STRATEGIC FORECAST OF MULTIFACTORIAL IMPACT ON THE EFFICIENCY OF DIVERSIFIED ENTERPRISES

The purpose of the present scientific research is to perform a strategic forecast of multifactorial impact on the efficiency of diversified enterprises, construction of a multifactorial linear regression model of strategic forecast of profitability level of the studied enterprises, as well as a multifactorial model of logistic regression of strategic forecast of low profitability risks as a result of implementation of innovative strategies of diversified enterprises’ development of in the long run. To achieve this purpose, the main criteria were ranked (Kruskal — Wallis ranking criteria (KWC) to assess the differences between the medians of different samples (c > 2), where KWC is a nonparametric alternative to the F-criterion in the one-factor analysis of variance. If the conditions necessary for the application of the F-criterion in multivariate variance-regression analysis are met, the KWC has the same influence. To build the models, the method of construction of multifactor models of logistic regression with step-by-step inclusion/exclusion of features was used (Stepwise with the inclusion threshold p < 0.1 and the exclusion threshold p > 0.2). The research was conducted on the basis of data from the State Statistics Committee and on the basis of data analysis of the surveyed agro-industrial enterprises. Strategic forecast of the results of multifactorial impact on the efficiency of diversified enterprises was made, based on the formation of a rational management structure of innovative strategies for the development of diversified agro-industrial enterprises. The obtained results allowed to obtain the median indicators of the general set of research objects and a clear bifurcation picture of the strategic development of enterprises for the future. A methodical approach to the implementation of strategic forecasting of multifactorial impact on the efficiency of diversified enterprises, based on the development of strategic guidelines for diversified enterprises taking into account the system of restraining factors of innovative development. This allowed to establish that selection and development of innovative strategies assessment of compliance of internal capabilities of the enterprise (potential of innovative development) with external (market opportunities and threats), with regard to the pace of scientific and technological progress and the resulting change in the elements of micro- and macrosystems of the infrastructure of the enterprise. The multifactorial analysis and construction of the multifactor model of linear regression of strategic forecast of agro-industrial enterprises’ profitability, as well as the multifactorial model of logistic regression of strategic forecast of low profitability risks probability have proved the usefulness of implementation of innovative strategies of competitiveness on domestic and foreign markets. Keywords: agro-industrial enterprise, diversified enterprise, innovative development strategy, optimal strategic decision, strategic forecast. JEL Classification С53, O13, O12 Formulas: 4; fig.: 9; tabl.: 4; bibl.: 33.

Mutual Fund Performance Persistence and Competition: Pakistan’s Open Ended Mutual Fund Performance Analysis

Mutual Funds through its professional managers enable small investors to enjoy benefits of capital market with small amount. This study with special focus on Pakistani Mutual Fund industry, tests the suitability of traditional measures and multifactor, asset pricing models on the Mutual Fund performance. Owing to rareness of the applicability of the multifactor models in comparison to traditional measures, in evaluating Mutual Fund performance in modern day Pakistani research, the study uses CAPM, Fama French, Carhart models in the performance evaluation of Pakistan Mutual Fund. The data of 100 open-end Mutual Funds, for the period 2005 to 2017 was collected from Mutual Fund Association of Pakistan; while the risk free rates data was collected from State Bank of Pakistan and Stock data from Pakistan Stock Exchange for predicting the results, Ratio analysis, CAPM, Fama French-3 Factor and Carhart-4 factor model were used to understand its suitability. The results demonstrated that application of CAPM, affect market factors of majority of the portfolios.Where as in other two models (Fama French, Carhart) the majority of the portfolios are insignificantly affected by the size factor, value factor and Momentum factor. The Gibbon Rose Shanken unveils the suitability of the best model and justify CAPM as the better model among the three competing models in evaluate on theMutual Fund performance in Pakistan. The study has certain implications for the managers of assets management companies as well as useful for the investors in knowing which funds perform better and which kind of funds are ideal for investment.

The application of different term-structure models to estimate South African real spot rate curve

The purpose of this study is to investigate the suitable arbitrage-free term-structure model that might be able to fit the South African inflation-indexed spot-rate curve. The instrument has relatively less tradability in the market, which then translates into a lack of adequate data for bond valuation/pricing. Pricing deviations might give inflated/deflated projections on the value of government debt; consequently, higher estimated interest cost to be paid. A proper valuation of these instruments is mandatory as they form part of government funding/borrowing and the country’s budgeting processes in the medium term. The performance of newly developed non-linear multifactor models that follows the Nelson-Siegel (1987) framework was compared to the arbitrage-free Vasicek (1977) model and linear parametric models to assess any significant deviations in forecasting the real spot-rate curve over a short period. Models with constant parameters (i.e. linear parametric, cubic splines, Nelson-Siegel (1987) and Svensson (1994)) gave a perfect fit, they proved to marginally lose fitting capabilities during periods of higher volatility. Therefore, it could be concluded that the application of either Nelson-Siegel (1987) model or Svensson (1994) model on forecasting South African real spot-rate curve gave a perfect fit. However, for a solid conclusion to be derived, it is imperative to explore the performance of these models over a period of stressed market and economic conditions.

