AESTIMATIO : the IEB International Journal of Finance最新文献

{"title":"The stamina of Lebanese banks: A curious glitch in the midst of the liquidity crisis","authors":"Viviane Y. Karayan","doi":"10.5605/ieb.12.1","DOIUrl":"https://doi.org/10.5605/ieb.12.1","url":null,"abstract":"This paper is the first to apply the econometric Chow model to determine the impact of the 2007-2008 financial crisis on the Lebanese banking sector through testing for structural breaks in their performance from the period immediately preceding the crisis until after the crisis hit. This involved the use of thirteen financial ratios for all the Lebanese commercial banks operating in Lebanon taken from the following four categories: profitability, liquidity, credit quality and capitalization. For comparison purposes, the chosen model was also applied to the 386 leading U.S. banks in terms of assets. A positive structural break was detected in the overall performance of Lebanese banks for profitability, liquidity and credit quality ratios. Conversely, U.S. banks showed a negative structural break in almost all of the selected ratio categories. Even though Lebanese banks showed a certain resilience, not to say improvement, in response to the crisis, they continue to be at risk due to their vulnerability to a number of macro, socio and political factors.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116077635","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":"Professionalism in banking: the best route to recovery","authors":"Alberto Moreno de Tejada","doi":"10.5605/IEB.10.6","DOIUrl":"https://doi.org/10.5605/IEB.10.6","url":null,"abstract":"espanolUn nuevo marco de gobernanza corporativa, codigos eticos, principios, sistemas de retribucion y disciplina de mercado esta siendo implantado en la industria bancaria para restaurar la confianza en los servicios financieros. Este trabajo se centra en las limitaciones de este enfoque para desarrollar una cultura de banca responsable en la industria. Sin liderazgo etico y desarrollo profesional no puede alcanzarse un modelo de banca responsable. Un enfoque centrado en la persona ha sido ampliamente olvidado. La profesionalidad en la industria deberia significar que los banqueros entienden su deber y compromiso con la realizacion del fin de la empresa y comportarse con integridad, honestidad y competencia, independientemente del trabajo y de la posicion que ocupan. Este trabajo esta basado en recientes iniciativas y presenta un marco tentativo sobre el desarrollo profesional centrado en construir un sentido de vocacion y responsabilidad en los banqueros. Englishnew framework of corporate governance, codes of ethics, principles, compensation schemes and market discipline are being implemented in the banking industry in order to restore trust in financial services. This paper focuses on the limitations of this approach to developing a responsible banking culture in the industry. Without ethical leadership and professionalism, a responsible banking model cannot be developed. A person-centered approach has been largely neglected. Professionalism in the industry should mean that bankers understand their duty to uphold the purpose of the firm and demonstrate integrity, honesty and competency regardless of their job or position. Based on recent initiatives, this paper presents a tentative framework for developing professionalism, centered on building a sense of vocation and responsibility in bankers","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116106585","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":"Is there overvaluation of fixed income? The Eurozone vs. the US","authors":"Miguel Ángel Bernal Alonso, Javier Santacruz i Cano","doi":"10.5605/IEB.11.7","DOIUrl":"https://doi.org/10.5605/IEB.11.7","url":null,"abstract":"espanolEl presente estudio trata sobre la valoracion de los activos de renta fija en la Zona Euro y en Estados Unidos bajo diferentes escenarios macroeconomicos y de politica monetaria en bonos investment grade. A traves de la estimacion de las curvas de tipos de interes teoricas y a plazo para las dos uniones monetarias, encontramos que la renta fija por encima del investment grade se encuentra ligeramente infravalorada en el escenario central que planteamos, donde la mayor probabilidad recae sobre una politica monetaria acomodaticia. Enfatizamos, ademas, el papel que juega el rating en la formacion de los precios de aqui a 2025 EnglishThis paper deals with the valuation of fixed income assets in the Eurozone and in the United States against the backdrop of different macroeconomic scenarios and monetary policy regarding investment grade bonds. By estimating the theoretical and forward interest rates curves for the two monetary unions, our findings show that the above-investment-grade fixed income is slightly undervalued in the core scenario that we present, where there is a greater likelihood of an accommodative monetary policy. Furthermore, we highlight the role played by rating in price formation between now and 2025.