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Sample records for consumption-capital asset pricing

  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...... 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...... and composite. Thus, there is no unambiguous solution to the pricing ability problems of the C-CAPM. Models from both the alternative literature strands are found to outperform the traditional C-CAPM on average pricing errors. However, when weighting pricing errors by the full variance-covariance matrix...

  2. Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

    OpenAIRE

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

    1988-01-01

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

  3. Asset Pricing - A Brief Review

    OpenAIRE

    Li, Minqiang

    2010-01-01

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

  4. Fractional-moment Capital Asset Pricing model

    International Nuclear Information System (INIS)

    Li Hui; Wu Min; Wang Xiaotian

    2009-01-01

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

  5. 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.

  6. 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...

  7. The Q theory of investment, the capital asset pricing model, and asset valuation: a synthesis.

    Science.gov (United States)

    McDonald, John F

    2004-05-01

    The paper combines Tobin's Q theory of real investment with the capital asset pricing model to produce a new and relatively simple procedure for the valuation of real assets using the income approach. Applications of the new method are provided.

  8. Habit-based Asset Pricing with Limited Participation Consumption

    DEFF Research Database (Denmark)

    Bach, Christian; Møller, Stig Vinther

    We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard...

  9. Habit-based asset pricing with limited participation consumption

    DEFF Research Database (Denmark)

    Møller, Stig Vinther; Bach, Christian

    2011-01-01

    We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard...

  10. 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.

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

    Directory of Open Access Journals (Sweden)

    Felipe Dias Paiva

    2005-06-01

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

  12. 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.

  13. 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

  14. 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

  15. Essays on International Finance and Asset Pricing

    NARCIS (Netherlands)

    Eiling, E.

    2007-01-01

    The second part of this dissertation takes a more general asset pricing perspective. In particular, it investigates the impact of human capital on asset pricing. Investors' portfolio decisions may be affected by their human capital. For instance, an investor who works in the IT sector may want to

  16. 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 ...

  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. PEMILIHAN SAHAM YANG OPTIMAL MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM

    Directory of Open Access Journals (Sweden)

    Dioda Ardi Wibisono

    2017-08-01

    Full Text Available Optimal portfolio is the basis for investors to invest in stock. Capital Asset Pricing Model (CAPM is a method to determine the value of the risk and return of a company stock. This research uses a secondary data from the closing price of the monthly stock price (monthly closing price, Stock Price Index (SPI, and the monthly SBI rate. The samples of this research are 41 stocks in LQ45 February-July 2015 on the Indonesian Stock Exchange (ISE. The study period is during 5 year from October 2010 - October 2015. The result of analysis shows that the optimal portfolio consists of 18 companies. The average return of the optimal portfolio is higher than the average risk-free return (SBI rate and the average market return. This proves that investing in stocks is more profitable than a risk-free investment. � Keywords: Stock, CAPM, return, risk�

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

    DEFF Research Database (Denmark)

    Rangvid, Jesper; Schmelling, Maik; Schrimpf, Andreas

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

  20. 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

  1. Entropy-based financial asset pricing.

    Directory of Open Access Journals (Sweden)

    Mihály Ormos

    Full Text Available 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.

  2. 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.

  3. 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.

  4. 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.

  5. Capital Budgeting: Do Private Sector Methods of Budgeting for Capital Assets Have Applicability to the Department of Defense

    Science.gov (United States)

    2005-12-01

    asset pricing model ( CAPM ). “According to the CAPM theory, investors determine their required return by adding a risk premium to the interest rate...NUMBER OF PAGES 77 14. SUBJECT TERMS Capital Budgeting; GAO; DOD; Capital Assets ; Risk, OMB; NPV, IRR 16. PRICE CODE 17. SECURITY...needs of the mission, as defined by the strategic plan, and limit the number of “nice to haves” (OMB, 1997). d. Alternatives to Capital Assets

  6. 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)

  7. Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results

    OpenAIRE

    Olga Klinkowska

    2009-01-01

    In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning information by common factors estimated with dynamic factor methodology. In this way I can use more accurate representative of the unobservable information set of the investors. Obtained results prove that ind...

  8. Empirical test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul

    Directory of Open Access Journals (Sweden)

    Fuzuli Aliyev

    2018-03-01

    Full Text Available In this paper we tested Capital Asset Pricing Model (shortly CAPM hereafter on the selected banking stocks of Borsa Istanbul. Here we tried to explain how to price financial assets based on their risks in the case of BIST-100 index. CAPM is an important model in the portfolio management theory used by economic agents for the selection of financial assets. We used 12 random banking stocks’ monthly return data for 2001–2010 periods. To test the validity of the CAPM, we first derived the regression equation for the risk-free interest rate and risk premium relationship using January 2001–December 2009 data. Then, estimated January–December 2010 returns with the equation. Comparing forecasted return with the actual return, we concluded that the CAPM is valid for the portfolio consisting of the 12 banks traded in the ISE, i.e. The model could predict the overall outcome of portfolio of selected banking shares

  9. Creator of the capital asset pricing model

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    Pantelić Svetlana

    2014-01-01

    Full Text Available Harry M. Markowite, Merton H. Miller and William F. Sharpe were awarded the Nobel Prize in Economic Sciences in 1990, for their pioneering work in the theory of financial economics. Harry Markowite gave the most significant contribution in portfolio selection, William Sharpe in establishing the equilibrium theory of capital asset pricing (CAPM, and Merton Miller in corporate finance. Their work revolutionized finance through the introduction and implementation of quantitative methods in financial analysis. Sharpe was born in 1934 in Boston, Massachusetts. He received the Bachelor of Arts degree in 1955, the Master of Arts degree in 1956, and PhD degree in Economics in 1961 at the UCLA. In his doctoral dissertation he explored a series of aspects of portfolio analysis, based on a model proposed by Markowite. He spent his working career as a lecturer and professor, taking active part in numerous research projects. He authored many scientific papers and books, having won several awards and being a member of many institutions. He established his own financial consulting firm in 1989.

  10. 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)

  11. 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)

  12. 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)

  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. 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. Assessing Asset Pricing Models Using Revealed Preference

    OpenAIRE

    Jonathan B. Berk; Jules H. van Binsbergen

    2014-01-01

    We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the model that is closest to the model that investors use in making their capital allocation decisions. Using this methodology, we find that of the models most commonly used in the literature,...

  16. 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.

  17. 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...

  18. 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%.

  19. 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...

  20. The Capital Asset Pricing Model: An Evaluation of its Potential as a Strategic Planning Tool

    OpenAIRE

    Thomas H. Naylor; Francis Tapon

    1982-01-01

    In this paper we provide a summary of the capital asset pricing model (CAPM) and point out how it might possibly be used as a tool for strategic planning by corporations that own a portfolio of businesses. We also point out some of the assumptions underlying the CAPM which must be satisfied if it is to be used for strategic planning. Next we include a critical appraisal of the CAPM as a strategic planning tool. Finally, we state the case for linking competitive strategy models, CAPM models, a...

  1. Ambiguity and Volatility : Asset Pricing Implications

    NARCIS (Netherlands)

    Pataracchia, B.

    2011-01-01

    Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity aversion.

  2. 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

  3. 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.

  4. Consumption Risk and the Cross Section of Expected Returns.

    Science.gov (United States)

    Parker, Jonathan A.; Julliard, Christian

    2005-01-01

    This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption…

  5. Rational Asset Pricing Bubbles Revisited

    OpenAIRE

    Jan Werner

    2012-01-01

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

  6. 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.

  7. 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.

  8. 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.

  9. 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

  10. СURRENT TRENDS OF THE FIXED CAPITAL CONSUMPTION

    Directory of Open Access Journals (Sweden)

    Nikolay V. Gayfulin

    2014-01-01

    Full Text Available The research article is devoted to the current trends of the fixed capital consumption, to the problems connected with the fixed capital consumption and to the innovations in the Russian economy where the increase of fixed capital consumption efficiency is of the great importance. Under the conditions of the exchange relations formation and escalating competition only those commodity producers who can make the best use of all kinds of the resources will win. The fixed capital consumption efficiency is defined as a set of a measures which is taken by the economic entities. Some of a measures are partially described in this article. Nowadays the fixed capital consumption problem is connected with the performance enhancement and optimization of the fixed assets items.

  11. The pricing of illiquidity and illiquid assets : Essays on empirical asset pricing

    NARCIS (Netherlands)

    Tuijp, Patrick

    2016-01-01

    This dissertation studies the pricing of liquidity and illiquid assets. For this thesis, liquidity will generally refer to the ease with which an asset can be traded. The first chapter investigates the role of the investment horizon in the impact of illiquidity on stock prices. We obtain a clientele

  12. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

    OpenAIRE

    Xiaohong Chen; Sydney C. Ludvigson

    2004-01-01

    This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and to estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, the habit formation is better described...

  13. 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.

  14. Essays on asset pricing

    NARCIS (Netherlands)

    Nazliben, Kamil

    2015-01-01

    The dissertation consists of three chapters that represent separate papers in the area of asset pricing. The first chapter studies investors optimal asset allocation problem in which mean reversion in stock prices is captured by explicitly modeling transitory and permanent shocks. The second chapter

  15. Capital Structure and Assets

    DEFF Research Database (Denmark)

    Flor, Christian Riis

    2008-01-01

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

  16. 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.

  17. 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.

  18. 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.

  19. 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.

  20. Asset Pricing in Markets with Illiquid Assets

    OpenAIRE

    Longstaff, Francis A

    2005-01-01

    Many important classes of assets are illiquid in the sense that they cannot always be traded immediately. Thus, a portfolio position in these types of illiquid investments becomes at least temporarily irreversible. We study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a “blackout†period. Illiquidity has a dramatic e...

  1. 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.

  2. Prediction of future asset prices

    Science.gov (United States)

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

    2014-12-01

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

  3. Asset Pricing and Monetary Policy

    OpenAIRE

    Bingbing Dong

    2014-01-01

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

  4. Human Capital and Risky Asset Allocation

    OpenAIRE

    Lu, Wenjie; Yu, Qun

    2011-01-01

    Much research has been done to examine the relation between investors' human capital and their financial asset allocation. While some showed that the value of human capital should be taken into consideration to make financial asset allocation decisions on the composition of investing portfolios, most argued not. In this paper, we selected the monthly return of 9 industrial ETFs from June of 2007 to July 2011, used the present value of total future income as estimate of human capital, and reli...

  5. Conic coconuts : the pricing of contingent capital notes using conic finance

    NARCIS (Netherlands)

    Madan, D.B.; Schoutens, W.

    2010-01-01

    In this paper we introduce a fundamental model under which we will price contingent capital notes using conic finance techniques. The model is based on more realistic balance-sheet models recognizing the fact that asset and liabilities are both risky and have been treated differently taking into

  6. 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.

  7. Asset prices and priceless assets

    NARCIS (Netherlands)

    Penasse, J.N.G.

    2014-01-01

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

  8. 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....

  9. Higher Order Expectations in Asset Pricing

    OpenAIRE

    Philippe BACCHETTA; Eric VAN WINCOOP

    2004-01-01

    We examine formally Keynes' idea that higher order beliefs can drive a wedge between an asset price and its fundamental value based on expected future payoffs. Higher order expectations add an additional term to a standard asset pricing equation. We call this the higher order wedge, which depends on the difference between higher and first order expectations of future payoffs. We analyze the determinants of this wedge and its impact on the equilibrium price. In the context of a dynamic noisy r...

  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. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

    OpenAIRE

    Sydney Ludvigson; Xiaohong Chen

    2004-01-01

    A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a "habit" level, where the habit is some function of lagged and (possibly) contemporaneous consumption. But theory does not provide precise guidelines about the parametric functional relationship between the habit and aggregate consumption. This makes formal estimation and testi...

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2011-10-15

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

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

    International Nuclear Information System (INIS)

    Fuerst, Franz; McAllister, Patrick

    2011-01-01

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

  14. The Spirit of Capitalism and Stock-Market Prices

    OpenAIRE

    Gurdip S. Bakshi; Zhiwu Chen

    1996-01-01

    In existing theory, wealth is no more valuable than its implied consumption rewards. In reality, investors acquire wealth not just for its implied consumption but for the resulting social status. Max M. Weber (1958) refers to this desire for wealth as the spirit of capitalism. The authors examine, both analytically and empirically, implications of Weber's hypothesis for consumption, savings, and stock prices. When investors care about relative social status, propensity to consume and risk-tak...

  15. 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

  16. 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...

  17. Preferences, Consumption Smoothing and Risk Premia

    NARCIS (Netherlands)

    Lettau, M.; Uhlig, H.F.H.V.S.

    1997-01-01

    Risk premia in the consumption capital asset pricing model depend on preferences and dividend. We develop a decomposition which allows a separate treatment of both components. We show that preferences alone determine the risk-return tradeoff measured by the Sharpe-ratio. In general, the risk-return

  18. 31 CFR 223.7 - Investment of capital and assets.

    Science.gov (United States)

    2010-07-01

    ... 31 Money and Finance: Treasury 2 2010-07-01 2010-07-01 false Investment of capital and assets. 223... WITH THE UNITED STATES § 223.7 Investment of capital and assets. The cash capital and other funds of... periodically issue instructions for the guidance of companies with respect to investments and other matters...

  19. 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....

  20. 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 ...

  1. Supportability and purchasing decisions for capital assets: positioning paper

    NARCIS (Netherlands)

    Parada Puig, J.E.; Hoekstra, Sipke; Huisman, B.H.; van Dongen, Leonardus Adriana Maria

    2011-01-01

    Acquisition decisions for capital assets have a titanic impact on the operational costs of capital-intensive organizations. After the acquisition process, the cost of ownership is tied to the design characteristics of the assets, which dictate how they are operated and maintained. This reflects the

  2. Inflation risk and international asset returns

    NARCIS (Netherlands)

    G.A. Moerman (Gerard); M.A. van Dijk (Mathijs)

    2010-01-01

    textabstractWe show that inflation risk is priced in international asset returns. We analyze inflation risk in a framework that encompasses the International Capital Asset Pricing Model (ICAPM) of Adler and Dumas (1983). In contrast to the extant empirical literature on the ICAPM, we relax the

  3. Asset pricing restrictions on predictability : Frictions matter

    NARCIS (Netherlands)

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

    2012-01-01

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

  4. 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.

  5. Retrading, production, and asset market performance.

    Science.gov (United States)

    Gjerstad, Steven D; Porter, David; Smith, Vernon L; Winn, Abel

    2015-11-24

    Prior studies have shown that traders quickly converge to the price-quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments.

  6. Evaluation of the effect of sector capital assets use efficiency on capital productivity ratio in Ukraine

    Directory of Open Access Journals (Sweden)

    Ohdanskiy K. M.

    2015-05-01

    Full Text Available The real state of the capital assets’ disposal through the national economy sectors is determined in comparison with the result of capital assets use in the country’s economic complex in general in the time period of 1990-2012. It has been proved that the apparent total results regarding efficiency achieved in capital assets use through the sectors of economy do not demonstrate their real effect on the capital productivity ratio of the national economy in the whole. Analysis of the effect of the labor instruments concentrated in the national economy sectors on the national capital productivity ratio has been made. The sectors with their stuff which really determine the level of capital assets use in the country have been identified. Existence and development of the institute of economic initiatives have been proved. The fact is that the economic initiatives mentioned above concentrate their efforts on the improvement of capital assets use and the need to attract attention of the subjects of economic activities to the social development concept.

  7. 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....

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

    Directory of Open Access Journals (Sweden)

    Adriana Bruscato Bortoluzzo

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

  9. 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)

  10. 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)

  11. 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)

  12. 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.

  13. Pension fund's illiquid assets allocation under liquidity and capital constraints

    OpenAIRE

    Broeders, Dirk; Jansen, Kristy; Werker, Bas

    2017-01-01

    This paper empirically assesses the impact of liquidity and capital constraints on the allocation of defined benefit pension funds to illiquid assets. Liquidity constraints result from short-term pension payments and collateral requirements on derivatives. Capital constraints follow from the requirement to retain sufficient capital to absorb unexpected losses. Liability duration and hedging affect the allocation to illiquid assets through both these constraints. First, we find a hump-shaped i...

  14. 48 CFR 9904.404 - Capitalization of tangible assets.

    Science.gov (United States)

    2010-10-01

    ... assets. 9904.404 Section 9904.404 Federal Acquisition Regulations System COST ACCOUNTING STANDARDS BOARD, OFFICE OF FEDERAL PROCUREMENT POLICY, OFFICE OF MANAGEMENT AND BUDGET PROCUREMENT PRACTICES AND COST ACCOUNTING STANDARDS COST ACCOUNTING STANDARDS 9904.404 Capitalization of tangible assets. ...

  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. 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.

  17. Analisis Saham Syariah Efisien dengan Pendekatan Shari’a Compliant Asset Pricing Model (SCAPM pada Jakarta Islamic Index (JII

    Directory of Open Access Journals (Sweden)

    Zainul Hasan Quthbi

    2017-10-01

    Artikel ini bermaksud untuk menganalisis saham syariah yang tergolong efisien untuk keputusan investasi dengan menggunakan SCAPM (Shari’a Compliant Asset Pricing Model. SCAPM adalah bentuk modifikasi dari CAPM (Capital Asset Pricing Model yang bertujuan agar kerangka model analisis masih dalam kerangka syariah. Teknik pengumpulan data adalah dokumentasi dari data yang bersifat sekunder. Digunakan 13 sampel saham syariah pada penelitian ini dengan kriteria saham syariah yang konsisten masuk pada JII (Jakarta Islamic Index periode penelitian Desember 2013 hingga November 2016 dan memiliki pengembalian saham individual positif. Hasil dari penelitian menunjukkan terdapat 9 saham syariah yang tergolong efisien dan 4 sisanya tidak efisien. Saham PT. Adaro Energy memiliki nilai RVAR terbesar yang berarti memiliki kinerja saham paling baik.

  18. Capital Market Theories: Market Efficiency Versus Investor Prospects

    OpenAIRE

    Kathleen Hodnett; Heng-Hsing Hsieh

    2012-01-01

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

  19. 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.

  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. PMID:27828969

  1. 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.

  2. 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.

  3. Basel III and Asset Securitization

    Directory of Open Access Journals (Sweden)

    M. Mpundu

    2013-01-01

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

  4. A Robust Rational Route to in a Simple Asset Pricing Model

    OpenAIRE

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

    2002-01-01

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

  5. Expectations and bubbles in asset pricing experiments

    NARCIS (Netherlands)

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

    2008-01-01

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

  6. 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...

  7. "Overreaction" of Asset Prices in General Equilibrium

    OpenAIRE

    Aiyagari, S.R.; Gertler, M.

    1998-01-01

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

  8. Pricing Volatility Referenced Assets

    Directory of Open Access Journals (Sweden)

    Alan De Genaro Dario

    2006-12-01

    Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

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

    Directory of Open Access Journals (Sweden)

    Zainal Abidin Sahabuddin

    2017-07-01

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

  10. A comparison of discounted cashflow and modern asset pricing methods - project selection and policy implications

    International Nuclear Information System (INIS)

    Emhjellen, Magne; Alaouze, Chris M.

    2003-01-01

    We examine the differences in the net present values (NPVs) of North Sea oil projects obtained using the weighted average cost of capital and a modern asset pricing (MAP) method which involves the separate discounting of project cashflow components. NPV differences of more than $10 million were found for some oil projects. Thus, the choice of valuation method will affect the development decisions of oil companies and could influence tax policy. 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

  11. Price Manipulation in an Experimental Asset Market

    OpenAIRE

    Veiga Helena; Vorsatz Marc

    2006-01-01

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

  12. Use of Hedonic Prices to Estimate Capitalization Rate

    OpenAIRE

    Gaetano Lisi

    2015-01-01

    In this paper, a model of income capitalization is developed where hedonic prices play a key role in estimating the going-in capitalization rate. Precisely, the hedonic functions for rental and selling prices are introduced into a basic model of income capitalization. From the modified model, it is possible to derive a direct relationship between hedonic prices and capitalization rate. An advantage of the proposed approach is that estimation of the capitalization rate can be made without cons...

  13. To consume or not. How oil prices affect the comovement of consumption and aggregate wealth

    International Nuclear Information System (INIS)

    Odusami, Babatunde Olatunji

    2010-01-01

    This paper provides insight into how oil price movements affect the consumption choices of U.S. households through the wealth channel. Lettau and Ludvigson (2001) show that while consumption, asset wealth, and labor income share a common long-term trend; they substantially deviate from one another in the short run. In this paper, I show that these transitory deviations can be explained by fluctuations in the price of crude oil. Linear and threshold multivariate autoregressive models are used to measure the oil price effect. Oil price effect on the consumption to aggregate wealth ratio is robust to monetary policy effect, sub-period effect, and econometric specifications of oil price effect. Generally speaking, higher (lower) oil price will lead to a decrease (increase) in the proportion of aggregate wealth consumed. In addition, the magnitude of the oil price effect is asymmetric and sub-period dependent. Oil price effect was higher before the 1980's than in succeeding periods. (author)

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

    OpenAIRE

    Adrian Saville

    2011-01-01

    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 rev...

  16. 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.

  17. 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.

  18. 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.

  19. Prediction future asset price which is non-concordant with the historical distribution

    Science.gov (United States)

    Seong, Ng Yew; Hin, Pooi Ah

    2015-12-01

    This paper attempts to predict the major characteristics of the future asset price which is non-concordant with the distribution estimated from the price today and the prices on a large number of previous days. The three major characteristics of the i-th non-concordant asset price are the length of the interval between the occurrence time of the previous non-concordant asset price and that of the present non-concordant asset price, the indicator which denotes that the non-concordant price is extremely small or large by its values -1 and 1 respectively, and the degree of non-concordance given by the negative logarithm of the probability of the left tail or right tail of which one of the end points is given by the observed future price. The vector of three major characteristics of the next non-concordant price is modelled to be dependent on the vectors corresponding to the present and l - 1 previous non-concordant prices via a 3-dimensional conditional distribution which is derived from a 3(l + 1)-dimensional power-normal mixture distribution. The marginal distribution for each of the three major characteristics can then be derived from the conditional distribution. The mean of the j-th marginal distribution is an estimate of the value of the j-th characteristics of the next non-concordant price. Meanwhile, the 100(α/2) % and 100(1 - α/2) % points of the j-th marginal distribution can be used to form a prediction interval for the j-th characteristic of the next non-concordant price. The performance measures of the above estimates and prediction intervals indicate that the fitted conditional distribution is satisfactory. Thus the incorporation of the distribution of the characteristics of the next non-concordant price in the model for asset price has a good potential of yielding a more realistic model.

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

    DEFF Research Database (Denmark)

    Christiansen, Charlotte; Nielsen, Helena Skyt

    2002-01-01

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

  1. Capital Gains Taxation and House Price Fluctuations

    DEFF Research Database (Denmark)

    Fuest, Clemens; Nielsen, Søren Bo

    2004-01-01

    Recent years have seen large swings in house prices in many countries. Motivated by housing price variations, proposals for taxing capital gains on housing have repeatedly been put forth. The idea seems to be that such taxes would curb the redistribution occurring between those owning houses...... and those trying to get into the market for owner-occupied housing. Our paper shows that at least in simple settings, a tax on real capital gains on housing will only lead to even bigger price swings and will not be able to redistribute between people appearing on either side of the housing market.......Keywords: capital gains tax, housing market, price fluctuationsJEL-Classification: H23, H24, R 31.Addresses:...

  2. Essays on banking and asset pricing

    NARCIS (Netherlands)

    Roscovan, V.

    2008-01-01

    This dissertation contains three studies on banking and asset pricing. It analyzes questions related to informational content of bank loan announcements and trading activity. The first two chapters examine theoretically and empirically how stock and bond holders react to bank loan announcements as a

  3. Pension fund's illiquid assets allocation under liquidity and capital constraints

    NARCIS (Netherlands)

    Broeders, Dirk; Jansen, Kristy; Werker, Bas

    2017-01-01

    This paper empirically assesses the impact of liquidity and capital constraints on the allocation of defined benefit pension funds to illiquid assets. Liquidity constraints result from short-term pension payments and collateral requirements on derivatives. Capital constraints follow from the

  4. 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%.

  5. 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......This paper extends the class of Epstein-Zin-Weil preferences with a new utility kernel that disentangles uncertainty about the consumption trend (long-run risk) from short-term variation around this trend (cyclical risk). Our estimation results show that these preferences enable the long-run risk...

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

    Directory of Open Access Journals (Sweden)

    Goran Vukšić

    2010-03-01

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

  7. 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.

  8. 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 ...

  9. 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.

  10. An evaluation of airline beta values and their application in calculating the cost of equity capital.

    OpenAIRE

    Turner, Sheelah; Morrell, Peter

    2003-01-01

    This paper focuses on the calculation of the cost of equity capital in a sample of airlines, in comparison to industry-calculated values. The approach usually taken is to apply the Capital Asset Pricing Model to airline stock prices and market indices. The research shows that the calculated b values are sensitive to the precise methodology and calculations used. Further, the low regression model fits indicate the Capital Asset Pricing Model may not be the most suitable model for b value calcul...

  11. Influence of socio-cultural modernization on development of human capital assets in Russia

    Directory of Open Access Journals (Sweden)

    2014-01-01

    Full Text Available The paper presents major points of research into socio-cultural conditions of human capital assets accumulation in Russia. Notion of social justice, social responsibility of business, realization of their role as “vehicle of capital” by employees, national mentality – all this essentially influences on efficiency of human capital assets accumulation in Russia.

  12. 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

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

    OpenAIRE

    Willem H. Buiter

    1987-01-01

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

  14. Cost of capital to the hospital sector.

    Science.gov (United States)

    Sloan, F A; Valvona, J; Hassan, M; Morrisey, M A

    1988-03-01

    This paper provides estimates of the cost of equity and debt capital to for-profit and non-profit hospitals in the U.S. for the years 1972-83. The cost of equity is estimated using, alternatively, the Capital Asset Pricing Model and Arbitrage Pricing Theory. We find that the cost of equity capital, using either model, substantially exceeded anticipated inflation. The cost of debt capital was much lower. Accounting for the corporate tax shield on debt and capital paybacks by cost-based insurers lowered the net cost of capital to hospitals.

  15. Asset Pricing Implications of Firms' Financing Constraints

    OpenAIRE

    Gomes, Joao F; Yaron, Amir; Zhang, Lu

    2002-01-01

    We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured by a simple ‘financing cost’ function, equal to the product of the financing premium and the amount of external finance. This approach provides a tractable framework to examine the role of financing fr...

  16. Enhancement of human capital assets role in current economic situation

    Directory of Open Access Journals (Sweden)

    Pechenaia Liudmila Timofeevna

    2014-02-01

    Full Text Available The paper presents transformation of the notion “human capital assets” in economics. Methodical approaches to evaluation of human capital assets and involvement in innovation process. Generalization of theoretical overview data allows conclusion about strong interest to this economic category, testifying to good promise of this field development.

  17. Fractal asset returns, arbitrage and option pricing

    International Nuclear Information System (INIS)

    Potgieter, Petrus H.

    2009-01-01

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

  18. Natural gas consumption and economic growth: Are we ready to natural gas price liberalization in Iran?

    International Nuclear Information System (INIS)

    Heidari, Hassan; Katircioglu, Salih Turan; Saeidpour, Lesyan

    2013-01-01

    This paper examines the relationship between natural gas consumption and economic growth in Iran within a multivariate production model. We also investigate the effects of natural gas price on its consumption and economic growth using a demand side model. The paper employs bounds test approach to level relationship over the period of 1972–007. We find evidence of bidirectional positive relationship between natural gas consumption and economic growth in short-run and long-run, based on the production model. The findings also suggest that real GDP growth and natural gas have positive and negative impacts on gross fixed capital formation, respectively. Employment, however, was found to have negative but insignificant impact on gross fixed capital formation. Moreover, the estimation results of demand side model suggest that natural gas price has negative and significant impact on natural gas consumption only in the long-run, though there is insignificant impact on economic growth. These results imply that the Iranian government's decision for natural gas price liberalization has the adverse effects on economic growth and policy makers should be cautious in doing this policy. - Highlights: • Iran has been considered as a major natural gas producer in the world. • This paper examines the relationship between gas consumption and growth in Iran. • Positive impact of gas consumption on growth has been obtained. • The paper finds that gas consumption and income reinforce each other in Iran. • Natural gas price has also negative and significant impact on natural gas consumption in Iran

  19. Demography, Capital Flows and Asset Allocation over the Life-cycle

    OpenAIRE

    Mann, Katja; Davenport, Margaret

    2016-01-01

    This paper studies the effect of population aging on portfolio choice, asset prices and international asset trades. In a multi-period OLG model, we analyze how an increase in longevity or a decrease in fertility in a country affects the demand for safe and risky assets. In a closed economy, given a fixed supply, the riskfree rate falls and the risk premium rises, because retirees prefer to hold a larger share of safe assets in their portfolio than working-age households. In a financially inte...

  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. Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts

    NARCIS (Netherlands)

    Brock, W.A.; Hommes, C.H.

    2001-01-01

    This paper discusses dynamic evolutionary multi-agent systems, as introduced by Brock and Hommes (1997). In particular the heterogeneous agent dynamic asset pricing model of Brock and Hommes (1998) is extended by introducing derivative securities by means of price contingent contracts. Numerical

  2. Price and consumption of tobacco

    Directory of Open Access Journals (Sweden)

    Virendra Singh

    2012-01-01

    Full Text Available Background: It is thought that price increase in tobacco products leads to reduced consumption. Though many studies have substantiated this concept, it has not been well studied in India. Recently, price of tobacco products was increased due to ban on plastic sachets of chewing tobacco and increased tax in Rajasthan. This study was designed to evaluate the effect of price rise on overall consumption of tobacco in Jaipur city, Rajasthan. Materials and Methods: This study was carried out in Jaipur city. Two-staged stratified sampling was used. In the first phase of study, cost and consumption of various tobacco products in the months of February and April were enquired from 25 retail tobacco shops. In the second phase, tobacco consumption was enquired from 20 consecutive consumers purchasing any tobacco product from all the above retail tobacco shops. The data were statistically analyzed using descriptive statistics and paired "t" test. Results: The comparison of prices of tobacco products between February and April revealed that the price of cigarette, bidi, and chewing tobacco has increased by 19%, 21%, and 68%, respectively. Average decrease in sales of cigarettes, bidi, and chewing tobacco at shops included in the study were 14%, 23%, and 38%, respectively. The consumers purchasing tobacco also reported decreased consumption. Chewing tobacco showed the maximum reduction (21%. Consumption of cigarette and bidi has also reduced by 15% and 13%, respectively. Conclusion: It may be concluded that reduction in consumption is associated with increased price of tobacco products. Reduced consumption is comparative to the magnitude of price increase.

  3. Transition to Clean Capital, Irreversible Investment and Stranded Assets

    OpenAIRE

    Rozenberg, Julie; Vogt-Schilb, Adrien; Hallegatte, Stephane

    2014-01-01

    This paper uses a Ramsey model with two types of capital to analyze the optimal transition to clean capital when polluting investment is irreversible. The cost of climate mitigation decomposes as a technical cost of using clean instead of polluting capital and a transition cost from the irreversibility of pre-existing polluting capital. With a carbon price, the transition cost can be limit...

  4. 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.

  5. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

    OpenAIRE

    Campbell, John Y.