Methodological peculiarities of probability estimation of bankruptcy of agrarian enterprises in Ukraine

Purpose. The purpose of the study is to develop the concept of complex estimation of bankruptcy probability of agrarian enterprises in Ukraine, taking into account the specifics of agricultural activities. Methodology / approach. To achieve the purpose, the following research methods were used: abstract-logical (at disclosing the essence of the concept of “bankruptcy”); dialectical (for theoretical generalizations on determining the problems and ways to overcome them, drawing conclusions); expert estimations, comparative analysis, analysis and synthesis (at developing the concept of estimating the probability of bankruptcy); relative indicators-coefficients (at studying models for estimating the probability of bankruptcy occurrence); monographic (for in-depth study of separate types of factors affecting the probability of bankruptcy); graphical and tabular (at presenting the research results). Results. It has been proven that the discriminant analysis for estimating the probability of bankruptcy (the construction of multifactor models that summarize the most important financial indicators in the integrated index) does not take into account the industry characteristics of agrarian enterprises. The concept of bankruptcy diagnostics is proposed, which combines discriminant analysis and expert estimation of qualitative signs of a possible crisis of an agrarian enterprise. The indicators selected for expert examination cover non-financial factors – the risks and threats to agricultural production in Ukraine, and their generalization may specify the risk of bankruptcy occurrence. The scoring model has been derived by the method of expert estimations, the scale has been developed, which is combined with the discriminant one that will enable to bring the results of the research into the interval of the indicator for estimating the occurrence of bankruptcy. Originality / scientific novelty. The definition of the term “bankruptcy” has been improved: the author’s definition combines the economic and legal approaches to it. The main risks of agricultural activities in Ukraine have been specified and their impact on the probability of bankruptcy of agrarian enterprises has been outlined. It has been developed the methodological concept for estimating the probability of bankruptcy of agrarian enterprises, which takes into account informal factors. For the first time, in order to predict the bankruptcy of agrarian enterprises, it has been proposed to combine discriminant analysis and expert estimation of qualitative indicators that increase its risk in agriculture. Practical value / implications. The application of the developed methodology provides an opportunity for the agrarian enterprise of timely responding to the threats of financial crisis and bankruptcy in order to prevent them. The proposed approach can be used as an element of estimating the insurance risk or investment attractiveness of agricultural enterprises. In case of its adaptation, the methodology can be used in foreign practice.

How to Explain the Cross-Section of Equity Returns through Common Principal Components

In this paper, we propose a procedure to obtain and test multifactor models based on statistical and financial factors. A major issue in the factor literature is to select the factors included in the model, as well as the construction of the portfolios. We deal with this matter using a dimensionality reduction technique designed to work with several groups of data called Common Principal Components. A block-bootstrap methodology is developed to assess the validity of the model and the significance of the parameters involved. Data come from Reuters, correspond to nearly 1250 EU companies, and span from October 2009 to October 2019. We also compare our bootstrap-based inferential results with those obtained via classical testing proposals. Methods under assessment are time-series regression and cross-sectional regression. The main findings indicate that the multifactor model proposed improves the Capital Asset Pricing Model with regard to the adjusted-R2 in the time-series regressions. Cross-section regression results reveal that Market and a factor related to Momentum and mean of stocks’ returns have positive risk premia for the analyzed period. Finally, we also observe that tests based on block-bootstrap statistics are more conservative with the null than classical procedures.

Risk and Performance of European Green and Conventional Funds

This paper analyzes how the risk-adjusted returns of green funds compare to those of conventional funds, between the years 2005 and 2020 for the European Union countries. Additionally, we tested how the performance of green funds correlates to the business cycle, subdividing their performance through expansionary and recessionary times. The findings are summarized as follows: our regression results demonstrated green and conventional funds exhibiting negative abnormal adjusted-returns against the developed world market benchmark for the single-factor and multifactor models. For the European market benchmark, we found environmental mutual funds presenting a positive performance for both models and conventional funds displaying negative results for the single-factor model and positive results for the multifactor model. The factor loadings for green funds indicated a negative load on momentum, book-to-market (HML) and size (SMB) factors, revealing a higher exposure to big and value companies. Subsampling per business cycle exhibited green mutual funds providing higher risk-adjusted returns to investors during crisis periods and mixed results for the non-crisis periods.

