UNSW Business School Research Paper Series最新文献

{"title":"The Stochastic Reproduction Rate of a Virus","authors":"Richard Holden, D. J. Thornton","doi":"10.2139/ssrn.3644911","DOIUrl":"https://doi.org/10.2139/ssrn.3644911","url":null,"abstract":"We consider an SIR model where the probability of infections between infected and susceptible individuals are viewed as Poisson trials. The probabilities of infection between pairwise susceptible-infected matches are thus order statistics. This implies that the reproduction rate is a random variable. We derive the first two moments of the distribution of Rt conditional on the information available at time t-1 for Poisson trials drawn from an arbitrary parent distribution with finite mean. We show that the variance of Rt is increasing in the proportion of susceptible individuals in the population, and that ex ante identical populations can exhibit large differences in the path of the virus. This has a number of implications for policy during pandemics.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76277817","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}

{"title":"Post COVD-19 Economics: Maximizing the Return of Corporate Tax at the Same Levels to Improve the Conditions of the Poor, Development and Companies","authors":"N. Gayed, N. Alber, P. N. Gayed","doi":"10.2139/ssrn.3634258","DOIUrl":"https://doi.org/10.2139/ssrn.3634258","url":null,"abstract":"Among the economic consequences of the COVID-19 crisis are an increase in the number of the poor and the unemployed, economic downturns and lower demand for corporate products. Governments fail to meet the needs of the poor and to carry out public services and development projects. This study aims to improve the conditions of the indigent population (the poor, the elderly, the sick and the unemployed). It will also improve public services and development programs offered by governments and improve the conditions of most companies and banks. This will all be accomplished by maximizing returns of Corporate Tax without any increase in tax rates. This is done by having the government allow companies of all fields (commodities, services, projects, banks, etc) to pay all or part of their corporate taxes in the form of goods or services instead of cash. Provided that the corporate tax value is re-evaluated at the total cost price, that is, after deduction of all costs of production, management, marketing and financing, but without calculating any net profit for the company from its products. \u0000 \u0000To explain it mathematically, the company would provide goods or services based on the following formula: [the current corporate taxes due/ (1- net profit ratio)]. Those products or services will be provided through the company’s normal outlets directly at regular prices, but without payment to both membership card carriers from the indigent population, and the government (for consumption and investment spending). For example, if the company owes $40,000 in corporate taxes and assuming that the company has a net profit of 20% (i.e. the total cost ratio is 80%), then the company will be obligated to either pay $40,000 in cash or offer products worth $50,000 ($40,000/80%). The companies might also choose a combination of the previous two allowances such as (e.g. $20,000 cash + $25,000 worth of products). All parties involved (the indigent population, the government, and companies of all kinds) will realize additional benefits from this tax policy in a non-zero-sum game, despite having conflicting economic interests. In addition, there is no loss or increased risk to any party. Besides, this argument is supported statistically, where results indicate that the GINI index (World Bank estimate) may affect GDP per capita (current US$) negatively, using the World Bank data for 59 countries from 2002 to 2018, according to Linear, Logarithmic, Quadratic and Growth models. This may support the argument that the more the fairness, the more the level of living. \u0000 \u0000In general, this tax policy is valid for all products (goods, services, construction projects, and bank loans), because what is not suitable for the indigent population may be needed by the government. The overall cost of government spending decreases and more services are available and more developmental programs can be completed. Some of the objections that can arise is that governments may need liquidity, and tha","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76159618","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}

{"title":"Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits","authors":"Jennifer Alonso-García, M. Sherris, Samuel Thirurajah, Jonathan Ziveyi","doi":"10.2139/ssrn.3629101","DOIUrl":"https://doi.org/10.2139/ssrn.3629101","url":null,"abstract":"This paper considers variable annuity contracts embedded with guaranteed minimum accumulation benefit (GMAB) riders when policyholder's proceeds are taxed. These contracts promise the return of the premium paid by the policyholder, or a higher stepped up value, at the end of the investment period. A partial differential valuation framework, which exploits the numerical method of lines, is used to determine fair fees that render the policyholder and insurer profits neutral. Two taxation regimes are considered; one where capital gains are allowed to offset losses and a second where gains do not offset losses, reflecting stylized institutional arrangements in Australia and the US respectively. Most insurance providers highlight the tax-deferred feature of a variable annuity. We show that the regime under which the insurance provider is taxed significantly impacts supply and demand prices. If losses are allowed to offset gains then this enhances the market, narrowing the gap between fees, and even producing higher demand than supply fees. On the other hand, when losses are not allowed to offset gains, then the demand-supply gap increases. When charging the demand price, we show that insurance companies would be profitable on average. Low (high) Sharpe ratios are not as profitable as policyholders are more likely to stay long (surrender).","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77522810","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}