    2016-01-01

    The Nobel Memorial Prize in Economic Sciences for 2013 was awarded to Eugene Fama, Lars Peter Hansen, and Robert Shiller for their contributions to the empirical study of asset pricing. Some observers have found it hard to understand the common elements of the laureates research, preferring to highlight areas of disagreement among them. This paper argues that empirical asset pricing is a coherent enterprise, which owes much to the laureates seminal contributions, and that important themes in ...

  6. Management of capital assets by local governments: an assessment and benchmarking survey

    OpenAIRE

    KAGANOVA, Olga; TELGARSKY, Jeffrey

    2018-01-01

    There is a growing recognition of the importance of government-owned capital assets, both conceptually and in practice, in large part due to the 2008 global financial crisis. However, a sizeable gap remains between the academic and professional “universe of knowledge” surrounding government asset management, and the actual asset management practiced by governments. In particular, the majority of governments around the world are wholly uninformed when it comes to good asset management. The pur...

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

    Directory of Open Access Journals (Sweden)

    Kusdhianto Setiawan

    2014-02-01

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

  8. 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.

  9. 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.

  10. 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

  11. Does Central Bank Tone Move Asset Prices?

    DEFF Research Database (Denmark)

    Schmeling, Maik; Wagner, Christian

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

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

    OpenAIRE

    Ocran, Mathew; Mlambo, Chipo

    2009-01-01

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

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

    OpenAIRE

    Perera, Shenali Anne

    2013-01-01

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

  14. 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.

  15. Energy consumption and energy prices

    International Nuclear Information System (INIS)

    Bentzen, J.

    1993-01-01

    Data are presented on energy consumption and energy prices related to a number of OECD (Organisation for Economic Co-operation and Development) lands covering the period 1951-1990. The information sources are described and the development of energy consumption and prices in Denmark are illustrated in relation to these other countries. The energy intensity (the relation between energy consumption and the gross national product) is dealt with. Here it is possible to follow development during the whole post-war period. It is generally understood that Denmark saved large amounts of energy after 1973-74 but, taken over the whole post-war period, savings and decline in energy-gross national product relations are less dramatic compared to conditions in other OECD countries. Energy coefficients or elasticities show the relative rise in consumption compared to the relative rise in gross national product (growth rate). This is shown to be typically unstable and an eventual connection with the amount of energy price increase and/or the growth rate of the national economy is considered. Results of Granger causuality tests on energy consumption, national income and energy prices are presented. Effective energy prices were very low in Denmark up to 1970 when they suddenly began to increase. Since the oil crisis Denmark's energy consumption has fallen whereas the other countries have used rather more energy than before. Effective promotion of energy savings must be seen in relation to the fact that the 1970 basis level of energy consumption and intensity was unusually high. The high effective energy prices have also encouraged energy savings in Denmark. (AB)

  16. 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.

  17. Measuring the value of groundwater and other forms of natural capital.

    Science.gov (United States)

    Fenichel, Eli P; Abbott, Joshua K; Bayham, Jude; Boone, Whitney; Haacker, Erin M K; Pfeiffer, Lisa

    2016-03-01

    Valuing natural capital is fundamental to measuring sustainability. The United Nations Environment Programme, World Bank, and other agencies have called for inclusion of the value of natural capital in sustainability metrics, such as inclusive wealth. Much has been written about the importance of natural capital, but consistent, rigorous valuation approaches compatible with the pricing of traditional forms of capital have remained elusive. We present a guiding quantitative framework enabling natural capital valuation that is fully consistent with capital theory, accounts for biophysical and economic feedbacks, and can guide interdisciplinary efforts to measure sustainability. We illustrate this framework with an application to groundwater in the Kansas High Plains Aquifer, a rapidly depleting asset supporting significant food production. We develop a 10-y time series (1996-2005) of natural capital asset prices that accounts for technological, institutional, and physical changes. Kansas lost approximately $110 million per year (2005 US dollars) of capital value through groundwater withdrawal and changes in aquifer management during the decade spanning 1996-2005. This annual loss in wealth is approximately equal to the state's 2005 budget surplus, and is substantially more than investments in schools over this period. Furthermore, real investment in agricultural capital also declined over this period. Although Kansas' depletion of water wealth is substantial, it may be tractably managed through careful groundwater management and compensating investments in other natural and traditional assets. Measurement of natural capital value is required to inform management and ongoing investments in natural assets.

  18. 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

  19. Limited Capital Market Participation and Human Capital Risk

    OpenAIRE

    Jonathan Berk; Johan Walden

    2010-01-01

    The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain agents' portfolio holdings. In this paper we argue that the opposite might be true --- traditional models might not be able to explain agent portfolio holdings because they do not explicitly account for the fact that human capital does trade (in the form of labor contracts). We derive wages endogenously as part of a dynamic equilibrium in a production economy. Risk is shared in l...

  20. El capital humano en el sistema de precios Human capital in the price system

    Directory of Open Access Journals (Sweden)

    Cuevas Homero

    1996-06-01

    Full Text Available Este ensayo explora algunas implicaciones fundamentales de la introducción del capital humano en un sistema de equilibrio general de precios de producción. En particular, las implicaciones sobre las determinación de los salarios, los agregados, la homogeneidad del modelo de trabajo, las proporciones capital trabajo, la tasa natural del beneficio y las fluctuaciones de los precios de equilibrio.This essay explores some fundamental implications of the introduction of human capital in a system of general equilibrium of prices of production. In particular, the implications concerning the determination of wages, the aggregates, the homogenei ty of labor, the capital-labor ratio, the natural rate of profit and the fluctuations of equilibrium prices.

  1. Measuring the value of groundwater and other forms of natural capital

    Science.gov (United States)

    Fenichel, Eli P.; Abbott, Joshua K.; Bayham, Jude; Boone, Whitney; Haacker, Erin M. K.; Pfeiffer, Lisa

    2016-01-01

    Valuing natural capital is fundamental to measuring sustainability. The United Nations Environment Programme, World Bank, and other agencies have called for inclusion of the value of natural capital in sustainability metrics, such as inclusive wealth. Much has been written about the importance of natural capital, but consistent, rigorous valuation approaches compatible with the pricing of traditional forms of capital have remained elusive. We present a guiding quantitative framework enabling natural capital valuation that is fully consistent with capital theory, accounts for biophysical and economic feedbacks, and can guide interdisciplinary efforts to measure sustainability. We illustrate this framework with an application to groundwater in the Kansas High Plains Aquifer, a rapidly depleting asset supporting significant food production. We develop a 10-y time series (1996−2005) of natural capital asset prices that accounts for technological, institutional, and physical changes. Kansas lost approximately $110 million per year (2005 US dollars) of capital value through groundwater withdrawal and changes in aquifer management during the decade spanning 1996–2005. This annual loss in wealth is approximately equal to the state’s 2005 budget surplus, and is substantially more than investments in schools over this period. Furthermore, real investment in agricultural capital also declined over this period. Although Kansas’ depletion of water wealth is substantial, it may be tractably managed through careful groundwater management and compensating investments in other natural and traditional assets. Measurement of natural capital value is required to inform management and ongoing investments in natural assets. PMID:26858431

  2. Capitals, assets, and resources: some critical issues.

    Science.gov (United States)

    Savage, Mike; Warde, Alan; Devine, Fiona

    2005-03-01

    This paper explores the potential of Bourdieu's approach to capital as a way of understanding class dynamics in contemporary capitalism. Recent rethinking of class analysis has sought to move beyond what Rosemary Crompton (1998) calls the 'employment aggregate approach', one which involves categorizing people into class groups according to whether they have certain attributes (e.g. occupations). Instead, recent contributions by Pierre Bourdieu, Erik Wright, Aage Sorensen, and Charles Tilly have concentrated on understanding the mechanisms that produce class inequalities. Concepts such as assets, capitals and resources (CARs) are often used to explain how class inequalities are produced, but there remain ambiguities and differences in how such terms are understood. This paper identifies problems faced both by game theoretical Marxism and by the rational choice approach of Goldthorpe in developing an adequate approach to CARs. It then turns to critically consider how elements of Bourdieu's approach, where his concept of capital is related to those of habitus and field, might overcome these weaknesses. Our rendering of his arguments leads us to conclude that our understanding of CARs might be enriched by considering how capital is distinctive not in terms of distinct relations of exploitation, but through its potential to accumulate and to be converted to other resources. This focus, we suggest, sidesteps otherwise intractable problems in CAR based approaches.

  3. 48 CFR 31.205-16 - Gains and losses on disposition or impairment of depreciable property or other capital assets.

    Science.gov (United States)

    2010-10-01

    ... identifiable intangible assets held for use, no loss shall be allowed for a write-down from carrying value to... disposition or impairment of depreciable property or other capital assets. 31.205-16 Section 31.205-16 Federal... or impairment of depreciable property or other capital assets. (a) Gains and losses from the sale...

  4. The Flexible Acceleration Mechanism of China’s Capital Adjustment with the Goal of Consumption-Driven Sustainable Growth

    Directory of Open Access Journals (Sweden)

    Peng Su

    2018-03-01

    Full Text Available China has had an investment-led growth pattern that is unsustainable. It is struggling to shift to a consumption-driven economy, and capital adjustment is crucial to the transition. In response, the principal objective of this study is to analyze the internal market mechanism of China’s capital adjustment. Due to the imperfections of the market, we use the flexible acceleration model, which we put in an IS (Investment – Saving equation–LM (Liquidity preference – Money supply equation framework in order to reflect the guiding role of demand. The results show that the flexible acceleration model fits China’s investment well, and the demand-oriented market mechanism of capital adjustment has been formed; however, China’s market adjustment ability is not strong. The adjustment coefficient is only 0.22, and shows a decreasing trend. So, in the capital optimization process, relying on the market alone is not realistic. Furthermore, the calculated replacement rate is up to 0.429, which indicates that China’s capital is less efficient, and there are duplicated assets, idle assets, and wasted investments. The error correction model’s results show that the impact of the interest rate on the investments is not significant in the short term, so the existence of invalid capital is more likely to stem from the soft budget constraints, which require attention.

  5. Study on the perception of accounting professionals concerning intangible assets and intangible capital

    Directory of Open Access Journals (Sweden)

    Cristina-Ionela FĂDUR

    2013-06-01

    Full Text Available The purpose of the research is to obtain an overall image on the accounting professionals' opinions concerning intangible assets and capital. Out of the 111 accounting professionals who participated in the study, 55.86% consider that the traditional financial statements cannot capture the value of intangible assets, which leads to an increase in the information asymmetry, the solution being to focus, in the annual reports, on non-financial information. Over 80% of the respondents consider that, internally, the evaluation of intangible capital plays a very important role in strategy development and in creating innovation.

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

    NARCIS (Netherlands)

    R.W.M. Verbeek (Roy)

    2017-01-01

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

  7. Real Options in Capital Budgeting. Pricing the Option to Delay and the Option to Abandon a Project

    Directory of Open Access Journals (Sweden)

    Nicoleta Vintila

    2007-07-01

    Full Text Available Traditional discounted cash-flows method for assessing projects assumes that investment decision is an irreversible one, which is not correct. Managers can and must reconsider their initial decision as the new information arises during the project life. This is managerial flexibility and it creates strategic value for a project, only if management takes advantage of the opportunities associated with an analyzed project. Real options represent a new approach in capital budgeting, using the theory of pricing financial options for investments in real assets. In this paper, we emphasize the characteristics and valuation methodologies of real options. The objective in the last section is pricing the option to delay and the option to abandon a project in construction materials field.

  8. Econophysics: Master curve for price-impact function

    Science.gov (United States)

    Lillo, Fabrizio; Farmer, J. Doyne; Mantegna, Rosario N.

    2003-01-01

    The price reaction to a single transaction depends on transaction volume, the identity of the stock, and possibly many other factors. Here we show that, by taking into account the differences in liquidity for stocks of different size classes of market capitalization, we can rescale both the average price shift and the transaction volume to obtain a uniform price-impact curve for all size classes of firm for four different years (1995-98). This single-curve collapse of the price-impact function suggests that fluctuations from the supply-and-demand equilibrium for many financial assets, differing in economic sectors of activity and market capitalization, are governed by the same statistical rule.

  9. 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

  10. Variable capacity utilization, ambient temperature shocks and generation asset valuation

    Energy Technology Data Exchange (ETDEWEB)

    Tseng, Chung-Li; Dmitriev, Alexandre [Australian School of Business, University of New South Wales, Sydney NSW 2052 (Australia); Zhu, Wei [Optim Energy, 225 E. John Carpenter Freeway, Irving, TX 75062 (United States)

    2009-11-15

    This paper discusses generation asset valuation in a framework where capital utilization decisions are endogenous. We use real options approach for valuation of natural gas fueled turbines. Capital utilization choices that we explore include turning on/off the unit, operating the unit at increased firing temperatures (overfiring), and conducting preventive maintenance. Overfiring provides capacity enhancement which comes at the expense of reduced maintenance interval and increased costs of part replacement. We consider the costs and benefits of overfiring in attempt to maximize the asset value by optimally exercising the overfire option. In addition to stochastic processes governing prices, we incorporate an exogenous productivity shock: ambient temperature. We consider how variation in ambient temperature affects the asset value through its effect on gas turbine's productivity. (author)

  11. The uncovered parity properties of the Czech Koruna

    Czech Academy of Sciences Publication Activity Database

    Derviz, Alexis

    2002-01-01

    Roč. 11, č. 1 (2002), s. 17-37 ISSN 1210-0455 R&D Projects: GA AV ČR KSK1019101 Institutional research plan: CEZ:AV0Z1075907 Keywords : uncovered parity * asset prices * international consumption-based capital asset pricing model Subject RIV: AH - Economics

  12. 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.

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

    Directory of Open Access Journals (Sweden)

    Vitor Gonçalves de Azevedo

    2016-01-01

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

  14. 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.

  15. KNOWLEDGE CAPITAL, INTANGIBLE ASSETS, AND LEVERAGE: EVIDENCE FROM U.S. AGRICULTURAL BIOTECHNOLOGY FIRMS

    OpenAIRE

    Sporleder, Thomas L.; Moss, Leeann E.; Nickels, Lori A.

    2002-01-01

    Firms in general, and high technology firms such as biotechnology firms in particular, are both a set of assets in place and growth opportunities. This has important implications for managerial decision-making. Knowledge capital motivates exploitation of growth options, which affects firm cash flow. In turn, the level and volatility of firm cash flow influences firm financing decisions. Previous studies suggest that knowledge capital can influence both the location and capital structure of fi...

  16. 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.

  17. Impacts of the Basle Capital Standard on Japanese Banks' Behavior

    OpenAIRE

    Takatoshi Ito; Yuri Nagatake Sasaki

    1998-01-01

    This paper examines how the risk based capital standards, the so-called Basle Accord between 1990 and 1993. As the Japanese stock prices fell, banks' latent capital gains, which are part of tier II capital, became smaller. Empirical findings are consistent with a view that banks with lower capital ratios tended to issue more subordinated debts (tier II) and to reduce lending (risk assets).

  18. Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns

    OpenAIRE

    George M. Korniotis

    2008-01-01

    This paper introduces a consumption-based capital asset pricing model (CCAPM) that combines undiversifiable income shocks and external habit formation. Using US state-level data, the paper provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four Census regions. The model also implies four asset pricing factors: the cross-sectional means of consumption growth and habit growth (capturing national systematic ris...

  19. 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.

  20. Food Consumption, Prices, and Expenditures, 1960-81

    OpenAIRE

    Anonymous

    1982-01-01

    This bulletin presents 1960-81 data on per capita food consumption, prices, nutrient availability, food expenditures and marketing costs, and U.S. income and population. Retail food prices rose 7.9 percent, aggregate food consumption fell 1.0 percent, and personal consumption expenditures for food rose 9.7 percent. Per capita meat consumption was down 2.5 pounds in 1981, hut poultry usage rose 1.8 pounds. Dairy consumption per person was lower. Fresh fruit consumption rose 1.6 pounds per pers...

  1. Food Consumption, Prices, and Expenditures, 1962-82

    OpenAIRE

    Anonymous

    1983-01-01

    This bulletin ,presents 1962-82 data on per capita food consumption, prices, nutrient availability,food expenditures and marketing costs, and U.S. income and population. Retail food prices in 1982 rose 4.0 percent, aggregate food consumption fell 0.4 percent, and personal food, consumption expenditures rose 6.3 percent from 1981. Per, capita red meat consumption was down 5.8 pounds, but poultry use rose 1.3 pounds. Dairy product consumption per person decreased. Fresh fruit consumption fell 3...

  2. Divisia amount and price index for energy consumption

    International Nuclear Information System (INIS)

    Bentzen, J.

    1993-01-01

    In connection with the calculation of total energy consumption related to aggregation of the individual fuel's combustion values, an alternative to Btu aggregation (combustion value measurement), designated the ''Divisia index'', is presented. This represents an economic measure for energy consumption. The Divisia index is demonstrated in relation to total national energy consumption and total energy consumption within the Danish housing sector and also with regard to the estimation of price and income elasticity within energy demand. It is only possible to utilize the Divisia index in relation to the last 20 years, which is the period where energy consumption has stagnated. The question of possible irreversible effects on energy consumption caused by large variations in energy prices is discussed. It is suggested that the reaction to a fall in prices is different and less significant than is the case with price rises. In the long term, results point at a reasonably high price elasticity within energy demand. (AB) (22 refs.)

  3. Asset prices and rents in a GE model with imperfect competition

    OpenAIRE

    Pierre Lafourcade

    2003-01-01

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

  4. Pricing and the psychology of consumption.

    Science.gov (United States)

    Gourville, John; Soman, Dilip

    2002-09-01

    Most executives know how pricing influences the demand for a product, but few of them realize how it affects the consumption of a product. In fact, most companies don't even believe they can have an effect on whether customers use products they have already paid for. In this article, the authors argue that the relationship between pricing and consumption lies at the core of customer strategy. The extent to which a customer uses a product during a certain time period often determines whether he or she will buy the product again. So pricing tactics that encourage people to use the products they've paid for help companies build long-term relationships with customers. The link between pricing and consumption is clear: People are more likely to consume a product when they are aware of its cost. But for many executives, the idea that they should draw consumers' attention to the price that was paid for a product or service is counterintuitive. Companies have long sought to mask the costs of their goods and services in order to boost sales. And rightly so--if a company fails to make the initial sale, it won't have to worry about consumption. So to promote sales, health club managers encourage members to get the payment out of the way early; HMOs encourage automatic payroll deductions; and cruise lines bundle small, specific costs into a single, all-inclusive fee. The problem is, by masking how much a buyer has spent on a given product, these pricing tactics decrease the likelihood that the buyer will actually use it. This article offers some new approaches to pricing--how and when to charge for goods and services--that may boost consumption.

  5. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

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

  6. 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

  7. 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.

  8. The relationship among energy prices and energy consumption in China

    International Nuclear Information System (INIS)

    Yuan, Chaoqing; Liu, Sifeng; Wu, Junlong

    2010-01-01

    The pricing mechanism for energy is not in line with the international standards, because the energy prices are controlled by the government partly or completely in China. Chinese government made a lot of efforts to improve the pricing mechanism for energy. The relations between Chinese energy prices and energy consumption are the foundations to reform the mechanism. In this paper, the relations between Chinese energy consumption and energy prices are researched by cointegration equations, impulse response functions, granger causality and variance decomposition. The cointegration relations among energy prices, energy consumption and economic outputs show that higher energy price will decrease energy consumption in Chinese industrial sectors but will not reduce the economic output in the long run. The cointegration relation between energy price and household energy consumption shows that higher energy price will decrease household energy consumption in the long run and increase it in the short run. So Chinese government should deepen the reform of pricing mechanism for energy, and increase the energy prices reasonably to save energy. (author)

  9. Relative Pricing of Publicly Traded U.S. Electric Utility Companies

    Science.gov (United States)

    Jewczyn, Nicholas Stephen

    In the financial turmoil of 2008, U.S. firms reported debt-ratios that differed from the debt-ratios calculated from balance sheets. The problem is that investors bought common stock expecting initial investment return and lost money when companies delisted. The purpose of this quantitative study was to determine sample securities pricing with the application of synthetic assets and debt accrued. Addressed in the research questions was whether those securities were (a) underpriced compared with return-on-assets (ROA), (b) overpriced compared with ROA, (c) a debt-ratio higher than 60% and also overpriced, (d) underpriced with a synthetic asset added, or (e) related by relative pricing to variant pricing and market capitalization. The study's base theory was Pan's efficient market hypothesis (EMH) of security price prediction of market prices versus model prices. The data from the financial statements of 16 publicly traded U.S. electric utility companies were analyzed via correlations and multiple regression analyses to determine securities pricing and suitability. The findings from the analyses of the sample's variables of market price, book value, market-to-book, and study constructed variables from those variable data were statistically significant. The alternate hypotheses were accepted for all 5 research questions since the analytical operationalization of the hypothetical constructs led to significant relationships. Results suggest that the use of more pricing determinants in securities evaluation may lead to investors losing less money and earning the expected returns for a more efficient capital market, leading to a stronger economy and macroeconomic stability.

  10. Knowledge Capital, Intangible Assets, and Leverage: Evidence from U.S. Agricultural Biotechnology Firms

    OpenAIRE

    Sporleder, Thomas L.; Moss, Leeann E.

    2004-01-01

    Agricultural biotechnology firms are high technology companies. Firms in general, and high technology firms in particular, are a set of both assets in place and growth opportunities. This has important implications for managerial decision-making. Knowledge capital motivates exploitation of growth options, which affects firm cash flow. In turn, the level and volatility of firm cash flow influences firm financing decisions. Previous studies suggest that knowledge capital can influence both the ...

  11. Valuation, leverage and the cost of capital in the case of depreciable assets

    OpenAIRE

    Lund, Diderik

    2003-01-01

    Levy and Arditti (1973) introduced depreciable assets into the Modigliani and Miller (1958) model, and analyzed the implications for the cost of capital. Assuming that the firm reinvests indefinitely to maintain a constant expected cash flow, they found that depreciation increases the cost of capital before and after tax. Most of their assumptions are maintained. However, commitment to perpetual reinvestment is in most cases not a reasonable assumption. Without it, depreciation...

  12. What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price

    International Nuclear Information System (INIS)

    Gallo, Andres; Mason, Paul; Shapiro, Steve; Fabritius, Michael

    2010-01-01

    The continuing increases in oil prices have renewed the argument over the real culprits behind these movements. The growth in demand for oil in international markets, especially from the United States and China, is often identified as the main source of consumption pressure on prices, and thus the upward trend in oil prices. This paper uses unit root tests with two endogenous breaks to analyze the characteristics of oil prices, production, and consumption for several countries. By taking into account structural breaks, we find that many countries' oil consumption and oil prices are stationary, while other countries' are not. We also perform causality tests to determine the direction of any possible relationship between oil price and oil consumption and production. Our statistical analysis reveals that production variables cause oil prices, while oil prices tend to cause consumption. As a result, we claim that the blame for the recent fluctuations in oil prices is more appropriately associated with supply factors, not consumption influences. (author)

  13. Study on the perception of accounting professionals concerning intangible assets and intangible capital

    OpenAIRE

    Cristina-Ionela FĂDUR; Marilena MIRONIUC

    2013-01-01

    The purpose of the research is to obtain an overall image on the accounting professionals' opinions concerning intangible assets and capital. Out of the 111 accounting professionals who participated in the study, 55.86% consider that the traditional financial statements cannot capture the value of intangible assets, which leads to an increase in the information asymmetry, the solution being to focus, in the annual reports, on non-financial information. Over 80% of the respondents consider tha...

  14. 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

    ... 26 Internal Revenue 4 2010-04-01 2010-04-01 false Aggregate deemed sale price; various aspects of 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...

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

    Directory of Open Access Journals (Sweden)

    Kim Hiang LIOW

    2018-03-01

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

  16. Portfolio choice and asset pricing with endogenous beliefs and skewness preference

    NARCIS (Netherlands)

    Karehnke, P.

    2014-01-01

    This thesis studies portfolio choice and asset pricing with preferences which go beyond the standard expected utility and mean-variance preferences. The first part of this thesis analyses a decision model in which the decision maker forms endogenous beliefs given his anticipation utility and his

  17. THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING

    OpenAIRE

    MARC GÜRTLER; NORA HARTMANN

    2007-01-01

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

  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. Controlling Electricity Consumption by Forecasting its Response to Varying Prices

    DEFF Research Database (Denmark)

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

    2013-01-01

    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......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...... 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....

  20. 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.

  1. Valuation, leverage and the cost of capital in the case of depreciable assets

    OpenAIRE

    Lund, Diderik

    2006-01-01

    Levy and Arditti (1973) introduced depreciable assets into the Modigliani and Miller (1958) model, and analyzed the implications for the cost of capital. Assuming that the firm reinvests indefinitely to maintain a constant expected cash flow, they found that depreciation increases the cost of capital before and after tax. Most of their assumptions are maintained. However, commitment to perpetual reinvestment is in most cases not a reasonable assumption. Without it, depreciation decreases the ...

  2. 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...

  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. 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

  5. Regional price differences and food consumption frequency among elementary school children.

    Science.gov (United States)

    Sturm, R; Datar, A

    2011-03-01

    Food prices may affect diet and weight gain among youth and lead to geographic disparities in obesity. This paper examines the association between regional prices and consumption frequency of fruit/vegetables and snack items among elementary school children in the USA. Observational study using individual-level survey data of fifth-grade children (average age 11 years) and regional food prices based on store visits in 2004. Dependent variables are self-reported consumption frequency in fifth grade; primary explanatory variables are metropolitan area food prices relative to cost of living. Multivariate regression analysis. Price variation across metropolitan areas exists, and lower real prices for vegetables and fruits predict significantly higher intake frequency. Higher dairy prices predict lower frequency of milk consumption, while higher meat prices predict increased milk consumption. Similar price effects were not found for fast food or soft drink consumption. The geographic variation in food prices across the USA is sufficiently large to affect dietary patterns among youth for fruit, vegetables and milk. The price variation is either too small to affect children's consumption frequency of fast food or soft drinks, or the consumption of these foods is less price sensitive. Copyright © 2010 The Royal Society for Public Health. Published by Elsevier Ltd. All rights reserved.

  6. Quantifying price risk of electricity retailer based on CAPM and RAROC methodology

    International Nuclear Information System (INIS)

    Karandikar, R.G.; Khaparde, S.A.; Kulkarni, S.V.

    2007-01-01

    In restructured electricity markets, electricity retailers set up contracts with generation companies (GENCOs) and with end users to meet their load requirements at agreed upon tariff. The retailers invest consumer payments as capital in the volatile competitive market. In this paper, a model for quantifying price risk of electricity retailer is proposed. An IEEE 30 Bus test system is used to demonstrate the model. The Capital Asset Pricing Model (CAPM) is demonstrated to determine the retail electricity price for the end users. The factor Risk Adjusted Recovery on Capital (RAROC) is used to quantify the price risk involved. The methodology proposed in this paper can be used by retailer while submitting proposal for electricity tariff to the regulatory authority. (author)

  7. Quantifying price risk of electricity retailer based on CAPM and RAROC methodology

    Energy Technology Data Exchange (ETDEWEB)

    Karandikar, R.G.; Khaparde, S.A.; Kulkarni, S.V. [Electrical Engineering Department, Indian Institute of Technology Bombay, Mumbai 400 076 (India)

    2007-12-15

    In restructured electricity markets, electricity retailers set up contracts with generation companies (GENCOs) and with end users to meet their load requirements at agreed upon tariff. The retailers invest consumer payments as capital in the volatile competitive market. In this paper, a model for quantifying price risk of electricity retailer is proposed. An IEEE 30 Bus test system is used to demonstrate the model. The Capital Asset Pricing Model (CAPM) is demonstrated to determine the retail electricity price for the end users. The factor Risk Adjusted Recovery on Capital (RAROC) is used to quantify the price risk involved. The methodology proposed in this paper can be used by retailer while submitting proposal for electricity tariff to the regulatory authority. (author)

  8. 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 ...

  9. Pricing as a means of controlling alcohol consumption.

    Science.gov (United States)

    Sharma, Anurag; Sinha, Kompal; Vandenberg, Brian

    2017-09-01

    Reducing the affordability of alcohol, by increasing its price, is the most effective strategy for controlling alcohol consumption and reducing harm. We review meta-analyses and systematic reviews of alcohol tax/price effects from the past decade, and recent evaluations of tax/price policies in the UK, Canada and Australia. While the magnitudes of price effects vary by sub-group and alcoholic beverage type, it has been consistently shown that price increases lead to reductions in alcohol consumption. There remains, however, a lack of consensus on the most appropriate taxation and pricing policy in many countries because of concerns about effects by different consumption level and income level and disagreement on policy design between parts of the alcoholic beverage industries. Recent developments in the research highlight the importance of obtaining accurate alcohol price data, reducing bias in estimating price responsiveness, and examining the impact on the heaviest drinkers. There is a need for further research focusing on the substitution effects of taxation and pricing policies, estimation of the true tax pass-through rates, and empirical analysis of the supply-side response (from alcohol producers and retailers) to various alcohol pricing strategies. © The Author 2017. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com

  10. 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

  11. Social capital, houshold welfare, and poverty in Indonesia

    OpenAIRE

    Grootaert, Christiaan

    1999-01-01

    The author empirically estimates how social capital affects household welfare and poverty in Indonesia. His focus: household memberships in local associations, an aspect of social capital especially relevant to daily household decisions that affect welfare and consumption. The data suggest that households with higher social capital spend more per capita. They also have more assets, more savings, and better access to credit. To estimate how social capital contributes to household welfare, the ...

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

    Science.gov (United States)

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

    2010-11-01

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

  13. Can the consumption-free nonexpected utility model solve the risk premium puzzle? An empirical study of the Japanese stock market

    OpenAIRE

    Kang, Myong-Il

    2010-01-01

    This paper investigates whether the consumption-free two-beta intertemporal capital asset-pricing model developed by Campbell and Vuolteenaho (2004) is able to solve the risk premium puzzle in the Japanese stock market over the period 1984-2002. Using the cash flow and discount rate betas as risk factors, the model is able to explain about half of the market returns by selection of suitable vector autoregression variables. On this basis, the model proposed solves the risk premium puzzle in Ja...

  14. The effects of oil price shocks in a new-Keynesian framework with capital accumulation

    International Nuclear Information System (INIS)

    Acurio Vásconez, Verónica; Giraud, Gaël; Mc Isaac, Florent; Pham, Ngoc-Sang

    2015-01-01

    The economic implications of oil price shocks have been extensively studied since the 1970s. Despite this huge literature, no dynamic stochastic general equilibrium model was available that captures two well-known stylized facts: (1) the stagflationary impact of an oil price shock, together with (2) the influence of the energy efficiency of capital on the depth and length of this impact. We build, estimate and simulate a New-Keynesian model with capital accumulation, which takes the case of an economy where oil is imported from abroad, and where these stylized facts can be accounted for. Moreover, the Bayesian estimation of the model on the US economy (1984–2007) suggests that the output elasticity of oil might have been above 10%, stressing the role of oil use in US growth at this time. Finally, our simulations confirm that an increase in energy efficiency significantly attenuates the effects of an oil shock—a possible explanation of why the third oil shock (1999–2008) did not have the same macro-economic impact as the first two ones. These results suggest that oil consumption and energy efficiency have been two major engines for US growth in the last three decades.

  15. 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.

