Stochastic portfolio optimization using efficiency evaluation

2015 ◽  
Vol 53 (8) ◽  
pp. 1698-1713 ◽  
Author(s):  
Paulo Rotela Junior ◽  
Edson de Oliveira Pamplona ◽  
Luiz Célio Souza Rocha ◽  
Victor Eduardo de Mello Valerio ◽  
Anderson Paulo Paiva
Keyword(s):  
Design Methodology ◽  
Stock Exchange ◽  
Search Space ◽  
Data Envelopment ◽  
Efficiency Evaluation ◽  
Risk And Uncertainty ◽  
Content Type ◽  
Support Tool ◽  
Stock Investment ◽  
Risk Criterion

Purpose – The purpose of this paper is to analyze portfolios chosen using an efficiency evaluation that considers risk and uncertainty and optimizes the allocation of invested capital using the Sharpe approach. Design/methodology/approach – The portfolios comprised shares on the Sao Paulo Stock Exchange. A chance-constrained data envelopment analysis stochastic optimization model was used, and return and variance were employed as input and output variables. Findings – The model was shown to be viable. It reduced the search space and considered data randomness. Originality/value – Three portfolios were proposed. The variation of the model’s risk criterion fulfilled the requirements of investors with different attitudes to risk. The model proposed can be used as a support tool for stock investment decisions.

Financial performance evaluation of companies listed on Tehran Stock Exchange

2018 ◽  
Vol 60 (3) ◽  
pp. 885-900 ◽  
Author(s):  
Ali Karimi ◽  
Masoud Barati
Keyword(s):  
Performance Evaluation ◽  
Financial Performance ◽  
Design Methodology ◽  
Stock Exchange ◽  
Financial Information ◽  
Data Envelopment ◽  
Negative Data ◽  
Content Type ◽  
Financial Measures ◽  
Financial Metrics

Purpose This paper aims to evaluate the financial performance of companies listed on Tehran Stock Exchange by using negative data envelopment analysis (DEA) approach. Design/methodology/approach First, the financial metrics for performance evaluation were extracted and then filtered based on the experts’ opinions. Upon choosing the appropriate financial measures, the financial information of 72 companies selected from four automotive, pharmaceutical, petrochemical and cement industries were collected, and the criteria values were also measured. The financial performance of selected companies was assessed using negative data bounded adjusted measure in the DEA, and efficient and inefficient companies were identified. Finally, the efficient companies were ranked using Andersen and Petersen model. Findings The required analysis was conducted, and the financial performance of selected companies listed on Tehran Stock Exchange was evaluated. There were 58 efficient companies with a performance value of 1; 14 companies became inefficient because the efficiency size was less than 1; therefore, reference units were also introduced to the managers for efficiency of inefficient companies. Originality/value The aim of this study was to identify the required financial criteria and to determine an appropriate model for performance evaluation based on negative DEA. The findings can help shareholders to identify efficient companies and make the optimal portfolio accordingly; the managers of inefficient companies can also take the proper reforming actions to improve efficiency.

The evolution of the monitoring board in Japan: how the board performs monitoring function in Japanese corporate governance

2019 ◽  
Vol 19 (5) ◽  
pp. 999-1014
Author(s):  
Kohei Miyamoto
Keyword(s):  
Corporate Governance ◽  
Design Methodology ◽  
Stock Exchange ◽  
White Paper ◽  
Lifetime Employment ◽  
Content Type ◽  
Legal Reforms ◽  
Legal Evolution ◽  
Commercial Code ◽  
Governance Institutions

Purpose The purpose of this paper is to trace a legal evolution of the monitoring board and to reveal what brought the evolution and what is expected to emerge. The paper points to unique complementarities in Japanese corporate governance institutions and norms which will affect how the monitoring board performs its functions. Design/Methodology/Approach Analysis is based on texts on corporate governance legislations in Japan from the revision of Commercial Code in 1950 to the revision of Companies Act in 2014. Other sources include Tokyo Stock Exchange regulations, White Paper on Corporate Governance and other academic literatures on Japanese corporate governance. Findings Changes of non-legal institutions and norms in Japanese corporate governance necessitated legal reforms toward the monitoring board. Persisting institutions and norms, in particular lifetime employment, influences how the monitoring board performs its functions in Japan. Originality/Value This paper explains how the evolution of the monitoring board in Japan emerged and what will cause different expected functions of the monitoring board in Japan and other jurisdictions.