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129727434","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":"On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel model","authors":"Ángel Valle, Antonio Rubia Serrano, Lidia Sanchis-Marco","doi":"10.5605/IEB.16.1","DOIUrl":"https://doi.org/10.5605/IEB.16.1","url":null,"abstract":"espanolEste articulo investiga la sensibilidad de las cargas factoriales del modelo dinamico de Nelson y Siegel al valor del parametro de forma l, y analiza el problema de la multicolinealidad y como mitigarlo en el proceso de estimacion. En primer lugar, se obtiene que la seleccion de un l fijo no conduce a la optimalidad debido a que pudiera dar lugar a problemas de multicolinealidad. En segundo lugar, se observa una diferencia sustancial en los resultados de prediccion entre los procedimientos tradicionales de estimacion y el metodo de regresion alomada (ridge regression). Finalmente, se implementa un ejercicio de simulacion de Monte Carlo con el fin de estudiar la distribucion estadistica de de las estimaciones de los parametros del modelo, para comprobar las diferencias respecto a los valoresreales. Se observa que la multicolinealidad entre las cargasfactoriales del modelo de NS puede dar lugar, en el caso de estimacion minimo cuadratica lineal con parametro de forma fijo, a mayores diferencias entre las estimaciones y los valores reales de los parametros del modelo. La regresion alomada corrige estas diferencias y da lugar a estimaciones mas estables que los procedimientos de estimacion, lineal o no lineal, minimo cuadraticos ordinarios. EnglishThis paper investigates the sensitivity of the dynamic Nelson-Siegel factor loadings to the value of the shape parameter, l. It also analyses the multicollinearity problem and addresses how to mitigate thisissue in the estimation process. First, we find that the selection of a fixed l is not optimal due to the collinearity problems. Second, we observe a substantial difference between the forecasting performance of the traditional estimation procedures and that of the ridge regression approach. Finally, we implement a Monte Carlo simulation exercise in order to study the statistical distribution of the estimates of the model parameters and thus determine the extent to which they differ from the real values. Furthermore, we find that multicollinearity between the factors of the NS model can, in the case of ordinary least squares estimation with a fixed parameter l, result in greater differences between the estimates and the actual parameter values. Ridge regression corrects such differences and produces more stable estimates than the ordinary linear and nonlinear least squares methods","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127158282","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":"Implications of Public Debt on Economic Growth and Development. A European perspective","authors":"Borislav. V. Georgiev","doi":"10.5605/IEB.9.3","DOIUrl":"https://doi.org/10.5605/IEB.9.3","url":null,"abstract":"This paper takes an ambitious look at long-run economic growth and investigates the relationship between debt, investments and economic development in a European context. The novelty of the approach is that it includes public debt as an independent variable in the augmented Solow model. The analysis is based on fixed effects models on a panel consisting of 12 European countries, observed across more than 30 years (1980-2012). Various estimation and validity issues are raised, including endogeneity and reverse causality. The general findings of this research are that economic growth has a significant negative effect on public debt accumulation. As economic growth slows down it leads to an increase in the budget deficit through reduced public revenue, leading to new debt issuance. The specific analyses for Italy and Portugal show that they have been on an unsustainable path in the last decades, accompanied by huge fiscal deficits, negative net exports, and rising interest rates on their debt.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129584136","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":"The performance of German fixed-income ETFs in the presence of the debt crisis","authors":"Nikolaos T. Milonas, Gerasimos G. Rompotis","doi":"10.5605/IEB.11.2","DOIUrl":"https://doi.org/10.5605/IEB.11.2","url":null,"abstract":"espanolLos bonos del Estado aleman atraen inversores en renta fija como si fueran un cielo seguro en el que se busca refugio de la degradada deuda publica de otros paises de la eurozona. Se aprovecha esta tendencia para diagnosticar el rendimiento de los fondos cotizados de renta fija alemana en linea con las oportunidades de inversion de los inversores en bonos. A partir de una muestra de 38 fondos cotizados de bonos alemanes durante el periodo comprendido entre su constitucion y diciembre de 2010, se encuentra que: 1) los mencionados fondos no proporcionan un rendimiento superior al del mercado, lo que persiste en una base trimestral; estan asociados con alfas negativos, 3) tamano pequeno y efecto momentum, y 4) un tracking error, estadisticamente significativo, del 0,06%, persistente en una base trimestral. En general, los resultados que se obtienen constituyen la primera evidencia empirica sobre el comportamiento de los fondos cotizados de bonos alemanes en relacion a los benchmarks o referencias, obteniendose