JEFAS Vol. 19 Nº 36 (2014)

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4124

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Fecha de finalización: 2014Idioma: search.filters.itemlanguage.Inglés

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  • Miniatura
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    Index tracking and enhanced indexation using a parametric approach
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Chávez-Bedoya Mercado, Luis C.; Birge, John R.
    Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index.
  • Miniatura
    ÍtemSolo Metadatos
    Aid allocation, selectivity, and the quality of governance
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) In’airat, Mohammad
    The introduction of good governance in the economic growth and development agenda in the last two decades, along with the failure of aid conditionality to produce positive growth results, motivated ex-post selectivity instead of the ex-ante conditionality as a new approach to aid allocation. This paper aims to explore whether aid selectivity on the basis of the quality of governance is employed as a criterion in foreign aid allocation. The paper uses different instrumental variables as estimators to analyze the determinants of aid allocation over the period 2001–2010. The results produced strong evidence that countries with good governance are given preferential treatment by donors. Among the six governance indicators, it seems that voice and accountability and control of corruption are critical in the aid allocation decision.
  • Miniatura
    ÍtemSolo Metadatos
    Investment cash flow sensitivity under managerial optimism: New evidence from NYSE panel data firms
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Mohamed, Ezzeddine Ben; Fairchild, Richard; Bouri, Abdelfettah
    Investment cash flow sensitivity constitutes one important block of the corporate financial literature. While it is well documented in standard corporate finance, it is still young under behavioral corporate finance. In this paper, we test the investment cash flow sensitivity among panel data of American industrial firms during 1999-2010. Using Q-model of investment (Tobin, 1969), we construct and introduce a proxy of managerial optimism following Malmendier and Tate (2005a) to show the impact of CEOs’ optimism in the relationship between investment and internal cash flow. Our results report a positive and significant coefficient of investment to cash flow for the full sample. While, on estimations of our model using sub-sample of more and less constrained firms, we find that the sensitivity exists stronger only for totally constrained group. We find also that board characteristics can reduce investment policy's distortions.
  • Miniatura
    ÍtemSolo Metadatos
    Examining mean-volatility spillovers across national stock markets
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Natarajan, Vinodh Kesavaraj; Raja Singh, Azariah Robert; Priya, Nagarajan Chidham
    The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study by taking into consideration the stock market returns based on various indices investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to (2011). The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.