JEFAS Vol. 21 Nº 41 (2016)

Permanent URI for this collection

https://hdl.handle.net/20.500.12640/3799

Browse

Browsing JEFAS Vol. 21 Nº 41 (2016) by Issue Date

Filter results by year or month
Now showing 1 - 6 of 6
  • Thumbnail Image
    ItemMetadata only
    Corporate governance characteristics and valuation: inferences from quantile regression
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Shawtari, Fekri Ali; Salem, Milad Abdelnabi; Hussain, Hafezali Iqbal; Alaeddin, Omar; Bin Thabit, Omer
    Prior literature on corporate governance and performance provides mixed evidence on the impact ofvarious corporate governance measures on performance indicators. However, most of literatures adoptthe Ordinary Least Square (OLS). This method is based on the central tendency, which may not appro-priately represent the reality in cases where the dependent variable ranges between upper and lowervalues and hence the relationship may not be homogenous across different percentiles of the dependentvariables. A variable having a positive impact based on the central tendency for firms may not be the casefor the firms in the upper or lower bounds. Thus, estimating the means using OLS may not reflect andrepresent the heterogeneity in the estimated relationship. Therefore, quantile regression estimates therelationship at any point conditional on the distribution of dependent variable. This would enable us togenerate various estimated coefficient at certain quantile of dependent variable. Therefore, the objectiveof the study is twofold. First, this study aims to investigate the relationship between corporate gover-nance and performance using OLS. Second, this work further explores the impact of corporate governancemechanisms on performance using quantile regression so as to compare and to shed light on whetherthere is heterogeneity in the influence of these variables on the performance of listed companies acrossquantiles. The results of the study provide evidence that quantile approach shows inconsistency in theresult with OLS and hence indicating the impact depends on the scale size. This theoretically providesfurther support that OLS may represent a poor estimation approach for the reality of firms.
  • Thumbnail Image
    ItemMetadata only
    Pricing maximum-minimum bidirectional options in trinomial CEV model
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Peng, Bin; Peng, Fei
    Maximum-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 algorithm was 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.
  • Thumbnail Image
    ItemMetadata only
    Stock market index prediction using artificial neural network
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Moghaddam, Amin Hedayati; Moghaddam, Moein Hedayati; Esfandyari, Morteza
    In 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.
  • Thumbnail Image
    ItemMetadata only
    Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Velásquez Giraldo, Mateo; Gutiérrez Betancur, Juan Carlos; Almonacid Hurtado, Paula María
    Calibration 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.
  • Thumbnail Image
    ItemMetadata only
    Institutionalist versus distortionist views of labor market reforms: An investigation into the post-liberalized manufacturing sector in India
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Kumar Bhandari, Anup; Sudarsan, Arun
    Labor regulation and employment relation has been investigated in India in light of the seminal work ofBesley and Burgess (2004), considering formal sector manufacturing employment as the explained vari-able. Empirical findings support, although not very strongly, the institutionalist view, i.e., pro-workeramendment in labour laws induces employment. Among the other factors, real wage rate has significantnegative effect on employment, whereas that for real per capita developmental capital expenditure, percapita electricity generation capacity and real per capita net state domestic product is significant positive.However, effect of per capita real developmental revenue expenditure is inconclusive. In other words,although it improves employability of workers through their human capital improvement, which is prob-ably met up at the cost of worsening overall infrastructural development, through reducing correspondingcapital expenditure! Supporting evidence has also been provided favoring this conjecture.
  • Thumbnail Image
    ItemMetadata only
    Valorización de opciones reales: modelo Ornstein-Uhlenbeck
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Tresierra Tanaka, Álvaro; Carrasco Montero, Claudia Marilia
    This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the behaviour of gold prices, for the specific case of Peru, using historic prices and based on the commodity prices process. The Ornstein-Uhlenbeck model has been used for this. The main result is that to evaluate projects using the real options approach allows to evaluate –in their real magnitude– the financial benefits associated with an investment project, as it takes into account the trinomial of profitability-risk-flexibility. The assessment method using real options makes it possible to structure strategic thinking.