que los inversores en renta fija que negocian con ellos deberian utilizar estrategias de asignacion para beneficiarse los efectos tamano y momentum encontrados en esta investigacion. EnglishThe German government bonds attract fixed income investors as a safe heaven seeking refuge from the downgraded debt of other Eurozone countries. We exploit this tendency to diagnose the performance behavior of German fixed income Exchange Traded Funds (hereafter ETFs) in line to investment opportunities facing bond investors. In a sample of 38 German bond ETFs during the period from their inception to the end of 2010, we find: 1) ETFs fail to deliver any positive excess return with respect to the market return and this persist on a quarterly basis, 2) ETFs are associated with negative alphas, 3) a small size and a momentum effect on bond ETF returns, and 4) a statistically significant tracking error of 0.06% which is persistent on a quarterly basis. Overall, our results provide the first empirical evidence on how German bond ETFs behave with respect to the benchmarks and imply that fixed income investors using German bond ETFs should apply allocation strategies to benefit from the size and momentum effects found","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129073253","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":"Factors that Matter for Financial Inclusion: Evidence from Peru","authors":"Noelia Cámara, Ximena Peña, David Tuesta","doi":"10.5605/IEB.10.1","DOIUrl":"https://doi.org/10.5605/IEB.10.1","url":null,"abstract":"This study comprises a quantitative approach to the determinants of financial inclusion in Peru based on micro-data from surveys. Significant correlations are used to identify those socioeconomic characteristics that may affect financial inclusion (or exclusion) of households and enterprises. We also analyse the sensitivity to some barriers on the part of individuals who do not use banking services. The results show that the traditionally more vulnerable groups (women, individuals living in rural areas and young people) are those with the greatest difficulties in accessing the formal financial system. When it comes to financial products, loans and mortgages appear to be better drivers for financial inclusion than saving products. For enterprises, formality and education stand out as significant factors for financial inclusion. Finally, for individuals excluded from the financial system, factors such as age, gender, education and income level seem to affect perception of the barriers to financial inclusion. The identification of individual characteristics that could affect financial inclusion provides useful empirical evidence for designing policies that promote more inclusive financial systems.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116130470","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":"Fuzzy hybrid system for forecasting financial time series","authors":"H. Mena, Patricio Fuenmayor Viteri","doi":"10.5605/IEB.11.3","DOIUrl":"https://doi.org/10.5605/IEB.11.3","url":null,"abstract":"espanolEn este articulo se propone un sistema hibrido difuso para la prediccion de series temporales. Dicho sistema esta basado en el metodo de ajuste automatico auto.arima del paquete forecast para R. En un primer momento se generan las predicciones y se identifican patrones y tendencias utilizando tecnicas de agrupamiento difuso. Posteriormente, utilizando criterios inferenciales sobre los centros de los conglomerados, se finaliza con una prediccion en terminos de media. El sistema propuesto permite la inclusion de criterios expertos, es decir, el usuario puede establecer restricciones en los conglomerados basadas en el conocimiento a priori de la serie temporal objeto de analisis. El procedimiento puede ser aplicado a cualquier serie financiera que cumpla los requisitos de los modelos estacionales autorregresivos integrados de media movil. El metodo propuesto se implementa en R. Se han llevado a cabo contrastes numericos sobre prestamos, cuentas corrientes y cuentas de ahorro que muestran el buen funcionamiento del metodo propuesto. EnglishWe propose a fuzzy hybrid system for forecasting time series, based on the automatic fitting method auto.arima included in the forecast package for R. First, we generate predictions and apply fuzzy clustering to identify patterns and tendencies. Then, using inference criteria on the centers of the clusters we end up with a mean forecast. The system allows the inclusion of expert criteria, i.e., the user can set up restrictions on the clustering based on a priori knowledge of the time series. This approach can be applied to any financial time series meeting the requirements of Seasonal Autoregressive Integrated Moving Average (SARIMA) models. The proposed method is implemented in R. Numerical tests on series of loans, accounts, and saving accounts demonstrate the efficacy of the method","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121437459","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":"IFRS 16 (leases) implementation: impact of entities’ decisions on financial statements","authors":"José Morales Díaz, Constancio Zamora