  16. The application of the CAPM model on selected shares on the Croatian capital market

    Directory of Open Access Journals (Sweden)

    Zrinka Tolušić

    2014-12-01

    Full Text Available The Capital Asset Pricing Model is a model that describes the relationship between risk, expected return and valuation of securities. The theoretical and practical value of this model has proved unquestionable, but under ideal circumstances. The theory has been utilized by numerous researchers and it confirms the linear relationship between risk and return under the CAPM (Capital Asset Pricing Model model showing that greater exposure to risk provides higher returns. However, empirical research showed there were numerous factors that CAPM model did not take into account since it is based on assumptions which exist in reality, but are invisible. Therefore, it is very interesting to study the application of the CAPM model on selected shares on the Croatian capital market and analyze the possibilities of its application in discovering the misvalued shares. Share price changes on the Croatian capital market suggest there are some unknown factors that also influence share valuation. There is no doubt that the fundamental analysis of shares is not sufficient for evaluating the real share value in light of various invisible elements and all available information available which affect their value as well.

  17. Higher bank capital requirements and mortgage pricing: evidence from the Counter-Cyclical Capital Buffer

    OpenAIRE

    Basten, Christoph; Koch, Cathérine

    2014-01-01

    We examine mortgage pricing before and after Switzerland was the first country to activate the Counter-Cyclical Capital Buffer of Basel III. Observing multiple mortgage offers per request, we obtain three core findings. First, capitalconstrained and mortgage-specialized banks raise their rates relatively more. Second, risk-weighting schemes supposed to discriminate against more risky borrowers do not amplify the effect of higher capital requirements. Third, CCB-subjected banks and CCB-exempt ...

  18. Essays on Empirical Asset Pricing

    DEFF Research Database (Denmark)

    Gormsen, Niels Joachim

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

  19. Dynamic Pricing for Resource Consumption in Cloud Service

    Directory of Open Access Journals (Sweden)

    Bin Cao

    2018-01-01

    Full Text Available This paper studies dynamic pricing for cloud service where different resources are consumed by different users. The traditional cloud resource pricing models can be divided into two categories: on-demand service and reserved service. The former only takes the using time into account and is unfair for the users with long using time and little concurrency. The latter charges the same price to all the users and does not consider the resource consumption of users. Therefore, in this paper, we propose a flexible dynamic pricing model for cloud resources, which not only takes into account the occupying time and resource consumption of different users but also considers the maximal concurrency of resource consumption. As a result, on the one hand, this dynamic pricing model can help users save the cost of cloud resources. On the other hand, the profits of service providers are guaranteed. The key of the pricing model is how to efficiently calculate the maximal concurrency of resource consumption since the cost of providers is dynamically varied based on the maximal concurrency. To support this function in real time, we propose a data structure based on the classical B+ tree and the implementation for its corresponding basic operations like insertion, deletion, split, and query. Finally, the experiment results show that we can complete the dynamic pricing query on 10 million cloud resource usage records within 0.2 seconds on average.

  20. Optimal Ordering and Pricing Policies for Seasonal Products: Impacts of Demand Uncertainty and Capital Constraint

    Directory of Open Access Journals (Sweden)

    Jinzhao Shi

    2016-01-01

    Full Text Available With a stochastic price-dependent market demand, this paper investigates how demand uncertainty and capital constraint affect retailer’s integrated ordering and pricing policies towards seasonal products. The retailer with capital constraint is normalized to be with zero capital endowment while it can be financed by an external bank. The problems are studied under a low and high demand uncertainty scenario, respectively. Results show that when demand uncertainty level is relatively low, the retailer faced with demand uncertainty always sets a lower price than the riskless one, while its order quantity may be smaller or larger than the riskless retailer’s which depends on the level of market size. When adding a capital constraint, the retailer will strictly prefer a higher price but smaller quantity policy. However, in a high demand uncertainty scenario, the impacts are more intricate. The retailer faced with demand uncertainty will always order a larger quantity than the riskless one if demand uncertainty level is high enough (above a critical value, while the capital-constrained retailer is likely to set a lower price than the well-funded one when demand uncertainty level falls within a specific interval. Therefore, it can be further concluded that the impact of capital constraint on the retailer’s pricing decision can be influenced by different demand uncertainty levels.

  1. Capital Market Effects of Taxes and Corporate Tax Avoidance

    OpenAIRE

    Tassius, Alexander

    2016-01-01

    This thesis consists of four essays: The first essay entitled “Tax Effects on Asset Pricing – New Evidence from Tax Reform Announcements in Germany”, co-authored with Michael Overesch, Chair of Business Taxation at the University of Cologne, not only presents price effects for German shares given rumors about lowering the German corporate tax rate but also shows price effects for bonds following a substantial cut in the German personal interest tax rate. The second essay “Capital Inco...

  2. Capital Market Integration and Consumption Risk Sharing over the Long Run

    DEFF Research Database (Denmark)

    Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik

    2016-01-01

    capital market integration forecasts more consumption risk sharing in the future. This finding is robust to controlling for trade openness and exchange rate volatility as alternative drivers of risk sharing. Finally, we calculate the welfare costs of imperfect consumption risk sharing and find......We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher...

  3. Immigration, Real Estate Prices and the Consumption Decisions of Native Households

    OpenAIRE

    Adams, Zeno; Blickle, Kristian

    2016-01-01

    Since house prices govern the consumption decisions of renters and owners alike, changing house prices can have far-reaching macroeconomic consequences. We analyze how the disposable income and consumption decisions of households are affected by exogenous house price changes in Switzerland. We look at consumption of both housing and non-durable goods to establish a comprehensive picture. We ensure that our house price variation is exogenous by instrumenting house prices with origin-shift immi...

  4. ANALYSIS OF EFFECT OF PROFITABILITY, ASSETS STRUCTURE, SIZE OF COMPANIES, AND LIQUIDITY TO CAPITAL STRUCTURES IN MINING COMPANIES LISTED IN INDONESIA STOCK EXCHANGE PERIOD 2012 - 2015

    Directory of Open Access Journals (Sweden)

    Gatot Nazir Ahmad

    2017-09-01

    Full Text Available The purpose of this study is to analyze the effect of profitability, structure assets, firm size and liquidity to the capital structure of mining companies listed on the Indonesia Stock Exchange for the period 2012-2015. Sampling technique using purpose sampling. Data analysis technique used in this research is panel data regression. The results showed that partially profitability had negative and significant effect to capital structure, asset structure had positive and significant effect to capital structure, firm size had positive and significant effect to capital structure, and liquidity had negative and significant effect to capital structure. Simultaneously profitability, asset structure, firm size and liquidity have a significant effect on capital structure.

  5. Capital Market Integration and Consumption Risk Sharing over the Long Run

    DEFF Research Database (Denmark)

    Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik

    integration. We also calculate the welfare costs of imperfect capital market integration and risk sharing and find that these costs vary a lot over time. Finally, we show that consumption risk sharing is higher during times of crises, i.e. at times when marginal utility is high and risk sharing is most......We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher...... capital market integration forecasts more consumption risk sharing in the future. This finding is robust is to controlling for trade openness and exchange rate volatilities. Hence, financial integration seems to drive consumption risk sharing whereas we find no evidence that risk sharing forecasts market...

  6. Cost of Capital Estimation for Highway Concessionaires in Chile

    Directory of Open Access Journals (Sweden)

    Cristian Vergara-Novoa

    2018-01-01

    Full Text Available In this paper, we present the cost of capital estimation for highway concessionaires in Chile. We estimated the cost of equity and the cost of debt and determined the capital structure for each one of twenty-four concessionaires that operate highways. We based our estimations on the developments of Sharpe (1964, Modigliani and Miller (1958, and Maquieira (2009, which were also compared with the Brusov et al. (2015 developments. We collected stock prices for different highway concessionaires around the world from Google Finance and Reuters’ websites in order to determine the Beta of equity using a representative company. After that, we estimated the cost of equity considering Hamada (1969 and a Capital Asset Pricing Model. Then, we estimated the cost of capital using the cost of debt and the capital structure of Chile’s highway concessionaires. With all above, we were able to determine the Weighted Average Cost of Capital (WACC for highway concessions which ranges from 5.49 to 6.62%.

  7. Is response to price equal for those with higher alcohol consumption?

    Science.gov (United States)

    Byrnes, Joshua; Shakeshaft, Anthony; Petrie, Dennis; Doran, Christopher M

    2016-01-01

    To determine if taxation policies that increase the price of alcohol differentially reduce alcohol consumption for heavy drinkers in Australia. A two-part demand model for alcohol consumption is used to determine the price elasticity of alcohol. Quantile regression is used to determine the price elasticity estimates for various levels of consumption. The study uses Australian data collected by the National Drug Strategy Household Survey for the years 2001, 2004 and 2007. Measures of individual annual alcohol consumption were derived from three waves of the National Drug Strategy Household Survey; alcohol prices were taken from market research reports. For the overall population of drinkers, a 1% increase in the price of alcohol was associated with a 0.96% (95% CI -0.35%, -1.57%) reduction in alcohol consumption. For those in the highest 10% of drinkers by average amount consumed, a 1% increase in the price of alcohol was associated with a 1.26% (95% CI 0.82%, 1.70%) reduction in consumption. Within Australia, policies that increase the price of alcohol are about equally effective in relative terms for reducing alcohol consumption both for the general population and among those who drink heavily.

  8. 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 

  9. Assets and Affect in the Study of Social Capital in Rural Communities

    Science.gov (United States)

    Phillips, Martin

    2015-01-01

    Abstract Shucksmith (2012) has recently suggested that rural research might be refreshed by incorporating theoretical insights that have emerged through a renewal of class analysis. This article seeks to advance this proposed research agenda by exploring the concept of asset‐based class analysis and its association with the concept of social capital. The article explores connections between social capital, class analysis and understandings of community, noting how all have been associated with long running and unresolved debates. Attention is drawn to the problems of modernist legislative approaches to these debates and the value of adopting more interpretive perspectives. A distinction between ‘infrastructural’ and ‘culturalist’ interpretations of social capital is explored in relation to ‘asset‐based’ theorisations of class and culture. It is argued that an infrastructural conception of social capital might usefully be employed in association with a disaggregated conception of cultural capital that includes consideration of emotion and affect, as well as institutional, objectified and technical assets. These arguments are explored using studies of rural communities, largely within Britain. PMID:27563158

  10. 78 FR 62417 - Regulatory Capital Rules: Regulatory Capital, Implementation of Basel III, Capital Adequacy...

    Science.gov (United States)

    2013-10-22

    ..., Standardized Approach for Risk-Weighted Assets, Market Discipline and Disclosure Requirements, Advanced Approaches Risk-Based Capital Rule, and Market Risk Capital Rule AGENCY: Federal Deposit Insurance... Assets, Market Discipline and Disclosure Requirements, Advanced Approaches Risk-Based Capital Rule, and...

  11. A behavioral asset pricing model with a time-varying second moment

    International Nuclear Information System (INIS)

    Chiarella, Carl; He Xuezhong; Wang, Duo

    2006-01-01

    We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stability, bifurcation, and normal form analysis, the market impact of the weighting process and time-varying second moment are examined. It is found that the fundamental price becomes stable (unstable) when the activities from both types of traders are balanced (unbalanced). When the fundamental price becomes unstable, the weighting process leads to different price dynamics, depending on whether the chartists act as either trend followers or contrarians. It is also found that a time-varying second moment of the chartists does not change the stability of the fundamental price, but it does influence the stability of the bifurcations. The bifurcation becomes stable (unstable) when the chartists are more (less) concerned about the market risk characterized by the time-varying second moment. Different routes to complicated price dynamics are also observed. The analysis provides an analytical foundation for the statistical analysis of the corresponding stochastic version of this type of behavioral model

  12. Exploring consumption- and asset-based poverty dynamics in Ethiopia

    African Journals Online (AJOL)

    This paper examines the dynamics of wellbeing in Ethiopia by assessing changes in poverty status based on consumption and asset ownership. Using panel data from the first two waves of the Ethiopia Socioeconomic Survey (ESS), we discover that although the cross-sectional poverty remains relatively unchanged ...

  13. Informational segmentation in international capital markets

    OpenAIRE

    Wahl, Jack E.

    1988-01-01

    The economic influence of barriers to international information acquisition and, hence, of informational segmentation in international capital markets depends heavily upon the prevailing level of risk aversion. We find that these barriers are likely to have second order economic impact only. Furthermore, improving international informational integration is likely to Increase all asset prices when causing less heterogeneity of international subjective probability beliefs.

  14. Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Countercyclical Capital Buffer (CCB)

    OpenAIRE

    Basten, Christhoph; Koch, Cathérine

    2015-01-01

    How has the CCB affected mortgage pricing after Switzerland became the first country to activate this Basel III macroprudential tool? By analyzing a database with several offers per mortgage request, we construct a picture of mortgage supply and demand. We find, first, that the CCB changes the composition of mortgage supply, as relatively capital-constrained and mortgage-specialized banks raise prices more than their competitors do. Second, risk-weighting schemes linked to borrower risk do no...

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

    Science.gov (United States)

    Tangmongkollert, K.; Suwanna, S.

    2016-05-01

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

  16. Debiasing the disposition effect by reducing the saliency of information about a stock's purchase price.

    Science.gov (United States)

    Frydman, Cary; Rangel, Antonio

    2014-11-01

    The disposition effect refers to the empirical fact that investors have a higher propensity to sell risky assets with capital gains compared to risky assets with capital losses, and it has been associated with low trading performance. We use a stock trading laboratory experiment to investigate if it is possible to reduce subjects' tendency to exhibit a disposition effect by making information about a stock's purchase price, and thus about capital gains and losses, less salient. We compare two experimental conditions: a high-saliency condition in which the purchase price of a stock is prominently displayed by the trading software, and a low-saliency condition in which it is not displayed at all. We find that individuals exhibit a disposition effect in the high-saliency condition, and that the effect is 25% smaller in the low-saliency condition. This suggests that it is possible to debias the disposition effect by reducing the saliency with which information about a stock's purchase price is displayed on financial statements and online trading platforms.

  17. Capital income taxation in a growing open economy

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo; Sørensen, Peter Birch

    1991-01-01

    The paper studies the dynamic macroeconomic effects of various forms of capital income taxation in a model of a small open economy with perfect mobility of financial capital and intertemporal optimization on the part of households and firms. One of the noteworthy results is that the introduction...... of a (low) corporate income tax will not affect consumption in the long run, but will simply lead to a replacement of shares by foreign financial assets in household portfolios. It is also found that an anticipated investment tax credit can have and that an anticipated dividend tax will have contractionary...... effects on investment before they are introduced. Moreover, it is shown that while an unanticipated dividend tax is neutral with respect to investment, it will have real effects on consumption and net foreign assets in a growing economy...

  18. The Concept of Efficient Capital Market

    Directory of Open Access Journals (Sweden)

    Vlad Costică

    2017-01-01

    Full Text Available The efficient market capital was defined in 1939 by the American economist Eugene Famma which started from the fact that the information, which is essential for determining the price of a financial asset, has an asymmetric distribution in the market, and therefore there are different decisions sale / purchase of one and the same security title. The asymmetric information distorts the value by later incorporating it in the price. A price that does not reflect accurately the characteristics of the issuer has the effect of reducing the expected real return of the seller or buyer. The only factor that should affect future expectations is the investor's attitude towards risk.

  19. Looking beyond credit ratings : Factors investors consider In pricing European asset-backed securities

    NARCIS (Netherlands)

    Fabozzi, F.; Vink, D.

    2012-01-01

    In this paper, we empirically investigate what credit factors investors rely upon when pricing the spread at issue for European asset-backed securities. More specifically, we investigate how credit factors affect new issuance spreads after taking into account credit rating. We do so by investigating

  20. Enhancing the Quality of Financial Advice with Web 2.0 - An Approach Considering Social Capital in the Private Asset Allocation

    Science.gov (United States)

    Kundisch, Dennis; Zorzi, Robin

    Although theoretically necessary, social capital is not considered within the process of asset allocation for private investors. Both the lack of appropriate practical valuation concepts and the effort of providing and processing the required information as input for a valuation were obstacles to include social capital in this process. However, first theoretical financial models for the evaluation of social capital recently have become available. Moreover, the fast growth of business community websites and the technological progress in Web 2.0 tools that allow and acquire the active involvement of users, facilitate the provision and processing of valuation relevant information. In this paper we focus on the second aspect and propose a social software-based concept that allows for an integration of social capital in the asset allocation process.

  1. A social capital approach to household energy consumption

    Energy Technology Data Exchange (ETDEWEB)

    McMichael, Megan [School of Construction Management and Engineering, The Univ. of Reading (United Kingdom)

    2007-07-01

    This paper examines the concept of social capital in relation to household energy consumption in an effort to further understand social influences on energy use in the United Kingdom. The considerable focus on building science and technology notwithstanding, it is widely recognised that social factors influence energy use at the household level. Much of the research on changing behaviour has focused on influencing individual actions. Whilst promoting changes in individual behaviour is important, social level analysis provides a broader framework for understanding householder energy use. Social capital broadly refers to the social resources available through networks, social norms and associated levels of trust and reciprocity. The literature of energy, in the form of environmental protection and consumption, is investigated here with regards to social capital to determine the utility of any theoretical and empirical relationship. It is argued that insights from the associations of social and energy consumption can assist energy efficiency practitioners and researchers in understanding the broader social framework that underpins household energy use, but that more robust empirical research is necessary.

  2. Asset management and the calculation of capital costs for mains-usage fees

    International Nuclear Information System (INIS)

    Huser, A.; Liggenstorfer, S.; Bill, M.

    2007-01-01

    This article discusses the requirements stipulated in the Swiss Electricity Supply Law that capital costs for all mains-levels must be declared on a yearly basis. The costs are calculated from current market value and depreciation according to technical lifetime. The authors examine the requirements placed on the declaration of capital costs and how they are calculated. The detailed book-keeping needed is discussed as is the large volume of data involved. The role of existing mains information systems is looked at, as are methods of assessing current assets. Experience gained in practice is discussed: This is taken as the basis for future processes. Utilities participating in the project and a number of solutions available are noted

  3. Price sensitivity of residential energy consumption in Norway

    International Nuclear Information System (INIS)

    Nesbakken, R.

    1999-01-01

    The main aim of this paper is to test the stability of the results of a model which focus on the relationship between the choice of heating equipment and the residential energy consumption. The results for the income and energy price variables are of special interest. Stability in the time dimension is tested by applying the model on micro data for each of the years 1993-1995. The parameter estimates are stable within a 95% confidence interval. However, the estimated impact of the energy price variable on energy consumption was considerably weaker in 1994 than in 1993 and 1995. The results for two different income groups in the pooled data set are also subject to stability testing. The energy price sensitivity in residential energy consumption is found to be higher for high-income households than for low-income households. 19 refs

  4. 77 FR 52887 - Regulatory Capital Rules: Standardized Approach for Risk-Weighted Assets; Market Discipline and...

    Science.gov (United States)

    2012-08-30

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

  5. Debiasing the disposition effect by reducing the saliency of information about a stock’s purchase priceα

    Science.gov (United States)

    Rangel, Antonio

    2015-01-01

    The disposition effect refers to the empirical fact that investors have a higher propensity to sell risky assets with capital gains compared to risky assets with capital losses, and it has been associated with low trading performance. We use a stock trading laboratory experiment to investigate if it is possible to reduce subjects’ tendency to exhibit a disposition effect by making information about a stock’s purchase price, and thus about capital gains and losses, less salient. We compare two experimental conditions: a high-saliency condition in which the purchase price of a stock is prominently displayed by the trading software, and a low-saliency condition in which it is not displayed at all. We find that individuals exhibit a disposition effect in the high-saliency condition, and that the effect is 25% smaller in the low-saliency condition. This suggests that it is possible to debias the disposition effect by reducing the saliency with which information about a stock’s purchase price is displayed on financial statements and online trading platforms. PMID:25774069

  6. Compensation schemes, liquidity provision, and asset prices: An experimental analysis

    OpenAIRE

    Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste

    2015-01-01

    In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a potentially higher return, they can entrust their money to a trader. However this investment is risky, as the trader might not be trustworthy. Alternatively, they can opt for a safe but low return. We study how subjects solve this trade-off when traders are ...

  7. Mass and energy-capital conservation equations to study the price evolution of non-renewable energy resources

    International Nuclear Information System (INIS)

    Gori, F.

    2006-01-01

    Mass conservation equation of non-renewable resources is employed to study the resources remaining in the reservoir according to the extraction policy. The energy conservation equation is transformed into an energy-capital conservation equation. The Hotelling rule is shown to be a special case of the general energy-capital conservation equation when the mass flow rate of extracted resources is equal to unity. Mass and energy-capital conservation equations are then coupled and solved together. It is investigated the price evolution of extracted resources. The conclusion of the Hotelling rule for non-extracted resources, i.e. an exponential increase of the price of non-renewable resources at the rate of current interest, is then generalized. A new parameter, called 'Price Increase Factor', PIF, is introduced as the difference between the current interest rate of capital and the mass flow rate of extraction of non-renewable resources. The price of extracted resources can increase exponentially only if PIF is greater than zero or if the mass flow rate of extraction is lower than the current interest rate of capital. The price is constant if PIF is zero or if the mass flow rate of extraction is equal to the current interest rate. The price is decreasing with time if PIF is smaller than zero or if the mass flow rate of extraction is higher than the current interest rate. (author)

  8. International Asset Pricing, Currency Risk and Integration of Markets

    Directory of Open Access Journals (Sweden)

    Sema BAYRAKTAR

    2014-11-01

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

  9. 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.

  10. 26 CFR 1.1223-1 - Determination of period for which capital assets are held.

    Science.gov (United States)

    2010-04-01

    ... have in the hands of such other person. For example, the period for which property acquired by gift... after December 31, 1950, and before January 1, 1954. (h) If a taxpayer accepts delivery of a commodity... capital asset in his hands. (i) If shares of stock in a corporation are sold from lots purchased at...

  11. Assessment of entrepreneurship pedagogy on entrepreneurship knowledge and entrepreneurial human capital asset: A conceptual model

    Directory of Open Access Journals (Sweden)

    Chidimma Odira Okeke

    2016-06-01

    Full Text Available This study is an effort to propose a conceptual model to measure the impact assessment of entrepreneurship pedagogic. It delineates entrepreneurship education pedagogic into four dimensions and opined specific level for each dimension. Reviewing the entrepreneurship education programme, assessment of entrepreneurship pedagogic evaluates the structure that influence growth mindset development through embedded heuristic strategies, thus, the impact on entrepreneurship knowledge and entrepreneurial capital asset context is proposed. Affirming Fayolle, Gailly, and Lassa-Clerc conceptual affinity that entrepreneurship education share with learning theories and entrepreneurship pedagogical content knowledge were conceptualized to suggest some practical realism guidelines of what insightful philosophy of teaching entrepreneurship need to achieve. With direct synthesis of relevant literature, propositions relating to entrepreneurship pedagogic structure along with the institutional connectedness and associated dimensions of entrepreneurship pedagogic assessment outcome were postulated. Also, the paper proposes the need for further assessment of specific forms of pedagogic impact on entrepreneurial human capital asset.

  12. 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...

  13. Comparison and Association of Intellectual Capital: An Investigation and Measurement of the Value of Intellectual Capital Assets and Their Contribution to Stakeholder Perception within the Framework of Higher Education

    Science.gov (United States)

    Helm Stevens, Roxanne

    2011-01-01

    PROBLEM: Many of the preliminary approaches to strategic management of intellectual capital or knowledge assets have not been attempted in the not-for-profit arena. Additionally, because there is no marketplace value for not-for-profit firms or a valuation system for intangible assets, the identification and measurement necessary for efficient and…

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

    NARCIS (Netherlands)

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

    2017-01-01

    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

  15. Embedding the Circular Economy in Investment Decision-making for Capital Assets – A Business Case Framework

    NARCIS (Netherlands)

    Korse, M.; Ruitenburg, Richard Jacob; Toxopeus, Marten E.; Braaksma, Anne Johannes Jan

    2016-01-01

    Industry shows an increasing interest in the circular economy. However, circularity for physical capital assets is still ill-defined and existing models are complex and information dependent hindering implementation. This paper addresses these gaps by operationalizing circular economy principles and

  16. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences"

    OpenAIRE

    William T. Smith; Qiang Zhang

    2006-01-01

    Multiplicative habit introduces an additional consumption risk as a determinant of equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect "price of risk". A model combining multiplicative habit and power-expo preferences cannot be rejected.

  17. 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...

  18. 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.

  19. THE PROCESS OF EVALUATING PRIMARY FINANCIAL ASSETS ON THE CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Ionel Eduard Ionescu

    2013-12-01

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

  20. Wood fuel in Sweden 1800-1990 - consumption and price trends

    International Nuclear Information System (INIS)

    Schoen, L.

    1992-01-01

    The report presents consumption and price trends of wood fuel in Sweden 1800-1990 and discusses the increase in the use of wood fuel in the 1980's in a long-term perspective. Consumption of wood fuel grew at the same rate as population during most of the 19th century with a share of 95-80 per cent of total fuel consumption. Since the modern industrial breakthrough around the 1880's, consumption of wood fuel has decreased while that of fossiles and electricity have expanded. Temporarily, consumption increased during the world wars, particularly during the second one. The increase after the energy crises of the 1970's differs from those of the wars in some respects - thus, the changes in the conditions of energy supply and energy use were conceived as long-lasting, the increase in consumption took place with markets in function, and an important new user appeared, namely the district heating services. During both the 19th and the 20th century, prices of wood fuel have risen strongly in relation to those of most other products. This increase expresses the shifts in demand to wood resources and the comparatively weak productivity growth in forestry. Compared to prices of fossile fuels, the price increase of wood fuel ended in the 1920's and the relation has since then fluctuated. The strong shift in consumption to fossils from the 1920's is explained rather by the high costs of handling wood fuel. Wood fuel consumption has increased during periods of relatively decreasing wages. While the price increase of wood fuel can stimulate extended production also within agriculture, the study emphasizes the need of productivity growth in wood fuel production as well as product development towards the lowering of the handling costs of the user. (23 refs., 8 figs., 4 tabs.)

  1. Modelling the Price of Unleaded Petrol in Australia’s Capital Cities

    Directory of Open Access Journals (Sweden)

    Abbas Valadkhani

    2010-06-01

    Full Text Available This paper examines the long-run and short-run determinants of unleaded petrol price in Australia’s capitalcities using monthly data to find out whether prices respond asymmetrically to external shocks. Based on thecointegration test results and the estimated asymmetric short-run dynamic models, it is found that: (1 in thelong-run petrol prices are mainly determined by Tapis crude oil and Singapore petrol prices; (2 there issome evidence of asymmetric price adjustments in the short-run since petrol price increases have been mostlypassed on to the consumer faster than price decreases in four capital cities. More specifically, this paperprovides convincing evidence in support of asymmetric price adjustments and the “rockets-and-feathershypothesis” in Adelaide, Brisbane, Melbourne and Sydney. One can thus argue that there are a significantdegree of market inefficiency and/or collusion, requiring a closer government price monitoring and scrutiny.

  2. Social capital and transaction costs in millet markets.

    Science.gov (United States)

    Jacques, Damien Christophe; Marinho, Eduardo; d'Andrimont, Raphaël; Waldner, François; Radoux, Julien; Gaspart, Frédéric; Defourny, Pierre

    2018-01-01

    In sub-Saharan Africa, transaction costs are believed to be the most significant barrier that prevents smallholders and farmers from gaining access to markets and productive assets. In this study, we explore the impact of social capital on millet prices for three contrasted years in Senegal. Social capital is approximated using a unique data set on mobile phone communications between 9 million people allowing to simulate the business network between economic agents. Our approach is a spatial equilibrium model that integrates a diversified set of data. Local supply and demand were respectively derived from remotely sensed imagery and population density maps. The road network was used to establish market catchment areas, and transportation costs were derived from distances between markets. Results demonstrate that accounting for the social capital in the transaction costs explained 1-9% of the price variance depending on the year. The year-specific effect remains challenging to assess but could be related to a strengthening of risk aversion following a poor harvest.

  3. ENVIRONMENT ACCOUNTING FOR SUSTAINABLE DEVELOPMENT

    OpenAIRE

    Florin Boghean

    2007-01-01

    Economic sustainability or intergenerational equity entails maintaining social well being by decisions about investments in different types of asset. Under certain conditions, consumption can be sustained by depleting resources, or various kinds of natural capital, while building up other kinds of capital. Theoretically, the choices involve the use of a set of accounting prices. The question becomes one of finding and implementing accounting prices that express the roles of the various capita...

  4. Was Bernanke right? Targeting asset prices may not be a good idea after all

    NARCIS (Netherlands)

    Assenza, T.; Berardi, M.; Delli Gatti, D.

    2011-01-01

    Should the central bank prevent "excessive" asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In

  5. Money flexibility, price elasticity, and elasticity of marginal utility of consumption

    OpenAIRE

    Malakhov, Sergey

    2014-01-01

    The development of G.Stigler’s original model of search describes the mathematical relationship between the elasticity of the marginal utility of consumption, the price elasticity, and the elasticity of the marginal utility of money income with respect to increase in the price of living and/or to inflation. This relationship can be used not only in economics of well-being but also in microeconomics where the increase in the price of living, i.e., in purchase price, can make consumption “bad” ...

  6. Government Pricing Policy and Behavioral Consumption of Tobacco

    OpenAIRE

    Firend, A.R

    2015-01-01

    This research examines the impact of tobacco tax on government revenues and consumer's behavior towards price increases. In this examines historical trends of tobacco tax hikes in Malaysia and consumer's reaction towards anticipated price increases. Methodology consisted of qualitative and quantitative data collection for triangulation in addition to review reports and studies of governmental and independent agencies. Findings suggest that price increases has a minimal affect on consumption h...

  7. Estimating temporary and permanent stock price innovations on Croatian capital market

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2014-03-01

    Full Text Available This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression framework with Blanchard and Quah (1989 decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.

  8. Cost of Capital in Price-regulated Companies: the Case of Estonia

    Directory of Open Access Journals (Sweden)

    Priit Sander

    2013-01-01

    Full Text Available In case of price-regulated companies it is the role of appropriate government agencies to introduce clear, internally consistent, theoretically sound, and unambiguous methodology for finding the regulative cost of capital. The aim of the paper is to describe and analyze the cost of capital estimation methodology for regulated companies in Estonia and discuss some issues arising in applying this methodology. The current paper focuses on two topical issues associated with the estimation of regulative cost of capital in Estonia: estimation of market risk premium and inclusion of currency risk premium into the cost of capital. Current turmoil in financial markets has increased investors’ risk aversion as well as level of risks.

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

    Directory of Open Access Journals (Sweden)

    Dionigi Gerace

    2015-06-01

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

  10. The effect of house price changes on cohort consumption in Turkey

    Directory of Open Access Journals (Sweden)

    Evren Ceritoğlu

    2017-09-01

    Full Text Available This paper analyzes the relationship between house prices and household consumption in Turkey. We utilize twelve consecutive waves of the Turkish Statistical Institute (TURKSTAT Household Budget Surveys (HBS from 2003 to 2014. We construct a pseudo-panel data set using birth-year cohorts following Deaton (1985. We find that house price changes have a positive and significant effect on the growth of cohort consumption. Moreover, the effect of house price changes is stronger for home-owners and it intensifies as we move from young cohorts to old cohorts. We observe that there is a marginally significant and relatively weak relationship between the growth of cohort consumption and house price changes for tenants. However, our pooled sample set is restricted to young and middle-aged cohorts for tenants. In addition, we find that the rise of home-ownership ratio increases the growth of cohort consumption, while the spread of having outstanding housing debt depresses the growth of cohort consumption. Therefore, our empirical findings are in favor of the wealth channel argument.

