esan Portal de revistas
Not a member yet
390 research outputs found
Sort by
Modeling, simulation and analysis of a securities settlement system: The case of Central Securities Depository of Mexico
Get PDFThe Instituto para el Depósito de Valores (INDEVAL) is the Central Securities Depository of Mexico. It is the only Mexican institution authorized to perform, in an integrated manner, the activities of safe-keeping, custody, management, clearing, settlement and transfer of securities. In this article, we report the modeling, simulation and analysis of a new Securities Settlement System (SSS) implemented by INDEVAL, as part of a project for the implementation of a safer and more efficient operating system. The main objective of this research was to use reduced amounts of cash and securities, within reasonable periods of time, for the settlement of securities of the Mexican market. A linear programming model for the netting and clearing of operations was used. The performance of the new SSS was evaluated by performing experiments using a deterministic simulation model under different operation parameters, such as the number and monetary value of transactions, the time between clearing cycles and also under a new set of rules for pre-settlement operations. The results presented may be used by other Central Securities Depositories to make decisions related to the efficient and safer use of their resources. The implementation of the model took more than three years. Now many transactions that would remain pending if processed individually are settled together, thus reducing liquidity requirements dramatically —by 52% in cash and 26% in securities.
DOI: https://doi.org/10.1016/S2077-1886(12)70007-
Spatial equilibrium, market integration and price exogeneity in dry fish marketing in Nigeria: A vector auto-regressive (VAR) approach
Get PDFFish is the cheapest animal protein source in Nigeria, and dry fish in particular has the potential to solve the pervasive protein shortage problem owing to its relative affordability compared with fresh fish. Boosting dry fish consumption will entail retail price reduction which is achievable only if the market for dry fish operates efficiently. This study, after testing and correcting price series for non-stationarity, modelled marketing efficiency in 66 pairs of spatially separated markets. The unit root test was used to reveal the order of econometric integration of the price series. All price series showed non-stationarity at their levels (P<0.05), but on first-differencing, they all rejected the null hypothesis of non-stationarity. This confirmed that they were generated by the same stochastic processes and, thus, capable of exhibiting long-run spatial equilibrium. The vector auto-regressive test showed that 59.1% of the markets had prices which were spatially integrated on the long-run. The Granger-causality model revealed that prices in Bauchi, Akure, Makurdi and Kano markets were driving prices in other locations. Kano market exhibited very strong exogeneity while others were either strongly or weakly exogenous. It is concluded that there is low extent of spatial pricing efficiency in Nigeria’s dry fish market. The study recommended improved market infrastructures, improved information collection, collation and dissemination, and decisive policy reforms aimed at lowering retail price at the identified leader markets, as ways of enhancing spatial pricing efficiency.
DOI: https://doi.org/10.1016/S2077-1886(12)70005-
The shamans of wall street: a real conundrum in finance. Why systematically poor performing asset managers survive?
Get PDFIn this paper we propose a behavioral explanation for the survival of poorly performing asset managers. We argue that, in general, asset managers make use of copious amounts of correct but useless information to convince investors about their supposed superior ability to interpret the market. Their marketing skills and motivational speeches seem to be enough to maintain asset managers in business regardless of the results. We present data that show how bad a number of asset managers can be. We also show how prevalent asset managers’ underperformance is. We argue that some Wall Street professionals are able to fool almost all of their clients most of the time into believing that they add value in the services they provide while the data show that this is not true. What we cannot show with this data is whether managers actually believe they are as good as they claim they are, or are not just shamans, albeit shameless as well
Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007
Get PDFWe study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have gotten positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.
