of eigenvalues of the cross-correlation matrix shows the presence of outliers, similar to those recently observed on real data for business sectors. It is worth noting that business sectors have been recovered in our framework without dividends as only consequence of random restrictions on the allocation universe of zero-intelligence traders. Furthermore, in the presence of dividend-paying stocks and in the case of cash inflow added to the market, the artificial stock market points out the same structural results obtained in the simulation without dividends. These results suggest a significative structural influence on statistical properties of multi-assets stock market.

Discovering Bayesian Market Views for Intelligent Asset Allocation

OpenAIRE

Xing, Frank Z.; Cambria, Erik; Malandri, Lorenzo; Vercellis, Carlo

2018-01-01

Along with the advance of opinion mining techniques, public mood has been found to be a key element for stock market prediction. However, in what manner the market participants are affected by public mood has been rarely discussed. As a result, there has been little progress in leveraging public mood for the asset allocation problem, as the application is preferred in a trusted and interpretable way. In order to address the issue of incorporating public mood analyzed from social media, we pro...

Experiments on asset markets & decision making : The role of information and time

NARCIS (Netherlands)

Xu, Yilong

2017-01-01

This dissertation applies experimental methods to answer a number of questions in economics. Chapter 2 studies whether mispricing in an asset market can be mitigated by introducing a futures market and how trading behaviors in these markets relate to individuals’ cognitive ability. Chapter 3 answers

Marketing assets: Relating brand equity and customer equity

Directory of Open Access Journals (Sweden)

Jaime Romero

2016-03-01

Full Text Available Purpose: Brand equity and customer equity are inextricably linked. Some authors propose that marketing activities build these intangible assets simultaneously. In contrast, others suggest that brand equity is an antecedent of customer equity. In this research, we aim to shed light about the relationship between brand equity and customer equity, by empirically testing these two alternative explanations. Design/methodology/approach: We propose four research models that reflect these two alternatives explanations regarding the link between brand equity and customer equity. In order to estimate these models we employ Structural Equations Modelling. We measure model variables using data collected through a survey to marketing managers of services companies that operate in Spain. We compare these four research models in terms of explanatory power and goodness of fit. Findings: Our results indicate that the models that correspond to the simultaneity approach have a higher explanatory power and goodness of fit than the models that suggest that brand equity is an antecedent of customer equity, thus supporting that these intangible assets are built by marketing activities at the same time. Research limitations/implications: Our results recommend caution when interpreting previous research about the effects of brand (customer equity, as they might indeed correspond to customer (brand management. Similarly, future research focusing on customer and brand management need to take into account both managerial areas in their studies. Practical implications: From a practitioners’ point of view, our findings suggest adopting a brand-customer portfolio approach to enhance company profitability. Similarly, we derive implications for firm valuation processes, which incorporate brand equity and customer equity in their calculations. Originality/value: We empirically study the relationship between brand equity and customer equity, while previous research has analyzed

Behavior and asset markets : Individual decisions, emotions and fundamental value trajectories

NARCIS (Netherlands)

Breaban, A.G.

2014-01-01

This thesis consists of four chapters related to individual- and market- level behavior in experimental financial markets. The first three chapters analyze asset pricing and, in particular, stylized facts such as bubbles and crashes, as well as some of the factors that influence such phenomena. In

The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities

OpenAIRE

Paul D. McNelis

1993-01-01

This paper is a data-analytic study of the relationships among international asset price volatilities and the time-varying correlations of asset returns in a small open economy (Australia) with international asset returns. Making use of recent developments in time-series approaches to volatility estimation, impulse response functions, variance decomposition, and Kalman filtering, I show that the Australian stock market volatility is most closely linked with volatility in the UK stock market, ...

Essays on Market Microstructure, Behavioral Finance, and Asset Management

Science.gov (United States)

Jochec, Marek

2009-01-01

This is a study on various aspects of market microstructure, behavioral finance and asset management. In the first chapter we put the PIN variable (Probability of Information-based trading) to test. The PIN variable has been used extensively in the microstructure literature despite the fact that its construction is based on rather strong…

ACCOUNTING AND TAX TREATMENT OF THE RE-EVALUATION OF THE TANGIBLE ASSETS

Directory of Open Access Journals (Sweden)

Daniela CRETU

2013-01-01

Full Text Available The methods of patrimonial evaluation are recognised on a large scale by the specialists in the Continental Europe, while the specialists in the North America almost ignore them, they consider as a realistic economic value the one that results from the update of the forecast cash-flows. The Romanian financial school does not mention at present a basic orientation related to the continental or American opinion. In general, it can be found out that the attitude of the Romanian authors, specialised in the accounting domain, is for the patrimonial methods, and those in financial professional domain, is for the financial and stock methods. According to the International Standards for business evaluation, the “asset based approach is the way to estimate the value of a business and /or the participations to it, using methods based on the market value of the individual assets of the business, decreasing its debts”. The entities can proceed to the re-evaluation of the tangible assets that exist at the end of the financial exercise, so that they are presented to their true value in accounting, reflecting the results of this re-evaluation in the financial reports made for that exercise. In this context, the present paper proposes the analysis of the accounting and tax treatmentforeseen by the accounting regulations, according to the European directives, and to the procedures of evaluation and re-evaluation of the tangible assets.

Marketing assets: relating brand equity and customer equity

OpenAIRE

Romero, Jaime; Yagüe, María J.

2016-01-01

Purpose: Brand equity and customer equity are inextricably linked. Some authors propose that marketing activities build these intangible assets simultaneously. In contrast, others suggest that brand equity is an antecedent of customer equity. In this research, we aim to shed light about the relationship between brand equity and customer equity, by empirically testing these two alternative explanations. Design/methodology/approach: We propose four research models that reflect these two alte...

Pareto Improving Price Regulation when the Asset Market is Incomplete

NARCIS (Netherlands)

Herings, P.J.J.; Polemarchakis, H.M.

1999-01-01

When the asset market is incomplete, competitive equilibria are constrained suboptimal, which provides a scope for pareto improving interventions. Price regulation can be such a pareto improving policy, even when the welfare effects of rationing are taken into account. An appealing aspect of price

THE ESTIMATION OF INFLUENCE OF OUT-OF-BALANCE INTANGIBLE ASSETS ON THE ENTERPRISE MARKET VALUE

Directory of Open Access Journals (Sweden)

Y. Melnyk

2017-12-01

Full Text Available The aim of this article is investigation of the factors of influence of out-of-balance intangible assetsand other non-monetary factors on the general market value of the enterprises of small, middle-sized and bigbusiness with the aim of providing their competitiveness, further development and giving the possibility ofmanaging the enterprise cost in the market. The investigation showed that the degree of influence of the latent non-monetary factors, including out-of-balance intangible assets can be much more essential than influence of balance intangible assets and other assets of the enterprise. Carrying out of the investigation allowed us to determine optimal methodological approaches y of determining the enterprise cost taking intoaccount out-of-balance intangible assets. The methodology has a number of indisputable advantages, whichcan be leveled only during carrying out the further investigations.

Appraisal of the Fischer-DiPasquale-Wheaton (FDW real estate model and development of an integrated property and asset market model

Directory of Open Access Journals (Sweden)

H Du Toit

2004-04-01

Full Text Available This paper provides a concise overview of the development of an integrated property and asset market model (IPAMM for South African property markets, utilising the Pretoria office market as case study. The IPAMM simulates the interrelationships between property and asset markets in a diagrammatic quadrant model configuration. The Fischer-DiPasquale-Wheaton (FDW real estate model, arguably the most advanced diagrammatic quadrant real estate model available at present, served as basis for the development of IPAMM. IPAMM is essentially a regression model based on a system of stochastic equations that captures the interrelationships between property and asset markets. The model advances beyond mere conceptualisation of these relationships to a quantified interpretation and application of the theoretical premises that represent the micro-foundations of economic behaviour in property and asset markets.

EVALUATION METHODS USED FOR TANGIBLE ASSETS BY ECONOMIC ENTITIES

Directory of Open Access Journals (Sweden)

Csongor CSŐSZ

2014-06-01

Full Text Available At many entities the net asset value is influenced by the evaluation methods applied for tangible assets, because the value of intangible assets and financial assets is small in most cases. The objective of this paper is to analyze the differences between the procedures / methods of evaluation applied by micro and small entities and medium and large entities for tangible assets in Romania and Hungary. Furthermore, we analyze the differences between the procedures / methods of evaluation applied by micro and small entities in Romania and Hungary, respectively the differences between medium and large entities regarding de evaluation methods for tangible assets in Romania and Hungary. For this empirical study the questionnaire is used – as research technique, and to demonstrate the significant differences between the evaluation methods we used the Kolmogorov – Smirnov Z test.

THE PROCESS OF EVALUATING PRIMARY FINANCIAL ASSETS ON THE CAPITAL MARKET

Directory of Open Access Journals (Sweden)

Ionel Eduard Ionescu

2013-12-01

Full Text Available The capital market is where supply meets demand and stocks, bonds, future contracts and other stock products are circulated. This study intends to argue for the importance of financial instruments on the capital market, and especially their evaluating process. On such a market, the moment when an investor decides to buy or sell a portfolio is very important. Hence the numerous questions that an investor is faced with: should I buy today? Should I wait? What will be the price trend the following days? In order to be able to handle any situation, it is necessary to carry out calculations on the evaluation indicators of financial instruments.

Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market

Directory of Open Access Journals (Sweden)

Vitor Gonçalves de Azevedo

2016-01-01

Full Text Available Abstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993 asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns.

Network formation in a multi-asset artificial stock market

Science.gov (United States)

Wu, Songtao; He, Jianmin; Li, Shouwei; Wang, Chao

2018-04-01

A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.

Market for oil and gas assets defined in survey

International Nuclear Information System (INIS)

Taggart, L.; Murry, D.A.

1991-01-01

This paper reports that hundreds of companies are currently active in the oil and gas acquisition and disposition marketplace, but unfortunately, the entire sale process within the industry continues to operate inefficiently. The mechanism for selling oil and gas properties in this secondary market - as used here, a term that excludes initial investments in oil and gas assets and sales of drilling program shares - is sort of catch-as-catch- can. Identifying who is seeking what type of property at any time is difficult, bordering on guesswork. A recent survey of 186 company representatives and individuals, who declared themselves as in the market, disclosed some of this information at a point in time

Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada

OpenAIRE

Clare, A.; O'Sullivan, N.; Sherman, M.; Thomas, S.

2016-01-01

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skilful at timing market movement across asset classes over time. The timing literature has tended to concentrate on the timing skill of single asset class funds. Using data on US, UK and Canadian multi-asset class funds, we apply two alternative methodologi...

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

NARCIS (Netherlands)

D.C. Blitz (David); P. van Vliet (Pim)

2008-01-01

textabstractIn this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our

A Dealer Model of Foreign Exchange Market with Finite Assets

Science.gov (United States)

Hamano, Tomoya; Kanazawa, Kiyoshi; Takayasu, Hideki; Takayasu, Misako

An agent-based model is introduced to study the finite-asset effect in foreign exchange markets. We find that the transacted price asymptotically approaches an equilibrium price, which is determined by the monetary balance between the pair of currencies. We phenomenologically derive a formula to estimate the equilibrium price, and we model its relaxation dynamics around the equilibrium price on the basis of a Langevin-like equation.

Financial Integration and Asset Returns

OpenAIRE

P Martin; H Rey

2000-01-01

The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

Stock Market Effects of ECB’s Asset Purchase Programmes

DEFF Research Database (Denmark)

Henseler, Kai; Rapp, Marc Steffen

2018-01-01

How do stock prices react to ECB’s Asset Purchase Programmes? Using an event-study approach, we find substantial cross-sectional variation in a sample of 2625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent wi...... with a credit channel. Furthermore, announcement returns are negatively correlated with the market-to-book ratio, suggesting different exposures of value and growth stocks. These patterns are more pronounced once we only examine programme initiation announcements....

Stock Market Effects of ECB’s Asset Purchase Programmes

DEFF Research Database (Denmark)

Henseler, Kai; Rapp, Marc Steffen

2018-01-01

How do stock prices react to ECB’s Asset Purchase Programmes? Using an event-study approach, we find substantial cross-sectional variation in a sample of 2625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent...... with a credit channel. Furthermore, announcement returns are negatively correlated with the market-to-book ratio, suggesting different exposures of value and growth stocks. These patterns are more pronounced once we only examine programme initiation announcements....

Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market

Directory of Open Access Journals (Sweden)

Otávio Ribeiro de Medeiros

2011-09-01

Full Text Available This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were explained not only by systematic risk, as proposed by the CAPM, by Fama and French’s (1993 three-factor model, and by Carhart’s (1997 momentum-factor model, but also by liquidity, as suggested by Amihud and Mendelson (1986. To achieve this, we used stock portfolios and five measures of liquidity. Among the asset pricing models tested, the CAPM was the least capable of explaining returns. We found that the inclusion of size and book-to-market factors in the CAPM, a momentum factor in the three-factor model, and a liquidity factor in the four-factor model improve their explanatory power of portfolio returns. In addition, we found that the five-factor model is marginally superior to the other asset pricing models tested.

Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market

Directory of Open Access Journals (Sweden)

Chi Xie

2017-01-01

Full Text Available With the quick development of the Internet, online platforms that provide financial news and opinions have attracted more and more attention from investors. The question whether investor sentiment expressed on the Internet platforms has an impact on asset return has not been fully addressed. To this end, this paper uses the Baidu Searching Index as the agent variable to detect the effect of online investor sentiment on the asset price movement in the Chinese stock market. The empirical study shows that although there is a cointegration relationship between online investor sentiment and asset return, the sentiment has a poor ability to predict the price, return, and volatility of asset price. Meanwhile, the structural break points of online investor sentiment do not lead to changes in the asset price movement. Based on the empirical mode decomposition of online investor sentiment, we find that high frequency components of online investor sentiment can be used to predict the asset price movement. Thus, the obtained results could be useful for risk supervision and asset portfolio management.

CURRENT ASSET TUNNELING AND FIRM PERFORMANCE IN AN EMERGING MARKET

OpenAIRE

Ratna Candra Sari; Zaki Baridwan

2014-01-01

This study examines the effect of current asset tunneling on firm performance from the emerging market perspective. Although tunneling activities is a common practices by businesses especially in Indonesia, there exist obstacles in the measurement of tunneling activity because it is difficult to proof the existence of such practices. In this study, we measure tunneling by using accounts receivables and develop tunneling detection criteria. In addition, this study examines the effect of tunnel...

Market Microstructure Effects on Firm Default Risk Evaluation

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Flavia Barsotti

2016-07-01

Full Text Available Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined inside a Merton-like structural model. To estimate the volatility risk component of a firm we use high-frequency equity data: market microstructure noise is introduced as a direct effect of observing noisy high-frequency equity prices. A Monte Carlo simulation analysis is conducted to (i test the performance of alternative non-parametric equity volatility estimators in their capability of filtering out the microstructure noise and backing out the true unobservable asset volatility; (ii study the effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non-parametric volatility estimators on risk evaluation is not negligible: a sensitivity analysis defined for alternative values of the leverage parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper estimator to consider from a credit risk perspective.

Risk and return in oilfield asset holdings

International Nuclear Information System (INIS)

Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans

2008-01-01

Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

Risk and return in oilfield asset holdings

Energy Technology Data Exchange (ETDEWEB)

Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans [University of Edinburgh, College of Humanities and Social Sciences, The Management School (United Kingdom)

2008-11-15

Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

OpenAIRE

Blitz, D.C.; van Vliet, P.

2008-01-01

textabstractIn this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short b...

The Dynamics of Market Insurance, Insurable Assets, and Wealth Accumulation

OpenAIRE

Koeniger, Winfried

2002-01-01

We analyze dynamic interactions between market insurance, the stock of insurable assets and liquid wealth accumulation in a model with non-durable and durable consumption. The stock of the durable is exposed to risk against which households can insure. Since the model does not have a closed form solution we first provide an analytical approximation for the case in which households own abundant liquid wealth. It turns out that precautionary motives still matter because of fluctuations of the p...

Dynamic asset trees in the US stock market: Structure variation and market phenomena

International Nuclear Information System (INIS)

Huang, Wei-Qiang; Yao, Shuang; Zhuang, Xin-Tian; Yuan, Ying

2017-01-01

In this work, employing a moving window to scan through every stock price time series over a period from 2 January 1986 to 20 October 2015, we use cross-correlations to measure the interdependence between stock prices, and we construct a corresponding minimal spanning tree for 170 U.S. stocks in every given window. We show how the asset tree evolves over time and describe the dynamics of its normalized length, centrality measures, vertex degree and vertex strength distributions, and single- and multiple-step edge survival ratios. We find that the normalized tree length shows a tendency to decrease over the 30 years. The power-law of vertex degree or vertex strength distribution does not hold for all trees. The survival ratio analysis reveals an increased stability of the dependence structure of the stock market as time elapses. We then examine the relationship between tree structure variation and market phenomena, such as average, volatility and tail risk of stock (market) return. Our main observation is that the normalized tree length has a positive relationship with the level of stock market average return, and it responds negatively to the market return volatility and tail risk. Furthermore, the majority of stocks have their vertex degrees significantly positively correlated to their average return, and significantly negatively correlated to their return volatility and tail risk.

Incentive-based demand response programs designed by asset-light retail electricity providers for the day-ahead market

International Nuclear Information System (INIS)

Fotouhi Ghazvini, Mohammad Ali; Faria, Pedro; Ramos, Sergio; Morais, Hugo; Vale, Zita

2015-01-01

Following the deregulation experience of retail electricity markets in most countries, the majority of the new entrants of the liberalized retail market were pure REP (retail electricity providers). These entities were subject to financial risks because of the unexpected price variations, price spikes, volatile loads and the potential for market power exertion by GENCO (generation companies). A REP can manage the market risks by employing the DR (demand response) programs and using its' generation and storage assets at the distribution network to serve the customers. The proposed model suggests how a REP with light physical assets, such as DG (distributed generation) units and ESS (energy storage systems), can survive in a competitive retail market. The paper discusses the effective risk management strategies for the REPs to deal with the uncertainties of the DAM (day-ahead market) and how to hedge the financial losses in the market. A two-stage stochastic programming problem is formulated. It aims to establish the financial incentive-based DR programs and the optimal dispatch of the DG units and ESSs. The uncertainty of the forecasted day-ahead load demand and electricity price is also taken into account with a scenario-based approach. The principal advantage of this model for REPs is reducing the risk of financial losses in DAMs, and the main benefit for the whole system is market power mitigation by virtually increasing the price elasticity of demand and reducing the peak demand. - Highlights: • Asset-light electricity retail providers subject to financial risks. • Incentive-based demand response program to manage the financial risks. • Maximizing the payoff of electricity retail providers in day-ahead market. • Mixed integer nonlinear programming to manage the risks

International Asset Pricing, Currency Risk and Integration of Markets

Directory of Open Access Journals (Sweden)

Sema BAYRAKTAR

2014-11-01

Full Text Available This study attempts to test the conditional version of the international asset-pricing model proposed in Bayraktar (2000, 2009 by using a parsimonious multivariate GARCH process. The theoretical model, contrary to previous empirical studies that have used random selection of currency risks, determines which currencies should be included in an empirical test, thus avoids this kind of random selection bias. The results from both full and sub-samples regressions provide some weak evidence for the existence of exchange rate risks, thus partially support the theory. However, exchange rate risks' premia are found considerably smaller than that of market risk.

Tactical Asset Allocation mit Genetischen Algorithmen

OpenAIRE

Manuel Ammann; Christian Zenkner

2003-01-01

In this study of tactical asset allocation, we use a genetic algorithm to implement a market timing strategy. The algorithm makes a daily decision whether to invest in the market index or in a riskless asset. The market index is represented by the S&P500 Composite Index, the riskless asset by a 3-month T-Bill. The decision of the genetic algorithm is based on fundamental macroeconomic variables. The association of fundamental variables with a set of operators creates a space of possible strat...

CURRENT ASSET TUNNELING AND FIRM PERFORMANCE IN AN EMERGING MARKET

Directory of Open Access Journals (Sweden)

Ratna Candra Sari

2014-12-01

Full Text Available This study examines the effect of current asset tunneling on firm performance from the emerging market perspective. Although tunneling activities is a common practices by businesses especially in Indonesia, there exist obstacles in the measurement of tunneling activity because it is difficult to proof the existence of such practices. In this study, we measure tunneling by using accounts receivables and develop tunneling detection criteria. In addition, this study examines the effect of tunneling on firm performance and market reaction during the announcement of the related party transaction. The study finds that from the perspective of the being-tunneled companies, receivables to related parties negatively affect the company’s profit margin. Companies which announce related party transaction indicating tunneling obtain negative abnormal return during the announcement of the related party transaction.

ASSESSMENT OF BANKING ASSETS ON FINANCIAL RISK MANAGEMENT - ALBANIAN CASE

Directory of Open Access Journals (Sweden)

ADRIATIK KOTORRI

2014-02-01

Full Text Available Recognizing the asset value dynamics volatility of the financial institutions and the importance of its recognition both for financial reporting purposes and risk management effect, this paper aims to provide a practical model for the assets and financial institutions evaluation especially banks. It also aims to present a model to measure the value of banking assets for the purposes of risk management as an opportunity to identify in an early moment the banking risks. The paper develops the bank assets assessment forms and the basis of mathematical modeling of this assessment in general. He identifies also the evaluation factors as for example time to maturity, interest rate market for the assets (YTM, the interest rate agreed, the early repayment of the loan, interest ceilings and floors, off-balance sheet treatment, etc..

Fractional-moment Capital Asset Pricing model

International Nuclear Information System (INIS)

Li Hui; Wu Min; Wang Xiaotian

2009-01-01

In this paper, we introduce the definition of the 'α-covariance' and present the fractional-moment versions of Capital Asset Pricing Model,which can be used to price assets when asset return distributions are likely to be stable Levy (or Student-t) distribution during panics and stampedes in worldwide security markets in 2008. Furthermore, if asset returns are truly governed by the infinite-variance stable Levy distributions, life is fundamentally riskier than in a purely Gaussian world. Sudden price movements like the worldwide security market crash in 2008 turn into real-world possibilities.

Neoclassical and Behavioural Asset Pricing Models : The Case of Sri Lanka

OpenAIRE

Perera, Shenali Anne

2013-01-01

This study aims to provide a better understanding of the Sri Lankan stock market in terms of asset pricing models. In order to achieve this goal this research evaluates the Fama and French three-factor model and a behavioural asset pricing model to investigate which framework is better suited for security valuation in Sri Lanka. Accordingly findings reveal that small stocks with low book-to-market equity generate high realized returns. But results indicate that superior returns on these stock...

The Effects of Asset Management and Profitability on Stock Returns: A Comparative Study between Conventional and Islamic Stock Markets in Indonesia

Directory of Open Access Journals (Sweden)

Shelly Midesia

2016-09-01

Full Text Available This study aims at empirically examining whether there are differences in stock returns between conventional and Islamic stock returns In Indonesia for the period 2010-2013. This study also attempts to explore the effect of asset management and profitability both stock returns in Indonesia. Annual pooled data gathered from the annual financial reports of 100 conventional and Islamic stock returns, which were published by the Indonesian Stock Exchange from 2010 to 2013 were used and analyzed by using the independent t-test and panel multivariate regression analysis. The result shows that there was no difference in stock returns between the conventional and Islamic stock markets. Additionally, the study documents that only profitability, which is measured by market ratio, was found to have an influence on the conventional stock markets. Meanwhile, as for Islamic stock market, only management of assets was found to have a significant effect on the stock return. These findings imply that investors who are investing in both Islamic and conventional markets would gain similar returns. However, in predicting and stabilizing the stock markets, both investors and policy makers should focus on the profitability for the conventional and management of assets for the Islamic stock market.

Asset Stock Accumulation and Sustainability of Competitive Advantage

OpenAIRE

Ingemar Dierickx; Karel Cool

1989-01-01

Given incomplete factor markets, appropriate time paths of flow variables must be chosen to build required stocks of assets. That is, critical resources are accumulated rather than acquired in "strategic factor markets" (Barney [Barney, J. 1986. Strategic factor markets: Expectations, luck, and business strategy. Management Sci. (October) 1231--1241.]). Sustainability of a firm's asset position hinges on how easily assets can be substituted or imitated. Imitability is linked to the characteri...

Asset Pricing in Emerging Markets

OpenAIRE

Ajrapetova, Tamara

2017-01-01

General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equ...

Price Manipulation in an Experimental Asset Market

OpenAIRE

Veiga Helena; Vorsatz Marc

2006-01-01

We analyze in the laboratory whether an uninformed trader is able to manipulate the price of a financial asset. To do so, we compare the results of two different experimental treatments. In the Benchmark Treatment, twelve subjects trade a common value asset that takes either a high or a low value. Information is distributed asymmetrically, only three outof twelve subjects know the actual value of the asset. The Manipulation Treatment is identical to the Benchmark Treatment apart from the fact...

77 FR 52887 - Regulatory Capital Rules: Standardized Approach for Risk-Weighted Assets; Market Discipline and...

Science.gov (United States)

2012-08-30

... Discipline and Disclosure Requirements; Proposed Rule #0;#0;Federal Register / Vol. 77 , No. 169 / Thursday... Assets; Market Discipline and Disclosure Requirements AGENCY: Office of the Comptroller of the Currency... Approach NPR) includes proposed changes to the agencies' general risk-based capital requirements for...

Nuclear industry strategic asset management: Managing nuclear assets in a competitive environment

International Nuclear Information System (INIS)

Mueller, H.; Hunt, E.W. Jr.; Oatman, E.N.

1999-01-01

The former Electric Power Research Institute took the lead in developing an approach now widely known as strategic asset management (SAM). The SAM methodology applies the tools of decision/risk analysis used in the financial community to clarify effective use of physical assets and resources to create value: to build a clear line of sight to value creation. SAM processes have been used in both the power and other industries. The rapid change taking place in the nuclear business creates the need for competitive decision making regarding the management of nuclear assets. The nuclear industry is moving into an era in which shareholder value is determined by the net revenues earned on power marketed in a highly competitive and frequently low-priced power market environment

Asset prices and priceless assets

NARCIS (Netherlands)

Penasse, J.N.G.

2014-01-01

The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has

SPLINE LINEAR REGRESSION USED FOR EVALUATING FINANCIAL ASSETS 1

Directory of Open Access Journals (Sweden)

Liviu GEAMBAŞU

2010-12-01

Full Text Available One of the most important preoccupations of financial markets participants was and still is the problem of determining more precise the trend of financial assets prices. For solving this problem there were written many scientific papers and were developed many mathematical and statistical models in order to better determine the financial assets price trend. If until recently the simple linear models were largely used due to their facile utilization, the financial crises that affected the world economy starting with 2008 highlight the necessity of adapting the mathematical models to variation of economy. A simple to use model but adapted to economic life realities is the spline linear regression. This type of regression keeps the continuity of regression function, but split the studied data in intervals with homogenous characteristics. The characteristics of each interval are highlighted and also the evolution of market over all the intervals, resulting reduced standard errors. The first objective of the article is the theoretical presentation of the spline linear regression, also referring to scientific national and international papers related to this subject. The second objective is applying the theoretical model to data from the Bucharest Stock Exchange

INTANGIBLE ASSETS EVALUATION FOR THE KNOWLEDGE MANAGEMENT

Directory of Open Access Journals (Sweden)

Wellington Washington Cantelli

2006-11-01

Full Text Available In the history of civilizations, knowledge has always been highlighted, mainly because of its close relation with power. In the modern world, where the efficiency in solving problems has become the main component for the success of companies and the knowledge is responsible for putting some companies ahead in competitions, it is necessary to insert them in the management models as well as finding a way to measure them. Measuring the knowledge and other intangible assets, has been discussed among university students and in companies which are more worried about knowledge. There are some controversies about this subject because its high level of subjectivity, when measuring the intangible assets. This article aims to show the main methods to evaluate the intangible assets versus the traditional ones.

Monetary Policy, Incomplete Asset Markets, and Welfare in a Small Open Economy

OpenAIRE

Shigeto Kitano; Kenya Takaku

2014-01-01

We develop a small open economy model with capital, sticky prices, and a simple form of financial frictions. We compare welfare levels under three alternative rules: a domestic inflation-based Taylor rule, a CPI inflation-based Taylor rule, and an exchange rate peg. We show that the superiority of an exchange rate peg over a domestic inflation-based Taylor rule becomes more pronounced under incomplete financial asset markets and more severe financial frictions.

Intelligent tactical asset allocation support system

NARCIS (Netherlands)

Hiemstra, Y.

1995-01-01

This paper presents an advanced support system for Tactical Asset Allocation. Asset allocation explains over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation adjusts a strategic portfolio on the basis of short term market outlooks. The system includes

Asset Opacity and Liquidity

OpenAIRE

Stenzel, A.; Wagner, W.B.

2013-01-01

Abstract: We consider a model of private information acquisition in which the cost of information depends on an asset's opacity. The model generates a hump-shaped relationship between opacity and the equilibrium amount of private information. In particular, the incentives to acquire information are largest for assets of intermediate opacity; such assets hence display low liquidity in the secondary market due to adverse selection. We also show that costly information acquisition generates ince...

Dynamic service contracting for on-demand asset delivery

NARCIS (Netherlands)

Zhao, X.; Angelov, S.A.; Grefen, P.W.P.J.

2014-01-01

Traditional financial asset lease operates in an asset provider centred mode, in which financiers passively provide financial solutions to the customers of their allied asset vendors. To capture the highly customised asset lease demands from the mass market, this paper advocates adopting a

Asset Pricing and Monetary Policy

OpenAIRE

Bingbing Dong

2014-01-01

This paper examines the role of money in understanding the behavior of asset prices and whether and how monetary policy should react to asset prices such as stock prices and equity premiums. To do so, I introduce money via the form of transaction cost into a production economy with limited stock market participation where agents with lower inter-temporal elasticity of substitution (IES), called non-stockholders, have no access to stock market. In addition to facilitating transactions of consu...

Asset pricing restrictions on predictability : Frictions matter

NARCIS (Netherlands)

de Roon, F.A.; Szymanowska, M.

2012-01-01

U.S. stock portfolios sorted on size; momentum; transaction costs; market-to-book, investment-to-assets, and return-on-assets (ROA) ratios; and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a

Assets and place of nuclear power on the European energy market

International Nuclear Information System (INIS)

Damianov, S.; Giger, F.

2001-01-01

In the current context of falling prices, nuclear power proves competitive and this will only progress in the coming years. For the future, nuclear power must draw on two assets, namely environment and economy. It offers a reliable and stable procurement policy, with both security and energy independence. As a matter of fact, only nuclear power may guarantee stable prices over the long term. Other energy sources are branded by a high volatility in prices. And this volatility has a price in itself: customers are obliged to hedge their risk exposure with financial tools. It remains to be assessed what will be the share of these risk-coverage tools in the various energy offers, and what amounts the customers will be ready to pay for their risk-exposure. All the above being economical scenarios in a newly emerging and fluctuating market, where forecasts and market trending are still relatively doubtful. (author)

Casting a Resource-Based View on Intangible Assets and Export Behaviour

Directory of Open Access Journals (Sweden)

Seyyed Mohammad Tabatabaei Nasab

2013-09-01

Full Text Available Prosperous companies in the 21st century have come to know the necessity of intangible assets as an important factor to achieve sustainable competitive advantage and constant presence in the international markets. Hence, the purpose of this paper is to examine intangible assets and evaluate its relationship with export behaviour in terms of export intensity (Export-Sales Ratio and export type (Permanent, Occasional & Periodical. The population under study includes all export firms during 2002 until 2010 in Yazd province, Iran. Research data were collected by questionnaire and in order to answer the research questions and testing hypotheses, MCDM techniques (i.e. AHP & TOPSIS and statistical analysis (i.e. ANOVA were utilized. According to the research results, human capital, relational capital, technological capital, corporate reputation, and structural capital placed as the first to the fifth significant factors respectively. Findings revealed that there is a significant difference between the permanent and occasional presence in the international markets regarding intangible assets; as the mean of intangible assets in the firms with permanent export is higher than the mean of intangible assets in the firms with occasional export. However, there is no significant difference between intangible assets and the export intensity.

Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2013-01-01

Full Text Available This paper studies the optimal time consistent investment strategies in multiperiod asset-liability management problems under mean-variance criterion. By applying time consistent model of Chen et al. (2013 and employing dynamic programming technique, we derive two-time consistent policies for asset-liability management problems in a market with and without a riskless asset, respectively. We show that the presence of liability does affect the optimal strategy. More specifically, liability leads a parallel shift of optimal time-consistent investment policy. Moreover, for an arbitrarily risk averse investor (under the variance criterion with liability, the time-diversification effects could be ignored in a market with a riskless asset; however, it should be considered in a market without any riskless asset.

Asset price and trade volume relation in artificial market impacted by value investors

Science.gov (United States)

Tangmongkollert, K.; Suwanna, S.

2016-05-01

The relationship between return and trade volume has been of great interests in a financial market. The appearance of asymmetry in the price-volume relation in the bull and bear market is still unsettled. We present a model of the value investor traders (VIs) in the double auction system, in which agents make trading decision based on the pseudo fundamental price modelled by sawtooth oscillations. We investigate the system by two different time series for the asset fundamental price: one corresponds to the fundamental price in a growing phase; and the other corresponds to that in a declining phase. The simulation results show that the trade volume is proportional to the difference between the market price and the fundamental price, and that there is asymmetry between the buying and selling phases. Furthermore, the selling phase has more significant impact of price on the trade volume than the buying phase.

Futures market observations help in property evaluations

International Nuclear Information System (INIS)

Pickles, E.

