Estimating the CAPM Beta for Public and Private Firms

2020 ◽  
pp. 99-125
Author(s):  
Luis Javier Sanchez-Barrios ◽  
Benedicto Kulwizira Lukanima ◽  
Natalia Hernandez-Vargas ◽  
Luis Ricardo Almanza Herazo
Keyword(s):  
Sampling Period ◽  
Data Series ◽  
Alternative Measure ◽  
Private Company ◽  
Public And Private ◽  
Market Index ◽  
Thin Markets ◽  
Capm Beta ◽  
Irregular Data ◽  
Data Frequency

This chapter presents solutions to some challenges when calculating CAPM Beta. Three methods for calculating traditional beta are presented and illustrated through the case of Facebook. Different choices of market index, data frequency, and sample size result in different values of beta; however, in all cases beta was greater than one. The chapter explores ordinal beta as an alternative measure to treat outliers in both developed and thin markets. Using a sample of 84 US stocks, there was no statistical difference between median traditional and ordinal betas. This was not the case for a sample of 47 Colombian stocks, which questions the usefulness of traditional beta in thin markets. In contrast with median traditional beta, median ordinal beta did not change significantly as a result of irregular data series. The contrary occurred when the observation (sampling) period was reduced; this leaves open the question of subjectivity when defining such period. Finally, the process of valuing a private company was illustrated through the case of Palmoil Ltd., a Colombian company.

Financial Reporting Fraud: Public and Private Companies

2016 ◽  
Vol 1 (1) ◽  
pp. A27-A41 ◽  
Author(s):  
A. Scott Fleming ◽  
Dana R. Hermanson ◽  
Mary-Jo Kranacher ◽  
Richard A. Riley
Keyword(s):  
Financial Reporting ◽  
Primary Objective ◽  
Private Company ◽  
Private Companies ◽  
Public And Private ◽  
Public Companies ◽  
Multivariate Tests ◽  
Public Company ◽  
Public Versus Private ◽  
Financial Reporting Fraud

ABSTRACT This study uses survey data gathered by the Association of Certified Fraud Examiners (ACFE) and provided to the Institute for Fraud Prevention (IFP) to examine differences in the profile of financial reporting fraud (FRF) between private companies and public companies. Although private companies represent a significant portion of the economy, largely due to lack of data on these companies, most research on FRF examines only public companies. The primary objective of this study is to determine how private company FRF is different from FRF in public companies. Our multivariate tests reveal that public companies have stronger anti-fraud environments, are more likely to have frauds that involve timing differences, tend to experience larger frauds, have frauds that involve a larger number of perpetrators, and are less likely to have frauds that are discovered by accident. Overall, it appears that the stronger anti-fraud environment in public companies leads public company FRF perpetrators to use less obvious fraud methods (i.e., timing differences) and to involve larger fraud teams to circumvent the controls. These public company frauds are larger than in private companies, and their larger size may make them more likely to be detected through formal means, rather than by accident. Based on the results, we encourage auditors and others to be particularly attuned to the unique risks of the public versus private setting.

scholarly journals An Empirical Note on the Long-Run Effects of Public and Private R&D on TFP

2021 ◽  
Author(s):  
Dierk Herzer
Keyword(s):  
Theoretical Model ◽  
Private Sector ◽  
Alternative Measure ◽  
Public And Private ◽  
The Public ◽  
Panel Methods ◽  
Simple Theoretical Model ◽  
Long Run ◽  
Empirical Note ◽  
Public And Private Sector

AbstractSeveral studies have examined the long-run effects of public and private R&D on TFP with mixed results. A common feature of these studies is that they measure public and private R&D activity using perpetual inventory stocks of public and private R&D capital, constructed under the assumption that the prices of GDP, public R&D, and private R&D move identically. This note argues that the results of these studies may be biased if the assumption of identical price movements is violated. The purpose and main contribution of this note is to estimate the long-run elasticities of TFP with respect to public and private R&D using both the stock of public/private R&D capital and an alternative measure of public/private R&D activity: the number of public/private sector researchers. In addition, this study contributes to the literature by developing a simple theoretical model that formalizes the intuition of how public and private R&D affect TFP, and by using both traditional and more recent panel methods. Contrary to previous studies, it is found—using numbers of researchers in the public and private sector—that there is strong evidence both of a significant positive long-run effect of both public and private R&D on TFP and of a greater effect of public R&D than private R&D. Consistent with the mixed evidence reported in the literature, it is also found that the use of public and private R&D stocks yields mixed results regarding the long-run effects of public and private R&D on TFP.

scholarly journals Application of Correction Procedures for Some Systematic Measurement Errors to Rainfall Intensity Data of a Rain Gauge in Budapest

