106,187 research outputs found
Corporate diversification and R&D intensity dynamics
We study the dynamic bidirectional relationship between firm R&D intensity and corporate
diversification, using longitudinal data of Spanish manufacturing companies. Our empirical approach
takes into account the censored nature of the dependent variables and the existence of firm-specific
unobserved heterogeneity. Whereas we find a positive linear effect of R&D intensity on related
diversification, the evidence about the effect of related diversification on R&D intensity takes the form of
an inverted U. Hence, the effect of related diversification on R&D intensity is positive but marginally
decreasing for moderate levels of related diversification, but such effect can turn out negative for high
levels of related diversification. Additionally, the consequences of the dynamic relation are that the
effects are substantially larger in the long-run than in the short-run
An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
In recent years there has been a closer interrelationship between several
scientific areas trying to obtain a more realistic and rich explanation of the
natural and social phenomena. Among these it should be emphasized the
increasing interrelationship between physics and financial theory. In this
field the analysis of uncertainty, which is crucial in financial analysis, can
be made using measures of physics statistics and information theory, namely the
Shannon entropy. One advantage of this approach is that the entropy is a more
general measure than the variance, since it accounts for higher order moments
of a probability distribution function. An empirical application was made using
data collected from the Portuguese Stock Market.Comment: 8 pages, 2 figures, presented in the conference Next Sigma-Phi 200
Análisis de la relación entre la estrategia de diversificación y el desempeño de la empresa: el rol del ciclo económico
[EN] The relationship between corporate strategies and firm performance has been one of the key debates in the discipline of Strategic Management. There are studies that analyse the moderating role that certain variables may play in that relationship. These variables tend to refer to aspects within the firm or, at the very least, within the competitive environment in which a firm operates. Nevertheless, the empirical evidence on the part the general environment plays from an economic perspective is much less common, and focuses on large corporations and on periods of economic growth. Accordingly, using a panel of 1,828 Spanish manufacturing firms of different sizes, an analysis is conducted of the differences in Return On Assets (ROA), Growth in Sales (GS) and Labor Productivity (LP) between specialised firms, those with related diversification, and those with unrelated diversification, between 2002 and 2011, in which there was a period of growth alternated with another one of economic recession. Although some superiority is noted of related diversification and specialisation over unrelated diversification, the differences between strategies are less significant in periods of economic recession, and vary according to the dimension of performance considered. These results reveal the need to consider the economic cycle as a contingent factor that affects the impact corporate strategies have on firm performance.[ES] La relación entre las estrategias corporativas y el desempeño empresarial ha sido uno de los debates centrales en la disciplina de la dirección estratégica. Diversos estudios analizan el rol moderador que juegan diversas variables en esta relación. Dichas variables tienden a referirse a aspectos internos de la empresa o, si acaso, a aspectos del entorno competitivo en el que la empresa opera. Sin embargo, es más escasa la evidencia empírica sobre el rol que desempeña el entorno general y suele enfocarse en grandes empresas y en períodos de crecimiento económico. En consecuencia, utilizando un panel de 1.828 empresas manufactureras españolas de diferentes tamaños, se realiza un análisis de las diferencias de rentabilidad sobre activos, crecimiento de ventas y productividad laboral entre empresas especializadas, con diversificación relacionada y con diversificación no relacionada, entre los años 2002 y 2011, en los cuales hubo un período de crecimiento alternado con otro de recesión económica. Aunque se destaca cierta superioridad de la diversificación relacionada y la especialización sobre la diversificación no relacionada, las diferencias entre estrategias son menos significativas en los períodos de recesión económica y varían de acuerdo a la dimensión de desempeño considerada. Estos resultados revelan la necesidad de considerar el ciclo económico como un factor contingente que afecta el impacto que las estrategias corporativas tienen sobre el desempeño de la empresa.This paper has been supported by Project ECO2015-67434-R of Spanish Ministry of
Economy and Competitiveness (Spain) and for the Excellent Research Group “Strategor”
of URJC-Bank of Santander
DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016)
The purpose of this research is to analyze the relationship of dynamic and integration between world sharia stock market with world crude oil price. This research can find out the integration relationship between world sharia stock market with world crude oil price. The object of this research is sharia stock market in Indonesia, Malaysia, United States, UK, Japan during period 2012-2016.
