Defensa de la interpretación práctica del imperativo categórico

The article compares two different interpretations of Kant's categorical imperative −the practical and the logical one− and defends the practical one, arguing that it is superior because it rejects cases of free riding without necessarily rejecting cases of coordination or timing. The logical interpretation, on the other hand, leads to the undesirable outcome that it does not reject immoral cases of free riding, and to the desired outcome that it does not reject maxims of coordination/timing. Given that neither of them rejects maxims of coordination/timing (they are similar in that sense) and only the practical interpretation rejects free riding, the logical interpretation should be rejected.El artículo compara dos interpretaciones diferentes del imperativo categórico kantiano −la práctica y la lógica− y defiende la superioridad de la práctica debido a que rechaza los casos de free riding, sin rechazar necesariamente los casos de coordinación/tiempo. La interpretación lógica, en cambio, lleva al resultado indeseable de no rechazar casos inmorales de free riding, y al resultado deseable de rechazar las máximas de coordinación/tiempo. Dado que ninguna de las dos rechaza las máximas de coordinación/tiempo (y en este sentido son similares) y solamente la interpretación práctica rechaza los casos de free riding, debe rechazarse la interpretación lógica.Fil: Dimitriu, Cristian. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentin

Flexibilizing the Termination of the Employment Contract: Pros and Cons

The changes in the Romanian Labour Code appear to be a way of implementing the concept of flexicurity in our system of law. And among all institutions changed by the new law, probably the one related to termination of employment has the most dramatic effect within labour relations and the very application of the principle of workers’ protection. Indeed, after eight years in force, the Labour Code has been changed, aiming at re-balancing the powers of the parties over the issue of the termination of the employment. These changes may lead to a new content of the concept of job security, and also to a new approach of the idea of career. The Government’s goal was to offer the possibility for the employers to dismiss and employ personnel more easily, allowing him/her to select best employees at a time of economic crisis. However, as a result of an analysis of how the flexicurity principles were applied in other states (especially in case of the new member states) one may be very much afraid that flexicurity cannot be obtained by just un-protect the employees and simplify the dismissal procedure. This is why the changes in the Labour Code, particularly with the intention to render more flexible the labour market and the contractual arrangements were received by trade unions, and by the entire society with deep concerns and skepticism. From the perspective of trade unions, if the implementation of the flexicurity concept seems to be successful in some of the European states, since it guarantees a certain level of protection, in Romania such a process would be disadvantageous for employees in terms of the special job stability they enjoyed. Flexicurity itself demands to be flexibly adapted – from case to case, from one state to another. One can even say that there are 27 ways of applying the concept of flexicurity within European Union... Which is the Romanian way, especially when it comes to the termination of the employment contract? The paper aims to put into light the advantages and disadvantages of the very recent changes in the Labour Code, and to configure a possible perspective in this regard.Labour law, employment contract, dismissal, flexicurity

Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency

This paper examines the performance of a general dynamic equity indexing strategy based on cointegration, from a market efficiency perspective. A consistent return in excess of the benchmark is demonstrated over different time horizons and in different, real world and simulated stock markets. A measure of stock price dispersion is shown to be a leading indicator for the excess return, and their relationship is modelled as a Markov switching process of two market regimes. We find that the entire ‘abnormal return’ is associated with the high volatility regime, so the presence of a latent risk factor cannot be ruled out. Moreover, any market inefficiencies identified by the dynamic indexing model are temporary and occur only in special market circumstances. Our results have implications for equity fund managers: we shown how, without any stock selection, solely through smart optimisation and market timing, the benchmark performance can be significantly enhanced.cointegration, dispersion, efficient market hypothesis equity markets, index tracking, Markov switching

A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a long-run equilibrium relationship between stock prices and an index price. We compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration between the tracking portfolio and the index has no clear advantages or disadvantages relative to the tracking error variance (TEV) minimization model. However ensuring a cointegration relationship does pay off when the tracking task becomes more difficult. Cointegration optimal portfolios clearly dominate the TEV equivalents for all of the statistical arbitrage strategies based on enhanced indexation, in all market circumstancescointegration, tracking error, index tracking, statistical arbitrage