1994-01-01

A standard approach to the valuation of petroleum properties and to project economics requires the calculation of present value of future cash flows. The technique is well-known and widely used in property evaluations, which are crucial to the acquisition activity in which independent producers recently have been so heavily engaged. But shortcomings of the standard approach also are well-known. Two significant problems are the choice of discount rate and the need to forecast prices. The appropriate discount rate depends upon the risk involved, and the correct relationship between risk and expected return may be difficult to determine. Oil price forecasts, meanwhile, are notoriously unreliable. These problems have led to adaptation of the option-valuation technique now widely and successfully used in the financial markets to the problem of valuing real assets, such as an oil field. In this context an option is the right, but not the obligation, to buy or sell an asset at some future time for a price (the exercise price) determined at the time the option is acquired. The important parameters are equilibrium price, volatility, and convenience yield, each of which can be projected on the basis of market data close at hand. Then the values can be combined with the production profile of an oil field to mathematically estimate present value. The valuation method is described

ISO 55000: Creating an asset management system.

Science.gov (United States)

Bradley, Chris; Main, Kevin

2015-02-01

In the October 2014 issue of HEJ, Keith Hamer, group vice-president, Asset Management & Engineering at Sodexo, and marketing director at Asset Wisdom, Kevin Main, argued that the new ISO 55000 standards present facilities managers with an opportunity to create 'a joined-up, whole lifecycle approach' to managing and delivering value from assets. In this article, Kevin Main and Chris Bradley, who runs various asset management projects, examine the process of creating an asset management system.

CLUSTER ANALYSIS OF TOTAL ASSETS PROVIDED BY BANKS FROM FOUR CONTINENTS

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MIRELA CĂTĂLINA TÜRKEȘ

2017-08-01

Full Text Available The paper analysed the total assets in 2016 achieved by the strongest 96 banks from 4 continents: Europe, America, Asia and Africa. It aims to evaluate the level of total assets provided by banks in 2016 and continental banking markets degree of differentiation to determine the overall conditions of the banks. Methodologies used in this study are based on cluster and descriptives analysis. Data set was built based on informations reported by banks on total assets. The results indicate that most of total banking assets are found in Asia and the fewest in Africa. At the end of 2016, the top 16 global banks owned total assets of $ 30.19 trillion according to the data set contains cluster 1 and the centroid was (2.25, 2.11, 3.06, 0.01.

The Cross-Section of Crypto-Currencies as Financial Assets: An Overview

OpenAIRE

Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, Teik Ming

2016-01-01

Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information platforms. Then we investigate crypto-currencies as alternative investment assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their additi...

Evaluating a national science and technology program using the human capital and relational asset perspectives.

Science.gov (United States)

Hung, Chia-Liang; Chou, Jerome Chih-Lung; Roan, Hung-Wei

2010-11-01

The purpose of this research is to evaluate the performance of the National Science and Technology Program (NSTP) by targeting the Taiwan National Telecommunication Program (NTP) initiated in 1998. The Taiwan telecommunications industry has prospered, currently occupying key positions in global markets even though NTP seldom contributes positively to patent citation performance. Hence, the authors of this study investigate the qualitative perspective of intellectual capital rather than quantitative technological indices. The current study focuses on both human capital and relational assets through surveys of 53 principal investigators of NTP projects and 63 industrial R&D managers of telecommunications corporations in the Taiwan market. Results show that NSTP member quality and the flow of employment are good indicators of human capital and that both perform better than the middle value in the case of Taiwan NTP. In addition, we find that industrial participants are more likely to share R&D resources than other academic researchers with higher intention of co-publishing, co-funding, and sharing equipment and facilities. The industrial NTP participants also have higher expectations regarding achieving advanced technology breakthroughs in contrast to non-NTP industrial interviewees. Moreover, industrial participants with greater industry-university cooperation intensity indeed obtain a particular advantage, that is, greater knowledge acquisition from other fields related to the effect of knowledge spillovers through the particular NSTP linkage. Accordingly, from the perspectives of human capital and relational assets, the authors conclude by articulating the importance of absorptive capacity resulting from good human capital and knowledge spillover contributed by relational assets within governmental technology policy and NSTP programming. Copyright (c) 2010 Elsevier Ltd. All rights reserved.

Portfolio Choice with Illiquid Assets

OpenAIRE

Andrew Ang; Dimitris Papanikolaou; Mark Westerfield

2013-01-01

We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and illiquid risky assets. Uncertainty about the length of the illiquidity interval, as opposed to a deterministic non-trading interval, is a primary determinant of the cost of illiquidity. We allow market liqu...

16 CFR 801.10 - Value of voting securities, non-corporate interests and assets to be acquired.

Science.gov (United States)

2010-01-01

... value shall be the fair market value. (b) Assets. The value of assets to be acquired shall be the fair market value of the assets, or, if determined and greater than the fair market value, the acquisition... value of all consideration for such voting securities or assets to be acquired. (3) Fair market value...

Intangible assets linked to consumers: Acknowledgement and evaluation in the business combination detached from Goodwill

Directory of Open Access Journals (Sweden)

Spasić Dejan

2012-01-01

Full Text Available The development of International Financial Reporting Standards causes new challenges for accounting as a profession. One of those challenges reefers to business combinations treatment in accounting and the related possibility of recognizing intangible assets detached from goodwill. As it usually represents internally generated intangible assets to which the recognition principle cannot be applied according to IAS 38, the author focuses on conditions under which it can be recognized in financial reports of the acquisitor in business combination, according to IFRS 3. Apart from that, the significant attention is dedicated to the methods for determining the fair value of recognizable intangible assets. As the application of market-based methods, the focus in this paper is on income-based methods and their applicability for consumer-related intangible assets valuation. Limitations in using methods for intangible assets valuation both in stable and crisis conditions are presented at the end of this paper.

Evaluation of the Effect of Non-Current Fixed Assets on Profitability and Asset Management Efficiency

Science.gov (United States)

Lubyanaya, Alexandra V.; Izmailov, Airat M.; Nikulina, Ekaterina Y.; Shaposhnikov, Vladislav A.

2016-01-01

The purpose of this article is to investigate the problem, which stems from non-current fixed assets affecting profitability and asset management efficiency. Tangible assets, intangible assets and financial assets are all included in non-current fixed assets. The aim of the research is to identify the impact of estimates and valuation in…

Transmission assets investment timing using net present value curves

International Nuclear Information System (INIS)

Garcia, Reinaldo C.; Contreras, Javier; Correia, Pedro F.; Munoz, Jose I.

2010-01-01

Improvement and expansion of the transmission grid is still an unresolved issue in the new competitive environment. In current electricity markets, transmission lines have become assets that need financial instruments for investors who wish to ensure steady long-term returns and to withstand short-term market volatility. The timing and the combination of new transmission investments is key to analyze their long-term effects. This paper presents the concept of net present value (NPV) curve to estimate the best investment time for the investor, where the curve is constructed by calculating the NPVs resulting from the investment in successive years. A specific contract model based on financial transmission rights (FTR) is used for the NPV evaluation of transmission assets, and the stochastic properties of all variables related to the investment market structure are considered. The model is applied to the IEEE 24-bus Reliability Test System (RTS) showing the approach capabilities as a decision-aid tool for transmission investors.

Asset backed securities : risks, ratings and quantitative modelling

NARCIS (Netherlands)

Jönsson, B.H.B.; Schoutens, W.

2009-01-01

Asset backed securities (ABSs) are structured finance products backed by pools of assets and are created through a securitisation process. The risks in asset backed securities, such as, credit risk, prepayment risk, market risks, operational risk, and legal risks, are directly connected with the

Asset Allocation of Mutual Fund Investors

OpenAIRE

Dengpan Luo

2003-01-01

This paper studies mutual fund investors' asset allocation decisions using monthly flow data of U.S mutual fund industry from 1984 to 1998. We find that mutual fund investors change their asset allocations between stocks and bonds in reaction to business conditions tracked by changes in expected stock market returns. They tend to allocate less into stock funds during the trough of a business cycle when expected stock market returns are higher and to allocate more into stock funds during the p...

Regret Theory and Equilibrium Asset Prices

Directory of Open Access Journals (Sweden)

Jiliang Sheng

2014-01-01

Full Text Available Regret theory is a behavioral approach to decision making under uncertainty. In this paper we assume that there are two representative investors in a frictionless market, a representative active investor who selects his optimal portfolio based on regret theory and a representative passive investor who invests only in the benchmark portfolio. In a partial equilibrium setting, the objective of the representative active investor is modeled as minimization of the regret about final wealth relative to the benchmark portfolio. In equilibrium this optimal strategy gives rise to a behavioral asset priciting model. We show that the market beta and the benchmark beta that is related to the investor’s regret are the determinants of equilibrium asset prices. We also extend our model to a market with multibenchmark portfolios. Empirical tests using stock price data from Shanghai Stock Exchange show strong support to the asset pricing model based on regret theory.

THE APPLICATION OF THE CAPITAL ASSET PRICING MODEL ON THE CROATIAN CAPITAL MARKET

Directory of Open Access Journals (Sweden)

Bojan Tomic

2013-12-01

Full Text Available The paper describes and analyzes the application of the capital asset pricing model (CAPM and the single-index model on the Zagreb stock exchange during the drop in the total trade turnover, and mostly in the trade of equity securities. This model shows through the analysis techniques used to estimate the systematic risk per share compared to the market portfolio. Also, the model quantifies the environment in which a company and its stocks exist, expressing it as risk, or a beta coefficient. Furthermore, with respect to the market stagnation, one can also discuss the usefulness of the model, especially if the quality of the input data is questionable. In this regard, the importance of the proper application and interpretation of the results obtained based on the model during the stagnation of the market, and especially during the stagnation of the trade of equity securities, is gaining even greater importance and significance. On the other hand, the results obtained through the analysis of data point to problems arising during the application of the model. It turns out the main problem of applying the CAPM model is the market index with negative returns during the observation period.

Intelligent tactical asset allocation support system

OpenAIRE

Hiemstra, Y.

1995-01-01

This paper presents an advanced support system for Tactical Asset Allocation. Asset allocation explains over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation adjusts a strategic portfolio on the basis of short term market outlooks. The system includes aprediction model that forecasts quarterly excess returns on the S and PSOO, an optimization model that adjusts a user-specified strategic portfolio on thebasis of the excess return forecast, and a compo...

A tactical asset allocation strategy that exploits variations in VIX

OpenAIRE

Richard Cloutier; Arsen Djatej; Dean Kiefer

2017-01-01

Buy and hold strategies make staying disciplined difficult for investors, especially given the variability of returns for different asset classes/strategies during divergent market conditions. Market timing strategies, on the other hand, present significant theoretical benefits, but in reality these benefits are difficult to obtain. Tactical asset allocation, where limited deviations from the strategic allocation are allowed permits the portfolio manager to take advantage of market conditions...

Managerial Stress Management as an Asset in People Management Being a Marketing Strategy Element

Directory of Open Access Journals (Sweden)

Branislav Radnović

2013-07-01

Full Text Available Any service organization operating under turbulent market conditions must have a successful marketing strategy. A successful marketing strategy implies proper management of all elements within a marketing mix: service package, price, distribution channels, promotion, service process, service ambience and people. People, i.e. primarily the employed within an organization are one of the elements that must be appropriately considered when drawing up and implementing a marketing strategy. Proper personnel management must nowadays include good management of managerial stress. Adequate managerial stress management is preconditioned by successful identification of sources of managerial stress. The aim of this paper is to present the importance of proper and timely identification of sources of managerial stress. The paper demonstrates the carried out scientific research based on a method that is universal for all types of organizations, regardless of their type and activity, in order to precisely identify the sources of managerial stress and define its proper management, as an asset in people management, which is an element of marketing strategy. The research was conducted using a survey, sampling 100 employees in 13 organizations throughout Serbia. Survey results indicated that the most important sources of managerial stress are: participation in decision-making, selection process, earnings, and time and deadlines pressure. Therefore, recommendations are provided for directing identified sources of managerial stress towards successful management of people as an element of marketing strategy.

Looking for Synergy with Momentum in Main Asset Classes

OpenAIRE

Lukas Macijauskas; Dimitrios I. Maditinos

2014-01-01

As during turbulent market conditions correlations between main asset-classes falter, classical asset management concepts seem unreliable. This problem stimulates search for non-discretionary asset allocation methods. The aim of the paper is to test weather the concept of Momentum phenomena could be used as a stand alone investment strategy using all main asset classes. The study is based on exploring historical prices of various asset classes; statistical data analysis method is used. Result...

Managing Guest as an Asset: a Conceptual Review in the Context of Accommodation Services

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Dwi Suhartanto

2015-10-01

Full Text Available This article discusses the concept of a customer as an asset of business in the accommodation industry. The purpose of this article is to examine the value of guests as a firm asset and to propose a model for managing guests as an asset in the context of accommodation services. A guest is considered an asset due to its role in providing revenue to the accommodation firm. Because of this role, the accommodation guest needs to be managed appropriately. This article argues that guest service evaluation (i.e. service quality, perceived value, and guest satisfaction and service loyalty are important factors in the development of guest lifetime value. The proposed model of managing guests as an asset consists of marketing instruments, service evaluation, guest loyalty, and financial outcomes provides a comprehensive guide on how accommodation firms can manage the lifetime value of their guests. Finally, as there are limited studies examining this issue, future research should test the proposed model.

12 CFR 567.12 - Purchased credit card relationships, servicing assets, intangible assets (other than purchased...

Science.gov (United States)

2010-01-01

... year. Projected future taxable income should include the estimated effect of tax planning strategies... be included in tangible capital in the same amount. (c) Market valuations. The OTS reserves the authority to require any savings association to perform an independent market valuation of assets subject to...

Modelling of capital asset pricing by considering the lagged effects

Science.gov (United States)

Sukono; Hidayat, Y.; Bon, A. Talib bin; Supian, S.

2017-01-01

In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.

Depreciation Test of Fixed Assets – Necessity, Indices of Value Loss, Certainty and Frequency of Assessment Evaluation

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Marinela Manea

2010-12-01

Full Text Available With the promulgation of IAS 36 "Depreciation of Assets" to ensure a consistent approach of reversible loss of value, removing the specific nationals practices and such the differences what appear as a result of the different treatments. In the chain of procedures for determining the depreciation of an asset/cash generating unit is required first the crossing phase of identification to an possible impaired assets, being necessary for the strict professional reasoning to each business. Applying the test impairment is not random and not to all assets of an enterprise. In general, the standard requires for companies to make the impairment tests when there are signs that an asset may be impaired (but annually for intangible assets with an indefinite useful life and commercial fund. The opportunity given by IAS 36 " Depreciation of Assets" to choose in determining of recoverable amount, between two values is not accidental. It is considered that the company can recover the value of its assets through use or market capitalization. However measurement of the two values is a complex process, very expensive for many businesses, own estimates based on Management Company with a strong subjective load, which is reflected on the certainty and reliability of obtained data.

A Robust Rational Route to in a Simple Asset Pricing Model

OpenAIRE

Hommes, C.H.; Huang, H.; Wang, D.

2002-01-01

We investigate asset pricing dynamics in an adaptive evolutionary asset pricing model with fundamentalists, trend followers and a market maker. Agents can choose between a fundamentalist strategy at positive information cost or choose a trend following strategy for free. Price adjustment is proportional to the excess demand in the asset market. Agents asynchronously update their strategy according to realized net profits in the recent past. As agents become more sensitive to differences in st...

Capital Market Theories: Market Efficiency Versus Investor Prospects

OpenAIRE

Kathleen Hodnett; Heng-Hsing Hsieh

2012-01-01

This paper reviews the development of capital market theories based on the assumption of capital market efficiency, which includes the efficient market hypothesis (EMH), modern portfolio theory (MPT), the capital asset pricing model (CAPM), the implications of MPT in asset allocation decisions, criticisms regarding the market portfolio and the development of the arbitrage pricing theory (APT). An alternative school of thought proposes that investors are irrational and that their trading behav...

Testing Capital Asset Pricing Model: Empirical Evidences from Indian Equity Market

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Kapil CHOUDHARY

2010-11-01

Full Text Available The present study examines the Capital Asset Pricing Model (CAPM for the Indian stock market using monthly stock returns from 278 companies of BSE 500 Index listed on the Bombay stock exchange for the period of January 1996 to December 2009. The findings of this study are not substantiating the theory’s basic result that higher risk (beta is associated with higher levels of return. The model does explain, however, excess returns and thus lends support to the linear structure of the CAPM equation. The theory’s prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio. The results of the study lead to negate the above hypotheses and offer evidence against the CAPM. The tests conducted to examine the nonlinearity of the relationship between return and betas bolster the hypothesis that the expected return-beta relationship is linear. Additionally, this study investigates whether the CAPM adequately captures all-important determinants of returns including the residual variance of stocks. The results exhibit that residual risk has no effect on the expected returns of portfolios.

A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

Science.gov (United States)

Mota Navarro, Roberto; Larralde, Hernán

2017-01-01

We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof), volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.

ASSET MANAGEMENT STANDARD FOR THE WIND POWER INDUSTRY

OpenAIRE

Frank, Fabian

2016-01-01

The consolidation of the wind power industry in the last years requires companies to optimize their performance of the delivery of the wind energy asset’s lifecycle they cover in order to stay in the market. The Asset Management Standard ISO 55000 is a general framework applicable for companies which work with infrastructure assets. As the delivery of wind energy assets is very specific in all aspects of its lifecycle delivery, the Thesis identifies that there is a need for an Asset Managemen...

The Intangible Assets of Korean Manufacturing Firms for Foreign Direct Investment

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Sunghoon Hong

2004-12-01

Full Text Available This paper attempts to apply the intangible assets approach to the emerging multinational enterprises of Korea. More specifically, it tries to empirically analyze whether Korean firms investing in foreign markets possess more advanced intangible assets than those investing only in the domestic market, and whether Korean firms exploit different types of tangible assets in different host regions. The following conclusions have been drawn by analyzing the data on Korea manufacturing firms listed on the Stock Exchange. First, firms investing in foreign markets possess more advanced intangible assets than domestic market-oriented ones. More specifically, firms investing in the Western developed region are shown to be superior in the economies of scale, R&D, advertising intensity, capital intensity, and interfirm linkages, whereas those investing in the Asian developing region are superior only in the economies of scale and organizational skills. This implies that Korean firms operating in developed countries seem to exploit a wider range of intangible assets to address intense competition and sophisticated demand in the host markets. And, when firms investing in the developed and developing regions are compared directly, the former group are found to exploit technological capability and interfirm linkages more intensively. Second, availability of internal funds and human capital intensity do not show statistical significances, implying that these abilities are not different between firms investing in foreign markets and the domestic market. Third, Korean multinational enterprises are more similar to Japanese than Western ones in terms that they actively exploit organizational skills and interfirm network. Nonetheless, these conclusions have been derived by analyzing the data on parent firms, based on the assumption that Korean overseas subsidiaries commonly share the intangible assets of their parents. This weakness is mainly due to the limited

Intellectual Capital and Intangible Assets Analysis and Valuation

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Ion Anghel

2008-03-01

Full Text Available Today the intellectual capital is a key factor in company’s profitability. Two major forces have driven the high performance workplace over the past two decades: globalization and increasing in technological changes. In this environment, the intellectual capital and intangible assets is fundamental to success. In the new economic competition, knowledge assets provide a sustainable competitive advantage. The measurement is fundamental to support management decision in allocation investment and investor’s decision regarding the value versus price. In our research we consider a group of Romanian listed companies on Bucharest Stock Exchange and analyze the importance of intangible value into the total market value of the equity. From accounting point of view the importance of intangible assets is very low but from the market evidence was indicated 47% importance of intangible value in total market value for the Romanian listed companies.

Impact of the asset purchase programme on euro area government bond yields using market news

OpenAIRE

De Santis, Roberto

2016-01-01

Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to identify the APP for the euro area, we rely upon Bloomberg news on euro area APP. The econometric results suggest that the impact of APP on euro area long-term sovereign yields is sizeable, albeit the program...

Asset management techniques

International Nuclear Information System (INIS)

Schneider, Joachim; Gaul, Armin J.; Neumann, Claus; Hograefer, Juergen; Wellssow, Wolfram; Schwan, Michael; Schnettler, Armin

2006-01-01

Deregulation and an increasing competition in electricity markets urge energy suppliers to optimize the utilization of their equipment, focusing on technical and cost-effective aspects. As a respond to these requirements utilities introduce methods formerly used by investment managers or insurance companies. The article describes the usage of these methods, particularly with regard to asset management and risk management within electrical grids. The essential information needed to set up an appropriate asset management system and differences between asset management systems in transmission and distribution systems are discussed. The bulk of costs in electrical grids can be found in costs for maintenance and capital depreciation. A comprehensive approach for an asset management in transmission systems thus focuses on the 'life-cycle costs' of the individual equipment. The objective of the life management process is the optimal utilisation of the remaining life time regarding a given reliability of service and a constant distribution of costs for reinvestment and maintenance ensuring a suitable return. In distribution systems the high number of components would require an enormous effort for the consideration of single individuals. Therefore statistical approaches have been used successfully in practical applications. Newest insights gained by a German research project on asset management systems in distribution grids give an outlook to future developments. (author)

Asset management techniques

Energy Technology Data Exchange (ETDEWEB)

Schneider, Joachim; Gaul, Armin J. [RWE Energy AG, Assetmanagement, Dortmund (Germany); Neumann, Claus [RWE Transportnetz Strom GmbH, Dortmund (Germany); Hograefer, Juergen [SAG Energieversorgungsloesungen GmbH, Langen (Germany); Wellssow, Wolfram; Schwan, Michael [Siemens AG, Power Transmission and Distribution, Erlangen (Germany); Schnettler, Armin [RWTH-Aachen, Institut fuer Hochspannungstechnik, Aachen (Germany)

2006-11-15

Deregulation and an increasing competition in electricity markets urge energy suppliers to optimize the utilization of their equipment, focusing on technical and cost-effective aspects. As a respond to these requirements utilities introduce methods formerly used by investment managers or insurance companies. The article describes the usage of these methods, particularly with regard to asset management and risk management within electrical grids. The essential information needed to set up an appropriate asset management system and differences between asset management systems in transmission and distribution systems are discussed. The bulk of costs in electrical grids can be found in costs for maintenance and capital depreciation. A comprehensive approach for an asset management in transmission systems thus focuses on the 'life-cycle costs' of the individual equipment. The objective of the life management process is the optimal utilisation of the remaining life time regarding a given reliability of service and a constant distribution of costs for reinvestment and maintenance ensuring a suitable return. In distribution systems the high number of components would require an enormous effort for the consideration of single individuals. Therefore statistical approaches have been used successfully in practical applications. Newest insights gained by a German research project on asset management systems in distribution grids give an outlook to future developments. (author)

"Overreaction" of Asset Prices in General Equilibrium

OpenAIRE

Aiyagari, S.R.; Gertler, M.

1998-01-01

We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves, further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock...

Efficient "Myopic" Asset Pricing in General Equilibrium: A Potential Pitfall in Excess Volatility Tests

OpenAIRE

Willem H. Buiter

1987-01-01

Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the specification of the benchmark efficient market price as the present discounted value of expected future dividends. By departing from the risk-neutrality assumption in a stripped-down version of Lucas's general equilibrium asset pricing model, I show that asset prices determined in a competitive asset market and efficient by construction can nevertheless violate the variance bo...

Essays in Empirical Asset Pricing

DEFF Research Database (Denmark)

Rzeznik, Aleksandra

This thesis consists of three essays investigating financial and real estate markets and identifying a relationship between them. A 2008 financial crises provides a perfect example of sizeable interactions between US housing market and equity prices, where a negative shock to house prices trigger...... a word-wide recession. Therefore, understanding forces driving investors behaviour and preferences, which in turn affect asset prices in both equity and housing market are of great interest....

Incentive-based demand response programs designed by asset-light retail electricity providers for the day-ahead market

DEFF Research Database (Denmark)

Fotouhi Ghazvini, Mohammad Ali; Faria, Pedro; Ramos, Sergio

2015-01-01

how a REP with light physical assets, such as DG (distributed generation) units and ESS (energy storage systems), can survive in a competitive retail market. The paper discusses the effective risk management strategies for the REPs to deal with the uncertainties of the DAM (day-ahead market) and how...... to hedge the financial losses in the market. A two-stage stochastic programming problem is formulated. It aims to establish the financial incentive-based DR programs and the optimal dispatch of the DG units and ESSs. The uncertainty of the forecasted day-ahead load demand and electricity price is also...... taken into account with a scenario-based approach. The principal advantage of this model for REPs is reducing the risk of financial losses in DAMs, and the main benefit for the whole system is market power mitigation by virtually increasing the price elasticity of demand and reducing the peak demand....

Review, analysis and evaluation of systems for multimedia asset management in organizations

Directory of Open Access Journals (Sweden)

Jesús Cascón-Katchadourian

2018-02-01

Full Text Available Contemporary organizations have faced the growing management of digital assets of audiovisual and multimedia nature, many of them of heritage interest. This article reviews and analyzes five multimedia asset managers of contemporary full significance. After systematizing an analysis sheet on the general characteristics and modules that this type of systems must satisfy, we proceeded to evaluate each one of the selected digital management systems, offering as a result the discussion of the advantages provided by each one of them, their distinctive characteristics, as well as the evaluation of their professional suitability.

Application of Binomial Model and Market Asset Declaimer Methodology for Valuation of Abandon and Expand Options. The Case Study

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Paweł Mielcarz

2007-06-01

Full Text Available The article presents a case study of valuation of real options included in a investment project. The main goal of the article is to present the calculation and methodological issues of application the methodology for real option valuation. In order to do it there are used the binomial model and Market Asset Declaimer methodology. The project presented in the article concerns the introduction of radio station to a new market. It includes two valuable real options: to abandon the project and to expand.

Marketing intangible assets and credit ratings, evidence from MENA

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Harit Satt

2017-05-01

Full Text Available This paper aims to link the level of intangible incorporeal assets to the level of debt. In my 14 years analysis (from 2002 to 2015, We have designated 600 companies from MENA countries in order to build the model. In order to identify how the excessive amounts of incorporeal resources characterizes the probability of bringing lower cost of debt, We have connected a Probit relapse study. Therefore, it has been proven that the level of incorporeal assets has an important influence on the interest rate. That is, obtaining great amounts of incorporeal assets expands the organization’s odds to have more favorable credit terms and hence lower interest rate. Additional affirmation to the lenders’ rights shields was included through the results, also its effect on the cost of debt.

A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

Directory of Open Access Journals (Sweden)

Roberto Mota Navarro

Full Text Available We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof, volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.

Prediction of future asset prices

Science.gov (United States)

Seong, Ng Yew; Hin, Pooi Ah; Ching, Soo Huei

2014-12-01

This paper attempts to incorporate trading volumes as an additional predictor for predicting asset prices. Denoting r(t) as the vector consisting of the time-t values of the trading volume and price of a given asset, we model the time-(t+1) asset price to be dependent on the present and l-1 past values r(t), r(t-1), ....., r(t-1+1) via a conditional distribution which is derived from a (2l+1)-dimensional power-normal distribution. A prediction interval based on the 100(α/2)% and 100(1-α/2)% points of the conditional distribution is then obtained. By examining the average lengths of the prediction intervals found by using the composite indices of the Malaysia stock market for the period 2008 to 2013, we found that the value 2 appears to be a good choice for l. With the omission of the trading volume in the vector r(t), the corresponding prediction interval exhibits a slightly longer average length, showing that it might be desirable to keep trading volume as a predictor. From the above conditional distribution, the probability that the time-(t+1) asset price will be larger than the time-t asset price is next computed. When the probability differs from 0 (or 1) by less than 0.03, the observed time-(t+1) increase in price tends to be negative (or positive). Thus the above probability has a good potential of being used as a market indicator in technical analysis.

EVALUATING THE LIFE CYCLE COSTS OF PLANT ASSETS – A MULTIDIMENSIONAL VIEW

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Markus Gram

2012-11-01

Full Text Available This paper shows the results of the task group "Asset life cycle management" of the AustrianScientific Maintenance and Asset Management Association (ÖVIA. One purpose of the researchactivities is to create a generic life cycle model for physical assets which includes all costs in everyphase of the asset life cycle. The first step is a literature review determining the most established lifecycle cost models. This is the input for discussing the completeness of such frameworks with theparticipating industrial companies. A general model is deducted from existing approaches and thedetermined costs are evaluated with respect to priority and practical relevance. The result of theevaluation shows which costs are taken into account for investment decisions. Another outcome ofthe study is the verification of importance of the proposed costs for industrial companies, especiallyfor the process industry. The derived life cycle cost framework is the basis for developing a calculationtool and subsequently, for further research in the flied of uncertainty-based methodologies forlife cycle cost analyzing of physical plant assets.

The Space Sector and Civilization of Intangible Assets

Science.gov (United States)

Hernandez, Daniel

The value of a company is no longer solely measured according to the value of its assets (stock of raw materials, products being manufactured or finished products, machines and tools, real estate, etc.). Intangible assets are also becoming increasingly important, especially in Western economies which have massively transferred the production of goods to the so-called emerging countries offering lower labor costs. Numerous companies subcontracting their production focus on the study and design of new products and their marketing. As a result, the intangible assets (patents, brands, distribution networks, etc.) represent a growing proportion of the value of companies. Nevertheless, it is not impossible, as we saw several decades ago with Japan, for example, that the "emerging" countries which largely depend on contract production and copies, move more or less quickly to economies including the entire chain from design to production of original products. We will analyze here the importance of intangible assets in the space sector, especially as regards orbital systems (satellites and associated ground facilities). While the space sector remains dominated by states through the orders they generate and the regulations they impose on the space industry, the commercial market continues to develop and, with it, the importance of marketing actions and more generally the development of distinctive brands.

ASSETS AND LIABILITIES DEPENDENCE: EVIDENCE FROM AN EUROPEAN SAMPLE OF BANKS

Directory of Open Access Journals (Sweden)

Cociuba Mihail Ioan

2014-12-01

Full Text Available In this paper we analyzed the correlation between asset and liabilities using the canonical correlation method, in the case of correlation we analyze the interdependence between two variables, by using canonical correlation analyses we study the interdependence between two groups of variables, X consisting of p variables and Y with q variables from which the best linear combination can be constructed to maximize the correlation between X and Y. While on the financial markets the relation between variables may be linear or non-linear and although canonical correlation analyses only the linear combination of variables it is a more efficient tool than then simple correlation.The asset group which we analyze is composed of different types of loans, derivatives and other earning assets, while in the group of liabilities we have deposits (short and long term, interest bearing liabilities and trading liabilities. We find that the assets and liabilities in the banking sector are directly linked. In the context of the global financial crisis (2007-2008 and the afterwards financial recession this direct correlation between assets and liabilities created a vicious cycle in which the losses from assets had a direct impact on the liabilities which also influenced the levels of assets.The behavior of different variables is important, especially in the financial markets, mainly due to the structure of financial markets. The banking sector and the systemic risk associated with it can affect the financial system and even the whole economy so the study of the correlation of assets and liabilities may give us insights on the causes of the financial crises. We use a panel of fifty-nine European banks for the 2004-2011 period and we analyses the correlation between assets and liabilities. We find that there exists a direct and strong connection between different classes of assets held by banks and the structure of liabilities. The impact of the economic crisis on

Initial cash/asset ratio and asset prices: an experimental study.

Science.gov (United States)

Caginalp, G; Porter, D; Smith, V

1998-01-20

A series of experiments, in which nine participants trade an asset over 15 periods, test the hypothesis that an initial imbalance of asset/cash will influence the trading price over an extended time. Participants know at the outset that the asset or "stock" pays a single dividend with fixed expectation value at the end of the 15th period. In experiments with a greater total value of cash at the start, the mean prices during the trading periods are higher, compared with those with greater amount of asset, with a high degree of statistical significance. The difference is most significant at the outset and gradually tapers near the end of the experiment. The results are very surprising from a rational expectations and classical game theory perspective, because the possession of a large amount of cash does not lead to a simple motivation for a trader to bid excessively on a financial instrument. The gradual erosion of the difference toward the end of trading, however, suggests that fundamental value is approached belatedly, offering some consolation to the rational expectations theory. It also suggests that there is a time scale on which an evolution toward fundamental value occurs. The experimental results are qualitatively compatible with the price dynamics predicted by a system of differential equations based on asset flow. The results have broad implications for the marketing of securities, particularly initial and secondary public offerings, government bonds, etc., where excess supply has been conjectured to suppress prices.

Development of a problem solving evaluation instrument; untangling of specific problem solving assets

Science.gov (United States)

Adams, Wendy Kristine

The purpose of my research was to produce a problem solving evaluation tool for physics. To do this it was necessary to gain a thorough understanding of how students solve problems. Although physics educators highly value problem solving and have put extensive effort into understanding successful problem solving, there is currently no efficient way to evaluate problem solving skill. Attempts have been made in the past; however, knowledge of the principles required to solve the subject problem are so absolutely critical that they completely overshadow any other skills students may use when solving a problem. The work presented here is unique because the evaluation tool removes the requirement that the student already have a grasp of physics concepts. It is also unique because I picked a wide range of people and picked a wide range of tasks for evaluation. This is an important design feature that helps make things emerge more clearly. This dissertation includes an extensive literature review of problem solving in physics, math, education and cognitive science as well as descriptions of studies involving student use of interactive computer simulations, the design and validation of a beliefs about physics survey and finally the design of the problem solving evaluation tool. I have successfully developed and validated a problem solving evaluation tool that identifies 44 separate assets (skills) necessary for solving problems. Rigorous validation studies, including work with an independent interviewer, show these assets identified by this content-free evaluation tool are the same assets that students use to solve problems in mechanics and quantum mechanics. Understanding this set of component assets will help teachers and researchers address problem solving within the classroom.

