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Sample records for asset pricing ability

  1. Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?

    DEFF Research Database (Denmark)

    Rasmussen, Anne-Sofie Reng

    This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993......, 1996) and Campbell and Vuolteenaho (2004). The model takes the traditional C-CAPM as its starting point, but substitutes all references to consumption out, as empirical consumption data is assumed to be error ridden. The other strand to be investigated is based on the premise that the C-CAPM is only...... able to price assets conditionally as suggested by Cochrane (1996) and Lettau and Ludvigson (2001b). The unconditional C-CAPM is rewritten as a scaled factor model using the approximate log consumptionwealth ratio cay, developed by Lettau and Ludvigson (2001a), as scaling variable. The models...

  2. 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

  3. 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....

  4. Modeling Asset Price Dynamics

    Directory of Open Access Journals (Sweden)

    Ranasinghe P. K. C. Malmini

    2008-09-01

    Full Text Available We model the price prediction in Sri Lankan stock market using Ising model and some recent developments in statistical physics techniques. In contrast to usual agent-models, the influence does not flow inward from the surrounding neighbors to the centre, but spreads outward from the center to the neighbors. Monte Carlo simulations were used to study this problem. The analysis was based on All share price index, Milanka price index in Colombo Stock Exchange and Simulated Price Process. The monthly and daily influences of the above indices to the Sri Lankan economy were also investigated. The model thus describes the spread of opinions traders.

  5. Saving-Based Asset Pricing

    DEFF Research Database (Denmark)

    Dreyer, Johannes Kabderian; Schneider, Johannes; T. Smith, William

    2013-01-01

    This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These ‘‘saving-based’’ prefere......This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These ‘‘saving...

  6. 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...

  7. Fiscal adjustments and asset price movements

    OpenAIRE

    Athanasios Tagkalakis

    2009-01-01

    This paper examines the links between asset price movements and fiscal adjustments. Our findings suggest that a pick up in asset prices increases the probability of initiating a fiscal adjustment, but it does not necessarily lead to a sustainable correction of fiscal imbalances. However, higher real equity prices increase the probability of success.

  8. Bayesian Analysis of Bubbles in Asset Prices

    OpenAIRE

    Andras Fulop; Jun Yu

    2017-01-01

    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 all...

  9. Econometric Evaluation of Asset Pricing Models

    OpenAIRE

    Lars Peter Hansen; John Heaton; Erzo Luttmer

    1993-01-01

    In this article we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency, and derive the limiting distribution of these estimators. The analysis incorporates market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing model...

  10. Does Central Bank Tone Move Asset Prices?

    DEFF Research Database (Denmark)

    Schmeling, Maik; Wagner, Christian

    We explore whether the tone of central bank communication matters for asset prices. Using press conference statements by the ECB, which was the first central bank to establish live press conferences after meetings of its Governing Council, we find that tone changes have a statistically...... 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....

  11. 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.

  12. Entropy-based financial asset pricing.

    Science.gov (United States)

    Ormos, Mihály; Zibriczky, Dávid

    2014-01-01

    We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

  13. Downside Risk And Empirical Asset Pricing

    NARCIS (Netherlands)

    P. van Vliet (Pim)

    2004-01-01

    textabstractCurrently, the Nobel prize winning Capital Asset Pricing Model (CAPM) celebrates its 40th birthday. Although widely applied in financial management, this model does not fully capture the empirical riskreturn relation of stocks; witness the beta, size, value and momentum effects. These

  14. Intangible Capital, Corporate Valuation and Asset Pricing

    OpenAIRE

    Danthine, Jean-Pierre; Jin, Xiangrong

    2006-01-01

    Recent studies have found unmeasured intangible capital to be large and important. In this paper we observe that by nature intangible capital is also very different from physical capital. We find it plausible to argue that the accumulation process for intangible capital differs significantly from the process by which physical capital accumulates. We study the implications of this hypothesis for rational firm valuation and asset pricing using a two-sector general equilibrium model. Our main fi...

  15. Some Divergence Properties of Asset Price Models

    Directory of Open Access Journals (Sweden)

    Wolfgang Stummer

    2001-12-01

    Full Text Available Abstract: We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2 Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy. This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case.

  16. 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.

  17. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets...... are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  18. Lectures on financial mathematics discrete asset pricing

    CERN Document Server

    Anderson, Greg

    2010-01-01

    This is a short book on the fundamental concepts of the no-arbitrage theory of pricing financial derivatives. Its scope is limited to the general discrete setting of models for which the set of possible states is finite and so is the set of possible trading times--this includes the popular binomial tree model. This setting has the advantage of being fairly general while not requiring a sophisticated understanding of analysis at the graduate level. Topics include understanding the several variants of "arbitrage", the fundamental theorems of asset pricing in terms of martingale measures, and applications to forwards and futures. The authors' motivation is to present the material in a way that clarifies as much as possible why the often confusing basic facts are true. Therefore the ideas are organized from a mathematical point of view with the emphasis on understanding exactly what is under the hood and how it works. Every effort is made to include complete explanations and proofs, and the reader is encouraged t...

  19. Learning about rare disasters: implications for consumption and asset prices

    Czech Academy of Sciences Publication Activity Database

    Gillman, Max; Kejak, Michal; Pakoš, Michal

    2015-01-01

    Roč. 19, č. 3 (2015), s. 1053-1104 ISSN 1572-3097 Institutional support: RVO:67985998 Keywords : rare diasasters * asset prices * consumption Subject RIV: AH - Economics Impact factor: 2.080, year: 2015

  20. Asset Prices and Trading Volume under Fixed Transactions Costs.

    Science.gov (United States)

    Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang

    2004-01-01

    We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no-trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a…

  1. The Pricing of Options on Assets with Stochastic Volatilities.

    OpenAIRE

    Hull, John C; White, Alan D

    1987-01-01

    One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black-Scholes price frequently overprices options and that the ...

  2. 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.

  3. 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

  4. From boom til bust: how loss aversion affects asset prices

    NARCIS (Netherlands)

    A.B. Berkelaar (Arjan); R.R.P. Kouwenberg (Roy)

    2000-01-01

    textabstractIn 1996 Alan Greenspan warned that stock prices were "unduly escalated" and reflected "irrational exuberance". In this paper we describe an economy that can support a prolonged surge of asset prices, accompanied by a sharp increase of volatility. We study an equilibrium model where some

  5. Tropical Bubbles : Asset Prices in Latin America, 1980-2001

    OpenAIRE

    Herrera, Santiago; Perry, Guillermo

    2001-01-01

    The authors test for the existence of asset price bubbles in Latin America in 1980-2001, focusing mainly on stock prices. Based on unit root and cointegration tests, they find that they cannot reject the hypothesis of bubbles. They arrive at the same conclusion using Froot and Obstfeld's intrinsic bubbles model. To examine empirical regularities of these bubble episodes in the region, the ...

  6. Brownian motion model with stochastic parameters for asset prices

    Science.gov (United States)

    Ching, Soo Huei; Hin, Pooi Ah

    2013-09-01

    The Brownian motion model may not be a completely realistic model for asset prices because in real asset prices the drift μ and volatility σ may change over time. Presently we consider a model in which the parameter x = (μ,σ) is such that its value x (t + Δt) at a short time Δt ahead of the present time t depends on the value of the asset price at time t + Δt as well as the present parameter value x(t) and m-1 other parameter values before time t via a conditional distribution. The Malaysian stock prices are used to compare the performance of the Brownian motion model with fixed parameter with that of the model with stochastic parameter.

  7. Transaction costs and asset prices : a dynamic equilibrium model

    OpenAIRE

    Dimitri Vayanos

    1998-01-01

    In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with a riskless, liquid bond, and many risky stocks carrying proportional transaction costs. We obtain stock prices and turnover in closed form. Surprisingly, a stock's price may increase in transaction costs, and a more frequently traded stock may be less adversely affected by an increase in transaction costs. Calculations based on the 'marginal' investor overestimate the e...

  8. 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.

  9. 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

  10. 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.

  11. 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

  12. Learning about rare disasters: implications for consumption and asset prices

    Czech Academy of Sciences Publication Activity Database

    Gillman, M.; Kejak, Michal; Pakoš, Michal

    2015-01-01

    Roč. 19, č. 3 (2015), s. 1053-1104 ISSN 1572-3097 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: PRVOUK-P23 Keywords : rare diasasters * asset prices * consumption Subject RIV: AH - Economics Impact factor: 2.080, year: 2015

  13. Efficient Pricing of Derivatives on Assets with Discrete Dividends

    NARCIS (Netherlands)

    Vellekoop, M.H.; Nieuwenhuis, J.W.

    2006-01-01

    It is argued that due to inconsistencies in existing methods to approximate the prices of equity options on assets which pay out fixed cash dividends at future dates, a new approach to this problem may be useful. Logically consistent methods which are guaranteed to exclude arbitrage exist, but they

  14. The asset pricing model of musharakah factors

    Science.gov (United States)

    Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md

    2015-02-01

    The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.

  15. 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.

  16. Pricing of path dependent derivatives with discretely monitored underlying assets

    Science.gov (United States)

    Choi, Hyomin

    This dissertation presents two different approaches to path dependent option pricing with discrete sampling. Provided the underlying asset of a path dependent derivative contract follows an affine process, we use the forward characteristic method to evaluate its fair price. Our study shows that the valuation method is numerically accessible as long as the contract payoff is a linear combination of log return of its underlying asset price. We compute various examples of such contracts and give contract-tailored formulas that we use in these examples. In the second part, we consider variance options under stochastic volatility model. We analyze the difference between variance option prices with discrete and continuous sampling as a function of N, the number of observations made in the former. We find the series expansion of the difference with respect to 1/N and find its leading term. By adding this leading term to the value of continuously sampled variance option, we obtain a simple and well-understood approximation of discretely sample variance option price.

  17. Consumption-based macroeconomic models of asset pricing theory

    Directory of Open Access Journals (Sweden)

    Đorđević Marija

    2016-01-01

    Full Text Available The family of consumptionbased asset pricing models yields a stochastic discount factor proportional to the marginal rate of intertemporal substitution of consumption. In examining the empirical performance of this class of models, several puzzles are discovered. In this literature review we present the canonical model, the corresponding empirical tests, and different extensions to this model that propose a resolution of these puzzles.

  18. 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.

  19. The effect of earned versus house money on price bubble formation in experimental asset markets

    OpenAIRE

    Corgnet, Brice; Hernán-González, Roberto; Kujal, Praveen; Porter, David

    2014-01-01

    Does house money exacerbate price bubbles? We compare house money asset market experiments with an earned money treatment where initial portfolios are constructed from a real effort task. Bubbles occur; however, trading volumes and earnings dispersion are significantly higher with house money. We investigate the role of cognitive ability in accounting for the differences in earnings distribution across treatments by using the cognitive reflection test (CRT). Low CRT subjects earned less than ...

  20. 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.

  1. Distribution of asset price movement and market potential

    Science.gov (United States)

    Kim, Dong Han; Marmi, Stefano

    2015-07-01

    In this article we discuss the distribution of asset price movements by introducing a market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when market reversion (i.e. contrarian investors) is dominant. On the other hand, if there are more trend followers, flat and logarithmic potentials appear. By using the cyclically adjusted price-to-earning ratio, which is a common valuation tool, we empirically investigate the market data. By studying long term data we observe the historical change of the market potential of the US stock market. Recent US data show that the market potential looks more like a trend-following potential. Next, we compare the market potentials for 12 different countries. Though some countries have similar market potentials, there are specific examples like Japan which exhibits a very flat potential.

  2. Evaluating Asset Pricing Models in a Simulated Multifactor Approach

    Directory of Open Access Journals (Sweden)

    Wagner Piazza Gaglianone

    2012-12-01

    Full Text Available In this paper a methodology to compare the performance of different stochastic discount factor (SDF models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns with the objective of mimicking the temporal dependency and the observed covariance across gross returns. Finally, the artificial returns are used to investigate the performance of the competing asset pricing models through the Hansen and Jagannathan (1997 distance and some goodness-of-fit statistics of the pricing error. An empirical application is provided for the U.S. stock market.

  3. Credit Market Distortions, Asset Prices And Monetary Policy

    DEFF Research Database (Denmark)

    Pfajfar, Damjan; Santoro, Emiliano

    2014-01-01

    We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong cost......-side effects limit the size of the policy rate response to inflation that is consistent with determinacy, so that inflation-targeting policies may not be capable of ensuring REE uniqueness. In this case it is advisable to combine policy rate responses to inflation with an appropriate reaction to the output gap...... and/or firm profitability. The negative reaction of real activity and asset prices to inflationary shocks adds a negative force to inflation responses that counteracts the borrowing cost effect and prevents expectations of higher inflation from becoming self-fulfilling...

  4. Essays on international portfolio choice and asset pricing under financial contagion

    NARCIS (Netherlands)

    Fan, Zhenzhen

    2017-01-01

    The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It

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

    Science.gov (United States)

    Khan, M. Ali; Sun, Yeneng

    1997-01-01

    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. PMID:11038614

  6. Liquidity and the Dynamic Pattern of Asset Price Adjustment: A Global View

    OpenAIRE

    Ansgar Belke; Walter Orth; Ralph Setzer

    2009-01-01

    Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in consumer prices. We investigate the interactions between money and goods and asset prices at the global level. Using aggregated data for major OECD countries, our VAR results support the view that differen...

  7. Monetary Policy and Financial Asset Prices: Empirical Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Imran Umer Chhapra

    2018-03-01

    Full Text Available Monetary transmission mechanism assumed to be significantly influenced by the effect of policy decisions on financial markets. However, various previous studies have come up with different outcomes. The purpose of this study is to examine the impact of monetary policy on different asset classes (shares and bonds in Pakistan. This study using stock price and bond yield as dependent variable and discount rate, money supply, inflation, and exchange rate are independent variables. Data of all variables have collected from 2010 to 2016, and Vector Autoregressive (VAR technique has applied. The empirical results indicate that there is an impact of monetary policy components on both stock and bond market as an increase in policy rate causes decline in stocks prices and bonds yields. The findings of this study will help the potential investors in making long-term (in general and short-term (in particular investment strategies concerning monetary policy.DOI: 10.15408/sjie.v7i2.7099

  8. 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.

  9. Measuring Risk Structure Using the Capital Asset Pricing Model

    Directory of Open Access Journals (Sweden)

    Zdeněk Konečný

    2015-01-01

    Full Text Available This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50%, however, in the neutral sector is this more dominant.

  10. Path dependent coordination of expectations in asset pricing experiments: a behavioral explanation

    NARCIS (Netherlands)

    Agliari, A.; Hommes, C.H.; Pecora, N.

    2016-01-01

    In the learning-to-forecast laboratory experiments in Hommes et al. (2005), three different types of aggregate asset price behavior have been observed: monotonic convergence to the stable fundamental steady state, dampened price oscillations and permanent price oscillations. We present a simple

  11. Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

    Directory of Open Access Journals (Sweden)

    Adrian Saville

    2011-04-01

    Full Text Available Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation.  This study reviews these arguments  as they apply to South Africa, and finds that an inflation-augmented price-earnings ratio is more successful in forecasting equity returns than is the simple price-earnings ratio.  Moreover, the metric is found to be significant in explaining relative asset class returns. On a risk-adjusted basis, however, the tool fails to improve the portfolio results when compared to a buy-and-hold strategy.

  12. Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

    Directory of Open Access Journals (Sweden)

    Adrian Saville

    2011-08-01

    Full Text Available Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation.  This study reviews these arguments  as they apply to South Africa, and finds that an inflation-augmented price-earnings ratio is more successful in forecasting equity returns than is the simple price-earnings ratio.  Moreover, the metric is found to be significant in explaining relative asset class returns. On a risk-adjusted basis, however, the tool fails to improve the portfolio results when compared to a buy-and-hold strategy.

  13. 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.

  14. Testing multi-factor asset pricing models in the Visegrad countries

    Czech Academy of Sciences Publication Activity Database

    Morgese Borys, Magdalena

    2011-01-01

    Roč. 61, č. 2 (2011), s. 118-139 ISSN 0015-1920 R&D Projects: GA MŠk LC542 Institutional research plan: CEZ:AV0Z70850503 Keywords : capital asset pricing model * macroeconomic factor models * asset pricing Subject RIV: AH - Economics Impact factor: 0.346, year: 2011 http://journal.fsv.cuni.cz/mag/article/show/id/1208

  15. The estimation of time-varying risks in asset pricing modelling using B-Spline method

    Science.gov (United States)

    Nurjannah; Solimun; Rinaldo, Adji

    2017-12-01

    Asset pricing modelling has been extensively studied in the past few decades to explore the risk-return relationship. The asset pricing literature typically assumed a static risk-return relationship. However, several studies found few anomalies in the asset pricing modelling which captured the presence of the risk instability. The dynamic model is proposed to offer a better model. The main problem highlighted in the dynamic model literature is that the set of conditioning information is unobservable and therefore some assumptions have to be made. Hence, the estimation requires additional assumptions about the dynamics of risk. To overcome this problem, the nonparametric estimators can also be used as an alternative for estimating risk. The flexibility of the nonparametric setting avoids the problem of misspecification derived from selecting a functional form. This paper investigates the estimation of time-varying asset pricing model using B-Spline, as one of nonparametric approach. The advantages of spline method is its computational speed and simplicity, as well as the clarity of controlling curvature directly. The three popular asset pricing models will be investigated namely CAPM (Capital Asset Pricing Model), Fama-French 3-factors model and Carhart 4-factors model. The results suggest that the estimated risks are time-varying and not stable overtime which confirms the risk instability anomaly. The results is more pronounced in Carhart’s 4-factors model.

  16. Intangible asset valuation, damages, and transfer price analyses in the health care industry.

    Science.gov (United States)

    Reilly, Robert F

    2010-01-01

    Most health care industry participants own and operate intangible assets. These intangible assets can be industry-specific (e.g., patient charts and records, certificates of need, professional and other licenses), or they can be general commercial intangible assets (e.g., trademarks, systems and procedures, an assembled workforce). Many industry participants have valued their intangible assets for financial accounting or other purposes. This article summarizes the intangible assets that are common to health care industry participants. This article describes the different types of intangible asset analyses (including valuation, transfer price, damages estimates, etc.), and explains the many different transaction, accounting, taxation, regulatory, litigation, and other reasons why industry participants may wish to value (or otherwise analyze) health care intangible assets.

  17. Path dependent coordination of expectations in asset pricing experiments: a behavioral explanation

    NARCIS (Netherlands)

    Agliari, A.; Hommes, C.H.; Pecora, N.

    2015-01-01

    In the learning-to-forecast laboratory experiments in Hommes et al. (2005), three different types of aggregate asset price behavior have been observed: monotonic convergence to the stable fundamental steady state, dampened prce oscillations and permant price oscillations. We present a simple

  18. Asset Price Shocks, Real Expenditures, and Financial Structure : A Multi-Country Analysis

    NARCIS (Netherlands)

    Chirinko, Robert S.; Haan, Leo de; Sterken, Elmer

    2004-01-01

    This paper examines the response of the economies of 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings emerge. First, the impacts of asset price shocks are

  19. 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.

  20. 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.

  1. The pricing of European options on two underlying assets with delays

    Science.gov (United States)

    Lin, Lisha; Li, Yaqiong; Wu, Jing

    2018-04-01

    In the paper, the pricing of European options on two underlying assets with delays is discussed. By using the approach of equivalent martingale measure transformation, the market is proved to be complete. With exchange option as a particular example, we obtain the explicit pricing formula in a subinterval of option period. The robust Euler-Maruyama method is combined with the Monte Carlo simulation to compute exchange option prices within the whole option period. Numerical experiments indicate that there is an increasing possibility of the difference between the delayed and Black-Scholes option prices with the increase of delay.

  2. Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach

    Directory of Open Access Journals (Sweden)

    C. F. Lo

    2002-01-01

    Full Text Available We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.

  3. Credit Market Distortions, Asset Prices and Monetary Policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2012-01-01

    Abstract: We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong

  4. Credit Market Distortions, Asset Prices and Monetary Policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2012-01-01

    Abstract: We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of passthrough of the policy rate to bank-lending rates. Strong

  5. Credit market distortions, asset prices and monetary policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong cost-side

  6. 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 ...

  7. Testing multi-factor asset pricing models in the Visegrad countries

    Czech Academy of Sciences Publication Activity Database

    Morgese Borys, Magdalena

    -, č. 323 (2007), s. 1-40 ISSN 1211-3298 R&D Projects: GA MŠk LC542 Institutional research plan: CEZ:AV0Z70850503 Keywords : capital asset pricing model * macroeconomic factor models * cost of capital Subject RIV: AH - Economics http://www.cerge-ei.cz/pdf/wp/Wp323.pdf

  8. Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit

    Czech Academy of Sciences Publication Activity Database

    Derviz, Alexis

    2011-01-01

    Roč. 61, č. 1 (2011), s. 92-116 ISSN 0015-1920 Institutional research plan: CEZ:AV0Z10750506 Keywords : bank * credit * asset price * bubble * macroprudential policy Subject RIV: AH - Economics Impact factor: 0.346, year: 2011

  9. Higher-order effects in asset-pricing models with long-run risks

    NARCIS (Netherlands)

    Pohl, W.; Schmedders, K.; Wilms, Ole

    This paper shows that the latest generation of asset pricing models with long-run risk exhibits economically significant nonlinearities, and thus the ubiquitous Campbell--Shiller log-linearization can generate large numerical errors. These errors in turn translate to considerable errors in the model

  10. The capital-asset pricing model: the case of South Africa | Reddy ...

    African Journals Online (AJOL)

    This paper tests the empirical validity of the capital-asset pricing model (CAPM) for the South African share market. For the investigation, quarterly total returns from ten sectoral indices listed on the JSE Securities Exchange from 30 June 1995 to 30 June 2009, were used. As expressed in the securities market line, the CAPM ...

  11. 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

  12. Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations

    DEFF Research Database (Denmark)

    Alonso, Irasema; Prado, Mauricio

    2015-01-01

    with a representative agent facing consumption fluctuations calibrated to match U.S. data from 1889 to 2008. Our experiment is to restrict preference parameters in order to as well as possible match some asset-price facts—the average returns on equity and a short-term risk-free bond—and then compute the welfare...

  13. Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution

    DEFF Research Database (Denmark)

    Andreasen, Martin Møller; Jørgensen, Kasper

    model to explain asset prices with a low relative risk aversion (RRA) of 9.8 and a low intertemporal elasticity of substitution (IES) of 0:11. We also show that the proposed preferences allow an otherwise standard New Keynesian model to match the equity premium, the bond premium, and the risk-free rate...

  14. 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 country...... 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...

  15. Adaptive wavelet method for pricing two-asset Asian options with floating strike

    Science.gov (United States)

    Černá, Dana

    2017-12-01

    Asian options are path-dependent option contracts which payoff depends on the average value of the asset price over some period of time. We focus on pricing of Asian options on two assets. The model for pricing these options is represented by a parabolic equation with time variable and three state variables, but using substitution it can be reduced to the equation with only two state variables. For time discretization we use the θ-scheme. We propose a wavelet basis that is adapted to boundary conditions and use an adaptive scheme with this basis for discretization on the given time level. The main advantage of this scheme is small number of degrees of freedom. We present numerical experiments for the Asian put option with floating strike and compare the results for the proposed adaptive method and the Galerkin method.

  16. 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)

  17. 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)

  18. 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.

  19. 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.

  20. Heterogeneous traders, price-volume signals, and complex asset price dynamics

    Directory of Open Access Journals (Sweden)

    Frank H. Westerhoff

    2005-01-01

    model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.

  1. The effect of earned vs. house money on price bubble formation in experimental asset markets

    OpenAIRE

    Corgnet, Brice; Hernán, Roberto; Kujal, Praveen; Porter, David

    2013-01-01

    Can “house money” explain asset market bubbles? We test this hypothesis in an asset experiment with a certain dividend cash and shares is given to subjects initial portfolios are constructed using subject that bubbles still occur; however trading volumes are significantly abated and the dispersion of earnings is significantly lower when subjects earn their starting endowments. We investigate the role of cognitive ability in accounting for the differences in earnings distribution across treatm...

  2. The News Model of Asset Price Determination - An Empirical Examination of the Danish Football Club Bröndby IF

    DEFF Research Database (Denmark)

    Stadtmann, Georg; Moritzen; Jörgensen

    2012-01-01

    According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyse how match outcome impacts the stock price. To disentangle gross news from net news, betting...

  3. The news model of asset price determination: An empirical examination of the Danish football club Brøndby IF

    OpenAIRE

    Jørgensen, Casper W.; Moritzen, Mark R.; Stadtmann, Georg

    2012-01-01

    According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyze how match outcome impacts the stock price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome.

  4. 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.

  5. Discounted Cash Flow and Modern Asset Pricing Methods - Project Selection and Policy Implications

    Energy Technology Data Exchange (ETDEWEB)

    Emhjellen, Magne; Alaouze, Chris M.

    2002-07-01

    We examine the differences in the net present values (NPV's) of North Sea oil projects obtained using the Weighted Average Cost of Capital (WACC) and a Modern Asset Pricing (MAP) method which involves the separate discounting of project cash flow components. NPV differences of more than $1 Om were found for some oil projects. Thus, the choice of valuation method will affect the development decisions of oil companies. The results of the MAP method are very sensitive to the choice of parameter values for the stochastic process used to model oil prices. Further research is recommended before the MAP method is used as the sole valuation model. (author)

  6. a Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model

    Science.gov (United States)

    Borland, Lisa; Evnine, Jeremy; Pochart, Benoit

    2005-09-01

    We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.

  7. Discounted Cash Flow and Modern Asset Pricing Methods - Project Selection and Policy Implications

    International Nuclear Information System (INIS)

    Emhjellen, Magne; Alaouze, Chris M.

    2002-01-01

    We examine the differences in the net present values (NPV's) of North Sea oil projects obtained using the Weighted Average Cost of Capital (WACC) and a Modern Asset Pricing (MAP) method which involves the separate discounting of project cash flow components. NPV differences of more than $1 Om were found for some oil projects. Thus, the choice of valuation method will affect the development decisions of oil companies. The results of the MAP method are very sensitive to the choice of parameter values for the stochastic process used to model oil prices. Further research is recommended before the MAP method is used as the sole valuation model. (author)

  8. 26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

    Science.gov (United States)

    2010-04-01

    ... taxation of the deemed asset sale. 1.338-4 Section 1.338-4 Internal Revenue INTERNAL REVENUE SERVICE... Aggregate deemed sale price; various aspects of taxation of the deemed asset sale. (a) Scope. This section... general principles of tax law with respect to an element of ADSP, the redetermined ADSP is allocated among...

  9. Analisis Portofolio Optimum Saham Syariah Menggunakan Liquidity Adjusted Capital Asset Pricing Model (LCAPM

    Directory of Open Access Journals (Sweden)

    Nila Cahyati

    2015-04-01

    Full Text Available Investasi mempunyai karakteristik antara return dan resiko. Pembentukan portofolio optimal digunakan untuk memaksimalkan keuntungan dan meminimumkan resiko. Liquidity Adjusted Capital Asset Pricing Model (LCAPM merupakan metode pengembangan baru dari CAPM yang dipengaruhi likuiditas. Indikator likuiditas apabila digabungkan dengan metode CAPM dapat membantu memaksimalkan return dan meminimumkan resiko. Tujuan penelitian adalah membandingkan expected retun dan resiko saham serta mengetahui proporsi pada portofolio optimal. Sampel yang digunakan merupakan saham JII (Jakarta Islamic Index  periode Januari 2013 – November 2014. Hasil penelitian menunjukkan bahwa expected return portofolio LCAPM sebesar 0,0956 dengan resiko 0,0043 yang membentuk proporsi saham AALI (55,19% dan saham PGAS (44,81%.

  10. 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)

  11. 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.

  12. Just value of the Tactebel energy: an valuation from the main models of pricing asset

    Directory of Open Access Journals (Sweden)

    Renato Campos

    2010-01-01

    Full Text Available This study aimed to determine the current fair value of Tractebel Energia, from the main asset pricing models. The company was taken as the object due to its stable growth and the ease of obtaining data, since it is located in the city of Florianopolis. Nevertheless, the volatility in its shares has been priced aroused interest. Therefore, this study intended to provide subsidy for the decision making of investors regarding the purchase or sale of company stock. For this, the theoretical treat on the concept of asset valuation and the main models available, emphasizing their applications and limitations, which are: assessment book on, discounted dividend model and discounted cash flow. Regarding the methodological aspect, the research fits into exploratory, descriptive, highly quantitative field study and case. Moreover, it was made use of desk research, literature, interview and program Economática. Thus, the analysis of data initially sought to raise the assumptions demanded by each of the models surveyed ad apply them. The results were then compared and adjusted so that there is consistency. He was later adopted an arithmetic mean to assign a fair value to the company. From this average was defined as an acceptance range, depending on the variability of results and uncertainty in the estimates.