{"title":"Google Acadêmico: Uma Opção Para Análise de Citações dos Periódicos Brasileiros de Contabilidade? (Google Scholar: An Option For Citation Analysis of Brazilian Accounting Journals?)","authors":"Sandro Vieira Soares, Raimundo Nonato Lima Filho, Silvia Pereira de Castro Casa Nova","doi":"10.5007/1983-4535.2020v13n2p140","DOIUrl":"https://doi.org/10.5007/1983-4535.2020v13n2p140","url":null,"abstract":"Este artigo tem por objetivo identificar se o Google Academico e uma opcao para analise de citacoes dos artigos publicados nos periodicos brasileiros de contabilidade. Para isto, foram coletadas as citacoes de 1.810 artigos publicados entre 2007 e 2012 por quinze revistas brasileiras de contabilidade; a coleta foi feita via Google Scholar nos meses de abril anos de 2014, 2015 e 2016. O percentual de artigos nao encontrados pelo Google Academico apresentou uma tendencia de queda ao longo do periodo: de 2,8% em abril de 2014 para 0,9% em abril de 2016. A frequencia de artigos cuja contagem de citacoes caiu entre 2014 e 2016 foi de 1,6% da amostra. O coeficiente de correlacao de postos de Spearman entre o Fator de Impacto de 5 anos do Spell e a media de citacoes dos artigos publicados entre 2008 e 2012 por revista e de rs = 0,918, embora o Google Academico tenha recuperado um numero de citacoes de 3 a 9 vezes maior por revista do que o Spell. A contribuicao deste artigo permite que os pesquisadores e instituicoes conhecam as limitacoes e possibilidades do uso do Google Academico nas pesquisas de analise de citacoes de artigos brasileiros e na analise do impacto das pesquisas.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87723729","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}

{"title":"Valuations Playbook: A look at Discounted Cashflow Valuations","authors":"Sharang Bharadwaj","doi":"10.2139/ssrn.3608611","DOIUrl":"https://doi.org/10.2139/ssrn.3608611","url":null,"abstract":"This paper intends to highlight a framework for valuating companies using the Discounted Cash Flow (DCF) model. This framework is a culmination of time spent at the AGSM, previous academic research on valuations and industry mentorship by various mentors/advisors in the financial services sector.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74302189","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}

{"title":"R&D investments and management guidance: Trading off information asymmetry and uncertainty in firm disclosure","authors":"Svenja Dube","doi":"10.2139/ssrn.3480874","DOIUrl":"https://doi.org/10.2139/ssrn.3480874","url":null,"abstract":"The immediate expensing of R&D expenditures conceals managers' knowledge about the R&D projects. I examine whether higher R&D-intensive firms voluntarily guide more to decrease this information asymmetry. R&D state tax credits serve as instrumental variable for R&D investments. While total earnings guidance remains unchanged, managers issue more quarterly earnings guidance and non-earnings guidance in lieu of annual earnings guidance. Consistent with uncertainty affecting the precision of longer-term earnings expectations, the substitution of quarterly guidance for annual guidance intensifies with innovation uncertainty. Difference-in-differences analyses around unexpected R&D jumps confirm that the increase in quarterly guidance derives from increases in information asymmetry. These findings demonstrate that firms trade off incentives to decrease information asymmetry with costs of uncertainty from R&D investments by issuing more quarterly and non-earnings guidance but reducing their annual earnings guidance. In conclusion, these results imply benefits of short-term earnings guidance when R&D investments discourage annual earnings guidance.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85279347","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}

