Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Black Swan event (2)
- Corporate social responsibility (2)
- Portfolio design (2)
- Risk management (2)
- Supply chain (2)
-
- Sustainability (2)
- VaR (2)
- Adverse selection (1)
- Asymmetric information (1)
- Bayes rule (1)
- Bid-ask spread (1)
- Black-Litterman (1)
- Capabilities and competences (1)
- Correlations (1)
- Disclosure (1)
- Earnings surprises (1)
- Econometric techniques (1)
- Financial futures; Implied volatilities; Quantitative trading strategies; Term structure; Expectations hypothesis; Role of derivatives securities mis-pricing (1)
- Global supply chains (1)
- Information intermediary (1)
- Inventory costs (1)
- Lean (1)
- Lean production (1)
- Listing requirements (1)
- Marketing (1)
- Mean-variance (1)
- Order-processing costs (1)
- Outsourcing (1)
- Portfolio Construction (1)
- Portfolio optimization (1)
Articles 1 - 15 of 15
Full-Text Articles in Business
Vix Futures Term Structure And The Expectations Hypothesis, Ivan Oscar Asensio
Vix Futures Term Structure And The Expectations Hypothesis, Ivan Oscar Asensio
Finance
Tests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of the short-end of the curve, but predicts neither the direction nor the magnitude of short-term changes in the long-end of the curve. Relative value seeking spread trades, constructed to exploit such violations, deliver excess returns with annualized Sharpe ratios equal or greater than those of volatility-writing strategies deployed by VIX ETN’s for a majority of the 32 spread trade combinations tested. I demonstrate that profits from beta-neutral variations of the spread trades, which are …
The Evolution Of Sustainability In A Global Firm And Its Supply Chain, Robert Mefford, Payson Johnston
The Evolution Of Sustainability In A Global Firm And Its Supply Chain, Robert Mefford, Payson Johnston
Finance
Firms typically go through an evolutionary process in development of their Corporate Social Responsibility (CSR) programs. This paper traces the development of CSR initiatives and the incorporation of sustainability into the corporate culture and business model of a large global firm in the electronics industry. The process at this firm involves several distinct stages and extends over a period of more than ten years. The organizational and managerial factors facilitating the broadening and deepening of CSR penetration and the institutional barriers encountered are discussed. The importance of fitting CSR initiatives to a company’s core competencies is evident at this firm …
The Bid-Ask Spread In The Danish Stock Market: Evidence From The 1990s, Torben Voetmann
The Bid-Ask Spread In The Danish Stock Market: Evidence From The 1990s, Torben Voetmann
Finance
This paper investigates the cost components of bid-ask spreads around earnings announcements on the small Danish stock market in the 1990s. The results indicate that negative earnings surprises convey pricing information, suggesting the existence of significant information asymmetry between market makers and informed traders. Negative earnings surprises resulted in an increase in adverse-selection cost and trading volume while inventory-holding and order-processing costs decreased, leading to a combined decrease in the realized spread. The change in the realized spread is significant, while the change in the quoted bid-ask spread is negligible. Overall, the results suggest that informed traders’ ability to assess …
Portfolio Optimization With Correlation Matrices: How, Why, And Why Not, Manuel Tarrazo
Portfolio Optimization With Correlation Matrices: How, Why, And Why Not, Manuel Tarrazo
Finance
Correlation is used frequently both in the classroom and in professional environments to illustrate and summarize investment know-how, especially with regard to diversification. Pedagogically, the initial build-up on correlation, which reaches its climax while describing a hypothetical two-variable optimization case, abruptly disappears when the discussion reaches optimizations of several securities, thereby stopping short of running a full-fledged, correlation-based optimization. Why is that so? We offer some explanations. First, correlations initially seem to provide clarification of the workings of the optimization, specifically with respect to how security risk-relations affect optimal weights. However, the variable transformation required changes coordinates, thus making correlation-based …
Uses And Misuses Of The Black-Litterman Model In Portfolio Construction, Ludwig B. Chincarini, Daehwan Kim
Uses And Misuses Of The Black-Litterman Model In Portfolio Construction, Ludwig B. Chincarini, Daehwan Kim
Finance
The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman modelling. In this article, we critically examine some of these applications from a Bayesian perspective. We identify three reasons why these applications may create losses to investors. These three reasons are: (1) Using a prior without "anchoring" the prior to an equilibrium model, (2) Using a prior and an equilibrium model that conflict with one another, and (3) Ignoring the implications of …
A Case Study On Risk Management: Lessons From The Collapse Of Amaranth Advisors Llc, Ludwig B. Chincarini
A Case Study On Risk Management: Lessons From The Collapse Of Amaranth Advisors Llc, Ludwig B. Chincarini
Finance
No abstract provided.
