120 results on '"RATE of return"'
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2. FERC's theory of anomalous capital markets.
- Author
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Peters, Lon L.
- Subjects
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CAPITAL market , *INVESTORS , *INTEREST rates , *DIVIDENDS , *RATE of return - Abstract
In 2014, FERC adopted a new theory of capital markets for the purpose of setting authorized returns-on-equity: that all observed dividends and interest rates were anomalous and therefore unreliable indicators of the returns necessary for investors to hold the stocks and bonds of transmission owners. The new theory, used to justify higher authorized ROEs, rejected evidence of fundamental conditions in capital markets and explicitly adopted arguments by investor-owned utilities regarding unreliable markets. After a judicial remand, FERC abandoned the new theory, but consumers in New England and the Midwest were arbitrarily charged hundreds of millions of dollars over several years due to unjust and unreasonable rates for transmission service. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
3. Determinants of bank profitability: evidence from 47 Asian countries.
- Author
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Saif-Alyousfi, Abdulazeez Y.H.
- Subjects
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SPREAD (Finance) , *INTEREST rates , *BANK deposits , *BANK profits , *RATE of return , *NONPERFORMING loans , *PRIVATE banks ,ECONOMIC conditions in Asia - Abstract
Purpose: The paper examines the effect of bank-specific, financial structure and macroeconomic factors on the profitability of banks in Asian economies during 1995–2017. Design/methodology/approach: It uses the data of 2,446 banks across 47 Asian countries between 1995 and 2017 (41,582 year observations). The static and dynamic panel generalized methods of moments (GMM) estimation techniques are applied. Findings: The results show that banks that are highly dependent on nontraditional activities have lower net interest revenue and net interest margin but higher return on assets, return on equity and profit before tax. Higher opportunity cost, capitalization, demand deposits and market risk result in a better bank profits. Furthermore, banks with higher loan exposure and growth have more profit. However, nonperforming loans have negative and significant impact on bank profitability. Asian banks do not suffer from diseconomies of scale and scope. The author also finds that banks located in countries with high gross domestic product, inflation rates and high rates of interest or in financially developed economies offer better profits. High credit to the private sector reduces the bank profitability. This study finds evidence to support the structure-conduct-performance (SCP) hypothesis. It also provides evidence that the impact of financial turmoil on the profitability of the Asian banking sector is negative and significant and has severely weakened the Asian banking system. Originality/value: As Asia has become an important economic area and the Asian topic has not earned enough discussions, this paper is the first to examine Asian banks with the latest and a wider range of panel data that cover 2,446 banks at 47 Asian countries over the period 1995–2017. The present study is among the first to address the influence of financial turmoil on bank profitability in this region. It also studies new variables, such as demand deposits, opportunity cost and off-balance sheet activities, which have not been examined in relation to bank profitability. It also applies both static techniques and dynamic panel estimation techniques to analyze the data. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
4. Inflación y rendimientos en mercados emergentes: el caso de Argentina.
- Author
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PESCE, GABRIELA and PEDRONI, FLORENCIA VERÓNICA
- Subjects
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ARBITRAGE pricing theory , *INTEREST rates , *CAPITAL market , *RATE of return , *RETURN on assets - Abstract
This paper aims to carry out a preliminary analysis of the arbitrage pricing theory in Argentine capital market, with special emphasis on inflation as a variable of interest for an emerging country, an underdeveloped financial market, and a period under analysis with inflationary trends and exchange market intervention. To that end, we work with a theoretical-empirical method. In order to formulate the model, we make a theoretical approach to the subject, based mainly on scientific articles that examine the relationship between the rate of return on assets and inflation. We focus our empirical analysis in an econometric study of the shares' performance of 19 companies listed on Argentinian capital market in the 2005-2014 period, and the associations with variables of interest, especially macroeconomic ones, also including some control tests with microeconomic variables. The main findings are robust about the effect on firms' performance of the following explanatory variables: risk-free interest rate, market performance, temporary effects of "hinge" periods and sector effects. However, the results are not determinant in reference to the effect of the inflation and the exchange rate variables on stocks' performance. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
5. COVID‐19 and Canadian farmland markets in 2020.
- Author
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Lawley, Chad
- Subjects
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VALUATION of farms , *INTEREST rates , *PRICE inflation , *RATE of return - Abstract
Early evidence suggests that Canadian farmland values increased in 2020. Farming returns were not negatively impacted by COVID‐19 and it appears as though farming returns will be strong into 2021. Low interest rates in 2020 contributed to substantial farmland value increases in the last half of 2020. There is some evidence that the development component of farmland values increased in 2020. The future consequences of COVID‐19 on farmland values are unclear. Some economists suggest that future inflationary risks have increased. A return to inflation rates comparable to those experienced in the 1970s is unlikely, but if increased inflation does materialize it will put upward pressure on farmland values, while increases in nominal and real interest rates will push farmland values down. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
6. Türkiye'deki Mevduat Bankalarına Yönelik Bir Araştırma: Bankalarda Gelir Çeşitlendirmesinin Performans Üzerine Etkileri.