  11. Oil price, capital mobility and oil importers

    International Nuclear Information System (INIS)

    Gonzalez-Romero, A.

    1992-01-01

    A three-region, three-commodity general equilibrium model is constructed to explore the impact of OPEC's pricing policies on major macro variables of importer economies. The aim of this paper is to explore general macro characteristics of the trading economies to aid understanding of the world economy response after OPEC I and OPEC II in terms of the evolution of North - South terms of trade, rates of profit and output levels. We support the view of a world economy in a three regions setting, North - South - OPEC. The analysis increases our understanding of why regions respond differently to the same external shock and how from different regimes of capital mobility we should derive alternative policy implications. With the current rise in oil prices, the topic promises to be relevant for some time, although the direction of the shocks has been reserved. (Author)

  12. Economic Growth, Electricity Consumption, Labor Force and Capital Input: A More Comprehensive Analysis on North China Using Panel Data

    Directory of Open Access Journals (Sweden)

    Huiru Zhao

    2016-10-01

    Full Text Available Over the past three decades, China’s economy has witnessed remarkable growth, with an average annual growth rate over 9%. However, China also faces great challenges to balance this spectacular economic growth and continuously increasing energy use like many other economies in the world. With the aim of designing effective energy and environmental policies, policymakers are required to master the relationship between energy consumption and economic growth. Therefore, in the case of North China, a multivariate model employing panel data analysis method based on the Cobb-Douglas production function which introduces electricity consumption as a main factor was established in this paper. The equilibrium relationship and causal relationship between real GDP, electricity consumption, total investment in fixed assets, and the employment were explored using data during the period of 1995–2014 for six provinces in North China, including Beijing City, Tianjin City, Hebei Province, Shanxi Province, Shandong Province and Inner Mongolia. The results of panel co-integration tests clearly state that all variables are co-integrated in the long term. Finally, Granger causality tests were used to examine the causal relationship between economic growth, electricity consumption, labor force and capital. From the Granger causality test results, we can draw the conclusions that: (1 There exist bi-directional causal relationships between electricity consumption and real GDP in six provinces except Hebei; and (2 there is a bi-directional relationship between capital input and economic growth and between labor force input and economic growth except Beijing and Hebei. Therefore, the ways to solve the contradiction of economic growth and energy consumption in North China are to reduce fossil energy consumption, develop renewable and sustainable energy sources, improve energy efficiency, and increase the proportion of the third industry, especially the sectors which

  13. THE CAPITAL STRUCTURE OF VENTURE CAPITAL FIRMS IN INDONESIA

    Directory of Open Access Journals (Sweden)

    Andi Buchari

    2016-10-01

    Full Text Available Venture capital (VC is an important fund source for small and medium enterprises (SMEs and start up, particularly to deliver its main product of equity participation. Therefore, capital structure and factors that affect it are very crucial. This study aims to analyze the capital structure of VC firms in Indonesia using econometric model of panel data regression. This study utilizes secondary data of six years period (2009-2014 monthly financial statements of 27 samples out of 58 VC firms to form 1,944 observations. The study reveals that capital structure of VC firms in Indonesia is dominated by debt/loan rather than capital with DER on average is 136.95%. In addition, the research confirms that VC firms’ capital structure is affected simultaneously by financial aspects which are asset size, profitability, liquidity, asset/investment quality, and earning asset structure. The attentions to financial aspects that affect the VC firms’ capital structure as well as other initiatives related to capital increases are necessary so that the VC firms could carry out its role effectively.

  14. Population age structure and asset returns: an empirical investigation.

    Science.gov (United States)

    Poterba, J M

    1998-10-01

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

  15. Transport Emissions and Energy Consumption Impacts of Private Capital Investment in Public Transport

    Directory of Open Access Journals (Sweden)

    Yunqiang Xue

    2017-10-01

    Full Text Available Introducing private capital into the public transport system for its sustainable development has been increasing around the world. However, previous research ignores emissions and energy consumption impacts, which are important for private capital investment policy-making. To address this problem, the system dynamic (SD approach was used to quantitatively analyze the cumulative effects of different private capital investment models in public transport from the environmental perspective. The SD model validity was verified in the case study of Jinan public traffic. Simulation results show that the fuel consumption and emission reductions are obvious when the private capital considering passenger value invests in public transport compared with the no private capital investment and traditional investment models. There are obvious cumulative reductions for fuel consumption, CO2, CO, SO2, and PM10 emissions for 100 months compared with no private capital investment. This research verifies the superiority of the passenger value investment model in public transport from the environmental point of view, and supplies a theoretical tool for administrators to evaluate the private capital investment effects systematically.

  16. 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

  17. 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.

  18. Higher prices, increased demand bolster OGJ group 1995 profits

    International Nuclear Information System (INIS)

    Beck, R.J.; Bell, L.

    1996-01-01

    This paper reviews the 1995 performance of 22 of the largest US oil companies. It shows sector earnings, spending, prices, financial indicators, and exploration and production figures. Each company is identified to its revenues, working capital, returns on stockholder investments, and total assets. With regards to production, each company is identified by number of wells, refined product sales, liquid reserves, and net production

  19. Competition with Variety Seeking and Habitual Consumption: Price Commitment or Quality Commitment?

    Directory of Open Access Journals (Sweden)

    Liyang Xiong

    2017-01-01

    Full Text Available This paper investigates price and quality competition in a market where consumers seek variety and habit formation. Variety seeking is modeled as a decrease in the willingness to pay for product purchased on the previous occasion while habitual consumption may increase future marginal utility. We compare two competing strategies: price commitment and quality commitment. With a three-stage Hotelling-type model, we show that variety seeking intensifies while habitual consumption softens the competition. With price commitment, firms supply lower quality levels in period 1 and higher quality levels in period 2, while, with quality commitment, firms charge higher prices in period 1 and lower prices in period 2. However, the habitual consumption brings the opposite effect. In addition, with quality commitment variety seeking leads to a lower profit and a higher consumer surplus, while habitual consumption leads to the opposite results. On the other side, with price commitment these behaviors have no effect on the consumer surplus, although they still lower down the firm profits. Finally, we also identify conditions under which one strategy outperforms the other.

  20. The Role of Capital Productivity in British Airways' Financial Recovery

    Science.gov (United States)

    Morrell, Peter

    1999-01-01

    British Airways (BA) was privatised in 1987, but its financial recovery occurred a number of years earlier. This recovery was sustained throughout the early 1990s economic recession, a period when few major airlines were operating profitably. This paper examines the role of productivity developments at British Airways from the early 1980s through 1996. The emphasis is on capital productivity and investment, but changes in capital intensity and labour productivity are also evaluated. Various measures are considered for both capital and labour productivity: outputs are measured in available tonne-kms (ATKS) and revenue tonne-kms (RTKs), with the former preferred over the latter two measures, after adjustment for work performed by BA for others. Capital inputs are measured in equivalent lease costs adjusted to constant prices with a different treatment of flight and ground equipment or assets. Labour inputs are derived from total payroll costs deflated by a UK wage price index. The airline made considerable capital investments over the period and at the same time went through two major processes of labour restructuring. This resulted in a gradual increase in capital intensity, relative high labour productivity growth, but poor capital productivity performance. However, capital investment played an important role in the airline's sustained labour and total factor productivity over the whole period.

  1. 12 CFR 567.9 - Tangible capital requirement.

    Science.gov (United States)

    2010-01-01

    ... capital, a savings association must deduct from assets, and, thus, from capital: (1) Intangible assets (as defined in § 567.1) except for mortgage servicing assets to the extent they are includable in tangible... maintain tangible capital in an amount equal to at least 1.5% of adjusted total assets. (b) The following...

  2. The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion

    OpenAIRE

    Jennifer L. Blouin; Jana Smith Raedy; Douglas A. Shackelford

    2000-01-01

    This paper contributes to our understanding of the determinants of price responses to inclusion in the S&P 500 by providing evidence consistent with capital gains tax planning impacting stock reactions. Tests are conducted on 426 additions from 1978-1999. We regress the returns on the first trading day following announcement on a capital gains tax measure and controls. The evidence is consistent with the share prices of appreciated firms being temporarily bid up to compensate individual share...

  3. 49 CFR 639.33 - Management of leased assets.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 7 2010-10-01 2010-10-01 false Management of leased assets. 639.33 Section 639.33..., DEPARTMENT OF TRANSPORTATION CAPITAL LEASES Lease Management § 639.33 Management of leased assets. Each recipient must maintain an inventory of capital assets acquired by standard FTA project management...

  4. 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.

  5. Intellectual Capital.

    Science.gov (United States)

    Snyder, Herbert W.; Pierce, Jennifer Burek

    2002-01-01

    This review focuses on intellectual capital and its relationship to information professionals. Discusses asset recognition; national practices and the acceptance of intellectual capital; definitions of intellectual capital; measuring intellectual capital, including multiple and single variable measures; managing intellectual capital; and knowledge…

  6. IMPACT OF LIQUIDITY AND SIZE PREMIUM ON EQUITY PRICE FORMATION IN SERBIA

    OpenAIRE

    Jelena Minović; Boško Živković

    2012-01-01

    The goal of this paper is to examine the impact of an overall market factor, the factor related to the firm size, the factor related to the ratio of book to market value of companies, and the factor of liquidity risk on expected asset returns in the Serbian market. For this market we estimated different factor models: Capital Asset Pricing Model (CAPM by Sharpe, 1964), Fama-French (FF) model (1992, 1993), Liquidity-augmented CAPM (LCAPM) by Liu (2006), and combination LCAPM with FF factors. W...

  7. Is the price effect on fuel consumption symmetric? Some evidence from an empirical study

    International Nuclear Information System (INIS)

    Sentenac-Chemin, Elodie

    2012-01-01

    We generally consider that the price elasticity of the energy demand is quite small. But it appears that strong increases in gasoline price lead to modifications in consumer behaviors. The high volatility of petroleum prices and the strong increases since the beginning of 2000 justify an analysis of price effects on gasoline consumption. We estimate the effects of price variations on gasoline consumption, in the United States and India. We use a co-integration modelling to test for long-run relationship between gasoline consumption, income, price and vehicle ownership in the two countries. We use an error correction model to test for short-run prices effects and more precisely for asymmetric effects on demand of increases and decreases in gasoline prices. The main conclusions are the following. Concerning the United States, the long-term price elasticity is relatively high for an industrialised country because gasoline taxes are low, but we show that households are more sensitive to a price increase than a price decrease. About India, price elasticity in the long-run is quite high but is quite small in the short-run. It is not surprising for an emergent country. It seems that there is no asymmetric effect of price variations on gasoline consumption.

  8. 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.

  9. WEATHER DERIVATIVES: THE MOST COMMON PRICING AND VALUATION METHODS

    Directory of Open Access Journals (Sweden)

    Botos Horia Mircea

    2013-07-01

    Full Text Available In recent years , weather derivatives have become a common tool in risk management for many sectors. This has its roots in that there is no unique way to determine de value and price solutions that would be generally approved by market-participants, like in the case of the Black-Scholes formula for options on non-dividend-paying stocks is the source for a constant debate between academics and practitioners. One look for fair and truly correct prices, while the others search every-day applicable solutions. To be honest... this is somehow like alchemy. This paper has as purpose the examination of statistical characteristics of weather data, data clearing and filling techniques. The study will be referring to temperatures because that is the best analyzed phenomenon, being the most common. This was also heavily influenced by energy companies and energetic interests, because the degree days were of interest ever before weather derivatives were put for sale. Main ideas are explaining what ways of pricing and valuation are, put into perspective for this financial instrument, taking into consideration that the Black-Scholes Model is not suitable. Also here, we will present the pros and cons that we found for each method. The methods are: the Burn analysis, the index value simulation method (IVSM, the daily simulation method (DSM.On the hole, this paper wants to shed light the weather derivatives pricing methods a mix of insurance pricing and standard financial models. At the end we will prospect the discounting problem, by means of the Consumption based Capital Asset Pricing Model (CCAPM.

  10. 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.

  11. An Asset-Based Approach to Tribal Community Energy Planning

    Energy Technology Data Exchange (ETDEWEB)

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

    2016-08-01

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

  12. 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.

  13. Social capital and transaction costs in millet markets

    Directory of Open Access Journals (Sweden)

    Damien Christophe Jacques

    2018-01-01

    Full Text Available In sub-Saharan Africa, transaction costs are believed to be the most significant barrier that prevents smallholders and farmers from gaining access to markets and productive assets. In this study, we explore the impact of social capital on millet prices for three contrasted years in Senegal. Social capital is approximated using a unique data set on mobile phone communications between 9 million people allowing to simulate the business network between economic agents. Our approach is a spatial equilibrium model that integrates a diversified set of data. Local supply and demand were respectively derived from remotely sensed imagery and population density maps. The road network was used to establish market catchment areas, and transportation costs were derived from distances between markets. Results demonstrate that accounting for the social capital in the transaction costs explained 1–9% of the price variance depending on the year. The year-specific effect remains challenging to assess but could be related to a strengthening of risk aversion following a poor harvest.

  14. 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.

  15. Is the price effect on fuel consumption symmetric? some evidence from an empirical study

    International Nuclear Information System (INIS)

    Sentenac Chemin, E.

    2009-04-01

    We generally consider that the price elasticity of the energy demand is quite small. But it appears that strong increases in gasoline price lead to modifications in consumer behaviours. The high volatility of petroleum prices and thus gasoline prices and the strong increases since the beginning of 2000 justify an analysis of price effects on gasoline consumption. Thus, in this paper, we estimate the effects of price variations on gasoline consumption, in the short and the long-term, in two countries: the United States and India. We use a co-integration modelling to test for long-run relationship between gasoline consumption, income, price and vehicle ownership in the two countries. We use an error correction model to test for short-run prices effects and more precisely for asymmetric effects on demand of increases and decreases in gasoline prices. The main conclusions are the following. - The United States: (1) The long-term price elasticity is relatively high for an industrialised country because gasoline taxes are low (2) Households are more sensitive to a price increase than a price decrease. - India: (1) Price elasticity in the long-run is quite high but is quite small in the short run. It is not surprising for an emergent country (2) It seems that there is no asymmetric effect of price variations on gasoline consumption. (author)

  16. Oil prices, nuclear energy consumption, and economic growth: New evidence using a heterogeneous panel analysis

    International Nuclear Information System (INIS)

    Lee, Chien-Chiang; Chiu, Yi-Bin

    2011-01-01

    This paper applies panel data analysis to examine the short-run dynamics and long-run equilibrium relationships among nuclear energy consumption, oil prices, oil consumption, and economic growth for developed countries covering the period 1971-2006. The panel cointegration results show that in the long run, oil prices have a positive impact on nuclear energy consumption, suggesting the existence of the substitution relationship between nuclear energy and oil. The long-run elasticity of nuclear energy with respect to real income is approximately 0.89, and real income has a greater impact on nuclear energy than do oil prices in the long run. Furthermore, the panel causality results find evidence of unidirectional causality running from oil prices and economic growth to nuclear energy consumption in the long run, while there is no causality between nuclear energy consumption and economic growth in the short run. - Research highlights: → We examine the relationship among nuclear energy consumption, oil prices, oil consumption, and economic growth for developed countries. → The existence of the substitution relationship between nuclear energy and oil. → Real income has a greater impact on nuclear energy than do oil prices in the long run. → An unidirectional causality running from oil prices and economic growth to nuclear energy consumption in the long run.

  17. Impact of company performances on the stock price: An empirical analysis on select companies in Serbia

    Directory of Open Access Journals (Sweden)

    Milošević-Avdalović Snežana

    2017-01-01

    Full Text Available The global financial crisis of the late 2007 has provoked unprecedented shocks to the world markets and weaken investors' confidence due to the turbulent movements and frequent changes of stock prices. Emerging capital markets suffer from unsatisfactory corporate governance, market manipulation and insider trade problems. In such circumstances, institutional investors, managers, analysts and other market participants are in constant search of the trading strategy that will outperform the market. This research is an instrument for the identification of the main determinants of stock prices on the Belgrade Stock Exchange. The panel data regression analysis includes 42 companies that represent the composition of the BelexLine index for the period from 2010 to 2014. The paper looks at the impact of specific (internal variables of companies, such as company size, return on assets, return on equity, earnings per stock, book value, price-earning ratio, price-to-book ratio and leverage and the stock price of companies that compose the BelexLine index. The results indicate that variables such as the size of the company measured by assets, return on assets, leverage, earnings per stock, book value and price-to-book ratio provide a unique contribution to a statistically significant predictor of stock prices.

  18. Determinants of capital structure.

    Science.gov (United States)

    McCue, M J; Ozcan, Y A

    1992-01-01

    This study analyzes the determinants of hospital capital structure in a new market setting that are created by the financial pressures of prospective payment and the intense price competition among hospitals. Using California data, the study found hospital system affiliation, bed size, growth rate in revenues, operating risk, and asset structure affected both short- and long-term debt borrowings. In addition, percentage of uncompensated care, profitability, and payer mix influenced short-term borrowings while market conditions and ownership affected long-term borrowings. Most significant of all is the finding that smaller hospitals tend to borrow more, possibly because they cannot generate funds internally.

  19. Cultural Capital and the Consumption of Cultural Goods: Strategies Used for Status Consumption Among New Middle Class Brazilian Women.

    Directory of Open Access Journals (Sweden)

    Lucivânia Filomeno Ponte

    2014-12-01

    Full Text Available Holt (1998 investigated the application of  the concept of consumption of cultural products as a means of acquiring status by conducting research in the United States and Turkey (Üstüner & Holt, 2010. This present research was based on this latest study and aimed to study the relationship between the consumption of cultural products and the consumption of status among Brazilian women in the new middle class. It was concluded that the cultural capital acts as a determining factor in the consumption of status, being converted in tastes and consumption practices. The consumption of cultural products is critical to the building of the status strategies, however, the cultural products used may vary according to the greater or lesser cultural capital of the interviewees.

  20. Energy consumption and economic growth in New Zealand: Results of trivariate and multivariate models

    International Nuclear Information System (INIS)

    Bartleet, Matthew; Gounder, Rukmani

    2010-01-01

    This study examines the energy consumption-growth nexus in New Zealand. Causal linkages between energy and macroeconomic variables are investigated using trivariate demand-side and multivariate production models. Long run and short run relationships are estimated for the period 1960-2004. The estimated results of demand model reveal a long run relationship between energy consumption, real GDP and energy prices. The short run results indicate that real GDP Granger-causes energy consumption without feedback, consistent with the proposition that energy demand is a derived demand. Energy prices are found to be significant for energy consumption outcomes. Production model results indicate a long run relationship between real GDP, energy consumption and employment. The Granger-causality is found from real GDP to energy consumption, providing additional evidence to support the neoclassical proposition that energy consumption in New Zealand is fundamentally driven by economic activities. Inclusion of capital in the multivariate production model shows short run causality from capital to energy consumption. Also, changes in real GDP and employment have significant predictive power for changes in real capital.

  1. Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data

    International Nuclear Information System (INIS)

    Miller, Mark; Alberini, Anna

    2016-01-01

    Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity. - Highlights: • The price elasticity of residential electricity demand varies widely across studies. • We use three large datasets from the US to examine reasons for such wide variation. • Some assessed effects include aggregation, unobserved heterogeneity, and price trends. • Correcting for such issues can change the estimated price elasticity by 50–100%.

  2. 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...

  3. Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market

    Directory of Open Access Journals (Sweden)

    Huiling Wu

    2016-01-01

    Full Text Available This paper studies an investment-consumption problem under inflation. The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain. The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented. The analytical expression of the optimal investment strategy is derived. The existence, boundedness, and feasibility of the optimal consumption are proven. Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.

  4. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

    DEFF Research Database (Denmark)

    Pedersen, Thomas Quistgaard

    In this paper we derive an approximate analytical solution to the optimal con- sumption and portfolio choice problem of an infinitely-lived investor with power utility defined over the difference between consumption and an external habit. The investor is assumed to have access to two tradable......-linearized surplus consumption ratio. The "difference habit model" implies that the relative risk aversion is time-varying which is in line with recent ev- idence from the asset pricing literature. We show that accounting for habit a¤ects both the myopic and intertemporal hedge component of optimal asset demand......, and introduces an additional component that works as a hedge against changes in the investor's habit level. In an empirical application, we calibrate the model to U.S. data and show that habit formation has significant effects on both the optimal consumption and portfolio choice compared to a standard CRRA...

  5. 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...

  6. Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries

    International Nuclear Information System (INIS)

    Lee, Chien-Chiang; Chiu, Yi-Bin

    2011-01-01

    This study utilizes the Johansen cointegration technique, the Granger non-causality test of Toda and Yamamoto (1995), the generalized impulse response function, and the generalized forecast error variance decomposition to examine the dynamic interrelationship among nuclear energy consumption, real oil price, oil consumption, and real income in six highly industrialized countries for the period 1965-2008. Our empirical results indicate that the relationships between nuclear energy consumption and oil are as substitutes in the U.S. and Canada, while they are complementary in France, Japan, and the U.K. Second, the long-run income elasticity of nuclear energy is larger than one, indicating that nuclear energy is a luxury good. Third, the results of the Granger causality test find evidence of unidirectional causality running from real income to nuclear energy consumption in Japan. A bidirectional relationship appears in Canada, Germany and the U.K., while no causality exists in France and the U.S. We also find evidence of causality running from real oil price to nuclear energy consumption, except for the U.S., and causality running from oil consumption to nuclear energy consumption in Canada, Japan, and the U.K., suggesting that changes in price and consumption of oil influence nuclear energy consumption. Finally, the results observe transitory initial impacts of innovations in real income and oil consumption on nuclear energy consumption. In the long run the impact of real oil price is relatively larger compared with that of real income on nuclear energy consumption in Canada, Germany, Japan, and the U.S.

  7. Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Chien-Chiang, E-mail: cclee@cm.nsysu.edu.tw; Chiu, Yi-Bin

    2011-03-15

    This study utilizes the Johansen cointegration technique, the Granger non-causality test of Toda and Yamamoto (1995), the generalized impulse response function, and the generalized forecast error variance decomposition to examine the dynamic interrelationship among nuclear energy consumption, real oil price, oil consumption, and real income in six highly industrialized countries for the period 1965-2008. Our empirical results indicate that the relationships between nuclear energy consumption and oil are as substitutes in the U.S. and Canada, while they are complementary in France, Japan, and the U.K. Second, the long-run income elasticity of nuclear energy is larger than one, indicating that nuclear energy is a luxury good. Third, the results of the Granger causality test find evidence of unidirectional causality running from real income to nuclear energy consumption in Japan. A bidirectional relationship appears in Canada, Germany and the U.K., while no causality exists in France and the U.S. We also find evidence of causality running from real oil price to nuclear energy consumption, except for the U.S., and causality running from oil consumption to nuclear energy consumption in Canada, Japan, and the U.K., suggesting that changes in price and consumption of oil influence nuclear energy consumption. Finally, the results observe transitory initial impacts of innovations in real income and oil consumption on nuclear energy consumption. In the long run the impact of real oil price is relatively larger compared with that of real income on nuclear energy consumption in Canada, Germany, Japan, and the U.S.

  8. 12 CFR 615.5210 - Risk-adjusted assets.

    Science.gov (United States)

    2010-01-01

    ... appropriate credit conversion factor in § 615.5212, is assigned to one of the risk categories specified in... risk-based capital requirement for the credit-enhanced assets, the risk-based capital required under..., determine the appropriate risk weight for any asset or credit equivalent amount that does not fit wholly...

  9. Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

    DEFF Research Database (Denmark)

    Engsted, Tom; Møller, Stig Vinther

    By using a beginning-of-period timing convention for consumption, and by including the Great Depression years in the analysis, we show that on annual data from 1926 to 2009 a standard contemporaneous consumption risk model goes a long way in explaining the size and value premiums in cross......-sectional data that include both the Fama-French portfolios and industry portfolios. A long run consumption risk variant of the model also produces a high cross-sectional …t. In addition, the equity premium puzzle is signi…cantly reduced in the models. We argue that in evaluating consumption based models...

  10. Capital Gains on the Alienation of Assets Operated in International Traffic Under Double Taxation Conventions

    OpenAIRE

    Castro-Arango, José Manuel; Universidad Externado de Colombia

    2015-01-01

    This article analyzes the taxation of capital gains on the alienation of assets, particularly vessels, ships and aircrafts operated in international traffic from the perspective of double taxation conventions. Therefore, Article 13 of the OECD Model convention is analyzed from its respective commentaries, the history of the Model and the proposed changes. The research also cover the comparison with the United States Model Convention and the treaty practice. Finally, as an auxiliary source, th...

  11. The effect of alcohol price on dependent drinkers' alcohol consumption.

    Science.gov (United States)

    Falkner, Carolyn; Christie, Grant; Zhou, Lifeng; King, Julian

    2015-12-18

    To investigate the current purchasing behaviours of a group of dependent drinkers and their potential response to future increases in the price of alcohol. 115 clients undergoing medical detoxification completed an anonymous survey about their daily alcohol consumption, its cost, their response to potential price increases and strategies previously used when unable to afford alcohol. Mean and median number of standard drinks consumed per day was 24, at a median cost of $25 NZD (95%CI $22, $30). Thirty-six per cent (95%CI 26%, 46%) of the group bought alcohol at $1 or less per standard drink, and the median number of drinks consumed per day (30) by this group was significantly higher (p=0.0028) than the rest of the sample (22.5). The most common strategy used if no money was available to purchase alcohol was to forgo essentials. If facing a potential price rise, 77% (95%CI 69%, 85%) would switch wholly or partially to a cheaper product and 13% (95%CI 8%, 21%) would cut down their drinking. Although the majority of our group would be financially impacted by an increase in the minimum price per standard drink, any potential impacts would be most significant in those buying the cheapest alcohol (who also drink the most), suggesting that minimum pricing may be an important harm minimisation strategy in this group. A minimum price per standard drink would limit the possibility of switching to an alternate cheaper product and likely result in an overall reduction in alcohol consumption in this group. Stealing alcohol, or the use of non-beverage alcohol, were seldom reported as previous strategies used in response to unaffordable alcohol and fears of such are not valid reasons for rejecting minimum pricing to reduce general population consumption.

  12. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

    OpenAIRE

    Campbell, John; Cochrane, John H.

    1999-01-01

    We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets. Our model also predicts many of the diff...

  13. Wheat Prices, Bread Consumption and Health in Scotland

    OpenAIRE

    Revoredo-Giha, Cesar; Leat, Philip M.K.; Toma, Luiza; Lamprinopoulou-Kranis, Chrysa; Kupiec-Teahan, Beata; Cacciolatti, Luca

    2009-01-01

    The relative recent rise in food prices has increased concern about the choice of a healthy food basket, especially in the context of the formulation of a National Food Policy for Scotland. This concern has revived interest in food price and expenditure demand systems as they provide information about consumers’ food decisions. The paper focuses on the consumption of brown and white bread, as they are the most typical forms of cereals use in the UK. Moreover, nutritionists recommend the consu...

  14. On the capitalization and cultivation of social capital

    DEFF Research Database (Denmark)

    Waldstrøm, Christian; Svendsen, Gunnar Lind Haase

    2008-01-01

    a dual focus on social capital as both immediately and potentially productive resources, i.e. assets that can be immediately capitalized by individuals as well as ‘cultivated' for future use. We argue that to further operationalize this concept we must distinguish between actual/potential social capital...

  15. Is there any relation between intellectual capital and the capital structure of a company? The case of Polish listed companies

    Directory of Open Access Journals (Sweden)

    Monika Bolek

    2016-09-01

    Full Text Available This study investigates the relationship of the intellectual capital of a company (proxied by its intangible assets, with leverage and equity and capital structure. Our empirical results indicate that there is a negative relation between the intellectual capital (intangible assets of a company and its leverage based on the Warsaw Stock Exchange main market and NewConnect alternative market. Moreover, the equity capital is found positively related to the level of intangibles in each of the two markets. These results support the thesis that intellectual capital (intangible assets influences the capital structure of a company.

  16. 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.

  17. Efficient Pricing of CPPI using Markov Operators

    OpenAIRE

    Louis Paulot; Xavier Lacroze

    2009-01-01

    Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme events is often kept by the issuer of the product: a put option on the CPPI strategy is included in the product. In this paper we present a new method for the pricing of CPPIs and options on CPPIs, which is much faster and more accurate than the usual Monte-Carlo method. Provided the underlying follows a homogeneous pr...

  18. The Risk Premium for Equity : Explanations and Implications

    NARCIS (Netherlands)

    Grant, S.; Quiggin, J.

    2001-01-01

    The equity premium puzzle shows that using standard parameters and setup, the Consumption-based Capital Asset Pricing Model's (CCAPM's) prediction of the premium associated with systematic risk is out by an order of magnitude.The object of this paper is to consider the implications of each of the

  19. Energy consumption and economic development after the energy price increases of 1973

    International Nuclear Information System (INIS)

    Danielewski, J.

    1993-01-01

    The interdependence between energy consumption and economic development are highlighted in this research, which focuses on energy price rises between 1973 and 1989. Three groups of countries are identified, developing and developed market economies and centrally planned economies. Two areas of interdependence are examined, firstly the dynamic relationship between primary energy consumption growth and real economic growth and secondly the static relationship between primary energy consumption and national income. In the period under review, developing market economies reacted most strongly to higher energy prices, with lower energy consumption while maintaining real growth in the Gross Domestic Product. However developing countries and centrally planned economies increased their energy consumption per unit of national income although the rate of increase slowed after 1975. (UK)

  20. Contribution of price/expenditure factors of residential energy consumption in China from 1993 to 2011: A decomposition analysis

    International Nuclear Information System (INIS)

    Liu, Zengming; Zhao, Tao

    2015-01-01

    Highlights: • Analysis about energy prices and the residential expenditure on energy in China. • Though the prices of energy declined, the price effect was negative. • The effect of price was the strongest restraining contribution. • Discussion on the proportion of energy expenditure in residential incomes. - Abstract: Since the establishment of the market economy in 1993, the residential consumption of commodities, including energy, has been highly influenced by prices in China. However, the contribution of the factors related to prices in residential energy consumption is relatively unexplored. This paper extends the KAYA identity with price and expenditure factors and then applies the LMDI method to a decomposition of residential energy consumption in China from 1993 to 2011. Our results show the following: (1) Though the prices of a majority of residential energy sources in China declined, the effect of energy prices restrained residential energy consumption because the expenditure structure changed during the period. (2) During the research period, the urban energy expenditure proportion experienced two progresses of rising and falling, and the rural proportion, which was stable before 2002, sharply increased. (3) The energy consumption intensity effect, which is the negative of the average energy price effect, contributed to most of the decrease in energy consumption, whereas residential income played a key role in the growth of consumption. According to the conclusions, we suggest further marketization and deregulation of energy prices, the promotion of advanced energy types and guidance for better energy consumption patterns

  1. The impact of relative energy prices on industrial energy consumption in China: a consideration of inflation costs.

    Science.gov (United States)

    He, Lingyun; Ding, Zhihua; Yin, Fang; Wu, Meng

    2016-01-01

    Significant effort has been exerted on the study of economic variables such as absolute energy prices to understand energy consumption and economic growth. However, this approach ignores general inflation effects, whereby the prices of baskets of goods may rise or fall at different rates from those of energy prices. Thus, it may be the relative energy price, not the absolute energy price, that has most important effects on energy consumption. To test this hypothesis, we introduce a new explanatory variable, the domestic relative energy price, which we define as "the ratio of domestic energy prices to the general price level of an economy," and we test the explanatory power of this new variable. Thus, this paper explores the relationship between relative energy prices and energy consumption in China from the perspective of inflation costs over the period from 1988 to 2012. The direct, regulatory and time-varying effects are captured using methods such as ridge regression and the state-space model. The direct impacts of relative energy prices on total energy consumption and intensity are -0.337 and -0.250, respectively; the effects of comprehensive regulation on energy consumption through the economic structure and the energy structure are -0.144 and -0.148, respectively; and the depressing and upward effects of rising and falling energy prices on energy consumption are 0.3520 and 0.3564, respectively. When economic growth and the energy price level were stable, inflation persisted; thus, rising energy prices benefitted both the economy and the environment. Our analysis is important for policy makers to establish effective energy-pricing policies that ensure both energy conservation and the stability of the pricing system.

