318 research outputs found
Risk Assessment of Transitional Economies by Multivariate and Multicriteria Approaches
This article assesses country-risk of sixteen Central, Baltic and South-East European transition countries, for 2005 and 2007, using multivariate cluster analysis. It was aided by the appropriate ANOVA (analysis of variance) testing and the multicriteria PROMETHEE method. The combination of methods makes for more accurate and efficient country-risk assessment.Country risk classifications and ratings involve evaluating the performance of countries while considering their economic and socio-political characteristics. The purpose of the article is to classify, and then find the comparative position of each individual country in the group of analyzed countries, in order to find out to which extent development of market economy and democratic society has been achieved.Country-risk, Transition countries, Multivariate cluster analysis, PROMETHEE method.
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for
nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined
VOLUNTARY DISCLOSURE OF CASH FLOWS INFORMATION AND COMPANY\u27S CHARACTERISTICS: EVIDENCE FROM THE CROATIAN CAPITAL MARKET
This paper focuses on the voluntary disclosure of cash flows information of Croatian large companies whose shares are listed on the Zagreb Stock Exchange, with the aim to identify characteristics of
companies that provide extensive disclosures. In order to conduct the research and test the likelihood that company publicly announces wealth of information about cash flows, three groups of companyās
features are defined as variables: accounting data, capital market information and companyās qualitative characteristics. Verification of empirical evidence was provided through the sample of Croatian listed companies using logistic regression analysis. Obtained results indicate that despite the desire of the regulatory authorities that capital market investors receive all relevant information, companies voluntarily disclose information about cash flows very rarely. Those companies are young (i.e. their shares are listed on an organized securities market for a short time) and profitable, with growing net income and growing cash flow from operating activities and usually use indirect method for operating cash flow report. The provision of features of Croatian companies that voluntary disclose cash flow information can be found as contribution of our research, because this topic in a cases of macro-oriented accounting system economies, i.e. bank oriented economies with emerging capital market is still unexplored
VOLUNTARY DISCLOSURE OF CASH FLOWS INFORMATION AND COMPANY\u27S CHARACTERISTICS: EVIDENCE FROM THE CROATIAN CAPITAL MARKET
This paper focuses on the voluntary disclosure of cash flows information of Croatian large companies whose shares are listed on the Zagreb Stock Exchange, with the aim to identify characteristics of
companies that provide extensive disclosures. In order to conduct the research and test the likelihood that company publicly announces wealth of information about cash flows, three groups of companyās
features are defined as variables: accounting data, capital market information and companyās qualitative characteristics. Verification of empirical evidence was provided through the sample of Croatian listed companies using logistic regression analysis. Obtained results indicate that despite the desire of the regulatory authorities that capital market investors receive all relevant information, companies voluntarily disclose information about cash flows very rarely. Those companies are young (i.e. their shares are listed on an organized securities market for a short time) and profitable, with growing net income and growing cash flow from operating activities and usually use indirect method for operating cash flow report. The provision of features of Croatian companies that voluntary disclose cash flow information can be found as contribution of our research, because this topic in a cases of macro-oriented accounting system economies, i.e. bank oriented economies with emerging capital market is still unexplored
Obilježje raÄunovodstvenih manipulacija u Hrvatskoj
Investors and other users of financial statements seek for the information that is less likely to be affected by possibilities of financial number games. Accounts manipulations have become an issue of critical importance in todayās capital markets and have been subject of many researches in several countries. However, their features
in Croatia are still quite unexplored.
In this paper a survey was made with auditors about most frequent areas of accounts manipulations in Croatia. The questionnaire was sent to 274 auditors, but only 54 of them filled it out correctly and return it back. After that, obtained results were compared with archival data extracted from auditor reports published in abbreviate
prospects of listing public companies. Prospects of 238 companies listing on the Zagreb Stock Exchange and Varaždin Stock Exchange were reviewed, but only 136 or 57.14% of them provided all data necessary for the analysis.
The evidence shows that accounting manipulations are very common praxis in Croatia, especially in area of depreciation policy, write-off of accounts receivable, asset impairments and long-term investments in financial instruments. Beside above mentioned items, auditors pointed out taxes, inventories, revenues, provisions and revalorization as very frequent areas of accounts manipulations.Svi korisnici financijskih izvjeÅ”taja, a posebice ulagaÄi u stalnoj su potrazi za informacijama koje su Å”to manje podložne āigranju s brojevimaā. U danaÅ”nje vrijeme, raÄunovodstvene manipulacije su postale važan problem na tržiÅ”tima kapitala i stoga su predmet mnogih istraživanja u razliÄitim zemljama. MeÄutim, njihova obilježja u Hrvatskoj su joÅ” uvijek nedovoljno istražena.
U ovom radu su obraÄeni rezultati ankete s revizorima o najÄeÅ”Äim podruÄjima raÄunovodstvenih manipulacija u Hrvatskoj. Upitnik je poslan na adrese 274 revizora, ali od vraÄenih upitnika samo 54 su u potpunosti toÄno ispunjena. Nakon toga, rezultati dobiveni anketiranjem revizora su usporeÄeni s povijesnim podacima
izvedenim iz revizorskih izvjeÅ”Äa objavljenih u skraÄenim rospektima listanih poduzeÄa. Analiza povijesnih podataka obuhvatila je 238 poduzeÄa koja su listana na ZagrebaÄkoj burzi i na Varaždinskoj burzi, no samo je 136 (57,14%) pregledanih skraÄenih prospekata sadržavalo sve podatke potrebne za analizu.