The effect of auditor narcissism on audit market competition

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hojat Mohammadi ◽  
Mahdi Salehi ◽  
Meysam Arabzadeh ◽  
Hassan Ghodrati
Keyword(s):  
Financial Markets ◽  
Significant Relationship ◽  
Design Methodology ◽  
Audit Quality ◽  
Stock Exchange ◽  
Market Competition ◽  
Competitive Pressure ◽  
Content Type ◽  
Listed Firms ◽  
Audit Market

Purpose This paper aims to assess auditor narcissism’s effect on audit market competition (auditor concentration, clients’ concentration and competitive pressure). Design/methodology/approach This paper’s method is descriptive-correlational based on published information from listed firms on the Tehran Stock Exchange from 2012 to 2018 using a sample of 188 firms (1,310 observations). The method used for hypothesis testing is linear regression using panel data. Findings The results show a negative and significant relationship between auditor narcissism and audit market competition and its indices, including auditor concentration, clients’ concentration and competitive pressure. Moreover, a positive and significant relationship was observed between audit quality and audit market competition and its indices, including auditor concentration, client concentration and competitive pressure. Originality/value To analyzes competition indices in the audit market (auditor concentration, clients’ concentration and competitive pressure). The variable is assessed once more using the exploratory factor analysis of the so-called three variables single variable, named audit market competition. So the central question of the study is investigated within a broader sense. Moreover, as the present study is carried out in the emergent financial markets with extremely competitive audit markets to figure out the effect of auditors’ intrinsic characteristics on such markets’ competitiveness, it can provide useful information in this field.

Efficiency evaluation of Indian oil and gas sector: data envelopment analysis

2019 ◽  
Vol 14 (2) ◽  
pp. 362-378 ◽  
Author(s):  
Vikas Vikas ◽  
Rohit Bansal
Keyword(s):  
Data Envelopment Analysis ◽  
Technical Efficiency ◽  
Capital Investment ◽  
Oil And Gas ◽  
Stock Exchange ◽  
Scale Efficiency ◽  
Data Envelopment ◽  
Content Type ◽  
Indian Economy ◽  
Oil And Gas Sector

Purpose Data envelopment analysis (DEA), a non-parametric technique is used to assess the efficiency of decision-making units which are producing identical set of outputs using identical set of inputs. The purpose of this paper is to find the technical efficiency (TE), pure technical efficiency and scale efficiency (SE) levels of Indian oil and gas sector companies and to provide benchmark targets to the inefficient companies in order to achieve efficiency level. Design/methodology/approach In the present study, a group of 22 oil and gas companies which are listed on the National Stock Exchange for which the data were available for the period 2013–2017 has been considered. DEA has been performed to compare the efficiency levels of all companies. To measure efficiency, three input variables, namely, combined materials consumed and manufacturing expenses, employee benefit expenses and capital investment and two output variables – operating revenues and profit after tax (PAT) have been considered. On the basis of performance for the financial year ending 2017, benchmark targets based on DEA–CCR (Charnes, Cooper and Rhodes) model have been provided to the inefficient companies that should be focused upon by them to attain the efficiency level. The performance of the companies for the past five years has been examined to check the fluctuations in the various efficiency scores of the companies considered in the study over the years. Findings From the results obtained, it is observed that 59 percent, i.e. 13 out of 22 companies are technically efficient. By considering DEA BCC (Banker, Charnes and Cooper) model, 16 companies are observed to be pure technically efficient. In terms of SE, there are 14 such companies. The inefficient units need to improve in terms of input and output variables and for this motive, specified targets are assigned to them. Some of these companies need to upgrade significantly and the managers must take the concern earnestly. The study has also thrown light on the performance of the companies over last five years which shows Oil India Ltd, Gujarat State Petronet Ltd, Petronet LNG Ltd, IGL Ltd, Mahanagar Gas, Chennai Petroleum Corporation Ltd and BPCL Ltd as consistently efficient companies. Research limitations/implications The present study has made an attempt to evaluate the efficiency of Indian oil and gas sector. The results of the study have significant inferences for the policy makers and managers of the companies operating in the sector. The results of the study provide benchmark target level to the companies of Oil and Gas sector which can help the managers of the relatively less efficient companies to focus on the ways to improve efficiency. The improvement in efficiency of a company would not only benefit the shareholders, but also the investors and other stakeholders of the company. Originality/value In the context of Indian economy, very limited number of studies have focused to measure the efficiency of oil and gas sector in the context of Indian economy. The present study aims to provide the latest insight to the efficiency of the companies especially operating in the Indian oil and gas sector. Further, as per our knowledge, this study is distinctive in terms of analyzing the efficiency of Indian oil and gas sector for a period of five years. The longitudinal study of the sector efficiency provides a bird eye view of the average efficiency level and changes in the efficiency levels of the companies over the years.