Listings From The Emerging Economies: An Opportunity For Reputable Stock Exchanges, Nicholas Tay, Reza Olati
Listings From The Emerging Economies: An Opportunity For Reputable Stock Exchanges, Nicholas Tay, Reza Olati
Finance
We provide current evidence to show that the numbers of sponsored depositary receipts created and cross‐listed have increased by more than two‐fold over the last decade and a substantial proportion of this growth came from the emerging and developing economies. We argue that the needs of this clientele and the inadequacies of existing legal and financial system create an opportunity for reputable stock exchanges to play the role of an information and reputation intermediary and in so doing allow exchanges to leverage on their reputation capital to compete more effectively for the growing business from the emerging and developing economies. …
The Economic Value Of A Sustainable Supply Chain, Robert Mefford
The Economic Value Of A Sustainable Supply Chain, Robert Mefford
Finance
The economic rationale to operate a global supply chain in a sustainable manner is developed. Arguments are made based on marketing, finance, and production theories that by engaging in socially responsible behavior the firm will increase sales, decrease costs, reduce financial risk, and increase profits which ultimately will increase returns to the firm’s shareholders. A model is developed of the mechanism by which modern production methods such as lean production and quality management result in sustainable corporate behavior which, in the long run, translates into higher stock valuations. The production effects cause marketing and financial risk effects that are complementary, …
Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay
Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay
Finance
The recent market crash which has led to as much as a 47% drop in the value of the S&P500 index has made some of us wonder if there is a cost effective way for us to hedge our retirement portfolios against such a drastic loss. Our objective is to investigate empirically the tradeoffs that will arise from using a protective put strategy for hedging retirement portfolios over an investment horizon that is long enough to be comparable to the average holding period for retirement portfolios
What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay
What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay
Finance
As the financial crisis of 2008 has revealed, there are some flaws in the models used by financial firms to assess risk. Credit, volatility, and liquidity risk were all inadequately modeled by supposedly sophisticated financial institutions employing dozens of financial engineers with advanced degrees. It is now clear that some of the underlying assumptions of the statistical models utilized were seriously flawed, and interactive and systemic effects were improperly modeled. Correcting these modeling flaws is one approach to preventing a reoccurrence. However, another approach is suggested by Six Sigma quality programs used in manufacturing and service industries. Some basic tenets …
Specialty Food And Beverage: A Case Study Of Small Business Management, Barry Doyle, Arthur H. Bell, Dayle Smith
Specialty Food And Beverage: A Case Study Of Small Business Management, Barry Doyle, Arthur H. Bell, Dayle Smith
Finance
Specialty Food and Beverage is facing growing pains from its rapid expansion over the last decade and more. The case provides a summary of the challenges faced by the company in the areas of supply chain management, marketing plans, the creation of economic value, and the development of a long term strategy for profitable growth.
The Financial Crisis And Global Supply Chains, Robert Mefford
The Financial Crisis And Global Supply Chains, Robert Mefford
Finance
The financial crisis which erupted in 2007 has already had profound effects on the global supply chains of multinational firms and will likely permanently alter some fundamental supply relationships. This essay explores what some of the consequences have been to date and speculates about future effects. Of course, the length, scope, and severity of the financial and economic crisis will determine how significant and permanent these impacts are, and it is impossible at this point in time to forecast this accurately. But in any case there have already been major developments in global supply chains that are likely to persist …
Winning, Running, And Renewing The Outsourcing Contracts, Z Perunovic, M Christoffersen, Robert Mefford
Winning, Running, And Renewing The Outsourcing Contracts, Z Perunovic, M Christoffersen, Robert Mefford
Finance
The paper explores how vendors deploy competences and capabilities across the outsourcing process in order to win, run, and renew outsourcing contracts. The results of a multiple-case study of three contract electronics manufacturers (CEMs) show that different combinations of capabilities are required for a vendor to win, run, and renew outsourcing contracts. Permanent capabilities are constantly present across the process, while temporary capabilities, depending on customer requirements, can be added or removed from the portfolio of capabilities.
Portfolios And Regressions, Manuel Tarrazo
Portfolios And Regressions, Manuel Tarrazo
Finance
This study examines the relationship between portfolios and regressions, which is desirable for educational, mathematical, and theoretical reasons. Educationally, understanding this relationship simplifies the teaching and learning of both procedures. Mathematically, portfolio optimization and regression systems are abstractly, algebraically, topologically, and structurally equivalent. One is obtained from the other as if modeling clay, without tears or discontinuities, and what one learns in one system can be applied to the other. We show portfolios and regressions are equivalent at a theoretical level as well. In the economic-financial context, this theoretical equivalence means that mean-variance, efficient portfolios are in fact optimal predictors, …
Lean Production And The Internet, Robert Mefford
Lean Production And The Internet, Robert Mefford
Finance
In this paper the implications for lean production systems of the Internet are explored. Does the World Wide Web facilitate the implementation of Just-in-Time production systems, or alternatively, can it serve as a substitute for JIT? The possible effects on supply chains, production scheduling, inventory control, procurement, quality improvement, and the workforce are some of the issues addressed. Some case examples of use of the Internet for these purposes are presented. Constraints on the use of the Web to foster leanness are discussed and recommendations for integrating the Internet into production systems offered.