Optimal International Asset Allocation with Time-varying Risk

OpenAIRE

Flavin, Thomas; Wickens, M.R.

2006-01-01

This paper examines the optimal allocation each period of an internationally diversified portfolio from the different points of view of a UK and a US investor. We find that investor location affects optimal asset allocation. The presence of exchange rate risk causes the markets to appear not fully integrated and creates a preference for home assets. Domestic equity is the dominant asset in the optimal portfolio for both investors, but the US investor bears less risk than the UK...

Expectations and bubbles in asset pricing experiments

NARCIS (Netherlands)

Hommes, C.; Sonnemans, J.; Tuinstra, J.; van de Velden, H.

2008-01-01

We present results on expectation formation in a controlled experimental environment. In each period subjects are asked to predict the next price of a risky asset. The realized market price is derived from an unknown market equilibrium equation with feedback from individual forecasts. In most

Single factor financial asset pricing models: an empirical test of the Capital Asset Pricing Model CAPM and the Downside Capital Asset Pricing Model D-CAPM Modelos de precificação de ativos financeiros de fator único: um teste empírico dos modelos CAPM e D-CAPM

Directory of Open Access Journals (Sweden)

Felipe Dias Paiva

2005-06-01

Full Text Available This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model. The returns of 40 companies on the São Paulo Stock Exchange BOVESPA were studied between December 1996 and August 2002. To test the models the study used as variables the Interbank Deposit Certificate CDI as a risk free asset and the Index of São Paulo Stock Exchange IBOVESPA as a proxy of the market portfolio. The D-CAPM was shown to be more useful in explaining the return of the stock market than the CAPM.O objetivo deste estudo é analisar o capital asset pricing model (CAPM e o downside capital asset pricing model (D-CAPM, bem como avaliar se este último modelo é uma eficiente alternativa de modelo de precificação de ativos. Os dados da pesquisa referem-se a 40 retornos de companhias listadas na Bolsa de Valores de São Paulo, de dezembro de 1996 a agosto de 2002. O artigo utilizou, para testar os modelos, as variáveis Certificado de Depósito Interbancário (CDI, como um ativo livre de risco, e o índice da Bolsa de Valores de Sao Paulo (Ibovespa, como proxy do portfólio de mercado. Conclui-se, então, que o D-CAPM possui uma maior capacidade explicativa dos retornos dos ativos se comparado ao CAPM.

Substantiation of Biological Assets Classification Indexes for Enhancing Their Accounting Efficiency

OpenAIRE

Rayisa Tsyhan; Olha Chubka

2013-01-01

Present day national agricultural companies sell their products in both domestic and foreign markets which has a significant impact on specifics of biological assets accounting. The article offers biological assets classification provided in the Practical Guide to Accounting for Biological Assets and, besides, specifications proposed by various scientists. Based on the analysis, biological assets classification has been supplemented with new classification factors and their appropriateness ha...

Evaluating the Knowledge Assets of Innovative Companies

Directory of Open Access Journals (Sweden)

Maen Al-Hawari

2002-11-01

Full Text Available Knowledge has long been recognised as a valuable resource for organisational growth and sustained competitive advantage, especially for organisations competing in an uncertain environment (Miller & Shamsie 1987. In the current post-industrial society, knowledge is recognised as a primary source of a company’s wealth. However knowledge assets are much more difficult to identify and measure than are the physical assets with which we are much more familiar. (Boisot 1998 As a company’s innovative capacity may be dependent upon its ability to take advantage of its knowledge assets, it is important to be able to identify and measure those assets. While large companies can afford extensive knowledge management projects, there is a acute need for a method by which managers in smaller organisations can easily and reliably locate, quantify and compare their knowledge assets in order to maximise their potential for innovation. The paper will begin with an overview of current thinking on the topic of Knowledge Management (KM. It will then introduce the three functions of the knowledge life cycle (Bhatt 2000, Tan 2000, the four modes of conversion between tacit and explicit knowledge (Nonaka 1995 and the five knowledge enablers (Von Krogh 2000. The research, reported here, aims to identify, from the literature, a set of knowledge elements that will give a balanced view of knowledge assets across the four modes and five enablers. An integrated model, which is the result of research to date by the authors, will then be defined. This model combines the functions of the knowledge life cycle and Nonaka’s knowledge creation spiral with the notion of I-Space, which has been used to classify information across three dimensions, to form a new model of K-Space, which can be used to classify the knowledge elements. The paper will present this model and discuss the appropriateness of a set of knowledge elements as a means of measuring the knowledge asset of an

Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles-Evidence from China's Stock Market.

Science.gov (United States)

Sun, Ou; Liu, Zhixin

2016-01-01

We examine the different effects of monetary policy actions and central bank communication on China's stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By contrast, central bank communication acts on the market through expectation guidance and has more significant effects on stock prices in the long run, which implies that central bank communication be used as an effective long-term instrument for the central bank's policymaking.

Time-Varying Market Integration and Expected Returns in Emerging Markets

OpenAIRE

de Jong, Frank; de Roon, Frans

2001-01-01

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market. The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely. Our empirical analysis for 30 emerging markets shows that there are stro...

Time Varying Market Integration and Expected Rteurns in Emerging Markets

OpenAIRE

Jong, F.C.J.M. de; Roon, F.A. de

2001-01-01

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely.Our empirical analysis for 30 emerging markets shows that there are strong...

Asset evaluation methods for intellectual property

OpenAIRE

2012-01-01

M.Ing. With the introduction of "International Financial Reporting Standards" (IFRS) through out Europe in April 2001, there is a requirement to accurately report the value of all company assets. This will include by implication all intangible assets and Intellectual Property, such as patents, trademarks, copyrights, and know-how. Items that have not been recorded before are much more visible under IFRS and will need to be carefully interpreted by investors and analysts. In order to meet t...

Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

Science.gov (United States)

Rypdal, Martin; Sirnes, Espen; Løvsletten, Ola; Rypdal, Kristoffer

2013-08-01

Maximum likelihood estimation techniques for multifractal processes are applied to high-frequency data in order to quantify intermittency in the fluctuations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ characterising the degree of volatility clustering. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of λ are lower at times of high market uncertainty.

Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Muhammad Iqbal

2017-06-01

Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Muhammad Iqbal

2017-03-01

Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Directory of Open Access Journals (Sweden)

Rafael Falcão Noda

2015-01-01

Full Text Available This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low earnings/price ratios have higher (lower risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates, which reduce the information content of book values, thus making the models based on earnings/price ratios better than those based on market/book ratios. Such results are different from those obtained in more developed markets and the superiority of the earnings/price ratio for asset pricing may also exist in other emerging markets.

76 FR 78553 - Reporting of Specified Foreign Financial Assets

Science.gov (United States)

2011-12-19

... maintained by a foreign financial institution and, to the extent not held in an account at a financial... account, the name and address of the financial institution in which the account is maintained must be... one or more specified foreign financial assets and those assets have an aggregate fair market value...

Double hedge aids commercial terms of upstream asset purchase

International Nuclear Information System (INIS)

Wood, D.

1993-01-01

In recent years many major oil companies have elected to rationalize their producing assets. Mature production--particularly onshore in developed countries, associated with high costs and small profit margins--has been the major target. The current weakness in oil prices has resulted in many such properties being on the market. However, much production marginal to a major can be highly profitable to a cost-effective independent, particularly if the production fits strategically with the independent's asset portfolio. Although many independents recognize that some of the producing assets on the market could be of potential value to them, in a period of volatile prices two important valuations have to be technically justified and negotiated to enable or persuade them to conclude a purchase agreement for a specific asset. These are: A purchase value for an asset that is acceptable to both seller and buyer; and A loan value for the asset to establish the level of debt that the asset can support for the buyer. In defining these two important values (both of which are usually established as ranges rather than single values) the independent has to protect itself against a downturn in commodity prices and exposing itself to an unserviceable level of debt. The paper discusses reducing risks, purchase price hedge, an example of a hedged purchase price, price elements, loan value analysis, agreement structure, loan value hedge, and an example of a hedged loan value

Pension plan asset valuation

OpenAIRE

Owadally, M. I; Haberman, S.

2001-01-01

Various asset valuation methods are used in the context of funding valuations. The motivation for such methods and their properties are briefly described. Some smoothed value or market-related methods based on arithmetic averaging and exponential smoothing are considered and their effect on funding is discussed. Suggestions for further research are also made.

Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets

Directory of Open Access Journals (Sweden)

Jordan French

2016-07-01

Full Text Available The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery of Generalized Auto Regressive Conditional Heteroskedasticity (GARCH models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta calculations. The data spans from 3 January 2005 to 29 December 2014. One ten-year, two five-year, and three three-year sample periods were used, for robustness, with ten different portfolios. Out of sample forecasts, mean absolute error (MAE and mean squared forecast error (MSE were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural Network, and the standard market ex-post model. Find that the time-varying MGARCH and SGARCH beta performed better with out-of-sample testing than the other ex-ante models. Although the simplest approach, constant ex-post beta, performed as well or better within this empirical study.

Performance evaluation and financial market runs

NARCIS (Netherlands)

Wagner, W.B.

2013-01-01

This paper develops a model in which performance evaluation causes runs by fund managers and results in asset fire sales. Performance evaluation nonetheless is efficient as it disciplines managers. Optimal performance evaluation combines absolute and relative components in order to make runs less

International asset pricing under segmentation and PPP deviations

NARCIS (Netherlands)

Chaieb, I.; Errunza, V.

2007-01-01

We analyze the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor's portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of

Asset correlations and credit portfolio risk: an empirical analysis

OpenAIRE

Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian

2007-01-01

In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabi...

Evaluating and Directions for Improving the Efficiency of Use of the Main Production Assets of Enterprise

Directory of Open Access Journals (Sweden)

Chumak Larysa F.

2017-04-01

Full Text Available The article is aimed at studying the existing approaches to evaluation, as well as analyzing and determining the relevant directions for improving the efficiency of use of the enterprise’s main production assets. The article explores the issues such as development of the theoretical-methodical approaches to evaluating and improving the efficiency of use, finding practical ways and forms to implement innovations and upgrade the main production assets. It has been found that ensuring the efficient use of the main production assets goes along with application of technical, organizational-productive and organizational-administrative activities that are not only related to the technical side of the use, but also require the involvement and training of highly qualified professionals capable of providing with the appropriate productivity a high level of all the types of the work needed. The introduction of modern achievements in the sphere of management automation, production, advanced technologies, and the development of an optimal structure of the main assets would improve the efficiency of use of the main production assets.

Dynamic Relationships between Price and Net Asset Value for Asian Real Estate Stocks

Directory of Open Access Journals (Sweden)

Kim Hiang LIOW

2018-03-01

Full Text Available This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally, the unexpected shock correlating with the price-to-net asset value ratio in one market has a positive or negative correlation with the ratios of other markets. Our results offer fresh insights to portfolio managers, policymakers, and academic researchers into the regional and country market dynamics of public real estate valuation and cross-country interaction from the long-term and short-term perspectives.

Value-Relevance of Biological Assets under IFRS

OpenAIRE

Rute Gonçalves; Patrícia Lopes

2015-01-01

Using 389 firm-year observations of listed firms worldwide in 27 countries that adopted International Financial Reporting Standards (IFRS) until 2010, for the period 2011-2013, the purpose of this paper is to examine the value-relevance of fair value accounting of biological assets. In order to operationalize it as the book value’s ability to explain market equity value, this study adjusts the Ohlson model. The results support that recognized biological assets are value-relevant. After includ...

26 CFR 1.338-7 - Allocation of redetermined ADSP and AGUB among target assets.

Science.gov (United States)

2010-04-01

...: Asset class Asset Fair market value V Building $ 100 V Stock of X (not a target) 200 Total 300 (B) T has... target assets. 1.338-7 Section 1.338-7 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE... redetermined ADSP and AGUB among target assets. (a) Scope. ADSP and AGUB are redetermined at such time and in...

Using Fuzzy Cognitive Maps (FCMs) to Evaluate the Vulnerabilities with ICT Assets Disposal Policies

DEFF Research Database (Denmark)

Yeboah-Boateng, Ezer Osei

2012-01-01

This paper evaluates the possible vulnerabilities of ICT assets disposal policies and the associated impact that can affect the SMEs. A poorly implemented policy or unenforced policy is “potentially the weakest link” in the cyber-security chain. Do SMEs have an idea of vulnerabilities or threats...... due to assets disposal? In the event of breaches, the SMEs pay for the cost of notifying the concerned stakeholders, compensate affected parties, invest in improved mitigation technologies and also may be subjected to unwarranted public scrutiny. ICT assets at the end-of-useful life span usually have...... data left on the hard disk drives or storage media, which is a source of data confidentiality vulnerability. SMEs were surveyed in developing economies on their assets disposal policies. The perceived correlations were analyzed using fuzzy cognitive maps (FCMs) to ascertain if any cyber...

26 CFR 1.338-6 - Allocation of ADSP and AGUB among target assets.

Science.gov (United States)

2010-04-01

... allocated among Class II acquisition date assets of target in proportion to the fair market values of such... 26 Internal Revenue 4 2010-04-01 2010-04-01 false Allocation of ADSP and AGUB among target assets... among target assets. (a) Scope—(1) In general. This section prescribes rules for allocating ADSP and...

Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market

Science.gov (United States)

Sun, Ou; Liu, Zhixin

2016-01-01

We examine the different effects of monetary policy actions and central bank communication on China’s stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By contrast, central bank communication acts on the market through expectation guidance and has more significant effects on stock prices in the long run, which implies that central bank communication be used as an effective long-term instrument for the central bank’s policymaking. PMID:27851796

26 CFR 1.430(g)-1 - Valuation date and valuation of plan assets.

Science.gov (United States)

2010-04-01

... the adjusted fair market value of plan assets, assets that are added to a plan as a result of a plan... (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Certain Stock Options § 1.430(g)-1 Valuation date and.... Paragraph (c) of this section describes rules regarding the determination of the asset value for purposes of...

Using satellite imagery to evaluate land-based camouflage assets

CSIR Research Space (South Africa)

Baumbach, J

2006-02-01

Full Text Available to Evaluate Land-based Camouflage Assets J BAUMBACH, M LUBBE CSIR Defence, Peace, Safety and security, PO Box 395, Pretoria, 0001, South Africa Email: jbaumbac@csir.co.za ABSTRACT A camouflage field trial experiment was conducted. For the experiment... analysis, change detection, un-supervised classification, supervised classification and object based classification. RESULTS The following table shows a summary of the different targets, and whether it was detected ( ) or not detected (x), using...

Credit Market Information Feedback

OpenAIRE

Balasubramanyan, Lakshmi; Craig, Ben R.; Thomson, James B.; Zaman, Saeed

2015-01-01

We examine how a combination of credit market and asset quality information can jointly be used in assessing bank franchise value. We find that expectations of future credit demand and future asset quality explain contemporaneous bank franchise value, indicative of the feedback in credit market information and its consequent impact on bank franchise value.

WAYS TO OVERCOME THE PROBLEMS OF INTANGIBLE ASSETS ACCOUNTING OF THE UKRAINIAN ENTERPRISES

OpenAIRE

BARASH, Yu. S.; BULHAKOVA, Yu. V.; BOZHOK, N. O.; HOLOVKO, A. P.

2014-01-01

Introduction. In modern conditions, one of the priority instruments of profit formation is the use of assets that do not have a material form. Using intangible assets (IA) is performed the capitalization of enterprises, i.e. the conversion of their capacity in the market outcome. Improvement of intangible assets accounting will enhance the competitiveness of Ukrainian enterprises. Purpose of the article is identification and justification of improvement areas of intangible assets accounting b...

Temporal evolution of financial-market correlations

Science.gov (United States)

Fenn, Daniel J.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Johnson, Neil F.; Jones, Nick S.

2011-08-01

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis.

Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

Science.gov (United States)

Zeng, Yan; Li, Zhongfei; Wu, Huiling

2013-03-01

This article considers an investor who has an exogenous cash flow evolving according to a Lévy process and invests in a financial market consisting of only risky assets, whose prices are governed by exponential Lévy processes. Two continuous-time portfolio selection problems are studied for the investor. One is a benchmark problem, and the other is a mean-variance problem. The first problem is solved by adopting the stochastic dynamic programming approach, and the obtained results are extended to the second problem by employing the duality theory. Closed-form solutions of these two problems are derived. Some existing results are found to be special cases of our results.

Evaluation on Optimal Scale of Rural Fixed-asset Investment-Based on Microcosmic Perspective of Farmers’ Income Increase

Institute of Scientific and Technical Information of China (English)

Jinqian; DENG; Kangkang; SHAN; Yan; ZHANG

2014-01-01

The rural fundamental and productive fixed-asset investment not only makes active influence on the changes of farmers’ operational,wages and property income,but it also has an optimal scale range for farmers’ income increase. From the perspective of farmers’ income increase,this article evaluates the optimal scale of rural fixed-asset investment by setting up model with statistic data,and the results show that the optimal scale of per capita rural fixed-asset investment is 76. 35% of per capita net income of rural residents,which has been reached in China in 2009. Therefore,compared with the adding of rural fixed-asset investment,a better income increase effect can be achieved through the adjustment of rural fixed-asset investment structure.

Pengaruh Current Ratio, Asset Size, dan Earnings Variability terhadap Beta Pasar

Directory of Open Access Journals (Sweden)

Ahim Abdurahim

2016-02-01

Full Text Available The research objective was to determine the effect of variable accounting ie :, current ratio, asset size and earnings variability of the market beta. This study used 72 samples. Analyzer used to test the hypothesis that regression. Previous methods of Fowler and Rorke (1983 to adjust the market beta, and BLUE test is used to test classic assumptions of the independent variables are multikolinearitas, heteroskedasitas with Breushch-Pagan-Godfrey test, and autocorrelation with BG (The Breussh-Godfrey. The results found that the hypothesis H1a, H1b, H1c, and H2a powered means no influence current ratio, asset size and earnings variability of the market beta, both individually and simultaneously.

The current investment climate for midstream gas processing assets

International Nuclear Information System (INIS)

Brouwer, R.J.

1999-01-01

Topics discussed in this paper dealing with the current investment climate for midstream gas processing assets include: (1) strategic reasons to retain or divest midstream assets, (2) available options for midstream asset divestment, (3) midstream market fundamentals, and (4) financial performance of midstream companies. There are some 700 gas plants in Alberta at present, of which about 20 per cent are owned by midstream companies . About one half of the plants are smaller than 12.5 MMCFD which represent inefficient use of resources; a clear indication that there are substantial opportunities for consolidation. 1 tab., 4 figs

Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

Directory of Open Access Journals (Sweden)

Leo Julianto

2015-09-01

Full Text Available For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return explanation and the return of assets meet the different results in both clarify of model and identification of significant determinant variables.Therefore, many comparative studies between models were accomplished. In this study, the author attempts to do comparative study between two models, APT and CAPM, in Indonesian Capital Market during period 2008 until 2012.  Besides, the author also attempts to find how much inflation, interest rate, and exchange rate describe the returns earned in each sector existed in Indonesia Capital Market. As the result, the author find out that CAPM has bigger explanation power than APT in Indonesian Capital Market during period 2008-2012. Besides, the author also found that among macroeconomic factors, there are only two macroeconomic factors that can affect certain samples significantly.  They are change in BI rate, which affect AALI, ANTM, ASII, TLKM, UNTR, and change in exchange rate, which affect INDF and TLKM significantly.

Country size, currency unions, and international asset returns

OpenAIRE

Hassan, Tarek A.

2015-01-01

The fact that economies differ in size has important implications for international asset returns. I solve for the spread on international bonds and stocks in an endowment economy with complete asset markets and non-traded goods. The model predicts that larger countries have lower real interest rates because their bonds provide insurance against shocks that affect a larger fraction of the world economy. Larger countries' bonds must therefore pay lower excess returns in equilibrium and uncover...

Cost approach of health care entity intangible asset valuation.

Science.gov (United States)

Reilly, Robert F

2012-01-01

In the valuation synthesis and conclusion process, the analyst should consider the following question: Does the selected valuation approach(es) and method(s) accomplish the analyst's assignment? Also, does the selected valuation approach and method actually quantify the desired objective of the intangible asset analysis? The analyst should also consider if the selected valuation approach and method analyzes the appropriate bundle of legal rights. The analyst should consider if there were sufficient empirical data available to perform the selected valuation approach and method. The valuation synthesis should consider if there were sufficient data available to make the analyst comfortable with the value conclusion. The valuation analyst should consider if the selected approach and method will be understandable to the intended audience. In the valuation synthesis and conclusion, the analyst should also consider which approaches and methods deserve the greatest consideration with respect to the intangible asset's RUL. The intangible asset RUL is a consideration of each valuation approach. In the income approach, the RUL may affect the projection period for the intangible asset income subject to either yield capitalization or direct capitalization. In the cost approach, the RUL may affect the total amount of obsolescence, if any, from the estimate cost measure (that is, the intangible reproduction cost new or replacement cost new). In the market approach, the RUL may effect the selection, rejection, and/or adjustment of the comparable or guideline intangible asset sale and license transactional data. The experienced valuation analyst will use professional judgment to weight the various value indications to conclude a final intangible asset value, based on: The analyst's confidence in the quantity and quality of available data; The analyst's level of due diligence performed on that data; The relevance of the valuation method to the intangible asset life cycle stage and

Application of quantum master equation for long-term prognosis of asset-prices

Science.gov (United States)

Khrennikova, Polina

2016-05-01

This study combines the disciplines of behavioral finance and an extension of econophysics, namely the concepts and mathematical structure of quantum physics. We apply the formalism of quantum theory to model the dynamics of some correlated financial assets, where the proposed model can be potentially applied for developing a long-term prognosis of asset price formation. At the informational level, the asset price states interact with each other by the means of a ;financial bath;. The latter is composed of agents' expectations about the future developments of asset prices on the finance market, as well as financially important information from mass-media, society, and politicians. One of the essential behavioral factors leading to the quantum-like dynamics of asset prices is the irrationality of agents' expectations operating on the finance market. These expectations lead to a deeper type of uncertainty concerning the future price dynamics of the assets, than given by a classical probability theory, e.g., in the framework of the classical financial mathematics, which is based on the theory of stochastic processes. The quantum dimension of the uncertainty in price dynamics is expressed in the form of the price-states superposition and entanglement between the prices of the different financial assets. In our model, the resolution of this deep quantum uncertainty is mathematically captured with the aid of the quantum master equation (its quantum Markov approximation). We illustrate our model of preparation of a future asset price prognosis by a numerical simulation, involving two correlated assets. Their returns interact more intensively, than understood by a classical statistical correlation. The model predictions can be extended to more complex models to obtain price configuration for multiple assets and portfolios.

A Comparison Between a Dynamic and Static Approach to Asset Management Using CAPM Models on the Australian Securities Market

Directory of Open Access Journals (Sweden)

Dionigi Gerace

2015-06-01

Full Text Available Despite the capital asset pricing model being one of the most influential mod¬els in modern portfolio theory, it has also been a victim of criticism in numerous academic papers. Its assumptions which seem to be rather unre¬alistic, have caused many academics to improve the model by relaxing some of its restrictive statements. In this journal article, we compare the performance of an optimal portfolio of securities in the Australian securities market by constructing two theoretical portfolios; one using the capital asset pricing model which uses a single beta throughout a static investment horizon; and another, which allows the op¬timal portfolio to be rebalanced each week with an adjusted beta. The performance of the two theoretical portfolios is compared to determine the superior model. Overall, findings showed that due to rebalancing of the portfolio, the multiple period model was the superior model based on before and after transaction cost returns.

A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry

Directory of Open Access Journals (Sweden)

Bilel Jarraya

2013-10-01

Full Text Available In recent years the financial markets known a rapid development and become more and more complex. So, many regulatory requirements, focused on banks as well as insurance sector, have been developed. These regulatory are concentrated essentially on business risk control and required capital to cover risks. These requirements have influenced the asset allocation issue in insurance industry. These requirements have influenced the asset allocation issue in insurance industry. This section is interested by this issue. In first time it highlights some research works in this issue. Then we will investigate the relation between Solvency and optimal asset allocation. Finally we will explore the principal used methods in modeling asset and in choosing the optimal portfolio composition.

Time-frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes

Science.gov (United States)

Abid, Fathi; Kaffel, Bilel

2018-01-01

Understanding the interrelationships of the global macro assets is crucial for global macro investing. This paper investigates the local variance and the interconnection between the stock, gold, oil, Forex and the implied volatility markets in the time/frequency domains using the wavelet methodology, including the wavelet power spectrum, the wavelet squared coherence and phase difference, the wavelet multiple correlation and cross-correlation. The univariate analysis reveals that, in some crisis periods, underlying asset markets present the same pattern in terms of the wavelet power spectrum indicating high volatility for the medium scale, and that for the other market stress periods, volatility behaves differently. Moreover, unlike the underlying asset markets, the implied volatility markets are characterized by high power regions across the entire period, even in the absence of economic events. Bivariate results show a bidirectional relationship between the underlying assets and their corresponding implied volatility indexes, and a steady co-movement between the stock index and its corresponding fear index. Multiple correlation analysis indicates a strong correlation between markets at high scales with evidence of a nearly perfect integration for a period longer than a year. In addition, the hedging strategies based on the volatility index lead to an increase in portfolio correlation. On the other hand, the results from multiple cross-correlations reveal that the lead-lag effect starts from the medium scale and that the VIX (stock market volatility index) index is the potential leader or follower of the other markets.

Technical analysis in the foreign exchange market: a layman's guide

OpenAIRE

Christopher J. Neely

1997-01-01

Economists have traditionally been skeptical of the value of technical analysis, the use of past price behavior to guide trading decisions in asset markets. Instead, they have relied on the logic of the efficient markets hypothesis. Christopher J. Neely briefly explains the fundamentals of technical analysis and the efficient markets hypothesis as applied to the foreign exchange market, evaluates the profitability of simple trading rules, and reviews recent ideas that might justify extrapolat...

Empirical Study on the Financial Reporting of Intangible Assets by Romanian Companies

OpenAIRE

Cristina-Ionela FĂDUR; Daniela CIOTINĂ; Marilena MIRONIUC

2011-01-01

The purpose of this paper is to identify to what extent Romanian companies quoted in the Bucharest Stock Exchange present information concerning intangible assets (IA), what the structure of the assets of the analyzed companies is, and what the difference between the accounting value of companies, computed through the net accounting asset, and their market value is, determined as the product between the number of shares and the average quotation price. We have analyzed th...

The Importance of Asset Allocation and Active Management for Canadian Mutual Funds

OpenAIRE

Zhao, Yuefeng; Zhang, Fan

2010-01-01

Several different factors, including asset allocation policy, active portfolio management and market movements affect the return of a mutual fund. Existing studies test the relative importance of asset allocation policy and active management in explaining the variability of performance. In this paper, we use data for the period 2000-2010 to test the factors' role in determining performance of Canadian equity funds, balanced funds and international funds. The results show that asset allocation...

Loss Aversion, Adaptive Beliefs, and Asset Pricing Dynamics

Directory of Open Access Journals (Sweden)

Kamal Samy Selim

2015-01-01

Full Text Available We study asset pricing dynamics in artificial financial markets model. The financial market is populated with agents following two heterogeneous trading beliefs, the technical and the fundamental prediction rules. Agents switch between trading rules with respect to their past performance. The agents are loss averse over asset price fluctuations. Loss aversion behaviour depends on the past performance of the trading strategies in terms of an evolutionary fitness measure. We propose a novel application of the prospect theory to agent-based modelling, and by simulation, the effect of evolutionary fitness measure on adaptive belief system is investigated. For comparison, we study pricing dynamics of a financial market populated with chartists perceive losses and gains symmetrically. One of our contributions is validating the agent-based models using real financial data of the Egyptian Stock Exchange. We find that our framework can explain important stylized facts in financial time series, such as random walk price behaviour, bubbles and crashes, fat-tailed return distributions, power-law tails in the distribution of returns, excess volatility, volatility clustering, the absence of autocorrelation in raw returns, and the power-law autocorrelations in absolute returns. In addition to this, we find that loss aversion improves market quality and market stability.

CONTRADICTORY ASPECTS ASSESSMENT ON INTANGIBLE ASSETS

OpenAIRE

Ecaterina Necşulescu

2011-01-01

In Romania, the evaluation of intangible assets is rarely used due to extremely poor casuistry. From a sample of 100 companies we analyzed, only 4.5% revealed the existence of intangible assets worth less than 3% of total assets and none of the companies has not reviewed the assets. In crisis conditions, the study concludes that companies value decreases (bad will), and while economic growth increases the value of companies (good will). An effective leadership in the crisis assessment may be ...

Asset Management as a Precondition for Knowledge Management

International Nuclear Information System (INIS)

Bajramovic, E.; Waedt, K.; Gupta, D.; Gao, Y.; Parekh, M.

2016-01-01

Full text: Smart sensors and extensively configurable devices are gradually imposed by the automation market. Except for safety systems, they find their way into the next instrumentation and control (I&C) generation. The understanding and handling of these devices require an extensive knowledge management (KM). This will be outlined for security, testing and training. For legacy systems, security often relates to vetting and access control. For digital devices, a refined asset management is needed, e.g., down to board-level support chipsets. Firmware and system/application software have their own configurations, versions and patch levels. So, here, as a first step of the KM, a user needs to know the firmware configurability. Then, trainings can address when to apply patches, perform regression tests and on what to focus, based on accumulated experience. While assets are often addressed implicitly, this document justifies an explicit and semiformal representation of primary and supporting assets (the asset portfolio) and the establishment of an asset management system as a basis for a robust knowledge management. (author

Performance Evaluation of Balanced Pension Plans

NARCIS (Netherlands)

L. Andreu (Laura); L.A.P. Swinkels (Laurens)

2009-01-01

textabstractThis paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity

Prudent management of utility assets -- Problem or promise?

International Nuclear Information System (INIS)

Hatch, D.; Serwinowski, M.

1998-01-01

As utilities move into a deregulated market, the extent and nature of their asset base, as well as, the manner in which they have managed it, may play a key factor in the form of regulatory recovery. Utilities must face the issue of stranded assets. One form of addressing this issue is using ''EVA'', Economic Value Added as a mechanism to form financial models for prudent asset management. The authors present an approach to this challenging aspect of deregulation. They focus on the following utility assets: buildings/facilities, and excess real physical assets. Primarily focusing on Niagara Mohawk, two or three case studies are used to demonstrate how proactive management and EVA analysis transforms underperforming utility assets. These will be presented in a way that can show benefits for all utility stakeholders such as cost avoidance, load growth, real estate tax savings, stranded asset reductions, environmental gains, corporate image enhancement, and regulatory/governmental gains; over and above possible economic gains. Examples will be given that include the transformation of utility assets into award winning commercial, residential, and industrial developments as well as recreational/park lands and greenways. Similarly, other examples will show the many tangible and intangible benefits of an effective investment recovery and waste stream management program. Various strategies will also be presented that detail how utilities can begin to develop a total comprehensive plan for their asset portfolio. The first step in realizing and maximizing EVA towards a portfolio of assets is a change in corporate policy--one from passive ownership to active prudent management. Service and cost will drive competition resulting from full deregulation. To drive down costs, utilities will need to become more efficient in dealing with their asset base. By embracing an EVA model on an entire asset portfolio, utilities can prepare and excel in the newly shaped marketplace

Risk Management of Assets Dependency Based on Copulas Function

Directory of Open Access Journals (Sweden)

Cheng Lei

2017-01-01

Full Text Available As the two important form of financial market, the risk of financial securities, such as stocks and bonds, has been a hot topic in the financial field; at the same time, under the influence of many factors of financial assets, the correlation between portfolio returns causes more research. This paper presents Copula-SV-t model that it uses SV-t model to measure the edge distribution, and uses the Copula-t method to obtain the high-dimensional joint distribution. It not only solves the actual deviation with using the ARCH family model to calculate the portfolio risk, but also solves the problem to overestimate the risk with using extreme value theory to study financial risk. Through the empirical research, the conclusion shows that the model describes better assets and tail characteristics of assets, and is more in line with the reality of the market. Furthermore, Empirical evidence also shows that if the portfolio is relatively large degree of correlation, the ability to disperse portfolio risk is relatively weakness.

Segmentation across International Equity, Bond, and Foreign Exchange Markets

OpenAIRE

Cathy Ning; Stephen Sapp

2009-01-01

In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the integration of international equity, bond and foreign exchange markets. Our results indicate that the three classes of assets are segmented. Investigating potential explanations for this segmentation, we ...

Derivative Market: An Integral Part Of The Zimbabwe Stock Exchange

OpenAIRE

Kosmas Njanike

2010-01-01

The study assesses the need for a derivative market as an integral of Zimbabwe Stock Exchange. It also aims to evaluate the feasibility of establishing a derivative market as an essential element of Zimbabwe Stock Exchange. The research identifies factors that need to be addressed to facilitate such a market. Views of various fund managers, financial analysts and dealers drawn from asset management firms were used. Changes in market trends are influenced by hyper inflation and acute financial...

RESEARCH ON THE APPRAISAL OF INTANGIBLE ASSETS IN ROMANIAN COMPANIES

Directory of Open Access Journals (Sweden)

Leontina Păvăloaia

2012-09-01

Full Text Available Irrespective of the cultural environment in which companies operate (Europe, Asia, America or any other geographical area, intangible assets have a significant role in the development of a business since they contain knowledge that can be the engine of the respective business and they can offer competitive advantage. The current article is a study of companies listed on BVB under category I. We have considered the percentage of intangible assets that the latter companies have and that are present in financial statements, and their value under the circumstances in which the market value is higher than net assets.

GIMS-Software for asset market experiments.

