In 1950 Markowitz first formalized the portfolio optimization problem in terms of mean return and variance. Since then, the mean-variance model has played a crucial role in single-period portfolio optimization theory and practice. In this paper we study the optimal portfolio selection problem in a multi-period framework, by considering fixed and proportional transaction costs and evaluating how much they affect a re-investment strategy. Specifically, we modify the single-period portfolio optimization model, based on the Conditional Value at Risk (CVaR) as measure of risk, to introduce portfolio rebalancing. The aim is to provide investors and financial institutions with an effective tool to better exploit new information made available by the market. We then suggest a procedure to use the proposed optimization model in a multi-period framework. Extensive computational results based on different historical data sets from German Stock Exchange Market (XETRA) are presented.

This paper explores the effects of deregulation and globalization on the dominant mode of corporate governance in Swedish public firms. The effects are multidimensional-the direction of change in corporate governance cannot be determined by simply examining whether a convergence towards the Anglo-American model is occurring. Dispersed ownership with management control has not proven to be a viable model of corporate governance for Swedish listed companies. Instead, the control models with the most rapid growth in the most recent decades are found outside the stock market, notably private equity and foreign ownership. After a major revival of the Swedish stock market its importance for the Swedish economy is again in decline. Instead of adjustments in pertinent institutions and practices to ensure effectiveness of the corporate governance of Swedish public firms under these new conditions, a great deal of endogenous adjustment of the ownership structure has taken place. A major lesson from this study is that unless institutional reform renders management entrenchment and/or board independence possible, convergence to the Anglo-American model cannot take place.

Purchased order flow refers to the practice of dealers or trading locales paying brokers for retail order flow. It is alleged that such agreements are used to "cream skim" uninformed liquidity trades, leaving the information-based trades to established markets. We develop a test of this hypothesis, using a model of the stochastic process of trades. We then estimate the model for a sample of stocks known to be used in order purchase agreements that trade on the New York Stock Exchange (NYSE) and the Cincinnati Stock Exchange. Our main empirical result is that there is a significant difference in the information content of orders executed in New York and Cincinnati, and that this difference is consistant with cream-skimming.

In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in this paper considers two sources of uncertainty allowing both the underlying stock and the consumer-price-index to be stochastic and incorporates credit risk in the analysis. We approximate the pricing equations by using a Rubinstein (1994) three-dimensional binomial tree, and we describe the numerical solution. We investigate the sensitivity of the theoretical values with respect to the characteristics of the issuer, the economic environment and the security s characteristics (number of principal payments). Moreover, we demonstrate the usefulness and the limitations of the pricing model by using inflation-indexed and foreign-currency linked convertibles traded on the Tel- Aviv stock exchange.

The purpose of this paper is to investigate random walk in HongKong stock exchange. The unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. For two indexes, the null hypothesis of random walk is rejected and therefore the markets are no weak-form efficiency.

The purpose of this research is to test the effect of insider ownership, institutional investor, dividen payments, and firm growth to corporate debt policy, using 42 manufacturing companies listed in Bursa Efek Jakarta during 1999-2002. The statistical method used in this research is multiple regression. Result indicate that all variables influence the debt policy simultaneously in the amount 29,4%. Individually, insider ownership variable does not have significant influence towards debt policy, then institutional earning, dividen payments, and firm growth variables have significant influence but towards debt policy.

The International Accounting Standards Board has as its mission the development of a singlet set of high quality standards to be applied consistently by companies globally. The purpose of this paper is to examine the implementation process to integrate IFRS in the smaller and developed countries of Denmark, Ireland and New Zealand. The paper examines the enablers for successful IFRS implementation, namely, Legislative changes, Accounting profession, Stock exchanges, Enforcement, Early adopters in 2004, and Adopters in 2005. An examination of the top 30 companies’ annual reports for the three countries was made to test for voluntary compliance of IFRS in 2004 and mandatory compliance in 2005. The results show that Denmark is the only country with early adopters in 2004. All 30 Danish companies complied in 2005, with 24 in Ireland, and 9 in New Zealand.

The three feature articles in this issue were written before the tragic events of September 11. The delays at our borders with both Mexico and Canada subsequent to September 11 underscore the thrust of the article on U.S.-Mexico trade. And the sharp decline in stock prices the week of September 17, when the markets reopened, reinforces John Duca's conclusion that the stock market plays a very important role in the U.S. economy.