The research method is Dynamic Coditional Correlation Multivariate-GARCH method is used to test the hypothesis in order to know the relationship of sharia stock market integration in world with world oil price. In this case to test the conditional correlation multivariate-GARCH method, reasearcher have taken any steps is descriptive statistical testing, heteroskedasticity testing, stationary test, and GARCH univariate testing.
The result of the research shows that there is a significant dynamic correlation in world sharia stock price (Indonesia, Malaysia, United States, United Kingdom, Japan) and significant dynamic relationship between world sharia stock market with world crude oil price. It can be explained indirectly proves the existence of integration relationship between world sharia stock market with world crude oil price.
Keywords: sharia stocks integration, sharia stock price, world crude oil price, Dynamic Conditional Correlation Multivariate-GARCH (DCC-MGARCH)
Multi-Period Asset Allocation: An Application of Discrete Stochastic Programming
The issue of modeling farm financial decisions in a dynamic framework is addressed in this paper. Discrete stochastic programming is used to model the farm portfolio over the planning period. One of the main issues of discrete stochastic programming is representing the uncertainty of the data. The development of financial scenario generation routines provides a method to model the stochastic nature of the model. In this paper, two approaches are presented for generating scenarios for a farm portfolio problem. The approaches are based on copulas and optimization. The copula method provides an alternative to the multivariate normal assumption. The optimization method generates a number of discrete outcomes which satisfy specified statistical properties by solving a non-linear optimization model. The application of these different scenario generation methods is then applied to the topic of geographical diversification. The scenarios model the stochastic nature of crop returns and land prices in three separate geographic regions. The results indicate that the optimal diversification strategy is sensitive to both scenario generation method and initial acreage assumptions. The optimal diversification results are presented using both scenario generation methods.Agribusiness, Agricultural Finance, Farm Management,
Corporate diversification and R&D intensity dynamics
We study the dynamic bidirectional relationship between firm R&D intensity and corporate diversification, using longitudinal data of Spanish manufacturing companies. Our empirical approach takes into account the censored nature of the dependent variables and the existence of firm-specific unobserved heterogeneity. Whereas we find a positive linear effect of R&D intensity on related diversification, the evidence about the effect of related diversification on R&D intensity takes the form of an inverted U. Hence, the effect of related diversification on R&D intensity is positive but marginally decreasing for moderate levels of related diversification, but such effect can turn out negative for high levels of related diversification. Additionally, the consequences of the dynamic relation are that the effects are substantially larger in the long-run than in the short-run.
Computational Dynamic Market Risk Measures in Discrete Time Setting
Different approaches to defining dynamic market risk measures are available
in the literature. Most are focused or derived from probability theory,
economic behavior or dynamic programming. Here, we propose an approach to
define and implement dynamic market risk measures based on recursion and state
economy representation. The proposed approach is to be implementable and to
inherit properties from static market risk measures.Comment: 16 pages, 3 figure
Wisdom of the institutional crowd
The average portfolio structure of institutional investors is shown to have
properties which account for transaction costs in an optimal way. This implies
that financial institutions unknowingly display collective rationality, or
Wisdom of the Crowd. Individual deviations from the rational benchmark are
ample, which illustrates that system-wide rationality does not need nearly
rational individuals. Finally we discuss the importance of accounting for
constraints when assessing the presence of Wisdom of the Crowd.Comment: 11 pages, 12 figure
An immune system based genetic algorithm using permutation-based dualism for dynamic traveling salesman problems
Copyright @ Springer-Verlag Berlin Heidelberg 2009.In recent years, optimization in dynamic environments has attracted a growing interest from the genetic algorithm community due to the importance and practicability in real world applications. This paper proposes a new genetic algorithm, based on the inspiration from biological immune systems, to address dynamic traveling salesman problems. Within the proposed algorithm, a permutation-based dualism is introduced in the course of clone process to promote the population diversity. In addition, a memory-based vaccination scheme is presented to further improve its tracking ability in dynamic environments. The experimental results show that the proposed diversification and memory enhancement methods can greatly improve the adaptability of genetic algorithms for dynamic traveling salesman problems.This work was supported by the Key Program of National Natural Science Foundation (NNSF) of China under Grant No. 70431003 and Grant No. 70671020, the Science Fund for Creative Research Group of NNSF of China under GrantNo. 60521003, the National Science and Technology Support Plan of China under Grant No. 2006BAH02A09 and the Engineering and Physical Sciences Research Council (EPSRC) of UK under Grant No. EP/E060722/1
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