  13. THE IMPACT OF THE RECENT FEDERAL RESERVE LARGESCALE ASSET PURCHASES ON THE AGRICULTURAL COMMODITY PRICES: A HISTORICAL DECOMPOSITION

    Directory of Open Access Journals (Sweden)

    Sayed H. Saghaian

    2014-04-01

    Full Text Available In this study, we evaluate the effects of the recent Federal Reserve’s purchases of longterm assets on prices of agricultural commodities. The first large-scale asset purchases began at the end of 2008, after the Great Recession, and the second purchases began in November of 2010. The commodities included in this analysis are meats (beef, pork, and broilers, cereal grains (corn, soybeans, wheat, and rice, and softs (sugar, coffee, cocoa, and cotton. Using historical decompositions, we find significant increases in the nominal agricultural prices of ten out of 12 agricultural commodities under investigation from the second large-scale asset purchases (in 2010 but the first set large-scale asset purchases had only two positive effects.

  14. Generation unit selection via capital asset pricing model for generation planning

    Energy Technology Data Exchange (ETDEWEB)

    Cahyadi, Romy; Jo Min, K. [College of Engineering, Ames, IA (United States); Chunghsiao Wang [LG and E Energy Corp., Louisville, KY (United States); Abi-Samra, Nick [Electric Power Research Inst., Palo Alto, CA (United States)

    2003-07-01

    The electric power industry in many parts of U.S.A. is undergoing substantial regulatory and organizational changes. Such changes introduce substantial financial risk in generation planning. In order to incorporate the financial risk into the capital investment decision process of generation planning, in this paper, we develop and analyse a generation unit selection process via the capital asset pricing model (CAPM). In particular, utilizing realistic data on gas-fired, coal-fired, and wind power generation units, we show which and how concrete steps can be taken for generation planning purposes. It is hoped that the generation unit selection process developed in this paper will help utilities in the area of effective and efficient generation planning when financial risks are considered. (Author)

  15. MODEL PENENTUAN HARGA SAHAM: PENGUJIAN CAPITAL ASSET PRICING MODEL MELALUI PENGUJIAN ECONOMIC VALUE ADDED

    Directory of Open Access Journals (Sweden)

    Suripto Suripto

    2017-03-01

    Full Text Available This research tested the influence of characteristics of the firms and of EVA (Eco-nomic Value Added to stock of returns. This Research sample was company Self-100 ValueCreator of year 2001 until 2006. Result of research indicated that company size measure,profitability, capital structure (characteristics of the firms and EVA by stimulant had aneffect on significant to stock of returns, but by partial only characteristics company. Condi-tion of company fundamentals had an effect on significance to stock of returns. This indica-tion that investor still considered factors of fundamentals was having investment. EVA didnot have an effect on significant to stock of returns. This finding indicated that Model deter-mination of stock of returns (CAPM Irrelevant determined the level of EVA and also indicatedthat CAPM (Capital Assets Pricing Model was not relevant in determining stock of returns inIndonesian Stock Exchange.

  16. Generation unit selection via capital asset pricing model for generation planning

    Energy Technology Data Exchange (ETDEWEB)

    Romy Cahyadi; K. Jo Min; Chung-Hsiao Wang; Nick Abi-Samra [College of Engineering, Ames, IA (USA)

    2003-11-01

    The USA's electric power industry is undergoing substantial regulatory and organizational changes. Such changes introduce substantial financial risk in generation planning. In order to incorporate the financial risk into the capital investment decision process of generation planning, this paper develops and analyses a generation unit selection process via the capital asset pricing model (CAPM). In particular, utilizing realistic data on gas-fired, coal-fired, and wind power generation units, the authors show which and how concrete steps can be taken for generation planning purposes. It is hoped that the generation unit selection process will help utilities in the area of effective and efficient generation planning when financial risks are considered. 20 refs., 14 tabs.

  17. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

    Directory of Open Access Journals (Sweden)

    Erhan Bayraktar

    2014-10-01

    Full Text Available We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust no-arbitrage which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non-redundant. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting.

  18. Asset life and pricing the use of electricity transmission infrastructure in Chile

    International Nuclear Information System (INIS)

    Raineri, Ricardo

    2010-01-01

    Beyond the different approaches to set regulated prices for the use of infrastructure, a key parameter to determine regulated tariffs is the concept of asset life and how it changes with changes in the economic and regulatory context, which determines the optimal infrastructure investment and replacement policies. In this paper we look at the effects that changes in demand, the presence of substitutes and complements, the regulatory framework - both a pro or an anticompetitive framework - , scale economies, and the investment planning horizon, have on the economic service life of an asset and the tariffs for its use. We find that as the electric industry becomes more competitive, a negative effect on the economic service life of electric electricity transmission should be expected. Also, numerical experiments illustrate an inverse relation between scale economies on investment and the ESL of electricity transmission infrastructure. Further, we look at the biases on optimal investment that happen when optimal plans do not observe the life cycle of the investments and the ESL of the equipment, as well as the inconsistency and biases on optimal investment and replacement policies that might result when the Social Planner optimal investment plan lacks of a long-term commitment.

  19. 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.

  20. Impacts of Variable Renewable Energy on Bulk Power System Assets, Pricing, and Costs

    Energy Technology Data Exchange (ETDEWEB)

    Wiser, Ryan H. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Mills, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Seel, Joachim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Levin, Todd [Argonne National Lab. (ANL), Argonne, IL (United States); Botterud, Audun [Argonne National Lab. (ANL), Argonne, IL (United States)

    2017-11-29

    We synthesize available literature, data, and analysis on the degree to which growth in variable renewable energy (VRE) has impacted to date or might in the future impact bulk power system assets, pricing, and costs. We do not analyze impacts on specific power plants, instead focusing on national and regional system-level trends. The issues addressed are highly context dependent—affected by the underlying generation mix of the system, the amount of wind and solar penetration, and the design and structure of the bulk power system in each region. Moreover, analyzing the impacts of VRE on the bulk power system is a complex area of research and there is much more to be done to increase understanding of how VRE impacts the dynamics of current and future electricity markets. While more analysis is warranted, including additional location-specific assessments, several high-level findings emerge from this synthesis: -VRE Is Already Impacting the Bulk Power Market -VRE Impacts on Average Wholesale Prices Have Been Modest -VRE Impacts on Power Plant Retirements Have So Far Been Limited -VRE Impacts on the Bulk Power Market will Grow with Penetration -The ’System Value’ of VRE will Decline with Penetration -Power System Flexibility Can Reduce the Rate of VRE Value Decline All generation types are unique in some respect—bringing benefits and challenges to the power system—and wholesale markets, industry investments, and operational procedures have evolved over time to manage the characteristics of a changing generation fleet. With increased VRE penetrations, power system planners, operators, regulators, and policymakers will continue to be challenged to develop methods to smoothly and cost-effectively manage the reliable integration of these new and growing sources of electricity supply.

  1. Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks

    Science.gov (United States)

    Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

    2017-09-01

    Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are strongly affected by the interconnections among financial institutions. Yet, while the aggregate balance sheets of institutions are publicly disclosed, information on single positions is mostly confidential and, as such, unavailable. Standard approaches to reconstruct the network of financial interconnection produce unrealistically dense topologies, leading to a biased estimation of systemic risk. Moreover, reconstruction techniques are generally designed for monopartite networks of bilateral exposures between financial institutions, thus failing in reproducing bipartite networks of security holdings (e.g., investment portfolios). Here we propose a reconstruction method based on constrained entropy maximization, tailored for bipartite financial networks. Such a procedure enhances the traditional capital-asset pricing model (CAPM) and allows us to reproduce the correct topology of the network. We test this enhanced CAPM (ECAPM) method on a dataset, collected by the European Central Bank, of detailed security holdings of European institutional sectors over a period of six years (2009-2015). Our approach outperforms the traditional CAPM and the recently proposed maximum-entropy CAPM both in reproducing the network topology and in estimating systemic risk due to fire sales spillovers. In general, ECAPM can be applied to the whole class of weighted bipartite networks described by the fitness model.

  2. Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks.

    Science.gov (United States)

    Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

    2017-09-01

    Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are strongly affected by the interconnections among financial institutions. Yet, while the aggregate balance sheets of institutions are publicly disclosed, information on single positions is mostly confidential and, as such, unavailable. Standard approaches to reconstruct the network of financial interconnection produce unrealistically dense topologies, leading to a biased estimation of systemic risk. Moreover, reconstruction techniques are generally designed for monopartite networks of bilateral exposures between financial institutions, thus failing in reproducing bipartite networks of security holdings (e.g., investment portfolios). Here we propose a reconstruction method based on constrained entropy maximization, tailored for bipartite financial networks. Such a procedure enhances the traditional capital-asset pricing model (CAPM) and allows us to reproduce the correct topology of the network. We test this enhanced CAPM (ECAPM) method on a dataset, collected by the European Central Bank, of detailed security holdings of European institutional sectors over a period of six years (2009-2015). Our approach outperforms the traditional CAPM and the recently proposed maximum-entropy CAPM both in reproducing the network topology and in estimating systemic risk due to fire sales spillovers. In general, ECAPM can be applied to the whole class of weighted bipartite networks described by the fitness model.

  3. Calculating the Price for Derivative Financial Assets of Bessel Processes Using the Sturm-Liouville Theory

    Directory of Open Access Journals (Sweden)

    Burtnyak Ivan V.

    2017-06-01

    Full Text Available In the paper we apply the spectral theory to find the price for derivatives of financial assets assuming that the processes described are Markov processes and such that can be considered in the Hilbert space L^2 using the Sturm-Liouville theory. Bessel diffusion processes are used in studying Asian options. We consider the financial flows generated by the Bessel diffusions by expressing them in terms of the system of Bessel functions of the first kind, provided that they take into account the linear combination of the flow and its spatial derivative. Such expression enables calculating the size of the market portfolio and provides a measure of the amount of internal volatility in the market at any given moment, allows investigating the dynamics of the equity market. The expansion of the Green function in terms of the system of Bessel functions is expressed by an analytic formula that is convenient in calculating the volume of financial flows. All assumptions are natural, result in analytic formulas that are consistent with the empirical data and, when applied in practice, adequately reflect the processes in equity markets.

  4. 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.

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

    Directory of Open Access Journals (Sweden)

    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.

  6. Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM

    Directory of Open Access Journals (Sweden)

    Fakhri Husein

    2017-03-01

    Full Text Available Shariah Compliant Asset Pricing Model (SCAPM is a modification of the model Capital Asset Pricing Model (CAPM. This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used was purposive sampling and obtained 26 shares. The analysis tool used is MatLab R2010a. The results of this study are not prove theMarkowitz portfolio theory. This is explained by the amount of Beta market (β_m a value beta below 1 indicates that the fluctuation of stocks returns do not follow the movement of market fluctuations. Investors are likely to want a high profit, the investors are advised to choose a second portfolio groups, with rate of 0.176722% and investors are likely to enjoy a substantial risk in the investment portfolio are advised to choose the first group with a great risk of 0.8501%.

  7. Applying Modern Portfolio Theory and the Capital Asset Pricing Model to DoD’s Information Technology Investments

    Science.gov (United States)

    2009-03-01

    analysis to the Naval Cryptologic Carry On Program (CCOP) systems to provide a public sector example. 15. NUMBER OF PAGES 57 14. SUBJECT TERMS CAPM ...The Capital Asset Pricing Model is a major extension of the work of Markowitz. The CAPM has proved useful in a variety of contexts, including...estimating the cost of capital, estimating risk for portfolios, and developing measures for ex post portfolio performance evaluation. The CAPM has

  8. Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans

    OpenAIRE

    An Chen; Filip Uzelac

    2015-01-01

    This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that DB plans carry portability risks, whereas DC plans bear asset price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our numerical analys...

  9. Residential on site solar heating systems: a project evaluation using the capital asset pricing model

    Energy Technology Data Exchange (ETDEWEB)

    Schutz, S.R.

    1978-12-01

    An energy source ready for immediate use on a commercial scale is solar energy in the form of On Site Solar Heating (OSSH) systems. These systems collect solar energy with rooftop panels, store excess energy in water storage tanks and can, in certain circumstances, provide 100% of the space heating and hot water required by the occupants of the residential or commercial structure on which the system is located. Such systems would take advantage of a free and inexhaustible energy source--sunlight. The principal drawback of such systems is the high initial capital cost. The solution would normally be a carefully worked out corporate financing plan. However, at the moment it is individual homeowners and not corporations who are attempting to finance these systems. As a result, the terms of finance are excessively stringent and constitute the main obstacle to the large scale market penetration of OSSH. This study analyzes the feasibility of OSSH as a private utility investment. Such systems would be installed and owned by private utilities and would displace other investment projects, principally electric generating plants. The return on OSSH is calculated on the basis of the cost to the consumer of the equivalent amount of electrical energy that is displaced by the OSSH system. The hurdle rate for investment in OSSH is calculated using the Sharpe--Lintner Capital Asset Pricing Model. The results of this study indicate that OSSH is a low risk investment having an appropriate hurdle rate of 7.9%. At this rate, OSSH investment appears marginally acceptable in northern California and unambiguously acceptable in southern California. The results also suggest that utility investment in OSSH should lead to a higher degree of financial leverage for utility companies without a concurrent deterioration in the risk class of utility equity.

  10. Transfer Pricing and Intangible Assets in Cross-Border Business Restructurings

    OpenAIRE

    Pätäri, Heidi Maria

    2012-01-01

    Transfer pricing can be described as the internal price setting between multinational group companies. In recent years the issue of jurisdiction’s tax revenue flowing out of the jurisdiction has been closely related with transfer pricing and the tax authorities all over the world have increasingly began to question the arm’s length nature of the intra-group transactions of multinational enterprises. In this thesis the focus is on the transfer pricing issues arising in situations w...

  11. L'aumento dei prezzi delle attività e della politica monetaria (The increase in asset prices and monetary policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2009-12-01

    Full Text Available L’inflazione degli asset, a differenza dell’inflazione ordinaria, che si riferisce a  l'aumento dei prezzi dei beni di consumo, merci all'ingrosso, o il deflatore del reddito nazionale, è un termine che non è in uso in occidente, ma corrente in Giappone. Ci sono momenti in cui gli assets aumenteranno di prezzo in modo inflazionistico, un boom o anche una bolla, mentre i prezzi dell’output sono relativamente stabili o addirittura in calo. Asset inflation, as distinguished from ordinary inflation, the latter referring to rising prices of consumer goods, wholesale commodities, or the national-income deflator, is a phrase not in use in the west, but current in Japan. There are times when assets rise in price in an inflationary way, a boom or even a bubble, while output prices are relatively stable or even declining. JEL Codes: F3, G1, N1, B5 

  12. The Effect of Managerial Ability on Future Stock Price Crash Risk: Evidence from Korea

    Directory of Open Access Journals (Sweden)

    Soo Yeon Park

    2017-12-01

    Full Text Available This study examines the effect of managerial ability on subsequent stock price crash risk using listed firm data in Korea. Compared to some financially advanced countries, the influence of managers is particularly more powerful in Korea, as ownership and management are not effectively separate in most Korean firms. In addition, we considered the effect of large business groups called Chaebol, which is family-run conglomerates with unique corporate governance system that hugely affect the Korean economy. It is important to recognize determinants of the stock price crash risk which would result in doubt on going concern to enhance the company’s sustainable management. Hence, this study focuses on the managerial ability as one of the main factors of the stock price crash risk. We use the measures of firm-specific stock price crash risk based on Hutton et al. (2009. Managerial ability is estimated through a Data Envelopment Analysis (DEA and tobit regressions following Demerjian et al. (2012. From the empirical tests, there is a negative association between managerial ability and stock price crash risk. This suggests that managers with a higher ability release more voluntary disclosure to signal their ability, ultimately lowering the subsequent stock price crash risk. We also find that firms in large business groups, Chaebol, weaken the negative association between managerial ability and subsequent stock price crash risk.

  13. Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?

    Directory of Open Access Journals (Sweden)

    Jacek Lipiec

    2014-07-01

    Full Text Available In this article, we test the capital asset pricing model (CAPM on the Warsaw Stock Exchange (WSE by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected from the WIG-Construction (WIG—Warszawski Indeks Giełdowy—Warsaw Stock Exchange Index. The performance of both portfolios was measured in the period from 2006 to 2012 with respect to three sub-periods: (1 pre-crisis period: 2006–2007; (2 crisis period: 2008–2009; and (3 post-crisis period: 2010–2012. This division was constructed in this way to find out how family firms performed in crisis times in relation to nonfamily firms. In addition, the construction portfolio was chosen due to its sensitivity to recessions. When an economy faces a downturn, construction firms are among the first to be exposed to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that public family firms significantly outperformed non-family peers in the crisis times.

  14. Aim High or Go Low? Pricing Strategies and Enrollment Effects when the Net Price Elasticity Varies with Need and Ability

    Science.gov (United States)

    Curs, Bradley R.; Singell, Larry D., Jr.

    2010-01-01

    Detailed data on individual applicants to a large public university are used to demonstrate that net price responsiveness decreases with need and ability. Enrollment effects are simulated and show a movement towards a high tuition/high aid (low tuition/low aid) policy significantly lowers (raises) tuition revenue with a modest increase (decrease)…

  15. 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.

  16. 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.

  17. Evolution of Monetary Policy in the US: The Role of Asset Prices

    OpenAIRE

    Beatrice D. Simo-Kengne; Stephen M. Miller; Rangan Gupta

    2014-01-01

    This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and stock returns. We measure the relative importance of housing and stock returns in the movements of the interest rate and their possible ...

  18. Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans

    Directory of Open Access Journals (Sweden)

    An Chen

    2015-03-01

    Full Text Available This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB and a defined contribution (DC plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that DB plans carry portability risks, whereas DC plans bear asset price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our numerical analysis focuses on answering the question of when the beneficiary is indifferent between the DB and DC plan. Most of our results confirm the findings in the existing literature, among which, e.g., portability losses considerably reduce the relative attractiveness of the DB plan. However, we also find that the attractiveness of the DB plan can decrease in the level of risk aversion, which is inconsistent with the existing literature.

  19. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices

    DEFF Research Database (Denmark)

    Varneskov, Rasmus T.

    . Lastly, two small empirical applications to high frequency stock market data illustrate the bias reduction relative to competing estimators in estimating correlations, realized betas, and mean-variance frontiers, as well as the use of the new estimators in the dynamics of hedging.......This paper extends the class of generalized at-top realized kernels, introduced in Varneskov (2011), to the multivariate case, where quadratic covariation of non-synchronously observed asset prices is estimated in the presence of market microstructure noise that is allowed to exhibit serial...... of symmetric matrices ensures positive (semi-)definiteness without altering asymptotic properties of the class of estimators. The finite sample correction admits non-linear transformations of the estimated covariance matrix such as correlations and realized betas, and it can be used in portfolio optimization...

  20. Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM

    Directory of Open Access Journals (Sweden)

    Muhammad Hanif

    2011-12-01

    Full Text Available A speedy emerging area of finance is the Shari’a compliant financial system. In first decade of 21st century Islamic financing has shown tremendous increase and global volume has reached to US $ 1,041 billion by the end of 2009. Being financial intermediaries Islamic Financial Institutions (IFIs have shown commendable progress in deposit collection under profit and loss sharing schemes however investment avenues are limited in comparison of conventional banks. Although a large number of financing modes are available to IFIs, yet maintenance of required liquidity is serious issue because money market and capital market is dominated by interest based instruments and conventional practices (some are clearly prohibited by Shari’a. Recently Al-meezan Investment Management Ltd. (AIML has started screening of Shari’a compliant stocks on KSE, and provided an avenue for Shari’a Compliant Investors/IFIs to invest in equities. This study is conducted to understand conventional asset pricing models, document any mismatching with Shari’a financial system, and suggest amendments if required. Findings suggest existing models of equity pricing (CAPM, APT/MFM are very much practicable under Shari’a framework with slight modification of risk free return because under Shari’a frame work risk free returns do not exist.

  1. 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

  2. The Prediction Performance of Asset Pricing Models and Their Capability of Capturing the Effects of Economic Crises: The Case of Istanbul Stock Exchange

    Directory of Open Access Journals (Sweden)

    Erol Muzır

    2010-09-01

    Full Text Available This paper is prepared to test the common opinion that the multifactor asset pricing models produce superior predictions as compared to the single factor models and to evaluate the performance of Arbitrage Pricing Theory (APT and Capital Asset Pricing Model (CAPM. For this purpose, the monthly return data from January 1996 and December 2004 of the stocks of 45 firms listed at Istanbul Stock Exchange were used. Our factor analysis results show that 68,3 % of the return variation can be explained by five factors. Although the APT model has generated a low coefficient of determination, 28,3 %, it proves to be more competent in explaining stock return changes when compared to CAPM which has an inferior explanation power, 5,4 %. Furthermore, we have observed that APT is more robust also in capturing the effects of any economic crisis on return variations.

  3. Estimating the Quadratic Variation Spectrum of Noisy Asset Prices Using Generalized Flat-top Realized Kernels

    DEFF Research Database (Denmark)

    Varneskov, Rasmus T.

    2014-01-01

    on the optimal bandwidth is provided for noise models of varyng complexity. In theoretical and numerical comparisons with alternative estimators, including the realized kernel, the two-scale realized kernel, and a proposed robust pre-averaging estimator, the flat-top realized kernels are shown to have a higher......This paper analyzes a generalized class of flat-top realized kernels for estimation ot the quadratic variation spectrum,i.e. the decomposition of quadratic variation into integrated variance and jump variation, when the underlying, efficient price process is contaminated by addictive noise....... The additive noise consists of two orthogonal components, which allows for a-mixing dependent exogenous noise and an asymptoticaly non-degenerate endogenous correlation structure, respectively. Both components may exhibit polynomially decaying autocovariances. In the absence of jumps, the class of flat...

  4. Asset price bubbles in the perspective of New Keynesian theory. Summary: Varade hinnamullid ja reaalkurss majanduskoolkondade lähenemiste valguses

    Directory of Open Access Journals (Sweden)

    Meelis Angerma

    2013-09-01

    Full Text Available Developments in the real world depends on human reaction to economic events which is also determined by dominating economic thought. Dominance of neoliberal and monetarist thinking was the main cause of ignoring asset price bubbles and their effects on real economy. New keynesian economic thinking provides an alternative. Hyman Minsky’s model of financial instability was more effectively able to explain super-bubbles in US economy and subsequent ‚Great Recession’. Ignorance of momentum-bias of traders and banks contributed to this crises. Emerging markets and Baltic countries were strongly influenced by credit oversupply in US. Instabilities were so sizeable that IMF approved using capital control and proposal for tax on financial transactions was made. Policymakers and individuals should abandon ignorance of speculative asset price bubbles and improve their analytical skills to recognize bubbles and change their behaviour

  5. Analisis Portofolio Menggunakan Capital Asset Pricing Model (Capm) Untuk Penetapan Kelompok Saham-saham Efisien (Studi Pada Seluruh Saham Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010-2012)

    OpenAIRE

    Elvira, Nasika

    2014-01-01

    The objective of research is to explain the analysis against the performance of stocks of the companies listed in Indonesia Stock Exchange based on their return and risk, and to explain the analysis of the determination of efficient stock group based on Capital Asset Pricing Model (CAPM) over the stocks of the companies listed in Indonesia Stock Exchange for portfolio establishment in period 2010-2012. The USAge of Capital Asset Pricing Model (CAPM) in this research is that CAPM method can ex...

  6. Essays on asset pricing

    NARCIS (Netherlands)

    Londono Yarce, J.M.

    2011-01-01

    Finally, the third paper models and explains the dynamics of market betas for 30 US industry portfolios between 1970 and 2009. We use a DCC-MIDAS and kernel regression technique as alternatives to the standard ex-post measures. In this paper, we find betas to exhibit substantial persistence, time

  7. Investment-based Capital Asset Pricing Model からみた投資と資産収益率

    OpenAIRE

    宮川, 努; 滝澤, 美帆

    2017-01-01

    本稿は,資産収益率の要因を,投資変動を使って説明するInvestment-based Capital Asset Pricing Model(I-CAPM)を使って,日米の投資規模と資産収益率の関係及び無形資産規模の影響を考察した。I-CAPM によれば,投資規模が大きくなると投資に付帯する費用によって資産収益率が低下するが,単純に投資規模別に分けた資産収益率を調べると,日米ともにI-CAPM の妥当性が検証される。しかしFama and French(1995)によるThree Factor Model など他の要因も加えると,日本では投資規模が明示的に資産収益率に影響を与える効果は検出できなかった。しかし米国では無形資産規模が大きい場合,I-CAPM の妥当性が成立することがわかる。また有形資産投資に無形資産投資を加えると収益率格差が縮小する現象も見られた。このことは,有形資産投資に伴う費用を無形資産投資が一部代替している可能性を示している,日本が今後IT 化を進める際にはハード面の投資だけでなく,無形資産投資も合わせて実施することで,付帯費用に伴う収益率低下を防ぐ必要がある...

  8. Penggunaan Metode Capital Asset Pricing Model (Capm) Dalam Menentukan Saham Efisien (Studi Pada Saham-saham Perusahaan Yang Terdaftar Di Indeks Kompas100 Periode 2010-2013)

    OpenAIRE

    Saputra, Wildan Deny

    2015-01-01

    Capital Asset Pricing Model (CAPM) is method that used to make an estimate of the expected returns of an investment. CAPM explain about relation between expected returns and risk of shares. The research is descriptive research with the quantitative analysis which aims to know the performance of shares listed in the index kompas100 2010-2013 period based on the return and the risk of shares and know of efficient shares and inefficient shares based on CAPM method. Sample of the research are 37 ...

  9. CAPITAL ASSET PRICING MODEL METHOD USED IN MEASURING AND ANALYZING COMPANIES LISTED IN PEFINDO25 AT INDONESIA STOCK EXCHANGE PERIOD 2015

    Directory of Open Access Journals (Sweden)

    Francis M HUTABARAT

    2016-08-01

    Full Text Available The industry in Indonesia is an interesting business to capitalize. In Indonesia many companies were established since it is profitable. The capital market serves as an economic pillar in most countries. Indonesia is a rich country, rich in many ways especially in natural resources. However, the industry has its ups and downs in the stock market. It is interesting to see the performance of the companies listed in the Indonesia Stock Exchange.  This study aimed to measure and analyze companies listed in Pefindo25 at Indonesian Stock Exchange using Capital Asset Pricing Model. The sample used is 25 companies listed at Pefindo25 index. Based on the results of the study, it can conclude that after analyzing the companies listed in the Indonesian Stock Exchange using Capital Asset Pricing Model that based on Beta analysis, the companies have the type of stocks that are aggressive and defensive. With positive and negative return. The company with aggressive beta shows that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies with defensive type of stocks tend to have positive return such as: FISH, STTP, AISA, APLN, and others since they are not sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock investment.

  10. An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; van der Wel, Michel

    We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premia and for the absence of arbitrage opportunities based on the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the equity case, a zero intercept condition...... of the risk premium is associated with the slope factor, and individual risk prices depend on own past values, factor realizations, and past values of other risk prices, and are significantly related to the output gap, consumption, and the equity risk price. The absence of arbitrage opportunities is strongly...

  11. Efficiently Inefficient Markets for Assets and Assets Management

    DEFF Research Database (Denmark)

    Garleanu, Nicolae; Heje Pedersen, Lasse

    We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily......, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and the net performance of the average manager depends on the number of "noise allocators." Finally, we show why large...

  12. World corporate loan markets for raising new capital - does distance still matter: Are financial assets priced locally or globally?

    Directory of Open Access Journals (Sweden)

    Vojinovič Borut

    2006-01-01

    Full Text Available Though the paper focuses on pricing, as the background I provide some evidence about loan flows across markets in the form of borrowers’ and lenders’ propensity to issue outside their natural home market. The data show that borrowers stay home when they can and that they tend to issue in Europe when they must issue abroad. That is, borrowers domiciled in one of the major markets (Europe, U.S., and Asia almost always issue in that market, whereas borrowers in more remote locations usually issue in the European market. For example, borrowers from Latin America are overwhelmingly issuing in Europe rather than in the U.S. market.

  13. Price

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    The price terms in wheeling contracts very substantially, reflecting the differing conditions affecting the parties contracting for the service. These terms differ in the manner in which rates are calculated, the formulas used, and the philosophy underlying the accord. For example, and EEI study found that firm wheeling rates ranged from 20 cents to $1.612 per kilowatt per month. Nonfirm rates ranged from .15 mills to 5.25 mills per kilowatt-hour. The focus in this chapter is on cost-based rates, reflecting the fact that the vast majority of existing contracts are based on rate designs reflecting embedded costs. This situation may change in the future, but, for now, this fact can't be ignored

  14. Analisis Metode Capital Asset Pricing Model Dalam Upaya Pengambilan Keputusan Terhadap Investasi Saham (Studi Pada Saham-saham Perusahaan Sektor Properti Dan Real Estate Di Bursa Efek Indonesia (Bei) Periode 2010 – 2012)

    OpenAIRE

    Nasuha, Rizky

    2013-01-01

    The research was motivated by the development of the business world, where companies rely heavily on investment. Before investing, stock investment in this case, it is necessary to consider the possibilities that will be faced by investors. One method used to assess investment decisions is the CAPM (Capital Asset Pricing Model). This study aims to analyze the CAPM method related to stock investment decisions. Types of research used in this research is descriptive research with quantitative ap...