2021 ◽  
Author(s):  
Tibor Rácz
Keyword(s):  
Measurement Errors ◽  
Rainfall Intensity ◽  
Measurement Data ◽  
Sampling Period ◽  
Systematic Errors ◽  
Rain Gauge ◽  
Data Series ◽  
Idf Curves ◽  
Precipitation Gauge

The rainfall intensity measurement has a 150 years long history. In the first period of data recordings, the siphoned recording precipitation gauge (pluviographs), or siphoned rainfall writers (SRW), later, the tipping bucket gauges (TBG) were widely used. The systematic errors of these instruments resulted in lower intensity values for long periods. These errors were compensated sporadically. Most of the inaccurate data can be found in the high rainfall intensity range. Some of these data can be found in extracted, aggregated versions only, and the original measurement data is no longer available. These kinds of inherited systematic errors can be corrected. The fixing of siphoning error of SRWs and the supplementary correction of long sampling period data of TBG devices can be a suitable method for the elimination of these issues. In this paper, the application of these two methods is shown in a case study to point out the magnitude and effect of these errors on the IDF curves. The case study on the use of the before-mentioned correction procedures is performed on the rainfall data of the Budapest-Belterület (Budapest City) rainfall station, using data series spanning 105 years. These corrections show that the earlier IDF curves can show 5–10% lower intensities, mainly in the short and low return frequency rainfalls. The result of these kinds of corrections can be significant for the climate change investigations or in the re-evaluation of the elder IDF curves.

Conventions of Audit Quality: The Perspective of Public and Private Company Audit Partners

2018 ◽  
Vol 37 (2) ◽  
pp. 51-71 ◽  
Author(s):  
Marion Brivot ◽  
Mélanie Roussy ◽  
Maryse Mayer
Keyword(s):  
Audit Quality ◽  
Value Added ◽  
Professional Judgment ◽  
Private Company ◽  
Public And Private ◽  
Financial Situation ◽  
Big 4 ◽  
Audit Firms ◽  
Public Company ◽  
Depth Analysis

SUMMARY This research is based on an in-depth analysis of 34 interviews with partners in Big 4, medium-sized, and small audit firms that specialize in private and/or public company audits, to explore how they understand the concept of audit quality. Two contrasting conventions—i.e., shared judgment norms—of audit quality emerge from the analysis. Public company audit partners in Big 4 firms espouse what we call the “model” audit quality convention, which considers that audit quality results from a technically flawless audit, where professional judgment is highly formalized, and quality is attested by a perfectly documented audit file that passes Canadian Public Accountability Board (CPAB) and PCAOB inspections. In contrast, partners working primarily on private company audits, regardless of their firm's size, endorse what we call the “value-added” audit quality convention, which considers that audit quality results from tailoring the audit to meet the client's unique needs, where professional judgment is unconstrained, and where quality is attested by the client's perception that the audit has given a better understanding of their financial situation and the associated risks and opportunities. Our analysis also reveals significant tensions within each of these two conventions, and a fear that the current regulatory framework for quality control might end up severely hurting audit quality.

scholarly journals Analysis of the Safety Resilience Implementation in the Maritime Industry at Public and Private Companies (A Case Study in Indonesia)

Safety ◽  
2021 ◽  
Vol 7 (3) ◽  
pp. 56
Author(s):  
Zulkifli Djunaidi ◽  
Annisa Ayu Tantia ◽  
Mufti Wirawan
Keyword(s):  
Quantitative Methods ◽  
Sampling Technique ◽  
Learning Ability ◽  
Maritime Industry ◽  
Private Company ◽  
Private Companies ◽  
Public And Private ◽  
The Public ◽  
Public Company ◽  
Anticipatory Action

(1) Background: The resilience concept shows performance improvement in four potential aspects consisting of the ability to respond, provide anticipatory action, control things that occur internally and externally, as well as the learning process of what is going right and what is going wrong. This study aims to analyze the safety resilience implementation in the Indonesian maritime sector. (2) Method: This is a descriptive study using semi-quantitative methods, using interview guides based on the Resilience Assessment Grid (RAG). The sampling technique is purposive sampling. (3) Results: The level of implementation of safety resilience at the public company was 75.1%, while the private company was 70.2%. The score for each safety resilience element in the public and private companies are as follows: the ability to respond (80%), learning ability (74.62%), monitoring ability (70.77%), and the ability to anticipate (66.92%). (4) Conclusion: The safety resilience implementation in Indonesian sea transportation shipping has not been optimal in implementing the safety resilience concept. The focus of implementing safety is still on preventing and controlling accidents. The other orientation of ability improvement in the safety resilience concept has not been implemented.