Rezultati dobiveni u oba istraživanja pokazuju da su raÄunovodstvene manipulacije vrlo uÄestala pojava u Hrvatskoj, posebno u podruÄjima politike amortizacije, otpisa potraživanja, umanjenja vrijednosti dugotrajne imovine i dugoroÄnih ulaganja u financijske instrumente. Uz spomenuta podruÄja, revizori su istaknuli poreze, zalihe, prihode, rezerviranja i revalorizaciju kao uÄestala podruÄja raÄunovodstvenih manipulacija
CVaR in Measuring Sector\u27s Risk on the Croatian Stock Exchange
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia. The method and an appropriate backtesting are applied to the sample of 29 stocks grouped into 8 sectors for the three different periods: the period of economic growth 2006-2007, the crisis period 2008-2009 and the post-crisis period 2013-2014, characterized by long-term economic stagnation in Croatia. Objectives: The objective of this paper is to estimate the risk of 8 sectors on the Croatian stock market in three different economic periods and to identify whether the sectors that are risky during the crisis period are the same sectors that are risky in the period of economic growth and economic stagnation. Methods/Approach: The Conditional Value-at-Risk method and an appropriate backtesting are applied. Results: Empirical findings indicate that sectors that are risky in the period of economic growth are not the same sectors that are risky during the period of economic crisis or stagnation. Conclusions: In all the three periods, the least risky sectors were Hotel-management, Tourism, Food, and Staples Retailing. The Construction sector in all the three periods was among the riskiest sectors
UtjeÄe li produktivnost na profitabilnost poduzeÄa u industriji prerade mlijeka? Iskustva Slovenije, Hrvatske i Srbije
This paper provides insights into productivity in dairy processing companies in Slovenia, Croatia and Serbia. The aim is to find out whether EBITDA per employee, as a measure of overall productivity as well as labour and capital productivity and their management positively affect companyās profitability. Literature review shows that this issue was relatively neglected, although increase in productivity is regarded as the most important factor in maintaining a competitive advantage in most developed countries. Results obtained show that comprehensive measure of productivity EBITDA per employee has statistically significant positive impact on companyās profitability, the same as productivity management components labour cost competitiveness and capital productivity.Ovaj rad pruža uvid u produktivnost poduzeÄa iz industrije prerade mlijeka u Sloveniji, Hrvatskoj i Srbiji, kako bi se utvrdilo postoji li pozitivan utjecaj ukupne produktivnosti, produktivnosti rada te produktivnosti kapitala na profitabilnost. Pregled dosadaÅ”nje literature pokazuje kako je ova problematika bila priliÄno zapostavljena, iako je poveÄanje produktivnosti i u najrazvijenijim zemljana naglaÅ”eno kao najznaÄajniji Äimbenik u održavanju konkurentske prednosti. Istraživanjem je dokazan pozitivan utjecaj produktivnosti na profitabilnost, pri Äemu je produktivnost mjerena sveobuhvatnom mjerom EBITDA po zaposlenom, te parcijalnim mjerama troÅ”kovna konkurentnost rada i kapitalna produktivnost
Non-structural approach to implied moments extraction
Moments of future prices and returns are not observable, but it is
possible to measure them indirectly. A set of option prices with
the same maturity but with different exercise prices are used to
extract implied probability distribution of the underlying asset at
the expiration date. The aim is to obtain market expectations
from options and to investigate which non-structural model for
estimating implied probability distribution gives the best fit. Nonstructural models assume that only dynamics in prices is known.
Mixture of two log-normals (MLN), Edgeworth expansions and
Shimkoās model (representatives of parametric, semiparametric
and nonparametric approaches respectively) are compared.
Previous researches are inconclusive about the superiority of one
approach over the others. This article contributes to finding which
approach dominates. The best fit model is used to describe
moments of the implied probability distribution. The sample
covers one-year data for DAX index options. The results are
compared through models and maturities. All models give better
short-term forecasts. In pairwise comparison, MLN is superior to
other approaches according to mean squared errors and DieboldMariano test in the observed period for DAX index options
MOTIVES FOR ASSET REVALUATION POLICY CHOICE IN CROATIA
The aim of this paper is to research managersā motives of accounting policy choice for long-term nonfinancial assets. International Financial Reporting Standards (IFRS) allow managers to choose between cost
and revaluation model for measurement after recognition. The assumption is that managerās decision is opportunistic so they use the revaluation model as a device to improve perceptive borrowing capacity of a company, and consequently, to reduce debt cost. Prior studies were mainly conducted in developed, marketoriented economies, unlike Croatia. The contribution of this paper is the research of motives and determinants of asset revaluation policy choice in bank-oriented economies with inactive markets. Furthermore, multivariate logistic regression was not used as a research method in this field of accounting in transition and emerging economies till now. Empirical evidence is provided through the sample of Croatian listed companies and the results show that large, profitable companies with low liquidity ratio, low cash flow ratio and increasing debt are more likely to perform upward revaluation
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