  15. Penerapan Metode Capital Asset Pricing Model (Capm) Untuk Penetapan Kelompok Saham-saham Efisien (Studi Pada Perusahaan Industri Barang Konsumsi Yang Terdaftar Di Bursa Efek Indonesia Periode 2011 -2013)

    OpenAIRE

    Kurniawan, Fauzi Adi

    2015-01-01

    This research purpose to determine the performance of stock based on the return and risk to determine the group of efficient stocks and inefficient stock by the use of methods of Capital Asset Pricing Model (CAPM). The sample used in this study were 15 company shares consumer goods industry sector listed in Indonesia Stock Exchange 2011-2013 that selected based on certain criteria. The analysis showed there is 1 stock companies included in the group of inefficient stock (overvalued) and 14 st...

  16. PERBANDINGAN CAPITAL ASSET PRICING MODEL (CAPM DAN THREE FACTORS MODEL FAMA AND FRENCH (TFMFF DALAM MENGESTIMASI RETURN SAHAM

    Directory of Open Access Journals (Sweden)

    KADEK MIRA PITRIYANTI

    2015-11-01

    Full Text Available In 1996, Fama and French developed the CAPM in Three Factor Model Fama and French (TFMFF to analyze the relationship between risk with rate of return by adding firm size factor that is proxied by Small Minus Big (SMB and value factor at Book to Market Ratio that is proxied by High Minus Low (HML on the CAPM model. The aim of this research is to compare the ability of CAPM and TFMFF in estimating the returns on six types of portfolios which are formed based on firm size and BE/ME. Selected samples are stocks of LQ-45 in period of February 2014, which have passed the selection of firm profits and ROE Warren Buffett criteria. Simple linear regression and Multiple linear regression with t test and F test statistics are used to demonstrate the influence and significance level of each variable. The results showed that TFMFF was more superior than CAPM. Market risk factor consistently affected each portfolio. SMB and HML is not always significantly effect on each portfolio, such as portfolio B/H, only market risk factor has a significant effect. However, the addition of SMB factors and HML factors could increase the coefficient of determination in each formed portfolio.

  17. Downside Risk and Asset Pricing

    NARCIS (Netherlands)

    G.T. Post (Thierry); P. van Vliet (Pim)

    2004-01-01

    textabstractWe analyze if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on size, value, and momentum. In the process, we also develop several methodological improvements to the existing tests for SSD efficiency.

  18. Asset pricing with index investing

    OpenAIRE

    Georgy Chabakauri; Oleg Rytchkov

    2014-01-01

    We provide a novel theoretical analysis of how index investing affects capital market equilibrium. We consider a dynamic exchange economy with heterogeneous investors and two Lucas trees and find that indexing can either increase or decrease the correlation between stock returns and in general increases (decreases) volatilities and betas of stocks with larger (smaller) market capitalizations. Indexing also decreases market volatility and interest rates, although those effects are weak. The im...

  19. Heterogeneity and option pricing

    NARCIS (Netherlands)

    Benninga, Simon; Mayshar, Joram

    2000-01-01

    An economy with agents having constant yet heterogeneous degrees of relative risk aversion prices assets as though there were a single decreasing relative risk aversion pricing representative agent. The pricing kernel has fat tails and option prices do not conform to the Black-Scholes formula.

  20. Efficiently Inefficient Markets for Assets and Asset Management

    DEFF Research Database (Denmark)

    Garleanu, Nicolae; Pedersen, Lasse Heje

    We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily......, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and the net performance of the average manager depends on the number of "noise allocators." Small investors should...... be passive, but large and sophisticated investors benefit from searching for informed active managers since their search cost is low relative to capital. Hence, managers with larger and more sophisticated investors are expected to outperform....

  1. Penerapan Metode Capital Asset Pricing Model (Capm) Sebagai Salah Satu Upaya Untuk Menentukan Kelompok Saham Efisien (Studi Pada Saham Perusahaan Sektor Industri Pengolahan Yang Terdaftar Di Bei Tahun 2009-2012)

    OpenAIRE

    Susanti, Ariska Yuli

    2014-01-01

    This research aims to classify efficient stocks and inefficient stock using the Capital Asset Pricing Model approach (CAPM), it really helps the investors to make the right investment decisions. The object of research is done in the manufacturing sector shares which are listed in the Stock Exchange 2009-2012 . Based on the research result and the analysis that have been done, it can be seen that from the 11 manufacturing company shares which are used as the research sample, there are two comp...

  2. The Impact of Overnight Periods on Option Pricing

    NARCIS (Netherlands)

    Boes, M.J.; Drost, F.C.; Werker, B.J.M.

    2005-01-01

    This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently, the overnight asset price process is modelled

  3. Test of Capital Asset Pricing Model in Turkey = Finansal Varlıkların Fiyatlandırılması Modelinin Türkiyede Sınanması

    Directory of Open Access Journals (Sweden)

    Gulnara REJEPOVA

    2007-01-01

    Full Text Available This article attempts to test the validity of CAPM (Capital Asset Pricing Model in Turkey by regressing the weekly risk premiums (rj - rf against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004.ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free rate respectively. Following an in-depth literature survey, Fama and MacBeth (1973, and Pettengil et. al. (1995 approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the other hand, strong beta-risk premium relationships were discovered.

  4. An empirical examination of restructured electricity prices

    International Nuclear Information System (INIS)

    Knittel, C.R.; Roberts, M.R.

    2005-01-01

    We present an empirical analysis of restructured electricity prices. We study the distributional and temporal properties of the price process in a non-parametric framework, after which we parametrically model the price process using several common asset price specifications from the asset-pricing literature, as well as several less conventional models motivated by the peculiarities of electricity prices. The findings reveal several characteristics unique to electricity prices including several deterministic components of the price series at different frequencies. An 'inverse leverage effect' is also found, where positive shocks to the price series result in larger increases in volatility than negative shocks. We find that forecasting performance in dramatically improved when we incorporate features of electricity prices not commonly modelled in other asset prices. Our findings have implications for how empiricists model electricity prices, as well as how theorists specify models of energy pricing. (author)

  5. 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

  6. Pricing Liquidity Risk with Heterogeneous Investment Horizons

    NARCIS (Netherlands)

    Beber, Alessandro; Driessen, Joost; Neuberger, A.; Tuijp, P

    We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk)

  7. Investor Flows to Asset Managers

    DEFF Research Database (Denmark)

    Christoffersen, Susan E. K.; Musto, David K.; Wermers, Russ

    2014-01-01

    Cash flows between investors and funds are both cause and effect in a complex web of economic decisions. Among the issues at stake are the prospects and fees of the funds, the efforts and risk choices by the funds' managers, the pricing and comovement of the assets they trade, the stability...

  8. Asset Meltdown

    DEFF Research Database (Denmark)

    Marekwica, Marcel; Maurer, Raimond; Sebastian, Steffen P.

    2011-01-01

    Executive Summary. This paper analyzes the relation between demographic structure and real asset returns on Treasury bills, bonds, and stocks for the G7 countries (United States, Canada, Japan, Italy, France, the United Kingdom, and Germany). A macroeconomic multifactor model is used to examine...

  9. Money illusion and nominal inertia in experimental asset markets

    NARCIS (Netherlands)

    Noussair, C.N.; Richter, G.; Tyran, J.R.

    2012-01-01

    We test whether large but purely nominal shocks affect real asset market prices. We subject a laboratory asset market to an exogenous shock, which either inflates or deflates the nominal fundamental value of the asset while holding the real fundamental value constant. After an inflationary shock,

  10. Money Illusion and Nominal Inertia in Experimental Asset Markets

    DEFF Research Database (Denmark)

    Noussair, Charles N.; Richter, Gregers; Tyran, Jean-Robert

    We test whether large but purely nominal shocks affect real asset market prices. We subject a laboratory asset market to an exogenous shock, which either inflates or deflates the nominal fundamental value of the asset, while holding the real fundamental value constant. After an inflationary shock...

  11. A study of the effects of company size on systematic risk based on the capital asset pricing model among accepted companies in Tehran Stock Market ,

    Directory of Open Access Journals (Sweden)

    Reza Rostami

    2012-08-01

    Full Text Available Systematic risk (beta is one of the most effective factors in predicting the appropriate required rate of return of portfolios. Understanding systematic risk of usual portfolio of various companies helps investors consider financial investment, more confidentially. The aim of this study is to determine if there is any significant relationship between Company Size (Market value of stocks, Book value of stocks, level of company sale, trade volume of stocks, Price dividend ratio as independent variables and Systematic risk (Beta as dependent variables. The study chooses 112 companies accepted in Tehran Stock Market based on screening (systematic deletion in a six-year- period from 2005 to 2010. The required data were gathered from basic financial statement, committee reports, and other available documents in Tehran Stock Market. Regression and Pearson correlation were used to analyze the data. The results of the study revealed that there is a significant relationship between the variables. Some suggestions regarding the topic of the research are given too.

  12. The Macroeconomic Consequences of Asset Bubbles and Crashes

    OpenAIRE

    Shi, Lisi; Suen, Richard M. H.

    2014-01-01

    This paper examines the macroeconomic effects of asset price bubbles and crashes in an overlapping generations economy. The model highlights the effects of asset price fluctuations on labor supply decisions, and demonstrates how labor market adjustment can help propagate the effects of these fluctuations to the aggregate economy. It is shown that, under certain conditions, asset bubbles can crowd in productive investment and lead to an expansion in total employment, and the bursting of these ...

  13. PRICE AND PRICING STRATEGIES

    OpenAIRE

    SUCIU Titus

    2013-01-01

    In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

  14. Pricing of Asian temperature risk

    OpenAIRE

    Cabrera, Brenda López

    2009-01-01

    Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The majority of papers so far have priced non-tradable assets assuming zero MPR, but this assumption underestimates WD prices. We study the MP...

  15. Asset Return Dynamics and Learning

    OpenAIRE

    William A. Branch; George W. Evans

    2010-01-01

    This article advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide a framework in which agents, in an asset pricing model, underparameterize their forecasting model in a spirit similar to Hong, Stein, and Yu (2007) and Barberis, Shleifer, and Vishny (1998), except that the parameters of the forecasting model and the choice of predictor a...

  16. Temporal causality between house prices and output in the U.S.: a bootstrap rolling-window approach

    CSIR Research Space (South Africa)

    Nyakabawo, W

    2015-07-01

    Full Text Available of this literature focuses on the wealth and collateral effects of house price changes on consumption (Miller et al., 2011). Changes in house prices can affect consumption, if households regard the equity in their property as wealth and their spending decisions... the households’ ability to borrow depends on the collateralized value of exiting assets, households can increase borrowing secured on rising property values, thus relaxing their financial constraints. Part of the rise in housing equity may then finance extra...

  17. Non-Linear Asset Valuation on Markets with Frictions

    NARCIS (Netherlands)

    De Waegenaere, A.M.B.; Kast, R.; Lapied, A.

    1996-01-01

    This paper provides a non-linear pricing rule for the valuation of assets on financial markets with intermediaries.The non-linearity arises from the fact that dealers charge a price for their intermediation between buyer and seller. The pricing rule we propose is an alternative for the wellknown

  18. The valuation of health care intangible assets.

    Science.gov (United States)

    Reilly, R F; Rabe, J R

    1997-01-01

    Health care entities (and especially medical practices) are valued for a number of reasons: sale transaction pricing and structuring, merger formation and dissolution, taxation and regulatory compliance, and litigation support and dispute resolution. The identification and quantification of the entity's intangible assets are often the most important aspects of the valuation. This article illustrates the generally accepted methods for valuing health care-related intangible assets.

  19. 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

  20. Complex profitability analysis of fixed tangible assets

    OpenAIRE

    Mackevičius, J.; Subačienė, R.; Senkus, K.

    2012-01-01

    Analysis is the main tool for evaluation of an enterprise state and for decision making process according to the results of analysis. The article presents analysis of the level of fixed assets profitability; evaluation of factors, which influence the profit-ability of fixed tangible assets; analysis of relationship between profitability and other ratios. Authors of the article propose com-plex profitability analysis of fixed tangible assets approach, which would enable managers to use more ef...

  1. Essays on Asset Pricing with Financial Frictions

    DEFF Research Database (Denmark)

    Klingler, Sven

    The first essay focuses on Credit default swap (CDS) premiums of safe sovereigns, that is, the insurance against the default of countries with a low credit risk, like Germany, Japan, or the United States. We motivate the essay by establishing the following two stylized facts. First, we document...... insurance against the default of safe sovereigns? Second, what drives safe-haven CDS premiums if not credit risk?...... between bond yield and risk-free rate, for safe sovereigns. This finding is in opposition to the no-arbitrage theory that CDS premiums and yield spreads should move in lockstep. Motivated by these stylized facts, we investigate the following two questions: First, what are the motives behind purchasing...

  2. 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

  3. Understanding international commodity price fluctuations

    NARCIS (Netherlands)

    Arezki, Rabah; Loungani, Prakash; van der Ploeg, Rick; Venables, Anthony J.

    An overview is provided of recent work on commodity prices, focusing on three themes: (i) "financialization" of commodity markets--commodities being considered by financial investors as a distinct asset class, (ii) trends and forecasts of commodity prices, and (iii) fracking-a shorthand for the

  4. Marketplace pricing

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    As discussed in this chapter, interest in marketplace pricing has been increasing in recent years, reflecting the societal trend toward substituting competition for regulation where appropriate. Competition is valuable because it encourages utilities to make efficient decisions with a minimum of regulatory intervention. It enhances efficiency through the incentive for innovation by the regulated companies and by increasing the likelihood they will come forward with proposals for better services, lower prices or both. Ultimately, consumers are beneficiaries. Marketplace pricing is emblematic of the view that the degree of regulation should reflect the degree of market power, that workably competitive markets should be allowed to operate with as little regulatory interference as possible. The Edison Electric Institute has made perhaps the most detailed proposal on marketplace pricing. It and others perceive numerous benefits from this method of pricing transmission services. Given the undeniable market power resulting from line ownership, FERC has emphasized the need to find a workably competitive market before approving such proposals. The ability to make this distinction without a full-blown antitrust review for every transaction is questionable, and FERC has yet to provide generic guidance. Finally, FERC's legal ability to depart from cost-based standards is questionable

  5. A Multiperiod Equilibrium Pricing Model

    Directory of Open Access Journals (Sweden)

    Minsuk Kwak

    2014-01-01

    Full Text Available We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity, one nontradable underlying (temperature, and also a contingent claim (weather derivative written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

  6. 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.

  7. 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...

  8. A statistical analysis of product prices in online markets

    OpenAIRE

    Mizuno, Takayuki; Watanabe, Tsutomu

    2009-01-01

    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 ...

  9. Pricing geometric Asian rainbow options under fractional Brownian motion

    Science.gov (United States)

    Wang, Lu; Zhang, Rong; Yang, Lin; Su, Yang; Ma, Feng

    2018-03-01

    In this paper, we explore the pricing of the assets of Asian rainbow options under the condition that the assets have self-similar and long-range dependence characteristics. Based on the principle of no arbitrage, stochastic differential equation, and partial differential equation, we obtain the pricing formula for two-asset rainbow options under fractional Brownian motion. Next, our Monte Carlo simulation experiments show that the derived pricing formula is accurate and effective. Finally, our sensitivity analysis of the influence of important parameters, such as the risk-free rate, Hurst exponent, and correlation coefficient, on the prices of Asian rainbow options further illustrate the rationality of our pricing model.

  10. Asset management primer

    Science.gov (United States)

    1999-12-01

    According to this primer, asset management is a systematic process of maintaining, upgrading, and operating physical assets cost-effectively. It combines engineering principles with sound business practices and economic theory, and it provides tools ...

  11. Dukovany ASSET mission preparation

    International Nuclear Information System (INIS)

    Kouklik, I.

    1996-01-01

    We are in the final stages of the Dukovany ASSET mission 1996 preparation. I would like to present some of our recent experiences. Maybe they would be helpful to other plants, that host ASSET missions in future

  12. "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...

  13. 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...

  14. Asset Attribution Stability and Portfolio Construction: An Educational Example

    Science.gov (United States)

    Chong, James T.; Jennings, William P.; Phillips, G. Michael

    2014-01-01

    This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…

  15. Sticky continuous processes have consistent price systems

    DEFF Research Database (Denmark)

    Bender, Christian; Pakkanen, Mikko; Sayit, Hasanjan

    Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...... arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni...

  16. Historical development of derivatives’ underlying assets

    Directory of Open Access Journals (Sweden)

    Sylvie Riederová

    2011-01-01

    Full Text Available The derivative transactions are able to eliminate the unexpected risk arising from the price volatility of the asset. The need for risk elimination relates to the application of derivatives.This paper is focused on derivatives’ underlying assets themselves. With the plain description, supported by progressive summarization, the authors analysed the relevant theoretical sources, dealt with derivatives, their underlying assets and their development in centuries. Starting in the ancient history, 2000 BC, the first non-standard transaction, very close to today’s understanding of derivatives, becomes to be closed between counterparties. During the time, in different kingdoms and emporiums, derivatives started to play a significant role in daily life, helping to reduce the uncertainty of the future. But the real golden era for derivatives started with the so called ‘New derivative markets’ and computer supported trading. They have extended their form from simple tools to most complex structures, without changing their main purpose hedging and risk – reduction.For the main purpose of this paper it is impossible to split the development of derivatives from the very wide extension of underlying assets. The change of these assets was one of the main drivers in derivatives development. Understanding of the dynamic character of these assets helps to understand the world of derivatives.

  17. An Intraday Pricing Model of Foreign Exchange Markets

    OpenAIRE

    Rafael Romeu

    2003-01-01

    Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instrumen...

  18. General Equilibrium Pricing with Information Asymmetry

    Directory of Open Access Journals (Sweden)

    Yuzhong eZhang

    2015-08-01

    Full Text Available We propose a general equilibrium model for asset pricing that incorporates asymmetric information as the key element determining security prices. In our setting, the concepts of completeness, arbitrage, state price and equivalent martingale measure are extended to the case of asymmetric information. Our model shows that in a so-called quasi-complete market, the agents with differential information can reach an agreement on an universal equilibrium price. The corresponding state price and martingale measure are determined. The key intuition is that agents evaluate consumption choices conditioned on their private information and the public information generated by price. As a consequence, information asymmetry can lead to mispricing as well.

  19. [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

  20. 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.

  1. 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.

  2. Is College Pricing Power Pro-Cyclical?

    Science.gov (United States)

    Altringer, Levi; Summers, Jeffrey

    2015-01-01

    We define pricing power as a college's ability to increase its net tuition revenue by raising its sticker-price for tuition. The greater is the positive effect of sticker-price increases on net tuition revenue, the greater is the pricing power. We gauge variation in the pricing power of private, non-profit baccalaureate colleges by estimating this…

  3. Oil price and the dollar

    International Nuclear Information System (INIS)

    Coudert, V.; Mignon, V.; Penot, A.

    2007-01-01

    Oil prices and the United States (US) dollar exchange rate are driving the evolution of the world economy. This paper investigated long-term relationships between oil prices and the US effective exchange rate. An empirical study was performed on oil prices and the dollar real effective exchange rate between 1974 to 2004. The impact of the dollar exchange rate was also explored, and the effects of oil prices on supply and demand were considered. A dynamic partial equilibrium framework study was evaluated in order to compare how other countries used revenues from oil exports in dollars. The study showed that both variables had similar evolutions when price fluctuations were low. Strong increases in the dollar were associated with lower oil prices. However, adjustment speeds of the dollar real effective exchange rate was slow. Co-integration and causality tests showed that oil prices influenced the exchange rate, and that the link between the 2 variables was transmitted through the country's net foreign asset position. It was concluded that higher oil prices improved US net foreign asset position in relation to other countries, and had a positive impact on dollar appreciation. 24 refs., 6 tabs., 1 fig

  4. 12 CFR 567.12 - Purchased credit card relationships, servicing assets, intangible assets (other than purchased...

    Science.gov (United States)

    2010-01-01

    ... assets, intangible assets (other than purchased credit card relationships and servicing assets), credit... credit card relationships, servicing assets, intangible assets (other than purchased credit card..., intangible assets (other than purchased credit card relationships and servicing assets), credit-enhancing...

  5. The pricing of bank debt guarantees

    NARCIS (Netherlands)

    Arping, S.

    2009-01-01

    We analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution framework. We show that the desirability of fair pricing of guarantees depends on the degree of transparency of the banking sector: in relatively opaque banking systems, fair

  6. Asset ownership and Asset Values Over Project Lifecycles

    OpenAIRE

    Professor Yong Kim; Univ. Southern California

    2004-01-01

    This paper develops a theory of outside ownership where such an ownership arrangement mitigates an external finance problem. Part of the gains from outside ownership accrue to asset owners which determines the asset value. The theory provides a context to analyze asset ownership and asset values over project lifecycles. When there are adjustment costs in realizing the full gains from outside ownership, (i) assets take time to peak in value, and (ii) the outsiders's share of asset ownership in...

  7. The complexity classification of intangible assets

    Directory of Open Access Journals (Sweden)

    Paula-Angela Vidrascu

    2013-03-01

    Full Text Available This paper tries to solve the complex problems of arising in the definition and delimitation of the intangible assets. Over time the technology develops and resizes continuously and along with it redefine in a very short time the theoretical and practical concepts of the economy. From the economic point of view an asset can be defined as a resource controlled by the enterprise as a result of past transactions or investments, and which is expected to generate future economic benefits. Intangible assets are the most important economic resources of an entity because in terms of their analysis of the technical, material and financial ñ of her evolution over time and the ability of continuous development. The main purpose of this article is to analyse the research carried out for the purposes of the definition and delimitation of intangible assets.

  8. Asset-Liability Management under time-varying Investment Opportunities

    OpenAIRE

    Ferstl, Robert; Weissensteiner, Alex

    2009-01-01

    In this paper, we propose multi-stage stochastic linear programming for asset-liability management under time-varying investment opportunities. We use a first-order unrestricted vector autoregressive process to model predictability in the asset returns and the state variables, where - additional to equity returns and dividend-price ratios - Nelson/Siegel parameters are included to account for the evolution of the yield curve. As objective function we minimize conditional value at risk of the ...

  9. Target Price Accuracy

    Directory of Open Access Journals (Sweden)

    Alexander G. Kerl

    2011-04-01

    Full Text Available This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio. However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

  10. Pricing of electricity in a time of change - some key issues

    International Nuclear Information System (INIS)

    Mostert, W.

    1995-01-01

    The paper covers four topics: (I) what does full cost coverage mean in the Eastern European power sector, (II) LRMC (Long Run Marginal Cost) pricing in regulated utilities versus free market prices; (III) limits to the internalization of external costs in fuel pricing, (IV) pricing of IPPs (Independent Power Producer). The paper argues that the tariff which allows full cost coverage in the Eastern European power sector should be defined as the minimum tariff which allows 30% self-financing of investments and a rate of return of at least 5% on invested assets. The appropriate level of self-financing relates to the appropriate capital structure of the company; the rate of return to the ability to attract finance in the long run. During the last twenty years there has been general consensus among power economists that the application of the LRMC pricing principle for the setting of tariffs was the best principle to ensure efficiency on both the demand as well as the supply side. In free markets involving TPA (Third Party Access) and spot markets, that principle can no longer be applied. In times of scarcity, prices will be above LMRC; in times of surplus capacity below LRMC. Economists have argued for years that external costs and benefits have to be ''internalized'' in tariffs and prices in order to provide consumers and investors with the right pricing principles

  11. Dynamic Pricing

    DEFF Research Database (Denmark)

    Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid

    2017-01-01

    Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...

  12. 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.

  13. Asset Inventory Database

    Data.gov (United States)

    US Agency for International Development — AIDM is used to track USAID assets such as furniture, computers, and equipment. Using portable bar code readers, receiving and inventory personnel can capture...

  14. Argentine Space Assets

    National Research Council Canada - National Science Library

    Oyarzabal, Xavier

    1997-01-01

    This thesis is an attempt to define how some of the commercial space assets already in use or under development could be useful to the Argentine Navy as tools for better accomplishment of their basic missions...

  15. Argentine Space Assets

    National Research Council Canada - National Science Library

    Oyarzabal, Xavier

    1997-01-01

    .... Research efforts involved investigating part of what is available on the international market and some space related international laws and policies that may represent limits for military use of civilian assets...

  16. IT Asset Management System -

    Data.gov (United States)

    Department of Transportation — ITAMS provides a web frontend for the managing of all HW Assets lifecycle data purchased by ATO since 2006. In addition it contains much of our Enterprise SW license...

  17. Price fairness

    OpenAIRE

    Diller, Hermann

    2013-01-01

    Purpose – The purpose of this article is to integrate the various strands of fair price research into a concise conceptual model. Design/methodology/approach – The proposed price fairness model is based on a review of the fair pricing literature, incorporating research reported in not only English but also German. Findings – The proposed fair price model depicts seven components of a fair price: distributive fairness, consistent behaviour, personal respect and regard for the partner, fair dea...

  18. Solar Asset Management Software

    Energy Technology Data Exchange (ETDEWEB)

    Iverson, Aaron [Ra Power Management, Inc., Oakland, CA (United States); Zviagin, George [Ra Power Management, Inc., Oakland, CA (United States)

    2016-09-30

    Ra Power Management (RPM) has developed a cloud based software platform that manages the financial and operational functions of third party financed solar projects throughout their lifecycle. RPM’s software streamlines and automates the sales, financing, and management of a portfolio of solar assets. The software helps solar developers automate the most difficult aspects of asset management, leading to increased transparency, efficiency, and reduction in human error. More importantly, our platform will help developers save money by improving their operating margins.

  19. 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

  20. RAPID: Collaborative Commanding and Monitoring of Lunar Assets

    Science.gov (United States)

    Torres, Recaredo J.; Mittman, David S.; Powell, Mark W.; Norris, Jeffrey S.; Joswig, Joseph C.; Crockett, Thomas M.; Abramyan, Lucy; Shams, Khawaja S.; Wallick, Michael; Allan, Mark; hide

    2011-01-01

    RAPID (Robot Application Programming Interface Delegate) software utilizes highly robust technology to facilitate commanding and monitoring of lunar assets. RAPID provides the ability for intercenter communication, since these assets are developed in multiple NASA centers. RAPID is targeted at the task of lunar operations; specifically, operations that deal with robotic assets, cranes, and astronaut spacesuits, often developed at different NASA centers. RAPID allows for a uniform way to command and monitor these assets. Commands can be issued to take images, and monitoring is done via telemetry data from the asset. There are two unique features to RAPID: First, it allows any operator from any NASA center to control any NASA lunar asset, regardless of location. Second, by abstracting the native language for specific assets to a common set of messages, an operator may control and monitor any NASA lunar asset by being trained only on the use of RAPID, rather than the specific asset. RAPID is easier to use and more powerful than its predecessor, the Astronaut Interface Device (AID). Utilizing the new robust middleware, DDS (Data Distribution System), developing in RAPID has increased significantly over the old middleware. The API is built upon the Java Eclipse Platform, which combined with DDS, provides platform-independent software architecture, simplifying development of RAPID components. As RAPID continues to evolve and new messages are being designed and implemented, operators for future lunar missions will have a rich environment for commanding and monitoring assets.

  1. Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

    OpenAIRE

    Kevin Sheppard; Lily Liu; Andrew J. Patton

    2013-01-01

    We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so-called "realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider almost 400 different estimators, applied to 11 years of data on 31 different financial assets spanning five asset classes, including equities, equity indices, exchange rates and interest rates. We apply data-based ranking methods to the realized measures and ...

  2. 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, ...

  3. 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...

  4. 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)

  5. 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

  6. Thar SHE Blows? Gender, Competition, and Bubbles in Experimental Asset Markets

    NARCIS (Netherlands)

    Eckel, C.C.; Füllbrunn, S.C.

    2015-01-01

    Do women and men behave differently in financial asset markets? Our results from an asset market experiment using the Smith, Suchaneck, and Williams (1988) framework show marked gender difference in producing speculative price bubbles. Using 35 markets from different studies, a meta-analysis

  7. Regularity of the exercise boundary for American put options on assets with discrete dividends

    NARCIS (Netherlands)

    Jourdain, B.; Vellekoop, M.