  2. Energy efficiency and capital-energy substitutability: Evidence from four OPEC countries

    International Nuclear Information System (INIS)

    Adetutu, Morakinyo O.

    2014-01-01

    Highlights: • The analysis examines energy efficiency gains in selected OPEC countries during 1972–2010. • Capital-energy substitutability is also explored to analyze the impact of policy measures to reduce energy use. • The magnitudes of energy efficiency gains are somewhat small or modest. • Energy and capital are substitutes in some countries, but complements in others. • Climate change policies need to internalize the environmental cost of energy consumption in end-use prices. - Abstract: Rapid economic growth and development in several oil-exporting developing countries have led to increasing energy consumption and the accompanying greenhouse gas (GHG) emissions. Consequently, a good understanding of the nature and structure of energy use in developing economies is required for future energy and climate change policies. To this end, a modified translog cost function is employed in this paper to estimate energy efficiency for selected members of the Organization of the Petroleum Exporting Countries (OPEC) over the period 1972–2010. This also allows for the estimation of energy-capital substitutability, which arguably reflects the likely ease/disruption to long-term growth arising from policy measures aimed at reducing energy consumption and GHG emissions. The estimated results show that energy efficiency gains range from −14% to 13% for sampled countries. Furthermore, factor substitution elasticities suggest that energy and capital are substitutes in Algeria and Saudi Arabia, but are found to be complements in Iran and Venezuela. The insight generated by this study is that, over the last four decades, energy efficiency improvements in selected OPEC countries are modest, possibly reflecting a “subsidy effect” arising from artificially low energy prices. Thus, policy makers should take note that measures aimed at conserving energy need to internalize the environmental cost arising from energy consumption using pricing and fiscal instruments

  3. Electronic Capitalization Asset Form -

    Data.gov (United States)

    Department of Transportation — National Automated Capitalization Authorization Form used by ATO Engineering Services, Logistics, Accounting for the purpose of identifying and capturing FAA project...

  4. 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

  5. Determinants of Return on Assets in Romania: A Principal Component Analysis

    Directory of Open Access Journals (Sweden)

    Sorana Vatavu

    2015-03-01

    Full Text Available This paper examines the impact of capital structure, as well as its determinants on the financial performance of Romanian companies listed on the Bucharest Stock Exchange. The analysis is based on cross sectional regressions and factor analysis, and it refers to a ten-year period (2003-2012. Return on assets (ROA is the performance proxy, while the capital structure indicator is debt ratio. Regression results indicate that Romanian companies register higher returns when they operate with limited borrowings. Among the capital structure determinants, tangibility and business risk have a negative impact on ROA, but the level of taxation has a positive effect, showing that companies manage their assets more efficiently during times of higher fiscal pressure. Performance is sustained by sales turnover, but not significantly influenced by high levels of liquidity. Periods of unstable economic conditions, reflected by high inflation rates and the current financial crisis, have a strong negative impact on corporate performance. Based on regression results, three factors were considered through the method of iterated principal component factors: the first one incorporates debt and size, as an indicator of consumption, the second one integrates the influence of tangibility and liquidity, marking the investment potential, and the third one is an indicator of assessed risk, integrating the volatility of earnings with the level of taxation. ROA is significantly influenced by these three factors, regardless the regression method used. The consumption factor has a negative impact on performance, while the investment and risk variables positively influence ROA.

  6. What's your real cost of capital?

    Science.gov (United States)

    McNulty, James J; Yeh, Tony D; Schulze, William S; Lubatkin, Michael H

    2002-10-01

    In valuing any investment project or corporate acquisition, executives must decide what discount rate to use in their estimates of future cash flows. The traditional approach is to apply the capital asset pricing model (CAPM), which has remained fundamentally unchanged for 40 years. But the formula--in particular, its beta element--has long been a source of frustration. In fact, corporate executives and investment bankers routinely fudge their CAPM estimates, say the authors, because experience and intuition tell them the model produces inappropriate discount rates. CAPM has three main problems: First, beta is a measure of both a stock's correlation and its volatility; second, beta is based on historical data; and third, CAPM rates don't take into account the term of the investment. These factors together result in discount rates that defy common sense. As an alternative to CAPM and its beta element, the authors developed a forward-looking approach to calculating a company's cost of capital, the market-derived capital pricing model (MCPM). It does not incorporate any measure of historical stock-to-market correlation, relying instead on estimates of future volatility derived from the options market. This is helpful since investor expectations from the options market are built into a company's current stock price. Using GE as an example, the authors give step-by-step instructions for how to calculate discount rates with MCPM. They also offer evidence from a range of industries to show that MCPM's discount rates are more realistic--especially from the corporate investor's perspective--than are CAPM's.

  7. Gas pricing in Europe. Pt. 2. End-use consumption markets

    International Nuclear Information System (INIS)

    Donath, R.

    1996-01-01

    In the end-use consumption markets, gas is supplied to households, small consumers and industrial customers of retail distributors. As regards the delimitation of industrial customers receiving gas from retail distributors, there are great differences from one country to another, similarly to the market segmentation of wholesale markets.- First of all, the article points out structures and regulations in the investigated end-use consumption markets. The second part investigates cost-oriented and value-oriented pricing principles, followed by a comparison of price structures based on the Eurostat gas purchasing criteria for households and small consumers in the third part. A fourth part summarizes the results. (orig./UA) [de

  8. RISIKO INVESTASI, BID-ASK SPREAD, DAN COST OF EQUITY CAPITAL DI PASAR MODAL INDONESIA

    Directory of Open Access Journals (Sweden)

    Agus Haryono

    2017-03-01

    Full Text Available A number of studies investigated how financial information affected investment decisions. The study extendedthis line of research by examining the effect of risk, proxied by price per share, number of shareholders, numberof dealers, trading volume, accounting risk and market risk measures on the bid ask spread. Further, theresearch tried to test the relationship between bid ask spread and cost of equity capital. The samples of thisresearch were the manufacturing companies listed at Indonesian Stock Exchange which shared the dividendfor 3 years; there were 40 companies. Data analysis technique used multiple regression analysis. The results ofregression provided evidence of statistically significant effect of price per share, market value, asset size andprice variability on bid ask spread. At last, there was a positive relationship between bid ask spread and cost ofequity capital

  9. O modelo de projeção de lucros de Hou, Dijk e Zhang (2012) e o custo de capital implícito: metodologia para aplicação em empresas brasileiras

    OpenAIRE

    Bruna Losada Pereira

    2016-01-01

    A teoria sobre o custo de capital das empresas estudada desde a década de 1950 trouxe amplas contribuições aos estudos de finanças corporativas, alocação de carteiras de investimento, fusões e aquisições, ciências contábeis, entre outras aplicações. Os modelos clássicos de custo de capital compreendem modelos como o CAPM (Capital Asset Pricing Model), de Sharpe, Lintner e Mossin; o APT (Arbitrage Pricing Theory), de Ross; o modelo de 3-fatores, de Fama e French, e de 4-fatores, de Carhart, en...

  10. The growth of energy consumption and prices in the USA, West Germany, and the UK, 1950 to 1980

    Science.gov (United States)

    Doblin, C. P.

    1982-05-01

    The relationship between energy price and consumption was studied, especially reactions to oil price rises in the 1970's. Industrial, domestic, and road transportation energy consumption were examined. Until 1973, consumption rose steadily, while the inflation-adjusted price dropped. Immediate reaction to the two large price rises was a drop in consumption, but overall consumption continued to grow when the growth in total energy consumption was reversed. This change is due to adverse business conditions, displacement of coal by oil, oil by gas, and mineral fuels by electricity in given sectors, switches to less energy intensive activities, a change in the mix of gross national products, and weather conditions, as well as by price rises. Energy conservation measures had little impact.

  11. 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.

  12. Risk and return in oilfield asset holdings

    International Nuclear Information System (INIS)

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

    2008-01-01

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

  13. Risk and return in oilfield asset holdings

    Energy Technology Data Exchange (ETDEWEB)

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

    2008-11-15

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

  14. Return on Knowledge Assets: Rethinking Investments in Educational Technology.

    Science.gov (United States)

    Watkins, Karen E.; Callahan, Mary Wilson

    1998-01-01

    Presents various ways of understanding knowledge and intellectual capital and the assets they produce. Considers implications of assessing the return on educational technologies as organizational knowledge assets. Presents a case study to illustrate how an educational technology application might help capture the benefits of knowledge capital.…

  15. 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.

  16. An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks

    Directory of Open Access Journals (Sweden)

    Grant E. Muller

    2018-01-01

    Full Text Available We employ the method of stochastic optimal control to derive the optimal investment strategy for maximizing an expected exponential utility of a commercial bank’s capital at some future date T>0. In addition, we derive a multiperiod deposit insurance (DI pricing model that incorporates the explicit solution of the optimal control problem and an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. By way of numerical simulations, we study the effects of changes in the DI coverage horizon, the risk associated with the asset portfolio of the bank, and the bank’s initial leverage level (deposit-to-asset ratio on the DI premium while the optimal investment strategy is followed.

  17. Analysis of cigarette demand in Argentina: the impact of price changes on consumption and government revenues

    Directory of Open Access Journals (Sweden)

    German Rodríguez-Iglesias

    2017-01-01

    Full Text Available Objective. To estimate cigarette demand and to simulate a tax policy targeted to reduce tobacco consumption. Materials and methods. Demand was estimated using a vector error correction model. Simulation exercises present the impact of a tax increase on consumption and revenues. Results. Changes in real income and the real price of cigarettes affect the demand for cigarettes in Argentina. The long term price elasticity is 0.279 (a 10% increase in real prices reduces cigarette consumption by 2.79% per quarter and the long term income elasticity is 0.411 (a 10% increase in real income raises consumption by 4.11% per quarter. Even in a conservative scenario, imulations show that increasing the price of cigarettes by 100% using excise taxes would maximize revenues and reduce cigarette consumption. Conclusion. There is sufficient room to increase taxes, reducing cigarette consumption, while still increasing tax revenues.

  18. Perlakuan Akuntansi Sumber Daya Manusia: Assets Sekaligus Investor Bagi Perusahaan

    Directory of Open Access Journals (Sweden)

    Sri Ningsih

    2015-12-01

    Full Text Available Human resources or called employee as a company asset to be one determinant of the success of the company (organization. Issue growing is that labor (human resources is not only the company's assets but also as owners and investors on its human capital to be invested in the company where he works (at work. This article tries to see how human resources can be considered as an asset for the company and when human resources can act as an investor of its human capital. This article also discusses the accounting treatment of human resources as company assets and the possibility of counting on human resources as human capital investor.    

  19. 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.

  20. The Risk-Return Trade-Off in Human Capital Investment

    DEFF Research Database (Denmark)

    Christiansen, Charlotte; Joensen, Juanna Schrøter; Nielsen, Helena Skyt

    In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by sing...... tests for mean-variance spanning. A risk-return trade-off is revealed, hich is not only related to the length of education but also to the type of education. We identify a range of educations that are efficient in terms of investment goods, and a range of educations that are inefficient, and may...

  1. Investment shocks and the relative price of investment

    OpenAIRE

    Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea

    2009-01-01

    We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into future capital input. We find that this shock is the most important driver of U.S. business...

  2. Consumption as investment: The theory of human capital and human capital as ethos

    Directory of Open Access Journals (Sweden)

    Osvaldo Javier López-Ruiz

    2009-12-01

    Full Text Available This paper discusses the dilution of the conceptual border between “consumption” and “investment.” We argue that it is a key element for the understanding of capitalism in its current stage and the values guiding contemporary society. Some concepts created by Human Capital Theory – an economic theory from the 1960s – are widely viewed today as values that guide the behavior of individuals. This yields to a conceptual–axiological shift from consumption to investment that allows unusual forms of “delaying satisfaction by consuming now.” The diffuse area that is created between “consumption” and “investment” helps to understand how the Protestant work ethic is recreated as an “ethic of entrepreneurial work,” that is, of work understood in terms of “individual enterprise”.

  3. DEPRECIATION AS THE SOURCE OF REPLENISHMENT OF ENTERPRISE CURRENT ASSETS

    Directory of Open Access Journals (Sweden)

    KAFKA Sofiіa

    2017-06-01

    Full Text Available Along with the classical approach to understanding the meaning of such economic category as depreciation, we have considered the issues if the amortization is the source of the fixed assets renewal. For the purposes of the study we used methods of analysis and synthesis, systematic approach - to study the processes of working capital enterprises, logical method and simulation - to systematize information security of these processes. Results of investigations to determine the characteristics of the economic substance of depreciation established: depreciation is a compensation of working capital, which at one time was removed from circulation for the purchase of fixed assets, so you cannot treat depreciation as a source of investment in fixed assets. The source of the formation of the working capital of own funds is certainly profits and depreciation - only if profitable economic activity. So when it comes to sources of funding something, including the acquisition (creation of fixed assets, only the working capital can be the source that’s why it is important to use them efficiently and the conditions of the limited resources. The practical significance is to develop scientifically based recommendations on formation and sources of working capital enterprises and reproduction of fixed assets, which provide methodological support to forming the depreciation policy of enterprises

  4. 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...

  5. Fuel consumption: short term and long term price impacts per population type

    International Nuclear Information System (INIS)

    2011-01-01

    This report presents assessments of the price sensitivity of household fuel consumption. After a literature review on price-elasticity assessments and the use of pseudo-panels, the investigation analyses the deciding factors of the household fuel expense and its evolution between 1985 and 2006. It proposes a short term price-elasticity assessment based on the most recent survey, and also proposes price-elasticity assessments for sub-populations, notably in terms of income level or location (rural or urban areas)

  6. An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios

    DEFF Research Database (Denmark)

    Grosen, Anders; Jessen, Pernille; Kokholm, Thomas

    2014-01-01

    We examine a specific portfolio credit derivative, an Asset Protection Scheme (APS), and its applicability as a discretionary regulatory tool to reduce asymmetric information and help restore the capital base of troubled banks. The APS can be a fair-valued contract with an appropriate structure...... of incentives. We apply two alternative multivariate structural default risk models: the classical Gaussian Merton model and a model based on Normal Inverse Gaussian processes. Using a data set on annual farm level data from 1996 to 2009, we use the Danish agricultural sector as a case study and price an APS...... on an agricultural loan portfolio. We compute the economic capital for this loan portfolio with and without an APS. Moreover, we illustrate how model risk in the form of parameter uncertainty is reduced when an APS is attached to the loan portfolio....

  7. On meeting capital requirements with a chance-constrained optimization model.

    Science.gov (United States)

    Atta Mills, Ebenezer Fiifi Emire; Yu, Bo; Gu, Lanlan

    2016-01-01

    This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of analyzing our model under the worst-case scenario i.e. loan default. The theoretical model is analyzed by applying numerical procedures, in order to administer valuable insights from a financial outlook. Our results suggest that, our capital to risk asset ratio chance-constrained optimization model guarantees banks of meeting capital requirements of Basel III with a likelihood of 95 % irrespective of changes in future market value of assets.

  8. 12 CFR 325.103 - Capital measures and capital category definitions.

    Science.gov (United States)

    2010-01-01

    ... STATEMENTS OF GENERAL POLICY CAPITAL MAINTENANCE Prompt Corrective Action § 325.103 Capital measures and... agreement, order, capital directive, or prompt corrective action directive issued by the FDIC pursuant to... CFR 28.15(b), or to comply with asset maintenance requirements pursuant to 12 CFR 28.20; or (B) The...

  9. Determinants of capital adequacy ratio in Kuwaiti banks

    Directory of Open Access Journals (Sweden)

    Moeidh Alajmi

    2015-10-01

    Full Text Available The aim of this study is to identify the effects of seven internal factors of five conventional Kuwaiti banks on capital adequacy ratio (CAR. The five factors are: Loans to Assets, Loans to Deposits, Non-Performing Loans to Total Loans, Return on Assets, Return on Equity, Dividend Payout and Total Liability to Total Assets. The study covers the period from 2005 to 2013. The study shows that under fixed effect model, variables DIVIEDEND, LAR, LDR, NPLLR, and ROE do not have any impact on capital adequacy ratio. However, SIZE has a significant and negative relationship with capital adequacy ratio. Also, ROA shows a significant and negative relationship with capital adequacy ratio. Under random effect model, results indicate that CAR is adversely affected by bank’s SIZE (total liability to assets, and ROA has a significant and negative relationship with capital adequacy ratio, However, Loan to Deposit Ratio (LDR showed a significant and positive relationship with capital adequacy ratio. On the other hand, dividend payout, loans to assets, Non-Performing Loans to Total Loans and Return on equity do not have significant effect on CAR under random effect model.

  10. Net Capital Flows, Macroeconomic Shocks and Reserve Assets. The Case of Argentina (1994-2013

    Directory of Open Access Journals (Sweden)

    Luis N. Lanteri

    2014-06-01

    Full Text Available International reserves have been used as a source of protection against the vulnerability of the balance of payments, or alternatively, as an attempt to keep a competitive real exchange rate and to promote exports. This paper explores the correlation between the net capital flows and reserves. Similarly, the impact of some macroeconomic shocks on that variable is assessed. Estimates are carried out through both, the VEC (Vector Error Correction models and quarterly data of the Argentine economy for the period 1994-2013. Results show a negative correlation between international reserves and net capital flows (reserve accumulation through current account surpluses. At the same time, the expansionary fiscal policies and the continuing and widespread price increases would adversely affect the reserves.

  11. The economic and financial crisis: impacts on energy balances and prices

    International Nuclear Information System (INIS)

    Hyafil, Antoine

    2009-01-01

    The current economic crisis finds its origin in the existence of a global market for human capital, without unified prices: the development of a debt economy in Western countries can be regarded as an attempt to maintain economic growth in spite of the resulting pressure on labor wages. While the sub-prime crisis has shown the limits of such an attempt, the author believes that debt driven economic growth will continue to prevail in Western countries until price imbalances on the global market for human capital are resolved. This probably implies a substitution of public to private debt, and of private consumption to public investment with the resulting implications on public deficits, supply and demand, and relative prices. Energy prices will be sensitive to public spending's both mechanical impact on economic growth and qualitative impact on energy efficiency

  12. REVIEW: Towards a risk register for natural capital.

    Science.gov (United States)

    Mace, Georgina M; Hails, Rosemary S; Cryle, Philip; Harlow, Julian; Clarke, Stewart J

    2015-06-01

    Natural capital is essential for goods and services on which people depend. Yet pressures on the environment mean that natural capital assets are continuing to decline and degrade, putting such benefits at risk. Systematic monitoring of natural assets is a major challenge that could be both unaffordable and unmanageable without a way to focus efforts. Here we introduce a simple approach, based on the commonly used management tool of a risk register, to highlight natural assets whose condition places benefits at risk.We undertake a preliminary assessment using a risk register for natural capital assets in the UK based solely on existing information. The status and trends of natural capital assets are assessed using asset-benefit relationships for ten kinds of benefits (food, fibre (timber), energy, aesthetics, freshwater (quality), recreation, clean air, wildlife, hazard protection and equable climate) across eight broad habitat types in the UK based on three dimensions of natural capital within each of the habitat types (quality, quantity and spatial configuration). We estimate the status and trends of benefits relative to societal targets using existing regulatory limits and policy commitments, and allocate scores of high, medium or low risk to asset-benefit relationships that are both subject to management and of concern.The risk register approach reveals substantial gaps in knowledge about asset-benefit relationships which limit the scope and rigour of the assessment (especially for marine and urban habitats). Nevertheless, we find strong indications that certain assets (in freshwater, mountain, moors and heathland habitats) are at high risk in relation to their ability to sustain certain benefits (especially freshwater, wildlife and climate regulation). Synthesis and applications . With directed data gathering, especially to monitor trends, improve metrics related to asset-benefit relationships, and improve understanding of nonlinearities and thresholds, the

  13. Pricing Liquidity Risk with Heterogeneous Investment Horizons

    NARCIS (Netherlands)

    Beber, A.; Driessen, J.; Tuijp, P.F.A.

    2012-01-01

    We develop a new asset pricing model with stochastic transaction costs and investors with heterogenous horizons. Short-term investors hold only liquid assets in equilibrium. This generates segmentation effects in the pricing of liquid versus illiquid assets. Specifically, the liquidity (risk) premia

  14. The effect of rising food prices on food consumption: systematic review with meta-regression.

    Science.gov (United States)

    Green, Rosemary; Cornelsen, Laura; Dangour, Alan D; Turner, Rachel; Shankar, Bhavani; Mazzocchi, Mario; Smith, Richard D

    2013-06-17

    To quantify the relation between food prices and the demand for food with specific reference to national and household income levels. Systematic review with meta-regression. Online databases of peer reviewed and grey literature (ISI Web of Science, EconLit, PubMed, Medline, AgEcon, Agricola, Google, Google Scholar, IdeasREPEC, Eldis, USAID, United Nations Food and Agriculture Organization, World Bank, International Food Policy Research Institute), hand searched reference lists, and contact with authors. We included cross sectional, cohort, experimental, and quasi-experimental studies with English abstracts. Eligible studies used nationally representative data from 1990 onwards derived from national aggregate data sources, household surveys, or supermarket and home scanners. The primary outcome extracted from relevant papers was the quantification of the demand for foods in response to changes in food price (own price food elasticities). Descriptive and study design variables were extracted for use as covariates in analysis. We conducted meta-regressions to assess the effect of income levels between and within countries on the strength of the relation between food price and demand, and predicted price elasticities adjusted for differences across studies. 136 studies reporting 3495 own price food elasticities from 162 different countries were identified. Our models predict that increases in the price of all foods result in greater reductions in food consumption in poor countries: in low and high income countries, respectively, a 1% increase in the price of cereals results in reductions in consumption of 0.61% (95% confidence interval 0.56% to 0.66%) and 0.43% (0.36% to 0.48%), and a 1% increase in the price of meat results in reductions in consumption of 0.78% (0.73% to 0.83%) and 0.60% (0.54% to 0.66%). Within all countries, our models predict that poorer households will be the most adversely affected by increases in food prices. Changes in global food prices will

  15. 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)

  16. The effect of cigarette price increase on the cigarette consumption in Taiwan: evidence from the National Health Interview Surveys on cigarette consumption.

    Science.gov (United States)

    Lee, Jie-Min; Hwang, Tsorng-Chyi; Ye, Chun-Yuan; Chen, Sheng-Hong

    2004-12-14

    This study uses cigarette price elasticity to evaluate the effect of a new excise tax increase on cigarette consumption and to investigate responses from various types of smokers. Our sample consisted of current smokers between 17 and 69 years old interviewed during an annual face-to-face survey conducted by Taiwan National Health Research Institutes between 2000 to 2003. We used Ordinary Least Squares (OLS) procedure to estimate double logarithmic function of cigarette demand and cigarette price elasticity. In 2002, after Taiwan had enacted the new tax scheme, cigarette price elasticity in Taiwan was found to be -0.5274. The new tax scheme brought about an average annual 13.27 packs/person (10.5%) reduction in cigarette consumption. Using the cigarette price elasticity estimate from -0.309 in 2003, we calculated that if the Health and Welfare Tax were increased by another NT 3 dollars per pack and cigarette producers shifted this increase to the consumers, cigarette consumption would be reduced by 2.47 packs/person (2.2%). The value of the estimated cigarette price elasticity is smaller than one, meaning that the tax will not only reduce cigarette consumption but it will also generate additional tax revenues. Male smokers who had no income or who smoked light cigarettes were found to be more responsive to changes in cigarette price. An additional tax added to the cost of cigarettes would bring about a reduction in cigarette consumption and increased tax revenues. It would also help reduce incidents smoking-related illnesses. The additional tax revenues generated by the tax increase could be used to offset the current financial deficiency of Taiwan's National Health Insurance program and provide better public services.

  17. 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

  18. Optimal pricing of a conspicuous product during a recession that freezes capital markets

    NARCIS (Netherlands)

    Caulkins, J.P.; Feichtinger, G.; Grass, D.; Hartl, R.F.; Kort, P.M.; Seidl, A.

    2011-01-01

    This paper considers the problem of how to price a conspicuous product when the economy is in a recession that disrupts capital markets. A conspicuous product in this context is a luxury good for which demand is increasing in brand image. Brand image here means the ability of a consumer to impress

  19. The effects of the energy price reform on households consumption in Iran

    International Nuclear Information System (INIS)

    Moshiri, Saeed

    2015-01-01

    The substantial subsidizing of energy prices over the years has led to high energy consumption, inefficiencies, fiscal pressures, and environmental problems in Iran. To address the increasing socio-economic problems associated with the energy subsidies, the government embarked on an aggressive energy price reform through which energy subsidies were removed and cash handouts were given to all households in 2010. In this paper, I analyze the effectiveness of the energy price reform in Iran by estimating energy demand elasticities for households in different income groups. I apply a two-stage consumer optimization model and estimate the system of energy expenditures shares using the household budget survey data for the period 2001–2008. The results show that the overall price elasticities of demand are small, but income elasticities are close to one. The results also indicate heterogeneous responses to energy price and income changes in different income groups. Specifically, the urban households show stronger response to price changes, but rural households, particularly mid-income households, to income changes. These findings suggest that the current policy of price increases would not solely be able to reduce energy consumption and, therefore, it should be geared towards increasing energy efficiency through a series of price and non-price measures. - Highlights: • The effectiveness of the recent energy price reform in Iran is analyzed. • Energy demand elasticities for households in different income groups are estimated. • A two-stage optimization model was applied to estimate the system of equations using micro-data for 2001–2008. • The price elasticities are small and income elasticities rather large, but responses are heterogeneous. • A price and non-price reform policy package is needed for different income groups and regions

  20. The impact of seasonal rice price changes on rice self-consumption in farm household of rural Java

    Science.gov (United States)

    Ani, S. W.; Antriyandarti, E.

    2018-03-01

    Seasonal rice price changes are very volatile and not predictable. This price changes have a heterogeneous impact on public consumption. The problem of seasonal rice price changes is not only experienced by consumers, but also in the farmers side as producers. The objective of this study is to provide a detail overview and description of the changing seasonal rice self-consumption of farm households in rural Java in response to seasonal rice price changes and income shocks to anticipate seasonal scarcity. This paper constructs a theoretical model to address such seasonality of food deprivation by using one year of seasonally farm household panel data, empirically tests the extent to which farmers in rural Java can smooth their rice self-consumption from season to season in response to income shocks. The result shows that rice farmers increase their rice self-consumption when prices are high.

  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. 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. (author)

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

    Energy Technology Data Exchange (ETDEWEB)

    Raineri, Ricardo [Pontificia Universidad Catolica de Chile, Av. Vicuna Mackenna 4860, Santiago (Chile)

    2010-01-15

    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. (author)

  4. Challenges in Defense Working Capital Fund Pricing: Analysis of the Defense Finance and Accounting Service

    National Research Council Canada - National Science Library

    Keating, Edward

    2003-01-01

    ... $2 billion in expenditures per year, DFAS itself is a sizable portion of the DoD infrastructure Second, we believe the pricing issues that DFAS confronts are similar to those faced by other Defense Working Capital Fund (DWCF...

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

    Directory of Open Access Journals (Sweden)

    Seyyed Mohammad Tabatabaei Nasab

    2013-09-01

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

  6. Not So Fast: How Slower Utilities Regulation Can Reduce Prices and Increase Profits

    Directory of Open Access Journals (Sweden)

    G. Kent Fellows

    2013-05-01

    Full Text Available Energy consumers are facing cost pressures from multiple directions. Wholesale natural gas prices have been climbing substantially from their record lows. Oil prices have only recently cooled slightly after reaching nearly $100 a barrel (WTI earlier this year. That makes it that much more important to minimize costs to wholesale consumers of energy, and ultimately, retail buyers, wherever possible. There is little room in the energy network for unnecessary costs. But in a regulated system, profits for utilities must remain healthy, too, if we expect them to stay active in the market. But the way that government agencies regulate oil and gas pipelines in Canada, and elsewhere, appears to be increasing costs beyond where they need to be in order to fairly serve both utilities and customers. By relying on traditional rate-of-return regulation models — which calculate price-rates based on the regulated firm’s cost of capital (that is, how much it costs the company to finance its operations — regulators, including the National Energy Board and the Alberta Utilities Commission, reward firms for over-investing in their operations, rather than reducing costs. Utilities are motivated to prolong the period in which they can earn a return on their capital, since it is one of the few opportunities they have to increase profits under the widely used rateof-return regulatory model. That results in utilities keeping assets on the books — and paying for them — longer than they might otherwise need to be. The end result is a distortion of the decisions made by regulated firms and higher prices for consumers than might occur under a different regulatory model. Regulators that take a more passive role in setting the rate of return for their client industries, however, are likely to see their idleness pay off. Firms with a freer hand to do so will seek to accelerate the depreciation of capital assets, reducing costs more quickly. The result may see end

  7. Higher-moment stochastic discount factor specifications and the cross-section of asset returns

    OpenAIRE

    Wang, Dengli

    2013-01-01

    The stochastic discount factor model provides a general framework for pricing assets. A suitably specified discount factor encompasses most of the theories currently in use, including the CAPM, consumption CAPM, higher-moment CAPM and their conditional versions. In this thesis, we focus on the empirical admissibility of alternative SDFs under restrictions that ensure that investors’ risk-preferences are well behaved. More innovatively, we explore whether the SDF implied by the 3 and 4-mome...

  8. Fast Food Consumption and Food Prices: Evidence from Panel Data on 5th and 8th Grade Children

    Directory of Open Access Journals (Sweden)

    Tamkeen Khan

    2012-01-01

    Full Text Available Fast food consumption is a dietary factor associated with higher prevalence of childhood obesity in the United States. The association between food prices and consumption of fast food among 5th and 8th graders was examined using individual-level random effects models utilizing consumption data from the Early Childhood Longitudinal Study, Kindergarten Class of 1998-99 (ECLS-K, price data from American Chamber of Commerce Researchers Association (ACCRA, and contextual outlet density data from Dun and Bradstreet (D&B. The results found that contextual factors including the price of fast food, median household income, and fast food restaurant outlet densities were significantly associated with fast food consumption patterns among this age group. Overall, a 10% increase in the price of fast food was associated with 5.7% lower frequency of weekly fast food consumption. These results suggest that public health policy pricing instruments such as taxes may be effective in reducing consumption of energy-dense foods and possibly reducing the prevalence of overweight and obesity among US children and young adolescents.

  9. Behavioral heterogeneity in stock prices

    NARCIS (Netherlands)

    Boswijk, H.P.; Hommes, C.H.; Manzan, S.