Science.gov (United States)

Palan, Stefan

2015-03-01

In this article we lay out requirements for an experimental market software for financial and economic research. We then discuss existing solutions. Finally, we introduce GIMS, an open source market software which is characterized by extensibility and ease of use, while offering nearly all of the required functionality.

System development and asset management under restructuring

International Nuclear Information System (INIS)

2007-01-01

In many developed countries the electricity infrastructure contains ageing assets. Because of the need of a continuing operation and higher load factors on the network, the opportunities for replacement or refurbishment are limited. These must be regarded as an opportunity to review the structure of the system and to consider the design and development required to meet the new requirements, taking advantage of new available technologies: HVDC, FACTS, cables, etc. The symposium examines assets management issues and assesses strategies for overhauling existing systems, taking into account the impact on market operation, on supply security and environment

GIMS—Software for asset market experiments

Science.gov (United States)

Palan, Stefan

2015-01-01

In this article we lay out requirements for an experimental market software for financial and economic research. We then discuss existing solutions. Finally, we introduce GIMS, an open source market software which is characterized by extensibility and ease of use, while offering nearly all of the required functionality. PMID:26525085

Self-consistent asset pricing models

Science.gov (United States)

Malevergne, Y.; Sornette, D.

2007-08-01

We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alphas and betas of the factor model are unobservable. Self-consistency leads to renormalized betas with zero effective alphas, which are observable with standard OLS regressions. When the conditions derived from internal consistency are not met, the model is necessarily incomplete, which means that some sources of risk cannot be replicated (or hedged) by a portfolio of stocks traded on the market, even for infinite economies. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value αi at the origin between an asset i's return and the proxy's return. Self-consistency also introduces “orthogonality” and “normality” conditions linking the betas, alphas (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from January 1990 to February 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Assuming that the CAPM holds with the self-consistency condition, the OLS method automatically obeys the resulting orthogonality and normality conditions and therefore provides a simple way to self-consistently assess the parameters of the model by using proxy portfolios made only of the assets which are used in the CAPM regressions. Finally, the factor decomposition with the

12 CFR 28.20 - Maintenance of assets.

Science.gov (United States)

2010-01-01

... Banks and Banking COMPTROLLER OF THE CURRENCY, DEPARTMENT OF THE TREASURY INTERNATIONAL BANKING... securities must be valued at principal amount or market value, whichever is lower. (c) Credits. In...) Assets pledged, and surety bonds payable, to the FDIC to secure the payment of domestic deposits. (d...

Portfolio optimization in electricity markets

International Nuclear Information System (INIS)

Liu, Min; Wu, Felix F.

2007-01-01

In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (author)

ACCOUNTING ALTERNATIVE TREATMENTS REGARDING FIXED ASSETS - A NATIONAL AND INTERNATIONAL APPROACH

Directory of Open Access Journals (Sweden)

Ion PERES

2009-12-01

Full Text Available By introducing the IFRS, as main accountancy source for the quoted enterprises, on the markets established byEU, for making strong its position within the interior of a such large market, IASB could not present itself souninterested in front of a potential extension of own accountancy documents, to a great number of small and middleenterprises, functional on the European market. Everyt hing is directed towards a growth of competitive capacity ofenterprises, thanks to comparability, an existing characteristic within the internal accountancy Standard, generallyapplied (even in the simplified form for the small dimensions enterprises, an d either on sector’s level or upon creditsaccess level.Tangible assets are handled by the Interna tional Accounting Standard 16 – Tangible assets. The main issuesaddressed by IAS 16 Tangible assets refers to: recognition time of assets, determinati on of their accounting value,depreciation expenses to be recognized in connection with these values, the accounting treatment, requirements forsubmission of information.This research papers objective consists on verifying the impact generated over the management of enterpriseactivity, by applying the international standards of accountancy IAS/IFRS, in editing and publishing the accountingperiod balance and of that reinforced balance, for the quoted companies. The aspects that we will underline with gr eatimportance will represent the modifications brought to the economic -financial informational system and ofmodifications appeared with a view to analyze the activity and performance of enterprises

Population age structure and asset returns: an empirical investigation.

Science.gov (United States)

Poterba, J M

1998-10-01

"This paper investigates the association between population age structure, particularly the share of the population in the 'prime saving years' 45-60, and the returns on stocks and bonds. The paper is motivated by the claim that the aging of the 'Baby Boom' cohort in the United States is a key factor in explaining the recent rise in asset values. It also addresses the associated claim that asset prices will decline when this large cohort reaches retirement age and begins to reduce its asset holdings. This paper begins by considering household age-asset accumulation profiles. Data from the Survey of Consumer Finances suggest that while cross-sectional age-wealth profiles peak for households in their early 60s, cohort data on the asset ownership of the same households show a much less pronounced peak.... The paper then considers the historical relationship between demographic structure and real returns on Treasury bills, long-term government bonds, and corporate stock. The results do not suggest any robust relationship between demographic structure and asset returns.... The paper concludes by discussing factors such as international capital flows and forward-looking behavior on the part of market participants that could weaken the relationship between age structure and asset returns in a single nation." excerpt

Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model

Directory of Open Access Journals (Sweden)

Yuhong Zhou

2013-03-01

Full Text Available For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1-GJR(1,1 is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to analyze the dependency structure between the six style assets, combined with the marginal distributed residual sequences. And the joint return distribution of the style portfolios is simulated, combined with extreme value theory and Monte Carlo simulation method. Then the market risks (VaR and CVaR of the style portfolios in China stock markets are obtained. The results of the study show that the generalized Pareto distribution Model can well fit the non-normal distribution characteristics such as peak and fat tail in the style assets returns.

Processing Risk In Asset Management : Exploring The Boundaries Of Risk Based Optimization Under Uncertainty For An Energy Infrastructure Asset Manager

NARCIS (Netherlands)

Wijnia, Y.C.

2016-01-01

In the liberalized energy market Distribution Network Operators (DNOs) are confronted with income reductions by the regulator. The common response to this challenge is the implementation of asset management, which can be regarded as systematically applying Cost Benefit Analysis (CBA) to the risks in

Investment Restrictions and Contagion in Emerging Markets

OpenAIRE

Anna Ilyina

2005-01-01

The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and (2) to analyze the sensitivity of the equilibrium price of an asset to shocks originating in other fundamentally unrelated asset markets for a given mix of common investors. The analysis confirms that certain com...

AUTOMATING ASSET KNOWLEDGE WITH MTCONNECT.

Science.gov (United States)

Venkatesh, Sid; Ly, Sidney; Manning, Martin; Michaloski, John; Proctor, Fred

2016-01-01

In order to maximize assets, manufacturers should use real-time knowledge garnered from ongoing and continuous collection and evaluation of factory-floor machine status data. In discrete parts manufacturing, factory machine monitoring has been difficult, due primarily to closed, proprietary automation equipment that make integration difficult. Recently, there has been a push in applying the data acquisition concepts of MTConnect to the real-time acquisition of machine status data. MTConnect is an open, free specification aimed at overcoming the "Islands of Automation" dilemma on the shop floor. With automated asset analysis, manufacturers can improve production to become lean, efficient, and effective. The focus of this paper will be on the deployment of MTConnect to collect real-time machine status to automate asset management. In addition, we will leverage the ISO 22400 standard, which defines an asset and quantifies asset performance metrics. In conjunction with these goals, the deployment of MTConnect in a large aerospace manufacturing facility will be studied with emphasis on asset management and understanding the impact of machine Overall Equipment Effectiveness (OEE) on manufacturing.

Operating an EPR: A strong asset in the future European electricity market

International Nuclear Information System (INIS)

Esteve, Bernard; Beutier, Didier

2006-01-01

Recently, two nuclear units have been decided in Europe, both EPR 1,600 MWe. In Finland, TVO Company decided to commission a reactor in 2009 on Olkiluoto site. The license was granted in February 2005 and the construction started in summer. In 2004 in France, EDF Company decided an EPR to be commissioned in 2012 at Flamanville. In both cases, national Parliament vote has given the green light. It is interesting to understand why each company has made such decision. In TVO case, the main driving factor seems to be the need of industrial consumers for low and stable electricity price in a context of growing excess demand. In EDF case, no short term demand, but rather long term electricity company strategy seems to be the main reason. The relation to national energy policy is very clear in both cases. In Finland, the 5. Nuclear Power Plant was decided: - as a key element of the energy mix to meet growing electricity needs while replacing older plants, - to ensure, together with renewables, the fulfillment of the Kyoto commitments, - to secure stable and predictable electricity price for intensive industrial consumers (for instance, paper mills), - to reduce the dependence on electricity import. Here, it is argued more broadly that EPR will be a strong asset in the future European electricity market. To support this argument, we shall describe: 1) to what extent the evolving European electricity market may call for new nuclear units, 2) specific design features explaining why EPR especially fits with expectations, 3) cost assessments giving the conditions of EPR competitiveness, 4) main elements of risk assessment and how they are dealt with. (authors)

Assets Held for Sale and Discontinued Operations – Evaluation of Liquidity – Determination of Ratio – or Necessity of Adjustment?

Directory of Open Access Journals (Sweden)

Grazyna Voss

2015-03-01

Full Text Available The change in the use of an asset results from economic conditions and requires that a company revalue the asset and adjusts its value by costs of sale or liquidation. The current value of the asset determined in that way influences the financial result of the company and enables the movement of value from non-current assets to current assets. This change has an impact on the evaluation of financial situation and financial ratios.The aim of this article is to describe principles of measurement and presentation of assets held for sale and application of financial analysis in order to assess risks by potential investors. The purpose of this work constitutes part of a wide-ranging discussion on the directions of changes in financial reporting and principles of effective investing.

Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

OpenAIRE

Louise M. Arthur; Colin A. Carter; Fay Abizadeh

1988-01-01

A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing th...

Basic And Alternative Rules In Evaluation Of Tangible And Intangible Assets

OpenAIRE

Luminiţa Rus

2010-01-01

The purpose of this report is to bring to the forefront the basic and alternative national rules in evaluation of tangible and intangible assets approved by the Order of the Ministry of Public Finance no. 3055/2009, compared with the International Standards of Accounting matters and positioning of this accounting treatment in the context of the International Regulations. It also is reviewing fiscal influence of these valuation rules.

BASIC AND ALTERNATIVE RULES IN EVALUATION OF TANGIBLE AND INTANGIBLE ASSETS

Directory of Open Access Journals (Sweden)

LUMINIŢA RUS

2010-01-01

Full Text Available The purpose of this report is to bring to the forefront the basic and alternative national rules in evaluation of tangible and intangible assets approved by the Order of the Ministry of Public Finance no. 3055/2009, compared with the International Standards of Accounting matters and positioning of this accounting treatment in the context of the International Regulations. It also is reviewing fiscal influence of these valuation rules.

Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

DEFF Research Database (Denmark)

Nystrup, Peter; Hansen, Bo William; Larsen, Henrik Olejasz

2018-01-01

’ behavior and a new, more intuitive way of inferring the hidden market regimes. The empirical results show that regime-based asset allocation is profitable, even when compared to a diversified benchmark portfolio. The results are robust because they are based on available market data with no assumptions...... about forecasting skills....

THE ASSET PRICE CHANNEL AND ITS ROLE IN MONETARY POLICY TRANSMISSION

Directory of Open Access Journals (Sweden)

Dan Horatiu

2013-07-01

Full Text Available his paper addresses the subject of the monetary policy transmission mechanism by focusing on the asset price channel, which is the monetary transmission channel responsible for the propagation of the effects induced by the monetary policy decisions made by the central bank that affect the price of assets. We will analyze the asset price channel by taking a close look at its structure, internal processes and the way it delivers monetary policy throughout the economy, ultimately influencing key variables such as the unemployment rate and the levels of consumption and production. After an introduction dealing with the entire monetary transmission mechanism, its role and purposes, we will focus on the particularities of the asset price channel and the two main ways in which it delivers monetary policy decision effects: through changes in Tobin’s q value, which is the ratio between the market value of a given company and its replacement cost of capital, and through the effect of wealth, both of financial and housing nature, on consumption. In our study, we will consider theoretical aspects and observations, but also empirical evidence that highlights that the exact way in which the asset price channel functions may differ from one economy to another due to differences in the structures of the respective economies and differences in psychology and cultural values of consumers. The deep understanding of the asset price transmission channel is very important for any central bank, as this is the channel that governs key aspects of monetary policy transmission linked to the market value of assets and individual wealth. These values have, as we will see in more detail throughout the paper, an important impact on both consumption and investment, two economic actions that can help the economy, but can also prove to be a crucial element in starting and perpetuating an economic crisis.

Market efficiency in the emerging securitized real estate markets

OpenAIRE

Schindler, Felix

2010-01-01

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests ...

Intangible Assets – Important Resources for Performant Enterprise Gestion

Directory of Open Access Journals (Sweden)

Corina Grosu

2006-10-01

Full Text Available Along time, the goal of intangible assets became very important for the activity and prosperity of business. This matter is achieved as well as more and more the companies operate in a global economy which has as main base the digital revolution and information management. The increase of the immaterial investments percent requires evaluation and recognition criteria by knowledge, intelligence and human competence. But recently, the accounting standards were about to accord negligible attention or even totally ignored the appropriate modalities of report this category of assets. The accounting, obliged to bend to economic, financial and juridical logics, in a „Taylor” modality, presents an unreal image of the company economic life and particularly of investment activity. In a competitive environment, the reliability of future economic benefits, generated by investments, depends less on their material or immaterial nature and more on the characteristics of the market they operate on. These are just a few reflections which determined us to focus our attention to this thought-provoking domain of immaterial investments, appreciated as a potential for the company.

INTANGIBLE ASSETS – IMPORTANT RESOURCE FOR ENTERPRISE PERFORMANCE MANAGEMENT

Directory of Open Access Journals (Sweden)

ANDREEA PAULA DUMITRU

2011-04-01

Full Text Available Along time, the goal of intangible assets became very important for the activity and prosperity of business. This matter is achieved as well as more and more the companies operate in a global economy which has as main base the digital revolution and information management. The increase of the immaterial investments percent requires evaluation and recognition criteria by knowledge, intelligence and human competence. But recently, the accounting standards were about to accord negligible attention or even totally ignored the appropriate modalities of report this category of assets. The accounting, obliged to bend to economic, financial and juridical logics, in a „Taylor” modality, presents an unreal image of the company economic life and particularly of investment activity. In a competitive environment, the reliability of future economic benefits, generated by investments, depends less on their material or immaterial nature and more on the characteristics of the market they operate on. These are just a few reflections which determined us to focus our attention to this thoughtprovoking domain of immaterial investments, appreciated as a potential for the company.

THEORETICAL ASPECTS REGARDING THE VALUATION OF INTANGIBLE ASSETS

OpenAIRE

HOLT GHEORGHE

2015-01-01

Valuation of intangible assets represents one of the most delicate problems of assessing a company. Usually, valuation of intangible assets is in the process of evaluating enterprise as a whole. Therefore, Intangible Asset Valuers must have detailed knowledge on business valuation, in particular, the income-based valuation methods (capitalization / updating net cash flow). Valuation of Intangible Assets is the objective of the International Valuation Standards (GN) 4 Valuation of Intangible A...

Asset sales, asset exchanges, and shareholder wealth in China

Directory of Open Access Journals (Sweden)

Weiting Huang

2012-01-01

Full Text Available In this paper, we study a sample of 1376 corporate asset sales and 250 asset exchanges in China between 1998 and 2006. We find that corporate asset sales in China enhance firm value with a cumulative abnormal return (CAR of 0.46% for the pre-announcement five-day period, which is consistent with the evidence discovered in both U.K. and U.S. For companies that exchanged assets during the sample period, the pre-announcement five-day CAR of 1.32% is statistically significant. We also discover that gains from divesting assets are positively related to managerial performance measured by Tobin's q ratio and the relative size of the asset sold or exchanged. Well-managed (high-q companies are more likely to sell or exchange assets in a value-maximizing fashion than poorly managed (low-q companies. Furthermore, asset-seller gains are not related to enhancing corporate focus, but improving corporate focus by exchanging for core assets enhances firm value.

Research on Calculating of Shareholder Assets in the Joint Account in the Global Market%全球市场联名账户股东资产计算的研究

Institute of Scientific and Technical Information of China (English)

鲁大林; 吴斌

2012-01-01

Given the specialty of the global security account products and trading rules, and based on a research on the principles of the calculation of shareholder assets in the joint account in the global market, the presentation of common asset account data and the calculation of shareholder assets, the program is written calculate shareholders assets in Joint account in the global market with C# and SQL SERVER. The principles and methods concerned and analyzed in this paper can be used as a reference point by the global financial and investment institutions such as QFII, QDII.%通过综合考虑全球证券账户产品特点和交易规则，对全球市场联名账户股东资产计算的原理、共同资产账户数据的表示以及股东资产的计算进行了研究，并使用C^#、SQLServer编写了能完成全球市场联名账户股东资产的计算程序．所论述的计算原理和算法可以供QFII、QDII等投资全球的金融机构计算客户资产参考．

THEORETICAL ASPECTS REGARDING THE VALUATION OF INTANGIBLE ASSETS

Directory of Open Access Journals (Sweden)

HOLT GHEORGHE

2015-03-01

Full Text Available Valuation of intangible assets represents one of the most delicate problems of assessing a company. Usually, valuation of intangible assets is in the process of evaluating enterprise as a whole. Therefore, Intangible Asset Valuers must have detailed knowledge on business valuation, in particular, the income-based valuation methods (capitalization / updating net cash flow. Valuation of Intangible Assets is the objective of the International Valuation Standards (GN 4 Valuation of Intangible Assets (revised 2010. Next to it was recently proposed GN 16 Valuation of Intangible Assets for IFRS reporting. International Accounting Standard (IAS 38 Intangible Assets prescribe the accounting treatment for intangible assets, analyze the criteria that an intangible asset must meet to be recognized, specific carrying amount of intangible assets and sets out requirements for disclosure of intangible assets. From an accounting perspective, relevant professional accounting standards and the following: IFRS 3 Business Combinations, IAS 36 Impairment of Assets and SFAS 157 fair value measurement, developed by the FASB. There is a more pronounced near the provisions of IAS 38 contained in GN 4. Therefore, a good professional intangible asset valuation must know thoroughly the conditions, principles, criteria and assessment methods recognized by those standards

Unrecorded capital flows and accumulation of foreign assets: the case of Croatia

Directory of Open Access Journals (Sweden)

Goran Vukšić

2010-03-01

Full Text Available This paper evaluates the magnitude of unrecorded capital flows and the resulting unrecorded accumulation of foreign assets for Croatia, over the period between 2000 and 2007. The problem of unrecorded capital outflows, often labeled as capital flight, has gained significance in the present global financial and economic crises, because of increasing capital scarcity in many emerging markets and transition economies including Croatia. The findings reveal relatively large amounts of unrecorded foreign asset accumulation over the observed period. A large portion of this accumulation relates to cumulative amounts of net errors and omissions term, which is interpreted as unrecorded capital flow. There are reasons to believe that this net errors and omissions item in Croatia possibly partly represents the unrecorded accumulation of foreign cash from foreign tourist spending, and/or partly results from overstated tourism income in the official statistics.However, even after excluding this item from the calculation of capital flight, the remaining unrecorded accumulation of foreign assets over the period is still substantial. Consequently, if these unrecorded flows are taken into account, Croatia’s net international investment position is improved.

Integrasi Manajemen Asset dan Liabilitas Perbankan Syari’ah

Directory of Open Access Journals (Sweden)

Parmujianto Parmujianto

2017-04-01

Full Text Available Asset management focus and liability is to coordinate asset-liability portfolio of the bank in order to maximize profits for the banks and the results are distributed to the shareholders in the long term by taking into account liquidity needs and prudence. Prastimoyo (1997 says that the focus or objectives of management of assets and liabilities is to optimize revenue and keep the risk does not exceed the tolerable limit, while also maximizing the market price of the company's equity, while according to Bambang (2000, the management of assets and liabilities has a function and kenijakan in implementing a pricing strategy, both in the areas of lending and funding, in general, the responsibility of ALCO is to manage positions and allocation of funds that banks provided liquidity, maximize profit and minimize risk. On the other hand, Islamic banking has the characteristics berbada with conventional banks which do not recognize interest but for the results except that there are some business activities that exist only on Islamic banking such as trade and pawn so that it impacts extensive technical on banking activities one of which is the management asset-liabilit. So this paper will describe how the ALM policy applied to Islamic banking.

Econometric Studies of Stock Market Behaviour

DEFF Research Database (Denmark)

Rasmussen, Anne-Sofie Reng

This thesis consists of three sefcontained essays, all centering around the topic of stock market behaviour. The papers focus on the empirical performance of a number of asset pricing models, all attempting to quantify and price asset risk. We look at how well these models actually do in describing...... the historic behaviour of the stock market, allowing us to get further insight into what drives the markes....

Test Of Capital Asset Pricing Model On Stocks At Karachi Stock Exchange

Directory of Open Access Journals (Sweden)

Arbab Khalid Cheema

2010-12-01

Full Text Available This paper attempts to empirically test the single-factor CAPM developed by Sharpe (1964, Lintner (1965 and Jan Mossin (1966 and others, which proposes that the expected returns of capital assets are dependent on their risk relative to the entire market which is quantified by a correlation co-efficient between asset returns and market returns. The test of 20 stocks at Karachi Stock Exchange have shown that though, the beta co-efficients are significant, their strength is considerably weak. Therefore, other factors which are unaccounted for in this model are important in determining risk and return. In addition, betas are less relevant in a volatile emerging capital markets like the KSE. Thus, the multi-factor models are better than the classical CAPM at determining the risk-return relationship. However, the single-factor CAPM remains in practice beacause of its simplicity.

The influence of economic and marketing factors on market behaviour of young consumers

Directory of Open Access Journals (Sweden)

Joanna Kicińska

2010-01-01

Full Text Available Due to the high value of the market of young consumers in Poland, both children and the youth constitute a very attractive segment of consumers. A very high rate of them have their own money. This article aims at evaluation of influence of economic and marketing determinants on market choices of teenagers. The research shows that the determinants are of a crucial significance; the most important being the quality of goods and their prices. The most popular source of income for teenagers is the pocket money received from their parents. Young consumers use different ways of promotion and ways of sales support. Professional service and the possibility of the return of the product are the most appreciated assets of trading points.

A quantile-based Time at Risk: A new approach for assessing risk in financial markets

Science.gov (United States)

Bolgorian, Meysam; Raei, Reza

2013-11-01

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value such that the likelihood of loss on the asset over the time horizon exceeds this value is equal to the given probability level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical time such that the probability that the return interval of a critical event exceeds this time equals the given probability level. As an empirical application, we applied our model to data from the Tehran Stock Exchange Price Index (TEPIX) as a financial asset (market portfolio) and reported the results.

THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING

OpenAIRE

MARC GÜRTLER; NORA HARTMANN

2007-01-01

"Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S. stock market data for the period 1960-2003 and German stock market data for the period 1977-2003 show that emotional investors who act in accordance to Bell's (1985) disappointment theory -a special case of prospect theory- and additionally administer mental accounts demand a...

Impact Of Monetary Policy On Financial Asset Returns: An Analysis ...

African Journals Online (AJOL)

Impact Of Monetary Policy On Financial Asset Returns: An Analysis Of Selected Stocks From The Nigerian Capital Market. ... Journal of Research in National Development. Journal Home · ABOUT THIS JOURNAL · Advanced Search · Current ...

The Existence of Equilibrium Asset Price Under Diverse Information

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R. Agus Sartono

2005-09-01

Our model shows that the more diverse the information, the higher the lambda coefficient which means the market becomes less liquid. The models consistent with Miller (1977 who found that the bigger the gap of private information is, the less liquid the market will be. If both informed traders have the same information they will demand the same amount of risky asset and it turns out to be similar as in the Kyle (1985 model.

ECONOMIC AND ACCOUNTING INFORMATION AND STOCK MARKET EFFICIENCY

Directory of Open Access Journals (Sweden)

Simona – Florina SĂLIȘTEANU

2014-05-01

Full Text Available The purpose of this paper is to explore and to analyse the relations between financial accounting information and stock market efficiency. As we know, accounting contributes to the efficiency of the stock market by producing primordial information for the investors. On the other side, an efficient market facilitates the role of accounting by providing a reliable estimate of the value of many assets that needs to be evaluated. This article examines the importance of the financial accounting information for the efficiency of stock market, and also analyses whether and how the structure, the characteristics and publication of the information, impacts the prices and transactions volumes.

Asset management techniques for transformers

International Nuclear Information System (INIS)

Abu-Elanien, Ahmed E.B.; Salama, M.M.A.

2010-01-01

In a deregulated/reformed environment, the electric utilities are under constant pressure for reducing operating costs, enhancing the reliability of transmission and distribution equipments, and improving quality of power and services to the customer. Moreover, the risk involved in running the system without proper attention to assets integrity in service is quite high. Additionally, the probability of losing any equipment vital to the transmission and distribution system, such as power and distribution transformers, is increasing especially with the aging of power system's assets. Today the focus of operating the power system is changed and efforts are being directed to explore new approaches/techniques of monitoring, diagnosis, condition evaluation, maintenance, life assessment, and possibility of extending the life of existing assets. In this paper, a comprehensive illustration of the transformer asset management activities is presented. The importance of each activity together with the latest researches done in the area is highlighted. (author)

Segmentation of consumer's markets and evaluation of market's segments

OpenAIRE

ŠVECOVÁ, Iveta

2013-01-01

The goal of this bachelor thesis was to explain a possibly segmentation of consumer´s markets for a chosen company, and to present a suitable goods offer, so it would be suitable to the needs of selected segments. The work is divided into theoretical and practical part. First part describes marketing, segmentation, segmentation of consumer's markets, consumer's market, market's segments a other terms. Second part describes an evaluation of questionnaire survey, discovering of market's segment...

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

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Adriana Bruscato Bortoluzzo

Full Text Available ABSTRACT This article examines three models for pricing risky assets, the capital asset pricing model (CAPM from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian mark et for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX and for riskless assets savings accounts are used. The 2008 crisis, an event of immense proportions and market losses, may have caused alterations in the relationship structure of risky assets, causing changes in pricing model results. Division of the total period into pre-crisis and post-crisis sub-periods is the strategy used in order to achieve the main objective: to analyze the effects of the crisis on asset pricing model results and their predictive power. It is verified that the factors considered are relevant in the Brazilian market in both periods, but between the periods, changes occur in the statistical relevance of sensitivities to the market premium and to the value factor. Moreover, the predictive ability of the pricing models is greater in the post-crisis period, especially for the multifactor models, with the four factor model able to improve predictions of portfolio returns in this period by up to 80%, when compared to the CAPM.

Buying on margin, selling short in an agent-based market model

Science.gov (United States)

Zhang, Ting; Li, Honggang

2013-09-01

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in financial markets, where agents tend to increase their leverages for increased profits. This paper presents an agent-based asset market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this model, heterogeneous agents can assume fundamental value-converging expectations or trend-persistence expectations, and their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the wealth constraints to some extent. The asset market price is determined by a market maker, who watches the market excess demand, and is influenced by noise factors. By simulations, we examine market results for different leverage ratios. At the individual level, we focus on how the leverage ratio influences agents’ wealth accumulation. At the market level, we focus on how the leverage ratio influences changes in the asset price, volatility, and trading volume. Qualitatively, our model provides some meaningful results supported by empirical facts. More importantly, we find a continuous phase transition as we increase the leverage threshold, which may provide a further prospective of credit trading.

Configuring School Image Assets of Colleges in Taiwan

Science.gov (United States)

Lee, Chia Kun; Chen, Hsin Chu

2018-01-01

Higher education in Taiwan faces various challenges, such as the low-birth rate, blurred positioning, and lack of marketing concepts. In order to sustain, more effect strategies and actions resource should be implemented to enhance service of the colleges and universities. Therefore, image asset management becomes a critical start. This study aims…

Market Makers' Supply and Pricing of Financial Market Liquidity

OpenAIRE

Shen, Pu; Starr, Ross M.

2000-01-01

This study models the bid-ask spread in financial markets as a function of asset price variability and order flow. The market-maker is characterized as passively accepting orders to buy and to sell a security at the market's prevailing price (plus or minus half the bid-ask spread). The bid-ask spread adjusts to cover market-makers' average costs. The bid-ask spread then varies positively with: the security's price volatility, the volatility of order flow, and the absolute value of the market-...

Risk Exposure and Net Flow in Investment Funds: Do Shareholders Monitor Asset Allocation?

Directory of Open Access Journals (Sweden)

Rafael Felipe Schiozer

2014-03-01

Full Text Available This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive (fundos exclusivos, i.e., funds with a single shareholder, for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.

The application of statistical methods to assess economic assets

Directory of Open Access Journals (Sweden)

D. V. Dianov

2017-01-01

out precisely in the boundary of the typological group to which the object is identified.The rationale for the comprehensive application of statistical methods in the implementation of cost and comparative approaches in the assessment of economic assets, practical component, are a primary result of scientific research. It is not enough to use methodological developments in the assessment activities in modern conditions of market development and scientific and technical level for the large-scale evaluation of all available material resources of the economy and their total potential. The application of mathematical-statistical apparatus, therefore, is an objective necessity for obtaining general indicators of the size of the national wealth.In conclusion, we can mention about the methodical approaches, the building of model algorithms application of statistical methods in solving scientific and practical problems, depending on the identification belonging of the valued objects. It is premature to talk about the formalization of the application of statistical methods, the results of which would be transformed into a сertain reporting. It requires the solution of a question on the fixed assets’ census at least at the level of regions, subjects of the Russian Federation.

Banking System Reform in China: The Challenges of Moving Toward a Market-Oriented Economy

Science.gov (United States)

2007-01-01

Liabilities (RMB billion) (RMB billion) (RMB billion) (RMB billion) Forex reserves –373 Forex assets +373 Capital +373 (=US$ 45 billion) (=US...CCB Assets Liabilities Assets Liabilities (RMB billion) (RMB billion) (RMB billion) (RMB billion) Forex assets –373 Forex assets +373 Capital...02 03 04 05 06 07 Official rate Unification of the FOREX Markets (Jan 1, 1994) Market rate 8.28 8.70 (R M B /U S$ ) (Jul 21, 2005) 8.11 (June 25, 2007

Evaluation of asset replacement strategies considering economic cycles: lessons from the machinery rental business

NARCIS (Netherlands)

Grössler, A.; Bivona, E.; Fuzhuang, L.; Größler, A.

2015-01-01

In businesses with heavy capital investments, the effective management of assets is crucial, in particular in the fleet rental business where assets are the major source of revenues. One important question in this regard concerns the replacement of used assets and the purchase of new assets. Thus,

Excess co-movement in asset prices: The case of South Africa

OpenAIRE

Ocran, Mathew; Mlambo, Chipo

2009-01-01

The paper investigates excess co-movement in asset prices in South Africa between 1995 and 2005 using the definition of excess comovement as correlation between two asset prices beyond what could be explained by key economic fundamentals. The results of the study suggest that there is excess co-movement between returns on equities and bonds in South Africa. The findings suggest that there are considerable noise traders on the financial market in South Africa. The result of this behaviour woul...

Market mood, adaptive beliefs and asset price dynamics

International Nuclear Information System (INIS)

Dieci, Roberto; Foroni, Ilaria; Gardini, Laura; He Xuezhong

2006-01-01

Empirical evidence has suggested that, facing different trading strategies and complicated decision, the proportions of agents relying on particular strategies may stay at constant level or vary over time. This paper presents a simple 'dynamic market fraction' model of two groups of traders, fundamentalists and trend followers, under a market maker scenario. Market mood and evolutionary adaption are characterized by fixed and adaptive switching fraction among two groups, respectively. Using local stability and bifurcation analysis, as well as numerical simulation, the role played by the key parameters in the market behaviour is examined. Particular attention is paid to the impact of the market fraction, determined by the fixed proportions of confident fundamentalists and trend followers, and by the proportion of adaptively rational agents, who adopt different strategies over time depending on realized profits

Data driven profiting from your most important business asset

CERN Document Server

Redman, Thomas C

2008-01-01

Your company's data has the potential to add enormous value to every facet of the organization -- from marketing and new product development to strategy to financial management. Yet if your company is like most, it's not using its data to create strategic advantage. Data sits around unused -- or incorrect data fouls up operations and decision making. In Data Driven, Thomas Redman, the "Data Doc," shows how to leverage and deploy data to sharpen your company's competitive edge and enhance its profitability. The author reveals: · The special properties that make data such a powerful asset · The hidden costs of flawed, outdated, or otherwise poor-quality data · How to improve data quality for competitive advantage · Strategies for exploiting your data to make better business decisions · The many ways to bring data to market · Ideas for dealing with political struggles over data and concerns about privacy rights Your company's data is a key business asset, and you need to manage it aggressively and professi...

Essays on Empirical Asset Pricing

DEFF Research Database (Denmark)

Gormsen, Niels Joachim

that the expected return to the distant-future cash flows increases by more in bad times than the expected return to near-future cash flows does. This new stylized fact is important for understanding why the expected return on the market portfolio as a whole varies over time. In addition, it has strong implications...... for which economic model that drives the return to stocks. Indeed, I find that none of the canonical asset pricing models can explain this new stylized fact while also explaining the previously documented facts about stock returns. The second chapter, called Conditional Risk, studies how the expected return...... on individual stocks is influenced by the fact that their riskiness varies over time. We introduce a new ”conditional-risk factor”, which is a simple method for determining how much of the expected return to individual stocks that can be explained by time variation in their market risk, i.e. market betas. Using...

Does the market maker stabilize the market?