    2009-01-01

    We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time td during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a

  8. Price Discrimination and Resale: A Classroom Experiment

    Science.gov (United States)

    Basuchoudhary, Atin; Metcalf, Christopher; Pommerenke, Kai; Reiley, David; Rojas, Christian; Rostek, Marzena; Stodder, James

    2008-01-01

    The authors present a classroom experiment designed to illustrate key concepts of third-degree price discrimination. By participating as buyers and sellers, students actively learn (1) how group pricing differs from uniform pricing, (2) how resale between buyers limits a seller's ability to price discriminate, and (3) how preventing price…

  9. Effective use of the income trust as a vehicle to monetize pipeline assets

    International Nuclear Information System (INIS)

    Stedman, W. R.

    1998-01-01

    The application of the income trust structure as a method of financing pipeline and other long-life assets was explored. The case of Pembina Pipeline Corporation was used to illustrate the use of this method of financing. In this case, the assets of Pembina Pipeline were sold to the Pembina Pipeline Income Trust, with significant advantages afforded to the vendor, the issuer, and ultimately the individual investor. The success of income funds is based on the investor's willingness to use a yield type valuation methodology, as opposed to traditional price/earnings or price/cash flow methodologies. Such funds are characterized by stability of the underlying business, including the ability to handle high payout ratios, and minimization of the overall tax burden, since corporate taxes are lessened as part of the capitalization structure. The objective of income trust funds is to distribute operating cash flow directly to investors while minimizing income taxes at the corporate income level through the creation of the subordinated debt and common equity. The value is created by the tax efficiency inherent in the system, as interest expense on the notes is used to shield taxable income in the operating company. The process of creating the Pembina Pipelines Income Trust Fund was described to demonstrate the application of the structure

  10. THE MAIN QUESTION OF FIXED ASSETS

    Directory of Open Access Journals (Sweden)

    Kogan A. B.

    2015-03-01

    Full Text Available The article deals with the methods of selecting the best type of fixed assets (real investment. Explore the current situation where the investor has to compare the different-parametrical alternatives (DPA. The DPA are the fixed assets which have similar functions, but different in price, durability and periodic effects. In the general case the DPA are the investment projects which have different amounts of investment, accounting periods and net cash flow. Net present value (NPV and internal rate of return (IRR are criticized. The author describes his indicator «speed index of unit value increase» (IS. The author proves on numerical examples that the economy, the subjects of which use IS instead of NPV and IRR, has accelerated the pace of development.

  11. Price Discrimination

    OpenAIRE

    Armstrong, M.

    2008-01-01

    This paper surveys recent economic research on price discrimination, both in monopoly and oligopoly markets. Topics include static and dynamic forms of price discrimination, and both final and input markets are considered. Potential antitrust aspects of price discrimination are highlighted throughout the paper. The paper argues that the informational requirements to make accurate policy are very great, and with most forms of price discrimination a laissez-faire policy may be the best availabl...

  12. Transfer Pricing

    OpenAIRE

    Larsen, Mads Grenaa; Nørgaard, Mads Frid; Hansen, Manjarita

    2013-01-01

    This project seeks to highlight some of the criticisms given towards the OECD Transfer Pricing Guidelines and the challenges Danish companies experience by pricing their goods and the problems this causes for trade. The project is based on a series of interviews that represent the different agents who are operating in Transfer Pricing business. These interviews, combined with the Transfer Pricing Guidelines, gives us the basis to analyse the challenges we want to clarify based on the hypothes...

  13. Hidden vs. known gender effects in experimental asset markets

    NARCIS (Netherlands)

    Eckel, C.C.; Füllbrunn, S.C.

    2017-01-01

    Eckel and Füllbrunn (2015) report a striking gender effect in experimental asset markets: Markets with only men produce substantial price bubbles while markets with only women sometimes produce negative bubbles. A possible explanation might be that common expectations about the behavior of men and

  14. Gold prices

    OpenAIRE

    Joseph G. Haubrich

    1998-01-01

    The price of gold commands attention because it serves as an indicator of general price stability or inflation. But gold is also a commodity, used in jewelry and by industry, so demand and supply affect its pricing and need to be considered when gold is a factor in monetary policy decisions.

  15. The ability of battery second use strategies to impact plug-in electric vehicle prices and serve utility energy storage applications

    Science.gov (United States)

    Neubauer, Jeremy; Pesaran, Ahmad

    The high cost of lithium ion batteries is a major impediment to the increased market share of plug-in hybrid electric vehicles (PHEVs) and full electric vehicles (EVs). The reuse of PHEV/EV propulsion batteries in second use applications following the end of their automotive service life may have the potential to offset the high initial cost of these batteries today. Accurately assessing the value of such a strategy is exceedingly complex and entails many uncertainties. This paper takes a first step toward such an assessment by estimating the impact of battery second use on the initial cost of PHEV/EV batteries to automotive consumers and exploring the potential for grid-based energy storage applications to serve as a market for used PHEV/EV batteries. It is found that although battery second use is not expected to significantly affect today's PHEV/EV prices, it has the potential to become a common component of future automotive battery life cycles and potentially to transform markets in need of cost-effective energy storage. Based on these findings, the authors advise further investigation focused on forecasting long-term battery degradation and analyzing second-use applications in more detail.

  16. Accounting for Excess Purchase Price: Goodwill or Expense? Instructional Issues.

    Science.gov (United States)

    Reed, Ronald O.; Elsea, John; Lilly, Martha S.

    2000-01-01

    Presents the issue of the accounting practice used when a business is acquired by another for a price exceeding its net assets. Discusses implications for instruction in financial accounting. (Contains 25 references.) (SK)

  17. Bank Lending and Property Prices in Hong Kong

    OpenAIRE

    Gerlach, Stefan; Peng, Wensheng

    2004-01-01

    This paper studies the relationship between residential property prices and lending in Hong Kong. This is an interesting topic for three reasons. First, swings in property prices have been extremely large and frequent in Hong Kong. Second, under the currency board regime, monetary policy can not be used to guard against asset price swings. Third, despite the collapse in property prices since 1998, the banking sector remains sound. While the contemporaneous correlation between lending and prop...

  18. Ethnic diversity deflates price bubbles.

    Science.gov (United States)

    Levine, Sheen S; Apfelbaum, Evan P; Bernard, Mark; Bartelt, Valerie L; Zajac, Edward J; Stark, David

    2014-12-30

    Markets are central to modern society, so their failures can be devastating. Here, we examine a prominent failure: price bubbles. Bubbles emerge when traders err collectively in pricing, causing misfit between market prices and the true values of assets. The causes of such collective errors remain elusive. We propose that bubbles are affected by ethnic homogeneity in the market and can be thwarted by diversity. In homogenous markets, traders place undue confidence in the decisions of others. Less likely to scrutinize others' decisions, traders are more likely to accept prices that deviate from true values. To test this, we constructed experimental markets in Southeast Asia and North America, where participants traded stocks to earn money. We randomly assigned participants to ethnically homogeneous or diverse markets. We find a marked difference: Across markets and locations, market prices fit true values 58% better in diverse markets. The effect is similar across sites, despite sizeable differences in culture and ethnic composition. Specifically, in homogenous markets, overpricing is higher as traders are more likely to accept speculative prices. Their pricing errors are more correlated than in diverse markets. In addition, when bubbles burst, homogenous markets crash more severely. The findings suggest that price bubbles arise not only from individual errors or financial conditions, but also from the social context of decision making. The evidence may inform public discussion on ethnic diversity: it may be beneficial not only for providing variety in perspectives and skills, but also because diversity facilitates friction that enhances deliberation and upends conformity.

  19. Defining ecosystem assets for natural capital accounting

    Science.gov (United States)

    Hein, Lars; Bagstad, Kenneth J.; Edens, Bram; Obst, Carl; de Jong, Rixt; Lesschen, Jan Peter

    2016-01-01

    In natural capital accounting, ecosystems are assets that provide ecosystem services to people. Assets can be measured using both physical and monetary units. In the international System of Environmental-Economic Accounting, ecosystem assets are generally valued on the basis of the net present value of the expected flow of ecosystem services. In this paper we argue that several additional conceptualisations of ecosystem assets are needed to understand ecosystems as assets, in support of ecosystem assessments, ecosystem accounting and ecosystem management. In particular, we define ecosystems’ capacity and capability to supply ecosystem services, as well as the potential supply of ecosystem services. Capacity relates to sustainable use levels of multiple ecosystem services, capability involves prioritising the use of one ecosystem service over a basket of services, and potential supply considers the ability of ecosystems to generate services regardless of demand for these services. We ground our definitions in the ecosystem services and accounting literature, and illustrate and compare the concepts of flow, capacity, capability, and potential supply with a range of conceptual and real-world examples drawn from case studies in Europe and North America. Our paper contributes to the development of measurement frameworks for natural capital to support environmental accounting and other assessment frameworks.

  20. Defining Ecosystem Assets for Natural Capital Accounting.

    Science.gov (United States)

    Hein, Lars; Bagstad, Ken; Edens, Bram; Obst, Carl; de Jong, Rixt; Lesschen, Jan Peter

    2016-01-01

    In natural capital accounting, ecosystems are assets that provide ecosystem services to people. Assets can be measured using both physical and monetary units. In the international System of Environmental-Economic Accounting, ecosystem assets are generally valued on the basis of the net present value of the expected flow of ecosystem services. In this paper we argue that several additional conceptualisations of ecosystem assets are needed to understand ecosystems as assets, in support of ecosystem assessments, ecosystem accounting and ecosystem management. In particular, we define ecosystems' capacity and capability to supply ecosystem services, as well as the potential supply of ecosystem services. Capacity relates to sustainable use levels of multiple ecosystem services, capability involves prioritising the use of one ecosystem service over a basket of services, and potential supply considers the ability of ecosystems to generate services regardless of demand for these services. We ground our definitions in the ecosystem services and accounting literature, and illustrate and compare the concepts of flow, capacity, capability, and potential supply with a range of conceptual and real-world examples drawn from case studies in Europe and North America. Our paper contributes to the development of measurement frameworks for natural capital to support environmental accounting and other assessment frameworks.

  1. Defining Ecosystem Assets for Natural Capital Accounting

    Science.gov (United States)

    Hein, Lars; Bagstad, Ken; Edens, Bram; Obst, Carl; de Jong, Rixt; Lesschen, Jan Peter

    2016-01-01

    In natural capital accounting, ecosystems are assets that provide ecosystem services to people. Assets can be measured using both physical and monetary units. In the international System of Environmental-Economic Accounting, ecosystem assets are generally valued on the basis of the net present value of the expected flow of ecosystem services. In this paper we argue that several additional conceptualisations of ecosystem assets are needed to understand ecosystems as assets, in support of ecosystem assessments, ecosystem accounting and ecosystem management. In particular, we define ecosystems’ capacity and capability to supply ecosystem services, as well as the potential supply of ecosystem services. Capacity relates to sustainable use levels of multiple ecosystem services, capability involves prioritising the use of one ecosystem service over a basket of services, and potential supply considers the ability of ecosystems to generate services regardless of demand for these services. We ground our definitions in the ecosystem services and accounting literature, and illustrate and compare the concepts of flow, capacity, capability, and potential supply with a range of conceptual and real-world examples drawn from case studies in Europe and North America. Our paper contributes to the development of measurement frameworks for natural capital to support environmental accounting and other assessment frameworks. PMID:27828969

  2. Creative communities, creative assets: exploring methods of mapping community assets

    OpenAIRE

    Greene, Catherine; Alevizou, Giota; Ramster, Gail; Alexiou, Katerina; Zamenopoulos, Theo; Outten, Alan; Corzannelli, Cristina

    2013-01-01

    Asset mapping, a method for unearthing and visually representing an individual’s or a community's assets, has been used in the context of planning and creative industries. The goal of this workshop is to bring together stakeholders from diverse backgrounds and practices to discuss and generate outcomes that make use of different perspectives of asset mapping methodologies. At the core of activities, facilitators will demonstrate the ways in which asset mapping has been used with community gro...

  3. Pricing of Contracts for Difference in the Nordic market

    International Nuclear Information System (INIS)

    Kristiansen, T.

    2004-01-01

    The purpose of this paper is to give an introduction to, and a pricing analysis of a new forward locational price differential product, Contracts for Difference (CfD), introduced the 17th of November 2000 at Nord Pool - the Nordic electricity exchange. To our knowledge there is no literature available of how the Nordic CfDs are priced. The CfD is a forward market product with reference to the difference between the future seasonal Area Price and System Price. By using available historical trading prices and spot prices for four seasonal contracts and one yearly contract, we analyze the relationships between the contract prices and the value of the underlying asset. For the first four seasonal contracts it appears that CfDs traded at Nord Pool are mostly over-priced relative to the underlying asset. Pricing theory for forward contracts explains this by the presence of a majority of risk-averse consumers who are willing to pay a risk premium for receiving the future price differential. We utilize statistical analysis with regard to the contract prices and the underlying asset, and find some interesting relationships. The analysis is preliminary due to the fact that the CfD market is relatively new. (Author)

  4. The 1998 annual: Focusing on asset quality

    International Nuclear Information System (INIS)

    1998-01-01

    Operational and financial activities of Newport Petroleum Corporation during fiscal year 1998 are reviewed. Despite the low oil prices, and the consequent reduction in industry activity and financial results, the Company continued to focus on high quality assets. The Company improved its proved and probable reserves by 21.3 million barrels of oil equivalent, increasing its reserve life index to over 10 years. Reserve addition costs in 1998 were a competitive $ 7.08 per barrel of oil equivalent. The Company produced more than 20,000 barrels of oil equivalent per day, generating revenue of $ 141 million. The Company acquired an interest in the Caroline Gas Unit for $ 165 million late in 1998 and experienced success with the drilling of two wells. At year end, reserves of approx. 575 bcf of raw gas in place were attributed to this area. New light oil discoveries were made in the Rigel area of northern British Columbia and the Shiningbank area of west-central Alberta. Both properties have significant development potential. While share price performance was essentially flat for the year, the target remains to add value on a per share basis over the long term. The outlook for natural gas appears to be positive, with markets expected to be robust with prices tracking supply/demand fundamentals. The completion of additional pipeline capacity from Alberta into U.S. markets has resulted in a lowering of the differential to U.S. prices, and as a result, it appears that pricing in western Canada will improve in the next several years. Although the outlook for oil prices remains uncertain, with recent OPEC commitments to curtail volumes, there is reason for cautious optimism. Overall, the Company is confident that it has the financial strength to not only weather an extended period of oil price weakness, but to continue to expand its activity levels and prosper

  5. 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.

  6. Derivative pricing with liquidity risk : Theory and evidence from the credit default swap market

    NARCIS (Netherlands)

    Bongaerts, D.; de Jong, F.C.J.M.; Driessen, J.J.A.G.

    2011-01-01

    We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of

  7. Managing municipal infrastructure assets

    CSIR Research Space (South Africa)

    Wall, K

    2006-01-01

    Full Text Available and critical analysis of good practice. But, above all, there is a need for a national strategy to ensure that municipal infrastructure assets deliver services to specification for the whole of their design lives – and for the carrying through of this strategy...

  8. Managing intangible assets

    NARCIS (Netherlands)

    Schoemaker, M.J.R.; Jonker, J.

    2005-01-01

    - Purpose – To develop a concept of managing intangible assets in contemporary organisations. Insight is given into the rise of the network organisation and the importance of talent, social capital and identity in this kind of organisation. - Design/methodology/approach – This paper develops a

  9. 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...

  10. 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...

  11. 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

  12. Real Assets and Capital Structure

    NARCIS (Netherlands)

    Campello, M.; Giambona, E.

    2013-01-01

    We characterize the relation between asset structure and capital structure by exploiting variation in the salability of corporate assets. To establish this link, we distinguish across different assets in firms’ balance sheets (machinery, land, and buildings) and use an instrumental approach that

  13. Transfer Pricing

    DEFF Research Database (Denmark)

    Rohde, Carsten; Rossing, Christian Plesner

    trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...... the determination of transfer price will affect the size of the profit or loss in the organizational units and thus have an impact on the evaluation of managers‟ performance. In some instances the determination of transfer prices may lead to a disagreement between coordination of the organizational units...

  14. Hedging electricity price volatility using nuclear power

    International Nuclear Information System (INIS)

    Mari, Carlo

    2014-01-01

    Highlights: • Nuclear power is an important asset to reduce the volatility of electricity prices. • Unpredictability of fossil fuels and carbon prices makes power prices very volatile. • The dynamics of fossil fuels and carbon prices is described by Brownian motions. • LCOE values, volatilities and correlations are obtained via Monte Carlo simulations. • Optimal portfolios of generating technologies are get using a mean–variance approach. - Abstract: The analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified “portfolios” of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean–variance approach

  15. Export chip prices as a proxy for nonsawtimber prices in the Pacific Northwest.

    Science.gov (United States)

    Gwenlyn M. Busby

    2006-01-01

    Forest-land managers use price data and market analysis to form expectations and make informed management decisions. There is an abundance of price data for sawtimber, but for nonsawtimber, the availability of price data is limited. This constrains the ability of forest-land managers to form reasonable price expectations for stands that contain both sawtimber and...

  16. Asset management program

    Energy Technology Data Exchange (ETDEWEB)

    Wison, P.; Newman, G. [Bruce Power, Tiverton, Ontario (Canada)

    2013-07-01

    In order to understand our assets we have been assessing the condition of the units in our nuclear power plants developing asset life management options on a component by component basis. We have concluded that with the right work and planning we will be able to manage the units in a way that balances capacity requirements over the long term and at the same time manage the demand on critical resources. Major component replacement outages include Installing/removing bulkheads, pressure tube and calandria tube replacement, feeder replacement, steam generator replacement, supporting facilities and infrastructure, reactor inspections and maintenance including tooling enhancements, additional non reactor systems inspection & testing and continued research and analysis. These plans will have to take into account cost, resource and capacity requirements.

  17. Asset management program

    International Nuclear Information System (INIS)

    Wison, P.; Newman, G.

    2013-01-01

    In order to understand our assets we have been assessing the condition of the units in our nuclear power plants developing asset life management options on a component by component basis. We have concluded that with the right work and planning we will be able to manage the units in a way that balances capacity requirements over the long term and at the same time manage the demand on critical resources. Major component replacement outages include Installing/removing bulkheads, pressure tube and calandria tube replacement, feeder replacement, steam generator replacement, supporting facilities and infrastructure, reactor inspections and maintenance including tooling enhancements, additional non reactor systems inspection & testing and continued research and analysis. These plans will have to take into account cost, resource and capacity requirements.

  18. 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.

  19. Digital asset management.

    Science.gov (United States)

    Humphrey, Clinton D; Tollefson, Travis T; Kriet, J David

    2010-05-01

    Facial plastic surgeons are accumulating massive digital image databases with the evolution of photodocumentation and widespread adoption of digital photography. Managing and maximizing the utility of these vast data repositories, or digital asset management (DAM), is a persistent challenge. Developing a DAM workflow that incorporates a file naming algorithm and metadata assignment will increase the utility of a surgeon's digital images. Copyright 2010 Elsevier Inc. All rights reserved.

  20. Financing Durable Assets

    OpenAIRE

    Adriano Rampini

    2015-01-01

    This paper studies the financing of durable assets in a model with collateral constraints due to limited enforcement. Durability affects the ease of financing. Specifically, we show that more durable capital requires a larger down payment of internal funds per unit of capital making it harder to finance. Thus, financial constraints have a bigger impact on purchases of more durable capital, such as land, structures, and durable equipment. This basic insight has implications for the choice betw...

  1. Organizations must match assets

    International Nuclear Information System (INIS)

    Carley, G.R.

    1991-01-01

    The unprofitable state of the Canadian oil industry, the adverse economic environment, the difficulty of finding capital, and the diminishing resources of conventional lighter crude oil make it necessary for Canadian oil companies to match their organizations and their financing to their assets. This is illustrated according to the experience of Saskoil, a Saskatchewan oil and gas company. An increasing production of oil and natural gas, and an increasing amount of new oil production as heavy oil, led to organizational changes such as the purchase of an asphalt plant to provide the company with downstream experience, establishing a working group to explore and develop heavy oil resources, and forming a company to manage non-core assets. The latter company, Pasqua Resources, manages assets such as small properties and ownership interests in order to increase the operating efficiency of Saskoil. Pasqua provides Saskoil with a corporate and organizational vehicle to accommodate partnerships and joint venture capital invested in property purchase opportunities, and to manage any of Saskoil's divestiture activities

  2. 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 ...

  3. Petroleum price

    International Nuclear Information System (INIS)

    Chevallier, B.

    2009-01-01

    The 'AFTP' conference on 'petroleum prices' organized by Total last March, tries to explain the different aspects of the crisis we undergo for July 2007 and its consequential effects on the petroleum markets (supply, demand evolvements, impacts on reserves, prices, refining...). (O.M.)

  4. Energies prices

    International Nuclear Information System (INIS)

    2005-08-01

    This document offers a synthesis of the tariffs and the energies prices in august 2005 in Paris, compared with the years 2003 and 2004. This sectoral presentation (transports, houses, industry) provides thus statistics on the prices of fuels, heating, propane, coal, wood fuels, electric power and gas. (A.L.B.)

  5. Transfer Pricing

    DEFF Research Database (Denmark)

    Rohde, Carsten; Rossing, Christian Plesner

    trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...

  6. 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.

  7. Transfer Pricing

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo

    2014-01-01

    Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE has...... a production subsidiary in one country, from where it sells the produced good locally as well as to a sales subsidiary in a second country. The latter subsidiary is engaged in duopolistic competition with a local competitor. The MNE has two aims in setting the transfer price: strategic delegation and tax...... minimization. We examine the extent to which the four transfer pricing regimes we set up allow the MNE to pursue these aims. While neither strategic delegation nor tax minimization will be eliminated, trade-offs are inevitable, albeit to varying degree....

  8. Transfer Pricing

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo

    2014-01-01

    a production subsidiary in one country, from where it sells the produced good locally as well as to a sales subsidiary in a second country. The latter subsidiary is engaged in duopolistic competition with a local competitor. The MNE has two aims in setting the transfer price: strategic delegation and tax......Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE has...... minimization. We examine the extent to which the four transfer pricing regimes we set up allow the MNE to pursue these aims. While neither strategic delegation nor tax minimization will be eliminated, trade-offs are inevitable, albeit to varying degree....

  9. 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

  10. Price Uncertainty in Linear Production Situations

    NARCIS (Netherlands)

    Suijs, J.P.M.

    1999-01-01

    This paper analyzes linear production situations with price uncertainty, and shows that the corrresponding stochastic linear production games are totally balanced. It also shows that investment funds, where investors pool their individual capital for joint investments in financial assets, fit into

  11. Pricing variable annuity guarantees in South Africa under a ...

    African Journals Online (AJOL)

    Pricing variable annuity guarantees in South Africa under a Variance-Gamma model. AM Ngugi, Eben Maré, R Kufakunesu. Abstract. The purpose of this study is to investigate the pricing of variable annuity embedded derivatives using a suitably refined model for the underlying assets, in this case the Johannesburg ...

  12. exchange rate pass-through to import and consumer prices

    African Journals Online (AJOL)

    Eyerusalem

    Ethiopian Journal of Economics, Vol XXI No 2, October 2012. 95. However, exchange rates are by definition the relative prices of currencies and are endogenous variables in which their value gets determined within a general equilibrium context, alongside other asset prices. (Campa et al., 2005:3). The second strand of ...

  13. Gas prices and price process

    International Nuclear Information System (INIS)

    Groenewegen, G.G.

    1992-01-01

    On a conference (Gas for Europe in the 1990's) during the Gasexpo '91 the author held a speech of which the Dutch text is presented here. Attention is paid to the current European pricing methods (prices based on the costs of buying, transporting and distributing the natural gas and prices based on the market value, which is deducted from the prices of alternative fuels), and the transparency of the prices (lack of information on the way the prices are determined). Also attention is paid to the market signal transparency and gas-gas competition, which means a more or less free market of gas distribution. The risks of gas-to-gas competition for a long term price stability, investment policies and security of supply are discussed. Opposition against the Third Party Access (TPA), which is the program to implement gas-to-gas competition, is caused by the fear of natural gas companies for lower gas prices and lower profits. Finally attention is paid to government regulation and the activities of the European Commission (EC) in this matter. 1 fig., 6 ills., 1 tab

  14. Spikes and memory in (Nord Pool) electricity price spot prices

    DEFF Research Database (Denmark)

    Proietti, Tomasso; Haldrup, Niels; Knapik, Oskar

    from the normal price, where the latter is defined as the expectation arising from a model accounting for long memory at the zero and at the weekly seasonal frequencies, given the knowledge of the past realizations. Hence, a spike is associated to a time series innovation with size larger than......Electricity spot prices are subject to transitory sharp movements commonly referred to as spikes. The paper aims at assessing their effects on model based inferences and predictions, with reference to the Nord Pool power exchange. We identify a spike as a price value which deviates substantially...... a specified threshold. The latter regulates the robustness of the estimates of the underlying price level and it is chosen by a data driven procedure that focuses on the ability to predict future prices. The normal price is computed by a modified Kalman filter, which robustifies the inferences by cleaning...

  15. Price increase

    CERN Multimedia

    2006-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced, as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  16. Price increase

    CERN Multimedia

    2005-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  17. 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.

  18. Option price calibration from Renyi entropy

    International Nuclear Information System (INIS)

    Brody, Dorje C.; Buckley, Ian R.C.; Constantinou, Irene C.

    2007-01-01

    The calibration of the risk-neutral density function for the future asset price, based on the maximisation of the entropy measure of Renyi, is proposed. Whilst the conventional approach based on the use of logarithmic entropy measure fails to produce the observed power-law distribution when calibrated against option prices, the approach outlined here is shown to produce the desired form of the distribution. Procedures for the maximisation of the Renyi entropy under constraints are outlined in detail, and a number of interesting properties of the resulting power-law distributions are also derived. The result is applied to efficiently evaluate prices of path-independent derivatives

  19. Transfer pricing file- a contextualized Approach. Case Study

    Directory of Open Access Journals (Sweden)

    M. Boiţă

    2013-12-01

    Full Text Available The transfer price is basically the price used for transfer of tangible and intangible assets between related parties and it should be determined on the basis of market value without being influenced by the relationship of affiliation. However, if for services or tangible assets, the comparison of the transfer price to the market one is relatively easy to achieve, for the intangible ones, quantifying future benefits waived by the affiliated person compared to the situation in which it would be independent is harder to be established.

  20. 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.

  1. Pricing Virtual Paths with Quality-of-Service Guarantees as Bundle Derivatives

    OpenAIRE

    Rasmusson, Lars

    2001-01-01

    We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that is useful for pricing linear derivatives on underlying assets, which can be used to price many complex network services, and it is used to price an option that gives access to one of several virtual channels between two network nodes, ...

  2. Pricing perpetual American options under multiscale stochastic elasticity of variance

    International Nuclear Information System (INIS)

    Yoon, Ji-Hun

    2015-01-01

    Highlights: • We study the effects of the stochastic elasticity of variance on perpetual American option. • Our SEV model consists of a fast mean-reverting factor and a slow mean-revering factor. • A slow scale factor has a very significant impact on the option price. • We analyze option price structures through the market prices of elasticity risk. - Abstract: This paper studies pricing the perpetual American options under a constant elasticity of variance type of underlying asset price model where the constant elasticity is replaced by a fast mean-reverting Ornstein–Ulenbeck process and a slowly varying diffusion process. By using a multiscale asymptotic analysis, we find the impact of the stochastic elasticity of variance on the option prices and the optimal exercise prices with respect to model parameters. Our results enhance the existing option price structures in view of flexibility and applicability through the market prices of elasticity risk

  3. A Countrywide House Price Index for 152 Years

    DEFF Research Database (Denmark)

    Lunde, Jens; Helding Madsen, Anders; Lundbæk Laursen, Maria

    The presented house price index for Denmark from 1860 to 2012 has been constructed by analysing already published data from Statistics Denmark. Houses are heterogeneous assets, and nowadays they differ in many aspects from houses in 1860. Due to improved building quality, urbanization...... for Herengracht (the Netherlands), Norway, USA, France, and recently also Australia. Until now, the here presented house price index for Denmark is the longest countrywide house price index ever been published, based on official data, and qualitatively probably the best long house price index....... in house prices is depicted. The Danish house price index covering all the 152 years is in reality a simple average sale price index for houses. From 1920 on it was possible to construct another and a “pure” house price index, based on the Sales Price Appraisal Ratio (SPAR) method. Several challenges...

  4. Freemium Pricing

    DEFF Research Database (Denmark)

    Runge, Julian; Wagner, Stefan; Claussen, Jörg

    Firms commonly run field experiments to improve their freemium pricing schemes. However, they often lack a framework for analysis that goes beyond directly measurable outcomes and focuses on longer term profit. We aim to fill this gap by structuring existing knowledge on freemium pricing...... into a stylized framework. We apply the proposed framework in the analysis of a field experiment that contrasts three variations of a freemium pricing scheme and comprises about 300,000 users of a software application. Our findings indicate that a reduction of free product features increases conversion as well...... as viral activity, but reduces usage – which is in line with the framework’s predictions. Additional back-of-the-envelope profit estimations suggest that managers were overly optimistic about positive externalities from usage and viral activity in their choice of pricing scheme, leading them to give too...