The problem of selecting a portfolio has been largely faced in terms of minimizing the risk, given the return. While the complexity of the quadratic programming model due to Markowitz has been overcome by the recent progress in algorithmic research, the introduction of linear risk functions has given rise to the interest in solving portfolio selection problems with real constraints. In this paper we deal with the portfolio problem with minimum transaction lots. We show that in this case the problem of ®nding a feasible solution is, independently of the risk function, NP-complete. Moreover, given the mixed integer linear model, new heuristics are proposed which starting from the solution of the relaxed problem allow to ®nd a solution close to the optimal one. The algorithms are based on the construction of mixed integer subproblems (using only a part of the securities available) formulated using the information obtained from the solution of the relaxed problem. The heuristics have been tested with respect to two disjoint time periods, using real data from the Milan Stock Exchange. Ó

The main objective of this paper is to investigate the relation between the foreign ownership and firm performance. The study was conducted for the companies listed on Bucharest Stock Exchange, in the first, second and third categories. The financial companies and the credit institutions were excluded from the sample. The final sample included 63 companies. Return on Assets and Return on Equity are used for measuring the financial and economic performance of the firm. The foreign ownership is measured by the percentage of shares held by foreign investors. Econometric tools like linear regression analysis are used for analysis. The results of the study suggest that there is no significant link between firm performance and the existence of foreign capital.

Purpose -To investigate whether a stock split is still considered a policy that creates value for the underlying company and the rationale behind such action for companies listed on the NASDAQ. Design/methodology/approach -The event study methodology of Strong is employed to examine the announcement effect of stock splits on stock prices. Findings -The results indicate a positive market reaction at the stock split announcement and that the liquidity hypothesis explains well the rationale for the stock splits.

Inflation means a persistent change in the price level of goods and services in an economy. It is generally measured in the consumer price index (CPI) or retail price index (RPI). Inflation reduces the purchasing power of a country's currency, as we need more units of currency over time to buy the same goods and services. The current empirical paper entitled “relationship between inflation and stock market evidence from selected global stock markets” have been undertaken with an intention to investigate the relationship between inflation and stock returns of the chosen economies. In order to realize the stated objectives, the researchers have collected the monthly data 2000 to 2017 for selected indices. In the first phase, log returns were computed and it has been tested for the existence of unit root in the distribution. In the second phase, we ran Pearson correlation coefficient for the collected data to find out the association between the inflation and stock returns. Majorit...

The benefits of listing a company's stock on a foreign exchange to achieve better global market integration have been quite extensively examined. What has been overlooked in the finance literature is an attempt to explain why the New York Stock Exchange (NYSE) tends to be bypassed in favor of the London market and other exchanges when firms select foreign exchanges for listing. This paper explains the behavior of firms in their selection of foreign stock markets for listing by using a signalling model. Another purpose of this study is to address the current dispute between the NYSE and the Securities and Exchange Commission (SEC) regarding the desire of the NYSE to relax its registration requirements in order to gain more listings by foreign companies.

The hedging of contingent claims in the discrete time, discrete state case is analyzed from the perspective of modeling the hedging problem as a stochastic program. Application of conjugate duality leads to the arbitrage pricing theorems of financial mathematics, namely the equivalence of absence of arbitrage and the existence of a probability measure that makes the price process into a martingale. The model easily extends to the analysis of options pricing when modeling risk management concerns and the impact of spreads and margin requirements for writers of contingent claims. However, we find that arbitrage pricing in incomplete markets fails to model incentives to buy or sell options. An extension of the model to incorporate pre-existing liabilities and endowments reveals the reasons why buyers and sellers trade in options. The model also indicates the importance of financial equilibrium analysis for the understanding of options prices in incomplete markets.

Forecasting stock exchange rates is an important financial problem that is receiving increasing attention. During the last few years, a number of neural network models and hybrid models have been proposed for obtaining accurate prediction results, in an attempt to outperform the traditional linear and nonlinear approaches. This paper evaluates the effectiveness of neural network models; recurrent neural network (RNN), dynamic artificial neural network (DAN2) and the hybrid neural networks which use generalized autoregressive conditional heteroscedasticity (GARCH) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) to extract new input variables. The comparison for each model is done in two view points: MSE and MAD using real exchange daily rate values of Istanbul Stock Exchange (ISE) index XU10).