DOI: https://doi.org/10.1016/S2077-1886(12)70006-
El peso mexicano: la gestión de cobertura del riesgo cambiario mediante la teoría de los efectos olvidados
Get PDFThis paper is about developing a nonlinear model to predict the behavior of future exchange rate based on the opinion of the economic agents participating in the dollar/peso market. Such views are treated with Fuzzy Logic and a variant of it, known as the Theory of Forgotten Effects. The aim is to find a mechanism for making coverage decisions that allow us an optimal exchange rate risk management at a lower cost than that which involves operations with traditional hedging instruments. For the period of investigation and applying this model, the results support that the collective opinions of economic experts involved in the decision making risk management of exchange rate provide better results than those using traditional methods in the future market
Evaluación del impacto de la política de incentivos sectoriales en el desarrollo de los municipios mineros de Castilla y León
Get PDFIt is discussed whether the policy of incentives to the mining sector is or is not appropriate. Proponents argue that thanks to this the municipalities have greater opportunities to develop, while detractors argue that it makes no sense to channel resources into an industry without a future. In this paper we have proposed to evaluate the impact of the aid generated within the Coal Plan 1998-2005, the National Strategic Coal Reserve Plan 2006-2012, and the Structural Funds of the European Union 2000-2006 in twelve selected socioeconomic variables in the 105 municipalities of Castilla y León between 1998 and 2010.
DOI: https://doi.org/10.1016/S2077-1886(12)70004-
Case Discussion Responsabilidad Social Interna en J-V Resguardo
Get PDFJ&V Resguardo es una empresa peruana dedicada a brindar servicios de vigilancia privada, seguridad personal y guardianía, con 23 años en el mercado nacional. Cuando se inició en 1989, la empresa contaba con cuatro vigilantes y dos clientes. En el año 2006, J&V Resguardo incursionó en el mercado latinoamericano al abrir una oficina en Ecuador. Para el 2010 era una organización con seis mil vigilantes en Perú, y más de mil en Ecuador. Además, contaba con más de cien vehículos de supervisión y un centro de entrenamiento de diez mil metros cuadrados en Lurín (distrito de la Provincia de Lima). En octubre de ese año sus ventas ascendieron a más de treinta y cuatro millones de dólares
Role of online education in building brand image of educational institutions
Get PDFIn this article we try to present the general impression that online learning/real time virtual learning conveys. The myriad interpretations of online education are depicted elaborately along with its advantages and influence on various stakeholders. The disadvantages of online education reveal their apparently potent drawbacks, which are then trailed by «opposing views». These views give concrete justifications against the so-called shortcomings of online learning and enlist the techniques used to tackle them. Besides of what online education does for students, learners and tutors at large, it also confers some potential by-products, such as helping build a strong brand image of educational institutions that offer it. Although educational institutions worldwide are employing online learning resources to create a brand image for themselves, a well-worn discussion has to be mooted to understand the implications of their usage
Effects of Activist shareholding on corporate social responsibility reporting Practices: An empirical study in spain
Get PDFNew business practices are mainly characteristic of large firms, especially those quoted on the stock market. Listed companies show a higher commitment to corporate social responsibility (CSR) practices because capital markets allow activists to become a firm’s socially oriented shareholders. These actors, although small in number, have a significant influence over other larger block-holders. Recent decades have witnessed a significant increase in societal pressure to control the behavior of companies owing to the risks deriving from the economic, social and environmental effects of their business activity. The aim of this work is to test the effect that CSR activist shareholders have on the decision to disclose corporate social responsibility information in the Spanish context, controlling for the rest of the dimensions in Ullmann’s theoretical framework
Consideraciones para calcular el ratio precio-utilidad de la bolsa de valores de Lima: metodología y aplicaciones
Get PDFIn this paper we construct a methodology to calculate the price-earnings ratio (PER) of the General Index of the Lima Stock Exchange (IGBVL) for the period 1995-2011 following Shiller (2005). Results show that equity prices, in the analyzed period, basically responded to the expected evolution of earnings of the companies, even during the period of the equity prices boom that preceded the financial crisis of 2008. This conclusion is reinforced when we calculate, following Hayford y Malliaris (2004), the implicit equity premia expected for stock investors. We find high values of equity premia during the period of stock prices boom, which would justify the high PER values registered in that perio