  5. Petroleum price

    International Nuclear Information System (INIS)

    Maurice, J.

    2001-01-01

    The oil market is the most volatile of all markets, with the exception of the Nasdaq. It is also the biggest commodity market in the world. Therefore one cannot avoid forecasting oil prices, nor can one expect to avoid the forecasting errors that have been made in the past. In his report, Joel Maurice draws a distinction between the short term and the medium-long term in analysing the outlook for oil prices. (author)

  6. 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.

  7. Asset pricing puzzles explained by incomplete Brownian equilibria

    DEFF Research Database (Denmark)

    Christensen, Peter Ove; Larsen, Kasper

    time interval in a money market account as well as a risky security. Besides establishing the existence of an equilibrium, our main result shows that the resulting equilibrium can display a lower risk-free rate and a higher risk premium relative to the usual Pareto efficient equilibrium in complete...

  8. THE IMPACT OF GLOBAL AGING ON ASSET PRICES AND RETURNS

    Directory of Open Access Journals (Sweden)

    Mihail Dumitru SACALĂ

    2012-04-01

    Full Text Available Numerous studies have tried to model the connection between the structure of population and the financial markets, showing the possibility of a future meltdown in the financial markets, via lower savings and investments given the reaching of the baby-boom cohorts at the age of retirement. In general the research has focused on the case of more industrialized countries, where the aging phenomenon is more felt in the present. The case of Central and Eastern European countries was somehow left aside, although the issue of aging should be an important one, considering also the current state of developing CEE capital markets. Our empirical work, based on the Romanian experience, suggests also that the demographic dynamics have had a detectable impact on the domestic stock market.

  9. Stochastic Dominance in Portfolio Analysis and Asset Pricing

    NARCIS (Netherlands)

    A.M. Lizyayev (Andrey)

    2010-01-01

    textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes such as portfolio returns to be ranked, by utilizing the full information about the distribution of the returns, in contrast to the mean-variance rule or other mean-risk models which only use a single

  10. 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

  11. Imperfect Knowledge, Asset Price Swings, and Structural Slumps

    DEFF Research Database (Denmark)

    Juselius, Katarina

    2013-01-01

    This paper discusses interactions between speculative behavior in the currency markets and aggregate fluctuations in the real economy. It builds on the Structural Slumps theory in Phelps (1994) and the recent theory of Imperfect Knowledge Economics in Frydman and Goldberg (2007). The former...

  12. Imperfect Knowledge, Asset Price Swings and Structural Slumps

    DEFF Research Database (Denmark)

    Juselius, Katarina

    This paper is an empirically based discussion of interactions between speculative behavior in the currency markets and aggregate fluctuations in the real economy. It builds on the recent theory of Imperfect Knowledge Economics in Frydman and Goldberg (2007) and combines this with the Structural...

  13. Evaluation Periods and Asset Prices in a Market Experiment

    NARCIS (Netherlands)

    Gneezy, U.; Kapteyn, A.; Potters, J.J.M.

    2002-01-01

    We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change it influence her risk attitude in markets.In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), we find that more

  14. Heterogeneous Agent Model with Memory and Asset Price Behaviour

    Czech Academy of Sciences Publication Activity Database

    Vošvrda, Miloslav; Vácha, Lukáš

    2003-01-01

    Roč. 12, č. 2 (2003), s. 155-168 ISSN 1210-0455 R&D Projects: GA ČR GA402/00/0439; GA ČR GA402/01/0034 Institutional research plan: CEZ:AV0Z1075907 Keywords : efficient markets hypothesis * technical trading rules * heterogeneous agent model with memory and learning Subject RIV: AH - Economics

  15. Liquidity and price discovery in real estate assets

    NARCIS (Netherlands)

    de Wit, E.R.

    2011-01-01

    This dissertation covers three empirical essays on the housing market. Although we limit ourselves to the housing market, the findings might be relevant for other sectors of the real estate market or any other market that is characterized by illiquidity, indivisibility of goods and a high level of

  16. Capital asset pricing model and variable behaviour in the Nigerian ...

    African Journals Online (AJOL)

    This study establishes that there are positive relationships between CAPM's expected return, risks and risk premium. The zero value of the intercept term has been tested in most capital markets the world over. Research results of analysed data of the risk-free rate of return, Rf, calculated β, expected market return, Rm ...

  17. Habit-based Asset Pricing with Limited Participation Consumption

    DEFF Research Database (Denmark)

    Bach, Christian; Møller, Stig Vinther

    aggregate consumption series commonly used in the CCAPM literature. We show that assetholder consumption outperforms non-assetholder and aggregate consumption data in explaining bond returns, bond yields, and the volatility of bond yields. We further show that the high volatility of assetholder consumption...... enables the model to explain the equity premium puzzle and the risk-free rate puzzle simultaneously for a reasonable value of relative risk aversion....

  18. Habit-based asset pricing with limited participation consumption

    DEFF Research Database (Denmark)

    Møller, Stig Vinther; Bach, Christian

    2011-01-01

    aggregate consumption series commonly used in the CCAPM literature. We show that assetholder consumption outperforms non-assetholder and aggregate consumption data in explaining bond returns, bond yields, and the volatility of bond yields. We further show that the high volatility of assetholder consumption...... enables the model to explain the equity premium puzzle and the risk-free rate puzzle simultaneously for a reasonable value of relative risk aversion....

  19. Intellectual Capital and Intangible Assets Analysis and Valuation

    Directory of Open Access Journals (Sweden)

    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.

  20. The price level and monetary policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2002-03-01

    Full Text Available Most central banks are required to or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is which index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action in order to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, for overall or for particular purposes, and moral suasion.

  1. Game Options approach in bankruptcy triggering asset value

    Directory of Open Access Journals (Sweden)

    Abdelmajid El hajaji

    2019-07-01

    Full Text Available In this paper, we develop a new numerical method, game theory and option pricing to compute a bankruptcy triggering asset value. we will draw our attention to determining a the numerical asset value, or price of a share, at which a bankruptcy is triggered. This paper develops and analyze a cubic spline collocation method for approximating solutions of the problem. This method converges quadratically. In addition, this article also provides with a real-life case study of the investment bank, and the optimal bankruptcy strategy in this particular case. As we will observe, the bankruptcy trigger computed in this example could have served as a good guide for predicting fall of this investment bank.

  2. The estimation of risk-premium implicit in oil prices

    International Nuclear Information System (INIS)

    Luis, J.B.

    2001-01-01

    The futures price can be seen as the sum of the expected value of the underlying asset price and a risk-premium. In order to disentangle these two components of the futures price, one can try to model the relationship between spot and futures prices, in order to obtain a closed expression for the risk-premium, or to use information from spot and option prices to estimate risk-aversion functions. Given the high volatility of the ratios between futures and spot prices, we opted for the latter, estimating risk-neutral and subjective probability density functions, respectively, from observed option and spot prices. looking at the prices of Brent and West Texas Intermediate light/sweet crude oil options, the obtained evidence suggests that risk-aversion is typically very low for levels near the futures prices. However, due to price volatility and, consequently, to the tails of distribution, the risk-aversion functions are badly behaved in extreme prices and futures prices do not anticipate sharp movements in oil spot prices. Therefore, futures oil prices seem to be useful in forecasting spot prices only when moderate price changes occur. (author)

  3. Oil prices and long-run risk

    Science.gov (United States)

    Ready, Robert Clayton

    I show that relative levels of aggregate consumption and personal oil consumption provide an excellent proxy for oil prices, and that high oil prices predict low future aggregate consumption growth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and Yaron [2004] to study the asset pricing implications of observed changes in the dynamic interaction of consumption and oil prices. Empirically I observe that, compared to the first half of my 1987--2010 sample, oil consumption growth in the last 10 years is unresponsive to levels of oil prices, creating an decrease in the mean-reversion of oil prices, and an increase in the persistence of oil price shocks. The model implies that the change in the dynamics of oil consumption generates increased systematic risk from oil price shocks due to their increased persistence. However, persistent oil prices also act as a counterweight for shocks to expected consumption growth, with high expected growth creating high expectations of future oil prices which in turn slow down growth. The combined effect is to reduce overall consumption risk and lower the equity premium. The model also predicts that these changes affect the riskiness of of oil futures contracts, and combine to create a hump shaped term structure of oil futures, consistent with recent data.

  4. Storage: Asset or albatross?

    Energy Technology Data Exchange (ETDEWEB)

    Peldner, P.J. [Tejas Power Corp., Houston, TX (United States)

    1994-12-31

    Development of storage was originally intended to: act as a surrogate for transportation capacity and capture seasonal commodity differentials. Historically, storage was developed by the pipeline companies as a means to minimize capital expenditures in terms of long haul transportation. By building storage, gas could be transported to the market are and stored using available transportation capacity when load requirements were down in the summer, then withdrawn during the winter season without requiring additional transportation capacity to be built. With the advent of deregulation, gas prices were no longer fixed with respect to time. Due to the seasonal demand of gas, there developed a fairly predictable and very consistent corresponding seasonality to the pricing of natural gas. With this phenomenon, seasonal storage developed an added local distribution companies.

  5. 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

  6. Stochastic models for the spot and future prices of commodities with high volatility and mean reversion

    OpenAIRE

    García de la Vega, Victor Manuel; Ruiz-Porras, Antonio

    2009-01-01

    The pricing of commodity derivatives requires that the underlying asset be modelled with mean reversion and high volatility. We develop closed formulas to price the spot of the commodity, its future, and to price a call option on the spot and on the commodity future, in the real world and under risk neutrality, by using a 1 factor model.

  7. Gender, Livestock and Asset Ownership

    International Development Research Centre (IDRC) Digital Library (Canada)

    improved poultry, without consulting their husbands. Gender, Livestock and Asset Ownership. Jemimah Njuki and Samuel Mburu. Facts. • Livestock are productive assets that women can easily own and are not bound by complex property rights. • Women may own livestock, acquired through the market or inheritance before ...

  8. Asset management: the big picture.

    Science.gov (United States)

    Deinstadt, Deborah C

    2005-10-01

    To develop an comprehensive asset management plan, you need, first of all, to understand the asset management continuum. A key preliminary step is to thoroughly assess the existing equipment base. A critical objective is to ensure that there are open lines of communication among the teams charged with managing the plan's various phases.

  9. The Influence of Fundamental and Macroeconomic Analysis on Stock Price

    Directory of Open Access Journals (Sweden)

    Hari Gursida

    2017-12-01

    Full Text Available The purpose of this research is to analyze the effect of fundamental and macroeconomic analysis on stock price. The research was conducted at a coal company listed on the Indonesia Stock Exchange. Fundamental analysis measured by current ratio, debt to equity ratio (DER, earning per share (EPS, return on assets (ROA, and total assets turnover (TATO, while macroeconomic analysis is measured by inflation and exchange rate.  Current ratio (CR has a positive effect on Stock Price. Strengthening this level of liquidity can provide information to investors to decide to buy shares of companies that tend to be healthy and stable. Return on assets (ROA has a positive and significant influence on stock price. Efforts to maximize the level of profitability by increasing the value of return on assets can provide information to investors that investments invested in the company will provide good profit. The impact of stock prices will rise. While debt to equity ratio (DER, earning per share (EPS and total assets turnover (TATO have no effect on Stock Price.  Macroeconomic analysis shows: (a Inflation rate has no effect on stock price of coal company. This can be because the inflation rate in Indonesia is at the level of 6% -7% per year and included in the category of mild inflation. Mild inflation resulted in very slow economic growth, not affecting stock prices. The exchange rate has a negative and significant effect on coal company stock price. If the Rupiah is depreciated then the stock price of the coal company will decrease.

  10. Evaluation of the effect of non-current fixed assets on profitability and asset management efficiency

    OpenAIRE

    Lubyanaya, A. V.; Izmailov, A. M.; Nikulina, E. Y.; Shaposhnikov, V. 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 accounting for non-current fixed assets through several objectives, for example, explanation of the impairment tests of tangible and intangible assets under ...

  11. Electricity pricing

    International Nuclear Information System (INIS)

    Wijayatunga, P.D.C.

    1994-01-01

    Electricity pricing in most countries, especially in the developing world, has been determined by traditional accounting criteria where it raises revenue requirements to cover the operating costs and a return on past and future capital investments in possible power systems. The use of economic principles to improve the total economic efficiency in the electricity industry is discussed. Basic marginal cost theory, long run marginal costing (LRMC) cost categories and rating periods, marginal capacity costs, marginal energy costs, consumer costs, short run marginal costing (SRMC), marginal cost of fuel, marginal cost of network losses, market clearing price, value of unserved energy and network quality of supply cost are discussed

  12. Financial derivative pricing under probability operator via Esscher transfomation

    Science.gov (United States)

    Achi, Godswill U.

    2014-10-01

    The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing9 where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula using the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φx(u) of Xt we recuperate the Black-Scholes formula for financial derivative prices.

  13. Financial derivative pricing under probability operator via Esscher transfomation

    Energy Technology Data Exchange (ETDEWEB)

    Achi, Godswill U., E-mail: achigods@yahoo.com [Department of Mathematics, Abia State Polytechnic Aba, P.M.B. 7166, Aba, Abia State (Nigeria)

    2014-10-24

    The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing{sup 9} where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula using the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φ{sub x}(u) of X{sub t} we recuperate the Black-Scholes formula for financial derivative prices.

  14. 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...

  15. 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…

  16. Cryptocurrency price drivers: Wavelet coherence analysis revisited.

    Science.gov (United States)

    Phillips, Ross C; Gorse, Denise

    2018-01-01

    Cryptocurrencies have experienced recent surges in interest and price. It has been discovered that there are time intervals where cryptocurrency prices and certain online and social media factors appear related. In addition it has been noted that cryptocurrencies are prone to experience intervals of bubble-like price growth. The hypothesis investigated here is that relationships between online factors and price are dependent on market regime. In this paper, wavelet coherence is used to study co-movement between a cryptocurrency price and its related factors, for a number of examples. This is used alongside a well-known test for financial asset bubbles to explore whether relationships change dependent on regime. The primary finding of this work is that medium-term positive correlations between online factors and price strengthen significantly during bubble-like regimes of the price series; this explains why these relationships have previously been seen to appear and disappear over time. A secondary finding is that short-term relationships between the chosen factors and price appear to be caused by particular market events (such as hacks / security breaches), and are not consistent from one time interval to another in the effect of the factor upon the price. In addition, for the first time, wavelet coherence is used to explore the relationships between different cryptocurrencies.

  17. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

    International Nuclear Information System (INIS)

    Gatfaoui, Hayette

    2015-01-01

    We consider a firm, which can choose between crude oil and natural gas to run its business. The firm selects the energy source, which minimizes its energy or production costs at a given time horizon. Assuming the energy strategy to be established over a fixed time window, the energy choice decision will be made at a given future date T. In this light, the firm's energy cost can be considered as a long position in a risk-free bond by an amount of the terminal oil price, and a short position in a European put option to switch from oil to gas by an amount of the terminal oil price too. As a result, the option to switch from crude oil to natural gas allows for establishing a hedging strategy with respect to energy costs. Modeling stochastically the underlying asset of the European put, we propose a valuation formula of the option to switch and calibrate the pricing formula to empirical data on a daily basis. Hence, our innovative framework handles widely the hedge against the price increase of any given energy source versus the price of another competing energy source (i.e. minimizing energy costs). Moreover, we provide a price for the cost-reducing effect of the capability to switch from one energy source to another one (i.e. hedging energy price risk). - Highlights: • We consider a firm, which chooses either crude oil or natural gas as an energy source. • The capability to switch offers the firm a hedge against energy commodity price risk. • A European put option prices the ability to switch from crude oil to natural gas. • The capability to switch between two energy sources reduces the firm's energy costs. • The discount illustrates the efficiency of the energy management policy (e.g. timing).

  18. Tangible assets in worldwide accepted accounting systems

    OpenAIRE

    Koukolíková, Lucie

    2009-01-01

    This work is focusing on accounting for tangible assets under IFRS and US GAAP. First chapter concentrates on the definition of an asset and on the measurement at recognition of tangible assets. Second chapter deals with the measurement after recognition of tangible assets. Third chapter is concerned with other problems connected with tangible assets, such as leases, depletion of an asset or disclosure. The last chapter contains a practical study which analyses the application of theoretical ...

  19. Energy prices

    International Nuclear Information System (INIS)

    2002-08-01

    This document gives in a series of tables, a synthesis of the main energy tariffs and prices in use in France and their evolution during the 2000-2002 era both in the residential and in the industry sectors: automotive fuels, domestic fuel oil, steam for district heating, propane, coal, wood, electricity, gas, heavy fuel oil. (J.S.)

  20. Energy prices

    International Nuclear Information System (INIS)

    2002-01-01

    This folder gives a synthesis of the main energy tariffs and prices ruling in France in 2000, 2001 and 2002 for automotive fuels, domestic fuel oil, district heating steam, propane, coal, wood, electricity, natural gas and heavy fuel, both for accommodations and for the industry. (J.S.)

  1. Intangible asset tax depreciation in the Czech Republic

    Directory of Open Access Journals (Sweden)

    Pavel Svirák

    2011-01-01

    Full Text Available This paper aims to familiarize readers with the legislative development of intangible asset tax depreciation in the Czech Republic since 1993. The paper is divided into several basic chapters, of which the main chapter describes and analyzes the development of legislation in three thus-existing legal modes regulating intangible asset tax depreciation (the periods 1993–2000; 2001–2004; 2004–2011. A separate sub-chapter deals with each of these three modes, which fundamentally differ in the concept of determining tax depreciations. For better clarity, changes in the legislation in question are described using tables. Over the first mentioned mode, i.e. the mode valid for assets acquired in the period 1993–2000, intangible asset tax depreciations were determined by the same manner as tangible asset tax depreciations. This period is characterized by gradual establishment (specification of legislation that may be partially attributed to the stormy development of social conditions and the need for them to be reflected in law. For the period 2001–2003, standard amendments were contained in accounting regulations. The Income Tax Act (hereinafter ITA did not contain an amendment of intangible assets and its depreciations. It merely determined that accounting depreciations of intangible assets were a tax expense. Nevertheless, changes also occurred in this short time period, which this paper will later address. Effective from 2004, legislation on intangible assets and their tax depreciations returned to the ITA. Changes came in this mode of determining depreciations as well; nevertheless, one may consider the current legislative regulation to be stabilized. Later in this paper for the selected category of intangible assets (software, the authors describe and assess the dependence of the portion of the entry price entering tax expenses in the form of tax depreciations on the year of acquiring intangible assets. To achieve the stated objectives

  2. Defense Logistics: Improved Performance Measures and Information Needed for Assessing Asset Visibility Initiatives

    Science.gov (United States)

    2017-03-01

    information on assets that are present in a theater of operations. DOD defines asset visibility as the ability to provide timely and accurate...timely and accurate information on the assets that are present in the theater of operations.3 In our February 2015 biennial update to the High-Risk...policy, and funding decisions. GAO’s commitment to good government is reflected in its core values of accountability , integrity, and reliability. The

  3. Problems with Cash and Other Non-Operating Assets Value in the Process of Valuing Company

    Directory of Open Access Journals (Sweden)

    Piotr Szczepankowski

    2007-12-01

    Full Text Available In economic practice the process of valuing enterprises is based on potential earnings from companies operating assets ñ operating fixed assets and operating working capital. Cash and other non-operating assets (mainly financial are treated as unproductive, non-income assets. Eventually, in process of pricing their current, accounting value is added to income value of enterprise or cash is treated as source for quick covering the debts of firm, what of course indirectly improve for better value of equity (the lower financial risk. Not taking into account the profitable influence of cash value and other non-operating assets can negatively affect on result of final value of enterprise, reducing it. In the article two alternative approaches (separate and inclusive of cash value is presented. Also main determinants of estimating value of cash are described as well as potential threats of its valuation.

  4. 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

  5. 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

  6. Crude oil prices: Speculation versus fundamentals

    Science.gov (United States)

    Kolodziej, Marek Krzysztof

    Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive

  7. Access price regulation facilitates strategic transfer pricing

    OpenAIRE

    Fjell, Kenneth; Foros, Øystein

    2005-01-01

    Access price regulation is used in telecommunications to prevent that a vertically integrated firm, that controls an essential input, raises the rivals` costs. When the authorities remove the access price as a strategic tool, they at the same time make it optimal for the vertically integrated firm to reorganize from centralized pricing to decentralized pricing in order to use the transfer price as an alternative strategic device. To implement access price regulation, authorities use accountin...

  8. 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)

  9. Developing formal asset management plans

    Science.gov (United States)

    2014-06-01

    This report highlights key recommendations and best practices identified at the peer exchange on Transportation Asset Management Plans (TAMP), held on February 5 and 6, 2014, in Columbia, South Carolina. This event was sponsored by the Transportation...

  10. Asset dynamics in Northern Nigeria:

    OpenAIRE

    Dillon, Andrew; Quiñones, Esteban J.

    2010-01-01

    This paper examines household asset dynamics and gender-differentiated asset inequality over a 20-year period (1988–2008) in northern Nigeria. We show that the initial endowments of both household capital and livestock holdings are inconsistent with the poverty trap hypothesis but that tracking rules for households in panel surveys may lead to differences in empirical results on poverty traps. We also investigate whether initial household endowments contributed to gender-differentiated future...

  11. 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.

  12. AUTOMATING ASSET KNOWLEDGE WITH MTCONNECT

    Science.gov (United States)

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

    2017-01-01

    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. PMID:28691121

  13. Mapping the Assets of Your Community: A Key Component for Building Local Capacity.

    Science.gov (United States)

    Beaulieu, Lionel J.

    Asset mapping is an effective tool for understanding the wealth of talent and resources that exists in each community--even those with small populations or suffering from poverty and economic distress. The long-term development of a community rests on its ability to uncover and build on the strengths and assets of its people, institutions, and…

  14. The Influence of Return On Asset, Financial Leverage, and Company Size To Underpricing at Companies That Make Initial Public Offering (IPO at Indonesia Stock Exchange.

    Directory of Open Access Journals (Sweden)

    Putu Widhiastina

    2016-12-01

    Full Text Available This study aimed to determine the influence of The Influence of return on asset, financial leverage, and size of company on underpricing. Underpricing is measured by division the difference between clossing prices and offering price with offering price, return on asset is measured by division net profit with total asset, financial leverage is measured by division total debt with total equity and size of company is mesured with total sales in annual report company. This study took a sample of initial public offering company listed in Indonesia Stock Exchange during the years 2010-2013. The data obtained by purposive sampling techniques and using multiple regression analysis. Simultaneous hypothesis testing result show that return on asset, financial leverage and company size simultaneously affect the underpricing. The partial hypothesis test result show that retun on asset, financial leverage and company size have a significant affect the underpricing.

  15. Will Bequests Attenuate The Predicted Meltdown In Stock Prices When Baby Boomers Retire?

    OpenAIRE

    Andrew B. Abel

    2001-01-01

    Jim Poterba finds that consumers do not spend all of their assets during retirement, and he projects that the demand for assets will remain high when the baby boomers retire. Based on his forecast of continued high demand for capital, Poterba rejects the asset market meltdown hypothesis, which predicts a fall in stock prices when the baby boomers retire. ; The author develops a rational expectations general equilibrium model with a bequest motive and an aggregate supply curve for capital. In ...

  16. 12 CFR 347.210 - Asset maintenance.

    Science.gov (United States)

    2010-01-01

    ... state or federal examination; (6) Any intangible asset; (7) Any other asset not considered bankable by... 12 Banks and Banking 4 2010-01-01 2010-01-01 false Asset maintenance. 347.210 Section 347.210... INTERNATIONAL BANKING Foreign Banks § 347.210 Asset maintenance. (a) An insured branch of a foreign bank shall...

  17. 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...

  18. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  19. Fast Fourier Transform Pricing Method for Exponential Lévy Processes

    KAUST Repository

    Crocce, Fabian

    2014-05-04

    We describe a set of partial-integro-differential equations (PIDE) whose solutions represent the prices of european options when the underlying asset is driven by an exponential L´evy process. Exploiting the L´evy -Khintchine formula, we give a Fourier based method for solving this class of PIDEs. We present a novel L1 error bound for solving a range of PIDEs in asset pricing and use this bound to set parameters for numerical methods.

  20. 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

  1. The 5C model: A new approach to asset integrity management

    International Nuclear Information System (INIS)

    Rahim, Yousif; Refsdal, Ingbjorn; Kenett, Ron S.

    2010-01-01

    As organizations grow more complex in operation and more global in scope, assets and technical integrity become key success factors. A company's asset integrity business process needs to be mapped in order to 1) provide a proper overview of operation and business processes, 2) identify all critical interfaces and 3) ensure that all gaps and overlaps in processes are eliminated. Achieving asset integrity requires companies to sustain their activities and identify the hazards, weaknesses and objectives of their strategic assets. Technical integrity emphasizes a complete overview of technical conditions and related information, and the ability of the companies to document the technical state of its assets. It is based on an integrated view of the current state of operations, and the identification of all critical interfaces, in order to ensure that all gaps and unnecessary overlaps in processes are eliminated. Companies look increasingly at their asset integrity management system as a means to extend the life of their assets, beyond the original design conditions and production capacity. Establishing an asset integrity management system requires the documentation of the company's technical integrity management, a strategy and the processes for carrying it out, identifying gaps; selecting corrective interventions and conducting follow up actions. The paper discusses various aspects of asset integrity management, including its planning and implementation. We begin with an introduction to asset technical integrity, provide some theoretical backgrounds, present a model we call 5C and conclude with a summary and discussion.

  2. DYNAMIC AND STRUCTURAL ANALYSIS OF TANGIBLE ASSETS

    OpenAIRE

    ECOBICI MIHAELA LOREDANA

    2016-01-01

    Any company’s economic activity uses material resources in order to achieve the business objective. These consist of two categories of assets: fixed assets, especially the tangible and current assets and their efficient use and operation are some of the most important conditions for the smooth running of the production of a company. Tangible assets constitute the basic assets that any company can use over a period of 1 year and more and contribute to the production of goods, execu...

  3. 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.

  4. 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

  5. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-05-01

    Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

  6. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-03-01

    Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

  7. KOMPARASI CAPITAL ASSET PRICING MODEL VERSUS ARBITRAGE PRICING THEORY MODEL ATAS VOLATILITAS RETURN SAHAM

    Directory of Open Access Journals (Sweden)

    Mathius Tandiontong

    2017-03-01

    Full Text Available Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. Thisstudy was based on the assumption that: there were differences in sectoral stock return volatility, volatility ofmarket risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;there were differences in the results of testing the validity, robustness unconditional CAPM and APTMmultifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetriceffect. The method of analysis used nested models with panel data. Data were analyzed by using secondary datafrom 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returnsacross sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactorthat showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM wasvalid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of2008 within the period 2005-2012.

  8. 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.

  9. A Pilot Study Using an Online, Experimental, Two-Asset Market.

    Science.gov (United States)

    Lypny, Gregory

    2003-01-01

    Describes an online, securities market, research tool, called Borsa, to engage students in the exploration of asset pricing in microeconomics courses. Defines Borsa as related database files served on the Internet using a dedicated IP address. Discusses practical considerations in running the market. Offers questions that arise from using the…

  10. American option pricing with stochastic volatility processes

    Directory of Open Access Journals (Sweden)

    Ping LI

    2017-12-01

    Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

  11. Accounting-Induced Distortion in Public Enterprise Pricing

    Science.gov (United States)

    Moncur, James E. T.; Pollock, Richard L.

    1996-11-01

    Municipal water utilities commonly aim to set prices at average cost. Because of various omissions and owing to inflation, unadjusted accounting data understate the economic costs of fixed assets and thus generate inefficiently low prices and high consumption rates for the output of these enterprises. We investigate the nature and extent of undercosting and underpricing for a group of large urban water utilities in the United States. Economic costs appear to be significantly greater than the corresponding accounting measures for the cases studied.

  12. ASSET guidelines. Revised 1991 Edition

    International Nuclear Information System (INIS)

    1991-12-01

    The present publication is an updated version of the IAEA Assessment of Safety Significant Events Team (ASSET) Guidelines, IAEA-TECDOC-573, published in 1990. Sections 5 and 6 include revised definitions and investigation guidelines for identification of both direct and root causes. These revisions were recommended by a Consultants Meeting held in Vienna on 3-7 December 1990. This guidance is not intended to infringe an expert's prerogative to investigate additional items. Its main purpose is to provide a basic structure and ensure consistency in the assessments. Use of the ASSET guidelines should also facilitate comparison between the observations made in different nuclear power plants and harmonize the reporting of generic ASSET results. The guidelines should always be used with a critical attitude and a view to possible improvements

  13. The asset management business model

    International Nuclear Information System (INIS)

    Crowson, M.