Science.gov (United States)

Zhu, Mei; Chiarella, Carl; He, Xue-Zhong; Wang, Duo

2009-08-01

The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market model that examines the impact on market stability of the market maker, who acts as both a liquidity provider and an active investor in a market consisting of two types of boundedly rational speculative investors-the fundamentalists and trend followers. We show that the market maker does not necessarily stabilize the market when he/she actively manages the inventory to maximize profits, and that rather the market maker’s impact depends on the behavior of the speculators. Numerical simulations show that the model is able to generate outcomes for asset returns and market inventories that are consistent with empirical findings.

When asset management and organizations meet: accounting for employee experiences

NARCIS (Netherlands)

Schraven, Daan; Hartmann, Andreas; Dewulf, Geert P.M.R.

2015-01-01

For some time, organisations have encountered challenges when implementing asset management, particularly when closing the gap between how the asset management is understood by employees and how they support it in practice. Maturity models, common applied evaluations for implementing asset

Fractal asset returns, arbitrage and option pricing

International Nuclear Information System (INIS)

Potgieter, Petrus H.

2009-01-01

In the discrete-time fractional random walk model a market with one risky asset affords an arbitrage opportunity as described by Cutland et al. [Cutland NJ, Kopp PE, Willinger W. Stock price returns and the Joseph effect: a fractional version of the Black-Scholes model. In: Russo Francesco, Bolthausen Erwin, Dozzi Marco, editors. Seminar on 6 stochastic analysis, random fields and applications, pp. 327-351. Seminar on stochastic analysis, random fields and applications. Ascona: Centro Stefano Franscini; 1993, Progress in probability 36. Birkhauser Verlag; 1995.] and Sottinen [Sottinen Tommi. Fractional Brownian motion, random walks and binary market models. Finance Stoch 2001;5(3):343-355]. We briefly discuss these results and compute a numerical example in a fractional binomial model as illustration and mention an option pricing model for assets the returns of which are driven by a fractional Brownian motion [Yaozhong Hu, Bernt Oksendal. Fractional white noise calculus and applications to finance. Infin Dimens Anal Quant Probability Rel Top 2003;6:1-32, ISSN 0219-0257; Fajardo J, Cajueiro DO. Volatility estimation and option pricing with fractional Brownian motion, October 2003. Available from: (http://ideas.repec.org/p/ibm/finlab/flwp53.html)].

Imperfect Knowledge, Asset Price Swings, and Structural Slumps

DEFF Research Database (Denmark)

Juselius, Katarina

2013-01-01

emphasizes real interest rates and real exchange rates as potentially important determinants underlying the persistent fluctuations in aggregate activities, and the latter provides the conditions under which speculative behavior in currency markets generates such persistence. The paper argues that by combing...... the two theories we can shed new light on the two-way interdependence between persistent swings in asset markets and persistent fluctuations in the real economy. In particular, we may improve our understanding of the mechanisms behind the long recurrent spells of high unemployment that continue to mar our...

THE FAIR VALUE – REPRESENTATION OF THE MARKET VALUE IN ACCOUNTING. TRENDS AND PERSPECTIVES IN ROMANIAN ACCOUNTING PRACTICE

Directory of Open Access Journals (Sweden)

Marinela-Daniela Manea

2011-06-01

Full Text Available The market value, as a method of measuring the right value, also provides the highest objectivity due to the fact that it is based on information exterior to the entity, impossible to influence in anyway. For the fair value of a product to be equivalent to the market value, a prerequisite needs to be followed: the market must be perfect, namely organized and active. In this case, the evaluation’s type is mark et to market. In certain fields, the active’s market existence is clearly difficult (for instance for the derived products or specialized, unique assets etc. In such situations – imperfect market – we will valorize that specific good by calculating its fair value by using an evaluation technique, an alternative technique in the absence of a price set by the market. There are two possible approaches: the first one belongs to the analogy method; the second approach belongs to valuing an asset using the modeling technique also known as market to model. The method of determining the value of an asset by analogy or similarity is theoretically valid, but in practice this is difficult, since the notion of similar characteristics is often difficult to establish and prove. This article proposes a valuation of the market value concept based on Romanian realities - legal, accounting practices in that area,and taking into account the existing fiscal limitations.

Liquidity Creation through Banks and Markets : Multiple Insurance and Limited Market Access

OpenAIRE

Ernst-Ludwig VON THADDEN

1998-01-01

The paper surveys theories of the intertemporal allocation of funds through demand deposits and anonymous markets, first separately and then in an integrated model. It reviews some work on the role of market frictions and asset characteristics, and suggests that the interplay between these two is crucial in explaining the observed coexistence of demand deposits and anonymous markets.

Marketing co-operatives

NARCIS (Netherlands)

G.W.J. Hendrikse (George); C.P. Veerman (Cees)

2000-01-01

textabstractMarketing co-operatives (MCs) are analysed from an incomplete contracting perspective. The requirement of the domination of control by the members of a MC is a threat to the survival of a MC in markets where the level of asset specificity at the processing stage of production is

Did pension plan accounting contribute to a stock market bubble?

OpenAIRE

Julia Lynn Coronado; Steven A. Sharpe

2003-01-01

During the 1990s, the asset portfolios of defined-benefit (DB) pension plans ballooned with the booming stock market. Due to current accounting guidelines, the robust growth in pension assets resulted in a stealthy but substantial boost to the profits of sponsoring corporations. This study assesses the extent to which equity investors were fooled by pension accounting. First, we test whether stock prices reflected the fair market value of sponsoring firms' net pension assets reported in footn...

An adaptive stochastic model for financial markets

International Nuclear Information System (INIS)

Hernández, Juan Antonio; Benito, Rosa Marı´a; Losada, Juan Carlos

2012-01-01

An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.

Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets

Directory of Open Access Journals (Sweden)

Erie Febrian

2014-11-01

Full Text Available Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006 framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1, GARCH(3,1, and GARCH (1,1, respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.

Stock Market Integration Measurement: Investigation of Malaysia and Singapore Stock Markets

OpenAIRE

B. K. Yeoh; Z. Arsad; C. W. Hooy

2010-01-01

This paper tests the level of market integration between Malaysia and Singapore stock markets with the world market. Kalman Filter (KF) methodology is used on the International Capital Asset Pricing Model (ICAPM) and the pricing errors estimated within the framework of ICAPM are used as a measure of market integration or segmentation. The advantage of the KF technique is that it allows for time-varying coefficients in estimating ICAPM and hence able to capture the varying degree of market int...

Understanding Financial Market States Using an Artificial Double Auction Market.

Science.gov (United States)

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2016-01-01

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85.

Understanding Financial Market States Using an Artificial Double Auction Market.

Directory of Open Access Journals (Sweden)

Kyubin Yim

Full Text Available The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85.

An asset pricing approach to liquidity effects in corporate bond markets

NARCIS (Netherlands)

Bongaerts, Dion; de Jong, Frank; Driessen, Joost

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll’s measure. The results show that expected bond liquidity and

The Marketing Audit as a Method of the Evaluation of the Marketing Plan

Science.gov (United States)

Vaňa, Kamil; Černá, Ľubica

2012-12-01

The growing complexity of the current market environment needs a more systematic evaluation process of the organizational marketing performance to deal with the dynamic market. This paper deals with marketing audit as a comprehensive assessment of all angles of marketing operation in an organization and also deals with systematic evaluation of plans, objectives, strategies, activities and organizational structure as well as marketing staff.

Heterogeneous Beliefs, Public Information, and Option Markets

DEFF Research Database (Denmark)

Qin, Zhenjiang

In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl‡uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...... distributed dividend. I demonstrate that heterogeneous prior variances give rise to the economic value of option markets. Investors speculate in option market and public information improves allocational efficiency of markets only when there is heterogeneity in prior variance. Heterogeneity in mean is neither...... a necessary nor sufficient condition for generating speculations in option markets. With heterogeneous beliefs, options are non-redundant assets which can facilitate side-betting and enable investors to take advantage of the disagreements and the differences in con…dence. This fact leads to a higher growth...

Asset Structure Impact on Capital Structure of Capital Market-Listed Firms in Indonesia and Malaysia

Directory of Open Access Journals (Sweden)

Zainal Abidin Sahabuddin

2017-07-01

Full Text Available Debt was able to be used by firm as source of funds for investment-related activities,especially when the amount of retained earnings was not sufficient to cover the amount of investment needed. Naturally, the use of debt definitely caused the agency conflict between firm shareholders and debt holders. To reduce this conflict, the existence of fixed assets as collateral was needed when firm decided to borrow money from debt holders.The purpose of this study was to prove the agency theory perspective by testing an impact of asset structure on capital structure of firms. The population of this study was the firms listed on Indonesia Stock Exchange and Malaysian Stock Exchange. The firms as sample were taken from the population by conducting stratified random sampling method. The pooled data regression model was used as the data analysis method. This result of this study showed that asset structure had the positive impact on capital structure. It meant the causal relationship between asset structure and capital structure happened and was supported by the agency theory perspective.

The Effect Of Intangible Asset Financial Performance And Financial Policies On The Firm Value

Directory of Open Access Journals (Sweden)

Rindu Rika Gamayuni

2015-01-01

Full Text Available Abstract The purpose of this study is to test empirically the relationship between intangible assets financial policies and financial performance to the firm value at going-public company in Indonesia. Path analysis was used to ascertain the relationship between intangible assets financial policies financial performance and firm value at going-public company in Indonesia in the year 2007 to 2009. This study also provides empirical evidence that Intangible assets financial policies financial performance have significant influence to the firm value simultaneously. Intangible assets has no significant influence to financial policies but has positive and significant influenced to financial performance ROA and firm value. Debt policies and financial performance ROA influenced firm value positive and significant. Financial statements limitation in measuring and disclosing intangible assets is the cause of significant difference between book value equity and market value equity. Measurement and disclosure of intangible assets intellectual capital precisely and aqurately is very important because intangible assets have a positive and significant effect to the firm value. Accounting standards should be concerned about this.

Market Reactions to Actual Open-Market Share Repurchases - A non-US empirical study

DEFF Research Database (Denmark)

Thinggaard, Frank

2002-01-01

with less attention by financial analysts and thus presumably with more general information asymmetry between management and the market. However, contrary to US evidence variables intended to capture intangible assets, idle cash, and prior period profitability are not significant in explaining the market...

Bank Liquidity, Market Participation, and Economic Growth

OpenAIRE

Mattana, Elena; Panetti, Ettore

2012-01-01

We report evidence that bank liquidity ratios (liquid assets as a percentage of total assets) decrease during the process of economic development. To reconcile this observation with (i) the increasing importance of financial markets and (ii) the increasing direct participation of individual investors in them, we build a neoclassical growth model with banks and markets. In this environment, banks engage in cross-subsidization of the impatient depositors to keep up with the competitive pressure...

Marketing e fiducia

OpenAIRE

S. Castaldo

2009-01-01

The book introduces the concept of trust in market relationships and presents the main stages of the marketing management process: (1) market and value analysis, (2) value definition, (3) value delivery, (4) value innovation, (5) planning and controlling the output of the value creation process. The final goal of the marketing process considered in the book is the maximization of the customer trust. This is defined as the main intangible asset for customer oriented companies, public instituti...

Challenging the myths: the mid-stream asset provider's view

International Nuclear Information System (INIS)

Findlay, R.

1996-01-01

The term 'mid-stream asset business' implies custom processing and gathering, meaning that a gas producer sells his gas at the wellhead, thereby transferring the business of gathering, processing and marketing of the gas and liquids to a third party. The concept is popular in the United States, but is not yet common in Canada. In Canada, producers own the gas gathering and processing systems. The mid-stream asset business was claimed to be more user friendly than the old custom processing business. Three myths about the mid-stream asset business were challenged: (1) all the risk is on the producer, the processor takes no risk, (2) the mid-stream asset business is an expensive means of financing further exploration, and (3) owning and operating gathering and processing facilities is an integral part of a producer's business. Arguments were brought forth to dispel these myths and to emphasize that a processor should be prepared to accept risks associated with the commodity, prices, production and operations. To be operationally effective, the producer's flexibility and strategic advantages must approach the same level as if he were the owner of the facility

Risiko Likuiditas Bank dan Asset Liabilities Management

OpenAIRE

Lesmana, Iwan

2007-01-01

Uquidity is of critical importance to companies in the banking services sector. Most failures of financialintermediaries have occured in large part due to insufficient liquidity resulting from adverse circumstances.Goldman Sachs has in piace a comprehensive set of liquidity and funding policies that are intended tomaintain significant flexibility to address specific and broader industry or market liquidity events.In asset liabilities mal1agement or liquidity management, liquidity risk is mana...

Higher-order co-moments in asset pricing on the stock exchange in Brazil

Directory of Open Access Journals (Sweden)

Paulo Vitor Jordão da Gama Silva

2015-12-01

Full Text Available This study seeks to identify the behavior of systemic asymmetry (coskewness and systemic kurtosis (cokurtosis in asset pricing on the Brazilian stock exchange (in BM&F Bovespa. The methodology explored by Harvey and Siddique (2000 was used to estimate the degree of coskewness and cokurtosis for stocks in each month t, following the CAPM regression. The three-factor model was used according to Fama and French (1993, with modifications to the calculation of the factors following the methodology exploited by Neves (2003. The results show that for the Brazilian market, assets with negative coskewness and cokurtosis tend to yield more than assets with positive coskewness and cokurtosis. According to observations in the American and London markets, as investors expect higher returns for the high risk, a preference was found for negative coskewness and positive cokurtosis. In Brazil, it was found that in the case of coskewness, it repeats itself, but not for cokurtosis, where the reverse is true, which can lead to the conclusion of a typically risk-averse behavior.

QUANTITATIVE INDICATORS OF THE SECURITIZATION OF ASSETS

Directory of Open Access Journals (Sweden)

Denis VOSTRICOV

2018-02-01

Full Text Available Securitization is instrumental in return on capital increment through the withdrawal from the balance oflending activities being accompanied by off-balance incomes flow from fees, which are less capital-intensive. Thepurpose of this paper is to analyze the quantitative indicators characterizing the securitization of assets. For draftingthis article, the method of analysis, synthesis method, logic and dialectic method, normative method, the study ofstatistical sampling and time series of expert evaluations (Standard and Poor’s, personal observations, andmonographic studies have been used. The main difference between the securitization of assets from traditional waysof financing is related to the achievement of a plenty of secondary goals in attracting financial resources, whichcan play a significant role in choosing to favour the securitization of assets or other types of financing. Inparticular, it gives a possibility to write off the assets from the balance sheet along with the relevant obligationsunder the securities, to expand the range of potential investors accompanied by the reducing of credit risk, interestrate and liquidity risk, as well as to improve the management quality of assets, liabilities and risks. All of thesesecondary effects are achieved by the isolation of selected assets from the total credit risk of the enterprise, raisingits funds, which forms the pivotal actuality and significance of asset securitization. The article containsdemonstrations of quantitative and qualitative indicators characterizing the securitization of assets.

Marketing potential evaluation at the analytical stage of marketing audit of an enterprise

OpenAIRE

Fayzulaueva, K.

2011-01-01

In the article the sequence of analytical stage of marketing audit by means of marketing potential evaluation is considered, the qualitative characteristics and indicators of marketing potential evaluation are determined.

Roadway alignments as assets: evaluating alternatives for valuing major highway corridor rights of way.

Science.gov (United States)

2010-12-01

In most highway asset management exercises, real estate used in alignments is considered to be an asset class that does not depreciate. Although the treatment of right of way assets as non-depreciable real property may be appropriate as an accounting...

Peran Manajemen Sumber Daya Manusia dalam Proses Penciptaan Pengetahuan sebagai Intangible Asset di Perusahaan

OpenAIRE

Dewi, Utari

2003-01-01

In an era of globalization, most companies face mounting pressure from their boards and from capital markets to add value. Although executives have become shopisticated in their understanding of what it to achieve competitive adventage, lntengible asset will be basis for company to get it, through creating knowledge. This effort has focused on employee performance as a knowledge creator, and sustainability of learning process. Keywords: knowledge, intangible asset, human capital

How to recover from the financial market flu.

Science.gov (United States)

Doody, Dennis

2008-05-01

The widely publicized subprime mortgage crisis and soaring crude oil prices have contributed to considerable market volatility in recent months, inducing queasiness among institutional investors. A four-layer approach to asset allocation that carefully considers assets, liquidity, currency, and risk may be the best strategy for maintaining an institution's financial health through today's volatile market. Perhaps the biggest challenge in such financially turbulent times is keeping fear in check.

Financial markets theory equilibrium, efficiency and information

CERN Document Server

Barucci, Emilio

2017-01-01

This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-c...

Intangible assets for intangible deliverables

DEFF Research Database (Denmark)

Elsmore, Matthew J.

2008-01-01

As the dominant economic business model in Europe, services are important when we consider intangible assets. This article argues a case for some kind of 'special relationship' between service firms and trade marks-specifically bearing in mind the CTM system and new EU services law. On the questi...... of EU businesses. The article suggests a starting point for a fresh yet reassuringly ordinary dialogue within trade mark law, one that asserts it a central role in realising predicted economic benefits of the Internal Market.......As the dominant economic business model in Europe, services are important when we consider intangible assets. This article argues a case for some kind of 'special relationship' between service firms and trade marks-specifically bearing in mind the CTM system and new EU services law. On the question...... if there can be constructive overlap between trade marks and services and how this emerges, the analysis shows there is reason both for and against thinking that together the relevant sets of laws, among other things, ease the transition from national- to Community-based trading for the overwhelming majority...

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

Science.gov (United States)

Donier, Jonathan; Bouchaud, Jean-Philippe

2015-01-01

Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the result of endogenous feedback loops. Although plausible, a clear-cut empirical evidence for such a scenario is still lacking. Here we show how crashes are conditioned by the market liquidity, for which we propose a new measure inspired by recent theories of market impact and based on readily available, public information. Our results open the possibility of a dynamical evaluation of liquidity risk and early warning signs of market instabilities, and could lead to a quantitative description of the mechanisms leading to market crashes.

Portuguese version of a stress and well-being evaluation tool (ASSET)at the workplace: validation of the psychometric properties

Science.gov (United States)

Moreira, Sérgio; Carreiras, Joana; Cooper, Cary; Smeed, Matthew; Reis, Maria de Fátima; Pereira Miguel, José

2018-01-01

Objective The main objective of this work was to translate the English version of ASSET (A Shortened Stress Evaluation Tool) into the Portuguese version and to validate its psychometric properties. Additionally, this work tested the convergent validity of the instrument. Methods The translation and retroversion were conducted by experts and submitted to the authors for approval. Within an observational, cross-sectional study, regarding mental health at the workplace, ASSET together with other scales was applied to a sample of 405 participants. The psychometric validity of the subscales was studied using confirmatory factorial analysis. Results The factorial structure of ASSET is globally supported by the results, with the Perceptions of Your Job and Attitudes Towards your Organisation subscales requiring slight adjustments in the item structure and the Your Health subscales replicating the original structure. The convergent validity also supports the ASSET, showing that all subscales are significantly correlated with variables used to test convergence. Conclusions Globally, the results constitute an important contribution to ASSET and open the possibility of its usage among Portuguese-speaking countries. The results provide an evidence on the validity of the instrument and, in particular, of the mental and physical health subscales. PMID:29440211

ASSET guidelines

International Nuclear Information System (INIS)

1990-11-01

The IAEA Assessment of Safety Significant Events Team (ASSET) Service provides advice and assistance to Member States to enhance the overall level of plant safety while dealing with the policy of prevention of incidents at nuclear power plants. The ASSET programme, initiated in 1986, is not restricted to any particular group of Member States, whether developing or industrialized, but is available to all countries with nuclear power plants in operation or approaching commercial operation. The IAEA Safety Series publications form common basis for the ASSET reviews, including the Nuclear Safety Standards (NUSS) and the Basic Safety Principles (Recommendations of Safety Series No. 75-INSAG-3). The ASSET Guidelines provide overall guidance for the experts to ensure the consistency and comprehensiveness of their review of incident investigations. Additional guidance and reference material is provided by the IAEA to complement the expertise of the ASSET members. ASSET reviews accept different approaches that contribute to ensuring an effective prevention of incidents at plants. Suggestions are offered to enhance plant safety performance. Commendable good practices are identified and generic lessons are communicated to other plants, where relevant, for long term improvement

Managing terminology assets in Electronic Health Records.

Science.gov (United States)

Abrams, Kelly; Schneider, Sue; Scichilone, Rita

2009-01-01

Electronic Health Record (EHR)systems rely on standard terminologies and classification systems that require both Information Technology (IT) and Information Management (IM) skills. Convergence of perspectives is necessary for effective terminology asset management including evaluation for use, maintenance and intersection with software applications. Multiple terminologies are necessary for patient care communication and data capture within EHRs and other information management tasks. Terminology asset management encompasses workflow and operational context as well as IT specifications and software application run time requirements. This paper identifies the tasks, skills and collaboration of IM and IT approaches for terminology asset management.

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

Directory of Open Access Journals (Sweden)

Miao Jia

2016-09-01

Full Text Available It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies.

Debt capacity of tangible assets: What is collateralizable in the debt market?

NARCIS (Netherlands)

Giambona, E.; Schwienbacher, A.

2008-01-01

Starting with Titman and Wessels (1988), capital structure studies have consistently controlled for the effect of an aggregate measure of tangible assets, including land, building, machinery & equipment, capital leases, and plant & equipment in progress, on leverage. They usually report a positive

Essays on Arbitrage and Market Liquidity

DEFF Research Database (Denmark)

Tomio, Davide

The first essay investigates how credit risk, the risk that a bond issuer will default, affects bond market liquidity. Specifically, we depart from the current literature in that we analyze the direct and indirect channels through which credit risk affects market liquidity, rather than determining...... whether both are priced in the bond. We focus on the Italian sovereign bond market, which allows us to determine how central bank interventions affect the sensitivity of the liquidity provision by market makers to default risk. We motivate our empirical analysis with a simple model of a risk averse market...... maker, holding an inventory of a risky asset and setting her optimal marginal quotes (and, therefore, the optimal bid-ask spread), in the presence of margin constraints and borrowing costs. The margins, set by a clearing house, depend on the risk of the asset, as measured by the CDS spread...

Value of the Company and Marketing Metrics

Directory of Open Access Journals (Sweden)

André Luiz Ramos

2013-12-01

Full Text Available Thinking marketing strategies from a resource-based perspective (Barney, 1991, proposing assets as either tangible, organizational and human, and from Constantin and Luch’s vision (1994, where strategic resources can be tanbigle or intangible, internal or external to the firm, raises a research approach on Marketing and Finance. According to Srivastava, Shervani and Fahey (1998 there are 3 market assets types, which generate firm value. Firm value can be measured by discounted cashflow, compromising marketing activities with value generation forcasts (Anderson, 1982; Day, Fahey, 1988; Doyle, 2000; Rust et al., 2004a. The economic value of marketing strategies and marketing metrics are calling strategy researchers’ and marketing managers’ attention, making clear the need for building a bridge able to articulate marketing and finance form a strategic perspective. This article proposes an analytical framework based on different scientific approaches envolving risk and return promoted by marketing strategies and points out advances concerning both methodological approaches and marketing strategies and its impact on firm metrics and value, usgin Srinivasan and Hanssens (2009 as a start point.

New Challenges for Asset Managers in the Danish Social Housing Sector

DEFF Research Database (Denmark)

Haugbølle, Kim; Engberg, Lars A.

2004-01-01

During the 1990s, the social housing sector in Denmark has undergone a number of changes. New trends are forcing asset managers to rethink their roles and strategies. In this changing context, asset managers have been confronted with strategic challenges on three topics: 1. New modes of tenants......’ involvement. 2. New partnerships with the building industry. 3. Moving towards a European internal market of construction products. The paper explores and analyses these three challenges by drawing on a number of case studies as well as a re-analysis of current research on management of renewal and building...

Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets

Directory of Open Access Journals (Sweden)

Antonio Airton Carneiro de Freitas

2010-04-01

Full Text Available Random maps can be constructed from a priori knowledge of the financial assets. It is also addressed the reverse problem, i.e. from a function of an empirical stationary probability density function we set up a random map that naturally leads to an implied binomial tree, allowing the adjustment of models, including the ability to incorporate jumps. An applica- tion related to the options market is presented. It is emphasized that the quality of the model to incorporate a priori knowledge of the financial asset may be affected, for example, by the skewed vision of the analyst.

Asset quality in a crisis period: An empirical examination of Ghanaian banks

Directory of Open Access Journals (Sweden)

Abdul Latif Alhassan

2014-01-01

Full Text Available This paper examines the factors that account for the deterioration in the asset quality of Ghanaian banks during a period of financial crises using a unique dataset on 25 banks from 2005 to 2010. Based on system Generalized Method of Moments estimations, we find that the persistence of non-performing loans in addition to loan growth, bank market structure, bank size, inflation, real exchange rate and GDP growth are the significant determinants of banks asset quality in Ghana. The findings have implications for both bank management and regulators in emerging economies.

Human resources evaluation in a marketing organization

Directory of Open Access Journals (Sweden)

Gutić Dragutin

2009-01-01

Full Text Available This work is first of all part of authors' initiated thinking in which in a certain way they try to promote the idea and need to accept and develop the concept of human resources management by marketing managers. This work's subject matter deals with human resources evaluation in a marketing organization as an important and certain element of this management. A new approach with critical reference to the present state of theory and practice is explained, new solutions are offered and thorough, almost radical changes and turnarounds are supported. Marketing managers mostly reluctantly accept the evaluation system for their employees. They often say that this is not their basic job, that it unnecessarily and absurdly puts a burden on them, that it takes their time, or they think however that their goal is to increase sales, to extend the existing and enter new markets, to improve the relationship with buyers and consumers etc. Evaluation enables employees to understand clearly what they are expected and how their results will be evaluated. Each member of the organization wants to know and have feedback about his or her work. This assessment of his or her work is a basis for rewarding, job security, career development, promotion in the organization, improvement and professional training etc. Evaluation is not in the least easy and simple work. On the contrary, It is a matter of a very complicated work followed by many difficulties and different restrictions in practice. It is a fact that great part of failure and poor system lies in an approach systematically incomplete and taken for granted. The authors gave a thorough review of basic restrictions and difficulties that should be count on when evaluating the employees. They come from the evaluators themselves (marketing managers, unelaborated evaluation methodology, as well as insufficient and late information as a base for evaluation. Marketing managers efficiency evaluation is focused through

Evaluating Information System Integration approaches for fixed asset management framework in Tanzania

Directory of Open Access Journals (Sweden)

Theophil Assey

2017-10-01

Full Text Available Information systems are developed based on different requirements and different technologies. Integration of these systems is of vital importance as they cannot work in isolation, they need to share and exchange data with other information systems. The Information Systems handle data of different types and formats’, finding a way to make them communicate is important as they need to exchange data during transactions, communication and different aspects which may require their interactions. In Tanzanian Local Government Authorities (LGAs, fixed asset data are not centralized, individual Local Government Authority stores their own data in isolation yet accountability is required through the provision of centralized storage for easy data access and easier data integration with other Information Systems in order to enhance fixed asset accountability. The study was carried out through reviewing of literature on the existing Information System integration approaches in order to identify and propose the best approach to be used in fixed asset management systems in LGA’s in Tanzania. The different approaches which are used for systems integration such as Service Oriented Architecture (SOA, Common Object Request Broker (CORBA, Common Object Model (COM and eXtensible Markup Language (XML were evaluated under the factors considered at the LGA. The XML was preferred over SOA, CORBA and COM because of some challenges in governance, data security, availability of expertise for support, maintenance, implementation cost, performance, compliance with government changing policies and service reliability. The proposed approach integrates data for all the Local Government Authorities at a centralized location and middleware transforms the centralized data into XML so it can easily be used by other Information Systems.

Self-organization and phase transition in financial markets with multiple choices

Science.gov (United States)

Zhong, Li-Xin; Xu, Wen-Juan; Huang, Ping; Qiu, Tian; He, Yun-Xin; Zhong, Chen-Yang

2014-09-01

Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. It is found that the roles of market confidence are closely related to whether or not there exists another market. When there exists another investment opportunity, different market confidence may lead to the same price fluctuations and the same investment attainment. There are two feedback effects. Being overly optimistic about a particular asset makes an investor become insensitive to losses. A delayed strategy adjustment leads to a decline in wealth and one's runaway from the market. The withdrawal of the agents results in the optimization of the strategy distributions and an increase in wealth. Being overly pessimistic about a particular asset makes an investor over-sensitive to losses. One's too frequent strategy adjustment leads to a decline in wealth. The withdrawal of the agents results in the improvement of the market environment and an increase in wealth.

Asset prices and rents in a GE model with imperfect competition

OpenAIRE

Pierre Lafourcade

2003-01-01

This paper analyses the general equilibrium effects on asset valuation and capital accumulation of an exogenous drop in the rate of return required by investors in a model of production with imperfectly competitive product markets. The model improves substantially on the standard perfectly competitive neo-classical framework, by dissociating the behavior of marginal and average q. It tracks more closely current observed data on the ratio of stock-market value to the economy's capital base, wh...

A homotopy analysis method for the option pricing PDE in illiquid markets

Science.gov (United States)

E-Khatib, Youssef

2012-09-01

One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.

Market-consistent actuarial valuation

CERN Document Server

Wüthrich, Mario V

2016-01-01

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

13 CFR 108.885 - Disposition of assets to NMVC Company's Associates.

Science.gov (United States)

2010-01-01

... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false Disposition of assets to NMVC Company's Associates. 108.885 Section 108.885 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION NEW MARKETS VENTURE CAPITAL (âNMVCâ) PROGRAM Financing of Small Businesses by NMVC Companies...

Asset allocation and regime switching on Croatian financial market

Directory of Open Access Journals (Sweden)

Tihana Škrinjarić

2016-12-01

Full Text Available It has been known for quite some time now that financial markets exhibit changes in regimes over time. A majority of the literature tends to support that financial markets undergo regimes of bull and bear markets. This characteristic should be modeled in a proper way as investors are always interested in beating the market: either by achieving better returns than others, or by minimizing their portfolio risks. There exist many mathematical and statistical models that are used as tools to achieve the mentioned goals. Introducing the regime switching methodology in existing models has proven to be facilitate achieving such goals. Therefore, the objective of this study is to utilize the regime switching methodology on the Croatian financial market to ascertain its usefulness for Croatian investors. Multivariate regime switching and non-switching models were estimated using daily data from the period 2 January 2007 to 31 December 2015. The assumption is that the investor is interested in stock and bond markets. The results from the MGARCH and regime switching MGARCH models are then compared in order to give answers as to whether the respective methodology applied to the Croatian market is useful and how it may benefit investors. Most of the results support the presumption of incorporating this particular methodology in financial modeling for the Croatia markets. This is the first research that applies the regime switching MGARCH methodology in Croatia (including the Balkan region, hence we expect that this will be a significant contribution to existing methodologies in literature.

Marketing: Managing the Marketing Mix. Courseware Evaluation for Vocational and Technical Education.

Science.gov (United States)

Fleming, Lian; And Others

This courseware evaluation rates the Marketing: Managing the Marketing Mix program developed by Control Data Limited. (This program--not contained in this document--is designed to introduce decisions made by marketing managers during the implementation phase of marketing.) Part A describes the program in terms of subject area (marketing, decision…

A statistical analysis of product prices in online markets

Science.gov (United States)

Mizuno, T.; Watanabe, T.

2010-08-01

We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.

MARKET EVALUATION MODEL: TOOL FORBUSINESS DECISIONS

OpenAIRE

Porlles Loarte, José; Yenque Dedios, Julio; Lavado Soto, Aurelio

2014-01-01

In the present work the concepts of potential market and global market are analyzed as the basis for strategic decisions of market with long term perspectives, when the implantation of a business in certain geographic area is evaluated. On this conceptual frame, the methodological tool is proposed to evaluate a commercial decision, for which it is taken as reference the case from the brewing industry in Peru, considering that this industry faces in the region entrepreneurial reorderings withi...

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

Directory of Open Access Journals (Sweden)

Jonathan Donier

Full Text Available Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the result of endogenous feedback loops. Although plausible, a clear-cut empirical evidence for such a scenario is still lacking. Here we show how crashes are conditioned by the market liquidity, for which we propose a new measure inspired by recent theories of market impact and based on readily available, public information. Our results open the possibility of a dynamical evaluation of liquidity risk and early warning signs of market instabilities, and could lead to a quantitative description of the mechanisms leading to market crashes.

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights

Science.gov (United States)

Donier, Jonathan; Bouchaud, Jean-Philippe

2015-01-01

Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the result of endogenous feedback loops. Although plausible, a clear-cut empirical evidence for such a scenario is still lacking. Here we show how crashes are conditioned by the market liquidity, for which we propose a new measure inspired by recent theories of market impact and based on readily available, public information. Our results open the possibility of a dynamical evaluation of liquidity risk and early warning signs of market instabilities, and could lead to a quantitative description of the mechanisms leading to market crashes. PMID:26448333

An Ising spin state explanation for financial asset allocation

Science.gov (United States)

Horvath, Philip A.; Roos, Kelly R.; Sinha, Amit

2016-03-01

We build on the developments in the application of statistical mechanics, notably the identity of the spin degree of freedom in the Ising model, to explain asset price dynamics in financial markets with a representative agent. Specifically, we consider the value of an individual spin to represent the proportional holdings in various assets. We use partial moment arguments to identify asymmetric reactions to information and develop an extension of a plunging and dumping model. This unique identification of the spin is a relaxation of the conventional discrete state limitation on an Ising spin to accommodate a new archetype in Ising model-finance applications wherein spin states may take on continuous values, and may evolve in time continuously, or discretely, depending on the values of the partial moments.

Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing

NARCIS (Netherlands)

Bikker, J.A.; Broeders, D.W.G.A; de Dreu, J.