{"title":"Islamic Banks Product Mix","authors":"Sara Al Balooshi","doi":"10.2139/ssrn.3806368","DOIUrl":"https://doi.org/10.2139/ssrn.3806368","url":null,"abstract":"This paper uses hand-collected quarterly values of the different Islamic banking products to answer the following questions: Do debt-like banking products dominate Islamic banks' assets, making them identical to conventional banks? Are bank performance and solvency sensitive to the product's inclination to achieve the aspirations of Islamic law? What are the implications of such diversification/concentration on banks' financial stability and performance? Results show that debt-like products contribute to banks' returns but increase the default probabilities. Profit-loss sharing products are significant for banks' solvency. The Herfindahl Hirschman Index and the Shannon Entropy (SE) indicate that diversification into financing modes that are in the real spirit of Islam is beneficial to bank solvency but harms returns.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89324020","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}

{"title":"Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations","authors":"J. Witzany","doi":"10.2139/ssrn.3542398","DOIUrl":"https://doi.org/10.2139/ssrn.3542398","url":null,"abstract":"Rating transition matrices have become a workhorse of the IFRS 9 expected credit loss and ICAAP stress test modelling. The standard method to stress a through-the-cycle transition matrix is based on a single factor Gaussian model with a correlation parameter that is usually estimated on the level of a product pool. The goal of the paper is to generalize the model allowing for more general distributional assumptions and to test empirically the sensitivity of the results with respect to these assumptions and different possible approaches to the correlation parameter estimation. We are not aware of any such empirical study in the literature. The results show that this dependence is very strong with the standard approach underestimating the results, as we argue, of a more precise calculation many times. Therefore, there is a significant model risk that needs to be taken into account in ICAAP/IFRS 9 implementation and dealt with in further research.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84657488","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}

{"title":"Valero Energy Corporation Case Study","authors":"Retha J. Mattern, Zhi Yang Brian Chan, James Ondracek, Andy Bertsch, M. Saeed","doi":"10.26500/jarssh-05-2020-0105","DOIUrl":"https://doi.org/10.26500/jarssh-05-2020-0105","url":null,"abstract":"Valero Energy Corporation Case Study is suitable for undergraduate and graduate business students to apply critical thinking, qualitative and quantitative analyses, and decision making. The case study features Valero Energy Corporation its quest for relevance and above average returns. Established in 1980, Valero Energy Corporation (Valero) is currently one of the biggest petroleum refiners in the oil and gas industry both in the United States and internationally. Headquartered in San Antonio, Texas, Valero owns 15 petroleum refineries and 14 ethanol plants. This case study underscores the challenges Valero Energy Corporation face in the midstream and downstream sector of the industry and emphasizes external factors such as weather and geopolitical influences. The prices of crude oil are stabilizing but uncertainty in the market and the slowdown of economic growth internationally will remain a challenge for Valero Energy Corporation in the short-term future. Companies in the oil and gas sector will continue to enforce capital discipline as a long-term strategy to prepare them for the economic uncertainty ahead and unsteady industry conditions. Valero’s strategic acquisitions and divestitures have helped the company through tough times in the past, but is Valero’s mix of assets appropriate today?","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75567704","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}

{"title":"Climate Change and U.S. Agriculture: Accounting for Multi-dimensional Slope Heterogeneity in Production Functions","authors":"M. Keane, Timothy Neal","doi":"10.2139/ssrn.3180480","DOIUrl":"https://doi.org/10.2139/ssrn.3180480","url":null,"abstract":"We study potential impacts of future climate change on U.S. agricultural productivity using county-level yield and weather data from 1950 to 2015. To account for adaptation of production to different weather conditions, it is crucial to allow for both spacial and temporal variation in the production process mapping weather to crop yields. We present a new panel data estimation technique, called mean observation OLS (MO-OLS) that allows for spatial and temporal heterogeneity in all regression parameters (intercepts and slopes). Both forms of heterogeneity are important: We find strong evidence that production function parameters adapt to local climate, and also that sensitivity of yield to high temperature declined from 1950-89. We use our estimates to project corn yields to 2100 using 19 climate models and three greenhouse gas emission scenarios. We predict unmitigated climate change will greatly reduce yield. Our mean prediction (over climate models) is that adaptation alone can mitigate 36% of the damage, while emissions reductions consistent with the Paris targets would mitigate 76%.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85512403","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}