    2002-01-01

    This presentation describes the 4 transformation stages of the electric power industry as being vertical unbundling as seen in Europe and Asia, horizontal unbundling as seen in Canada and the United States, industry convergence as seen in Australia and New Zealand, and strategic consolidation as seen in the United Kingdom. The rationale for horizontal unbundling is described with reference to the asset owner, the asset manager and the utility service provider. The presentation includes several viewgraphs depicting the following: the asset management model; the path to success which was built upon a decade of experience; number of stock items from 1991 to 2001; substation capacity utilization from 1997 to 2001; O and M costs per customer from 1990 to 2000; reliability improvements from 1994 to 2000; the design, operation and maintenance of 13 investment pools; transition strategies for total transformation; and, regionally adjusted wage rates. 11 figs

  14. ASSETS STRUCTURE AT CREDIT UNIONS

    Directory of Open Access Journals (Sweden)

    Tiplea Augustin

    2011-12-01

    Full Text Available Balance is a static tool for assessing the entity's position, profit and loss on one hand and cash flow statement on the other hand. These are dynamic situations on one hand showing the effectiveness or ineffectiveness of the total consumption of resources ( profit and loss and on the other hand entity's business viability (by cash flows. As reflection of financial position, the balance, established at the end of the reporting period (called a financial year, describes separately items of assets, liabilities and equity of the company. Assets are resources controlled by the enterprise as a result of past events and from which is expected to generate future economic benefits for the enterprise. The economic benefits correspond to a production potential, a possibility for conversion into cash or a reduction in output capacity of funds (cost reduction that an asset contributes, directly or indirectly to a company-specific cash flow.

  15. MARKET ECONOMICS PRICING PARTICULARS

    Directory of Open Access Journals (Sweden)

    V. I. Parshin

    2011-01-01

    Full Text Available The price performs several economic functions: accounting, stimulation, distribution, demand and offer balancing, serving as production site rational choice criterion, information. Most important pricing principles are: price scientific and purpose-aimed substantiation, single pricing and price control process. Pricing process factors are external, internal, basic (independent on money-market, market-determined and controlling. Different pricing methods and models are to be examined, recommendations on practical application of those chosen are to be written.

  16. Energy prices and taxes

    International Nuclear Information System (INIS)

    2004-01-01

    Energy Prices and Taxes contains a major international compilation of energy prices at all market levels: import prices, industry prices and consumer prices. The statistics cover main petroleum products, gas, coal and electricity, giving for imported products an average price both for importing country and country of origin. Every issue includes full notes on sources and methods and a description of price mechanisms in each country

  17. 2014 World Congress on Engineering Asset Management

    CERN Document Server

    Hoohlo, Changela; Mathew, Joe

    2015-01-01

    Engineering asset management encompasses all types of engineered assets including built environment, infrastructure, plant, equipment, hardware systems and components. Following the release of ISO 5500x set of standards, the 9th WCEAM addresses the hugely important issue of what constitutes the body of knowledge in Engineering Asset Management. Topics discussed by Congress delegates are grouped into a number of tracks including strategies for investment and divestment of assets, operations and maintenance of assets, assessments of assets condition, risk and vulnerability, technologies and systems for management of asset, standards, education, training and certification. These proceedings include a sample of the wide range of topics presented during the 9th World Congress on Engineering Asset Management in Pretoria South Africa 28 – 31 October, 2014 and complements other emerging publications and standards that embrace the wide ranging issues concerning the management of engineered physical assets.

  18. Will India set the price for teleradiology?

    Science.gov (United States)

    McLean, Thomas R

    2009-06-01

    With a lower cost for labour, Indian teleradiologists have an absolute price advantage in the global market. However, because trade is determined by comparative advantage rather than absolute price advantage, India's ability to export teleradiology services may be limited. The issue is, can the 'India price' for teleradiology set the price for these services in the USA? Review of the economic literature concerning the global teleradiology market. Currently, minimal information exists concerning the economic of global teleradiology market. However, a Ricardian analysis of this market suggests that India's ability to export teleradiology may be limited by rising opportunity costs (i.e. social unrest). Similarly, Heckscher-Ohlin analysis suggests that a lack of English-speaking physicians will limit India's ability to export teleradiology services to the USA. It appears unlikely that India will gain sufficient market share in the USA to determine the price of teleradiology services.

  19. Asset Growth, Asset Distribution and Changes in Multidimensional ...

    African Journals Online (AJOL)

    ... less effective if such growth took place mainly among the non-poor. Thus, an optimal mix of policies that would encourage asset acquisition, as well as its spatial distribution would be more effective in terms of poverty reduction. Keywords: Growth, redistribution, fuzzy set theory, Shapley-value decomposition, Cameroon ...

  20. Energy prices, equalization and federalism

    International Nuclear Information System (INIS)

    Courchene, T.J.

    2005-01-01

    initiative orchestrated by the provinces to allow them to increase their ability to manoeuvre in the federation, and resolve the underlying issue of satisfying the constitutional commitment that all Canadians should have access to comparable public services. It was concluded that a failure to come to terms with societal values could mean that the current energy price surge might have dramatic ramifications for the evolution of the federation. 1 fig

  1. 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...

  2. Relationship between Gold and Oil Prices and Stock Market Returns

    Directory of Open Access Journals (Sweden)

    Muhammad Mansoor Baig

    2013-10-01

    Full Text Available This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data of gold prices, KSE100, and oil prices for the period of 2000 to 2010 (monthly. This study applied Descriptive statistics, Augmented Dickey Fuller test Phillip Perron test, Johansen and Jelseluis Co-integration test, Variance Decomposition test to find relationship. This study concludes that Gold prices growth, Oil prices growth and KSE100 return have no significant relationship in the long run. This study provides information to the investors who want to get the benefit of diversification by investing in Gold, Oil and stock market. In the current era Gold prices and oil prices are fluctuating day by day and investors think that stock returns may or may not affected by these fluctuations. This study is unique because it focuses on current issues and takes the current data in this research to help the investment institutions or portfolio managers.

  3. Pricing hospital care: Global budgets and marginal pricing strategies.

    Science.gov (United States)

    Sutherland, Jason M

    2015-08-01

    The Canadian province of British Columbia (BC) is adding financial incentives to increase the volume of surgeries provided by hospitals using a marginal pricing approach. The objective of this study is to calculate marginal costs of surgeries based on assumptions regarding hospitals' availability of labor and equipment. This study is based on observational clinical, administrative and financial data generated by hospitals. Hospital inpatient and outpatient discharge summaries from the province are linked with detailed activity-based costing information, stratified by assigned case mix categorizations. To reflect a range of operating constraints governing hospitals' ability to increase their volume of surgeries, a number of scenarios are proposed. Under these scenarios, estimated marginal costs are calculated and compared to prices being offered as incentives to hospitals. Existing data can be used to support alternative strategies for pricing hospital care. Prices for inpatient surgeries do not generate positive margins under a range of operating scenarios. Hip and knee surgeries generate surpluses for hospitals even under the most costly labor conditions and are expected to generate additional volume. In health systems that wish to fine-tune financial incentives, setting prices that create incentives for additional volume should reflect knowledge of hospitals' underlying cost structures. Possible implications of mis-pricing include no response to the incentives or uneven increases in supply. Copyright © 2015 The Authors. Published by Elsevier Ireland Ltd.. All rights reserved.

  4. Strategic Asset Seeking by EMNEs

    DEFF Research Database (Denmark)

    Petersen, Bent; Seifert, Jr., Rene E.

    2014-01-01

    Purpose: The chapter provides an economic explanation and perspectivation of strategic asset seeking of multinational enterprises from emerging economies (EMNEs) as a prominent feature of today’s global economy. Approach: The authors apply and extend the “springboard perspective.” This perspective...

  5. Asset tracking in harsh environments

    Energy Technology Data Exchange (ETDEWEB)

    O' Neal, E.S. [Infosight Corp., Chillicothe, OH (United States)

    2009-07-01

    Current economic times require tight control of all assets / inventory and processes a company manages. These items if managed correctly and timely can mean the difference between success and failure of a company. Cost savings in hard economic times are essential to allow a company to utilize its assets to the fullest potential by eliminating duplication and waste. Accurate process management leads to greater customer satisfaction and loyalty. Many industries and processes have believed it to be impossible to track their products or assets using bar-codes due to the unique conditions of their environment; whether it is high temperature, rough handling or chemicals. That has now changed. Companies specializing in identification methods have stepped up to the challenge and have overcome many obstacles of the past. It's no longer a paper or plastic bar-code world. The presentation will be broken down into four parts: 1) The differences between Asset and ID tracking; 2) Why does a company need to bar-code?; 3) The objections many companies use for not bar-coding; and, 4) What's new in bar-coding? Case study handouts and a reference list of various companies including software, labeling and attachment techniques will be available at the end of the presentation. (author)

  6. Asset tracking in harsh environments

    International Nuclear Information System (INIS)

    O'Neal, E.S.

    2009-01-01

    Current economic times require tight control of all assets / inventory and processes a company manages. These items if managed correctly and timely can mean the difference between success and failure of a company. Cost savings in hard economic times are essential to allow a company to utilize its assets to the fullest potential by eliminating duplication and waste. Accurate process management leads to greater customer satisfaction and loyalty. Many industries and processes have believed it to be impossible to track their products or assets using bar-codes due to the unique conditions of their environment; whether it is high temperature, rough handling or chemicals. That has now changed. Companies specializing in identification methods have stepped up to the challenge and have overcome many obstacles of the past. It's no longer a paper or plastic bar-code world. The presentation will be broken down into four parts: 1) The differences between Asset and ID tracking; 2) Why does a company need to bar-code?; 3) The objections many companies use for not bar-coding; and, 4) What's new in bar-coding? Case study handouts and a reference list of various companies including software, labeling and attachment techniques will be available at the end of the presentation. (author)

  7. 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 question...

  8. 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

  9. Monte Carlo methods for pricing financial options

    Indian Academy of Sciences (India)

    Monte Carlo methods have increasingly become a popular computational tool to price complex financial options, especially when the underlying space of assets has a large dimensionality, as the performance of other numerical methods typically suffer from the 'curse of dimensionality'. However, even Monte-Carlo ...

  10. The world price of jump and volatility risk

    NARCIS (Netherlands)

    Driessen, J.; Maenhout, P.

    2006-01-01

    Jump and volatility risk are important for understanding equity returns, option pricing and asset allocation. This paper is the first to study international integration of markets for jump and volatility risk, using data on index options for each of the three main global markets: US S&P 500 index

  11. Pricing and Hedging of Derivatives in Contagious Markets

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    2016-01-01

    a stochastic volatility component to the dynamics. It is important to take the contagion effect into account if derivatives written on a basket of assets are to be priced or hedged. Due to the affine model specification the joint characteristic function of the log-returns is known analytically, and for two...

  12. A stochastic model for the financial market with discontinuous prices

    Directory of Open Access Journals (Sweden)

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  13. Cash dividends and futures prices on discontinuous filtrations

    NARCIS (Netherlands)

    Vellekoop, M.H.; Nieuwenhuis, J.W.

    We derive a general formula for the futures price process without the restriction that the assets used in the future margin account are continuous and of finite variation. To do so, we model tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously

  14. A remark on the set of arbitrage-free prices in a multi-period model

    DEFF Research Database (Denmark)

    Ranjan, Abhishek

    2013-01-01

    We study the convexity property of the set QF of arbitrage ‐ free prices of a multi ‐period financial structure F. The set of arbitrage‐free prices is shown to be a convex cone under conditions on the financial structure F that hold in particular for short ‐ lived assets. Furthermore, we provide ...

  15. A tree-based method to price American options in the Heston model

    NARCIS (Netherlands)

    Vellekoop, M.; Nieuwenhuis, H.

    2009-01-01

    We develop an algorithm to price American options on assets that follow the stochastic volatility model defined by Heston. We use an approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of nodes grows quadratically in the number of time

  16. Price adjustment clauses : report.

    Science.gov (United States)

    2012-10-01

    Price adjustment mechanisms exist to account for fluctuations in commodity or labor prices and have : been used for highway construction in 47 states. They are useful in stabilizing bid prices in times of : economic uncertainty and preventing default...

  17. 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.

  18. Current approaches to assessing intangible assets

    OpenAIRE

    Урусова, Зінаїда Петрівна

    2013-01-01

    The article analyzes methods of assessing intangible assets in Ukraine as well as in accordance with International Financial Reporting Standards. Contemporary approaches to assessing intangible assets have been researched.

  19. Asset management inventory and data collection.

    Science.gov (United States)

    2009-10-01

    An efficient and accurate inventory of a state highway agencys assets, along with the means to assess the condition : of those assets and model their performance, is critical to enabling an agency to make informed investment decisions : in a Trans...

  20. 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.

  1. Asset Management Guidebook for Safety and Operations

    Science.gov (United States)

    2012-09-01

    A primary product of this research was the Asset Management Guidebook that TxDOT division and district : personnel can use to help them define, develop, and implement asset management across all levels : particularly as it relates to establishing ...

  2. Impairment testing of assets according to IFRS

    OpenAIRE

    Procházka, Michal

    2014-01-01

    The main object of this thesis is to show measurement of assets and its changes under International Financial Reporting Standards with closer focus on impairment testing according to IAS 36 - Impairment of Assets. The first part of the thesis introduces definition of assets and possible measurement bases used at first time recognition and reporting date. The main part deals with impairment testing of individual assets and cash-generating units. There is described when the impairment testing m...

  3. 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 ...

  4. Food Price Spikes, Price Insulation, and Poverty

    OpenAIRE

    Anderson, Kym; Ivanic, Maros; Martin, Will

    2013-01-01

    This paper has two purposes. It first considers the impact on world food prices of the changes in restrictions on trade in staple foods during the 2008 world food price crisis. Those changes -- reductions in import protection or increases in export restraints -- were meant to partially insulate domestic markets from the spike in international prices. The authors find that this insulation a...

  5. Pricing and Trust

    DEFF Research Database (Denmark)

    Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert

    We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non-competitive...... (monopolistic) markets. We then introduce a regulated intermediate price above the oligopoly price and below the monopoly price. The effect in monopolies is more or less in line with standard intuition. As price falls volume increases and so does quality, such that overall efficiency is raised by 50%. However...

  6. Assets and Educational Achievement: Theory and Evidence

    Science.gov (United States)

    Elliott, William; Sherraden, Michael

    2013-01-01

    This special issue of Economics of Education Review explores the role of savings and asset holding in post-secondary educational achievement. Most college success research has focused on income rather than assets as a predictor, and most college financing policy has focused on tuition support and educational debt, rather than asset accumulation.…

  7. 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

  8. Defining ecosystem assets for natural capital accounting

    NARCIS (Netherlands)

    Hein, Lars; Bagstad, Ken; Edens, Bram; Obst, Carl; Jong, de Rixt; Lesschen, Jan Peter

    2016-01-01

    In natural capital accounting, ecosystems are assets that provide ecosystem services to people. Assets can be measured using both physical and monetary units. In the international System of Environmental-Economic Accounting, ecosystem assets are generally valued on the basis of the net present

  9. 12 CFR 560.160 - Asset classification.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Asset classification. 560.160 Section 560.160... Lending and Investment Provisions Applicable to all Savings Associations § 560.160 Asset classification... consistent with, or reconcilable to, the asset classification system used by OTS in its Thrift Activities...

  10. Community Asset Mapping. Trends and Issues Alert.

    Science.gov (United States)

    Kerka, Sandra

    Asset mapping involves documenting tangible and intangible resources of a community viewed as a place with assets to be preserved and enhanced, not deficits to be remedied. Kretzmann and McKnight (1993) are credited with developing the concept of asset-based community development (ABCD) that draws on appreciative inquiry; recognition of social…

  11. Approaches of Improving University Assets Management Efficiency

    Science.gov (United States)

    Wang, Jingliang

    2015-01-01

    University assets management, as an important content of modern university management, is generally confronted with the issue of low efficiency. Currently, to address the problems exposed in university assets management and take appropriate modification measures is an urgent issue in front of Chinese university assets management sectors. In this…

  12. Applying Statement 34's Capital Asset Requirements.

    Science.gov (United States)

    Finden, Randal

    2001-01-01

    Discusses common issues and offers recommendations related to revisions in Governmental Accounting Standards Board Statement 34 wherein the financial reporting of the general fixed-assets account group is eliminated and instead a school district's general capital assets are reported and depreciated on the new statement of net assets and statement…

  13. Experience with the ASSET service in Slovakia

    International Nuclear Information System (INIS)

    Misak, J.

    1996-01-01

    The experience with the ASSET service in Slovakia is described, including the following: ASSET follow-up mission to Bohunice Unit 1-2 NPP; IAEA peer review of the national Incident Reporting System in the Slovak Republic; ASSET seminar on prevention of incidents, Bratislava, January 8-12, 1996

  14. Error analysis in Fourier methods for option pricing for exponential Lévy processes

    KAUST Repository

    Crocce, Fabian

    2015-01-07

    We derive an error bound for utilising the discrete Fourier transform method for solving Partial Integro-Differential Equations (PIDE) that describe european option prices for exponential Lévy driven asset prices. We give sufficient conditions for the existence of a L? bound that separates the dynamical contribution from that arising from the type of the option n in question. The bound achieved does not rely on information of the asymptotic behaviour of option prices at extreme asset values. In addition, we demonstrate improved numerical performance for select examples of practical relevance when compared to established bounding methods.

  15. Competitive Pricing by a Price Leader

    OpenAIRE

    Abhik Roy; Dominique M. Hanssens; Jagmohan S. Raju

    1994-01-01

    We examine the problem of pricing in a market where one brand acts as a price leader. We develop a procedure to estimate a leader's price rule, which is optimal given a sales target objective, and allows for the inclusion of demand forecasts. We illustrate our estimation procedure by calibrating this optimal price rule for both the leader and the follower using data on past sales and prices from the mid-size sedan segment of the U.S. automobile market. Our results suggest that a leader-follow...

  16. Commodity derivatives pricing with inventory effects

    DEFF Research Database (Denmark)

    Bach, Christian; Dziubinski, Matt P.

    We introduce tractable models for commodity derivatives pricing with inventory and volatility eects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating...... the relationship between inventory and volatility, we use the information available in options traded on futures. Second, performance assessment in the previous literature has primarily evolved around explaining moments of data or forecasting prices of futures. Instead, we asses the performance of our model...... by considering both the ability of explaining prices in-sample and out-of-sample - assessing both the pricing-performance and the hedging-performance of the models. Third, we model the futures surface rather than the spot price process, and from the no-arbitrage relationship between spot and futures prices we...

  17. Essays on modeling derivative claims. Essay titles: Essay 1. Modeling energy commodity futures: Is seasonality part of it? Essay 2. Modeling corporate liabilities under regime-switching asset volatility

    Science.gov (United States)

    Todorova, Milena

    Essay 1. The paper analyzes the price dynamics of two commodity futures prices---crude oil and natural gas. Some of the latest models of commodity prices are tested here---the two-factor model of Schwartz-Smith (2000), which nests other important models developed earlier. The two-factor model includes a mean-reverting short-term deviation and uncertain equilibrium level to which prices gravitate. The Schwartz-Smith two-factor model is the base case model in the paper. The model parameters of the Schwartz-Smith two-factor model are estimated from traded futures on natural gas and crude oil, using the fixed maturity format I create for futures prices. Analysis of the variance structure of natural gas prices suggests seasonality. The model is estimated on seasonally adjusted data. Model-based seasonality approaches are developed---seasonal dummies and a three-factor model with a stochastic seasonality component of log spot prices. The prediction ability of the various parameterized and non-parameterized versions of models with seasonality is compared in-sample and out-of-sample. The volatility functions model, based on principal components extraction from daily data, with seasonality in short-term volatility, seems to have the best forecasting ability, followed by the two-factor model on Kendall-type deseasonalized data and the seasonal dummies specification. Essay 2. This paper contributes to the extant structural model literature by introducing a time-varying risk-shifting barrier, to model asset substitution, and studying its theoretical and empirical implications on corporate credit spreads. Risk-shifting is expected to affect the default component of corporate spreads, because by switching to a higher level of asset volatility, managers precipitate the onset of distress and endogenously alter the probability of default. I test cross-sectionally whether the risk of volatility regime switching, measured by agency cost, is priced in market corporate spreads. The

  18. Capital structure and the redeployability of tangible assets

    NARCIS (Netherlands)

    Campello, M.; Giambona, E.

    2011-01-01

    We characterize the relation between corporate asset structure and capital structure by exploitingvariation in the salability of tangible assets. Theory suggests that tangibility increases borrowingcapacity because it allows creditors to more easily repossess a firm’s assets. Tangible assets,

  19. Capital structure and the redeployability of tangible assets

    NARCIS (Netherlands)

    Campello, M.; Giambona, E.

    2010-01-01

    We characterize the relation between corporate asset structure and capital structure by exploiting variation in the salability of tangible assets. Theory suggests that tangibility increases borrowing capacity because it allows creditors to more easily repossess a firm's assets. Tangible assets,

  20. Essence of assets and their circulation in the enterprise

    OpenAIRE

    Safonova N.; Blazhevich O.

    2017-01-01

    The article examines the essence of the company’s assets, concretized the concept of non-current and current assets. The scheme of the circuit the company's assets, given the comparative characteristic of non-current and current assets.

  1. Financial Assets [share, bonds] & Ancylia

    Science.gov (United States)

    Maksoed, Wh-

    2016-11-01

    Instead Elaine Scarry: "Thermonuclear monarchy" reinvent Carry Nation since Aug 17, 1965 the Republic of Indonesia's President speech: "Reach to the Star", for "cancellation" usually found in External Debt herewith retrieved from "the Window of theWorld": Ancylia, feast in March, a month named after Mars, the god of war. "On March 19 they used to put on their biggest performance of gymnastics in order to "bribe" their god for another good year", further we have vacancy & "vacuum tube"- Bulat Air karena Pembuluh, Bulat Kata karena Mufakat" proverb from Minangkabau, West Sumatra. Follows March 19, 1984 are first prototype flight of IAI Astra Jet as well as March 19, 2012 invoice accompanies Electric car Kujang-193, Fainancial Assets [share, bonds] are the answer for "infrastructure" & state owned enterprises assets to be hedged first initial debt per capita accordances. Heartfelt gratitudes to HE. Mr. Ir. Sarwono Kusumaatmadja/PT. Smartfren INDONESIA.

  2. Historical Cost Dan General Price Level Accounting: Analisis Relevansi Indikator Keuangan

    OpenAIRE

    -, Meythi; Teresa, Sheffie

    2012-01-01

    In conventional accounting, financial statements are based on the historical cost principle that assumes that prices (monetary unit) are stable. Conventional accounting recognizes neither changes in the general price level nor changes in the specific price level. Consequently, if there are any changes in purchasing power such as in inflation period, the historical financial statement are not economically relevant and also income is usually overstated, and the fixed assets are usually understa...

  3. Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets

    OpenAIRE

    Nakamura, Hisashi; Shiratsuka, Shigenori

    1999-01-01

    This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the entire probability distribution of the future values of underlying assets. Such information enables us to examine the development of market expectations. The paper estimates a time series of implied probability distributions from daily option prices on ...

  4. Brand Loyalty- a Valuable Asset

    OpenAIRE

    Petruºcã Claudia-Ioana; Brunello Adrian

    2011-01-01

    Brand loyalty represents a significant factor which leads to the development of business competitiveness and also it is one of the most frequently implemented marketing initiatives by the practitioners. The question of how loyalty develops has been subject to an abundance of research, leading to an expansive body of literature on loyalty determinants. This article focuses on brand loyalty as an important company asset. Defining the concept and typology of brand loyalty supports practitioners ...

  5. Selected Views on Fixed Assets in the Czech Economy

    Directory of Open Access Journals (Sweden)

    Drahomíra Dubská

    2011-03-01

    Full Text Available Gross fixed capital formation (investment in the Czech economy has been remaining the significant component of gross domestic product (GDP from expenditure side during last roughly decade – in spite of the modest decrease in its share in GDP in nominal terms (from less than one third in 1995 to just about one quarter in 2008. In real terms its share in the GDP shows more likely stagnation (from 29% in 1995 to 28% in 2008. But correlation between GDP and investment in the Czech Republic is weaker compared to EU27. The increases of the various types of fixed assets in the Czech economy in constant prices of the year 2000 show clearly more dynamic growth in machinery and equipment in comparison with the dwellings and other buildings and structures. NACE K Real estate, renting and business activities participated most in the total state quantity of the gross capital formation. Although the state of the gross fixed capital formation was growing on average by about 2%, y-o-y, the investment in dwellings in constant prices of the year 2000 only stagnated. Thearticle describes the reasons for that. The tangible assets in the households sector are mentioned, as well. The last part analyses current problems of investment in the Czech economy during economic crisis of 2009. Nevertheless, the fall of gross fixed capital formation in that year should not influence negatively the convergence of the Czech economy towards EU27 level.

  6. Regulation of Pharmaceutical Prices

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    On April 1, 2005, Denmark changed the way references prices, a main determinant of reimbursements for pharmaceutical purchases, are calculated. The previous reference prices, which were based on average EU prices, were substituted to minimum domestic prices. Novel to the literature, we estimate t...

  7. Modeling the coupled return-spread high frequency dynamics of large tick assets

    Science.gov (United States)

    Curato, Gianbiagio; Lillo, Fabrizio

    2015-01-01

    Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We present an approach based on the hidden Markov model, also known in econometrics as the Markov switching model, for the dynamics of price changes, where the latent Markov process is described by the transitions between spreads. We then use a finite Markov mixture of logit regressions on past squared price changes to describe temporal dependencies in the dynamics of price changes. The model can thus be seen as a double chain Markov model. We show that the model describes the shape of the price change distribution at different time scales, volatility clustering, and the anomalous decrease of kurtosis. We calibrate our models based on Nasdaq stocks and we show that this model reproduces remarkably well the statistical properties of real data.

  8. Value-based pricing

    OpenAIRE

    Netseva-Porcheva Tatyana

    2010-01-01

    The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

  9. Controlling Electricity Consumption by Forecasting its Response to Varying Prices

    DEFF Research Database (Denmark)

    Corradi, Olivier; Ochsenfeld, Henning Peter; Madsen, Henrik

    2013-01-01

    In a real-time electricity pricing context where consumers are sensitive to varying prices, having the ability to anticipate their response to a price change is valuable. This paper proposes models for the dynamics of such price-response, and shows how these dynamics can be used to control...... electricity consumption using a one-way price signal. Estimation of the price-response is based on data measurable at grid level, removing the need to install sensors and communication devices between each individual consumer and the price-generating entity. An application for price-responsive heating systems...... is studied based on real data, before conducting a control by price experiment using a mixture of real and synthetic data. With the control objective of following a constant consumption reference, peak heating consumption is reduced by nearly 5%, and 11% of the mean daily heating consumption is shifted....

  10. 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

  11. 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.

  12. Nonlinear price impact from linear models

    Science.gov (United States)

    Patzelt, Felix; Bouchaud, Jean-Philippe

    2017-12-01

    The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators, and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all intra-day scales (Patzelt and Bouchaud 2017 arXiv:1706.04163). Here we investigate how well these curves, their scaling, and the underlying return dynamics are captured by linear ‘propagator’ models. We find that the classification of trades as price-changing versus non-price-changing can explain the price impact nonlinearities and short-term return dynamics to a very high degree. The explanatory power provided by the change indicator in addition to the order sign history increases with increasing tick size. To obtain these results, several long-standing technical issues for model calibration and testing are addressed. We present new spectral estimators for two- and three-point cross-correlations, removing the need for previously used approximations. We also show when calibration is unbiased and how to accurately reveal previously overlooked biases. Therefore, our results contribute significantly to understanding both recent empirical results and the properties of a popular class of impact models.

  13. Forecasting Energy Commodity Prices Using Neural Networks

    Directory of Open Access Journals (Sweden)

    Massimo Panella

    2012-01-01

    Full Text Available A new machine learning approach for price modeling is proposed. The use of neural networks as an advanced signal processing tool may be successfully used to model and forecast energy commodity prices, such as crude oil, coal, natural gas, and electricity prices. Energy commodities have shown explosive growth in the last decade. They have become a new asset class used also for investment purposes. This creates a huge demand for better modeling as what occurred in the stock markets in the 1970s. Their price behavior presents unique features causing complex dynamics whose prediction is regarded as a challenging task. The use of a Mixture of Gaussian neural network may provide significant improvements with respect to other well-known models. We propose a computationally efficient learning of this neural network using the maximum likelihood estimation approach to calibrate the parameters. The optimal model is identified using a hierarchical constructive procedure that progressively increases the model complexity. Extensive computer simulations validate the proposed approach and provide an accurate description of commodities prices dynamics.