2007-01-01

This paper is the first that examines the impact of stock market performance on the investment policy of pension funds. We find that stock market prices influence the asset allocation of Dutch pension funds in two ways. In the short term, outperformance of equities over bonds and other investment

Emerging Market Multinationals

DEFF Research Database (Denmark)

Gammeltoft, Peter; Hobdari, Bersant

2017-01-01

International knowledge flows and innovation are becoming ever more important to the competitiveness of multinational corporations. Emerging market multinationals (EMNCs) in specific are deploying increasingly activist measures to harness foreign sources of knowledge and innovation as a strategy...... in which this disagreement can be reconciled through recognition of other EMNC advantages, particularly abilities to leverage country-specific assets, and possession and development of dynamic capabilities. Finally, we identify a set of core themes in the recent literature on strategic asset...

Is the restructuring of Alberta's power market on the right track? Evaluating Alberta's first two years of deregulation

International Nuclear Information System (INIS)

Wellenius, K.; Adamson, S.

2003-07-01

The performance of Alberta's restructured electricity market was evaluated since its move to wholesale competition in January 2001. This paper presents the following eight conclusions that the authors arrived at following the evaluation: (1) To meet growing demand, the electricity prices in Alberta would have increased regardless of the type of environment (regulated or not). Capacity investment was required, and it was believed that moving to competition was the best way to attract investors. (2) Success in attracting private investment was attained as a result of Alberta's open market. It has restored reliability of supply and moderated prices. (3) Price comparisons must take into account what the prices would have been if the market had remained regulated. Due to unique generation costs and regulatory environments, comparisons with other regulated jurisdictions is inappropriate. (4) Convergence with other energy rates that would have been seen under regulation is being noted with respect to Alberta's market prices. (5) Under deregulation, prices increase according to the need for new investment and fall after the investment is made. Alberta has been on a path toward continued reduction in wholesale prices since 2001. (6) The non-price benefits of restructuring include improved generation efficiency, captured residual value from regulated assets, and shifting investment risk of new capacity additions from consumers to generators. (7) Downward pressure on prices was noted as a result of deregulation, as expected. (8) Significant value for consumers was captured through Alberta's restructuring process. 7 tabs., 7 figs

Financial markets as adaptive systems

Science.gov (United States)

Potters, M.; Cont, R.; Bouchaud, J.-P.

1998-02-01

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: "fat tails" and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

Space Situational Awareness using Market Based Agents

Science.gov (United States)

Sullivan, C.; Pier, E.; Gregory, S.; Bush, M.

2012-09-01

Space surveillance for the DoD is not limited to the Space Surveillance Network (SSN). Other DoD-owned assets have some existing capabilities for tasking but have no systematic way to work collaboratively with the SSN. These are run by diverse organizations including the Services, other defense and intelligence agencies and national laboratories. Beyond these organizations, academic and commercial entities have systems that possess SSA capability. Most all of these assets have some level of connectivity, security, and potential autonomy. Exploiting them in a mutually beneficial structure could provide a more comprehensive, efficient and cost effective solution for SSA. The collection of all potential assets, providers and consumers of SSA data comprises a market which is functionally illiquid. The development of a dynamic marketplace for SSA data could enable would-be providers the opportunity to sell data to SSA consumers for monetary or incentive based compensation. A well-conceived market architecture could drive down SSA data costs through increased supply and improve efficiency through increased competition. Oceanit will investigate market and market agent architectures, protocols, standards, and incentives toward producing high-volume/low-cost SSA.

Methods of evaluating market transformation programmes: experience in Sweden

International Nuclear Information System (INIS)

Neij, L.

2001-01-01

The evaluation of market transformation programmes requires the development of new methods, relative to methods used for the evaluation of traditional energy efficiency programmes. In this paper, a model for the evaluation of market transformation programmes is proposed, based in part on evaluation methods discussed in the literature. The proposed model entails an extensive evaluation process, including the evaluation of market transformation effects, the impact of these effects, and the evaluation of the outline of the programme. Furthermore, evaluations of Swedish market transformation programmes have been analysed in relation to the proposed model. The analysis shows that not all of the evaluations have been focused on market transformation, and those that have, are only partly consistent with the evaluation model proposed here. It is concluded that future evaluations of Swedish market transformation programmes should be extended and improved in accordance with the proposed model. (author)

Competing with giants. Survival strategies for local companies in emerging markets.

Science.gov (United States)

Dawar, N; Frost, T

1999-01-01

The arrival of a multinational corporation often looks like a death sentence to local companies in an emerging market. After all, how can they compete in the face of the vast financial and technological resources, the seasoned management, and the powerful brands of, say, a Compaq or a Johnson & Johnson? But local companies often have more options than they might think, say the authors. Those options vary, depending on the strength of globalization pressures in an industry and the nature of a company's competitive assets. In the worst case, when globalization pressures are strong and a company has no competitive assets that it can transfer to other countries, it needs to retreat to a locally oriented link within the value chain. But if globalization pressures are weak, the company may be able to defend its market share by leveraging the advantages it enjoys in its home market. Many companies in emerging markets have assets that can work well in other countries. Those that operate in industries where the pressures to globalize are weak may be able to extend their success to a limited number of other markets that are similar to their home base. And those operating in global markets may be able to contend head-on with multinational rivals. By better understanding the relationship between their company's assets and the industry they operate in, executives from emerging markets can gain a clearer picture of the options they really have when multinationals come to stay.

Managing asset protection in the re-engineered environment of the nineties

International Nuclear Information System (INIS)

Bender, J.E.

1995-01-01

This paper discusses innovative management of equipment assets during this climate of increased competitiveness in order to reduce the costs of equipment failures, and avoid business interruptions and consequential loss of market share. The topics of the paper include proper design and specification, monitoring, maintenance, timely repair, and protecting buildings

Behavioral Finance and Agent-Based Artificial Markets

NARCIS (Netherlands)

M. Lovric (Milan)

2011-01-01

textabstractStudying the behavior of market participants is important due to its potential impact on asset prices and the dynamics of financial markets. The idea of individual investors who are prone to biases in judgment and who use various heuristics, which might lead to anomalies on the market

Evaluation on Optimal Scale of Rural Fixed-asset Investment – Based on Microcosmic Perspective of Farmers’ Income Increase

OpenAIRE

DENG, Jinqian; SHAN, Kangkang; ZHANG, Yan

2014-01-01

The rural fundamental and productive fixed-asset investment not only makes active influence on the changes of farmers’ operational, wages and property income, but it also has an optimal scale range for farmers’ income increase. From the perspective of farmers’ income increase, this article evaluates the optimal scale of rural fixed-asset investment by setting up model with statistic data, and the results show that the optimal scale of per capita rural fixed-asset investment is 76.35% of...

Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment

Science.gov (United States)

Kozaki, M.; Sato, A.-H.

2008-02-01

We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We perform empirical analysis with daily/intraday data of the S&P500 index return and find that the volatility fluctuation of real markets is well-consistent with the assumptions of the Beck model: The volatility fluctuates at a much larger time scale than the return itself and the inverse of variance, or “inverse temperature”, β obeys Γ-distribution. As predicted by the Beck model, the distribution of returns is well-fitted by q-Gaussian distribution of Tsallis statistics. The evaluation method of Value-at-Risk (VaR), one of the most significant indicators in risk management, is studied for q-Gaussian distribution. Our proposed method enables the VaR evaluation in consideration of tail risk, which is underestimated by the variance-covariance method. A framework of portfolio risk assessment under the existence of tail risk is considered. We propose a multi-asset model with a single volatility fluctuation shared by all assets, named the single β model, and empirically examine the agreement between the model and an imaginary portfolio with Dow Jones indices. It turns out that the single β model gives good approximation to portfolios composed of the assets with non-Gaussian and correlated returns.

The rush for mid-stream assets goes on

International Nuclear Information System (INIS)

Roussel, D.C.

1999-01-01

The gathering and processing industry is no stranger to asset sales, mergers and consolidation. The list of Top 20 players is markedly different today from what it was just five years ago and what one can expect for the next five years is more change. Every year, it seems, that the values being places on these assets increases, and old rules of thumb don't apply any more. Likewise, the list of key players has a new look, in that many of the companies are focused on downstream markets and view mid-stream assets as one of the key tools required to be successful. At last year's executive forum (Gas Processors Association 77th Annual Convention), executives from Tejas, Williams and PG and E told us that this was why their companies paid premiums to get bigger in this segment of the business. But what was not mentioned was how placing such high value on these assets was justified. This paper discusses a model for the gathering and processing industry that is much different from the traditional view; one that will help to explain how to create value through exploitation of presence along selected segments of the value chain. The successful acquirers are applying this model, and over time will redefine the industry. It is only by having an awareness and understanding of this new model that today's players will be able to develop strategies to compete

Dynamic Asset Allocation and the Informational Efficiency of Markets.

OpenAIRE

Grossman, Sanford J

1995-01-01

Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of informational efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by the incomplete equitization of risks. Incomplete...

The risk of stranded assets for utilities in Canada

International Nuclear Information System (INIS)

Schroeder, W.

1998-01-01

The problems of dealing with stranded assets in Canada and the United States were discussed. Compared to the United States, the risk associated with stranded assets for utilities in Canada was considered to be relatively low because of the following factors: (1) low variable cost, (2) isolation, (3) lack of transmission interconnection capacity, (4) lack of tight synchronization in North America, (5) the likelihood of an increase in natural gas prices, (6) the absence of jurisdictional disputes such as FERC versus the states, (7) social considerations, (8) the learning curve, (9) politics, (10) weak balance sheets, (11) relatively low electricity prices, (12) the weak Canadian dollar, and (13) the possibility of refinancing at lower interest rates. Ontario Hydro, New Brunswick and Nova Scotia Power are the three Canadian utilities that may have stranded costs. For Ontario Hydro and New Brunswick Power the stranded costs would be related to nuclear generator problems, whereas for Nova Scotia Power, the stranded costs would be related to the thermal generating base, the threat from Sable Island Gas and the changing tax structure of the utility. Some other reasons why stranded assets could be created in Canada would include low variable costs and high fixed costs, over capacity of at least 30 per cent in generation, limited domestic energy growth, competitive threat from gas, reliability and safety of nuclear plants, and technology change. Five factors in terms of which stranded assets can be expressed are: (1) variable cost definition, (2) total cost definition, (3) operating profit definition, (4) wide geographic definition, and (5) free market definition. In calculating stranded assets, the number of years over which the assets are recovered and the discount rate are considered to be key factors. 26 tabs

The capital asset pricing model versus the three factor model: A United Kingdom Perspective

Directory of Open Access Journals (Sweden)

Chandra Shekhar Bhatnagar

2013-07-01

Full Text Available The Sharpe (1964, Lintner (1965 and Black (1972 Capital Asset Pricing Model (CAPM postulates that the equilibrium rates of return on all risky assets are a linear function of their covariance with the market portfolio. Recent work by Fama and French (1996, 2006 introduce a Three Factor Model that questions the “real world application” of the CAPM Theorem and its ability to explain stock returns as well as value premium effects in the United States market. This paper provides an out-of-sample perspective to the work of Fama and French (1996, 2006. Multiple regression is used to compare the performance of the CAPM, a split sample CAPM and the Three Factor Model in explaining observed stock returns and value premium effects in the United Kingdom market. The methodology of Fama and French (2006 was used as the framework for this study. The findings show that the Three Factor Model holds for the United Kingdom Market and is superior to the CAPM and the split sample CAPM in explaining both stock returns and value premium effects. The “real world application” of the CAPM is therefore not supported by the United Kingdom data.

The current state of the market for corporate acquisitions

International Nuclear Information System (INIS)

Korpach, A.N.

1998-01-01

The main factors which determine when the oil and gas industry is in a seller's market or a buyer's market mode were discussed. In a seller's market, the number of potential buyers for assets exceeds the number of sellers. Therefore, sellers could obtain good prices for their assets. Such was the case from 1995 to 1997. For 1998, the level of merger and acquisition activity was high and is expected to remain strong for 1999, but the market appears to be firmly a buyer's market (more sellers than potential buyers). The reasons for this are as follows: (1) restricted access to capital, (2) declining stock prices/values, (3) significant supply of assets, and (4) acquisition costs now in line with finding and development costs. The question of whether or not acquisitions add value was also discussed. It was noted that share price performance of those companies making acquisitions during the period was comparable to that of the TSE oil and gas producers index. A list of some Canadian and U.S. companies which completed significant acquisitions in 1997 and 1998 was included. 10 figs

Variance risk premia in CO_2 markets: A political perspective

International Nuclear Information System (INIS)

Reckling, Dennis

2016-01-01

The European Commission discusses the change of free allocation plans to guarantee a stable market equilibrium. Selling over-allocated contracts effectively depreciates prices and negates the effect intended by the regulator to establish a stable price mechanism for CO_2 assets. Our paper investigates mispricing and allocation issues by quantitatively analyzing variance risk premia of CO_2 markets over the course of changing regimes (Phase I-III) for three different assets (European Union Allowances, Certified Emissions Reductions and European Reduction Units). The research paper gives recommendations to regulatory bodies in order to most effectively cap the overall carbon dioxide emissions. The analysis of an enriched dataset, comprising not only of additional CO_2 assets, but also containing data from the European Energy Exchange, shows that variance risk premia are equal to a sample average of 0.69 for European Union Allowances (EUA), 0.17 for Certified Emissions Reductions (CER) and 0.81 for European Reduction Units (ERU). We identify the existence of a common risk factor across different assets that justifies the presence of risk premia. Various policy implications with regards to gaining investors’ confidence in the market are being reviewed. Consequently, we recommend the implementation of a price collar approach to support stable prices for emission allowances. - Highlights: •Enriched dataset covering all three political phases of the CO_2 markets. •Clear policy implications for regulators to most effectively cap the overall CO_2 emissions pool. •Applying a cross-asset benchmark index for variance beta estimation. •CER contracts have been analyzed with respect to variance risk premia for the first time. •Increased forecasting accuracy for CO_2 asset returns by using variance risk premia.

Global Asset Pricing: Is There a Role for Long-run Consumption Risk?

DEFF Research Database (Denmark)

Rangvid, Jesper; Schmelling, Maik; Schrimpf, Andreas

We estimate long-run consumption-based asset pricing models using a comprehensive set of international test assets, including broad equity market portfolios, international value/growth portfolios, and international bond portfolios. We find that differences in returns across assets within a countr...... that consumption growth is more predictable over short to medium-run horizons than over longer horizons and that empirical evidence of a de- clining risk aversion parameter estimate in long-run risk models has to be interpreted with care....... are sometimes (and most prominently for the U.S.) better captured by the assets' exposure to long-run consumption risk as opposed to their exposure to one-period changes in consumption (the canonical consumption CAPM). Across countries, however, exposure to long-run consumption risk does not provide a better...... fit than the canonical consumption CAPM. Thus, when characterizing the cross-country distribution of returns, long-run consumption risk does not seem to play any particular role, even if long-run risk is important for explaining the cross section of expected returns in the U.S. Furthermore, we show...

Steam generator asset management: integrating technology and asset management

International Nuclear Information System (INIS)

Shoemaker, P.; Cislo, D.

2006-01-01

Asset Management is an established but often misunderstood discipline that is gaining momentum within the nuclear generation industry. The global impetus behind the movement toward asset management is sustainability. The discipline of asset management is based upon three fundamental aspects; key performance indicators (KPI), activity-based cost accounting, and cost benefits/risk analysis. The technology associated with these three aspects is fairly well-developed, in all but the most critical area; cost benefits/risk analysis. There are software programs that calculate, trend, and display key-performance indicators to ensure high-level visibility. Activity-based costing is a little more difficult; requiring a consensus on the definition of what comprises an activity and then adjusting cost accounting systems to track. In the United States, the Nuclear Energy Institute's Standard Nuclear Process Model (SNPM) serves as the basis for activity-based costing. As a result, the software industry has quickly adapted to develop tracking systems that include the SNPM structure. Both the KPI's and the activity-based cost accounting feed the cost benefits/risk analysis to allow for continuous improvement and task optimization; the goal of asset management. In the case where the benefits and risks are clearly understood and defined, there has been much progress in applying technology for continuous improvement. Within the nuclear generation industry, more specialized and unique software systems have been developed for active components, such as pumps and motors. Active components lend themselves well to the application of asset management techniques because failure rates can be established, which serves as the basis to quantify risk in the cost-benefits/risk analysis. A key issue with respect to asset management technologies is only now being understood and addressed, that is how to manage passive components. Passive components, such as nuclear steam generators, reactor vessels

Unanticipated money and the demand for foreign assets : a rational expectations approach

NARCIS (Netherlands)

Kumah, F.Y.

1995-01-01

This paper is an attempt at empirically investigating one of the building blocks of the foreign exchange market - the demand for foreign financial assets - under two alternative monetary policy rules (the fixed rate of growth of money rule and the feedback monetary policy rule) using time series

The impact of Energy Performance Certificates on the rental and capital values of commercial property assets

Energy Technology Data Exchange (ETDEWEB)

Fuerst, Franz, E-mail: ff274@cam.ac.uk [Department of Land Economy, University of Cambridge, 19 Silver Street, Cambridge, CB3 9EP (United Kingdom); McAllister, Patrick [Real Estate and Planning, Henley Business School, University of Reading, RG6 5UD (United Kingdom)

2011-10-15

This paper focuses on the effect of energy performance ratings on appraised capital values, rental values and equivalent yields of UK commercial property assets. The study is based on a cross-section of 708 commercial property assets. Incorporating a range of potential confounding factors such as unexpired lease term, vacancy rate and tenant credit risk, we use hedonic regression procedures to estimate the effect of EPC rating on rental and capital values. The study finds no evidence of a significant relationship between environmental and/or energy performance and rental and capital values. A small subset of 24 BREEAM-rated assets is also tested for significant price effects but a statistically significant effect is only confirmed for equivalent yields. Similarly, there was no evidence that the EPC rating had any effect on Market Rent or Market Value with only minor effects of EPC ratings on equivalent yields. The preliminary conclusion is that energy labelling is not yet having the effects on Market Values and Market Rents that would be expected if high EPC ratings were associated with substantial cost savings that are fully reflected in capital values and/or were readily available and taken into account by prospective tenants and buyers. - Highlights: > Finds no significant effect of EPC ratings on commercial real estate values. > Expected relationships with other price determinants, e.g. age, location confirmed. > Analysis provides some support for effect of EPC and BREEAM rating on yields.

The impact of Energy Performance Certificates on the rental and capital values of commercial property assets

International Nuclear Information System (INIS)

Fuerst, Franz; McAllister, Patrick

2011-01-01

This paper focuses on the effect of energy performance ratings on appraised capital values, rental values and equivalent yields of UK commercial property assets. The study is based on a cross-section of 708 commercial property assets. Incorporating a range of potential confounding factors such as unexpired lease term, vacancy rate and tenant credit risk, we use hedonic regression procedures to estimate the effect of EPC rating on rental and capital values. The study finds no evidence of a significant relationship between environmental and/or energy performance and rental and capital values. A small subset of 24 BREEAM-rated assets is also tested for significant price effects but a statistically significant effect is only confirmed for equivalent yields. Similarly, there was no evidence that the EPC rating had any effect on Market Rent or Market Value with only minor effects of EPC ratings on equivalent yields. The preliminary conclusion is that energy labelling is not yet having the effects on Market Values and Market Rents that would be expected if high EPC ratings were associated with substantial cost savings that are fully reflected in capital values and/or were readily available and taken into account by prospective tenants and buyers. - Highlights: → Finds no significant effect of EPC ratings on commercial real estate values. → Expected relationships with other price determinants, e.g. age, location confirmed. → Analysis provides some support for effect of EPC and BREEAM rating on yields.

Japanese views on ASSET

Energy Technology Data Exchange (ETDEWEB)

Hirano, M [Department of Reactor Safety Research, Japan Atomic Energy Research Inst. (Japan)

1997-10-01

The presentation briefly reviews the following aspects directed to ensuring NPP safety: Japanese participation in ASSET activities; views to ASSET activities; recent operating experience in Japan; future ASSET activities.

Japanese views on ASSET

International Nuclear Information System (INIS)

Hirano, M.

1997-01-01

The presentation briefly reviews the following aspects directed to ensuring NPP safety: Japanese participation in ASSET activities; views to ASSET activities; recent operating experience in Japan; future ASSET activities

Relationship marketing's role in managing the firm-investor dyad

NARCIS (Netherlands)

Hoffmann, A.O.I.; Pennings, J.M.E.; Wies, S.

2011-01-01

This paper develops an interdisciplinary conceptual framework demonstrating the role of marketing in managing investor relationships. The framework illustrates how companies can turn investor relationships into market-based assets by analyzing and managing them from a relationship marketing and

Crossover marketing

International Nuclear Information System (INIS)

Heath, D.S.

1998-01-01

The impact of a deregulated energy market on customers in Ontario was discussed. In particular, the way in which Sunoco will deal with energy convergence and how Sunoco plans to generate interest among residential consumers in a deregulated and competitive energy market was described. Integrated energy solutions that offer customers value-added heating, ventilating and air conditioning products and services, inclusive of equipment sales, installation, repair, rental, leasing, financing, warranty, insurance and maintenance is the ultimate goal of Sunoco. The major retail issues in the energy market such as licensing of marketers, customer mobility, transfer of utility assets to affiliates, Ontario Hydro's market power in electrical generation, distribution of stranded debt charges, and a timetable for deregulation were also addressed. figs

Plan for city identity establishment and city marketing - the case of Kimpo city

Directory of Open Access Journals (Sweden)

Kim Inn

2004-01-01

Full Text Available The purpose of this study is to provide theoretical methods and practical strategies of creatingcity identity, and to utilize them as basic tools of city management. Place marketingconsists of two parts, place assets making and place promotion. Place asset making is theprocess of making the place-specific advantage or attractiveness and the place promotion isthe process that makes notice of it. The place marketing debates and strategies is quite oftenconfined to partial place marketing, the search for the tactical method of place promotion.However, this study examines the characteristics of full place marketing focused on theplace making such as the background, concept, category, participants and principles ofplace making. This study finds out that the originality, specificity, and indispensability ofplace asset is the source of competitive advantage. The principles of place asset making areparticipation, learning and experience, and leadership and networks among actors. Thepolicy implication of this study is that it is most important for the success of place marketingto make competitive assets and eventual city identity.

Engineering Asset Management and Infrastructure Sustainability : Proceedings of the 5th World Congress on Engineering Asset Management

CERN Document Server

Ma, Lin; Tan, Andy; Weijnen, Margot; Lee, Jay

2012-01-01

Engineering Asset Management 2010 represents state-of-the art trends and developments in the emerging field of engineering asset management as presented at the Fifth World Congress on Engineering Asset Management (WCEAM). The proceedings of the WCEAM 2010 is an excellent reference for practitioners, researchers and students in the multidisciplinary field of asset management, covering topics such as: Asset condition monitoring and intelligent maintenance Asset data warehousing, data mining and fusion Asset performance and level-of-service models Design and life-cycle integrity of physical assets Education and training in asset management Engineering standards in asset management Fault diagnosis and prognostics Financial analysis methods for physical assets Human dimensions in integrated asset management Information quality management Information systems and knowledge management Intelligent sensors and devices Maintenance strategies in asset management Optimisation decisions in asset management Risk management ...

First Year Digital Marketing Plan : Case: Arctos

OpenAIRE

Järvelin, Reetta

2016-01-01

Digital marketing is becoming increasingly important, as communication through digital chan-nels develops and some aspects of traditional marketing become irrelevant. Digital marketing focuses on current and relevant methods of reaching audiences, making it a valuable marketing asset for businesses. This thesis is a study into the field of digital marketing, including common tools and best practices. The thesis is a project-based thesis, which aims to create a complete digital marketing p...

EVALUATION OF THE MASTER MARKETER NEWSLETTER

OpenAIRE

McCorkle, Dean A.; Waller, Mark L.; Amosson, Stephen H.; Smith, Jackie; Bevers, Stanley J.; Borchardt, Robert

2001-01-01

Several support programs have been developed to help support, reinforce, enhance, and improve the effectiveness of the educational experience of Master Marketer graduates and other marketing club participants. One of those products, the Master Marketer Newsletter, is currently mailed to over 700 Master Marketer graduates and Extension faculty on a quarterly basis. In the June 2000 newsletter, a questionnaire was sent to newsletter recipients asking them to evaluate the various sections of the...

Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective

OpenAIRE

Martínez-Miranda, Enrique; McBurney, Peter; Howard, Matthew J.

2015-01-01

Market manipulation is a strategy used by traders to alter the price of financial assets. One type of manipulation is based on the process of buying or selling assets by using several trading strategies, among them spoofing is a popular strategy and is considered illegal by market regulators. Some promising tools have been developed to detect price manipulation, but cases can still be found in the markets. In this paper we model spoofing and pinging trading from a macroscopic perspective of p...

Determinants Of Equity Prices In The Stock Market

Directory of Open Access Journals (Sweden)

Muhammad Usman Javaid

2010-12-01

Full Text Available This study examines the effect of market variables on the movement stock prices in Pakistan. Asset pricing is considered as efficient if the asset prices reflect all available market information. This study examined the extent to which some "information factors" or market indices affect the stock price. A simple regression model has been used to develop a relation between the variables (stock prices, earnings per share, gross domestic product, dividend, inflation and KIBOR after testing for multi-collinearity among the independent variables. All the variables have shown positive correlation with stock prices with some exceptions of GDP and inflation. This study has enriched the existing literature while it would help policy makers who are interested in deploying instruments of monetary policy and other economic indices for the growth of the capital market.

On certain development aspects of an ipsas-based system-target approach to evaluation of net asset sustainability level projects in high-rise construction

Directory of Open Access Journals (Sweden)

Kazaryan Ruben

2018-01-01

Full Text Available Problems of accounting and reporting of net assets and the procedure of their formation taking into account the specifics of the economic and legal status of property of a non-commercial autonomous institution are some of the most controversial in the accounting for entities of the public sector. The study focuses on justification of accounting rules for net assets of public sector entities. The methods used in the study are as follows: comparison, synthesis, analysis, logical approach, and system approach. The article examines legal aspects and specifics of recognition of assets of public sector entities in accordance with IPSAS standards (International Public Sector Accounting Standards are a set of accounting standards issued by IPSASB (Council for International Financial Reporting Standards for Public Sector Organizations used by state-owned enterprises worldwide in preparation of financial statements as of the 31st of August, 2015. The most crucial factor in the modeling of key performance indicators of the system-target approach to estimation of the sustainability level of net assets on the basis of IPSAS is a multicriterial evaluation of the basic management strategy for quality system elements used in operational and strategic planning projects operations in high-rise construction. We offer an alternative evaluation of assets due to be returned to the right holder (the state controller in the event of liquidation of a public sector entity.

On certain development aspects of an ipsas-based system-target approach to evaluation of net asset sustainability level projects in high-rise construction

Science.gov (United States)

Kazaryan, Ruben

2018-03-01

Problems of accounting and reporting of net assets and the procedure of their formation taking into account the specifics of the economic and legal status of property of a non-commercial autonomous institution are some of the most controversial in the accounting for entities of the public sector. The study focuses on justification of accounting rules for net assets of public sector entities. The methods used in the study are as follows: comparison, synthesis, analysis, logical approach, and system approach. The article examines legal aspects and specifics of recognition of assets of public sector entities in accordance with IPSAS standards (International Public Sector Accounting Standards are a set of accounting standards issued by IPSASB (Council for International Financial Reporting Standards for Public Sector Organizations) used by state-owned enterprises worldwide in preparation of financial statements as of the 31st of August, 2015. The most crucial factor in the modeling of key performance indicators of the system-target approach to estimation of the sustainability level of net assets on the basis of IPSAS is a multicriterial evaluation of the basic management strategy for quality system elements used in operational and strategic planning projects operations in high-rise construction. We offer an alternative evaluation of assets due to be returned to the right holder (the state controller) in the event of liquidation of a public sector entity.

12 CFR 1805.700 - Evaluation and selection-general.

Science.gov (United States)

2010-01-01

... Section 1805.700 Banks and Banking COMMUNITY DEVELOPMENT FINANCIAL INSTITUTIONS FUND, DEPARTMENT OF THE TREASURY COMMUNITY DEVELOPMENT FINANCIAL INSTITUTIONS PROGRAM Evaluation and Selection of Applications... Applicants that vary by institution type, total asset size, stage of organizational development, markets...

Regionalisation of asset values for risk analyses

Directory of Open Access Journals (Sweden)

A. H. Thieken

2006-01-01

Full Text Available In risk analysis there is a spatial mismatch of hazard data that are commonly modelled on an explicit raster level and exposure data that are often only available for aggregated units, e.g. communities. Dasymetric mapping techniques that use ancillary information to disaggregate data within a spatial unit help to bridge this gap. This paper presents dasymetric maps showing the population density and a unit value of residential assets for whole Germany. A dasymetric mapping approach, which uses land cover data (CORINE Land Cover as ancillary variable, was adapted and applied to regionalize aggregated census data that are provided for all communities in Germany. The results were validated by two approaches. First, it was ascertained whether population data disaggregated at the community level can be used to estimate population in postcodes. Secondly, disaggregated population and asset data were used for a loss evaluation of two flood events that occurred in 1999 and 2002, respectively. It must be concluded that the algorithm tends to underestimate the population in urban areas and to overestimate population in other land cover classes. Nevertheless, flood loss evaluations demonstrate that the approach is capable of providing realistic estimates of the number of exposed people and assets. Thus, the maps are sufficient for applications in large-scale risk assessments such as the estimation of population and assets exposed to natural and man-made hazards.

Do crypto-currencies form a new asset class?

OpenAIRE

Mayr, Samuel

2015-01-01

This paper examines statistical properties of crypto-currencies' price variations in comparison with statistical properties of price variations in common financial markets. Price data of Bitcoin, ripple and Litecoin have been directly compared with price data of euro currency and stock index S&P500. Additionally, and compared with set of stylized facts of asset returns. The properties in scope of this work include an autocorrelation of day-to-day returns, a shape of return distributions, a vo...

Electricity - a great asset for Canada

International Nuclear Information System (INIS)

Chretien, Jean.

1983-06-01

Canada has a great national asset in its ability to generate electricity economically from its abundant hydro, coal, and uranium resources. Its nuclear industry has an excellent product. Despite lack of orders for now, the CANDU will be a competitive force when the reactor market recovers. Canada has a proven record of reliability for electricity trade with the United States. There appear to be some opportunities for plants in Canada dedicated to the export of electric power. The federal government is prepared to work closely with the provinces to develop projects which will be attractive to customers in the United States

IMPROVEMENT OF STRATEGIC MANIPULATED FEDERAL PROPERTY THE EXAMPLE NON-CORE ASSETS OF JSC «CENTER OF NUCLEAR INDUSTRY NONCORE ASSETS» STATE CORPORATION «ROSATOM»

OpenAIRE

Ilya I. Rodin

2015-01-01

The article describes the main measures to improve the management of assets, federally-owned or private of public corporations - an inventory of the property, the recognition of non-core assets, the organization of decision-making systems, the sale of non-core assets at market value. The article provides the rationale for the creation within the large state-owned corporations specialized management companies responsible for the restructuring of non-core assets and improve management of the pr...

The market value of nuclear power

International Nuclear Information System (INIS)

Gupta, N.K.; Thompson, H.G. Jr.

1999-01-01

What are the factors and circumstances that have made some plants more valuable to others than to their original owners? What is currently keeping nuclear plants, with their relatively low operating cost and environmental impacts, at the bottom of the heap? Why will some nuclear plants have significantly higher market values in the future while others will fail? What circumstances are likely to change in the near future that could significantly alter this market? In this article, the authors address these questions and attempt to provide insights into the unique market for nuclear power. The authors will proceed by first introducing the components of generation asset valuation, then discussing recent experiences with the sales of non-nuclear and nuclear power plants. Next, the authors will provide some explanation for why non-nuclear assets are enjoying a robust market while the market for nuclear plants remains immature. Finally, the authors present an analysis of the future value of nuclear power and a view of one road to take to get there

The market value of nuclear power

Energy Technology Data Exchange (ETDEWEB)

Gupta, N.K.; Thompson, H.G. Jr.

1999-10-01

What are the factors and circumstances that have made some plants more valuable to others than to their original owners? What is currently keeping nuclear plants, with their relatively low operating cost and environmental impacts, at the bottom of the heap? Why will some nuclear plants have significantly higher market values in the future while others will fail? What circumstances are likely to change in the near future that could significantly alter this market? In this article, the authors address these questions and attempt to provide insights into the unique market for nuclear power. The authors will proceed by first introducing the components of generation asset valuation, then discussing recent experiences with the sales of non-nuclear and nuclear power plants. Next, the authors will provide some explanation for why non-nuclear assets are enjoying a robust market while the market for nuclear plants remains immature. Finally, the authors present an analysis of the future value of nuclear power and a view of one road to take to get there.

"Asset Ownership Across Generations"

OpenAIRE

Ngina S. Chiteji; Frank P. Stafford

2000-01-01

This paper examines cross-generational connections in asset ownership. It begins by presenting a theoretical framework that develops the distinction between the intergenerational transfer of knowledge about financial assets and the direct transfer of dollars from parents to children. Its analysis of data from the Panel Study of Income Dynamics (PSID) reveals intergenerational correlations in asset ownership, and we find evidence to suggest that parental asset ownership or family-based exposur...

Accounting treatment of intangible assets

OpenAIRE

Gorgieva-Trajkovska, Olivera; Koleva, Blagica; Georgieva Svrtinov, Vesna

2015-01-01

The accounting for fixed assets is, in many cases, a straightforward exercise, but it isn’t always so when it comes to the issue of intangible fixed assets and recognizing such assets on the balance sheet. IAS 38, In¬tan¬gi¬ble Assets, outlines the accounting re¬quire¬ments for in¬tan¬gi¬ble assets, which are non-mon¬e¬tary assets which are without physical substance and iden¬ti¬fi¬able (either being separable or arising from con¬trac¬tual or other legal rights). In¬tan¬gi¬ble assets meeting ...