This paper analyzes takeovers of dual class companies listed on the Toronto Stock Exchange over the period 1976 to 1989. It finds support for the hypothesis that despite the evidence that restricted shares sell at a discount compared to superior voting shares, takeover returns are the same for both classes of shares. Secondly, it tests the hypothesis that the classification of common equity into two classes confers differential takeover value on controlling shareholders and find that superior voting shares of dual class firms experience higher returns during takeovers than do shares of single class firms.

Biodiesel, as an alternative fuel, is gradually receiving more popularity for use in internal combustion engines. However questions continue to arise with regard to its compatibility with elastomeric materials. The present work aims to investigate the comparative degradation of physical properties for different elastomers [e.g. ethylene propylene diene monomer (EPDM), silicone rubber (SR), polychloroprene (CR), polytetrafluroethylene (PTFE) and nitrile rubber (NBR)] upon exposure to diesel and palm biodiesel. Static immersion tests in B0(diesel), B10 (10% biodiesel in diesel), B20, B50 and B100(biodiesel) were carried out at room temperature (25 °C) for 1000 h. Different physical properties like, changes in weight and volume, hardness and tensile strength were measured at every 250 h of immersion time. Compositional changes in biodiesel due to exposure of different elastomers were investigated by Gas chromatography mass spectroscopy (GCMS). The overall sequence of compatible elastomers in palm biodiesel is found to be PTFE > SR > NBR > EPDM > CR.

http://www.sciencedirect.com/science/article/pii/S0360544210007139

This paper represents a study of neural network ensembles for stock price trend prediction. The historical data available in this case study are from Kharg petrochemical company in TSE (Tehran stock Exchange). This company is a big producer of petrochemicals, including methanol, in Iran and its stock price is very much dependent on world methanol price. The results show how neural network ensembles can overcome just a Multilayered Perceptrons (MLPs), as a Non-parametric combinatorial forecasting method. This study also demonstrates how we can bit the market without the use of extensive market data or knowledge.

This paper introduces and analyzes a model of supervised work group where subordinates decide how to exert their effort in complementary tasks while the supervisors decide incentives. Incentives may be a combination of individual and group-based ones. The optimality of incentives is analyzed when considering two different cost functions for subordinates. The two cost functions describe different individual motivations; comparing the resulting effort allocations and production optimality, we can relate them to different organizational theories. Our results provide a measure of how motivation among subordinates may affect production and incentives. Furthermore, the optimal incentives schemes are examined in terms of Adams' equity theory.

This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility observed during the post-recession outbreak period, whereas no substantial difference in returns between two periods is found. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the post-recession period. Our results establish the dominance of global factors in influencing Indian stock market behavior during periods of economic turmoil.

In this paper, we summarizing published research that presents direct measure the quality and success of corporate governance systems by computing the level of private benefits enjoyed by insiders and influence of institutions which help shareholders to limit the diversion of wealth by insider or controlling shareholders. Based on 393 control transactions that took place between 1990 and 2000, we found that control premiums averaged 14% of the equity value of a firm. As in other studies, we found considerable cross country variation in the premiums, with 14 countries having average premiums of less than 3% and 10 countries with premiums of 25% or more (including Brazil, with an average premium of 65%).

Due to its importance for the investment decision-making and risk management, describing and predicting stock represents a key topic in stock analysis. Stock or shares are valued and analyzed by stock investors using fundamental analysis and technical analysis. Stock investors describe and predict stock manually based on individual experiences. Employing manual procedure in analyzing stock, most especially technical analysis is always very cumbersome and inefficient; because of much time that is consumed in examining the past records of a respective firm, an investor is willing to invest in. This paper presents a better way of describing and predicting stock, especially technical analysis, by employing data mining techniques. A database was developed employing 360 records of daily activity summary (equities) and 78 records of weekly activity summary (equities) spanning through 18 months that is, from January 2007 to June 2008. These data were obtained from the daily official list of the prices of all shares traded on the stock exchange published by the Nigerian Stock Exchange being the financial institution that runs Nigerian stock market; using banking sector of Nigerian economy with three banks namely:-First Bank of Nigeria Plc, Zenith Bank Plc, and Skye Bank Plc. A data mining software tool was developed and employed in identifying patterns and relationships from the database to generate new knowledge about the data set in the database through the use of data mining techniques that employ regression analysis.

Forecasting stock price or stock index is an important financial subject that has attracted researchers' attention for many years. In this paper, we put forward a new method called HLP as data preprocessing to process the stock data. By HLP method we can get the stock high low point with different frequency and amplitude. The extracted data describes the feature of stock price movement. After that we construct ANN models to forecast the stock movement direction and price. The HLP method and ANN models give assistance to investors.