Ramírez","doi":"10.5605/IEB.17.4","DOIUrl":"https://doi.org/10.5605/IEB.17.4","url":null,"abstract":"espanolEl IASB ha emitido recientemente una nueva norma contable de arrendamientos (NIIF 16) que sera aplicable para ejercicios que comiencen a partir de 1 de enero de 2019. Esta norma cambiara el modelo contable que aplican los arrendatarios. El nuevo modelo (conocido como modelo de capitalizacion) conllevara reconocer en balance la mayoria de los antiguos arrendamientos operativos, creando un gran impacto en los estados financieros de las companias en numerosos sectores. El impacto en cada empresa individual puede ser diferente en funcion de una serie de decisiones que la Direccion de la empresa debe tomar. Estas decisiones pueden dividirse en dos grupos: 1) tratamientos contables alternativos que la norma permite para ciertos aspectos y 2) estimaciones. Analizamos cada una de esas decisiones, su efecto en los estados financieros y como se espera que las empresas las utilicen. En general, se espera que las empresas utilicen estas decisiones para reducir el impacto en el nivel de apalancamiento. EnglishThe IASB recently issued a new lease standard (IFRS 16) that will be applicable for annual periods beginning on or after 1 January 2019. This standard changes the accounting model applied by lessees. The new model (known as the capitalisation model) will entail recognising most previous operating leases in the balance sheet, thus impacting the financial statements of companies in many sectors. The impact on an individual company will vary depending on several decisions that the company’s management must make. These decisions can be divided into two groups: 1) alternative accounting treatments that IFRS 16 permits for certain aspects and 2) estimations. We analyse each of these decisions, their effect on financial statements and how companies are expected to address them. In general, companies are expected to make decisions that reduce the impact of IFRS 16 on their leverage level.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"139 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116451966","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":"Corporate attributes and corporate accruals","authors":"Md. Shamimul Hasan, N. Omar, R. Rahman, S. Z. Hossain","doi":"10.5605/ieb.12.2","DOIUrl":"https://doi.org/10.5605/ieb.12.2","url":null,"abstract":"espanolEn este articulo se estudia la relacion lineal existente entre los atributos y los devengos corporativos (discrecionales) en Bangladesh. El comportamiento de los devengos corporativos se explica a traves de atributos corporativos como el tamano de los activos, la cifra de negocios, las ganancias por accion, el numero de accionistas, los anos de cotizacion, los vinculos internacionales de la firma auditora, la estructura de propiedad, el grado de internacionalizacion, la categoria de mercado y el leverage. Se observa una relacion estadisticamente significativa entre los devengos corporativos y el tamano de los activos. Tambien se ha observado un inconsistente crecimiento de los inventarios, un crecimiento mas rapido de las deudas pendientes y una sobrevaloracion de los activos fijos en los informes del Comite de Investigacion. De hecho, los devengos corporativos no dependen de los atributos corporativos sino mas bien de la mentalidad del manager corporativo. La administracion es una posicion unica en lo que se refiere a la generacion de estados financieros fraudulentos. Este articulo sugiere que el establecimiento una serie de medidas entre las que se incluyen la creacion del Instituto de Supervision Colegiada de Bangladesh, revisiones de auditoria, la actualizacion de las directrices de la gobernanza corporativa, una mayor independencia del Consejo de Administracion y el fortalecimiento del marco institucional, para proteger los derechos de los accionistas, especialmente los marginales EnglishThis study examines the linear relationship between corporate attributes and corporate accruals (discretionary accruals) in Bangladesh. The behaviour of corporate accruals is explained by corporate attributes such as asset size, turnover, earnings per share, number of shareholders, year of listing, international link of audit firm, ownership structure, internationality, market category, and leverage. A statistically significant relationship is observed between corporate accruals and asset size. We also observed inconsistent growth of inventory, faster growth of accounts receivable with an overvaluation of fixed assets reported by probe committee. Indeed, corporate accruals are not dependent on corporate attributes but rather on the mindset of the corporate manager. Management is in a unique position to produce fraudulent financial statements. The study suggests a number of measures including the establishment of an Institute of Chartered Surveyor of Bangladesh (ICSB), the introduction of audit reviews, the updating of corporate governance guidelines, increasing the effectiveness of board independence, and the strengthening institutional setting, in order to protect the rights of stakeholders, especially marginal shareholders","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129044505","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}