Intensity and efficiency analysis of assets use when monitoring the ...

African Journals Online (AJOL)

The authors define the gap as an underestimated part of assets and identify it with the company's goodwill. The authors research the practical application area of the business activity indicators, including for the grounded management decisions concerning the evaluation of investment attractiveness and efficiency of assets ...

Moving average rules as a source of market instability

NARCIS (Netherlands)

Chiarella, C.; He, X.Z.; Hommes, C.H.

2006-01-01

Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial market model in which demand for traded assets

Communications in Financial Markets: a Strategy method Experiment

OpenAIRE

Brice Corgnet; Angela Sutan

2007-01-01

The main objective of this paper is to analyze the impact of uninformative communications on asset prices. An experimental approach allows us to control for the release of a priori uninformative messages. We introduce the release of messages in standard experimental asset markets with bubbles using a strategy method experiment. We conjecture that messages that are a priori uninformative can significantly impact the level of asset prices. Such communications may be used by boundedly rational s...

Banking regulation and market making

OpenAIRE

Cimon, David A.; Garriott, Corey

2017-01-01

We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule. Regulation causes market makers to reduce their intermediation by refusing principal positions. However, it can improve the bid-ask spread because it induces new market makers to enter. Since market makers intermediate less, asset prices exhibit a liquidity premium. Costs of regulation can be assessed by m...

The capital-asset pricing model reconsidered: tests in real terms on ...

African Journals Online (AJOL)

This paper extends previous work of the authors to reconsider the capital-asset pricing model (CAPM) in South Africa in real terms. As in that work, the main question this study aimed to answer remains: Can the CAPM be accepted in the South African market for the purposes of the stochastic modelling of investment returns ...

India's Bond Market-Developments and Challenges Ahead

OpenAIRE

Schou-Zibell, Lotte; Wells, Stephen

2008-01-01

While India boasts a world-class equity market and increasingly important bank assets, its bond market has not kept up. The government bond market remains illiquid. The corporate bond market, in addition, remains restrictive to participants and largely arbitrage-driven. Securitization, which once had the jump on other Asian markets, has failed to take off. To meet the needs of its firms and investors, the bond market must therefore evolve. This will mean creating new market sectors such as ex...

The Role of Marketing Audit in Evaluation Sustainable Marketing Performance in Romanian Organizations

Directory of Open Access Journals (Sweden)

Daniel Serbănică

2015-08-01

Full Text Available In today`s society, marked by profound changes in consumer attitudes towards the environment and social issues, organizations are forced to behave responsibly, to be oriented towards a sustainable marketing. However the efforts of the organization should be evaluated periodically to see the extent to which objectives are achieved and the extent to which resource consumption leads to results. From the marketing perspective, this can be achieved through marketing audit, which is a tool for evaluating and controlling a marketing organization’s performance. This paper aims, through a documentary study in the first part and an exploratory quantitative research, in the second, to highlight the role and place of the audit of marketing in companies in Romania, to assess the effectiveness of marketing activity undertaken the principles of sustainability. The last part of the paper includes research findings and a series of theoretical and managerial recommendations on the use of marketing audit as a tool for assessing the sustainability of marketing companies in the target group, with the possibility of generalizing to all companies operating on the market in Romania.

Does Central Bank Tone Move Asset Prices?

DEFF Research Database (Denmark)

Schmeling, Maik; Wagner, Christian

the next press conference. Moreover, we find that positive tone changes are associated with increasing government bond yields, lower implied equity volatility, lower variance risk premia, and lower corporate credit spreads. Since we also show that tone changes are unrelated to current and future economic...... fundamentals, these results support the conjecture that central bank tone matters for asset prices through a risk-based channel. Our main findings also apply to U.S. markets, where stock prices and Treasury yields increase when the Fed chair’s tone in the Congressional Testimony becomes more positive....

Does pop music exist? Hierarchical structure in phonographic markets

Science.gov (United States)

Buda, Andrzej

2012-11-01

I find a topological arrangement of assets traded in phonographic markets which has associated a meaningful economic taxonomy. I continue using the Minimal Spanning Tree and the correlations between assets, but now outside the stock markets. This is the first attempt to use these methods on phonographic markets where we have artists instead of stocks. The value of an artist is defined by record sales. The graph is obtained starting from the matrix of correlation coefficients computed between the world’s most popular 30 artists by considering the synchronous time evolution of the difference of the logarithm of weekly record sales. This method provides the hierarchical structure of the phonographic market and information on which music genre is meaningful according to customers. Statistical properties (including the Hurst exponent) of weekly record sales in the phonographic market are also discussed.

12 CFR 932.5 - Market risk capital requirement.

Science.gov (United States)

2010-01-01

... estimates the market value of the Bank's assets and liabilities, off-balance sheet items, and derivative... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Market risk capital requirement. 932.5 Section... CAPITAL STANDARDS FEDERAL HOME LOAN BANK CAPITAL REQUIREMENTS § 932.5 Market risk capital requirement. (a...

Financier-led asset lease model

NARCIS (Netherlands)

Zhao, X.; Angelov, S.A.; Grefen, P.W.P.J.; Meersman, R.A.; Dillon, T.S.

2010-01-01

Nowadays, the business globalisation trend drives organisations to spread their business worldwide, which in turn generates vast asset demands. In this context, broader asset channels and higher financial capacities are required to boost the asset lease sector to meet the increasing asset demands

Essays on Empirical Asset Pricing : Essays over het empirisch prijzen van financiele producten

NARCIS (Netherlands)

R.W.M. Verbeek (Roy)

2017-01-01

textabstractThis dissertation consists of three essays on empirical asset pricing. In the first essay, I investigate whether common risk factors are priced across investment horizons. I show that only the market and size factors are priced, but only up to sixteen months. The results highlight the

CAPM (Capital Asset Pricing Model) and regulation in Brazilian electric distribution sector; CAPM (Capital Asset Pricing Model) e regulacao no segmento de distribuicao do setor eletrico brasileiro

Energy Technology Data Exchange (ETDEWEB)

Pinto, Rinaldo Caldeira; Parente, Virginia [Universidade de Sao Paulo (USP), SP (Brazil)], emails: rinaldo@iee.usp.br, vparente@iee.usp.br

2010-07-01

The aim of this paper is to analyse the use of Capital Asset Pricing Model (CAPM) Beta in the Brazilian electric distribution sector tariffs review. The betas applied by the Regulatory Agency are defined using data from the American, English and Brazilian markets. These betas will then be compared to the betas obtained in the domestic market. The betas were directly obtained from an economic-financial databank largely employed by the market. The sample is composed of companies' shares, priced at Sao Paulo Stock Market. Their main activity is the distribution of electric energy between July 2002 and July 2007. The results of mean betas obtained for the distribution segment, with values close to the ones applied by the regulatory agency for the cycle of tariff reviews between 2007-2010. (author)

CAPM (Capital Asset Pricing Model) and regulation in Brazilian electric distribution sector; CAPM (Capital Asset Pricing Model) e regulacao no segmento de distribuicao do setor eletrico brasileiro

Energy Technology Data Exchange (ETDEWEB)

Pinto, Rinaldo Caldeira; Parente, Virginia, E-mail: rinaldo@iee.usp.br, E-mail: vparente@iee.usp.br [Universidade de Sao Paulo (USP), SP (Brazil)

2010-07-01

The aim of this paper is to analyse the use of Capital Asset Pricing Model (CAPM) Beta in the Brazilian electric distribution sector tariffs review. The betas applied by the Regulatory Agency are defined using data from the American, English and Brazilian markets. These betas will then be compared to the betas obtained in the domestic market. The betas were directly obtained from an economic-financial databank largely employed by the market. The sample is composed of companies' shares, priced at Sao Paulo Stock Market. Their main activity is the distribution of electric energy between July 2002 and July 2007. The results of mean betas obtained for the distribution segment, with values close to the ones applied by the regulatory agency for the cycle of tariff reviews between 2007-2010. (author)

Asset Pricing - A Brief Review

OpenAIRE

Li, Minqiang

2010-01-01

I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal capital asset pricing model (ICAPM), and some other important modern concepts and techniques. Finally, I discuss the most recent development during the last decade and the outlook in the field of asset pricing.

Toronto Hydro-Electric System Limited, 2010 asset condition assessment audit

Energy Technology Data Exchange (ETDEWEB)

Lotho, K.; Wang, F. [Kinectrics Inc., Toronto, ON (Canada)

2010-07-15

Toronto Hydro-Electric System Limited (THESL) has long been devoted to the enhancement of its asset management program. In 2006, Kinectrics Incorporated (Kinectrics) performed a full asset condition assessment (ACA) for important distribution assets. Subsequently, THESL made efforts to follow the recommendations given by the 2006 ACA and to enhance the quality of its asset condition data. THESL also created an application that measures the health indices of assets based on current and best available inspection data. In 2009, THESL performed a new ACA with this health index calculator. Kinectrics was requested to evaluate the improvement achieved by THESL between 2006 and 2009, and to compare the results obtained from the two ACA performed. An examination of the changes and ACA results between 2009 and 2010 has been conducted by Kinectrics. The Kinectrics findings were reported into the 2010 asset condition assessment audit report. The Health Index (HI) formulation and the results obtained between 2009 and 2010 were examined for twenty-one asset categories. The health index formulation including condition parameters, condition parameter weights and condition criteria, the granularity within the asset category, the percentage of the population presenting sufficient condition data and the health index classification distribution were compared for each one of the asset categories between 2009 and 2010. This report provides recommendations to facilitate future improvements.

Assessing Asset Pricing Anomalies

NARCIS (Netherlands)

W.A. de Groot (Wilma)

2017-01-01

markdownabstractOne of the most important challenges in the field of asset pricing is to understand anomalies: empirical patterns in asset returns that cannot be explained by standard asset pricing models. Currently, there is no consensus in the academic literature on the underlying causes of

Russia's resource capitalism—market vs political signalling

International Nuclear Information System (INIS)

Kretzschmar, Gavin L.; Simpson, Ewan; Haque, Mujibul

2013-01-01

Since the early post-Soviet era, when many strategically important Russian oil and gas fields were sold on unfavourable terms, the state has been seeking to regain control of these strategic assets. With Putin's return to the Presidency in 2012, Russia's U-turn over oil and gas privatizations has again caused market consternation. We examine strategic asset acquisitions by Russian O and G companies during Putin's first terms as president and suggest that there should however, be few surprises. Under Putin, strategic deals in Russia are often informal, dominated by Russian partners, subject to internecine rivalries and, we show, are ‘somehow’ known by markets prior to promulgation. Findings suggest that in Russia deals of strategic substance are recognized by financial markets prior to the announcement of political policy

MOTIVES FOR ASSET REVALUATION POLICY CHOICE IN CROATIA

Directory of Open Access Journals (Sweden)

Željana Aljinović Barać

2011-02-01

Full Text Available The aim of this paper is to research managers’ motives of accounting policy choice for long-term nonfinancial assets. International Financial Reporting Standards (IFRS allow managers to choose between cost and revaluation model for measurement after recognition. The assumption is that manager’s decision is opportunistic so they use the revaluation model as a device to improve perceptive borrowing capacity of a company, and consequently, to reduce debt cost. Prior studies were mainly conducted in developed, marketoriented economies, unlike Croatia. The contribution of this paper is the research of motives and determinants of asset revaluation policy choice in bank-oriented economies with inactive markets. Furthermore, multivariate logistic regression was not used as a research method in this field of accounting in transition and emerging economies till now. Empirical evidence is provided through the sample of Croatian listed companies and the results show that large, profitable companies with low liquidity ratio, low cash flow ratio and increasing debt are more likely to perform upward revaluation.

The capital-asset-pricing model and arbitrage pricing theory: a unification.

Science.gov (United States)

Ali Khan, M; Sun, Y

1997-04-15

We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset's return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen-Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers some basic phenomena not amenable to classical methods, and whose approximate counterparts are not already, or even readily, apparent in the asymptotic setting.

Capital Structure and Assets

DEFF Research Database (Denmark)

Flor, Christian Riis

2008-01-01

This paper analyzes a firm's capital structure choice when assets have outside value. Valuable assets implicitly provide a collateral and increase tax shield exploitation. The key feature in this paper is asset value uncertainty, implying that it is unknown ex ante whether the equity holders ex p...

Beating the market with small portfolios: Evidence from Brazil

Directory of Open Access Journals (Sweden)

André A.P. Santos

2015-01-01

Full Text Available Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing efficient optimization methods to solve the problem, with little or no attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this question by implementing a tractable reformulation of the cardinality-constrained version of the minimum variance portfolio. We analyze the out-of-sample performance of cardinality-constrained portfolios according to alternative criteria and check the robustness of the results for portfolios with alternative number of assets and under alternative re-balancing frequencies. Our empirical application for the Brazilian equities market shows that cardinality-constrained minimum variance portfolios with very few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the market index. Similar results are obtained for constrained portfolios with 5 and 10 assets and under daily, weekly, and monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with fewer securities in the portfolio by using an improved allocation scheme.

Reasons to value the health care intangible asset valuation.

Science.gov (United States)

Reilly, Robert F

2012-01-01

There are numerous individual reasons to conduct a health care intangible asset valuation. This discussion summarized many of these reasons and considered the common categories of these individual reasons. Understanding the reason for the intangible asset analysis is an important prerequisite to conducting the valuation, both for the analyst and the health care owner/operator. This is because an intangible asset valuation may not be the type of analysis that the owner/operator really needs. Rather, the owner/operator may really need an economic damages measurement, a license royalty rate analysis, an intercompany transfer price study, a commercialization potential evaluation, or some other type of intangible asset analysis. In addition, a clear definition of the reason for the valuation will allow the analyst to understand if (1) any specific analytical guidelines, procedures, or regulations apply and (2) any specific reporting requirement applies. For example, intangible asset valuations prepared for fair value accounting purposes should meet specific ASC 820 fair value accounting guidance. Intangible asset valuations performed for intercompany transfer price tax purposes should comply with the guidance provided in the Section 482 regulations. Likewise, intangible asset valuations prepared for Section 170 charitable contribution purposes should comply with specific reporting requirements. The individual reasons for the health care intangible asset valuation may influence the standard of value applied, the valuation date selected, the valuation approaches and methods applied, the form and format of valuation report prepared, and even the type of professional employed to perform the valuation.

Theoretical and Empirical Review of Asset Pricing Models: A Structural Synthesis

Directory of Open Access Journals (Sweden)

Saban Celik

2012-01-01

Full Text Available The purpose of this paper is to give a comprehensive theoretical review devoted to asset pricing models by emphasizing static and dynamic versions in the line with their empirical investigations. A considerable amount of financial economics literature devoted to the concept of asset pricing and their implications. The main task of asset pricing model can be seen as the way to evaluate the present value of the pay offs or cash flows discounted for risk and time lags. The difficulty coming from discounting process is that the relevant factors that affect the pay offs vary through the time whereas the theoretical framework is still useful to incorporate the changing factors into an asset pricing models. This paper fills the gap in literature by giving a comprehensive review of the models and evaluating the historical stream of empirical investigations in the form of structural empirical review.

Comprehensive transportation asset management : making a business case and prioritizing assets for inclusion in formal asset management programs.

Science.gov (United States)

2011-12-01

Several agencies are applying asset management principles as a business tool and paradigm to help them define goals and prioritize agency resources in decision making. Previously, transportation asset management (TAM) has focused more on big ticke...

Bayesian Analysis of Bubbles in Asset Prices

Directory of Open Access Journals (Sweden)

Andras Fulop

2017-10-01

Full Text Available We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a stochastic long run mean. The second regime reflects the bubble period with explosive behavior. Stochastic switches between two regimes and non-constant probabilities of exit from the bubble regime are both allowed. A Bayesian learning approach is employed to jointly estimate the latent states and the model parameters in real time. An important feature of our Bayesian method is that we are able to deal with parameter uncertainty and at the same time, to learn about the states and the parameters sequentially, allowing for real time model analysis. This feature is particularly useful for market surveillance. Analysis using simulated data reveals that our method has good power properties for detecting bubbles. Empirical analysis using price-dividend ratios of S&P500 highlights the advantages of our method.

COINTEGRATION ANALYSIS OF EUROPEAN STOCK MARKETS (ROMANIA, GERMANY, FRANCE AND POLAND FROM THE PERSPECTIVE OF THE NET ASSETS INVESTMENT OF THE ROMANIAN MANDATORY PRIVATE PENSION FUNDS

Directory of Open Access Journals (Sweden)

Andreea-Cristina PETRICA

2016-12-01

Full Text Available The goal of this paper is to investigate cointegration between Bucharest Stock Exchange and three European Stock Markets: Germany,France and Poland, respectively. The choice of the European markets is based on the net assets investment of the Romanian mandatory private pension funds. On June 30, 2016, according to the Romanian Financial Supervisory Authority 91.28% of all investments in shares of private pension funds have been performed in Romanian shares, while the rest of 8.72% (0.44 billion lei have been performed in shares issued by Germany (2.34%, France (2.23%, Poland (0.89% and other countries. Having the intention of achieving maximizing returns by managing risk, and also to capture the co-movements in the above markets,we perform the cointegration analysis to examine portfolio diversification of the Romanian mandatory private pension funds. The empirical analysis is based on daily closing prices of the BET Index, DAX 30 Index, CAC 40 Index and WIG 20 Index and covers the period from 30 January 2006 to 27 September 2016 (2713 observations.

Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

Directory of Open Access Journals (Sweden)

Kin Keung Lai

2012-04-01

Full Text Available In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is influenced by dynamic correlation among different assets, which has both normal and transient behaviors. This paper proposes a novel multivariate wavelet denoising based approach for estimating Portfolio Value at Risk (PVaR. The multivariate wavelet analysis is introduced to analyze the multi-scale behaviors of the correlation among different markets and the portfolio volatility behavior in the higher dimensional time scale domain. The heterogeneous data and noise behavior are addressed in the proposed multi-scale denoising based PVaR estimation algorithm, which also incorporatesthe mainstream time series to address other well known data features such as autocorrelation and volatility clustering. Empirical studies suggest that the proposed algorithm outperforms the benchmark ExponentialWeighted Moving Average (EWMA and DCC-GARCH model, in terms of conventional performance evaluation criteria for the model reliability.

Evaluation of Market Design Programme - Phase IV; Utvaerdering av Market Designprogrammet - etapp IV

Energy Technology Data Exchange (ETDEWEB)

Wall, Tomas

2013-08-15

The Market Design program was established in year 2000 to study issues related to markets, regulations and policy instruments related to the deregulation of the Swedish electricity market. Through the years, the focus has widened to include not only Sweden but also international cooperation on these issues. The fourth phase of the program is now underway between the years 2010 and 2013. The overall project objective of this fourth phase is to increase knowledge about the Nordic and North European electricity market. Specific objective is to create new knowledge that affects market design of the single market area (Nordic, EU) and to contribute to constructive meetings between researchers, energy companies and government agencies on Market Design Issues. The purpose of the evaluation of the Market Design Program phase IV has been to investigate the results and benefits of the program in relation to the program's original objectives and to examine the need for and areas of further research and possible ways for the research in Market Design. The evaluation has been carried through in four phases during spring and summer 2013. The work has included reading, interviews with program stakeholders, analysis and reporting.

Asset management using genetic algorithm: Evidence from Tehran Stock Exchange

Directory of Open Access Journals (Sweden)

Abbas Sarijaloo

2014-02-01

Full Text Available This paper presents an empirical investigation to study the effect of market management using Markowitz theorem. The study uses the information of 50 best performers on Tehran Stock Exchange over the period 2006-2009 and, using Markowitz theorem, the efficient asset allocation are determined and the result are analyzed. The proposed model of this paper has been solved using genetic algorithm. The results indicate that Tehran Stock Exchange has managed to perform much better than average world market in most years of studies especially on year 2009. The results of our investigation have also indicated that one could reach outstanding results using GA and forming efficient portfolio.

Getting Digital Assets from Public-Private Partnership Research Projects through "The Valley of Death," and Making Them Sustainable.

Science.gov (United States)

Aartsen, Wendy; Peeters, Paul; Wagers, Scott; Williams-Jones, Bryn

2018-01-01

Projects in public-private partnerships, such as the Innovative Medicines Initiative (IMI), produce data services and platforms (digital assets) to help support the use of medical research data and IT tools. Maintaining these assets beyond the funding period of a project can be a challenge. The reason for that is the need to develop a business model that integrates the perspectives of all different stakeholders involved in the project, and these digital assets might not necessarily be addressing a problem for which there is an addressable market of paying customers. In this manuscript, we review four IMI projects and the digital assets they produced as a means of illustrating the challenges in making digital assets sustainable and the lessons learned. To progress digital assets beyond proof-of-concept into widely adopted tools, there is a need for continuation of multi-stakeholder support tailored to these assets. This would be best done by implementing a structure similar to the accelerators that are in place to help transform startup businesses into growing and thriving businesses. The aim of this article is to highlight the risk of digital asset loss and to provoke discussion on the concept of developing an "accelerator" for digital assets from public-private partnership research projects to increase the chance that digital assets will be sustained and continue to add value long after a project has ended.

Modelling Market Dynamics with a "Market Game"

Science.gov (United States)

Katahira, Kei; Chen, Yu

In the financial market, traders, especially speculators, typically behave as to yield capital gains by the difference between selling and buying prices. Making use of the structure of Minority Game, we build a novel market toy model which takes account of such the speculative mind involving a round-trip trade to analyze the market dynamics as a system. Even though the micro-level behavioral rules of players in this new model is quite simple, its macroscopic aggregational output has the reproducibility of the well-known stylized facts such as volatility clustering and heavy tails. The proposed model may become a new alternative bottom-up approach in order to study the emerging mechanism of those stylized qualitative properties of asset returns.

Evaluation of the importance of the 39 subjects defined by the global forum for maintenance and asset management

OpenAIRE

Visser, Jacobus Krige; Botha, Arnold

2015-01-01

The Global Forum on Maintenance and Asset Management (GFMAM) was formed in 2011 to bring together various experts, practitioners, academics, and other professionals who are active in the field of asset and maintenance management. The primary mission of GFMAM is to develop and promote knowledge, standards, and education for the maintenance and asset management professions. To fulfil this mission, GFMAM developed an ‘Asset Management Landscape’ document, which defines 39 subjects on asset manag...

TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE

Directory of Open Access Journals (Sweden)

Josipa Džaja

2013-02-01

Full Text Available The paper examines if the Capital Asset Pricing Model (CAPM is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined.

Rational Asset Pricing Bubbles Revisited

OpenAIRE

Jan Werner

2012-01-01

Price bubble arises when the price of an asset exceeds the asset's fundamental value, that is, the present value of future dividend payments. The important result of Santos and Woodford (1997) says that price bubbles cannot exist in equilibrium in the standard dynamic asset pricing model with rational agents as long as assets are in strictly positive supply and the present value of total future resources is finite. This paper explores the possibility of asset price bubbles when either one of ...

Earnings Management and Valuation of Biological Assets

Directory of Open Access Journals (Sweden)

Ricardo Luiz Menezes da Silva

2015-01-01

Full Text Available The use of fair value to measure the worth of biological assets allows discretionary choices when using discounted cash flow in the absence of an active market, influencing the quality of accounting information. The objective of this study was to investigate evidence of earnings management among Brazilian companies that have adopted fair value based on the discounted cash flow method. The firms were investigated with regard to: a disclosure of the discount rate, b BM&FBovespa corporate governance levels; and c adherence to disclosure requirements in the Brazilian accounting standard CPC 29 (IAS 41. We analyzed 31 firms with significant biological assets from 2010 to 2012. The earnings management measurements were calculated according to the modified Jones, the Teoh, Welch and Wong (1998, and the KS models. The Mann-Whitney test of the means was applied and revealed evidence of greater earnings management for companies that use discounted cash flow, and the ones that least meet CPC 29 disclosure requirements, considering the KS model estimates. Regarding the other proposals, testing did not offer enough evidence of differences in discretionary accruals. In this sense, only hypotheses 1 and 4 are partially accepted, demanding more research in this area. We also present evidence in favor of adopting Exposure Draft ED/2013/08 Agriculture: Bearer Plants, Proposed amendments to IAS 16 and IAS 41, which proposes to measure biological assets at cost, because firms already following these rules showed lower earnings management in this study.

An Asset-Based Approach to Tribal Community Energy Planning

Energy Technology Data Exchange (ETDEWEB)

Gutierrez, Rachael A. [Pratt Inst., Brooklyn, NY (United States). City and Regional Planning; Martino, Anthony [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States). Materials, Devices, and Energy Technologies; Begay, Sandra K. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States). Materials, Devices, and Energy Technologies

2016-08-01

Community energy planning is a vital component of successful energy resource development and project implementation. Planning can help tribes develop a shared vision and strategies to accomplish their energy goals. This paper explores the benefits of an asset-based approach to tribal community energy planning. While a framework for community energy planning and federal funding already exists, some areas of difficulty in the planning cycle have been identified. This paper focuses on developing a planning framework that offsets those challenges. The asset-based framework described here takes inventory of a tribe’s capital assets, such as: land capital, human capital, financial capital, and political capital. Such an analysis evaluates how being rich in a specific type of capital can offer a tribe unique advantages in implementing their energy vision. Finally, a tribal case study demonstrates the practical application of an asset-based framework.

A causality between fund performance and stock market

Science.gov (United States)

Kim, Ho-Yong; Kwon, Okyu; Oh, Gabjin

2016-02-01

We investigate whether the characteristic fund performance indicators (FPI), such as the fund return, the Net asset value (NAV) and the cash flow, are correlated with the asset price movement using information flows estimated by the Granger causality test. First, we find that the information flow of FPI is most sensitive to extreme events of the Korean stock market, which include negative events such as the sub-prime crisis and the impact of QE (quantitative easing) by the US subprime and Europe financial crisis as well as the positive events of the golden period of Korean Composite Stock Price Index (KOSPI), except for the fund cash flow. Second, both the fund return and the NAV exhibit significant correlations with the KOSPI, whereas the cash flow is not correlated with the stock market. This result suggests that the information resulting from the ability of the fund manager should influence stock market. Finally, during market crisis period, information flows between FPI and the Korean stock market are significantly positively correlated with the market volatility.

Evaluation of a Tailored Direct-Mail Marketing Strategy for Recruiting the 19- to 23-Year-Old Market.

Science.gov (United States)

1983-05-01

17AD-A12.9 860 EVALUATION OF A TAILORED DIRECT-MAIL MARKETING STRATEGY 1/ FOR RECRUITNG TH.U) WESAT INC ROCKVILLE MD K FERNANDES ET AL MAY 83 NPRDC...STANDARDS-1963-A EVALUATION OF A TAILORED DIRECT-MAIL MARKETING STRATEGY FOR RECRUITING THE 19- TO 23-YEAR-OLD MARKET APPRVEDFORPUBLIC RELE AnE [B...EVALUATION OF A TAILORED DIRECT-MAIL MARKETING STRATEGY FOR RECRUITING THE 19- TO 23-YEAR-OLD MARKET Kathleen Fernandes Navy Personnel Research and

Managing Assets in The Infrastructure Sector

Directory of Open Access Journals (Sweden)

T.P. van Houten

2010-09-01

Full Text Available In view of the importance of managing assets and the lack of research in managing assets in the infrastructure sector, we develop an asset management model in this study. This model is developed in line with the unique characteristics of the infrastructure assets and asset management principles and criteria. In the proposed model, we consider activities at three levels, namely the strategical, tactical and operational levels. The interviews with experts in asset management and officials in several Dutch organizations have proven the potential of our asset management model.

Skewed Normal Distribution Of Return Assets In Call European Option Pricing

Directory of Open Access Journals (Sweden)

Evy Sulistianingsih

2011-12-01

Full Text Available Option is one of security derivates. In financial market, option is a contract that gives a right (notthe obligation for its owner to buy or sell a particular asset for a certain price at a certain time.Option can give a guarantee for a risk that can be faced in a market.This paper studies about theuse of Skewed Normal Distribution (SN in call europeanoption pricing. The SN provides aflexible framework that captures the skewness of log return. We obtain aclosed form solution forthe european call option pricing when log return follow the SN. Then, we will compare optionprices that is obtained by the SN and the Black-Scholes model with the option prices of market. Keywords: skewed normaldistribution, log return, options.

Methodological aspects of network assets accounting

Directory of Open Access Journals (Sweden)

Yuhimenko-Nazaruk I.A.

2017-08-01

Full Text Available The necessity of using innovative tools of processing and representation of information about network assets is substantiated. The suggestions for displaying network assets in accounts are presented. The main reasons for the need to display the network assets in the financial statements of all members of the network structure (the economic essence of network assets as the object of accounting; the non-additional model for the formation of the value of network assets; the internetworking mechanism for the formation of the value of network assets are identified. The stages of accounting valuation of network assets are allocated and substantiated. The analytical table for estimating the value of network assets and additional network capital in accounting is developed. The order of additional network capital reflection in accounting is developed. The method of revaluation of network assets in accounting in the broad sense is revealed. The order of accounting of network assets with increasing or decreasing the number of participants in the network structure is determined.

Basel III and Asset Securitization

Directory of Open Access Journals (Sweden)

M. Mpundu

2013-01-01

Full Text Available Asset securitization via special purpose entities involves the process of transforming assets into securities that are issued to investors. These investors hold the rights to payments supported by the cash flows from an asset pool held by the said entity. In this paper, we discuss the mechanism by which low- and high-quality entities securitize low- and high-quality assets, respectively, into collateralized debt obligations. During the 2007–2009 financial crisis, asset securitization was seriously inhibited. In response to this, for instance, new Basel III capital and liquidity regulations were introduced. Here, we find that we can explicitly determine the transaction costs related to low-quality asset securitization. Also, in the case of dynamic and static multipliers, the effects of unexpected negative shocks such as rating downgrades on asset price and input, debt obligation price and output, and profit will be quantified. In this case, we note that Basel III has been designed to provide countercyclical capital buffers to negate procyclicality. Moreover, we will develop an illustrative example of low-quality asset securitization for subprime mortgages. Furthermore, numerical examples to illustrate the key results will be provided. In addition, connections between Basel III and asset securitization will be highlighted.

A Modern Approach to the Efficient-Market Hypothesis

OpenAIRE

Gabriel Frahm

2013-01-01

Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.

The Association between Audit Business Scale Advantage and Audit Quality of Asset Write-downs

Directory of Open Access Journals (Sweden)

Ziye Zhao

2008-06-01

We contribute to the literature with the following findings. First, auditors’ business scale is positively related to return relevance of write-downs. Second, auditors with ABSA not only enhance the relevance between impairments and economic variables but also weaken the relation between impairments and managerial variables; however, the results appear in only a few of the firm-specific variables. Third, results are mixed when we test the ABSA effect on price-relevance and persistence dimensions. Fourth, the ABSA effect is stronger when the complexity of asset write-downs requires some inside information to comprehend the nature of action. Adding to the main finding, we also found the ABSA effect became weaker when we proxy ABSA with raw data of companies’ business scale instead of the top five auditors in business scale. Taken together, our results show that the ABSA effect does exist in auditing of assets write-downs, although with weak evidence. Our results also indicated rational auditor choice based on quality of service in China's audit market. We identified some unique factors from stakeholders’ cooperative structuring actions in China audit market as potential explanations to the market rationality.

The Influence of R&D Policy on Performance of the Companies Listed with Bucharest Stock Exchange (through Intangible Assets

Directory of Open Access Journals (Sweden)

Ion Stancu

2008-09-01

Full Text Available In the new economy, R&D potential of the companies (reflected by intangible assets tends to make the difference between competing enterprises. Although investing in tangible assets is still viewed as important, the researchers have discovered that investors on capital market tend to buy stocks of the high-tech companies promoting a policy of increasing R&D expenditures.The results of the present study on the Romanian economy reveals the correlation between the variation of intangible assets of the chemicals and pharmaceuticals companies (high-tech and their performance – reflected by EPS and PER coefficients.

Managing assets in the infrastructure sector

NARCIS (Netherlands)

van Houten, T.P.; Zhang, L.

2010-01-01

In view of the importance of managing assets and the lack of research in managing assets in the infrastructure sector, we develop an asset management model in this study. This model is developed in line with the unique characteristics of the infrastructure assets and asset management principles and

Determinants of investment in fixed assets and in intangible assets for high-tech firms

Directory of Open Access Journals (Sweden)

Paulo Maçãs Nunes

2017-05-01

Full Text Available Based on a sample of 141 Portuguese high-tech firms for the period 2004-2012 and using GMM system (1998 and LSDVC (2005 dynamic estimators, this paper studies whether the determinants of high-tech firms’ investment in fixed assets are identical to the determinants of their investment in intangible assets. The multiple empirical evidence obtained allows us to conclude that the determinants of their investment in fixed assets are considerably different from those of their investment in intangible assets. Debt is a determinant stimulating investment in fixed assets, with age being a determinant restricting such investment. Size, age, internal finance and GDP are determinants stimulating investment in intangible assets, whereas debt and interest rates restrict such investment. These results let us make important suggestions for the owners/managers of high-tech firms, and also for policy-makers.