This study aims to investigate the effect of business strategy and corporate governance on maintaining cash balance policies in companies listed on the Tehran Stock Exchange. Accordingly, the annual data of 108 listed companies on the Tehran Stock Exchange during 2011 to 2019, unit root panel tests of Im, Pesaran, and Shim and Levin–Lin–the Chu was used. In addition, the f test was used to select one of the panel data and pooled data methods, and the Hausman test was used to select one of the fixed effects and random-effects models. This study showed that the company's strategy had a negative and significant effect on the cash balance of listed companies on the Tehran Stock Exchange. Thus, it can be stated that with increasing the company's prospector business strategies, the need for investment and innovation in the company will increase. Accordingly, companies' cash balance will decrease. Also, with an increase in the proportion of non-executive members on the board, t...

One of the issues that the Basel Accord highlighted was that though techniques for estimating the probability of default and hence the credit risk of loans to individual consumers are well established, there were no models for the credit risk of portfolios of such loans. Motivated by the reduced form models for credit risk in corporate lending, we will seek to exploit the obvious parallels between behavioural scores and the ratings ascribed to corporate bonds to build consumer lending equivalents. We incorporate both consumer specific ratings and macroeconomic factors in the framework of Cox Proportional Hazard models. Our results show that default intensities of consumers are significantly influenced by macro factors. Such models then can be used as the basis for simulation approaches to estimate the credit risk of portfolios of consumer loans.

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first extensive study of the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model. For out-of themoney options, the ANN is clearly superior to Black-Scholes. For in-the-money options, if the sample space is restricted by excluding deep in-the-money and long maturity options (3.4% of total volume), the performance of the ANN is comparable with that of Black-Scholes. The superiority of the ANN is a surprising result, given that European style equity options are the home ground of Black-Scholes, and suggests that ANNs may have an important role to play in pricing other options for which there is either no closed-form model, or the closed-form model is less successful than Black-Scholes for equity options.

The prime object of the study is to find the long run relationship between macroeconomic variables and prices of shares in Karachi stock exchange in Pakistan context. For this purpose the study considers the monthly data of several macroeconomic variables such as real foreign exchange rate, foreign exchange reserve, industrial production index, whole sale price index, gross fixed capital formation, and broad money M2 , these variables are obtain from 1987 to 2008 period. For the purpose of finding long run relationship among the variables Johansen co-integration test is applied. The results show that after the reforms in 1991 the influence of foreign exchanges rate and foreign exchange reserve effects significantly to stock market. The result also shows that there was positive relationship between GFCF and M2 while WPI is negative relationship with stock price. The result also highlighted that interest rate is insignificant with stock prices in the long run. The VECM analysis illust...

PurposeThis paper seeks to investigate the relationship between capital structure and profitability of listed firms on the Ghana Stock Exchange (GSE) during a five‐year period.Design/methodology/approachRegression analysis is used in the estimation of functions relating the return on equity (ROE) with measures of capital structure.FindingsThe results reveal a significantly positive relation between the ratio of short‐term debt to total assets and ROE. However, a negative relationship between the ratio of long‐term debt to total assets and ROE was found. With regard to the relationship between total debt and return rates, the results show a significantly positive association between the ratio of total debt to total assets and return on equity.Originality/valueThe research suggests that profitable firms depend more on debt as their main financing option. In the Ghanaian case, a high proportion (85 percent) of the debt is represented in short‐term debt.

Extending earlier literature on diffusion of codes of good governance (CGGs) by integrating the effect of national culture, this study offers a novel perspective on cross-national diversity in the worldwide diffusion of corporate governance best practices. We argue that particular cultural dimensions affect the indicators (i.e., total number of codes per country and identity of issuing organizations) of such diffusion. For a sample of 67 countries our analysis reveals that individualist cultures have a stronger tendency to develop CGGs. In cultures with a high receptivity to power differences there is a higher probability that the first issuers are the government, directors’ or professional associations; whereas with low receptivity, the stock exchange and investors’ groups of issuers are more likely to initiate the first code. The effects of culture remain significant even after accounting for differences in legal systems and economic institutions, indicating that national culture may serve as a comprehensive indicator of the regulatory stance with respect to good governance. Indeed, the effect size is large enough to give pause (e.g., to a location choice), and possibly has relevance for strategic decision-making by international companies.