    2007-01-01

    We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An

  10. The effect of cigarette price increase on the cigarette consumption in Taiwan: evidence from the National Health Interview Surveys on cigarette consumption

    Directory of Open Access Journals (Sweden)

    Ye Chun-Yuan

    2004-12-01

    Full Text Available Abstract Background This study uses cigarette price elasticity to evaluate the effect of a new excise tax increase on cigarette consumption and to investigate responses from various types of smokers. Methods Our sample consisted of current smokers between 17 and 69 years old interviewed during an annual face-to-face survey conducted by Taiwan National Health Research Institutes between 2000 to 2003. We used Ordinary Least Squares (OLS procedure to estimate double logarithmic function of cigarette demand and cigarette price elasticity. Results In 2002, after Taiwan had enacted the new tax scheme, cigarette price elasticity in Taiwan was found to be -0.5274. The new tax scheme brought about an average annual 13.27 packs/person (10.5% reduction in cigarette consumption. Using the cigarette price elasticity estimate from -0.309 in 2003, we calculated that if the Health and Welfare Tax were increased by another NT$ 3 per pack and cigarette producers shifted this increase to the consumers, cigarette consumption would be reduced by 2.47 packs/person (2.2%. The value of the estimated cigarette price elasticity is smaller than one, meaning that the tax will not only reduce cigarette consumption but it will also generate additional tax revenues. Male smokers who had no income or who smoked light cigarettes were found to be more responsive to changes in cigarette price. Conclusions An additional tax added to the cost of cigarettes would bring about a reduction in cigarette consumption and increased tax revenues. It would also help reduce incidents smoking-related illnesses. The additional tax revenues generated by the tax increase could be used to offset the current financial deficiency of Taiwan's National Health Insurance program and provide better public services.

  11. The impact of food prices on consumption: a systematic review of research on the price elasticity of demand for food.

    Science.gov (United States)

    Andreyeva, Tatiana; Long, Michael W; Brownell, Kelly D

    2010-02-01

    In light of proposals to improve diets by shifting food prices, it is important to understand how price changes affect demand for various foods. We reviewed 160 studies on the price elasticity of demand for major food categories to assess mean elasticities by food category and variations in estimates by study design. Price elasticities for foods and nonalcoholic beverages ranged from 0.27 to 0.81 (absolute values), with food away from home, soft drinks, juice, and meats being most responsive to price changes (0.7-0.8). As an example, a 10% increase in soft drink prices should reduce consumption by 8% to 10%. Studies estimating price effects on substitutions from unhealthy to healthy food and price responsiveness among at-risk populations are particularly needed.

  12. Selection of intellectual capital management strategies

    OpenAIRE

    Shcherbachenko Viktoriia Oleksiivna

    2016-01-01

    This article deals with the selection of intellectual capital management strategy. The attention is paid to the structure of intellectual capital, which consists of human capital, customer capital, process capital, intellectual property, intangible assets. The algorithm of selection of intellectual capital management strategy was created by author.

  13. Allocating risk capital for a brownfields redevelopment project under hydrogeological and financial uncertainty.

    Science.gov (United States)

    Yu, Soonyoung; Unger, Andre J A; Parker, Beth; Kim, Taehee

    2012-06-15

    In this study, we defined risk capital as the contingency fee or insurance premium that a brownfields redeveloper needs to set aside from the sale of each house in case they need to repurchase it at a later date because the indoor air has been detrimentally affected by subsurface contamination. The likelihood that indoor air concentrations will exceed a regulatory level subject to subsurface heterogeneity and source zone location uncertainty is simulated by a physics-based hydrogeological model using Monte Carlo realizations, yielding the probability of failure. The cost of failure is the future value of the house indexed to the stochastic US National Housing index. The risk capital is essentially the probability of failure times the cost of failure with a surcharge to compensate the developer against hydrogeological and financial uncertainty, with the surcharge acting as safety loading reflecting the developers' level of risk aversion. We review five methodologies taken from the actuarial and financial literature to price the risk capital for a highly stylized brownfield redevelopment project, with each method specifically adapted to accommodate our notion of the probability of failure. The objective of this paper is to develop an actuarially consistent approach for combining the hydrogeological and financial uncertainty into a contingency fee that the brownfields developer should reserve (i.e. the risk capital) in order to hedge their risk exposure during the project. Results indicate that the price of the risk capital is much more sensitive to hydrogeological rather than financial uncertainty. We use the Capital Asset Pricing Model to estimate the risk-adjusted discount rate to depreciate all costs to present value for the brownfield redevelopment project. A key outcome of this work is that the presentation of our risk capital valuation methodology is sufficiently generalized for application to a wide variety of engineering projects. Copyright © 2012 Elsevier

  14. What Happens to Patterns of Food Consumption when Food Prices Change? Evidence from A Systematic Review and Meta-Analysis of Food Price Elasticities Globally.

    Science.gov (United States)

    Cornelsen, Laura; Green, Rosemary; Turner, Rachel; Dangour, Alan D; Shankar, Bhavani; Mazzocchi, Mario; Smith, Richard D

    2015-12-01

    Recent years have seen considerable interest in examining the impact of food prices on food consumption and subsequent health consequences. Fiscal policies targeting the relative price of unhealthy foods are frequently put forward as ways to address the obesity epidemic. Conversely, various food subsidy interventions are used in attempts to reduce levels of under-nutrition. Information on price elasticities is essential for understanding how such changes in food prices affect food consumption. It is crucial to know not only own-price elasticities but also cross-price elasticities, as food substitution patterns may have significant implications for policy recommendations. While own-price elasticities are common in analyses of the impact of food price changes on health, cross-price effects, even though generally acknowledged, are much less frequently included in analyses, especially in the public health literature. This article systematically reviews the global evidence on cross-price elasticities and provides combined estimates for seven food groups in low-income, middle-income and high-income countries alongside previously estimated own-price elasticities. Changes in food prices had the largest own-price effects in low-income countries. Cross-price effects were more varied and depending on country income level were found to be reinforcing, undermining or alleviating own-price effects. Copyright © 2014 John Wiley & Sons, Ltd.

  15. 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

  16. Pricing Strategies to Encourage Availability, Purchase, and Consumption of Healthy Foods and Beverages: A Systematic Review

    Science.gov (United States)

    Trude, Angela Cristina Bizzotto; Kim, Hyunju

    2017-01-01

    Introduction Food pricing policies to promote healthy diets, such as taxes, price manipulations, and food subsidies, have been tested in different settings. However, little consensus exists about the effect of these policies on the availability of healthy and unhealthy foods, on what foods consumers buy, or on the impact of food purchases on consumer health outcomes. We conducted a systematic review of studies of the effect of food-pricing interventions on retail sales and on consumer purchasing and consumption of healthy foods and beverages. Methods We used MEDLINE, Embase, PsycINFO, Web of Science, ClinicalTrials.gov, and the Cochrane Library to conduct a systematic search for peer-reviewed articles related to studies of food pricing policies. We selected articles that were published in English from January 2000 through December 2016 on the following types of studies: 1) real-world experimental studies (randomized controlled trials, quasi-experimental studies, and natural experiments); 2) population studies of people or retail stores in middle-income and high-income countries; 3) pricing interventions alone or in combination with other strategies (price promotions, coupons, taxes, or cash-back rebates), excluding studies of vending-machine or online sales; and 4) outcomes studies at the retail (stocking, sales) and consumer (purchasing, consumption) levels. We selected 65 articles representing 30 studies for review. Results Sixteen pricing intervention studies that sought to improve access to healthy food and beverage options reported increased stocking and sales of promoted food items. Most studies (n = 23) reported improvement in the purchasing and consumption of healthy foods or beverages or decreased purchasing and consumption of unhealthy foods or beverages. Most studies assessed promotions of fresh fruits and vegetables (n = 20); however, these foods may be hard to source, have high perishability, and raise concerns about safety and handling. Few of the

  17. Pricing Strategies to Encourage Availability, Purchase, and Consumption of Healthy Foods and Beverages: A Systematic Review.

    Science.gov (United States)

    Gittelsohn, Joel; Trude, Angela Cristina Bizzotto; Kim, Hyunju

    2017-11-02

    Food pricing policies to promote healthy diets, such as taxes, price manipulations, and food subsidies, have been tested in different settings. However, little consensus exists about the effect of these policies on the availability of healthy and unhealthy foods, on what foods consumers buy, or on the impact of food purchases on consumer health outcomes. We conducted a systematic review of studies of the effect of food-pricing interventions on retail sales and on consumer purchasing and consumption of healthy foods and beverages. We used MEDLINE, Embase, PsycINFO, Web of Science, ClinicalTrials.gov, and the Cochrane Library to conduct a systematic search for peer-reviewed articles related to studies of food pricing policies. We selected articles that were published in English from January 2000 through December 2016 on the following types of studies: 1) real-world experimental studies (randomized controlled trials, quasi-experimental studies, and natural experiments); 2) population studies of people or retail stores in middle-income and high-income countries; 3) pricing interventions alone or in combination with other strategies (price promotions, coupons, taxes, or cash-back rebates), excluding studies of vending-machine or online sales; and 4) outcomes studies at the retail (stocking, sales) and consumer (purchasing, consumption) levels. We selected 65 articles representing 30 studies for review. Sixteen pricing intervention studies that sought to improve access to healthy food and beverage options reported increased stocking and sales of promoted food items. Most studies (n = 23) reported improvement in the purchasing and consumption of healthy foods or beverages or decreased purchasing and consumption of unhealthy foods or beverages. Most studies assessed promotions of fresh fruits and vegetables (n = 20); however, these foods may be hard to source, have high perishability, and raise concerns about safety and handling. Few of the pricing studies we reviewed

  18. Optimal Housing, Consumption, and Investment Decisions over the Life Cycle

    DEFF Research Database (Denmark)

    Kraft, Holger; Munk, Claus

    2011-01-01

    We derive explicit solutions to life-cycle utility maximization problems involving stock and bond investment, perishable consumption, and the rental and ownership of residential real estate. Prices of houses, stocks and bonds, and labor income are correlated. Because of a positive correlation...... between house prices and labor income, young individuals want little exposure to house price risk and tend to rent their home. Later in life the desired housing investment increases and will eventually reach and exceed the desired consumption, suggesting that the individual should buy his home—and either...... additional housing units (for renting out) or house price–linked financial assets. In the final years, preferences shift back to home rental. The derived strategies are still useful if housing positions are only reset infrequently. Our results suggest that markets for real estate investment trusts or other...

  19. 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.

  20. The Impact of Capital Structure on Economic Capital and Risk Adjusted Performance

    OpenAIRE

    Porteous, Bruce; Tapadar, Pradip

    2008-01-01

    The impact that capital structure and capital asset allocation have on financial services firm economic capital and risk adjusted performance is considered. A stochastic modelling approach is used in conjunction with banking and insurance examples. It is demonstrated that gearing up Tier 1 capital with Tier 2 capital can be in the interests of bank Tier 1 capital providers, but may not always be so for insurance Tier 1 capital providers. It is also shown that, by allocating a bank or insuranc...

  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. Forecast of oil price and consumption in the short term under three scenarios: Parabolic, linear and chaotic behaviour

    International Nuclear Information System (INIS)

    Gori, F.; Ludovisi, D.; Cerritelli, P.F.

    2007-01-01

    The paper examines the evolution of price and consumption of oil in the last decades to construct a relationship between them. Then the work considers three possible scenarios of oil price: parabolic, linear and chaotic behaviour, to predict the evolution of price and consumption of oil up to December 2003

  3. Selection of intellectual capital management strategies

    Directory of Open Access Journals (Sweden)

    Shcherbachenko Viktoriia Oleksiivna

    2016-02-01

    Full Text Available This article deals with the selection of intellectual capital management strategy. The attention is paid to the structure of intellectual capital, which consists of human capital, customer capital, process capital, intellectual property, intangible assets. The algorithm of selection of intellectual capital management strategy was created by author.

  4. How to Recover From the Great Recession: The Case of a Two-Sector Small Open Economy with Traded and Non-Traded Capital

    Directory of Open Access Journals (Sweden)

    Jong-Kyou Jeon

    2013-06-01

    Full Text Available Since the global financial crisis in 2008, the world economy has been suffering from the Great Recession characterized by high and persistent unemployment as well as drastic fall in asset prices. Real business cycle theory or new-Keynesian economics which has been the dominant paradigm in macroeconomics for the last four decades is unable to explain the high and persistent unemployment during the Great Recession. This implies that the economics of Keynes should be taken seriously again as a tool to explain the Great Recession. Farmer (2012 proposes a new way of interpreting the economics of Keynes by providing it with a solid micro-foundation based on labor markets with search. According to Farmer (2012, aggregate economic activity independently depends on the long-term self-fulfilling expectations about the stock prices. As a consequence, the government or the central bank should implement a policy that influences the public's confidence about the stock market. For an open economy like the Korean economy, it is not only stock price but also the price of asset such as house that matters more for the aggregate economic activity. Households in the Korean economy hold more than 70 percent of their wealth in the form of real estate asset, especially housing asset. This makes the public's confidence about the future prices of houses even more important in explaining the business cycles of the Korean economy. Policymakers should implement policies to improve the confidence of households about the housing market to recover from the recession caused by a fall in house prices. Little theoretical work has been done in explaining fluctuations in the aggregate economic activity from the point of house prices. This paper develops a small open economy model with traded and non-traded capital based on Farmer (2012 and shows that the aggregate economic activity also independently depends on the households’ self-fulfilling expectations about the future prices

  5. Aggregated Marcoeconomic News and Price Discovery

    NARCIS (Netherlands)

    J. Brazys (Justinas)

    2015-01-01

    markdownabstract__Abstract__ Is there a link between asset prices and economic fundamentals? Many studies fail to find a convincing link and conclude that asset prices and economic fundamentals are disconnected. A famous example of the disconnect between exchange rates and macroeconomic

  6. 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.

  7. THEORETICAL ASPECTS REGARDING THE VALUATION OF INTANGIBLE ASSETS

    OpenAIRE

    HOLT GHEORGHE

    2015-01-01

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

  8. Cultural Capital: A Concept Analysis.

    Science.gov (United States)

    Ohashi, Yuki; Taguchi, Atsuko; Omori, Junko; Ozaki, Akiko

    2017-07-01

    Harnessing community assets may help public health nurses address health inequalities. Cultural factor is one such asset, which is assumed to be capital in a community. Cultural capital is a key concept for understanding the causes of public health issues. This paper provided an in-depth analysis of "cultural capital" as a concept. Rodgers' evolutionary methodology was used for concept analysis. Forty-two studies published in English between 1998 and 2015 were retrieved from MEDLINE by searching for "cultural capital" in the title field. Antecedents of cultural capital included "educational environment," "belongingness in one's social group," "existing health/social inequalities," and "daily behavior." Cultural capital's identified attributes were "social cultivation," "reproductive rubric," "practical knowledge," and "autogenic ability." Cultural capital's consequences were "improving productivity," "reducing health/social inequality," and "enhancing well-being." Cultural capital is defined as capital characterized by cultivation, rubric, knowledge, and ability. These aspects of cultural capital are typically autogenic, and accumulate and reproduce through lifelong community membership. Cultural capital reduces inequality and ultimately enhances the well-being of individuals and the community through bonding, bridging, and linking economic and social capital. © 2017 Wiley Periodicals, Inc.

  9. Ciemat Relational Capital: Institutional Presence; Capital Relacional del Ciemat: Presencia Institucional

    Energy Technology Data Exchange (ETDEWEB)

    Vaquero Ortiz, E. M.; González Pineda, L. M.; Cascante Díaz, E.

    2015-07-01

    The resources in any organization for its activity development can be divided into two main groups: tangible assets and intangible assets. In recent decades there has been a recognition of the importance of the intangible assets as value generators for the development and growth of organizations. And the so called Relational Capital is among them Relational Capital arises from the relationship processes that an organization maintains with external agents. Thus, in the case of a public research institution, such as CIEMAT, it includes the relations with projects financing organizations, with partners and with customers (both public and private entities which are serviced), as well as the institutional presence understood as the participation in discussion and coordination forums (foundations, associations, committees…). This report presents a study of CIEMAT institutional presence in the year 2015.

  10. Author Details

    African Journals Online (AJOL)

    ... incomplete market: application to a South African retirement fund. Abstract · Vol 11 (2011) - Articles The capital-asset pricing model: the case of South Africa Abstract · Vol 13 (2013) - Articles The capital-asset pricing model reconsidered: tests in real terms on a South African market portfolio comprising equities and bonds

  11. 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

  12. Bank capital management : International evidence

    NARCIS (Netherlands)

    De Jonghe, O.G.; Öztekin, Ö.

    We examine the dynamic behavior of bank capital using a global sample of 64 countries during the 1994-2010 period. Banks achieve deleveraging through active capital management (equity growth) rather than asset liquidation. In contrast, they achieve leveraging through passive capital management

  13. The relation between price and daily consumption of cigarettes and bidis: findings from the Tobacco Control Policy Evaluation Wave 1 Survey.

    Science.gov (United States)

    Pawar, P S; Pednekar, M S; Gupta, P C; Shang, C; Quah, A C K; Fong, G T

    2014-12-01

    In India, 14% of the population use smoked tobacco products. Increasing prices of these products is one of the measures to curb their consumption. This study analyzes "unit price" and "daily consumption" of cigarettes and bidis and investigates their relation with each other. A cross-sectional survey was conducted in four states of India (Bihar, West Bengal, Madhya Pradesh and Maharashtra) as a part of the International Tobacco Control Policy (TCP) Evaluation Project (the TCP India Project) during 2010-2011. Information was collected from adult (aged ≥ 15) daily exclusive smokers of cigarette/bidi regarding (a) last purchase (purchase in pack/loose, brand and price) and (b) daily consumption. Average unit price and daily consumption was calculated for different brands and states. Regression model was used to assess the impact of price on daily consumption. Bidis were much less expensive ([symbol in text]0.39) than cigarettes ([symbol in text]3.1). The daily consumption was higher (14) among bidi smokers than cigarette smokers (8). The prices and daily consumption of bidis ([symbol in text]0.33-0.43; 12-15) and cigarettes ([symbol in text]2.9-3.6; 5-9) varied across the four states. The unit prices of bidis and cigarettes did not influence their daily consumption. Smokers purchasing bidis in packs paid substantially less per unit and purchase of bidis and cigarettes in packs influenced their consumption positively. Cigarettes although more expensive than bidis, seem very cheap if compared internationally. Hence, prices of both cigarettes and bidis do not influence their consumption.

  14. Liquid Assets: Increasing Students' Mathematical Capital.

    Science.gov (United States)

    Winter, Mary Jean; Carlson, Ronald J.

    2000-01-01

    Describes a laboratory-type activity, liquid assets, used to illustrate, develop, or reinforce central concepts in first-year algebra. These include linear function, slope, intercept, and dependent and independent variables. Presents a group activity for collecting data, transition from group to individual activity in plotting data points, and…

  15. Mediating production and consumption: cultural capital and 'cultural workers'.

    Science.gov (United States)

    Wright, David

    2005-03-01

    This paper examines recent debates about the role of what Bourdieu termed cultural intermediaries in the formation and reproduction of the relations of cultural capital. Workers in the cultural or creative industries were given a central place in Bourdieu's schema in the creation of hierarchies of value in the production and consumption of symbolic goods. Subsequent writers about the apparent emergence of a creative economy (Lash and Urry 1994; Featherstone 1991) have given workers involved in the production and distribution of cultural goods a pivotal place in the development of late or post-modernity. More recent work (Negus 2002; Nixon and du Gay 2002) has criticized the validity and coherence of the term as it has come to be understood and called for more rigour in its definition and use. This paper adds to this debate by considering the book trade as a space in which the gap between production and consumption of cultural goods is mediated. It suggests that cultural intermediaries, as cultural workers, are engaged in the reproduction of the cultural aspects of social class by 'shoring up' their insecure position in the relations of cultural capital, rather than simply being the taste leaders of a reflexive modernity.

  16. Trends in asset structure between not-for-profit and investor-owned hospitals.

    Science.gov (United States)

    Song, Paula H; Reiter, Kristin L

    2010-12-01

    The delivery of health care is a capital-intensive industry, and thus, hospital investment strategy continues to be an important area of interest for both health policy and research. Much attention has been given to hospitals' capital investment policies with relatively little attention to investments in financial assets, which serve an important role in not-for-profit (NFP) hospitals. This study describes and analyzes trends in aggregate asset structure between NFP and investor-owned (IO) hospitals during the post-capital-based prospective payment system implementation period, providing the first documentation of long-term trends in hospital investment. The authors find hospitals' aggregate asset structure differs significantly based on ownership, size, and profitability. For both NFP and IO hospitals, financial securities have remained consistent over time, while fixed asset representation has declined in IO hospitals.

  17. Trends in Asset Structure between Not-for-Profit and Investor Owned Hospitals

    Science.gov (United States)

    Song, Paula H.; Reiter, Kristin L.

    2010-01-01

    The delivery of health care is a capital intensive industry and thus hospital investment strategy continues to be an important area of interest for both health policy and research. Much attention has been given to hospitals’ capital investment policies with relatively little attention to investments in financial assets, which serve an important role in NFP hospitals. This study describes and analyzes trends in aggregate asset structure between NFP and IO hospitals during the post-capital based PPS implementation period, providing the first documentation of long-term trends in hospital investment. We find hospitals’ aggregate asset structure differs significantly based on ownership, size, and profitability. For both NFP and IO hospitals, financial securities have remained consistent over time, while fixed asset representation has declined in IO hospitals. PMID:20519429

  18. THE IMPORTANCE OF INTAGIBILE ASSETS FOR TOURISTIC`S ENTERPRISE IN THE PERSPECTIVE OF GLOBALIZATION

    Directory of Open Access Journals (Sweden)

    Maja DJUKIC

    2009-12-01

    Full Text Available In time of globalization very important role in touristic enterprise have intangible assets: human capital, information capital and organization capital. Intangible assets, especially human resources drive long-term value creation. So human resources are generally accepted as being strategically important. The main management problem is being able to make alignment of intangible assets and organization's strategy. The tools which management in tourism enterprise can use for this purpose are balanced score card and strategy map, which will be explained in this article.

  19. The marketing and economic implications of the manipulation of share prices: Nigeria stock exchange experience

    Directory of Open Access Journals (Sweden)

    Ajayi Ezekiel Oluwole

    2012-12-01

    Full Text Available This paper examined the marketing and economic effects of the manipulation of share prices in the Nigerian Stock Exchange. The survey research design was adopted. Data collected was analyzed using the regression analysis. Student t- test was used to test the two hypotheses formulated at 0.05 level of significance. The findings of the study revealed that capital market infractions such as fraudulent disposal of investor assets, illegal fund management and the wonder bank syndrome, others are insider dealings, corporate accounting fraud and share price manipulations affects the capital market and the economy .The study concluded that share prices manipulation actually influences the marketing and economic values of the shares being manipulated. It was recommended that the Nigerian government must put in place strong regulatory measures and punish the entire offender that has been found guilty. It was also recommended that for the market to rebound, stockbrokers that accessed margin facility from banks should be provided with certain percentage of their contributions to the loan as cushion to help them move on with their business.

  20. 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...

  1. 12 CFR 933.5 - Disclosure to members concerning capital plan and capital stock conversion.

    Science.gov (United States)

    2010-01-01

    ... total capital-to-asset ratio (both of which shall be based on the same financial data used for the... the liquidity, capital, earnings or continuing operations of the Bank, including those affecting...

  2. Residential, Commercial, and Utility-Scale Photovoltaic (PV) System Prices in the United States: Current Drivers and Cost-Reduction Opportunities

    Energy Technology Data Exchange (ETDEWEB)

    Goodrich, A.; James, T.; Woodhouse, M.

    2012-02-01

    The price of photovoltaic (PV) systems in the United States (i.e., the cost to the system owner) has dropped precipitously in recent years, led by substantial reductions in global PV module prices. However, system cost reductions are not necessarily realized or realized in a timely manner by many customers. Many reasons exist for the apparent disconnects between installation costs, component prices, and system prices; most notable is the impact of fair market value considerations on system prices. To guide policy and research and development strategy decisions, it is necessary to develop a granular perspective on the factors that underlie PV system prices and to eliminate subjective pricing parameters. This report's analysis of the overnight capital costs (cash purchase) paid for PV systems attempts to establish an objective methodology that most closely approximates the book value of PV system assets.

  3. Capital regulation and tail risk

    NARCIS (Netherlands)

    Perotti, E.; Ratnovski, L.; Vlahu, R.

    2011-01-01

    The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly

  4. Capital regulation and tail risk

    NARCIS (Netherlands)

    Perotti, E.; Ratnovski, L.; Vlahu, R.

    2011-01-01

    The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk taking driven by limited liability. Moreover, higher capital may have an unintended

  5. The relationship between electricity consumption, electricity prices and GDP in Pakistan

    International Nuclear Information System (INIS)

    Jamil, Faisal; Ahmad, Eatzaz

    2010-01-01

    This study analyzes the relationship among electricity consumption, its price and real GDP at the aggregate and sectoral level in Pakistan. Using annual data for the period 1960-2008, the study finds the presence of unidirectional causality from real economic activity to electricity consumption. In particular, growth in output in commercial, manufacturing and agricultural sectors tend to increase electricity consumption, while in residential sector, growth in private expenditures is the cause of rising electricity consumption. The study concludes that electricity production and management needs to be better integrated with overall economic planning exercises. This is essential to avoid electricity shortfalls and unplanned load shedding.

  6. Financial capital and the macroeconomy: a quantitative framework

    OpenAIRE

    Michael T. Kiley; Jae W. Sim

    2011-01-01

    Financial intermediation transforms short-term liquid assets into long-term capital assets. As a result, risk taking, in the form of long-term commitments despite unresolved short-term funding risk, is an essential element of intermediation. If such funding risk must be addressed by costly recapitalization and/or distressed asset sales due to capital market frictions, an increase in uncertainty can cause a disruption in the intermediation process by forcing risk-neutral intermediaries to beha...

  7. Natural Capital Management: An Evolutionary Paradigm for Sustainable Restoration Investment - 13455

    International Nuclear Information System (INIS)

    Koetz, Maureen T.

    2013-01-01

    Unlike other forms of capital assets (built infrastructure, labor, financial capital), the supply of usable or accessible air, land, and water elements (termed Natural Capital Assets or NCA) available to enterprise processes is structurally shrinking due to increased demand and regulatory restriction. This supply/demand imbalance is affecting all forms of public and private enterprise (including Federal Facilities) in the form of encroachment, production limits, cost increases, and reduced competitiveness. Department of Energy (DOE) sites are comprised of significant stocks of NCA that function as both conserved capital (providing ecosystem services and other reserve capacity), and as natural infrastructure (supporting major Federal enterprise programs). The current rubric of 'Environmental Stewardship' provides an unduly constrained management paradigm that is focused largely on compliance process metrics, and lacks a value platform for quantifying, documenting, and sustainably re-deploying re-capitalized natural asset capacity and capability. By adopting value-based system concepts similar to built infrastructure accounting and information management, 'stewarded' natural assets relegated to liability- or compliance-focused outcomes become 're-capitalized' operational assets able to support new or expanded mission. This growing need for new accounting and management paradigms to capture natural capital value is achieving global recognition, most recently by the United Nations, world leaders, and international corporations at the Rio+20 Summit in June of 2012. Natural Capital Asset Management (NCAM) TM is such an accounting framework tool. Using a quantification-based design, NCAM TM provides inventory, capacity and value data to owners or managers of natural assets such as the DOE that parallel comparable information systems currently used for facility assets. Applied to Environmental Management (EM) and other DOE program activities, the natural asset capacity and

  8. Natural Capital Management: An Evolutionary Paradigm for Sustainable Restoration Investment - 13455

    Energy Technology Data Exchange (ETDEWEB)

    Koetz, Maureen T. [Koetz and Duncan LLC, Suite 30J, 355 South End Avenue, New York, NY 10280 (United States)

    2013-07-01

    Unlike other forms of capital assets (built infrastructure, labor, financial capital), the supply of usable or accessible air, land, and water elements (termed Natural Capital Assets or NCA) available to enterprise processes is structurally shrinking due to increased demand and regulatory restriction. This supply/demand imbalance is affecting all forms of public and private enterprise (including Federal Facilities) in the form of encroachment, production limits, cost increases, and reduced competitiveness. Department of Energy (DOE) sites are comprised of significant stocks of NCA that function as both conserved capital (providing ecosystem services and other reserve capacity), and as natural infrastructure (supporting major Federal enterprise programs). The current rubric of 'Environmental Stewardship' provides an unduly constrained management paradigm that is focused largely on compliance process metrics, and lacks a value platform for quantifying, documenting, and sustainably re-deploying re-capitalized natural asset capacity and capability. By adopting value-based system concepts similar to built infrastructure accounting and information management, 'stewarded' natural assets relegated to liability- or compliance-focused outcomes become 're-capitalized' operational assets able to support new or expanded mission. This growing need for new accounting and management paradigms to capture natural capital value is achieving global recognition, most recently by the United Nations, world leaders, and international corporations at the Rio+20 Summit in June of 2012. Natural Capital Asset Management (NCAM){sup TM} is such an accounting framework tool. Using a quantification-based design, NCAM{sup TM} provides inventory, capacity and value data to owners or managers of natural assets such as the DOE that parallel comparable information systems currently used for facility assets. Applied to Environmental Management (EM) and other DOE program

  9. Impact of deployment of renewable portfolio standard on the electricity price in the State of Illinois and implications on policies

    International Nuclear Information System (INIS)

    Kung, Harold H.

    2012-01-01

    The Renewable Portfolio Standard (RPS) of the State of Illinois specifies a schedule for the fraction of electricity produced from wind to be phased in through 2025. The price of electricity due to implementation of RPS in order to achieve a six-year payback on investment on new wind farms was estimated for six scenarios that examined the effect of electricity consumption growth rate, production tax credit of $0.022/kW h or unrestricted investment tax credit of 30%, and projected changes in installed project costs. In all cases, the electricity price was found to be dominated by the installed project cost (capital cost). Thus, any policy that affects the capital cost directly or indirectly would have a significant effect on the electricity price. Whereas investment tax credit has a direct effect, policies that encourage technology improvement and improve transmission lines would have a similar effect of lowering the capital cost. Carbon tax, on the other hand, would increase the electricity price to the consumers, although it offers other benefits. Highlights: ► Capital cost dominates the price of wind electricity. ► Policies for wind electricity should aim at lowering the capital cost directly or indirectly. ► Carbon tax does not lower wind electricity price, and is beneficial for other reasons.

  10. 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.

  11. Research on Pricing and Coordination Strategy of a Sustainable Green Supply Chain with a Capital-Constrained Retailer

    Directory of Open Access Journals (Sweden)

    Liming Zhao

    2018-01-01

    Full Text Available With the gradual deepening of environmental problems and the increase in consumer awareness of environmental protection, many enterprises have already begun to pay attention to green supply chain management. However, the price of green products is higher than that of nongreen products, which is an enormous challenge for many small- or medium-sized enterprises. To study the pricing and coordination of green supply chains under capital constraints, a model consisting of a manufacturer and a capital-constrained retailer is established; the manufacturer invests in green products and provides a deferred payment contract. Setting the situation without capital constraints as a benchmark, this study explores the impact of the retailer’s capital constraints on the manufacturer’s product greenness design; an interesting result shows that deferred payment can help encourage the retailer to order more products and improve the profit of the manufacturer and the efficiency of the entire supply chain as well as the product’s greenness level simultaneously. However, the profit of the retailer will be hurt by the deferred payment contract. Therefore, to guarantee the profit of the entire channel and to make the two agents obtain a win-win outcome, a new two-way revenue-sharing contract is designed to coordinate the green supply chain.

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

    Science.gov (United States)

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

    2013-08-01

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

  13. 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

  14. The Essence and Meaning of the Enterprise’s Marketing Assets

    Directory of Open Access Journals (Sweden)

    Krasovska Olena J.