Determination of the Value of Intangible Assets in the Companies of Lithuania

Directory of Open Access Journals (Sweden)

Bužinskienė Rita

2017-12-01

Full Text Available In accordance with generally accepted accounting standards, most intangibles are not accounted for and not reflected in the traditional financial accounting. For this reason, most companies account intangible assets (IAs as expenses. In the research, 57 sub-elements of IAs were applied, which are grouped into eight main elements of IAs. The classification of IAs consists in two parts of assets: accounting and non-accounting. This classification can be successfully applied in different branches of enterprises, to expand and supplement the theoretical and practical concepts of the company's financial management. The article proposes to evaluate not only the value of financial information for IAs (accounted but also the value of non-financial information for IAs (non-accounted, thus revealing the true value of IAs that is available to the companies of Lithuania. It names a value of general IAs. The results of the research confirmed the IA valuation methodology, which allows companies to calculate the fair value of an IA. The obtained extended IAs valuation information may be valuable to both the owners of the company and investors, as this value plays an important practical role in assessing the impact of IAs on the market value of companies.

Market behavior and performance of different strategy evaluation schemes.

Science.gov (United States)

Baek, Yongjoo; Lee, Sang Hoon; Jeong, Hawoong

2010-08-01

Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes adopted by agents affect their performance in conjunction with the market circumstances. We observe the performance of three strategy evaluation schemes, the history-dependent wealth game, the trend-opposing minority game, and the trend-following majority game, in a stock market where the price is exogenously determined. The price is either directly adopted from the real stock market indices or generated with a Markov chain of order ≤2 . Each scheme's success is quantified by average wealth accumulated by the traders equipped with the scheme. The wealth game, as it learns from the history, shows relatively good performance unless the market is highly unpredictable. The majority game is successful in a trendy market dominated by long periods of sustained price increase or decrease. On the other hand, the minority game is suitable for a market with persistent zigzag price patterns. We also discuss the consequence of implementing finite memory in the scoring processes of strategies. Our findings suggest under which market circumstances each evaluation scheme is appropriate for modeling the behavior of real market traders.

CAPM (Capital Asset Pricing Model) and regulation in Brazilian electric distribution sector

International Nuclear Information System (INIS)

Pinto, Rinaldo Caldeira; Parente, Virginia

2010-01-01

The aim of this paper is to analyse the use of Capital Asset Pricing Model (CAPM) Beta in the Brazilian electric distribution sector tariffs review. The betas applied by the Regulatory Agency are defined using data from the American, English and Brazilian markets. These betas will then be compared to the betas obtained in the domestic market. The betas were directly obtained from an economic-financial databank largely employed by the market. The sample is composed of companies' shares, priced at Sao Paulo Stock Market. Their main activity is the distribution of electric energy between July 2002 and July 2007. The results of mean betas obtained for the distribution segment, with values close to the ones applied by the regulatory agency for the cycle of tariff reviews between 2007-2010. (author)

A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2015-01-01

Full Text Available We consider a continuous-time mean-variance asset-liability management problem in a market with random market parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of stochastic linear-quadratic (LQ optimal control and backward stochastic differential equations (BSDEs, we tackle this problem and derive optimal investment strategies as well as the mean-variance efficient frontier analytically in terms of the solution of BSDEs. We find that the efficient frontier is still a parabola in a market with random parameters. Comparing with the existing results, we also find that the liability does not affect the feasibility of the mean-variance portfolio selection problem. However, in an incomplete market with random parameters, the liability can not be fully hedged.

Valuing carbon assets for high-tech with application to the wind energy industry

International Nuclear Information System (INIS)

Han, Liyan; Liu, Yang; Lin, Qiang; Huang, Gubo

2015-01-01

In contrast to the traditional methods for high-tech evaluation, we introduce a new, more active idea for considering the carbon asset effect, in addition to the economic and technological considerations for strategic significance. The method proposed in this paper considers a reduced amount of carbon emissions, less than that of the current industry baseline, to be an asset that is beneficial to a firm that adopts a new technology. The measured carbon asset values vary across different technologies, in different industries and over time. The new method is applied to the valuing of wind energy technology and uses the Weibull distribution to estimate the wind energy capacity and a concrete sensitivity analysis. These applications support the validity of the new method and show that the impact of the fluctuations of carbon sinks on the values of carbon assets is significantly greater than that of volatility in the production output. The paper also presents some policy recommendations based on the results. - Highlights: • Carbon asset dimension for high-tech evaluation. • Valuing wind energy technology by Weibull distribution. • Greater impact of the carbon sink price on the carbon asset value than that of production output. • The environmental risk could be measured based on the carbon asset assessment.

Labor Unions and Asset Prices

DEFF Research Database (Denmark)

Busato, Francesco; Addessi, William

The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms......' returns and the riskiness of corporate ownership. To remunerate this higher volatility and stronger risk, firms' equities have to grant high return. This mechanism is able to offer an explanation of for the "equity puzzle", that is it can explain the difference between equity returns and the risk free...... rate. It is a welcome result that the simulated excess return is about the empirical estimate and this result is obtained with a logarithmic specification of the shareholders preferences....

INDIAN CAPITAL MARKET REVIEW: ISSUES, DIMENSIONS AND PERFORMANCE ANALYSIS

Directory of Open Access Journals (Sweden)

Mohd. Shamim Ansari

2012-12-01

Full Text Available The purpose of an efficient capital market is to mobilize funds from those who have it and route each them to those who can utilize it in the best possible way. India’s financial market is multi-facet but not balanced. It has state of art equity market but relatively less developed and immature corporate bond market. The Indian capital market in the recent year has undergone a lot of innovation in term regulation and mode of operation. A well developed corporate bond market is also essential for financial system stability, efficiency and overall economic growth. However, If we look at the scenario of capital market in India we find that Indian households have traditionally preferred parking their surpluses in bank deposits, government savings schemes and less than 10% of their investments in financial assets in shares, debentures and mutual funds. The Indian capital market has recently put the worst behind and moved towards strong growth. In this back drop the present paper aims to (i identify various grey points of Indian capital market; (ii Evaluated how it performed during post financial crisis period; and (iii suggests necessary policy reforms for a relatively mature capital market.

Effects of intraday weather changes on asset returns and volatilities

Directory of Open Access Journals (Sweden)

Hyein Shim

2017-12-01

Full Text Available Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices. We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

Business process management in sustainable property/asset management by using the TotalObserver

Directory of Open Access Journals (Sweden)

Milosavljević Boško B.

2012-01-01

Full Text Available The use of software became of great importance for successful facility and property management worldwide, because of its possibilities for generating savings in multiple areas and not just in operational areas and improving business processes. This paper displays the growing facility and property management market in Serbia and the software TotalObserver as a solution for the emerging problems for this market. Case studies and operational use of TotalObserver confirmed that significant savings can be generated by using software for asset management.

Long-term strategic asset allocation: An out-of-sample evaluation

NARCIS (Netherlands)

Diris, B.F.; Palm, F.C.; Schotman, P.C.

We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single-period market timing strategy would have realized an almost

Influence of the Farmer’s Livelihood Assets on Livelihood Strategies in the Western Mountainous Area, China

Directory of Open Access Journals (Sweden)

Zhifei Liu

2018-03-01

Full Text Available The livelihood strategies of farm households depend on the conditions of their assets, and farm households cope with risks and shocks through portfolios consisting of different types of assets. Thus, discussing the relationship between the livelihood assets and the livelihood strategies of farm households helps in understanding their livelihood conditions and in formulating reasonable poverty reduction policies. Taking Zunyi City, which is located in a western, mountainous area of China, as the study region and using the framework of sustainability analysis, this study first tries to establish the mechanism of the influence of farm household livelihood assets on livelihood strategies, then evaluates different farm household livelihood assets by establishing an evaluation index system for them, and finally conducts an empirical analysis on the influence of farm household livelihood assets on livelihood strategies using a multinomial logit model. The research results indicate the following: (1 natural assets and material assets have a significant negative influence on farm households’ choice of livelihood strategies, that is, the more natural assets and material assets that farm households own, the more likely they are to choose livelihood strategies involving engaging in agricultural production; (2 Manpower assets and financial assets have a significant positive influence on farm households’ choice of livelihood strategy, namely, the more manpower assets and financial assets that farm households own, the more likely they are to choose livelihood strategies involving engaging in non-agricultural production; (3 Social assets have no significant influence on farm households’ choice of livelihood strategy.

Heterogeneity, Bounded Rationality and Market Dysfunctionality

OpenAIRE

Xue-Zhong He; Lei Shi

2008-01-01

As the main building blocks of the modern finance theory, homogeneity and rational expectation have faced difficulty in explaining many market anomalies, stylized factors, and market inefficiency in empirical studies. As a result, heterogeneity and bounded rationality have been used as an alterative paradigm of asset price dynamics and this paradigm has been widely recognized recently in both academic and financial market practitioners. Within the framework of Chiarella, Dieci and He (2006a, ...

The specific aspects for the ASSET methodology implementation in Romania

Energy Technology Data Exchange (ETDEWEB)

Serbanescu, D [National Commission for Nuclear Activities Control of Romania (Romania)

1997-10-01

The main aspects of the implementation of a root cause analysis methodology are as follows: The Test Operating Licence requires that a systematical root cause analysis method for the event analysis to clarify the three questions from the ASSET methodology has to be implemented; A Training seminar on the ASSET methodology for the plant staff was performed at Cernavoda 1 NPP in April 1997, with the IAEA support; The self assessment process for the events which occurred during commissioning phases has to be performed by the plant up to the end of this year; An ASSET Peer Review of the Plant Self Assessment is planned in 1998; The Regulatory Authority has the task to evaluated independently the plant conclusions on various events. The tool used by CNCAN is the ASSET methodology.

The specific aspects for the ASSET methodology implementation in Romania

International Nuclear Information System (INIS)

Serbanescu, D.

1997-01-01

The main aspects of the implementation of a root cause analysis methodology are as follows: The Test Operating Licence requires that a systematical root cause analysis method for the event analysis to clarify the three questions from the ASSET methodology has to be implemented; A Training seminar on the ASSET methodology for the plant staff was performed at Cernavoda 1 NPP in April 1997, with the IAEA support; The self assessment process for the events which occurred during commissioning phases has to be performed by the plant up to the end of this year; An ASSET Peer Review of the Plant Self Assessment is planned in 1998; The Regulatory Authority has the task to evaluated independently the plant conclusions on various events. The tool used by CNCAN is the ASSET methodology

European Regulatory Framework for Money Market Funds

OpenAIRE

Portuese, Aurelien; MacNeil, Iain

2014-01-01

Money market funds are widely used by all types of investors, including households, corporate treasurers, pension funds, or insurance companies, who regard money market funds as a ‘safe’ short-term liquid asset class for investing cash. In this case they are proxies to cash deposits. Money market funds are themselves key lenders to issuers of short dated high quality money market instruments. They provide an important source of funding for a variety of institutions such as sovereigns, banks, ...

Valuation of intangible assets

OpenAIRE

Karlíková, Jitka

2010-01-01

The thesis is focused on the valuation of intangible assets, particularly trademarks and copyrights. In the beginning it deals with the problems of valuation of intangible assets. The main part of the thesis provides an overview of methods for valuation of intangible assets. This part is followed by a practical section that illustrates the procedure of valuation of trademarks and copyrights on a concrete example.

Methods of Evaluating Performances for Marketing Strategies

OpenAIRE

Ioan Cucu

2005-01-01

There are specific methods for assessing and improving the effectiveness of a marketing strategy. A marketer should state in the marketing plan what a marketing strategy is supposed to accomplish. These statements should set forth performance standards, which usually are stated in terms of profits, sales, or costs. Actual performance must be measured in similar terms so that comparisons are possible. This paper describes sales analysis and cost analysis, two general ways of evaluating the act...

Problems of intangible assets commercialization accounting

Directory of Open Access Journals (Sweden)

S.F. Legenchyk

2016-03-01

Full Text Available The growing role of intangible assets in conditions of global economy postindustrialization is grounded. The problems of intangible assets accounting are singled out. The basic tasks of the intangible assets accounting commercialization process are determined. The difference between the commercialization of intellectual property and intangible assets is considered. The basic approaches to understanding the essence of the intangible assets commercialization are singled out and grounded. The basic forms and methods of intangible assets commercialization researched by the author are analyzed. The order of accounting reflection of licensee royalties is considered. The factors of influence on the accounting process of intangible assets commercialization are determined. The necessity of solving the problem of accounting of lease payments for computer program by providing access to SaaS environment is grounded. The prospects of further studies of intangible assets accounting commercialization are determined.

Does Stock Market Performance Influence Retirement Intentions?

Science.gov (United States)

Goda, Gopi Shah; Shoven, John B.; Slavov, Sita Nataraj

2012-01-01

Media reports predicted that the stock market decline in October 2008 would cause changes in retirement intentions, due to declines in retirement assets. We use panel data from the Health and Retirement Study to investigate the relationship between stock market performance and retirement intentions during 1998-2008, a period that includes the…

26 CFR 1.412(c)(2)-1 - Valuation of plan assets; reasonable actuarial valuation methods.

Science.gov (United States)

2010-04-01

...) produce a “smoothing” effect. Thus, investment performance, including appreciation or depreciation in the... including appreciation and depreciation experienced by the plan during that period. However, the method... all additions to the plan assets since that date, excluding appreciation in the fair market value of...

Index Tracking with Control on the Number of Assets

Directory of Open Access Journals (Sweden)

Leonardo Riegel Sant'Anna

2014-06-01

Full Text Available Index tracking is a passive investment strategy, which aims at generating portfolios to reproduce a specific market index’s performance. This article proposes a model for a index tracking problem with control on the number of assets in the portfolio, which corresponds to a restriction in transaction costs. The model is applied to Ibovespa (sample: 67 stocks from January/2009 to July/2012. Portfolios were formed without limiting the amount of stocks and limiting this amount to 40, 30 and 20 stocks, with rebalancing periods of 20, 40 and 60 trading days. The results were satisfactory especially for the 60 days rebalancing period, in which transaction costs become lower due to the longer rebalancing period. We also verified that changes in Cplex parameters didn’t influence the results especially in relation to the computational times. Therefore, we also conclude about the need of using heuristic approaches to form portfolios with smaller amounts of assets.

INNOVATION IN ACCOUNTING BIOLOGIC ASSETS

OpenAIRE

Stolуarova M. A.; Shcherbina I. D.

2016-01-01

The article describes the innovations in the classification and measurement of biological assets according to IFRS (IAS) 41 "Agriculture". The difficulties faced by agricultural producers using standard, set out in article. The classification based on the adopted amendments, according to which the fruit-bearing plants, previously accounted for as biological assets are measured at fair value are included in the category of fixed assets. The structure of biological assets and main means has bee...

Risk and investment management in liberalized electricity markets

International Nuclear Information System (INIS)

Lemming, J.

2003-09-01

Electricity markets around the world are currently undergoing a liberalization process that changes the way electricity is traded and priced as a commodity. The electricity system has unique technical characteristics and the importance of electricity in today's information society is significant. The liberalization will not change the fact that politicians and regulators will be held responsible for keeping electricity on reasonable costs. What changes is the tool used by regulators to accomplish this task. The introduction of competitive markets implies that market participants will be held financial responsible for their decisions. System operators remain responsible for the physical balancing, thus electricity markets will remain strongly regulated even after liberalization. The hypothesis of this thesis is that the relevance of financial tools for electricity market risk management depends critically on the technical characteristics of electricity assets and on the demands placed by the stakeholders in the electricity sector. In many cases such technical characteristics and stakeholder demands will imply a need for revised and renewed tools compared to those used for portfolios of financial assets. (BA)

77 FR 20749 - Investment Company Advertising: Target Date Retirement Fund Names and Marketing

Science.gov (United States)

2012-04-06

... Names and Marketing AGENCY: Securities and Exchange Commission. ACTION: Proposed rule; reopening of... use of the fund's name in marketing materials; require marketing materials for target date retirement... a statement that would highlight the fund's final asset allocation; require a statement in marketing...

Subjective evaluation of chosen typographical characteristics in marketing materials

Directory of Open Access Journals (Sweden)

Petra Talandová

2008-01-01

Full Text Available This paper concentrates on the problems of marketing materials quality evaluation and their formal aspect and also customers’ marketing materials evaluation. This area has not been concentrated on very much and nor in the literature is described. The paper presents the results of our own research which queries how the customers subjectively perceive and evaluate the marketing materials. The emphasis was put on the materials quality i.e. on what materials are considered as quality materials by the customers and which attributes mainly influence the quality. The results were aggregated on the basis of customers’ responses an also on the basis of practical examples evaluation which included intentional mistakes. The subjects of the evaluation were marketing materials quality as a general feature, the attributes influencing the quality and marketing materials quality and company quality relation. Also the exam­ples including mistakes were evaluated. According to the questioning results, the respondents’ answers vary much. It is not possible to find unambiguously right or wrong marketing materials eva­lua­tion. This area will be developed in further research which will be concentrated mainly on the typographical aspects.The aim of this paper is to delimit and to define the present situation through the research result exa­mi­na­tion, to define ‘quality’ and to describe the way how marketing materials are perceived by the customers.

IMPROVEMENT OF STRATEGIC MANIPULATED FEDERAL PROPERTY THE EXAMPLE NON-CORE ASSETS OF JSC «CENTER OF NUCLEAR INDUSTRY NONCORE ASSETS» STATE CORPORATION «ROSATOM»

Directory of Open Access Journals (Sweden)

Ilya I. Rodin

2015-01-01

Full Text Available The article describes the main measures to improve the management of assets, federally-owned or private of public corporations - an inventory of the property, the recognition of non-core assets, the organization of decision-making systems, the sale of non-core assets at market value. The article provides the rationale for the creation within the large state-owned corporations specialized management companies responsible for the restructuring of non-core assets and improve management of the property. Also calculated the cost-effectiveness of the proposed measures on the example of the State Atomic Energy Corporation «Rosatom».

Digital asset ecosystems rethinking crowds and cloud

CERN Document Server

Blanke, Tobias

2014-01-01

Digital asset management is undergoing a fundamental transformation. Near universal availability of high-quality web-based assets makes it important to pay attention to the new world of digital ecosystems and what it means for managing, using and publishing digital assets. The Ecosystem of Digital Assets reflects on these developments and what the emerging 'web of things' could mean for digital assets. The book is structured into three parts, each covering an important aspect of digital assets. Part one introduces the emerging ecosystems of digital assets. Part two examines digital asset manag

In/Out Status Monitoring in Mobile Asset Tracking with Wireless Sensor Networks

Directory of Open Access Journals (Sweden)

Kwangsoo Kim

2010-03-01

Full Text Available A mobile asset with a sensor node in a mobile asset tracking system moves around a monitoring area, leaves it, and then returns to the region repeatedly. The system monitors the in/out status of the mobile asset. Due to the continuous movement of the mobile asset, the system may generate an error for the in/out status of the mobile asset. When the mobile asset is inside the region, the system might determine that it is outside, or vice versa. In this paper, we propose a method to detect and correct the incorrect in/out status of the mobile asset. To solve this problem, our approach uses data about the connection state transition and the battery lifetime of the mobile node attached to the mobile asset. The connection state transition is used to classify the mobile node as normal or abnormal. The battery lifetime is used to predict a valid working period for the mobile node. We evaluate our method using real data generated by a medical asset tracking system. The experimental results show that our method, by using the estimated battery life time or by using the invalid connection state, can detect and correct most cases of incorrect in/out statuses generated by the conventional approach.

In/out status monitoring in mobile asset tracking with wireless sensor networks.

Science.gov (United States)

Kim, Kwangsoo; Chung, Chin-Wan

2010-01-01

A mobile asset with a sensor node in a mobile asset tracking system moves around a monitoring area, leaves it, and then returns to the region repeatedly. The system monitors the in/out status of the mobile asset. Due to the continuous movement of the mobile asset, the system may generate an error for the in/out status of the mobile asset. When the mobile asset is inside the region, the system might determine that it is outside, or vice versa. In this paper, we propose a method to detect and correct the incorrect in/out status of the mobile asset. To solve this problem, our approach uses data about the connection state transition and the battery lifetime of the mobile node attached to the mobile asset. The connection state transition is used to classify the mobile node as normal or abnormal. The battery lifetime is used to predict a valid working period for the mobile node. We evaluate our method using real data generated by a medical asset tracking system. The experimental results show that our method, by using the estimated battery life time or by using the invalid connection state, can detect and correct most cases of incorrect in/out statuses generated by the conventional approach.

Marketing Logics, Ambidexterity and Influence

DEFF Research Database (Denmark)

Tollin, Karin; Schmidt, Marcus

2012-01-01

in four CMOs have taken on this challenge, or adopted a marketing logic which could be referred to as ambidextrous. Furthermore, the study shows that this logic exerts a stronger impact on marketing's influence, compared to logics related to assuring brand consistency and measuring the performance...... of marketing processes. Three other ways to enact marketing management were also revealed, namely: an innovation; a communication; and a supporting marketing logic. This leads us to conclude that the influence of companies' marketing functions show up a heterogeneous picture within which the marketing logics......The duties of companies' chief marketing officers (CMOs) seem incompatible. They are expected to ensure that their company's market assets are properly exploited and recorded, while simultaneously enacting a proactive role in the company's business development. This study shows that about one...

A prospect theory explanation of the disposition to trade losing investments for less than market price.

Science.gov (United States)

Johnstone, D J

2002-06-01

Investors have a proven general reluctance to realize losses. The theory of "mental accounting" suggests that losses are easier to accept when mentally integrated with either preceding losses or with compensatory gains. Mental integration is made easier when a failed asset is exchanged against a new, apparently profitable, acquisition. The alternative is to sell the existing asset on the open market before re-investing the proceeds as desired. This is emotionally less appealing than "rolling over" a losing investment into a new venture by way of an asset trade. The psychological benefits of exchanging rather than selling a failed asset come at a cost. It is typical of trade-in arrangements, e.g., where one trades an old car against a new one, that the effective sale price of the existing asset is less than current market value. Acceptance of this low price adds to the investor's total monetary loss on the existing asset but is essential to an overall package deal apart from which that asset would often remain belatedly unsold.

Asset planning performance measurement framework

NARCIS (Netherlands)

Arthur, D.; Hodkiewicz, M.; Schoenmaker, R.; Muruvan, S.

2014-01-01

The international asset management standard ISO 55001, introduced in early 2014, outlines the requirement for an effective Asset Management System. Asset Management practitioners are seeking guidance on implementing one of the key requirements of the standard: the “line of sight” between the

Implementation of ASSET concept in India

International Nuclear Information System (INIS)

Koley, J.

1997-01-01

The paper presents a retrospective assessment of the use of ASSET methodology in India since the first ASSET seminary organized by IAEA in collaboration with the Atomic Energy Regulatory Board, India (AERB) in May, 1994. The first ASSET seminar was organized to initiate the spread of idea among operating and research organizations and regulatory body personnel. The participants were carefully chosen from various fields and with different levels of experiences to generate teams with sufficiently wide spectrum of knowledge base. AERB took initiative in leading by example and formed ASSET teams to carry out the first ASSET reviews in India. These teams at the instance of AERB carried out ASSET review of three Safety Related Events, two at Nuclear Power Plants and one at Research Reactor. This paper describes the outcome of these ASSET studies and subsequent implementation of the recommendations. The initiative taken by the regulatory body has led to formation of ASSET teams by the utilities to carry out ASSET study on their own. The results of these studies are yet to be assessed by the regulatory body. The result of the ASSET experience reveals the fact that it has further potential in improving the safety performance and safety culture and brining in fresh enthusiasm among safety professionals of Indian Nuclear Utilities

Implementation of ASSET concept in India

Energy Technology Data Exchange (ETDEWEB)

Koley, J [Operating Plants Safety Div., AERB, Mumbai (India)

1997-10-01

The paper presents a retrospective assessment of the use of ASSET methodology in India since the first ASSET seminary organized by IAEA in collaboration with the Atomic Energy Regulatory Board, India (AERB) in May, 1994. The first ASSET seminar was organized to initiate the spread of idea among operating and research organizations and regulatory body personnel. The participants were carefully chosen from various fields and with different levels of experiences to generate teams with sufficiently wide spectrum of knowledge base. AERB took initiative in leading by example and formed ASSET teams to carry out the first ASSET reviews in India. These teams at the instance of AERB carried out ASSET review of three Safety Related Events, two at Nuclear Power Plants and one at Research Reactor. This paper describes the outcome of these ASSET studies and subsequent implementation of the recommendations. The initiative taken by the regulatory body has led to formation of ASSET teams by the utilities to carry out ASSET study on their own. The results of these studies are yet to be assessed by the regulatory body. The result of the ASSET experience reveals the fact that it has further potential in improving the safety performance and safety culture and brining in fresh enthusiasm among safety professionals of Indian Nuclear Utilities.

Life Assets in Teenage Pregnancy

Directory of Open Access Journals (Sweden)

Thatsanee Soontrapirom

2017-05-01

Full Text Available Background: Teenage pregnancy is an evolving global public health problem. Level of life assets could predict behaviors and take effect to less sexual risk behaviors in teenagers. Objective: To compare life assets between pregnant and non-pregnant teenagers and to evaluate the relationship between basic factors and teenage pregnancy. Methods: A total of 172 female teenagers aged 12-19 years were included. The control group was matched with the case group by age with mean age of 17.07 years old. The case group consisted of 86 pregnant teenagers who attended the Teenage Antenatal Care Unit at Siriraj Hospital. The control group consisted of 86 teenagers who were not pregnant and who had never been pregnant. The research instruments were general information and life assets inventory questionnaires developed by Suriyadeo Tripathi with Cronbach’s Alpha coefficient at 0.890. Results: Mean life assets scores were significantly higher in the control group than in the case group (T-test analysis: Mean = 94.70/87.65, SD = 17.45/22.68, p-value =.024, respectively. The control group scored more favorably than the case group on 16 items. In addition, the case group could not meet the minimum assessment criteria on 21 items, which indicated their status as an at risk group. A total of 12 factors were found to be statistically significantly associated with teenage pregnancy. Conclusion: Overall life assets were significantly higher among teenagers who had not experienced pregnancy. The risk factors included level of education, GPA, family income, mothers or family members of teenagers having experience of teenage pregnancy, main guardians, father education, mother occupation, parental relationship, family warmth and smoking were found to be significantly associated with risk of teenage pregnancy in this study. These results will help to facilitate preventive interventions and the development of policies and guidelines to control and perhaps reverse current

Business model analysis in asset management : the case JRS Finanzmandate Gmbh

OpenAIRE

Rogg, Christina

2016-01-01

This bachelor’s thesis was prepared to solve a current business case on behalf of JRS Finanzmandate GmbH, a German independent financial advisory and asset management company. The objectives of this thesis were to thoroughly examine the JRS business model, observe the competitive environment and detect future market opportunities. After identification of arising challenges, innovative approaches to achieve a competitive advantage within this niche industry were illustrated. Financ...

Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence

Directory of Open Access Journals (Sweden)

Radosław Kurach

2013-06-01

Full Text Available The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM in its international context (ICAPM using the monthly equity returns for 26 countries (18 developed and 8 emerging markets between July 1996 and June 2011 and adopting the US investor’s perspective. We verify the beta-return trade-off employing two approaches: the unconditional trade-off and the conditional relationship. In this latter case, we find the country beta to be a significant variable explaining the cross-country variation of returns. Next, we test the degree of market integration in the light of the ICAPM. The results of this test indicate that country-idiosyncratic risks are generally not priced. In the subsidiary outcomes of our verification procedure, we argue that country betas are time-varying and that currently, global factors are the dominant source of equity market volatility. Consequently, the opinion regarding emerging market assets and their role in global portfolio management should be reconsidered. The results of the entire study may provide essential implications for fund managers because the decreasing international diversification gains have been identified.

24 CFR 990.270 - Asset management.

Science.gov (United States)

2010-04-01

... 24 Housing and Urban Development 4 2010-04-01 2010-04-01 false Asset management. 990.270 Section... THE PUBLIC HOUSING OPERATING FUND PROGRAM Asset Management § 990.270 Asset management. As owners, PHAs have asset management responsibilities that are above and beyond property management activities. These...

[ASSET experience in China

International Nuclear Information System (INIS)

Zhang Shanming

1996-01-01

The ASSET philosophy for prevention of nuclear safety incident is being implemented in our nuclear power plant as the other international nuclear power plants, and the in-depth analysis of operational events in order to find out and eliminate the root causes is considered as the prioritized work in the plant safety management. Some observations are discussed which were made during the implementation of ASSET philosophy and the ASSET approach in our nuclear power plant

[ASSET experience in China

Energy Technology Data Exchange (ETDEWEB)

Shanming, Zhang [Dayabay NPP (China)

1997-12-31

The ASSET philosophy for prevention of nuclear safety incident is being implemented in our nuclear power plant as the other international nuclear power plants, and the in-depth analysis of operational events in order to find out and eliminate the root causes is considered as the prioritized work in the plant safety management. Some observations are discussed which were made during the implementation of ASSET philosophy and the ASSET approach in our nuclear power plant.

Competitive Procurement and Asset Specificity

NARCIS (Netherlands)

Sorana, V.

2003-01-01

This paper studies the effects of asset specificity on the performance of procurement auctions with subcontracting and asset sales.The analysis highlights the role of several asset features like transfer costs, type of alternative uses and maintenance requirements.It is argued that, if bargaining

What the 2008 stock market crash means for retirement security.

Science.gov (United States)

Butrica, Barbara A; Smith, Karen E; Toder, Eric J

2010-10-01

The 2008 stock market crash raises concerns about retirement security, especially since the increased prevalence of 401(k) and similar retirement saving plans means that more Americans are now stakeholders in the equity market than in the past. Using a dynamic microsimulation model, this paper explores the ability of alternate future stock market scenarios to restore retirement assets. The authors find that those near retirement could fare the worst because they have no time to recoup their losses. Mid-career workers could fare better because they have more time to rebuild their wealth. They may even gain income if they buy stocks at low prices and get above-average rates of return. High-income groups will be the most affected because they are most likely to have financial assets and to be invested in the stock market.

Getting Digital Assets from Public–Private Partnership Research Projects through “The Valley of Death,” and Making Them Sustainable

Science.gov (United States)

Aartsen, Wendy; Peeters, Paul; Wagers, Scott; Williams-Jones, Bryn

2018-01-01

Projects in public–private partnerships, such as the Innovative Medicines Initiative (IMI), produce data services and platforms (digital assets) to help support the use of medical research data and IT tools. Maintaining these assets beyond the funding period of a project can be a challenge. The reason for that is the need to develop a business model that integrates the perspectives of all different stakeholders involved in the project, and these digital assets might not necessarily be addressing a problem for which there is an addressable market of paying customers. In this manuscript, we review four IMI projects and the digital assets they produced as a means of illustrating the challenges in making digital assets sustainable and the lessons learned. To progress digital assets beyond proof-of-concept into widely adopted tools, there is a need for continuation of multi-stakeholder support tailored to these assets. This would be best done by implementing a structure similar to the accelerators that are in place to help transform startup businesses into growing and thriving businesses. The aim of this article is to highlight the risk of digital asset loss and to provoke discussion on the concept of developing an “accelerator” for digital assets from public–private partnership research projects to increase the chance that digital assets will be sustained and continue to add value long after a project has ended. PMID:29594123

Inverse Statistics and Asset Allocation Efficiency

Science.gov (United States)

Bolgorian, Meysam

In this paper using inverse statistics analysis, the effect of investment horizon on the efficiency of portfolio selection is examined. Inverse statistics analysis is a general tool also known as probability distribution of exit time that is used for detecting the distribution of the time in which a stochastic process exits from a zone. This analysis was used in Refs. 1 and 2 for studying the financial returns time series. This distribution provides an optimal investment horizon which determines the most likely horizon for gaining a specific return. Using samples of stocks from Tehran Stock Exchange (TSE) as an emerging market and S&P 500 as a developed market, effect of optimal investment horizon in asset allocation is assessed. It is found that taking into account the optimal investment horizon in TSE leads to more efficiency for large size portfolios while for stocks selected from S&P 500, regardless of portfolio size, this strategy does not only not produce more efficient portfolios, but also longer investment horizons provides more efficiency.

Entropy measure of credit risk in highly correlated markets

Science.gov (United States)

Gottschalk, Sylvia

2017-07-01

We compare the single and multi-factor structural models of corporate default by calculating the Jeffreys-Kullback-Leibler divergence between their predicted default probabilities when asset correlations are either high or low. Single-factor structural models assume that the stochastic process driving the value of a firm is independent of that of other companies. A multi-factor structural model, on the contrary, is built on the assumption that a single firm's value follows a stochastic process correlated with that of other companies. Our main results show that the divergence between the two models increases in highly correlated, volatile, and large markets, but that it is closer to zero in small markets, when asset correlations are low and firms are highly leveraged. These findings suggest that during periods of financial instability, when asset volatility and correlations increase, one of the models misreports actual default risk.

Portfolio Diversification in the South-East European Equity Markets

Directory of Open Access Journals (Sweden)

Zaimovic Azra

2017-04-01

Full Text Available Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limited capital. There are numerous studies and mathematical models that deal with portfolio investment strategies. These strategies take advantage of diversification by spreading risk over several financial assets. Modern portfolio theory seeks to find the optimal model with the best results. This paper tries to identify relationships between returns of companies traded in South-East European equity markets. A Markowitz mean-variance (MV portfolio optimization method is used to identify possibilities for diversification among these markets and world leading capital markets. This research also offers insight into to the level of integration of South-East European equity markets. Principal component analysis (PCA is used to determine components that describe the strong patterns and co-movements of the dataset. Finally, we combined MV efficient frontier and equity, which represent PCA components, to draw conclusions. Our findings show that PC analysis substantially simplifies asset selection process in portfolio management. The results of the paper have practical applications for portfolio investors.

Trades, quotes and prices financial markets under the microscope

CERN Document Server

Bouchaud, Jean-Philippe; Donier, Jonathan; Gould, Martin

2018-01-01

The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade a...

Financing Asset Sales and Business Cycles

OpenAIRE

Arnold, Marc; Hackbarth, Dirk; Puhan, Tatjana-Xenia

2013-01-01