The relationship between cost stickiness and financial reporting quality in Tehran Stock Exchange

2018 ◽  
Vol 67 (9) ◽  
pp. 1550-1565 ◽  
Author(s):  
Mahdi Salehi ◽  
Nasrin Ziba ◽  
Ali Daemi Gah
Keyword(s):  
Financial Reporting ◽  
Design Methodology ◽  
Stock Exchange ◽  
Reporting Quality ◽  
Financial Reporting Quality ◽  
Statistical Software ◽  
Testing Hypotheses ◽  
Content Type ◽  
The Relationship ◽  
Cost Stickiness

Purpose The purpose of this paper is to investigate the relationship between financial reporting and cost stickiness in companies listed on the Tehran Stock Exchange. Design/methodology/approach Data of all Iranian manufacturing listed companies gathered for testing hypotheses during 2010–2016 and R statistical software are employed in order to analyzing data. Findings The results of this study indicate that there is a significant relationship between administrative, sale, material, labor and overhead costs and the financial reporting qualities of the companies under study. Originality/value The study focuses on relationship between financial reporting and cost stickiness in companies listed on the Tehran Stock Exchange, which is the first study of its type in Iran.

Relationship between corporate governance and audit switching: Iranian evidence

2017 ◽  
Vol 59 (5) ◽  
pp. 673-686
Author(s):  
Mahdi Salehi ◽  
Ali Asgar Alinya
Keyword(s):  
Corporate Governance ◽  
Design Methodology ◽  
Stock Exchange ◽  
Listed Companies ◽  
Panel Analysis ◽  
Cross Sectional ◽  
Content Type ◽  
Effective Factors ◽  
Dependent Variables ◽  
The Relationship

Purpose This paper aims to investigate the relationship between corporate governance and auditors switching of listed companies on the Tehran Stock Exchange. Design/methodology/approach To achieve the objectives of this study, 12 hypotheses developed which and tests the relationship between corporate governance and selecting and switching auditors in Iran during 2008-20014 by selecting 116 listed companies on the Tehran Stock Exchange. To test the hypotheses, the cross-sectional time-series nature of research variables data, panel analysis is used. Also, to investigate the relationship between independent and dependent variables in each year, the logistic regression is used. Findings The results of the study indicate that there is a weak relationship between corporate governance auditors switching. Therefore, it could be concluded that there are some other effective factors on which selecting and switching auditors in studied companies are more dependent. Originality/value The current study is almost the first study which has been conducted in Iran, so the results of the study may be beneficial to the Iranian conditions as well as other developing countries.

Review of securities class action filings in 2015

2016 ◽  
Vol 17 (3) ◽  
pp. 1-27
Author(s):  
Alexander Aganin
Keyword(s):  
Design Methodology ◽  
Stock Exchange ◽  
Class Action ◽  
Current View ◽  
Content Type ◽  
Industry Sector ◽  
Class Actions ◽  
Trends Over Time ◽  
Loss Index

Purpose To provide an analysis of securities class action filings in 2015 along with related trends over time and a comprehensive current view of the securities class action landscape. Design/methodology/approach Details 2015 securities class actions and related trends in terms of the number and size of filings; market capitalization losses; the litigation exposure of IPOs; the classification of complaints; litigation likelihood for US exchange-listed companies; resolutions (settlements, dismissals or trial verdict outcomes); timing of dismissals and settlements; filing lags; filings against foreign issuers; number of mega filings; recent rulings related to class certification; and concentration of class action activity by industry sector, stock exchange and court circuit. Findings The number of filings in 2015 was the largest since 2008. The Disclosure Dollar Loss Index® (DDL Index®), the Maximum Dollar Loss Index® (MDL Index®) and the number of mega filings rose sharply in 2015 after declines in 2014. The Consumer Non-Cyclical sector had the most filings in 2015 while filings against companies in the Financial sector were below historical averages. Dismissal rates appear to be trending down. The median filing lag has never been shorter than in 2015. Filings against foreign issuers remain at high levels. Filings against S&P 500 companies remained below the historical average. Originality/value Detailed analysis by legal and industry experts.

