JEFAS Vol. 21 Nº 41 (2016)
URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4129
Examinar
4 resultados
Resultados de la búsqueda
Ítem Solo Metadatos 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, OmerPrior 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.Ítem Solo Metadatos 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, ArunLabor 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.Ítem Solo Metadatos Stock market index prediction using artificial neural network(Universidad ESAN. ESAN Ediciones, 2016-12-01) Moghaddam, Amin Hedayati; Moghaddam, Moein Hedayati; Esfandyari, MortezaIn 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.Ítem Solo Metadatos Pricing maximum-minimum bidirectional options in trinomial CEV model(Universidad ESAN. ESAN Ediciones, 2016-12-01) Peng, Bin; Peng, FeiMaximum-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.