Since the first initial public offering of a European football (soccer) club in 1983, more than forty other clubs have experienced a venture in the stock market. In this paper, it is investigated how much relevant and successful these experiences of listing and floating football clubs at the stock exchange have been. First, by showing that investing in the Dow Jones StoXX Football index is of little attractiveness in the perspective of an investor's efficient overall asset allocation. Then in examining the determinants of a football club's fair value and the relationship between stock performances and sporting results. Finally, an approach (alternative to the Anglo-American model of capitalism) of corporate governance, based on the concept of a soft budget constraint, is applied to European football clubs taking stake of their lasting financial deficits and debts. This alternative theoretical approach paves the way for an empirical testing of a vicious circle between negotiating higher TV rights revenues and player wage inflation.

This study examined the impact of the adoption of international accounting standards on the management performance of businesses listed on the Budapest Stock Exchange in Hungary. The financial data are taken from accounts published on the Budapest Stock Exchange and in the Hungarian Business Information database. The adoption decision model tested if the demand from internal performance evaluations is a factor in businesses decisions to adopt international accounting standards during the global financial crisis situations. The results show that those businesses which have adopted international standards achieved higher and statistically significant positive coefficients than those following local accounting rules. We found that larger firms (those with more leverage, higher market capitalization and substantial foreign sales) were more likely to have adopted international accounting standards. This suggests that the increase in the sensitivity of turnover to accounting performance p...

This paper presents a model of path dependence and change and focuses on the gaining of new institutional knowledge. The main thesis is that in ‘extraordinary’ historical situations the possibility of change increases as a result of external pressure and successful adaptation to it. The model is tested applying it to the case study of seventeenth-century United Provinces (Dutch Republic).

Purpose -This study aims to examine the International Standards on Auditing (ISA) number 520 relating to analytical procedures (APs) and adapt relevant aspects of prior studies on APs to the Egyptian audit context. The study investigates the extent of use of APs in Egypt during the three main stages of an audit by size of firms and level of staff. It examines auditors' perceptions of the frequency and effectiveness of different types of APs in achieving a selected set of audit objectives. The study also identifies the types of assurance provided by APs and their influence on detailed testing as well as analyzing the role of auditing standards in the context of the use of APs. Design/methodology/approach -The design and research method are empirical using a questionnaire survey to collect information on actual uses of APs from 14 audit firms in Egypt which audit the 100 actively traded companies on the Egyptian Stock Exchange (EGX) as measured by the EGX 100 index. The survey was carried out between 2008 and 2009. Findings -The results of the study showed relatively low use of APs by Egyptian auditors with wide variations in its use by Big 4 and other auditing firms. Auditors from Big 4 firms are found to use APs to a greater extent than auditors from non-Big 4 firms. Also, the reliance on APs tends to differ by auditors rank and position. The majority of auditors consider APs useful in achieving audit objectives. Audit firms of all size continue to emphasize judgment-based compared to quantitatively based procedures. The results also indicated a lack of confidence in the use of APs as substantive procedures. Finally, the study confirmed prior research findings in that auditing standards are regarded as most effective in codifying existing large firms practice. It was found that ISA 520 has been least effective in stimulating change in the Egyptian audit practice.

This study examines whether sector rotation investment strategy can generate superior return. In certain economic condition, one sector can perform better than the other sector. Principle of this investment strategy is investing in sectors that perform better than the other. Performance of one sector has strong correlation with economic condition and we use business cycle to describe the economic condition. We examined performance of every sector over business cycle from 2001-2012. We divide the phase of business cycle to three periods: early expansion, late expansion, and recession. The phases identified from macroeconomic analysis. Macroeconomic indicator that used to to identify the business cycle are global GDP, Indonesia GDP, and inflation rate in Indonesia. Interestingly, we found that global GDP has larger impact to Indonesia capital market than Indonesia GDP itself, so we use the global GDP as main source to identify business cycle in Indonesia. Every business cycle phase has different duration, depend on the change on economic condition. We build a portfolio simulation that implement the sector rotation investment strategy after choose the best sector in every business cycle phase. We select the most liquid and largest capitalization stock from LQ 45 Index. Return generated from implementing the strategy is higher than return of Jakarta Composite Index. We conclude that, sector rotation investment strategy is an optimal strategy that can be applied by investors to generate superior return in Indonesia Stock Exchage.