The dynamic model for the sustainable development of the domestic tourism in the Russian Federation

The article examines the role of the tourism industry in creating new jobs in the regions and increasing the welfare of the population. The multiplicative effect of the tourism industry is expressed in the active development of related sectors of the national economy. The spillover effect of tourism spending on the region’s economy can be estimated using an “input-output” model. The paper provides an algorithm for determining the impact of changes in tourism spending on gross output by industry, income and employment in the region. Studies have shown that the development of tourism in St. Petersburg leads to an uneven formation of output, income and employment in various sectors of the region’s economy. The development of the concept of sustainable tourism development should be based on an assessment of the socio-economic state and prospects for the development of the tourism industry. The methodology, which includes an assessment of the resource and throughput potential, is most fully consistent with the principles of the concept of sustainable tourism development. Application of the World Bank methodology for the development of the adjusted net savings index. It allows you to internalize the external costs of economic activity associated with negative impacts on ecosystems and public health, which are an underestimated value in models of sustainable tourism development. The combination of this methodology with traditional multifactor models for assessing the level of tourism development will allow a more targeted approach to the choice of mechanisms and objects of state regulation at the regional levels within the framework of indicative planning.

APPROACHES TO FORECASTING INDICATORS TO DETERMINE THE NEED FOR TEACHERS IN THE SYSTEM OF GENERAL SECONDARY EDUCATION

Considering the current stage of development of general secondary education, one of the most important issues is to provide qualified pedagogical staff to the general secondary education institutions (GSEIs). This research examines the framework for forecasting the indicators of the general secondary education system using demographic information and statistical reporting data at the national and regional levels by types of territory (urban settlements, rural areas). New approaches to the analysis of the information environment for forecasting the evolution of indicators have been implemented and the set tasks have been thoroughly researched. The logical sequence of the indicators was defined so the principles and methods of forecasting can be implemented. The framework for the created models and applied methods used for calculating the forecast values of indicators was substantiated, in particular the general school body, number of pupils of ninth grade who will continue attending tenth grade, number of pedagogical staff, teachers and teachers of retirement age still working. The calculations of the forecast school body for the period of 2020/2021–2024/2025 academic years allow identifying certain trends in migration and demographic processes occurring in the regions of Ukraine. Estimated forecast values for the period of 2020/2021–2024/2025 academic years for the number of pedagogical staff, teachers and teachers of retirement age still working allows us to assess the annual additional need for qualified personnel for the GSEIs. The usage of the obtained results will become an important background for the creation of multifactor models to simultaneously take into account the impact of several factors on the development of the forecast system and assess the prospects for its development in the future.

The threshold and semantic characteristics of fast transient visual-perceptive processes in patients with affective disorders

The article is devoted to the currently topical problem of modern medical psychology, namely the study of conscious and unconscious perceptual-information processes in patients with affective disorders. The aim of the work was to determine the thresholds and semantic components of visual perception in patients with various forms of affective disorders. The latest method of ultrafast (tachistoscopic) demonstration of visual verbal stimuli was used to examine 23 patients with depression and anxiety-depressive disorders. The obtained results are compared with similar indicants of the control group, which consisted of 15 mentally healthy individuals, and analyzed using Student's criterion, one-way and multifactor models of analysis of variance. It has been shown that in the presence of an affective disorder, the threshold exposure time required for reliable identification of visual verbal stimuli is on average more than three times higher, i.e. is much worse than a similar perceptual threshold in individuals without mental disorders. Thus, in affective disorders there is inhibition and suppression of not only emotional and psychomotor, but visual-perceptual processes as well. It is proved that the time thresholds of visual perception significantly depend not only on the presence of emotional disorders, but also on their psychopathological structure, as well as on the age factor. In depressed patients, visual-perceptual disorders are much more pronounced than in patients with anxiety-depressive disorders, namely: in depression, the minimal absolute sensory thresholds are significantly higher, more attempts are made to adapt the visual analyzer, and this deficit is significantly increased depending on age. In patients with depressive and anxiety-depressive disorders also revealed significant features of psychosemantic components of the mechanisms of recognition of verbal stimuli, which consists in a kind of unconscious filtering of the latter with a predominant perception of words with negative emotional loading. The obtained results might be meaningful in the process of developing the new diagnostic methods for affective disorders and in creating the personalized psycho-correctional programs based on the methodological principles of subsensory stimulation.