    2017-12-01

    Full Text Available The article carries out a comparative analysis of the most common definitions of the term of «marketing assets». Generalizing the presented approaches, it is proposed to understand marketing assets as the existing intangible resources and products of intellectual activity of the enterprise’s staff, which materialize in goods and services and provide a higher Level of trust, long-term, mutually advantageous relationships and relations with stakeholders, in comparison with competitors. On analyzing the intangible assets of enterprise, it has been concluded that, for the enterprises of food industry, the most essential for ensuring the growth of their value are the marketing and technical-technological intangible assets. For the enterprises of machine-building and metallurgy, both the marketing and the so-called cognitive intangible assets are definitive, because, in order to maintain a stable competitive position of company in the branch, and, accordingly, to increase its capitalization, the determining assets will be: corporate strategy, intellectual capital, experience in the market, etc.

  15. 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

  16. BUDGET NORMALIZATION AND PRICING FEATURES IN CONSTRUCTION

    Directory of Open Access Journals (Sweden)

    M. I. Gadzhieva

    2016-01-01

    Full Text Available It is proved that the pricing of the construction is different from the pricing system in the industry and other branches of economy, because it has different methodological and organizational approaches. It has been determined that the cost of construction is set on the stage of its design, in the process of concluding investment contracts (construction contracts, as well as directly during construction, major repairs of objects of capital construction, reconstruction and the implementation of certain types of construction and installation works. It has been found that the pricing mechanism in construction is based on the detailed legal and reference documents regulating material consumption rates and prices, taking into account sectoral, territorial and seasonal features of building production. It has been found that under inflation conditions the price index calculation of construction products for investment purposes is of great importance. Mandatory approval of all stakeholders of the construction production method for determining the price of the construction site is proposed.

  17. Optimality of profit-including prices under ideal planning.

    Science.gov (United States)

    Samuelson, P A

    1973-07-01

    Although prices calculated by a constant percentage markup on all costs (nonlabor as well as direct-labor) are usually admitted to be more realistic for a competitive capitalistic model, the view is often expressed that, for optimal planning purposes, the "values" model of Marx's Capital, Volume I, is to be preferred. It is shown here that an optimal-control model that maximizes discounted social utility of consumption per capita and that ultimately approaches a steady state must ultimately have optimal pricing that involves equal rates of steady-state profit in all industries; and such optimal pricing will necessarily deviate from Marx's model of equal rates of surplus value (markups on direct-labor only) in all industries.

  18. What have we learned from asset sales?

    International Nuclear Information System (INIS)

    Falk, J.

    1999-01-01

    The author has created a database of 33 sales of generating assets and has the characteristics of those sales to estimate the value of generating assets. The authors conclusion so far is negative: the sales observed to date have varied so widely in characteristics and price that observed sales data cannot be usefully employed to forecast with any reliability the price at which some other asset is likely to sell in a subsequent auction. The author concludes this does not mean that the auction method is in any way inferior to an administrative method for determining stranded costs. It simply means that there are at present no reliable inferences which can be drawn from this process to inform the administrative process. While this situation might change as more and more assets are auctioned, there are reasons to think that this may not be the case

  19. Changes in alcohol consumption following a reduction in the price of spirits: a natural experiment in Switzerland.

    Science.gov (United States)

    Heeb, Jean-Luc; Gmel, Gerhard; Zurbrügg, Christoph; Kuo, Meichun; Rehm, Jürgen

    2003-10-01

    To discover what changes in alcohol consumption had occurred in subgroups defined by age, sex, volume of drinking and drinking occasions, following a reduction in the price of spirits in Switzerland in July 1999. Quasi-experimental. Longitudinal general-population survey with baseline 3 months before and follow-up 3 months after price change. Probabilistic telephone sample of 1347 individuals with at least monthly consumption on average in the previous 6 months at both interviews. The response rate at baseline was 74,8% and the attrition rate from baseline to follow-up 20.2%. Alcohol consumption was assessed by means of a beverage-specific graduated-frequency measure. High volume of drinking was defined as 40 + g/day for men and 20 + g/day for women. Binge drinking was defined as six + drinks on an occasion for men and four + drinks for women. Spirits consumption increased significantly (by 28.6%) in the total sample, and specifically in young males and in individuals who were low-volume drinkers at baseline. Consumption of alcohol overall, or of wine or beer, did not change significantly. No indication of effects of substitution was found. Spirits consumption showed price-responsiveness in the early postintervention period. This finding is of particular interest, as (a) the increase in spirits consumption took place at a time of generally declining consumption of alcohol in Switzerland; and (b) in contrast to the findings of most studies, the intervention, namely price reduction, increased availability.

  20. Introduction to the mathematics of finance from risk management to options pricing

    CERN Document Server

    Roman, Steven

    2004-01-01

    The Mathematics of Finance has become a hot topic in applied mathematics ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for upper division undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options. The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed in several chapters throughout the book, on a "need-to-know" basis. No background in finance is required, sinc...

  1. The marketing and economic implications of the manipulation of share prices: Nigeria stock exchange experience

    OpenAIRE

    Ajayi Ezekiel Oluwole; Omolekan Olushola Joshua

    2012-01-01

    This paper examined the marketing and economic effects of the manipulation of share prices in the Nigerian Stock Exchange. The survey research design was adopted. Data collected was analyzed using the regression analysis. Student t- test was used to test the two hypotheses formulated at 0.05 level of significance. The findings of the study revealed that capital market infractions such as fraudulent disposal of investor assets, illegal fund management and the wonder bank syndrome, others are i...

  2. 2014 State of Western's Assets

    Energy Technology Data Exchange (ETDEWEB)

    None

    2014-01-01

    In this report we document the State of Western’s Assets in terms of physical equipment, financial resources, strategic direction, and human capital, both at the organizational and regional levels. We identify the condition of our assets today and share what work we will be doing in these areas in the coming years.

  3. 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.

  4. Renewable Resources, Capital Accumulation, and Economic Growth

    Directory of Open Access Journals (Sweden)

    Wei-Bin Zhang

    2011-01-01

    Full Text Available This paper proposes a dynamic economic model with physical capital and renewable resources. Different from most of the neoclassical growth models with renewable resources which are based on microeconomic foundation and neglect physical capital accumulation, this study proposes a growth model with dynamics of renewable resources and physical capital accumulation. The model is a synthesis of the neoclassical growth theory and the traditional dynamic models of renewable resources with an alternative approach to household behavior. The model describes a dynamic interdependence among physical accumulation, resource change, and division of labor under perfect competition. Because of its refined economic structure, our study enables some interactions among economic variables which are not found in the existing literature on economic growth with renewable resources. We simulate the model to demonstrate the existence of equilibrium points and motion of the dynamic system. Our comparative dynamic analysis shows, for instance, that a rise in the propensity to consume the renewable resource increases the interest rate and reduces the national and production sector’s capital stocks, wage rate and level of the consumption good. Moreover, it initially reduces and then increases the capital stocks of the resource sector and the consumption and price of the renewable resource. The stock of the renewable resource is initially increased and then reduced. Finally, labor is redistributed from the production to the resource sector.

  5. The Price Stability-Important Lever within the Economy

    Directory of Open Access Journals (Sweden)

    Maria Mirabela Florea Ianc

    2016-01-01

    Full Text Available One of the biggest problems that have confronted the authorities, whether fiscal, monetary, either along the time is represented by the generalised increase in prices (inflation, which is why it is not considered good at the level of an economy, because it is presented as a nominal increase of PIB, namely the erosion of the economy as a whole, not least, to generate macroeconomic imbalances The inflation creates pressure not only on monetary plan, and the plan as general economic, political and social. This, in addition to generating a sharp decline in savings, discourages investment and favors moving the capital in assets that generate real revenue.

  6. Asset Price Effects Arising from Sports Results and Investor Mood: The Case of a Homogenous Fan Base Area

    OpenAIRE

    Robert Gallagher; Niall O’ Sullivan

    2011-01-01

    This paper contributes to the behavioural finance literature that examines the asset pricing impact of mood altering events such as sports results, sunshine levels, daylight hours, public holidays, temperature etc. Specifically, we investigate whether variations in investor mood arising from wins and losses in major sporting events have an impact on stock market returns. We examine the case of Ireland. Ireland is an interesting case because its people are passionate about sport, the domestic ...

  7. 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,

  8. 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...

  9. STUDY REGARDING THE ASSETS EVALUATION ON THE FINANCIAL MARKET THROUGH THE C.A.P.M. MODEL

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2014-11-01

    Full Text Available Capital Asset Pricing Model (CAPM was introduced through the works of William Sharpe (1964, John Lintner (1965 and Jan Mossin (1966 based on the research of Henry Markovitz. Due to the independent formulation of the model by these three american researchers, there are in the literature references to the Security Market Line (SML model of financial assets evaluation. CAPM model, revolutionized the financial theory, highlighting the link between the rentability of the individual securities and the rentability of the financial market. The first fundamental hypothesis of the model is that investors are concerned about the expected rentability closely related to the risk associated with it. Consequently, under equilibrium conditions of the financial market, the CAPM model highlights a linear relationship between the expected rentability of the portfolio and the amount of risk assumed by investors.

  10. ACFAC: a cash flow analysis code for estimating product price from an industrial operation

    International Nuclear Information System (INIS)

    Delene, J.G.

    1980-04-01

    A computer code is presented which uses a discountted cash flow methodology to obtain an average product price for an industtrial process. The general discounted cash flow method is discussed. Special code options include multiple treatments of interest during construction and other preoperational costs, investment tax credits, and different methods for tax depreciation of capital assets. Two options for allocating the cost of plant decommissioning are available. The FORTRAN code listing and the computer output for a sample problem are included

  11. Smart Environmental Policy with Full-Cost Pricing

    Directory of Open Access Journals (Sweden)

    Nancy Olewiler

    2012-03-01

    Full Text Available Canada’s natural capital — its resources, ecosystems and wildlife — are indispensable to the productivity of industry. Despite this, both the public and private sectors have failed to adequately factor in the consequences of production and consumption on the natural environment. There is a growing need for full-cost pricing, a system that adjusts market prices to reflect not only the direct costs of good and services, but also their impact on this country’s natural capital. As this paper argues, the onus is on the federal government to create the conditions for full-cost pricing to succeed. Ottawa needs to eliminate energy subsidies (to producers and consumers, implement full-cost pricing on air contaminants and greenhouse gases and encourage projects at the provincial and municipal levels that adopt that methodology. The benefits include productivity gains; potentially billions in savings for consumers, businesses and governments; a strong environment supporting sustainable industries; and simplified tax systems. In surveying past and existing federal initiatives and missed opportunities in previous budgets, this paper assesses costs and consequences, arguing that a healthy environment is synonymous with a healthy economy, and providing hard data to back up that conviction. With Budget 2012 just around the corner, the time is ripe for the Harper government to introduce full-cost pricing, and guarantee Canada a brighter future.

  12. The impact of oil prices on the banking system in the Gulf Cooperation Council

    Directory of Open Access Journals (Sweden)

    Padamja Khandelwal

    2017-06-01

    Full Text Available This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC. The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.

  13. 12 CFR 325.3 - Minimum leverage capital requirement.

    Science.gov (United States)

    2010-01-01

    ... depository institution making application to the FDIC) shall consist of a ratio of Tier 1 capital to total..., excellent asset quality, high liquidity, good earnings and in general is considered a strong banking... application to the FDIC) shall consist of a ratio of Tier 1 capital to total assets of not less than 4 percent...

  14. Assessing intellectual capital management by fuzzy TOPSIS

    Directory of Open Access Journals (Sweden)

    Hossein Jannatifar

    2012-10-01

    Full Text Available Intellectual capital is a type of asset measuring ability of economic agency in order tomake wealth. These assets do not have physical and objective nature and are intangible assets being achieved through utilization of relative assets with human resources, organizational operation and foreign relations from economic agency. Measuring this issue is important from intra-organizational and extra-organizational views. In this paper, we present survey based on Fuzzy TOPSIS to find important factors influencing intellectual capital management. The proposed model of this paper considers different factors, which exist in the literature and prioritize them based on different criteria. The results of our survey identified seven items as the most influencing factors.

  15. MEASUREMENT OF INTANGIBLE ASSETS IN RECOVERY AREAS AND OPERATION OF NATURAL RESOURCES

    Directory of Open Access Journals (Sweden)

    Ioan I. Gâf-Deac

    2017-09-01

    Full Text Available The paper shows that to date, intangible assets are considered "goods" and as such, the practice of classical accounting consider intellectual capital in the same category of "goods equivalent / similar to those visible / tangible". From research that literature on measuring knowledge assets / intellectual capital, both in Romania and worldwide, is not large enough and does not provide finite significant "strong" on classifications semantic of the content and quality issues in the field. The book titled New Economy between knowledge and risk – Infomin Ed., Deva, 2010 (www.infomindeva.ro (ISBN 978-973-7646-11-8, (Ioan I. Gâf-Deac  presents systematization and classification of original models and methodologies for measuring knowledge assets, intellectual capital in socio-economic sciences, and as such, in this present article resorting to the extension applied to formalizing measurement of intangible assets in areas operation and exploitation of natural resources.

  16. Price sensitive electric power consumption in households. Final report; Prisfoelsomt elforbrug i husholdninger. Slutrapport

    Energy Technology Data Exchange (ETDEWEB)

    Togeby, M.; Hay, C. (Ea Energianalyse A/S, Copenhagen (Denmark))

    2009-08-15

    To gain experience with electric power consumption in households based on demand response a demonstration project was carried out for households with electric heating. More than 500 households with high power consumption (over 15,000 kWh / yr) participated. Participating households were divided into four groups: 1) a group with automation equipment ('Devi') installed, which automatically controls the electric heating in relation to electricity price signals based on pre-defined standards, 2) a group with electronics equipment ('Electronic House Keeper') installed which can show price signals so that the participant himself can control the electric heating in relation thereto, 3) a group who daily received an e-mail or a text message indicating the fluctuations in electricity prices, so that the participant can control the electric heating in relation to the received information, 4) a control group who did not have knowledge of or participated in the experiment. The main results of the project are that consumption must be controlled through automation. A real impact of the experiment can only be seen for the Devi group, which had automation equipment installed, and not for the email / text message group who had to manually respond to price signals. There must be opportunities for higher degree of differentiation. The automatics should be coupled to multiple thermostats, and the control should be detailed, for example, with control based on the individual thermostat in each room. The thermal comfort is essential. The participants want to manage and move their electricity consumption directly via 'Electronic House Keeper'. They would welcome the opportunity to have all household appliances connected to the solution, making it possible to turn on / off these depending on prices. Good information and communication are crucial to participants' motivation. (ln)

  17. Looking for Synergy with Momentum in Main Asset Classes

    OpenAIRE

    Lukas Macijauskas; Dimitrios I. Maditinos

    2014-01-01

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

  18. Time-Varying Capital Requirements and Disclosure Rules

    DEFF Research Database (Denmark)

    Imbierowicz, Björn; Kragh, Jonas; Rangvid, Jesper

    2018-01-01

    We investigate how banks' capital and lending decisions respond to changes in bank-specific capital and disclosure requirements. We find that an increase in the bank-specific regulatory capital requirement results in a higher bank capital ratio, brought about via less asset risk. A decrease...

  19. Financial Super-Markets: Size Matters for Asset Trade.

    OpenAIRE

    Philippe Martin and Hélène Rey.

    2000-01-01

    This paper presents a new theoretical framework to analyze financial markets in an international context. We build a two-country macroeconomic model in which agents are risk averse, assets are imperfect substitutes, the number of financial assets is endogenous, and cross-border asset trade entails transaction costs. We show that demand effects have important implications for the link between market size, asset prices and financial market development. These effects are consistent with the exis...

  20. Real options and asset valuation in competitive energy markets

    Science.gov (United States)

    Oduntan, Adekunle Richard

    methodologies for gas-fired thermal power plants by factoring in uncertainty from gas supply/consumption imbalance which is usually faced by gas-fired power generators. This source of uncertainty arises because of mismatch between natural gas and electricity wholesale markets. Natural gas markets in North America operate on a day-ahead basis while power plants are dispatched in real time. Inability of a power generator to match its gas supply and consumption in real time, leading to unauthorized gas over-run or under-run, attracts penalty charges from the gas supplier to the extent that the generator can not manage the imbalance through other means. By considering an illustrative power plant operating in Ontario, we show effects of gas-imbalance on dispatch strategies on a daily cycling operation basis and the resulting impact on net revenue. Similarly, we employ the developed valuation framework to value a peaking hydroelectric power plant. This application also builds on previous real options valuation work for peaking hydroelectric power plants by considering their operations in a joint energy and ancillary services market. Specifically, the valuation model is developed to capture the value of a peaking power plant whose owner has the flexibility to participate in a joint operating reserve market and an energy market, which is currently the case in the Ontario wholesale power market. The model factors in water inflow uncertainty into the reservoir forebay of a hydroelectric facility and also considers uncertain energy and operating reserve prices. The switching options considered include (i) a joint energy and operating reserve bid (ii) an energy only bid and (iii) a do nothing (idle) strategy. Being an energy limited power plant, by doing nothing at a decision interval, the power asset operator is able to timeshift scarce water for use at a future period when market situations are expected to be better. Finally, the developed valuation framework was employed to optimize

  1. Valuing natural gas power generation assets in the new competitive marketplace

    Science.gov (United States)

    Hsu, Michael Chun-Wei

    1999-10-01

    The profitability of natural gas fired power plants depends critically on the spread between electricity and natural gas prices. The price levels of these two energy commodities are the key uncertain variables in determining the operating margin and therefore the value of a power plant. The owner of a generation unit has the decision of dispatching the plant only when profit margins are positive. This operating flexibility is a real option with real value. In this dissertation I introduce the spark spread call options and illustrate how such paper contracts replicate the uncertain payoff space facing power asset owners and, therefore, how the financial options framework can be applied in estimating the value of natural gas generation plants. The intrinsic value of gas power plants is approximated as the sum of a series of spark spread call options with succeeding maturity dates. The Black-Scholes spread option pricing model, with volatility and correlation term structure adjustments, is utilized to price the spark spread options. Sensitivity analysis is also performed on the BS spread option formulation to compare different asset types. In addition I explore the potential of using compound and compound-exchange option concepts to evaluate, respectively, the benefits of delaying investment in new generation and in repowering existing antiquated units. The compound option designates an option on top of another option. In this case the series of spark spread call options is the 'underlying' option while the option to delay new investments is the 'overlying.' The compound-exchange option characterizes the opportunity to 'exchange' the old power plant, with its series of spark spread call options, for a set of new spark spread call options that comes with the new generation unit. The strike price of the compound-exchange option is the repowering capital investment and typically includes the purchase of new steam generators and combustion turbines, as well as other

  2. DO FINANCIAL STATEMENTS PROVIDE ADEQUATE INFORMATION ABOUT THE CAPITALIZATION OF COSTS RELATED TO INTANGIBLE ASSETS?: AN EMPIRICAL RESEARCH ON ITALIAN LISTED COMPANIES

    Directory of Open Access Journals (Sweden)

    Stefania Vignini

    2015-11-01

    Full Text Available The aim of our research is to verify if Italian listed companies financial statements provide adequate information about the capitalization of costs related to intangible assets and if the information provided are reliable. Moreover, we investigated if they merely comply with law or provide additional information on cost capitalization and reveal if internal control systems (especially managerial accounting systems or other information systems are applied to support the measurement process and the cost control, thus guaranteeing the verifiability and representational faithfulness of the information disclosed. This paper is an empirical analysis and is concerned to investigate the financial statements of 250 Italian listed companies.

  3. 48 CFR 52.245-1 - Government Property.

    Science.gov (United States)

    2010-10-01

    ... tangible capital asset including the purchase price of the asset and costs necessary to prepare the asset... disclose and report to the Property Administrator the need for replacement and/or capital rehabilitation... be submitted for all aircraft regardless of condition, flight safety critical aircraft parts, and...

  4. The prospective impact of food pricing on improving dietary consumption: A systematic review and meta-analysis

    OpenAIRE

    Afshin, Ashkan; Peñalvo, José L.; Del Gobbo, Liana; Silva, Jose; Michaelson, Melody; O'Flaherty, Martin; Capewell, Simon; Spiegelman, Donna; Danaei, Goodarz; Mozaffarian, Dariush

    2017-01-01

    Background: While food pricing is a promising strategy to improve diet, the prospective impact of food pricing on diet has not been systematically quantified. Objective: To quantify the prospective effect of changes in food prices on dietary consumption. Design: We systematically searched online databases for interventional or prospective observational studies of price change and diet; we also searched for studies evaluating adiposity as a secondary outcome. Studies were excluded if price dat...

  5. The prospective impact of food pricing on improving dietary consumption: A systematic review and meta-analysis.

    Directory of Open Access Journals (Sweden)

    Ashkan Afshin

    Full Text Available While food pricing is a promising strategy to improve diet, the prospective impact of food pricing on diet has not been systematically quantified.To quantify the prospective effect of changes in food prices on dietary consumption.We systematically searched online databases for interventional or prospective observational studies of price change and diet; we also searched for studies evaluating adiposity as a secondary outcome. Studies were excluded if price data were collected before 1990. Data were extracted independently and in duplicate. Findings were pooled using DerSimonian-Laird's random effects model. Pre-specified sources of heterogeneity were analyzed using meta-regression; and potential for publication bias, by funnel plots, Begg's and Egger's tests.From 3,163 identified abstracts, 23 interventional studies and 7 prospective cohorts with 37 intervention arms met inclusion criteria. In pooled analyses, a 10% decrease in price (i.e., subsidy increased consumption of healthful foods by 12% (95%CI = 10-15%; N = 22 studies/intervention arms whereas a 10% increase price (i.e. tax decreased consumption of unhealthful foods by 6% (95%CI = 4-8%; N = 15. By food group, subsidies increased intake of fruits and vegetables by 14% (95%CI = 11-17%; N = 9; and other healthful foods, by 16% (95%CI = 10-23%; N = 10; without significant effects on more healthful beverages (-3%; 95%CI = -16-11%; N = 3. Each 10% price increase reduced sugar-sweetened beverage intake by 7% (95%CI = 3-10%; N = 5; fast foods, by 3% (95%CI = 1-5%; N = 3; and other unhealthful foods, by 9% (95%CI = 6-12%; N = 3. Changes in price of fruits and vegetables reduced body mass index (-0.04 kg/m2 per 10% price decrease, 95%CI = -0.08-0 kg/m2; N = 4; price changes for sugar-sweetened beverages or fast foods did not significantly alter body mass index, based on 4 studies. Meta-regression identified direction of price change (tax vs. subsidy, number of intervention components

  6. Inequality in Human Capital and Endogenous Credit Constraints.

    Science.gov (United States)

    Hai, Rong; Heckman, James J

    2017-04-01

    This paper investigates the determinants of inequality in human capital with an emphasis on the role of the credit constraints. We develop and estimate a model in which individuals face uninsured human capital risks and invest in education, acquire work experience, accumulate assets and smooth consumption. Agents can borrow from the private lending market and from government student loan programs. The private market credit limit is explicitly derived by extending the natural borrowing limit of Aiyagari (1994) to incorporate endogenous labor supply, human capital accumulation, psychic costs of working, and age. We quantify the effects of cognitive ability, noncognitive ability, parental education, and parental wealth on educational attainment, wages, and consumption. We conduct counterfactual experiments with respect to tuition subsidies and enhanced student loan limits and evaluate their effects on educational attainment and inequality. We compare the performance of our model with an influential ad hoc model in the literature with education-specific fixed loan limits. We find evidence of substantial life cycle credit constraints that affect human capital accumulation and inequality. The constrained fall into two groups: those who are permanently poor over their lifetimes and a group of well-endowed individuals with rising high levels of acquired skills who are constrained early in their life cycles. Equalizing cognitive and noncognitive ability has dramatic effects on inequality. Equalizing parental backgrounds has much weaker effects. Tuition costs have weak effects on inequality.

  7. Capital Regulation and Bank Risk-Taking Behavior: Evidence from Pakistan

    Directory of Open Access Journals (Sweden)

    Badar Nadeem Ashraf

    2016-08-01

    Full Text Available In response to the global financial crisis of 2007–2009, risk-based capital requirements have been reinforced in the new Basel III Accord to counter excessive bank risk-taking behavior. However, prior theoretical as well as empirical literature that studies the impact of risk-based capital requirements on bank risk-taking behavior is inconclusive. The primary purpose of this paper is to examine the impact of risk-based capital requirements on bank risk-taking behavior, using a panel dataset of 21 listed commercial banks of Pakistan over the period 2005–2012. Purely regulatory measures of bank capital, capital adequacy ratio, and bank assets portfolio risk, risk-weighted assets to total assets ratio, are used for the main analysis. Recently developed small N panel methods (bias corrected least squares dummy variable (LSDVC method and system GMM method with instruments collapse option are used to control for panel fixed effects, dynamic dependent variables, and endogenous independent variables. Overall, the results suggest that commercial banks have reduced assets portfolio risk in response to stringent risk-based capital requirements. Results also confirm that all banks having risk-based capital ratios either lower or higher than the regulatory required limits, have decreased portfolio risk in response to stringent risk-based capital requirements. The results are robust to alternative proxies of bank risk-taking, alternative estimation methods, and alternative samples.

  8. 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.

  9. Financial Super-Markets: Size Matters for Asset Trade

    OpenAIRE

    Philippe Martin; Helene Rey

    2001-01-01

    This paper presents a new theoretical framework to analyze=20 financial markets in an international context. We build a two-country=20 macroeconomic model in which agents are risk averse, assets are imperfect=20 substitutes, the number of financial assets is endogenous, and cross-border= =20 asset trade entails transaction costs. We show that demand effects have=20 important implications for the link between market size, asset prices and=20 financial market development. These effects are cons...

  10. Estimating the ROI on Implementation of RFID at the Ammunition Storage Warehouse and the 40th Supply Depot: KVA as a Methodology

    Science.gov (United States)

    2009-12-01

    Balanced Scorecard CAPM Capital Asset Pricing Model DIS Defense Information System DoD Department of...Measurement Tool (PMT) is the Balanced Scorecard (BSC) based on critical success factors and key performance indicators. The MND has referred to Jung’s...authors can replicate the methodology for multiple projects to generate a portfolio of projects. Similar to the Capital Asset Pricing Model ( CAPM ) or

  11. Fast Food Consumption and Food Prices: Evidence from Panel Data on 5th and 8th Grade Children

    OpenAIRE

    Khan, Tamkeen; Powell, Lisa M.; Wada, Roy

    2012-01-01

    Fast food consumption is a dietary factor associated with higher prevalence of childhood obesity in the United States. The association between food prices and consumption of fast food among 5th and 8th graders was examined using individual-level random effects models utilizing consumption data from the Early Childhood Longitudinal Study, Kindergarten Class of 1998-99 (ECLS-K), price data from American Chamber of Commerce Researchers Association (ACCRA), and contextual outlet density data from...

  12. INTELLECTUAL CAPITAL TERHADAP NILAI PERUSAHAAN DENGAN KINERJA KEUANGAN SEBAGAI VARIABEL INTERVENING

    Directory of Open Access Journals (Sweden)

    Nisa Ayu Castrena Dewi

    2017-03-01

    Full Text Available Company competition ability was not only in the assets ownership but also in the innovation, informationsystem, organization management and resources, including the importance of knowledge assets in the company.One of the approaches used in assessment and measuring of knowledge assets was Intellectual Capital(IC which used model namely Value Added Intellectual Coefficient (VAICTM and also used per IC componentnamely Value Added Capital Employed (VACA, Value Added Human Capital (VAHU and StructuralCapital Value Added (STVA. This research aimed to investigate the intellectual effect toward firm value withreturn on assets as the intervening variable. The samples of this research were pharmacy companies listed inBEI. The samples were selected by using purposive sampling method and there were 24 observation data. Thehypotheses of this research used path analysis, simple linear regression and double linear regression. Theresult of this research showed that IC had a positive significant effect toward Return on Assets as. IC did nothave a direct effect toward firm value. It influenced indirectly toward firm value with Return on Assets as theintervening variable, simultaneously or partially. VACA, VAHU and STVA did not have an effect towardReturn on Assets of a firm simultaneously or partially. VACA, VAHU and STVA did not have an effect onfirm value.

  13. Numeraire Invariance and application to Option Pricing and Hedging

    NARCIS (Netherlands)

    Jamshidian, F.; Vanmaele, Michèle; Deelstra, Griselda; De Schepper, Ann; Dhaene, Jan; Reynaerts, Huguette; Schoutens, Wim; Van Goethem, Paul

    2008-01-01

    Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all other asset and option prices in units of this numeraire. Since the price of the numeraire relative to itself is

  14. The impact of liquidity and size premium on equity price formation in Serbia

    Directory of Open Access Journals (Sweden)

    Minović Jelena

    2012-01-01

    Full Text Available The goal of this paper is to examine the impact of an overall market factor, the factor related to the firm size, the factor related to the ratio of book to market value of companies, and the factor of liquidity risk on expected asset returns in the Serbian market. For this market we estimated different factor models: Capital Asset Pricing Model (CAPM by Sharpe, 1964, Fama-French (FF model (1992, 1993, Liquidity-augmented CAPM (LCAPM by Liu (2006, and combination LCAPM with FF factors. We used daily data for the period from 2005 to 2009. Using a demanding methodology and complex dataset, we found that liquidity and firm size had a significant impact on equity price formation in Serbia. On the other hand, our results suggest that the factor related to the ratio of book to market value of companies does not have an important role in asset pricing in Serbia. We found that Liu’s two factor LCAPM model performs better in explaining stock returns than the standard CAPM and the Fama-French three factor model. Additionally, Liu’s LCAPM may indeed be a good tool for realistic assessment of the expected asset returns. The combination of the Fama-French model and the LCAPM could improve the understanding of equilibrium in the Serbian equity market. Even though previous papers have mostly dealt with examining different factor models of developed or emerging markets worldwide, none of them has tested factor models on the countries of former Yugoslavia. This paper is the first to test the FF model and LCAPM with FF factors in the case of Serbia and the area of ex-Yugoslavia. [Projekat Ministarstva nauke Republike Srbije, br. 179015: Challenges and Prospects of Structural Changes in Serbia: Strategic Directions for Economic Development and Harmonization With EU Requirements

  15. The effects of intellectual capital on financial performance: A case study of petrochemical and pharmaceutical firms

    Directory of Open Access Journals (Sweden)

    Naser Azad

    2012-04-01

    Full Text Available There is no doubt that traditional accounting does not provide actual value of assets since they only measure tangible assets. Intellectual capital provides a new concept for measuring actual value of the assets and we can calculate future values of the firm. In this paper, we first calculate intellectual capital based on the ratio of market value/book value for three years period. Then we investigate the relationship between intellectual capital and growth rate of intellectual capital as well as financial performance of some publicly traded petrochemical and pharmaceutical firms. The results of our survey indicate that there is a positive relationship between intellectual capital and equity growth with EVA and return of assets. However, there is no meaningful relationship between intellectual assets with net earnings.

  16. European Option Pricing with Transaction Costs in Lévy Jump Environment

    Directory of Open Access Journals (Sweden)

    Jiayin Li

    2014-01-01

    Full Text Available The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump, the explicit solution to the risk asset price model is given. According to arbitrage-free principle, we first discretize the continuous-time model. Then, in each small time interval, the transaction costs are introduced. By using the Δ-hedging strategy, the explicit solutions of the European options pricing formula with transaction costs are given for the risky asset price model with Lévy jump.