  14. Renewable energies: the Spanish assets

    International Nuclear Information System (INIS)

    Petit-Pez, Ch.; Molenat, G.

    2009-01-01

    Even though Spain is far away from the Kyoto protocol objectives, this country possesses numerous assets in terms of renewable energies. This report presents overviews of the present situation and of innovation and research activities in the different fields of renewable energies: wind energy, solar energy (thermal, thermoelectric and photovoltaic), hydraulic energy (dams, tide and wave energy), biomass (wood, bio-fuels, biogas). Along with these presentations, the authors propose tables and graphs of quantitative data concerning these different energy productions, at the national as well as at the regional level, with comparison with data for other European countries

  15. Nuclear asset management. Slide notes

    International Nuclear Information System (INIS)

    Puglia, W.; Bailey, H.; Kubinova, J.

    2004-01-01

    Nuclear asset management is defined as the process for making resource allocation and risk management decisions at all levels of nuclear generation business to maximize value/profitability for all stakeholders while maintaining plant safety. In the presentation, the NAM concept is explained, financial benefits achieved in US industry over the past 12 years are outlined, Data Systems and Solutions (DS and S) is presented as a joint venture between Rolls-Royce and SAIC, and NAM benefits in nuclear industry from DS and S client experience are demonstrated. (P.A.)

  16. Higher Education Prices and Price Indexes. 1978 Supplement.

    Science.gov (United States)

    Halstead, D. Kent; Hickson, Lenel

    The 1978 supplement to the basic study, Higher Education Prices and Price Indexes, presents higher education price index data for fiscal years 1971 through 1978. A price index series measures the effects of price change, and price change only, on a fixed group of items. The indexes reported here measure price changes from 1967, the reference date.…

  17. Price strategy and pricing strategy: terms and content identification

    OpenAIRE

    Panasenko Tetyana

    2015-01-01

    The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.

  18. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

    This paper provides new evidence on manufacturing firms' output prices: in Denmark, on average, exported varieties are sold at a lower price (i.e. a negative exporter price premium) relative to only domestically sold varieties. This finding stands in sharp contrast to previous studies, which have...... found positive exporter price premia. We also document that the exporter price premium varies substantially across products (both in terms of sign and magnitude). We show that in a standard heterogeneous firms model with heterogeneity in quality as well as production efficiency there is indeed no clear......-cut prediction on the sign of the exporter price premium. However, the model unambiguously predicts a negative exporter price premium in terms of quality-adjusted prices, i.e. prices per unit of quality. This prediction is broadly borne out in the Danish data: while the magnitude of the premium varies across...

  19. Asset Condition, Information Systems and Decision Models

    CERN Document Server

    Willett, Roger; Brown, Kerry; Mathew, Joseph

    2012-01-01

    Asset Condition, Information Systems and Decision Models, is the second volume of the Engineering Asset Management Review Series. The manuscripts provide examples of implementations of asset information systems as well as some practical applications of condition data for diagnostics and prognostics. The increasing trend is towards prognostics rather than diagnostics, hence the need for assessment and decision models that promote the conversion of condition data into prognostic information to improve life-cycle planning for engineered assets. The research papers included here serve to support the on-going development of Condition Monitoring standards. This volume comprises selected papers from the 1st, 2nd, and 3rd World Congresses on Engineering Asset Management, which were convened under the auspices of ISEAM in collaboration with a number of organisations, including CIEAM Australia, Asset Management Council Australia, BINDT UK, and Chinese Academy of Sciences, Beijing University of Chemical Technology, Chin...

  20. Pricing Power Options within the Heston Framework

    Directory of Open Access Journals (Sweden)

    Siti N.I. Ibrahim

    2013-03-01

    Full Text Available Numerous studies have presented evidence that certain financial assets may exhibit stochastic volatility or jumps, which cannot be captured within the Black-Scholes environment. This work investigates the valuation of power options when the variance follows the Heston model of stochastic volatility. A closed form representation of the characteristic function of the process is derived from the partial differential equation (PDE of the replicating portfolio. The characteristic function is essential for the computation of the European power option prices via the Fast Fourier Transform (FFT technique. Numerical results are presented. © 2012 Published by NTMSCI Selection and/or peer review under responsibility of NTMSCI Publication Society

  1. Competitive electricity markets, prices and generator entry and exit

    Science.gov (United States)

    Ethier, Robert George

    The electric power industry in the United States is quickly being deregulated and restructured. In the past, new electric generation capacity was added by regulated utilities to meet forecasted demand levels and maintain reserve margins. With competitive wholesale generation, investment will be the responsibility of independent private investors. Electricity prices will assume the coordinating function which has until recently been the responsibility of regulatory agencies. Competitive prices will provide the entry and exit signals for generators in the future. Competitive electricity markets have a distinctive price formation process, and thus require a specialized price model. A mean-reverting price process with stochastic jumps is proposed as an appropriate long-run price process for annual electricity prices. This price process is used to develop an analytic real options model for private investment decisions. The required recursive infinite series solutions have not been widely used for real option models. Entry thresholds and asset values for competitive wholesale electricity markets, and exit decisions for plants with significant retirement costs (i.e. nuclear power plants), are examined. The proposed model results in significantly lower trigger prices for both entry and exit decisions, and higher asset values, when compared with other standard models. The model is used to show that the incentives for retiring a nuclear plant are very sensitive to the treatment of decommissioning costs (e.g. if plant owners do not face full decommissioning costs, retirement decisions may be economically premature.) An econometric model of short-run price behavior is estimated by the method of maximum likelihood using daily electricity prices from markets in the USA and Australia. The model specifies two mean reverting price processes with stochastic Markov switching between the regimes, which allows discontinuous jumps in electricity prices. Econometric tests show that a two

  2. The strategic importance of identifying knowledge-based and intangible assets for generating value, competitiveness and innovation in sub-Saharan Africa

    Directory of Open Access Journals (Sweden)

    Nicoline Ondari-Okemwa

    2011-01-01

    Full Text Available This article discusses the strategic importance of identifying intangible assets for creating value and enhancing competitiveness and innovation in science and technology in a knowledge economy with particular reference to the sub- Saharan Africa region. It has always been difficult to gather the prerequisite information to manage such assets and create value from them. The paper discusses the nature of intangible assets, the characteristics of a knowledge economy and the role of knowledge workers in a knowledge economy. The paper also discusses the importance of identifying intangible assets in relation to capturing the value of such assets, the transfer of intangible assets to other owners and the challenges of managing organizational intangible assets. Objectives of the article include: underscoring the strategic importance of identifying intangible assets in sub-Saharan Africa; examining the performance of intangible assets in a knowledge economy; how intangible assets may generate competitiveness, economic growth and innovation; and assess how knowledge workers are becoming a dominant factor in the knowledge economy. An extensive literature review was employed to collect data for this article. It is concluded in the article that organizations and governments in sub-Saharan Africa should look at knowledge-based assets as strategic resources, even though the traditional accounting systems may still be having problems in determining the exact book value of such assets. It is recommended that organizations and government departments in sub-Saharan Africa should implement a system of the reporting of the value of intangible organizational assets just like the reporting of the value of tangible assets; and that organizations in sub-Saharan Africa should use knowledge to produce “smart products and services” which command premium prices.

  3. Macroeconomic Influences on Optimal Asset Allocation

    OpenAIRE

    Flavin, Thomas; Wickens, Michael R.

    2002-01-01

    We develop a tactical asset allocation strategy that incorporates the effects of macroeconomic variables. The joint distribution of financial asset returns and the macroeconomic variables is modelled using a VAR with a multivariate GARCH (M-GARCH) error structure. As a result, the portfolio frontier is time varying and subject to contagion from the macroeconomic variable. Optimal asset allocation requires that this be taken into account. We illustrate how to do this using three ri...

  4. Managing corporate assets to maximize value

    International Nuclear Information System (INIS)

    Rubin, L.

    1992-01-01

    As the utility industry environment becomes more complex, pressures grow for managers to make more effective use of all their assets - including fuel, equipment, and personnel. Improving the management of assets leads to the delivery of greater value to ratepayers, stockholders, and society. EPRI is sponsoring a broad research program to help utilities effectively apply the tools needed in these changing business conditions, especially the latest in cost and quality management and asset management techniques

  5. Intangible assets and firm-level productivity

    OpenAIRE

    Crass, Dirk; Peters, Bettina

    2014-01-01

    Firms invest huge amounts into intangible assets. This paper explores to which extent different kinds of intangible assets are conducive to firm-level produc- tivity. Our study contributes to the literature by simultaneously comparing productivity effects of innovative capital, human capital, branding capital and organizational capital and testing whether complementarity or substitutabil- ity exists between different intangible assets. Using panel data for the period 2006-20...

  6. Recording environmental assets in the national accounts

    OpenAIRE

    Carl Obst; Michael Vardon

    2014-01-01

    Accounting information is a core element of economic decision-making at both national and corporate levels. It is widely accepted that much economic activity is dependent upon natural capital and natural resources—generically termed environmental assets in an accounting context. Environmental assets are under threat of depletion and degradation from economic activity. Consequently, the incorporation of information on environmental assets into standard accounting frameworks is an essential ele...

  7. Application of Securitization of Leasing Assets

    OpenAIRE

    Igor Viktorovich Linev

    2014-01-01

    Securitization of leasing assets was widely adopted abroad within the last decades. Securitization of leasing assets usually is meant as process of formation of a portfolio based on future leasing payments of one and (or) more leasing company and sale of securities to investors for the subsequent refinancing of leasing operations. These securities can be bonds, actions or bills. Thus the asset leased, acts as providing these papers. Nomenclature of property includes office, medical (first of ...

  8. Valuation of intellectual property and intangible assets

    OpenAIRE

    2010-01-01

    M.Comm. Intangible assets are increasingly becoming the critical determinant of value creation and future profitability of most businesses. There is a clear distinction between the accounting treatment of physical assets and are reported on the firm’s balance sheets, but intangible assets are by large written off in the income statement, along with regular expenses such as wages, rents and interest. This distorted treatment of intangibles in an accounting sense, has dire consequences for m...

  9. Improvement to Biological Assets Valuation Documentation

    OpenAIRE

    Evgeniya Popko

    2013-01-01

    The article deals with the improvement concerning the documentation on the valuation of an agricultural enterprise's biological assets. The objective of the paper is to substantiate the need for the new forms of primary documents for valuation of biological assets at fair value. Based on existing specialized forms of primary documents for long-term and current biological assets accounting it has been found that they do not fully meet the farmers requirements. To eliminate the deficit of the a...

  10. 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)

  11. The Impact of Transfer Pricing on Tourism Entities

    Directory of Open Access Journals (Sweden)

    Păiuşan Luminiţa

    2017-01-01

    Full Text Available The purpose of this document is desired to brought a significant contribution of the controlactivity, and to discuss new methods to ensure transparency and to eliminate constant disputesbetween the public and private sector. Starting with these aspects, we are looking to highlightinternational fraud as accompanying phenomena of transnational structures and economicrelations, to explain its impact on the Romanian economy and to discus the key to finding themetholodgy to eradicate this phenomenon, and also to indicate our recommendations and opinionsto what we believe is necessary to eradicate this phenomenon. Transfer pricing is basically theprice used in the transfer of tangible and intangible assets and / or transfer of services betweenrelated parties, and this price should be based on market price without influence of the relationshipof affiliation. For services or tangible assets, the transfer price comparison with the market isrelatively easy to perform, but in the case of intangible assets, quantification of future benefits thatit gives to an affiliated person, in comparison to a situation where this would be to an independent,is difficult to determine.

  12. Optimal Asset Allocation under Quadratic Loss Aversion

    OpenAIRE

    Fortin, Ines; Hlouskova, Jaroslava

    2012-01-01

    Abstract: We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically thetwo-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the risky asset is finite, strictly positive and is minimal with respect to the reference point for a value strictly larger than the...

  13. 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 ...

  14. IMPAIRMENT OF ASSETS: A STUDY IN GLOBAL CRUDE-OIL COMPANIES

    Directory of Open Access Journals (Sweden)

    Carlos Roberto Godoy

    2012-11-01

    Full Text Available Oil and gas exploration and production (E&P is a typically capital-intensive activity, involves high risks and long investment maturity terms. These characteristics entail high asset values and difficulties to recover these capitalized values. Hence, the impairment test to check the possibility to recover these asset values is very important for this sector. In that context, the aim of this study was to undertake an analysis in order to identify how oil price and proven reserve variations are related to the impairment expenses attributed to oil E&P activities. An inverse relation was found between the impairment expenses attributed to E&P activities and the volume of discoveries and the net balance of reserve purchases and sales. The study did not confirm, however, that an inverse relation exists between the price and reserve volume and impairment expenses. The direct relation between production and impairment loss was not confirmed either.

  15. ASSET FIXITY, ASSET SPECIFICITY AND REGIONAL ECONOMIC CHANGE: HYPOTHESIS AND IMPLICATIONS

    OpenAIRE

    Ward, William A.; Hite, James C.

    1999-01-01

    That asset specificity and asset fixity are impediments to economic adjustment is well understood in the literatures of industrial organization and agricultural economics. In this paper, we show that spatial factors can plausible be expected to be arguments in functions that define asset fixity and specificity and, hence, asset fixity may be systematically related to space. The implications with regard to differences across space in rates of adjustment to market signals suggest that the short...

  16. Drug Pricing Reforms

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    2015-01-01

    Reference price systems for prescription drugs have found widespread use as cost containment tools. Under such regulatory regimes, patients co-pay a fraction of the difference between pharmacy retail price of the drug and a reference price. Reference prices are either externally (based on drug...... prices in other countries) or internally (based on domestic drug prices) determined. In a recent study, we analysed the effects of a change from external to internal reference pricing in Denmark in 2005, finding that the reform led to substantial reductions in prices, producer revenues, and expenditures...... for patients and the health insurance system. We also estimated an increase in consumer welfare but the size effect depends on whether or not perceived quality differences between branded and other drugs are taken into account....

  17. Natural gas pricing

    International Nuclear Information System (INIS)

    Freedenthal, C.

    1993-01-01

    Natural gas pricing is the heart and soul of the gas business. Price specifically affects every phase of the industry. Too low a price will result in short supplies as seen in the mid-1970s when natural gas was scarce and in tight supply. To fully understand the pricing of this energy commodity, it is important to understand the total energy picture. In addition, the effect and impact of world and US economies, and economics in general are crucial to understanding natural gas pricing. The purpose of this presentation will be to show the parameters going into US natural gas pricing including the influence of the many outside industry factors like crude oil and coal pricing, market drivers pushing the gas industry, supply/demand parameters, risk management for buyers and sellers, and other elements involved in pricing analysis

  18. PRICES IN COMPETITIVE SYSTEM

    Directory of Open Access Journals (Sweden)

    VADUVA MARIA

    2017-08-01

    Full Text Available Regularities of competitive market determine rules for determining prices and their dynamics. Orientation prices to competition (competitive pricing is the strategy most frequently used in countries with market economies and especially for exports. Moreover, in an economy dominated by market competition it cannot be ignored without certain risks the prices resulting from competition between products bidders. Companies that use this type of strategy seek to maintain a level of prices linked to that charged by other competitors (or exporting producers generally no longer covering production costs or demand, relying on the assumption that the average market price is a reasonable basis of costs. But the way how practical guidance and reporting to the competition in every price strategy, will be determined by the company's market position, by the available power and enjoyed prestige, objectives and prospects of its market share etc. according to these elements, there may be several versions of pricing strategies oriented to competitors.

  19. Airline Price Discrimination

    OpenAIRE

    Stacey, Brian

    2015-01-01

    Price discrimination enjoys a long history in the airline industry. Borenstein (1989) discusses price discrimination through frequent flyer programs from 1985 as related to the Piedmont-US Air merger, price discrimination strategies have grown in size and scope since then. From Saturday stay over requirements to varying costs based on time of purchase, the airline industry is uniquely situated to enjoy the fruits of price discrimination.

  20. Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles.

    OpenAIRE

    Rosas-Martinez, Victor H.

    2016-01-01

    There is a finite set of characteristics which can be present in a durable asset adding value to it, and that are not necessarily part of it in the moment of its adquisition. We represent formally how the expectations over the possible future characteristics of these goods influence its price, and get the conditions for the formation of bubbles, which allows us to propose mechanisms to avoid this kind of instinctive collective regimes. Posteriorly we extend our analysis to consider the case o...

  1. 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.

  2. Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

    OpenAIRE

    Richard M. Levich

    1983-01-01

    Theoretical and empirical research completed over the last decade has dramatically increased our understanding of exchange rate behavior. The major insight to come from this decade of research is that foreign exchange is a financial asset. In an asset pricing framework, current exchange rates reflect the expected values of future exogenous variables. The purpose of this paper is to survay the empirical evidence on exchange rate behavior, market efficiency and related topics. Section 2 present...

  3. Regulation of Pharmaceutical Prices

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Méndez, Susan J.; Rønde, Thomas

    2014-01-01

    Reference prices constitute a main determinant of patient health care reimbursement in many countries. We study the effects of a change from an "external" (based on a basket of prices in other countries) to an "internal" (based on comparable domestic products) reference price system. We find...

  4. Regulation of Pharmaceutical Prices

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Méndez, Susan J.; Rønde, Thomas

    Reference prices constitute a main determinant of patient health care reimbursement in many countries. We study the effects of a change from an "external" (based on a basket of prices in other countries) to an "internal" (based on comparable domestic products) reference price system. We find...

  5. Price control and macromarketing

    Directory of Open Access Journals (Sweden)

    Kancir Rade

    2003-01-01

    Full Text Available Price control at macro level is part of integral macro marketing strategic control system, or more precisely, part of social marketing mix control. Price impact is direct, if it is regarded in the context of needs satisfaction, and indirect, within the context of resource allocation. These two patterns of price impact define control mechanism structuring. Price control in sense of its direct impact at process of need satisfaction should comprise qualitative and quantitative level of needs satisfaction at a given price level and its structure, informational dimension of price and different disputable forms of corporate pricing policies. Control of price allocation function is based at objectives of macro marketing system management in the area of resource allocation and the role of price as allocator in contemporary market economies. Control process is founded, on one hand, at theoretical models of correlation between price and demand in different market structures, and on the other hand, at complex limits that price as allocator has, and which make whole control process even more complex because of reduction of the degree of determinism in functioning of contemporary economic systems. Control of price allocation function must be continuous and dynamic process if it is to provide for convergence with environmental changes and if it is to provide for placing control systems at micro marketing levels in the function of socially valid objectives.

  6. Simulating Price-Taking

    Science.gov (United States)

    Engelhardt, Lucas M.

    2015-01-01

    In this article, the author presents a price-takers' market simulation geared toward principles-level students. This simulation demonstrates that price-taking behavior is a natural result of the conditions that create perfect competition. In trials, there is a significant degree of price convergence in just three or four rounds. Students find this…

  7. OPTIMIZING HOTEL DYNAMIC PRICES

    Directory of Open Access Journals (Sweden)

    A. M. Bandalouski

    2016-01-01

    Full Text Available An approach to solvе a problem of determining optimal dynamic prices for hotel rooms is suggested. It includes selection of input parameters for the succeeding mathematical analysis, disaggregation of the demand into several categories, demand forecasting, simulation of demand- price relations, and a mathematical programming model for price optimization.

  8. The application of statistical methods to assess economic assets

    Directory of Open Access Journals (Sweden)

    D. V. Dianov

    2017-01-01

    Full Text Available The article is devoted to consideration and evaluation of machinery, equipment and special equipment, methodological aspects of the use of standards for assessment of buildings and structures in current prices, the valuation of residential, specialized houses, office premises, assessment and reassessment of existing and inactive military assets, the application of statistical methods to obtain the relevant cost estimates.The objective of the scientific article is to consider possible application of statistical tools in the valuation of the assets, composing the core group of elements of national wealth – the fixed assets. Firstly, capital tangible assets constitute the basis of material base of a new value creation, products and non-financial services. The gain, accumulated of tangible assets of a capital nature is a part of the gross domestic product, and from its volume and specific weight in the composition of GDP we can judge the scope of reproductive processes in the country.Based on the methodological materials of the state statistics bodies of the Russian Federation, regulations of the theory of statistics, which describe the methods of statistical analysis such as the index, average values, regression, the methodical approach is structured in the application of statistical tools to obtain value estimates of property, plant and equipment with significant accumulated depreciation. Until now, the use of statistical methodology in the practice of economic assessment of assets is only fragmentary. This applies to both Federal Legislation (Federal law № 135 «On valuation activities in the Russian Federation» dated 16.07.1998 in edition 05.07.2016 and the methodological documents and regulations of the estimated activities, in particular, the valuation activities’ standards. A particular problem is the use of a digital database of Rosstat (Federal State Statistics Service, as to the specific fixed assets the comparison should be carried

  9. 76 FR 78594 - Reporting of Specified Foreign Financial Assets

    Science.gov (United States)

    2011-12-19

    ... Reporting of Specified Foreign Financial Assets AGENCY: Internal Revenue Service (IRS), Treasury. ACTION... foreign financial assets and the value of those assets is more than the applicable reporting threshold... hold specified foreign financial assets generally will be excepted from reporting such assets under...

  10. 26 CFR 1.168(i)-1 - General asset accounts.

    Science.gov (United States)

    2010-04-01

    ..., the adjustments to the general asset account described in paragraph (e)(3)(iii)(C)(2) through (4) of... taxpayer must remove the relinquished asset from the general asset account and make the adjustments to the... the general asset account as of that day and must make the adjustments to the general asset account...

  11. On the management and operation of enterprises intangible asset

    Science.gov (United States)

    Zhu, Yu; Wang, Hong

    2011-10-01

    Since entering the knowledge economy, the management of intangible assets becomes an important part of manage, this article discusses the problem of management on intangible assets, the properties of intangible assets, and the channels of management and operation on intangible assets, and stressed the important role of intangible assets in the development and innovation of the enterprise.

  12. ASSET experience at Paks NPP

    International Nuclear Information System (INIS)

    Szabo, I.

    1997-01-01

    At Paks NPP special attention has been paid to international reviews since the very beginning of operation. Several international teams visited Paks in order to provide independent assessment of plant performance, conditions and safety. Paks NPP Management has the further intention to invite international reviews regularly (yearly) in the future as well. The experience gained during these reviews helped to establish a unified process of preparation for the reviews, performing them and handling the results. The Safety Department is in charge of organization of the whole process. All these reviews have their specific features and they are focused on different areas. The ASSET reviews provides the assessment of plant performance and safety through the analysis of safety significant events, which have occurred at the nuclear power plant. This approach makes this review specific and different from the other ones

  13. Future Assets, Student Talent (FAST)

    Science.gov (United States)

    1992-01-01

    Future Assets, Student Talent (FAST) motivates and prepares talented students with disabilities to further their education and achieve High Tech and professional employment. The FAST program is managed by local professionals, business, and industry leaders; it is modeled after High School High Tech project TAKE CHARGE started in Los Angeles in 1983. Through cooperative efforts of Alabama Department of Education, Vocational Rehabilitation, Adult and Children Services, and the President's Committee on Employment of People with Disabilities, north central Alabama was chosen as the second site for a High School High Tech project. In 1986 local business, industry, education, government agencies, and rehabilitation representatives started FAST. The program objectives and goals, results and accomplishments, and survey results are included.

  14. Analyzing the effects of past prices on reference price formation

    OpenAIRE

    van Oest, R.D.; Paap, R.

    2004-01-01

    textabstractWe propose a new reference price framework for brand choice. In this framework, we employ a Markov-switching process with an absorbing state to model unobserved price recall of households. Reference prices result from the prices households are able to remember. Our model can be used to learn how many prices observed in the past are used for reference price formation. Furthermore, we learn to what extent households have sufficient price knowledge to form an internal reference price...

  15. 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.

  16. Proceedings: 2001 Nuclear Asset Management Workshop

    International Nuclear Information System (INIS)

    2002-01-01

    The fourth annual EPRI Nuclear Asset Management Workshop helped decision makers at all levels of nuclear enterprises to keep informed about developing nuclear asset management (NAM) processes, methods, and tools. The goal is to operate nuclear plants with enhanced profitability, while maintaining safety

  17. Asset management methodology in NPP Cofrentes

    International Nuclear Information System (INIS)

    Galbally, D.; Feijo, J. P.; Sierra, M.

    2011-01-01

    The Cofrentes asset management plan is articulated around the tool SIGAN (computer management system of nuclear assets), this tool allows you to structure in an objective and documented the investment plan aimed at modernization and management of the plant life, achieving a consensus among the parties involved in terms of planning development and implementation.

  18. Analytical Provision of Management of Intangible Assets

    Directory of Open Access Journals (Sweden)

    Shelest Viktoriya S.

    2013-11-01

    Full Text Available The goal of the article lies in the study of the process of conduct of economic analysis of such a complex product of the innovation and information society as objects of intellectual property, which are accepted in business accounting as intangible assets. All-absorbing integration processes in the economy and large-scale propagation of information technologies influence the capital structure. Thus, accepting intangible assets as a driving factor of competitiveness, enterprises prefer namely these assets, reducing the share of tangible assets. Taking this into account the scientists thoroughly studied the issues of economic analysis of intangible assets, since the obtained data are the main source of accounting and analytical information required for making weighted managerial decisions. At the same time, the issues of authenticity, accuracy, efficiency and transparency of the obtained results become topical. In the process of the study the article shows information content of the accounting and analytical data due to introduction of accounting and conduct of economic analysis of intangible assets. The article considers the modern state of the methods of analysis of intangible assets based on opinions of scientists. It characterises economic and legal state of development of licence agreements in Ukraine. It justifies economic expediency of use of such agreements. It forms the ways of making efficient managerial decisions on use of intangible assets in economic activity of subjects of entrepreneurship.

  19. Gaining Insight into an Organization's Fixed Assets.

    Science.gov (United States)

    Hardy, Elisabet

    2003-01-01

    Discusses issues related to school district implementation of June 2001 Government Accounting Standards Board (GASB) Statement 34 designed to change how schools report fixed assets. Includes planning for GASB implementation, conducting fixed-asset inventories, and making time for GASB reporting. (PKP)

  20. DYNAMIC AND STRUCTURAL ANALYSIS OF TANGIBLE ASSETS

    Directory of Open Access Journals (Sweden)

    ECOBICI MIHAELA LOREDANA

    2016-12-01

    Full Text Available Any company’s economic activity uses material resources in order to achieve the business objective. These consist of two categories of assets: fixed assets, especially the tangible and current assets and their efficient use and operation are some of the most important conditions for the smooth running of the production of a company. Tangible assets constitute the basic assets that any company can use over a period of 1 year and more and contribute to the production of goods, execution of works and provision of services, or they may be used for administrative purposes. Research and conslusions concerning this issue have resulted in the premises of a successful production activity of the company, in which the role, the importance and the effectiveness of the use of fixed assets will always constitute the basis for a obtaining satisfactory performance. The purpose of this article is the approach and illustration of the use of fixed assets, taking into consideration the following aspects: the structural and the dynamic analysis, as well as the analysis of the influence of the components of fixed assets.

  1. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  2. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  3. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...

  4. Internet resource pricing models

    CERN Document Server

    Xu, Ke; He, Huan

    2013-01-01

    This brief guides the reader through three basic Internet resource pricing models using an Internet cost analysis. Addressing the evolution of service types, it presents several corresponding mechanisms which can ensure pricing implementation and resource allocation. The authors discuss utility optimization of network pricing methods in economics and underline two classes of pricing methods including system optimization and entities' strategic optimization. The brief closes with two examples of the newly proposed pricing strategy helping to solve the profit distribution problem brought by P2P

  5. Value-based pricing

    Directory of Open Access Journals (Sweden)

    Netseva-Porcheva Tatyana

    2010-01-01

    Full Text Available The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

  6. AN ECOSYSTEM PERSPECTIVE ON ASSET MANAGEMENT INFORMATION

    Directory of Open Access Journals (Sweden)

    Lasse METSO

    2017-07-01

    Full Text Available Big Data and Internet of Things will increase the amount of data on asset management exceedingly. Data sharing with an increased number of partners in the area of asset management is important when developing business opportunities and new ecosystems. An asset management ecosystem is a complex set of relationships between parties taking part in asset management actions. In this paper, the current barriers and benefits of data sharing are identified based on the results of an interview study. The main benefits are transparency, access to data and reuse of data. New services can be created by taking advantage of data sharing. The main barriers to sharing data are an unclear view of the data sharing process and difficulties to recognize the benefits of data sharing. For overcoming the barriers in data sharing, this paper applies the ecosystem perspective on asset management information. The approach is explained by using the Swedish railway industry as an example.