A paradigm shift in corporate social responsibility: India’s transition from mandatory regime to the COVID-19 era

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Aparna Bhatia ◽  
Amandeep Dhawan
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Paradigm Shift ◽  
Design Methodology ◽  
Gradual Increase ◽  
Stock Exchange ◽  
Content Type ◽  
Global Pandemic ◽  
Corporate Social ◽  
Practical Implications

Purpose This study aims to examine the pattern of corporate social responsibility expenditure (CSRE) incurred by Indian companies after the inception of Companies Act 2013. It also highlights the resultant change brought in the corporate social responsibility (CSR) spends of the companies because of COVID-19 pandemic. Design/methodology/approach The CSR index provided by the Ministry of Corporate Affairs under Companies (CSR Policy) Rules 2014, is adopted to measure the extent of CSRE made by top 30 Indian companies listed on Bombay Stock Exchange. To study the pattern of CSRE in various domains mentioned in the CSR index, the study is conducted over four points of time. Three alternative years since the commencement of the Companies Act 2013 i.e. 2014–2015, 2016–2017 and 2018–2019 have been taken up. Additionally, the financial year 2019–2020 is included as it marks the inception of the COVID-19 pandemic. Findings The findings show that the CSRE made by companies is increasing every year over all points of time taken in the study. In addition to this, Indian companies have voluntarily contributed a substantial amount towards COVID-19 relief over and above the required mandatory limits. Practical implications The gradual increase in CSR contributions even above the mandated amount and voluntary contribution towards COVID-19 relief by Indian companies implies that the nature of CSR in India is still philanthropic. Originality/value The study contributes to the CSR literature after the implementation of the mandatory CSR provisions in India and in the wake of the global pandemic caused by COVID-19 as so far there is no such study available in the extant literature.

Muddying the waters: when does short selling become market manipulation?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Gregory Durston
Keyword(s):  
Design Methodology ◽  
Stock Exchange ◽  
Listed Company ◽  
Short Selling ◽  
Market Manipulation ◽  
London Stock Exchange ◽  
Content Type ◽  
High Court ◽  
Regulatory Actions

Purpose This paper aims to consider “spoofing”, “layering” and “short reports” in the context of market manipulation and, in particular, a recent controversy involving a short-selling attack on a major UK listed company that was considered by the High Court. Design/methodology/approach The very demanding legal and evidential prerequisites and practical difficulties, involved in bringing both criminal and regulatory actions in such cases are identified and discussed, as is the role of the Financial Conduct Authority. Findings These challenges help explain why so few actions of this type are brought. Originality/value This is the first paper to consider the implications of Burford Capital Limited v London Stock Exchange Plc [2020] EWHC 1183 (Comm).

Fuzzy-based MTD

2020 ◽  
Vol 54 (1) ◽  
pp. 66-84
Author(s):  
Eppili Jaya ◽  
B.T. Krishna
Keyword(s):  
Design Methodology ◽  
Moving Objects ◽  
Target Location ◽  
Fractional Fourier Transform ◽  
Search Space ◽  
Moving Target ◽  
Content Type ◽  
Linguistic Rules ◽  
Peak Energy ◽  
Fuzzy Linguistic

Purpose Synthetic aperture radar exploits the receiving signals in the antenna for detecting the moving targets and estimates the motion parameters of the moving objects. The limitation of the existing methods is regarding the poor power density such that those received signals are essentially to be transformed to the background ratio. To overcome this issue, fractional Fourier transform (FrFT) is employed in the moving target detection (MTD) process. The paper aims to discuss this issue. Design/methodology/approach The proposed MTD method uses the fuzzy decisive approach for detecting the moving target in the search space. The received signal and the FrFT of the received signal are subjected to the calculation of correlation using the ambiguity function. Based on the correlation, the location of the target is identified in the search space and is fed to the fuzzy decisive module, which detects the target location using the fuzzy linguistic rules. Findings The simulation is performed, and the analysis is carried out based on the metrics, like detection time, missed target rate, and MSE. From the analysis, it can be shown that the proposed Fuzzy-based MTD process detected the object in 5.0237 secs with a minimum missed target rate of 0.1210 and MSE of 23377.48. Originality/value The proposed Fuzzy-MTD is the application of the fuzzy rules for locating the moving target in search space based on the peak energy of the original received signal and FrFT of the original received signal.

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