Frontiers in Finance & Economics最新文献

A Case for Europe: The Relationship between Sovereign CDs and Stock Indexes 欧洲案例:主权CDs与股指之间的关系

Frontiers in Finance & Economics Pub Date : 2012-10-01 DOI: 10.2139/ssrn.1889121

M. Coronado, M. T. Corzo, L. Lazcano

引用次数: 44

Characteristics of Japan’s Commodities Index and its Correlation with Stock Index 日本商品指数的特征及其与股票指数的相关性

Frontiers in Finance & Economics Pub Date : 2009-09-07 DOI: 10.2139/ssrn.1469517

Nobuyoshi Yamori

引用次数: 3

CAPM and Capital Budgeting: Present versus Future, Equilibrium versus Disequilibrium, Decision versus Valuation 资本资产定价模型与资本预算:现在与未来，均衡与非均衡，决策与估值

Frontiers in Finance & Economics Pub Date : 2009-06-01 DOI: 10.2139/ssrn.1024716

C. Magni

{"title":"CAPM and Capital Budgeting: Present versus Future, Equilibrium versus Disequilibrium, Decision versus Valuation","authors":"C. Magni","doi":"10.2139/ssrn.1024716","DOIUrl":"https://doi.org/10.2139/ssrn.1024716","url":null,"abstract":"This paper deals with the use of the CAPM for investment decisions and evaluations. Four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future Value, the equilibrium Net Future Value. It is shown that all of them may be used for accept-reject decisions, but only the equilibrium Net Present Value and the disequilibrium Net Future Value may be used for valuation, given that they enjoy the additivity property. The two nonadditive indexes cannot be deducted from the CAPM assumptions if the decision problem “invest/no invest” is reframed as “invest in Z/invest in Y”. Despite their additivity, the equilibrium Net Present Value and the disequilibrium Net Future Value are unreliable for both valuation and decision, because they do not signal arbitrage opportunities whenever there is some state of nature for which they are decreasing functions with respect to the end-of-period cash flow. In this case, the equilibrium value of a project is not the price it would have if it were traded in the security market. This result is the capital-budgeting counterpart of Dybvig and Ingersoll’s (1982) result.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132847750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Building Balanced Scorecard in a Complex Form of Enterprise with Various Effective Managerial Tools and Performance Strategies: The Case of Gas Corporation S.A., in Greece 运用多种有效的管理工具和绩效策略构建复杂企业形式的平衡计分卡——以希腊天然气公司为例

Frontiers in Finance & Economics Pub Date : 2009-03-14 DOI: 10.2139/ssrn.1359873

Alexandros Garefalakis, N. Sariannidis, C. Zopounidis, Pandelis Zisis

{"title":"Building Balanced Scorecard in a Complex Form of Enterprise with Various Effective Managerial Tools and Performance Strategies: The Case of Gas Corporation S.A., in Greece","authors":"Alexandros Garefalakis, N. Sariannidis, C. Zopounidis, Pandelis Zisis","doi":"10.2139/ssrn.1359873","DOIUrl":"https://doi.org/10.2139/ssrn.1359873","url":null,"abstract":"The present paper makes a significant effort to introduce and eventually build the appropriate Balanced Scorecard (BSC) for the specific Gas Company of Greece. As the latter is a complex organisation several management tools are considered important for the most accurate development of BSC as a strategic planning tool. An overview of the performance measures and specifically the gap between traditional and innovative performance measures is provided, so as the necessity for using progressive tools to be highlighted. Moreover, the gap between the obsolete Greek means of measuring performance and suggested ones by literature is underlined, so as to provide insight to Greek companies in improving their performance measurement system as well as keep it consistent with their strategic objectives. Finally, it was considered vital that two BSCs for both public and private sectors to be build in order to obtain the most appropriate total BSC for the specific complex organisation. It was also considered important to use particular management tools for the most accurate results and proper suggestions for improving strategic objectives of the company. As a result, the aim of this paper by developing BSC was to provide more comprehensive and efficient procedures through which managers can develop strategies and goals for progressive and competitive future businesses. As far as the specific company.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130627212","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

The Banking Firm: The Role of Signaling with Collaterals 银行公司:抵押品信号的作用

Frontiers in Finance & Economics Pub Date : 2008-03-08 DOI: 10.2139/ssrn.1135680

V. Bieta, Udo Broll, Wilfried Siebe

引用次数: 11

Prediction of Acquisitions and Portfolio Returns 收购和投资组合回报预测

Frontiers in Finance & Economics Pub Date : 2008-02-01 DOI: 10.2139/ssrn.1137966

Georgios Ouzounis, Chrysovalantis Gaganis, C. Zopounidis

引用次数: 19

A Sum & Discount Method of Appraising Firms: An Illustrative Example 企业评价的总和贴现法:一个说明性例子

Frontiers in Finance & Economics Pub Date : 2007-11-26 DOI: 10.2139/ssrn.1033522

C. Magni

引用次数: 1

The Nontradability Premium of Derivatives Contracts 衍生品合约的不可交易溢价

Frontiers in Finance & Economics Pub Date : 2006-07-01 DOI: 10.1086/503657

Rafael Eldor, Shmuel Hauser, Michael Kahn, Avi Kamara

引用次数: 5

Making Density Forecasting Models Statistically Consistent 使密度预测模型在统计上一致

Frontiers in Finance & Economics Pub Date : 2006-01-01 DOI: 10.2139/ssrn.877629

Michael Carney, P. Cunningham, B. Lucey

{"title":"Making Density Forecasting Models Statistically Consistent","authors":"Michael Carney, P. Cunningham, B. Lucey","doi":"10.2139/ssrn.877629","DOIUrl":"https://doi.org/10.2139/ssrn.877629","url":null,"abstract":"We propose a new approach to density forecast optimisation and apply it to Value-at-Risk estimation. All existing density forecasting models try to optimise the distribution of the returns based solely on the predicted density at the observation. In this paper we argue that probabilistic predictions should be optimised on more than just this accuracy score and suggest that the statistical consistency of the probability estimates should also be optimised during training. Statistical consistency refers to the property that if a predicted density function suggests P percent probability of occurrence, the event truly ought to have probability P of occurring. We describe a quality score that can rank probability density forecasts in terms of statistical consistency based on the probability integral transform (Diebold et al., 1998b). We then describe a framework that can optimise any density forecasting model in terms of any set of objective functions. The framework uses a multi-objective evolutionary algorithm to determine a set of trade-off solutions known as the Pareto front of optimal solutions. Using this framework we develop an algorithm for optimising density forecasting models and implement this algorithm for GARCH (Bollerslev, 1986) and GJR models (Glosten et al., 1993). We call these new models Pareto-GARCH and Pareto-GJR. To determine whether this approach of multi-objective optimisation of density forecasting models produces better results over the standard GARCH and GJR optimisation techniques we compare the models produced empirically on a Value-at-Risk application. Our evaluation shows that our Pareto models produce superior results out-of-sample.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2006-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116830996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

Theoretical Flaws in the Use of the CAPM For Investment Decisions 在投资决策中使用CAPM的理论缺陷

Frontiers in Finance & Economics Pub Date : 2005-12-01 DOI: 10.2139/ssrn.1075404

C. Magni

引用次数: 4