  7. An Ecosystem Perspective On Asset Management Information

    Science.gov (United States)

    Metso, Lasse; Kans, Mirka

    2017-09-01

    Big Data and Internet of Things will increase the amount of data on asset management exceedingly. Data sharing with an increased number of partners in the area of asset management is important when developing business opportunities and new ecosystems. An asset management ecosystem is a complex set of relationships between parties taking part in asset management actions. In this paper, the current barriers and benefits of data sharing are identified based on the results of an interview study. The main benefits are transparency, access to data and reuse of data. New services can be created by taking advantage of data sharing. The main barriers to sharing data are an unclear view of the data sharing process and difficulties to recognize the benefits of data sharing. For overcoming the barriers in data sharing, this paper applies the ecosystem perspective on asset management information. The approach is explained by using the Swedish railway industry as an example.

  8. USING RF TECHNOLOGY FOR PROTECTED ASSET TRACKING

    International Nuclear Information System (INIS)

    Younkin, James R.; Pickett, Chris A.; Richardson, Dave; Stinson, Brad J.

    2008-01-01

    The Oak Ridge National Laboratory (ORNL) is working on systems that use a new radio frequency (RF) technology called Rubee to manage and inventory many types of protected assets, including weapons housed in Department of Energy (DOE) armories, tooling, and nuclear material containers. Rubee is being considered for an IEEE Standard, and is used on several projects at ORNL because of its high performance when used in, on, and around metal-an environment that is typical of that found in an armory vault and that of many other protected assets locations within nuclear facilities. The primary objective using Rubee is to supply sustainable technology that provides timely information on the status and location of protected assets. This paper focuses on the results from a deployment of this technology at a DOE armory and discusses the applicability of Rubee for use with other protected assets within nuclear facilities. Key Words: Rubee, low radio frequency, protected assets

  9. Poverty and price transmission

    DEFF Research Database (Denmark)

    Elleby, Christian

    A key parameter determining the welfare impact from a world market shock is the transmission elasticity which measures the average domestic response to an international price change. Many studies have estimated price transmission elasticities for a large number of countries but the variation...... in these estimates is so far largely unexplored. This paper proposes a model which explains a country's domestic price response to world market shocks in terms of its demand structure. The model delivers two testable predictions; price transmission is increasing in per capita food expenditure and in income...... inequality. The empirical analysis of price changes during the food crises confirms these predictions with a caveat. I find significant inverse U-shaped relationships between domestic food price growth in 2007-8 and 2010-11 and per capita food expenditure. Unequal countries also experienced higher price...

  10. Customer Markets and Price Sensitivity.

    OpenAIRE

    Nishimura, Kiyohiko G

    1989-01-01

    This paper investigates the behavior of prices in customer markets of the Phelps-Winter type under uncertainty. It is shown that the responsiveness of prices to short-run demand and cost changes depends crucially on whether the marginal customer is price risk averse or price risk loving. If he is price risk averse (loving), then the customer market price is less (more) flexible than the monopoly price. Competition makes the customer market price more rigid (flexible) if the marginal customer ...

  11. Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

    Directory of Open Access Journals (Sweden)

    Ying Wang

    2016-12-01

    Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.

  12. Price returns efficiency of the Shanghai A-Shares

    Science.gov (United States)

    Long, Wang Jiang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

    2014-06-01

    Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

  13. On the relationship between financial measures and contractor pricing strategy: Empirical tests in the defense aerospace industry

    OpenAIRE

    Moses, O. Douglas

    1987-01-01

    This report includes two separate but related empirical studies of the relationship between financial measures for defense aerospace contractors and pricing strategies adopted by contractors. Two pricing strategies are identified: skimming and penetration. Collectively the findings indicate that the adoption of a particular pricing strategy is associated with the financial condition of the contractor as reflected in measures of risk, asset utilization and organizational slack. Keywords: Finan...

  14. 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.

  15. Development of transportation asset management decision support tools : final report.

    Science.gov (United States)

    2017-08-09

    This study developed a web-based prototype decision support platform to demonstrate the benefits of transportation asset management in monitoring asset performance, supporting asset funding decisions, planning budget tradeoffs, and optimizing resourc...

  16. 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

  17. Monitoring highway assets using remote sensing technology : research spotlight.

    Science.gov (United States)

    2014-04-01

    Collecting inventory data about roadway assets is a critical part of : MDOTs asset management efforts, which help the department operate, : maintain and upgrade these assets cost-effectively. Federal law requires : that states develop a risk-based...

  18. 6th World Congress on Engineering Asset Management

    CERN Document Server

    Ni, Jun; Sarangapani, Jagnathan; Mathew, Joseph

    2014-01-01

    This text represents state-of-the-art trends and developments in the emerging field of engineering asset management as presented at the Sixth World Congress on Engineering Asset Management (WCEAM) held in Cincinnati, OH, USA from October 3-5, 2011 The Proceedings of the WCEAM 2011 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 lifecycle integrity of physical assets • Deterioration and preservation models for 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 • Intellig...

  19. Analysis of Options Contract, Option Pricing in Agricultural Products

    Directory of Open Access Journals (Sweden)

    H. Tamidy

    2016-03-01

    Full Text Available Introduction: Risk is an essential component in the production and sale of agricultural products. Due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of prices. On the other hand, the firms that process agricultural products also face fluctuation of price of agricultural inputs. Given that the Canola is considered as one of the inputs of product processing factories, control of unpredictable fluctuations of the price of this product would increase the possibility of correct decision making for farmers and managers of food processing industries. The best available tool for control and management of the price risk is the use of future markets and options. It is evident that the pricing is the main pillar in every trade. Therefore, offering a fair price for the options will be very important. In fact, options trading in the options market create cost insurance stopped. In this way, which can reduce the risks of deflation created in the future, if the person entitled to the benefits of the price increase occurs in the future. Unlike the futures, market where the seller had to deliver the product on time, in the options market, there is no such compulsion. In addition, this is one of the strengths of this option contract, because if there is not enough product for delivery to the futures market as result of chilling, in due course, the farmers suffer, but in the options market there will be a loss. In this study, the setup options of rape, as a product, as well as inputs has been paid for industry. Materials and Methods: In this section. The selection criteria of the disposal of asset base for valuation of European put options and call option is been introduced. That for obtain this purpose, some characteristics of the goods must considered: 1-Unpredictable fluctuations price of underlying asset 2 -large underlying asset cash market 3- The possibility

  20. Towards Dynamic Criticality-Based Maintenance Strategy for Industrial Assets

    OpenAIRE

    Adams, Joel; Srinivasan, Rengarajan; Parlikad, Ajith Kumar; Diaz, V; Crespo, Marquez A

    2016-01-01

    An asset’s risk is a useful indicator for determining optimal time of repair/replacement for assets in order to yield minimal operational cost of maintenance. For a successful asset management practice, asset-intensive organisations must understand the risk profile associated with their asset portfolio and how this will change over time. Unfortunately, in many risk-based asset management approaches, the only thing that is known to change in the risk profile of the asset is the likelihood (or ...

  1. Environmental performance, profitability, asset utilization, debt monitoring and firm value

    Science.gov (United States)

    Bukit, R. Br; Haryanto, B.; Ginting, P.

    2018-02-01

    The growing issue on firm value shows that firm value is not only determined by the firm ability to increase financial profit, but also by the company's concern in maintaining the environmental condition. The industrial development produces waste that pollutes the environment that has potential to serious impact on the next life. In addition to provide financial benefits, companies are increasingly facing pressure to be socially responsible for the survival of the company. However, past findings demonstrate that the effect of environmental performance, profitability, and asset utilization to the firm’s value are still unclear. This study aims to test whether environmental performance, firm profitability and asset utilization can effectively enhance firm value in two different conditions: intensive debt monitoring and less intensive debt monitoring. Sample of companies is taken from the list of Indonesia Stock Exchange during the period of 2013 to 2015. Using multiple regression analysis, discloses that: in intensive monitoring, managers tend to have high firm value when company has high environmental performance and or high profitability and high asset utilization. Monitoring system needs to be intensified especially for companies with the above characteristics.

  2. 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.

  3. Accounting valuation development of specific assets

    Directory of Open Access Journals (Sweden)

    I.V. Zhigley

    2017-12-01

    Full Text Available The current issues of accounting estimate development are considered. The necessity of the development of accounting estimate in the context of the non-institutional theory principles based on the selection of a number of reasons is grounded. The reasons for deterioration of accounting reputation as a separate socio-economic institute in the context of developing the methodology for specific assets accounting are discovered. The system of normative regulation of accounting estimate of enterprise non-current assets in the case of diminishing their usefulness is analyzed. The procedure for determining and accounting for the depreciation of assets in accordance with IFRS 36 «Depreciation of Assets» is developed. The features of the joint use of the concept of «value in use» and «fair value» in the accounting system are disclosed. The procedure for determining the value of compensation depending on the degree of specificity of assets is developed. The necessity to clarify the features that indicate the possibility of diminishing the usefulness of specific assets (termination or pre-term termination of the contract for the use of a specific asset is grounded.

  4. A Heterogeneous Agent Model of Asspet Price with Three Time Delays

    Directory of Open Access Journals (Sweden)

    Akio Matsumoto

    2016-09-01

    Full Text Available This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists, and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases.

  5. The Financial Indicators’ and Listed Company‘s Stock Price Link Determining the Value

    Directory of Open Access Journals (Sweden)

    Rima Tamošiūnienė

    2016-06-01

    Full Text Available The demand for value determination increased after rising of the Lithuanian economics. The joint-stock company value depends on the stock price and the company’s profit according to the “stock pricing for profit” method. The purpose of this scientific paper is the financial indicators’ and listed company’s stock price link determining the value. The analysis methods are: the research of scientific literature, data analysis, summarizing and graphic visualization. The link between financial indicators and the stock price is determined on the basis of correlation regression analysis. The analysis showed that listed on the stock exchange company’s stocks already have some value as they raise the capital. The research results revealed the stock price’s direct dependence on the fixed asset turnover and the debt-to-asset ratios.

  6. Assets optimization at Heavy Water Plants

    International Nuclear Information System (INIS)

    Hiremath, S.C.

    2006-01-01

    In the world where the fittest can only survive, manufacturing and production enterprises are under intense pressure to achieve maximum efficiency in each and every field related to the ultimate production of plant. The winners will be those that use their assets, i.e men, material, machinery and money most effectively. The objective is to optimize the utilization of all plant assets-from entire process lines to individual pressure vessels, piping, process machinery, and vital machine components. Assets of Heavy Water Plants mainly consist of Civil Structures, Equipment and Systems (Mechanical, Electrical) and Resources like Water, Energy and Environment

  7. 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.

  8. Life cycle management of hydro assets

    International Nuclear Information System (INIS)

    Meel, H.W. de

    1998-01-01

    Acres International Ltd. has developed and implemented a risk-based approach to the management of hydro plant assets in a least-cost manner. Recently, the Canadian Energy Association initiated a study to enhance Acres' asset management model to derive practical and efficient programs for rehabilitation of hydroelectric power plants. The study also determined the feasibility of developing suitable failure probability curves for some plant components including woodstave penstocks, steel penstocks and transformers. The study showed that the asset management model is also useful in determining the optimum timing for implementing capital remedial measures. 15 refs., 1 tab., 7 figs

  9. Pricing public transport services

    OpenAIRE

    Jansson, Jan Owen; Holmgren, Johan; Ljungberg, Anders

    2015-01-01

    This chapter aims at outlining pricing policy for public transport that maximizes the social surplus, that is, the sum of the producer surplus and the consumer surplus, while internalizing possible system-external costs. It starts by presenting the door-to-door transport cost as a key concept in price theory for public transport, and then first principles of optimal pricing valid for all modes of public transport are laid down. These principles are applied to urban (short-distance) public tra...

  10. Pricing of new vaccines

    OpenAIRE

    Lee, Bruce Y; McGlone, Sarah M

    2010-01-01

    New vaccine pricing is a complicated process that could have substantial long-standing scientific, medical and public health ramifications. Pricing can have a considerable impact on new vaccine adoption and, thereby, either culminate or thwart years of research and development and public health efforts. Typically, pricing strategy consists of the following eleven components: (1) Conduct a target population analysis; (2) Map potential competitors and alternatives; (3) Construct a vaccine targe...

  11. Price-elastic demand in deregulated electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Siddiqui, Afzal S.

    2003-05-01

    The degree to which any deregulated market functions efficiently often depends on the ability of market agents to respond quickly to fluctuating conditions. Many restructured electricity markets, however, experience high prices caused by supply shortages and little demand-side response. We examine the implications for market operations when a risk-averse retailer's end-use consumers are allowed to perceive real-time variations in the electricity spot price. Using a market-equilibrium model, we find that price elasticity both increases the retailers revenue risk exposure and decreases the spot price. Since the latter induces the retailer to reduce forward electricity purchases, while the former has the opposite effect, the overall impact of price responsive demand on the relative magnitudes of its risk exposure and end-user price elasticity. Nevertheless, price elasticity decreases cumulative electricity consumption. By extending the analysis to allow for early settlement of demand, we find that forward stage end-user price responsiveness decreases the electricity forward price relative to the case with price-elastic demand only in real time. Moreover, we find that only if forward stage end-user demand is price elastic will the equilibrium electricity forward price be reduced.

  12. Dynamic option pricing with endogenous stochastic arbitrage

    Science.gov (United States)

    Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo

    2010-09-01

    Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.

  13. Alternative pricing methodologies

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    With the increased interest in competitive market forces and growing recognition of the deficiencies in current practices, FERC and others are exploring alternatives to embedded cost pricing. A number of these alternatives are discussed in this chapter. Marketplace pricing, discussed briefly here, is the subject of the next chapter. Obviously, the pricing formula may combine several of these methodologies. One utility of which the authors are aware is seeking a price equal to the sum of embedded costs, opportunity costs, line losses, value of service, FERC's percentage adder formula and a contract service charge

  14. Structural and behavioural foundations of competitive electricity prices

    International Nuclear Information System (INIS)

    Bunn, D.W.

    2004-01-01

    This chapter presents a basic introduction to price formation in the new electricity markets and examines power system economics and electricity market liberalisation. Topics discussed include wholesale electricity prices, the case of gas, the effect of the instantaneous nature of the electricity product, spot markets for electricity, and the ability of industrial companies to influence prices. Market fundamentals are reviewed, and institutional reform and strategic evolution are explored. British daily average power and gas prices, monthly forward prices on the British power and gas markets, seasonal demand profile, electricity demand UK 98/00, annual cost of each plant, price formation in 1997, and monthly demand and wholesale prices in England and Wales 1990-1998 are among the graphs provided

  15. TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION

    OpenAIRE

    Olan T. Henry; Nilss Olekalns; Kalvinder Shields

    2004-01-01

    The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and asymmetry in the measure of country risk. and the implied benefit to international diversification. The evidence implies that the price of risk and the benefits from diversification may differ in a statistically and economically meaningful fashi...

  16. Determinants of contractor pricing strategy

    OpenAIRE

    Moses, O. Douglas

    1988-01-01

    This paper investigates pricing strategies used by major defense contractors. Two pricing strategies are identified and discussed: penetration, which calls for a relatively low initial price followed by little reduction in price over time, and skimming, which calls for a relatively high initial price coupled with greater reduction in price over time. It is argued that contractor pricing strategy will depend on features of the defense program under consideration and featur...

  17. Online and official price indexes: Measuring Argentina's inflation

    OpenAIRE

    Cavallo, Alberto F.

    2013-01-01

    Prices collected from online retailers can be used to construct daily price indexes that complement official statistics. This paper studies their ability to match official inflation estimates in five Latin American countries, with a focus on Argentina, where official statistics have been heavily criticized in recent years. The data were collected between October 2007 and March 2011 from the largest supermarket in each country. In Brazil, Chile, Colombia, and Venezuela, online price indexes ap...

  18. Equitable Prices of Single-Source Drugs in Thailand.

    Science.gov (United States)

    Ngorsuraches, Surachat; Chaiyakan, Kanokkan

    2015-08-01

    In Thailand, total drug expenditure has grown rapidly. Recently, the Thai government has addressed the issue of drug pricing, but the prices of single-source drugs remain a major challenge. To examine equitable prices of single-source drugs in Thailand. A total of 98 single-source and high-expenditure drugs were examined. Unit prices from the Drug and Medical Supplies Information Center (DMSIC) and National Average Drug Acquisition Cost (NADAC) were used to represent drug prices at the provider level in Thailand and the U.S., respectively. Data for measuring drug affordability, e.g., dose and poverty line, were obtained from Micromedex online and the National Statistical Office (NSO). The U.S. drug prices were adjusted by the Human Development Index (HDI) to be equitable prices for Thailand. Purchasing Power Parity (PPP) was used to convert US currency into Thai baht. All prices in this study were based on the year 2012. Catastrophic, Impoverishment, and WHO/Health Action International (HAI) approaches were used to determine Thai citizens' ability to afford the study drugs. Finally, uncertainty analyses were conducted. From all study drugs, 55 single-source drugs were priced higher than their equitable prices, ranging from 0.38 to 422.36% higher. Among these, 28 items were antineoplastic drugs. The prices of drugs outside the National List of Essential Medicines (NLEM), as well as the country's newer drugs, tended to be higher than their calculated equitable prices. The majority of drugs in Thailand priced higher than equitable prices were unaffordable for most Thai citizens. The uncertainty analyses revealed that almost all results were relatively robust. Most single-source drug prices in Thailand were higher than their equitable prices, and were likely to be unaffordable to Thai citizens.

  19. Estimating inpatient hospital prices from state administrative data and hospital financial reports.

    Science.gov (United States)

    Levit, Katharine R; Friedman, Bernard; Wong, Herbert S

    2013-10-01

    To develop a tool for estimating hospital-specific inpatient prices for major payers. AHRQ Healthcare Cost and Utilization Project State Inpatient Databases and complete hospital financial reporting of revenues mandated in 10 states for 2006. Hospital discharge records and hospital financial information were merged to estimate revenue per stay by payer. Estimated prices were validated against other data sources. Hospital prices can be reasonably estimated for 10 geographically diverse states. All-payer price-to-charge ratios, an intermediate step in estimating prices, compare favorably to cost-to-charge ratios. Estimated prices also compare well with Medicare, MarketScan private insurance, and the Medical Expenditure Panel Survey prices for major payers, given limitations of each dataset. Public reporting of prices is a consumer resource in making decisions about health care treatment; for self-pay patients, they can provide leverage in negotiating discounts off of charges. Researchers can also use prices to increase understanding of the level and causes of price differentials among geographic areas. Prices by payer expand investigational tools available to study the interaction of inpatient hospital price setting among public and private payers--an important asset as the payer mix changes with the implementation of the Affordable Care Act. © Published 2013. This article is a U.S. Government work and is in the public domain in the USA.

  20. Risk-free assets: Are they truly risk-free? A comparative study of South African rates and instruments

    Directory of Open Access Journals (Sweden)

    Oosthuizen, A.V.

    2013-10-01

    Full Text Available Determining the price of a financial instrument is something that happens every day in the financial markets. Every price starts off with a spot price adjusted for interest until maturity of the particular instrument. The interest is usually described as risk-free interest. The price so determined is the most basic price that an investor is willing to pay if not risk is involved. Risk-free assets, then, are securities of which the future rates of return are known with certainty. An exceptional degree of confidence in the issuer of the security brings about this certainty. Risk-free assets are normally in the fixed income securities (capital markets investment category or in the liquid money market instruments such as treasury bills, category. This study attempts to determine whether the risk-free rates used by treasury managers and traders in South Africa to formulate their bond yield curves and which are used in valuation models, may be deemed risk-free. The study specifies certain criteria that an asset must satisfy in order to be used as a risk-free asset. Short term and long term South African instruments are compared to the US counterpart instruments, to gain an understanding of the South African instruments relative to the US ones. The behaviour of the risk-free instruments used in South Africa is also compared to the FTSE/JSE All Share Index and gold spot prices, which are perceived to be a risky asset classes. To gain some understanding of the behaviour of these instruments, analyses were done from different angles. The standard deviations of the daily percentage changes of the R157 were significantly lower than that of the ALSI and the gold spot price change. Compared to the ALSI and gold spot price, therefore, the R157 may be deemed a “low risk” instrument. The JIBAR was even less volatile that the R157. Interestingly, the US instruments were substantially more risky than the SA instruments over the analysis period. Also the JIBAR

  1. Financial, operating results, assets total down for OGJ300

    International Nuclear Information System (INIS)

    Anon.

    1993-01-01

    Financial and operating results of the Oil and Gas Journal 300 dropped again in 1992. It was the second consecutive set of declines for OGJ's list of the largest publicly traded, oil and gas producing companies in the U.S. Totals fell from 1991 results in almost all categories for financial and operating performance. Group net income fell sharply in 1992. Large, integrated companies reported sharp earnings declines, many of them related to special charges for restructuring and mandatory accounting changes. In addition, revenues were suppressed by lower crude and product prices below levels of 1991 and a decline in total crude production. This was partially offset by higher prices and demand for natural gas and by increased demand for petroleum products. The paper discusses the economic situation in the petroleum and natural gas industries then gives extensive data on the following: total assets, total income, net income, stockholders' equity, capital spending, worldwide and US liquids production, worldwide and US natural gas production, worldwide and US liquids reserves, worldwide and US natural gas reserves, and US net wells drilled

  2. 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.

  3. APPROACHES CONCERNING ACCOUNTING OF INTANGIBLE ASSETS

    Directory of Open Access Journals (Sweden)

    Gheorghe MOROSAN

    2016-02-01

    Full Text Available Given the importance of intangible assets in the company the paper aims to establish criteria for recognizing and measuring these assets through which the company can not only reflect the true value and its carrying amount. The main objective is to formulate a logical definition of intangible assets in accounting terms that allows their recognition in financial reporting to help build an accurate image of the company. It will demonstrate how important intangible assets for a successful company are and how they can help develop the economy and especially the Romanian economy. The secondary objectives are: - Setting limits in the valuation of intellectual capital from the point of view of internal control and external - Create a new post in the balance sheet to include this related value

  4. [ASSET missions at the Russian NPPs

    International Nuclear Information System (INIS)

    Garnyk, N.

    1996-01-01

    The activities connected with the ASSET missions and seminars which were held at the Russian nuclear power plants with the assistance of the IAEA and which facilitated the enhancement of nuclear safety culture are described

  5. Applying transportation asset management in Connecticut.

    Science.gov (United States)

    2008-12-01

    The study consists primarily of a detailed review of those states that utilize transportation asset management (TAM) systems that may be applicable for Connecticuts consideration, and includes as well the identification of a comprehensive pavement...

  6. A rural transit asset management system

    Science.gov (United States)

    2005-01-01

    This reports the research undertaken to create an interactive, geographic information system based asset management system for the Alabama Department of Transportation to manage vehicles purchased and operated through Section 5310 and 5311 federal gr...

  7. Prolong Your Roof's Performance: Roof Asset Management.

    Science.gov (United States)

    Teitsma, Jerry

    2001-01-01

    Discusses the roof asset management process for maintaining a roof system's integrity and value in a cost-effective manner. Included is a breakdown of roofing surface characteristics for multiply and single ply roofing systems. (GR)

  8. Consolidated asset management for Minnesota local agencies.

    Science.gov (United States)

    2016-06-01

    Transportation agencies are increasingly turning their attention to transportation asset management (TAM), a systematic process for tracking the conditions of physical infrastructure to make better decisions about its maintenance. TAM is mandated by ...

  9. Integrated Data for Improved Asset Management

    Science.gov (United States)

    2016-05-26

    The objective of this research is to demonstrate the potential benefits for agency-wide data integration for VDOT asset management. This objective is achieved through an example application that requires information distributed across multiple databa...

  10. Asset Management for Water and Wastewater Utilities

    Science.gov (United States)

    Renewing and replacing the nation's public water infrastructure is an ongoing task. Asset management can help a utility maximize the value of its capital as well as its operations and maintenance dollars.

  11. Crisis Management- Operational Logistics & Asset Visibility Technologies

    National Research Council Canada - National Science Library

    Braunbeck, Richard A; Mastria, Michael F

    2006-01-01

    .... Recent crisis response operations that would have benefited from improved asset visibility include the Indian Ocean tsunami, the Pakistani earthquake, Hurricane Katrina and those related to the Global War on Terror...

  12. Mining Existing Assets for Software Product Lines

    National Research Council Canada - National Science Library

    Bergey, John

    2000-01-01

    Mining of existing assets offers an organization the potential to leverage all, or part, of its cumulative system investments, and thus represents a critical practice area in implementing a software product line...

  13. Environmental asset management: Risk management systems

    CSIR Research Space (South Africa)

    Naudé, Brian

    2017-07-01

    Full Text Available purposes until the assets are exhausted. This paper addresses elements of environmental crime and the risk management strategies as part of EAP, including risk management system functions. A unique implemented risk management system in the Kruger National...

  14. Integrated Facilities Management and Fixed Asset Accounting.

    Science.gov (United States)

    Golz, W. C., Jr.

    1984-01-01

    A record of a school district's assets--land, buildings, machinery, and equipment--can be a useful management tool that meets accounting requirements and provides appropriate information for budgeting, forecasting, and facilities management. (MLF)

  15. Relating price strategies and price-setting practices

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Lans, van der I.A.

    2013-01-01

    Purpose - This article addresses the relationship between price strategies and price-setting practices. The first derive from a normative tradition in the pricing literature and the latter from a descriptive tradition. Price strategies are visible in the market, whereas price-setting practices are

  16. Space assets for demining assistance

    Science.gov (United States)

    Kruijff, Michiel; Eriksson, Daniel; Bouvet, Thomas; Griffiths, Alexander; Craig, Matthew; Sahli, Hichem; González-Rosón, Fernando Valcarce; Willekens, Philippe; Ginati, Amnon

    2013-02-01

    Populations emerging from armed conflicts often remain threatened by landmines and explosive remnants of war. The international mine action community is concerned with the relief of this threat. The Space Assets for Demining Assistance (SADA) undertaking is a set of activities that aim at developing new services to improve the socio-economic impact of mine action activities, primarily focused on the release of land thought to be contaminated, a process described as land release. SADA was originally initiated by the International Astronautical Federation (IAF). It has been implemented under the Integrated Applications Promotion (IAP) program of the European Space Agency (ESA). Land release in mine action is the process whereby the demining community identifies, surveys and prioritizes suspected hazardous areas for more detailed investigation, which eventually results in the clearance of landmines and other explosives, thereby releasing land to the local population. SADA has a broad scope, covering activities, such as planning (risk and impact analysis, prioritization, and resource management), field operations and reporting. SADA services are developed in two phases: feasibility studies followed by demonstration projects. Three parallel feasibility studies have been performed. They aimed at defining an integrated set of space enabled services to support the land release process in mine action, and at analyzing their added value, viability and sustainability. The needs of the mine action sector have been assessed and the potential contribution of space assets has been identified. Support services have been formulated. To test their fieldability, proofs of concept involving mine action end users in various operational field settings have been performed by each of the study teams. The economic viability has also been assessed. Whenever relevant and cost-effective, SADA aims at integrating Earth observation data, GNSS navigation and SatCom technologies with existing

  17. Intranational Price Convergence and Price Stickiness

    DEFF Research Database (Denmark)

    Bergman, Ulf Michael; Heebøll, Christian; Hansen, Niels Lynggaard

    2017-01-01

    We show that estimates of the half-life of deviations from LOOP are biased when not taking into account the precision when aggregating over types of goods. Using a comprehensive dataset with monthly price data for 124 homogeneous products across regions in Denmark over the period 1997–2010 we find...... a large positive aggregation bias. On average, we find that the half-life is 8.4 months when taking the bias into account compared to 28.7 months when applying the standard method. The heterogeneity in estimated half-life can be explained by price stickiness, distance between regions and whether the good...

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

    OpenAIRE

    Paulo Maçãs Nunes; Zélia Serrasqueiro; António Fernandes de Matos

    2017-01-01

    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 intang...

  19. THE BUSINESS MODEL AND FINANCIAL ASSETS MEASUREMENT

    OpenAIRE

    NICULA Ileana

    2012-01-01

    The paper work analyses some aspects regarding the implementation of IFRS 9, the relationship between the business model approach and the assets classification and measurement. It does not discuss the cash flows characteristics, another important aspect of assets classification, or the reclassifications. The business model is related to some characteristics of the banks (opaqueness, leverage ratio, compliance to capital, sound liquidity requirements and risk management) and to Special Purpose...

  20. Intangible liabilities: beyond models of intellectual assets

    OpenAIRE

    García Parra, Mercedes; Simó Guzmán, Pep; Sallán Leyes, José María; Mundet Hiern, Joan

    2009-01-01

    Purpose – Most models of intellectual capital measurment equal intellectual capital with intellectual assets. Nevertheless, companies sometimes must incur liabilities to make intellectual assets truly actionable. This fact suggests the existence of intangible liabilities. The aim of this paper is to refine the methods of assessment of intellectual capital by refining and extending the concept of intangible liabilities. Design/methodology/approach – The paper consists of a literature revi...