  17. Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors

    Directory of Open Access Journals (Sweden)

    Man Fu

    2011-12-01

    Full Text Available We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts to shareholders. A stochastic discount factor motivated by the consumption-based asset pricing model is utilized. A single macroeconomic factor, namely the output gap determines the non-fundamental component of stock prices. A resulting trivariate Vector Autoregression (TVAR model of stock prices, broad dividends, and the output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s.

  18. The pitfalls of capital budgeting : when costs correlate to oil price. Is the real-options approach superior to traditional valuation?

    Energy Technology Data Exchange (ETDEWEB)

    Schiozer, R.F. [Getulio Vargas Foundation, Sao Paolo (Brazil). School of Administration de Empresas; Costa Lima, G.A.; Suslick, S.B. [Unicamp, Campinas (Brazil). Center of Petroleum Studies

    2007-07-01

    Due to increased demand for drilling rigs, specialized labor force and other resources, the costs of exploration, appraisal, development and production have significantly risen over the last five years. The change in costs has mostly been attributed to the increased activity in the oil and gas exploration and production (EP) industry, as a result of the increase in oil prices. It was hypothesized that operating costs in the EP industry were strongly correlated to the price of oil. However, the correlation between prices and costs has traditionally been overlooked in the capital budgeting process. This paper investigated the economic relationship between oil price and the operating costs in the EP industry. It also explored its implications for the capital budgeting process and decision-making. The paper demonstrated the evaluation of projects under traditional net present value (NPV) and real-option approaches. Empirical evidence was also provided on how costs correlated to oil prices. The differences between project valuation when cost-price correlation was taken into account or not was also discussed. Last, findings, conclusions and general implications of the results obtained for the decision-making process were identified. It was concluded that there was a positive correlation between price and operating costs, and that overlooking this relationship would have significant implications on the valuation of investment projects, both using a traditional NPV methodology, which resulted in undervalued projects, and under real option analysis, which resulted in overvaluing projects. 6 refs., 2 tabs., 5 figs.

  19. The pitfalls of capital budgeting : when costs correlate to oil price. Is the real-options approach superior to traditional valuation?

    International Nuclear Information System (INIS)

    Schiozer, R.F.; Costa Lima, G.A.; Suslick, S.B.

    2007-01-01

    Due to increased demand for drilling rigs, specialized labor force and other resources, the costs of exploration, appraisal, development and production have significantly risen over the last five years. The change in costs has mostly been attributed to the increased activity in the oil and gas exploration and production (EP) industry, as a result of the increase in oil prices. It was hypothesized that operating costs in the EP industry were strongly correlated to the price of oil. However, the correlation between prices and costs has traditionally been overlooked in the capital budgeting process. This paper investigated the economic relationship between oil price and the operating costs in the EP industry. It also explored its implications for the capital budgeting process and decision-making. The paper demonstrated the evaluation of projects under traditional net present value (NPV) and real-option approaches. Empirical evidence was also provided on how costs correlated to oil prices. The differences between project valuation when cost-price correlation was taken into account or not was also discussed. Last, findings, conclusions and general implications of the results obtained for the decision-making process were identified. It was concluded that there was a positive correlation between price and operating costs, and that overlooking this relationship would have significant implications on the valuation of investment projects, both using a traditional NPV methodology, which resulted in undervalued projects, and under real option analysis, which resulted in overvaluing projects. 6 refs., 2 tabs., 5 figs

  20. 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

  1. 75 FR 4635 - Risk-Based Capital Guidelines; Capital Adequacy Guidelines; Capital Maintenance: Regulatory...

    Science.gov (United States)

    2010-01-28

    ... phase-in would unfairly penalize banking organizations given their already established businesses..., will aid banking organizations with capital planning as they implement FAS 166 and FAS 167 and adjust... assets a banking organization consolidates as a result of changes to U.S. generally accepted accounting...

  2. Ciemat Relational Capital: Institutional Presence

    International Nuclear Information System (INIS)

    Vaquero Ortiz, E. M.; González Pineda, L. M.; Cascante Díaz, E.

    2015-01-01

    The resources in any organization for its activity development can be divided into two main groups: tangible assets and intangible assets. In recent decades there has been a recognition of the importance of the intangible assets as value generators for the development and growth of organizations. And the so called Relational Capital is among them Relational Capital arises from the relationship processes that an organization maintains with external agents. Thus, in the case of a public research institution, such as CIEMAT, it includes the relations with projects financing organizations, with partners and with customers (both public and private entities which are serviced), as well as the institutional presence understood as the participation in discussion and coordination forums (foundations, associations, committees…). This report presents a study of CIEMAT institutional presence in the year 2015.

  3. Chinese smokers' cigarette purchase behaviours, cigarette prices and consumption: findings from the ITC China Survey.

    Science.gov (United States)

    Huang, Jidong; Zheng, Rong; Chaloupka, Frank J; Fong, Geoffrey T; Li, Qiang; Jiang, Yuan

    2014-03-01

    While cigarette purchasing behaviour has been shown to be linked with certain tobacco use outcomes such as quit intentions and quit attempts, there have been very few studies examining cigarette purchasing behaviours and their impact on cigarette price and consumption in China, the world's largest cigarette consumer. The aim of the present study was to examine the extent and determinants of cost/price-related purchase behaviours, and estimate the impact of these behaviours on cigarette prices paid by Chinese smokers. It also assesses the socioeconomic differences in compensatory purchase behaviours, and examines how they influence the relationship between purchase behaviours, cigarette prices and cigarette consumption. Multivariate analyses using the general estimating equations method were conducted using data from the International Tobacco Control China Survey (the ITC China Survey), a longitudinal survey of adult smokers in seven cities in China: Beijing, Changsha, Guangzhou, Kunming, Shanghai, Shenyang and Yinchuan. In each city, about 800 smokers were surveyed in each wave. The first three waves--wave 1 (conducted between March to December 2006), wave 2 (November 2007 to March 2008) and wave 3 (May to October 2009 and February to March 2010)--of the ITC China Survey data were used in this analysis. Various aspects of smokers' self-reported price/cost-related cigarette purchasing behaviours were analysed. Nearly three-quarters (72%) of smokers surveyed indicated that a major reason they chose their most-used cigarette brand was its low cost/price. Almost half (50.6%) of smokers reported buying in cartons in their most recent cigarette purchase. Smokers with lower income and/or low levels of education were more likely to choose a brand because of its low cost/price. However, those with higher income and/or high levels of education were more likely to buy cartons. Gender and age were also related to type of purchase behaviours. Those behaviours led to reductions

  4. Chinese Smokers’ Cigarette Purchase Behaviors, Cigarette Prices and Consumption: Findings from the ITC China Survey

    Science.gov (United States)

    Huang, Jidong; Zheng, Rong; Chaloupka, Frank J.; Fong, Geoffrey T.; Li, Qiang; Jiang, Yuan

    2014-01-01

    Background While cigarette purchasing behavior has been shown to be linked with certain tobacco use outcomes such as quit intentions and quit attempts, there have been very few studies examining cigarette purchasing behaviors and their impact on cigarette price and consumption in China, the world’s largest cigarette consumer. Objective The goal of this study is to examine the extent and determinants of cost/price-related purchase behaviors, and estimate the impact of these behaviors on cigarette prices paid by Chinese smokers. It also assesses the socio-economic differences in compensatory purchase behaviors, and examines how they influence the relationship between purchase behaviors, cigarette prices, and cigarette consumption. Methods Multivariate analyses using the general estimating equations (GEE) method were conducted using data from the International Tobacco Control China Survey (the ITC China Survey), a longitudinal survey of adult smokers in seven cities in China: Beijing, Changsha, Guangzhou, Kunming, Shanghai, Shenyang, and Yinchuan. In each city, about 800 smokers were surveyed in each wave. The first three waves - Wave 1 (conducted between March to December 2006), Wave 2 (November 2007 to March 2008) and Wave 3 (May to October 2009 and February to March 2010) - of the ITC China Survey data were used in this analysis. Various aspects of smokers’ self-reported price/cost-related cigarette purchasing behaviors were analyzed. Findings Nearly three-quarters (72%) of smokers surveyed indicated that a major reason they chose their most-used cigarette brand was its low cost/price. Almost half (50.6%) of smokers reported buying in cartons in their most recent cigarette purchase. Smokers with lower income and/or low levels of education were more likely to choose a brand because of its low cost/price. However, those with higher income and/or high levels of education were more likely to buy cartons. Gender and age were also related to type of purchase

  5. The sensitivity of capital services measurement : Measure all assets and the cost of capital

    NARCIS (Netherlands)

    Inklaar, R.

    The measurement of capital inputs is still a contentious issue: many choices have to be made that have potentially large effects on the resulting capital input series. This paper compares a large number of methodological choices and their impact on U.S. capital services at the industry and aggregate

  6. Towards Ontology as Knowledge Representation for Intellectual Capital Measurement

    Science.gov (United States)

    Zadjabbari, B.; Wongthongtham, P.; Dillon, T. S.

    For many years, physical asset indicators were the main evidence of an organization’s successful performance. However, the situation has changed after information technology revolution in the knowledge-based economy. Since 1980’s business performance has not been limited only to physical assets instead intellectual capital are increasingly playing a major role in business performance. In this paper, we utilize ontology as a tool for knowledge representation in the domain of intellectual capital measurement. The ontology classifies ways of intangible capital measurement.

  7. The Effects Of International Integration On Cost Of Equity: Application Of Turkey’s Tourism Sector

    OpenAIRE

    Demir, Sezgin; Kaderli, Yasemin Coşkun

    2015-01-01

    In this paper, the cost of equities of the companies listed in the BISTTRZM index in BORSAİSTANBUL were computed by using models which are based on the Capital Asset Pricing Model (CAPM). The results of models using local data were compared with the results of models using global data. Thus the effect of Turkey’s integration of international capital market on the cost of equity was measured. Local and Global Capital Asset Pricing Model (CAPM), Multifactor Global CAPM, Bekaert – Harvey Mixtur...

  8. 42 CFR 412.302 - Introduction to capital costs.

    Science.gov (United States)

    2010-10-01

    ... 42 Public Health 2 2010-10-01 2010-10-01 false Introduction to capital costs. 412.302 Section 412... Inpatient Hospital Capital Costs General Provisions § 412.302 Introduction to capital costs. (a) New capital... revision of the debt instrument. (iii) If short-term financing was used to acquire old capital assets and...

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

    NARCIS (Netherlands)

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

    2015-01-01

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

  10. 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)

  11. Asset management techniques

    Energy Technology Data Exchange (ETDEWEB)

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

    2006-11-15

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

  12. Los Modelos CAPM y APT para la valuacion de empresas de Telecomunicaciones con parametros operativos

    Directory of Open Access Journals (Sweden)

    Saldaña, J.

    2007-07-01

    Full Text Available One of the most important research topics in the financial area during de the last years has been the capital assets appraisal or the appraise of shares. This seeks two determine the explanatory factor of the rate of return for a specific portfolio. The CAPM (Capital Asset Pricing Model and the APT (Arbitrage Pricing Theory, both capital asset evaluation models, are hereby presented. The main characteristics of both models are the essential assumptions for their for there development, their statement and the practical test on the telecommunications portfolio using operational, financial and macroeconomics variable, and carried on with the purpose to be compare with reality.

  13. Modelo de Precificação de Capital: Segmento de Commodities Agrícola

    Directory of Open Access Journals (Sweden)

    TÁCITO AUGUSTO FARIAS

    2014-12-01

    Full Text Available O objetivo do artigo é a aplicação do modelo de precificação de ativos conhecido na literatura de economia financeira como CAPITAL ASSET PRICING MODEL – MODELO DE PRECIFICAÇÃO DE ATIVOS DE CAPITAL, utilizando como ferramentas os balanços patrimoniais das empresas selecionadas. Brasil Ecodiesel indústria e comercio de biocombustíveis e óleos vegetais s.a. (v-agro e SLC Agrícola s.a. no período relativo ao ano de 2009 e 2010. Resultado fundamental: ambas as empresas no período em estudo apresentaram um beta inferior a 1, ou seja, risco menor que o risco do mercado. Descrevemos alguns resultados estatísticos que mostram o comportamento de ambas as empresas do setor de frigorifico. 

  14. 12 CFR 567.10 - Consequences of failure to meet capital requirements.

    Science.gov (United States)

    2010-01-01

    ...; and (5) The savings association's ratio of core capital to total assets is not less than the ratio..., the leverage ratio requirement, or the tangible capital requirement established under this part, the... expenditures to specified levels; (9) Increase liquid assets and maintain such increased liquidity at specified...

  15. Simulation of current pricing-tendencies in the German electricity market for private consumption

    International Nuclear Information System (INIS)

    Mueller, Moritz; Sensfuss, Frank; Wietschel, Martin

    2007-01-01

    The German electricity market for private consumption is characterized by increasing prices and low participation of the consumers. This prompts us to investigate the interdependencies between the customers' engagement in the market and the suppliers' pricing strategies. Based on an analysis of the German retail market, an agent-based simulation model is developed. Whereas the behaviour of private customers is calibrated on field data, the suppliers learn to maximize profits with a feedback-learning heuristic. The simulation results show a tendency of rising prices, which are created without the assumption of tacit collusion among suppliers. We conclude that in Germany the current market pressure of private customers may not be a sufficient incentive for suppliers to lower electricity prices. (author)

  16. A study of the improvement of the district heat price cap system

    Energy Technology Data Exchange (ETDEWEB)

    Yoo, S.J. [Korea Energy Economics Institute, Euiwang (Korea)

    2001-11-01

    This study proposes revision of the price cap mechanism applied to the district heating company, which was introduced in 1999. The revision aims at the provision of the incentives to lower the production cost to the heat producers and preventing the monopoly price from being charged to the consumer. It is proposed to extend the application period of the price cap to 3 or 5 years. 3 year application period is recommended because of lack of the experiences of the price cap mechanism and information of its performance in the public utility industries in Korea. The calculation of the price cap is better to be set based upon the minimum of the full cost of heat production in the last year of the previous application periods or the prices actually charged to the consumer during the previous application period. As the opportunity cost of the equity capital, the interest rate of the 5 year government bond or the actual interest cost of the debt financed capital is recommended to increase the share of the equity capital and to reflect the investment risk of the district heating industry. Production efficiency index applicable to the district heating company is estimated with 3 different methods. Among three different results, 3% is the first choice from a conservative perspective. It is also recommended to adjust production efficiency index as the data are accumulated and to be implemented with a profit sharing mechanism between the consumer and the monopoly supplier. In application of the price index, producer price index is applicable if the price cap is calculated from the full production cost. consumer price index is applicable if the price cap is set from the previous year's actual district heat prices (tariffs). Transfer of the ownership either by transferring stocks or by asset selling could affect the price cap determined by the full cost of the district heat production. In order to keep the consumer's welfare from being decreased, it is necessary to set

  17. The prospective impact of food pricing on improving dietary consumption: A systematic review and meta-analysis.

    Science.gov (United States)

    Afshin, Ashkan; Peñalvo, José L; Del Gobbo, Liana; Silva, Jose; Michaelson, Melody; O'Flaherty, Martin; Capewell, Simon; Spiegelman, Donna; Danaei, Goodarz; Mozaffarian, Dariush

    2017-01-01

    While food pricing is a promising strategy to improve diet, the prospective impact of food pricing on diet has not been systematically quantified. To quantify the prospective effect of changes in food prices on dietary consumption. We systematically searched online databases for interventional or prospective observational studies of price change and diet; we also searched for studies evaluating adiposity as a secondary outcome. Studies were excluded if price data were collected before 1990. Data were extracted independently and in duplicate. Findings were pooled using DerSimonian-Laird's random effects model. Pre-specified sources of heterogeneity were analyzed using meta-regression; and potential for publication bias, by funnel plots, Begg's and Egger's tests. From 3,163 identified abstracts, 23 interventional studies and 7 prospective cohorts with 37 intervention arms met inclusion criteria. In pooled analyses, a 10% decrease in price (i.e., subsidy) increased consumption of healthful foods by 12% (95%CI = 10-15%; N = 22 studies/intervention arms) whereas a 10% increase price (i.e. tax) decreased consumption of unhealthful foods by 6% (95%CI = 4-8%; N = 15). By food group, subsidies increased intake of fruits and vegetables by 14% (95%CI = 11-17%; N = 9); and other healthful foods, by 16% (95%CI = 10-23%; N = 10); without significant effects on more healthful beverages (-3%; 95%CI = -16-11%; N = 3). Each 10% price increase reduced sugar-sweetened beverage intake by 7% (95%CI = 3-10%; N = 5); fast foods, by 3% (95%CI = 1-5%; N = 3); and other unhealthful foods, by 9% (95%CI = 6-12%; N = 3). Changes in price of fruits and vegetables reduced body mass index (-0.04 kg/m2 per 10% price decrease, 95%CI = -0.08-0 kg/m2; N = 4); price changes for sugar-sweetened beverages or fast foods did not significantly alter body mass index, based on 4 studies. Meta-regression identified direction of price change (tax vs. subsidy), number of intervention components, intervention

  18. 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

  19. Prices, technology development and the rebound effect

    International Nuclear Information System (INIS)

    Birol, F.; Keppler, J.H.

    2000-01-01

    Energy efficiency is the critical parameter for policies that aim at reducing energy consumption while maintaining or even boosting economic growth. The two main options to influence energy efficiency are changes in relative prices, i.e., raising the price of energy through economic instruments, or to introduce new technologies which increase the productivity of each unit of energy. This paper is based on the notion that in an equilibrium economy the marginal economic productivity is identical for all factors, i.e., energy, labour, knowledge and capital. From this premise two main conclusions can be drawn. First, any change in price or technology will have an impact on the whole economy by creating feedbacks through the substitution of factors of production and goods, as well as increased wealth. Second, the two policy approaches, changing relative prices and technology development, are not opposite to each other. They are the two faces of the same reality and should be developed and promoted simultaneous and consistently. (Author)

  20. The impact of asset repurchases and issues in an experimental market

    NARCIS (Netherlands)

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

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

  1. Human Capital in the Entrepreneurship Ecosystem

    DEFF Research Database (Denmark)

    Østergaard, Annemarie; Marinova, Svetla Trifonova

    2018-01-01

    Since Adam Smith (1776) took consideration to human capital as an asset of economic value, academic interest has focused on the economic effects of human capital. In 1931, Schumpeter called for a focus on the individual entrepreneur or the creative destructor with his/her motives, wishes, aspirat......Since Adam Smith (1776) took consideration to human capital as an asset of economic value, academic interest has focused on the economic effects of human capital. In 1931, Schumpeter called for a focus on the individual entrepreneur or the creative destructor with his/her motives, wishes......, aspirations and activities when dealing with entrepreneurship and entrepreneurs. Along these lines, this paper focuses on an in-depth investigation of the domain of human capital in Isenbergs Entrepreneurship Ecosystem. It captures the entrepreneurial mindset of the highly complex individual as a requisite...... for entrepreneurial success and ultimately, for business growth and development. The increasing literature debating human capital confirms the relevance of locating and refining the factors for entrepreneurial success. Consequently, this paper improves the roadmap of Entrepreneurship Ecosystems by adding the innate...

  2. The development in energy consumption, price sensitivity and allocation of power; Utviklingen i stroemforbruket, prisfoelsomheten og stroemmarkedet

    Energy Technology Data Exchange (ETDEWEB)

    Halvorsen, Bente

    2012-11-15

    This report discusses the development in energy consumption in households, service industries, primary industries and other small industries, both in the short run (hour to hour, day by day) and over a longer period, back to the 1960. The report discusses the main driving forces behind this development, as well as the demand price sensitivity and its role in the allocation of power between customers and over time. The analysis shows that for the short-term fluctuations in consumption from hour to hour, the temperature of the main driver, while price changes have less influence. For the long-term trend, however, changes in relative energy prices are a key driver, along with population and income growth. Even if the short term price sensitivity is low for end-users, it may still have a big influence on the short-term clearance of the market (from hour to hour), as it affects the short term price sensitivity in the spot market. The long-term price elasticities in the retail markets is more important for determining consumption over a time period, and is important in allocating energy resources over time in the spot market, e.g. over the winter months. Empirical analyses show that the Norwegian demand responds to price changes, both in the short term in the spot market and in the longer term in the retail market. It takes a few weeks before the price signals from spot market affects the consumer prise for most end-users, but by then, most of the price signal has been transmitted. It also follows from the analysis that it is important to let prices vary between regions of the market in the event of scarcity, so customers in regions where shortages occur, have the incentive to change their demand. The faster these price signals affect consumer prices, the more efficient the market will be able to handle a tight power situation.(Author)

  3. The Effect of Price and Socio-Economic Level on the Consumption of Sugar-Sweetened Beverages (SSB): The Case of Ecuador.

    Science.gov (United States)

    Paraje, Guillermo

    2016-01-01

    The objective of this article is to estimate the own-price, cross-price and income elasticities of demand for SSB in Ecuador, as an indispensable step for predicting a reduction in the consumption of said beverages caused by the potential implementation of taxes in Ecuador. In addition, the own-price, cross-price and income elasticities of sugar-free substitutes like mineral water and diet soft drinks and juices are also estimated. The data from the 2011-2012 ENIGHUR, which contains detailed information on household consumption and socioeconomic variables, was used. The estimates are done using Deaton's Almost Ideal Demand System (AIDS) which accounts for differences in the quality of goods purchased. This demand system is estimated for different socio-economic groups, according to total household expenditure. The results reveal own-price elasticities for SSB between -1.17 and -1.33 depending on the socio-economic group, in line with the existing evidence for developed countries. Own-price elasticity for non-SSB is between -1 and -1.24. Income elasticities reveal that both SSB and non-SSB are normal goods with elasticities decreasing for higher socio-economic groups. These results show that the consumption of SSB is sensitive to price changes, meaning that the implementation of taxes on said beverages could be effective in reducing their consumption. The fact that non-SSB are also sensitive to price changes would indicate that subsidies could be implemented for the production of some of them.

  4. Estimation of demand response to energy price signals in energy consumption behaviour in Beijing, China

    International Nuclear Information System (INIS)

    He, Y.X.; Liu, Y.Y.; Xia, T.; Zhou, B.

    2014-01-01

    Highlights: • Demand response to energy price signals in energy consumption in Beijing is studied. • The electricity price is of great importance to Beijing’s energy market stability. • Industrial sectors have a large electricity self-elasticity and cross-elasticity. • When consuming electricity, customers pay more attention to natural gas price. • Analysis of demand response to energy price can provide guidance to energy policies. - Abstract: The energy price system in Beijing has not fully exploited customers’ price elasticity, and has a negative impact on achieving the goals of energy saving. This paper analyses the response behaviours of different customers to typical energy prices. As for electricity self-elasticity, the range of the primary, secondary, tertiary industry and residents are −0.026 to −0.033, −0.045 to −0.059, −0.035 to −0.047 and −0.024 to −0.032, respectively. As regards self-elasticity on coal, the range of the primary, secondary, tertiary industry and residents are −0.030 to −0.037, −0.066 to −0.093, −0.055 to −0.072 and −0.034 to −0.051, respectively. The self-elasticities on oil and natural gas are very weak. As for cross-elasticity, when consuming electricity and oil, customers mainly focus on the prices of natural gas, which are 0.185 and 0.112. When consuming coal and natural gas, customers are concerned about the electricity prices, and their cross-elasticities are 0.03 and 0.36, respectively. The estimation of demand response to energy price signals in energy consumption behaviours can provide a decision support for formulating rational energy price policies

  5. A Model for Resource Allocation Using Operational Knowledge Assets

    Science.gov (United States)

    Andreou, Andreas N.; Bontis, Nick

    2007-01-01

    Purpose: The paper seeks to develop a business model that shows the impact of operational knowledge assets on intellectual capital (IC) components and business performance and use the model to show how knowledge assets can be prioritized in driving resource allocation decisions. Design/methodology/approach: Quantitative data were collected from 84…

  6. 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...

  7. 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.

  8. 12 CFR 932.5 - Market risk capital requirement.

    Science.gov (United States)

    2010-01-01

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

  9. 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

  10. Protective interest rate as tax instrument of corporate capital protection

    Directory of Open Access Journals (Sweden)

    Vukašinović Jovan

    2015-01-01

    Full Text Available This paper deals with researching negative consequences of allocation of economic (virtual gains made as a result of conventional accounting concept by facing current income with historical expenses and necessity to promote additional stimulating instruments that are at disposal by the state in order to eliminate these negative consequences. one of them is certainly protective interest as a relatively new active fiscal instrument of capital protection and recognition of price of invested owner's equity in business ventures, i.e. a specific form of compensation by the state for invested capital bearing in mind, that no source is free, including ones own sources. We also showed mechanisms of protective interest which, together with other measures of macroeconomic policy, should contribute to the protection of real purchasing power of company equity and increase of net gain, left on company's disposal for new investments, new work places, more money in the budget, protection of actual assets against taxing in the conditions of inflation, etc.

  11. 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

  12. INTANGIBLE ASSETS THROUGH THE COHESION POLICY

    Directory of Open Access Journals (Sweden)

    Popescu (Stingaciu Ana-Maria

    2012-07-01

    Full Text Available INTANGIBLE ASSETS THROUGH THE COHESION POLICY Roth Anne-Marie-Monika West University of Timisoara Faculty of Economics and Business Administration Popescu (Stingaciu Ana-Maria West University of Timisoara Faculty of Economics and Business Administration Intangible assets in general and intellectual capital in particular are important to both society and organizations. It can be a source of competitive advantage for business and stimulate innovation that leads to wealth generation. Technological revolutions, the rise of the knowledge-based economy and the networked society have all led to the same conclusion that intangibles and how they contribute to value creation have to be appreciated so that the appropriate decisions can be made to protect and enhance them. The Cohesion Policy represents the main EU measure to ensure a balanced and sustainable growth in Europe by promoting harmonious development and reducing the regional disparities. The general objective of the paper is to highlight the important role of the Cohesion Policy in the development of intangible assets. The objectives and the instruments of the Cohesion Policy are designed to support programs on regional development, economic change, enhanced competitiveness and territorial cooperation through the European Union, to develop human resources and employability. Keywords: intangible assets, intellectual capital, Cohesion policy, development; JEL Classification: O43, G32, D24, O34

  13. 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.

  14. 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

    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...... is tested, but in addition to the standard bilinear term in factor loadings and market prices of risk, the relevant mean restriction in the term structure case involves an additional nonlinear (quadratic) term in factor loadings. We estimate our general model using likelihood-based dynamic factor model...... techniques for a variety of volatility factors, and implement the relevant likelihood ratio tests. Our factor model estimates are similar across a general state space implementation and an alternative robust two-step principal components approach. The evidence favors time-varying market prices of risk. Most...

  15. Figuring what’s fair: The cost of equity capital for renewable energy in emerging markets

    International Nuclear Information System (INIS)

    Donovan, Charles; Nuñez, Laura

    2012-01-01

    The appropriate cost of capital for a renewable energy project depends upon an accurate measure of investment risk. Employing the conceptual framework of a commonly accepted asset pricing model, we analyze the risk faced by renewable energy investors in large emerging markets. We find that firms in Brazil, China and India expose multinational investors to the same risk as investing in emerging markets generally. The risk to domestic investors in those same firms ranges from substantially below-average to above-average, depending upon the country. The results are robust across several model versions and statistical techniques. With an eye toward government efforts to encourage the deployment of renewable energy in developing countries, we establish a range of estimates for the required return on equity capital in this fast-growing and politically important economic sector.

  16. Modeling Residential Water Consumption in Amman: The Role of Intermittency, Storage, and Pricing for Piped and Tanker Water

    Directory of Open Access Journals (Sweden)

    Christian Klassert

    2015-07-01

    Full Text Available Jordan faces an archetypal combination of high water scarcity, with a per capita water availability of around 150 m3 per year significantly below the absolute scarcity threshold of 500 m3, and strong population growth, especially due to the Syrian refugee crisis. A transition to more sustainable water consumption patterns will likely require Jordan’s water authorities to rely more strongly on water demand management in the future. We conduct a case study of the effects of pricing policies, using an agent-based model of household water consumption in Jordan’s capital Amman, in order to analyze the distribution of burdens imposed by demand-side policies across society. Amman’s households face highly intermittent piped water supply, leading them to supplement it with water from storage tanks and informal private tanker operators. Using a detailed data set of the distribution of supply durations across Amman, our model can derive the demand for additional tanker water. We find that integrating these different supply sources into our model causes demand-side policies to have strongly heterogeneous effects across districts and income groups. This highlights the importance of a disaggregated perspective on water policy impacts in order to identify and potentially mitigate excessive burdens.

  17. 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)

  18. How do electricity consumption excluding power intensive manufacturing, react on changes in the spot price?; Hvordan reagerer stroemforbruket i alminnelig forsyning paa endringer i spotpris?

    Energy Technology Data Exchange (ETDEWEB)

    Holstad, Magne; Pettersen, Finn Erik L.

    2011-05-15

    The purpose of this report is to analyse how electricity consumption excluding power intensive manufacturing will react on changes in the spot price on the basis of monthly data of the period 1996-2010 and an econometric error correction model. General consumption accounts for approximately 70 percent of the total net consumption of electricity in Norway. Households, services and other manufacturing than the power intensive account for the majority of this consumption. In order to estimate the net effect of the spot price on general electricity consumption, it is important to control for other variables that also affect the consumption. Since much of the electricity in general consumption is used for heating, one obvious and important explanatory variable is temperature. In addition to electricity price and temperature we assume that general consumption also depends on economic activity, price on light heating oil, the share of working days in the current month and a summer holiday dummy. In the consumption equation price can not be considered as an exogenous explanatory variable, since consumption affects price and vice versa. Hence, we have added a price equation that can be considered as an inverted supply equation. Both the consumption and the supply equation are specified dynamically in order to allow for slow adjustment of supply and consumption. The two equations of the model are estimated by two stage least square (2SLS). Full information maximum likelihood (FIML) is the most efficient estimation method in large samples, but a crucial assumption for consistent FIML-estimation is that the disturbance terms are normally distributed. A Jarque-Bera test of the error terms does not support this assumption in our data. R2 in the consumption equation is high. 96 per cent of the variation in the relative change in consumption is explained. In the price equation R2 is considerably lower. We find that if the spot price for Norway increases by 1 percent from one month

  19. The role of intangible assets in the regional economic growth

    Directory of Open Access Journals (Sweden)

    Jordi Suriñach

    2011-01-01

    Full Text Available This paper is the summary of the IAREG (Intangible Assets and RegionalEconomic Growth European project, which analyzed the role of intangibleassets (IA on regional economic growth. We focused on some of the most relevantintangible assets, for which statistical information is available and where the consortiumhad more expertise. Consequently, in this paper we put special attentionin four big factors: knowledge capital, human capital, social capital and entrepreneurshipcapital. Additional to the main characteristics of each of these IA (relatedwith their measurement and their effects on regional economic growth, we alsoanalyzed the ensemble effects of these IA over the location of firms. For each asset,we describe its main characteristics, the indicators for its measuring and its limitations,as well as the main results associated to its impact on regional growth. Wemust outline that in order to improve the analysis of the effects of the IA in regionaleconomic growth it is necessary to develop more and better databases. We presentsome thoughts in this respect, based on our research experience. Finally, we givesome policy implications and recommendations.

  20. THEORETICAL ASPECTS REGARDING THE VALUATION OF INTANGIBLE ASSETS

    Directory of Open Access Journals (Sweden)

    HOLT GHEORGHE

    2015-03-01

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