scholarly journals Examination of Index Model and Prediction of Beta –A Case Study Examination in IT Sector

2019 ◽  
Vol 8 (2) ◽  
pp. 226
Author(s):  
B Rajesh Kumar ◽  
Manuel Fernandez
Keyword(s):  
Stock Returns ◽  
Predictive Ability ◽  
Case Analysis ◽  
Data Series ◽  
Market Returns ◽  
Monthly Data ◽  
Index Model ◽  
Market Index

This study examines the determinants of stock returns of IT companies based on index model. The study examines the index model using the case analysis of stock returns of three IT Companies-Apple, Google and Microsoft. The analysis was done using the latest five-year monthly data. The study reveals that market index returns is a powerful determinant of stock returns. In terms of sensitivity as measured by beta values, Apple was most sensitive to fluctuations in market returns followed by Google and Microsoft stock returns. The study also examines the predictive ability of current beta using five-year data series of 15 IT companies. The results were statistically insignificant. 

scholarly journals What Is ‘Tenderpreneuring’? A Review of the Literature

2019 ◽  
Vol 14 (12) ◽  
pp. 128
Author(s):  
Veronica Goitsemang Magang ◽  
Tebogo Israel Teddy Magang
Keyword(s):  
Best Practice ◽  
National Level ◽  
Policy Decision ◽  
Decision Makers ◽  
Review Of The Literature ◽  
Private Company ◽  
Public And Private ◽  
The Public ◽  
Governance Practices ◽  
Public And Private Sector

This paper theoretically attempts to examine a ‘buzzword’ which has been used to describe a system of awarding tenders [infamously referred to as ‘tenderpreneuring’] in developing countries, by conducting a review of the literature on this practice. The paper endeavors to define ‘tenderpreneuring’ by examining literature, reports, opinion pieces etc on this practice which seems to be spreading rapidly in the public and private sectors in Botswana, South Africa, Kenya in particular. The paper also makes an effort to make a comparison between “tenderpreneuring’ and the traditional form of tendering which follows best practice governance principles. An endeavor is also made to trace the roots of ‘tenderpreneuring’ and how ‘tenderpreneuring’ has the potential to negatively impact citizen economic empowerment. The paper further attempts to use the theory of accountability to demonstrate that where tendeperpreneuring is practiced, there are potential connotations of poor governance on the part of [government or private company] officers who award lucrative tenders to tenderpreneurs. The paper concludes by attempting to examine the possible ramifications of ‘tenderpreneuring’. Consisely, it concludes that tenderpreneuring has the potential to condemn the society to poverty at both personal and national level and rob them of their respect and dignity. The discussion from this paper has potential to conscientise policy decision makers on bad governance practices emanating from possibly crooked tendering processes both in the public and private sector under the code name ‘tenderpreneuring’.

scholarly journals A Comparative Analysis Study on Mobile Banking and Mobile Wallet Services in India

2021 ◽  
Vol 9 (4) ◽  
pp. 17-23
Author(s):  
K Karthikeyan ◽  
M Dinesh Kumar
Keyword(s):  
Banking Sector ◽  
Electronic Device ◽  
Mobile Apps ◽  
Physical Activities ◽  
Mobile Banking ◽  
Private Company ◽  
Private Companies ◽  
Public And Private ◽  
Value Analysis ◽  
Bar Code

Banking sectors are fully focused on Mobile Banking and Mobile wallets and engage in electronic device and apps initiatives by reducing physical activities in banking operations. Mobile Banking and Mobile Wallet practices perceived various electronic products and services to measures supporting private companies, public and private banking sector procedures to electronic management systems and reduction of fuel and cost proper utilization. They are the best performance and efficiency of Mobile Banking and Mobile Wallet in the key of elements in the financial system. The most important mobile banking services have been mentioned through Account Access, Balance Enquiry, E-Passbook, Account Statement, Fund Transfer, Bill Payment, Branch Locator, ATM Locator and Requests, etc. Mobile wallet’s procedure is to open a zero account to submit KYC for address proof rather than submit a mobile number—payment using a one-time password, pin code, or bar code. The funds are limited to transactions only. Most private companies, public and private sector banks are; Airtel Money, Axis Bank Lime, Citrus Pay, Freecharge, ICICI Pockets, Itz Cash, Jio Money, Mobikwik, Oxigen, mRuppee, Paytm, SBI Buddy, SpeedPay, Vodafone M-Pesa, etc. The awareness of mobile banking and mobile wallet products and services is ready for all people using modern banking activities. Mobile banking and mobile wallets reduce physical activities and use information technology devices for proper handling of banking websites and private company mobile apps etc. This relative study of Mobile Banking and Mobile Wallet shows that there are significant differences in the transactions of Mobile Banking and Mobile Wallet volume and value. Analysis simple percentages have been used to analyze and interpret the data on Mobile Banking and Mobile Wallet volume and value made in India during the study period of 2012-13 to 2018-19 (7 years).