The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a long-short equity market neutral strategy. As opposed to other traditional index tracking or long-short equity strategies, the portfolio optimisation is based on cointegration rather than correlation. The first strategy aims to replicate a benchmark accurately in terms of returns and volatility, while the other seeks to minimise volatility and generate steady returns under all market circumstances. Additionally, several combinations of these two strategies are explored. To validate the applicability of the cointegration technique to asset allocation, pioneered by Lucas (1997) and Alexander (1999), and explain how and why it works, we have employed a panel data on DJIA and its constituent stocks. When applied to constructing trading strategies in the DJIA, the cointegration technique produces encouraging results. For example, between January 1995 and December 2001 the most successful self-financing statistical arbitrage strategies returned (net of transaction and repo costs) approximately 10% with roughly 2% annual volatility and negligible correlation with the market. The comprehensive set of back-test results reported is meant to offer a detailed picture of the cointegration mechanism, and to emphasise its practical implementation issues. Its key characteristics, i.e. mean reverting tracking error, enhanced weights stability and better use of the information contained in stock prices, allow a flexible design of various funded and self-financing trading strategies, from index and enhanced index tracking, to long-short market neutral and alpha transfer techniques. Further enhancement of the strategy should target first, the identification of successful stock selection rules to supplement the simple cointegration results and second, the investigation of the potential benefits of applying optimal rebalancing rules.cointegration, enchanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy

Detecting Switching Strategies in Equity Hedge Funds

Equity hedge funds are thought to effectively operate market timing by implementing switching strategies conditional on market circumstances. In this paper we use only the reported monthly returns on a set of funds to infer the type of switching strategies they follow, if any, as well as their switching times. A set of regime-switching models for each equity hedge funds’ returns against various benchmarks are estimated; subsequently we answer the following general questions: What proportion of equity funds seem to have switching strategies in place? Which are the most popular instruments for switching strategies? And what is the relationship between the switching times of different funds? The general methodology applied in this paper may be useful to investors that wish to detect, from only from their reported returns, whether and when a particular fund has been timing the market.

The management of credit risk for individuals and companies loans

The paper discusses recent changes in the Romanian financial system, with a particular emphasis on the Romanian banking system, and on the credit granting procedures. The factors influencing these mechanisms are classified and analyzed, with the view of mitigating credit risks for both individuals and companies.banking system, credit risk, risk management.

Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding

In the field of optimisation models for passive investments, we propose a general portfolio construction model based on principal component analysis. The portfolio is designed to replicate the first principal component of a group of stocks, instead of a traditional benchmark, thus capturing only the common trend in the stock returns. The main advantage of this approach is that the reduction of the noise present in stock returns facilitates the replication task considerably and the optimal portfolio structure is very stable. We analyse the portfolio performance over different time horizons and in different international equity markets. The strategy over-performs both equally weighted and price weighted benchmarks, even after transaction costs. A market premium, a value premium associated with mean reversion in stock returns, and a volatility premium which give the strategy characteristics of a benchmark enhancer, all explain the over-performance, but have time-varying contributions to it. A behavioural explanation for the mean reversion mechanism leads to the conclusion that the portfolio performance is influenced by the extent of investors herding towards the common trend in stock returns.common trends, mean revrsion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance

The impact of investments in global financial crisis

The global financial crisis really started to show its effects in the middle of 2007 and into 2008. Around the world stock markets have fallen, large financial institutions have collapsed or been bought out, and governments in even the wealthiest nations have had to come up with rescue packages to bail out their financial systems. The most important task is to break the spiral of falling asset prices and falling demand and to revive the financial sector’s ability to provide credit for productive investment, to stimulate economic growth and to avoid deflation of prices. In this time of global financial crisis and recession it is essential to keep markets open to international trade and investment. The current global financial crisis is probably the most severe for the world’s financial system since the Great Depression in 1929. This crisis has gone far beyond the financial sector and has seriously affected the real economy. An ample evidence of its negative impacts on FDI has been observed.investment risk, mergers

Organizational stress management

There are plenty of general problems that people at work worry about – increasing job competition, globalization, terrorism, annual appraisals, financial crisis, even new technology. Beside these, employees are put under pressure to meet sales targets, attend meetings on time, fit in with changes in organization by learning and following up new procedures. All these can result different levels of stress. Nowadays, working stress is the fastest growing cause of absence from work. Inefficient management, lack of decision-making by management, excessive working hours, uncertainty as to future employment prospects and the pressure of the job are some of the causes of stress described by employees. Therefore, employers should consider organizational stress as a serious problem and they must take measures to prevent employees suffering stress arising from their work. It can negatively influence the productivity and competitiveness of the organization, and can also increase health insurance costs.stress management, organizational stress, total working system