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Determining equivalent charges on flow and balance in individual account pension systems
Get PDFIn this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility–maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the equivalent charge on balance depends only on the current level of the charge on flow, the length of the accumulation period and the risk free rate of return.
Doi: https://doi.org/10.1016/j.jefas.2016.03.00
Role of tourist destination development in building its brand image: A conceptual model
Get PDFTourism is truly an international/global industry. Tourism is vital to the economy of a country and sustainable tourism development requires an understanding of the complex interrelationships and interactions among a multitude of environmental factors and interdisciplinary forces that play a critical role in tourism development. While overall the field of tourism has been abundantly researched, there are certain areas where there is a paucity of research, namely, competition analysis, branding and positioning. Our research contributes to this extremely important but relatively less researched subject. Specifically, we study the relationship between destination development and its brand image. We develop a conceptual model which identifies various constructs, processes and linkages involved in the relationship between destination development and its brand image. We propose that the brand image has three components corresponding to the three stages of consumption/travel, namely, pre-travel, during travel, and post-travel. In developing this model we draw upon the interdisciplinary nature of tourism and discuss a variety of influences, such as, economic, social, cultural, political and psychological factors.
Doi: https://doi.org/10.1016/j.jefas.2016.01.00
Pricing maximum-minimum bidirectional options in trinomial CEV model
Get PDFMaximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining trinomial tree was structured to approximate the nonconstant volatility that is a function of the underlying asset. On this basis, a simple and efficient recursive algorithmwas developed to compute the risk-neutral probability of each different node for the underlying asset reaching a maximum or minimum price and the total number of maxima (minima) in the trinomial tree. With help of it, the computational problems can be effectively solved arising from the inherent complexities of different types of maximum-minimum bidirectional options when the underlying asset evolves as the trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the different parameter values set in the trinomial CEV model.
Doi: https://doi.org/10.1016/j.jefas.2016.06.00
Modelización de la autosuficiencia de las instituciones microfinancieras mediante regresión logística basada en análisis de componentes principales
Get PDFThe analysis of the factors that influence sustainability is the key to achieving it. Based on the Theory of Resources and Capabilities (Grant, 1991), a management model that determines the explanatory factors of the sustainability of microfinance institutions (MFI) is developed. The empirical model is constructed by applying a principal component and logistic regression analysis using a sample of 313 MFI, with 31 finance variables, grouped into 6 components/factors that are theoretically associated with self-sufficiency. The results obtained showed a significant and positive relationship between size and the efficiency-productivity of the MFI and their sustainability, with the credit risk factor having an inverse relationship as regards that sustainability. Thus, it may be suggested that the MFI that wish to continue developing their activity using a self-sufficiency approach must promote a management strategy oriented towards: (1) an increase in efficiency-productivity, (2) the exhaustive control of credit risk and, (3) the increase in size in order to achieve economies of scale. The predictive capacity of the model is high, with an area under the ROC curve of 89.7%.
Doi: https://doi.org/10.1016/j.jefas.2015.12.00
Does innovation strategy affect financial, social and environmental performance?
Get PDFIn the very study, the emphasis lays on the specific problem of analyzing the impact of the innovation strategy (in particular investment in research and development) on the financial, social and environmental performance. After discussing this subject theoretically, we propose our research hypotheses which, in turn, will be corroborated by an empirical study of 96 Tunisian companies. Indeed, the results are noteworthy and important to the extent that one can say that the innovation strategy has a crucial impact on the performance of the companies.
Doi: https://doi.org/10.1016/j.jefas.2016.03.00
Determinants of financial information disclosure: A visualization test by cognitive mapping technique
Get PDFThe purpose of this paper is to examine determinants of financial information disclosure by Tunisian companies. The methodology is based on qualitative approach, using the cognitive mapping technique. To take into account the specificities of the Tunisian economic, we felt that it is essential to conduct a qualitative analysis in the light of which we can identify the factors motivating the disclosure of financial information. The qualitative analysis is based on the census via a set of cases carried outin several Tunisian companies to understand their perceptions regarding the determinants of financial disclosure.
Doi: https://doi.org/10.1016/j.jefas.2016.03.00
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Get PDFThe paper introduces the average internal rate of return (AIRR) into the mathematic fuzzy’s frame, like alternative method for estimating returns in ambiguity situations. In the first part it is developed the AIRR and its fuzzy version like an alternative of return determination under ambiguity situations. Next, with a hypothetical case, the consistency with the present value (PV) in the projects ranking at conflictive situations is illustrated. In case of uncertainty,the equality between the AIRR estimated over the expected cash flows or as expected AIRR is showed. Finally, and like a measurement for estimating average returns in vague situations, it is set out the fuzzy AIRR, comparing results with the fuzzy PV and IRR methods.
Doi: https://doi.org/10.1016/j.jefas.2015.12.001
Institutionalist versus distortionist views of labor market reforms: An investigation into the post-liberalized manufacturing sector in India
Get PDFLabor regulation and employment relation has been investigated in India in light of the seminal work of Besley and Burgess (2004), considering formal sector manufacturing employment as the explained variable. Empirical findings support, although not very strongly, the institutionalist view, i.e., pro-worker amendment in labour laws induces employment. Among the other factors, real wage rate has significant negative effect on employment, whereas that for real per capita developmental capital expenditure, per capita electricity generation capacity and real per capita net state domestic productis significant positive. However, effect of per capita real developmental revenue expenditure is inconclusive. In other words, although itimproves employability of workers through their human capital improvement, which is probablymetupatthe cost of worsening overallinfrastructuraldevelopment,throughreducing corresponding capital expenditure! Supporting evidence has also been provided favoring this conjecture.
Doi: https://doi.org/10.1016/j.jefas.2016.06.00
Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
Get PDFCalibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This study aims to evaluate two non-gradient based methods for solving the non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear parameters. Comparisons of the results are made in terms of the achieved fit, consistency (for the metaheuristic) and the shapes obtained for the curves. The same procedure is carried out on the Nelson-Siegel-Svensson (NSS) model, evaluating the advisability of its use in the local market.
Doi: https://doi.org/10.1016/j.jefas.2016.06.00
Stock market index prediction using artificial neural network
Get PDFIn this study the ability of artificial neural network (ANN)in forecasting the daily NASDAQ stock exchange rate was investigated. Several feed forward ANNs that were trained by the back propagation algorithm have been assessed. The methodology used in this study considered the short-term historical stock prices as well as the day of week as inputs. Daily stock exchange rates of NASDAQ from January 28, 2015 to 18 June, 2015 are used to develop a robust model. First 70 days (January 28 to March 7) are selected as training dataset and the last 29 days are used for testing the model prediction ability. Networks for NASDAQ index prediction for two type of input dataset (four prior days and nine prior days) were developed and validated.
Doi: https://doi.org/10.1016/j.jefas.2016.07.00