Efficient and Accurate Calculation of Discrete Frequency Response Functions and Impulse Response Functions

2015 ◽  
Author(s):  
Y. F. Xu ◽  
W. D. Zhu
Keyword(s):  
Frequency Response ◽  
Impulse Response ◽  
Coherence Function ◽  
Sampling Period ◽  
Random Excitation ◽  
Spectral Lines ◽  
Data Series ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Discrete Frequency

Modal properties of a structure can be identified by experimental modal analysis (EMA). Discrete frequency response functions (FRFs) and impulse response functions (IRFs) between responses and excitation are bases for EMA. In calculation of a discrete FRF, discrete Fourier transform (DFT) is applied to both response and excitation data series, and a transformed data series in DFT is virtually extended to have an infinite length and be periodic with a period equal to the length of the series; the resulting periodicity can be physically incorrect in some cases, which depends on an excitation technique used. There are various excitation techniques in EMA, and periodic extension in DFT for EMA using periodic random and burst random excitation is physically correct. However, EMA using periodic random excitation needs a relatively long excitation time to have responses to be steady-state and periodic, and EMA using burst random excitation needs a long sampling period for responses to decay to zero, which can result in relatively long response and excitation data series and necessitate a large number of spectral lines for associated DFTs, especially for a high sampling frequency. An efficient and accurate methodology for calculating discrete FRFs and IRFs is proposed here, by which fewer spectral lines are needed and accuracies of resulting FRFs and IRFs can be maintained. The relationship between an IRF from the proposed methodology and that from the least-squares method is shown. A new coherence function that can evaluate qualities of FRFs and IRFs from the proposed methodology in the frequency domain is used, from which meaningful coherence function values can be obtained even with response and excitation series of one sampling period. Based on the new coherence function, a fitting index is used to evaluate overall qualities of the FRFs and IRFs. The proposed methodology was numerically and experimentally applied to a two-degree-of-freedom mass-spring-damper system and an aluminum plate to estimate their FRFs, respectively. In the numerical example, FRFs from the proposed methodology agree well with the theoretical one; in the experimental example, a FRF from the proposed methodology with a random impact series agreed well with the benchmark one from a single impact test.

scholarly journals The invasive apple snail Pomacea canaliculata in Indonesia: a case study in Lake Rawa Pening, Central Java

2020 ◽  
Vol 19 ◽  
pp. 00014
Author(s):  
Ristiyanti M. Marwoto ◽  
Heryanto Heryanto ◽  
Ravindra C. Joshi
Keyword(s):  
Rice Fields ◽  
Pomacea Canaliculata ◽  
Aquatic Weed ◽  
Alternative Measure ◽  
Apple Snail ◽  
Private Company ◽  
Central Java ◽  
Craft Industry ◽  
The Impact

The occurrence of the invasive apple snail Pomacea canaliculata in Indonesia was first reported in 1984. The species was introduced as an ornamental aquarium pet. Since then, people have begun to culture the snail in ponds usually adjacent to rice fields. When it was realized that the species multiplied rapidly and was a serious pest, this invasive apple snail had already spread widely. There are many cultural methods of controlling and preventing its distribution, but none are effective in keeping them at non-damaging levels. We mapped the distribution of P. canaliculata in Indonesia from the MZB’s collections as well as literature references and found that the snail invaded almost all large islands, such as Sumatra, Java, Kalimantan, Sulawesi, Maluku, and West Papua. We also studied the impact of P. canaliculata on the native apple snails P. ampullacea, P. scutata, and P. virescens in Lake Rawa Pening (a popular tourism destination) as a case study. The results showed that two species of Pila already disappeared from Lake Rawa Pening. Only P. scutata occurs still in the region and was found alive usually in shallow water and rice fields surrounding the lake. To resolve the problem we recommend that cleaning the lake periodically from the invasive aquatic weed Eichhornia crassipes (known to locals as “eceng gondok”) by a private company and harvesting the weeds for the local small craft industry by the local fishermen could be an alternative measure to reduce the population of the P. canaliculata, as well as collecting P. canaliculata for local food or for feeding ducks. Rearranging the number of fish-pens “karamba” and their location in the lake could be seen as an alternative way also for reducing the population of P. canaliculata, since the snails lay their egg masses on the bamboo stakes of “karamba.” Such rearrangement could make the landscape more attractive for tourism.

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