- Author
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Kayran, Onur and Kıyılar, Murat
- Subjects
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BANK profits , *INTEREST rates , *RATE of return , *INTEREST income , *RETURN on assets - Abstract
The aim of this paper is to study the impact of diversification of Turkish banking industry. The study covers the period of between 2010 and 2018 for 21 commercial banks that operate in Turkey. To find banks performance, several indicators were used to see their relation with the ratios of ROA and ROI. While Return on assets (ROA) and return on equity (ROE) are used as dependent variable, a widely used income diversification index (HHI) is used as independent variable. The capital adequacy ratio, asset ratio, liquidity ratio, deposit growth rate, loan and provision ratio, which are considered to have an impact on the performance of the bank, are determined as control variables. The annual data of the banks included in the study for the period in question were subjected to panel data regression analysis and modeled using the Driscoll-Kraay (1998) estimator. The results of the paper suggest that the income diversification that banks have been conducted gives a positive contribution to their performances. More explicitly, it is observed that the diversification in their income sources which banks have been conducted by tending from interest income to out of/non-interest income has increased both their return on equity and return on assets. When the analysis findings are analyzed in terms of control variables, it is concluded that capital adequacy ratio, liquidity management and provision ratio have a meaningful effect on bank profitability. Among these factors, it has been observed that the effect of the capital adequacy ratio is positive whereas that of liquidity and reserve ratio is negative. [ABSTRACT FROM AUTHOR]
- Published
- 2021
7. Earnings growth and the wealth distribution.
- Author
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Sargent, Thomas J., Neng Wang, and Jinqiang Yang
- Subjects
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CORPORATE profits , *INTEREST rates , *RATE of return , *INCOME inequality , *GINI coefficient , *GROWTH rate - Abstract
As measured by Gini coefficients, fractile inequalities, and tail power laws, wealth is distributed less equally across people than are labor earnings. We study how luck, attitudes that shape saving decisions, and growth rates of labor earnings balance each other in ways that simultaneously shape joint distributions across people of labor earnings, age, and wealth together with an equilibrium rate of return on savings that plays a pivotal role in balancing contending forces. Strong motives for people to save and for firms to demand capital raise an equilibrium interest rate enough to make wealth grow faster than labor earnings. That makes cross-sectional wealth more unevenly distributed and have a fatter tail than labor earnings, as in US data. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
8. On Public Spending and Economic Unions.
- Author
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Broner, Fernando, Martin, Alberto, and Ventura, Jaume
- Subjects
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PUBLIC spending , *INTERNATIONAL economic integration , *INTEREST rates , *FISCAL policy , *RATE of return - Abstract
We analyze the conduct of fiscal policy in a financially integrated union in the presence of financial frictions. Frictions create a wedge between the return to investment and the union interest rate. This leads to an over-spending externality. While the social cost of spending is the return to investment, governments care mostly about the (depressed) interest rate they face. In other words, the crowding-out effects of public spending are partly "exported" to the rest of the union. We argue that it may be hard for the union to deal with this externality through the design of fiscal rules, which are bound to be shaped by the preferences of the median country and not by efficiency considerations. We also analyze how this overspending externality—and the union's ability to deal with it effectively—changes when the union is financially integrated with the rest of the world. Finally, we extend our model by introducing a zero lower bound on interest rates and show that, if financial frictions are severe enough, the union is pushed into a liquidity trap and the direction of the spending externality is reversed. At such times, fiscal rules that are appropriate during normal times might backfire. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
9. Optimal capital structure in agricultural cooperatives and implications for equity retirement.
- Author
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Royer, Jeffrey and McKee, Gregory
- Subjects
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COOPERATIVE agriculture , *RETURN on capital employed , *INTEREST rates , *CAPITAL structure , *FINANCIAL statements , *FINANCIAL leverage , *RATE of return - Abstract
Purpose: This paper presents a model for determining the optimal capital structure for cooperatives and explores the relationship between financial leverage and the ability of cooperatives to retire member equity. Design/methodology/approach: A model is developed to determine the optimal capital structure and explore the relationship between capital structure and the rate at which a cooperative can retire member equity. Using data from cooperative financial statements, ordinary least-squares regressions are conducted to test two hypotheses on capital structure and equity retirement. Findings: The model shows that the optimal capital structure is determined by the ratio of the rate of return on capital employed to the interest rate on borrowed capital and the required level of interest coverage. The regressions suggest that cooperatives choose their capital structure largely according to the rate of return on capital employed and the interest rate in a manner consistent with maximizing the rate of return on equity and that the rate at which cooperatives can retire member equity is directly related to leverage. Research limitations/implications: The model does not consider unallocated earnings. Analysis of the relationship between leverage and equity retirement yields results contrary to the assumptions of earlier studies. Practical implications: Cooperatives can use the model because the necessary parameters are easily understood and readily available from financial statements, lenders and industry sources. Originality/value: The model is developed specifically for determining the capital structure of cooperatives and differs substantially from the corporate model. A theoretical basis is provided for the relationship between leverage and equity retirement. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
10. Actuarial model for estimating the optimum rate of return of a joint-and-survivor annuity portfolio.
- Author
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Agudelo, Gabriel, Franco, Luis, Saona, Paolo, Leon-Castro, Ernesto, Blanco-Mesa, Fabio, Alfaro-Garcia, Victor, Gil-Lafuente, Anna M., and Merigo, Jose M.
- Subjects
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RATE of return , *ANNUITIES , *INTEREST rates , *DISCOUNT prices , *ACTUARIAL science - Abstract
In actuarial science related to pension systems, it is widely assumed that the rate at which the reserves cover the payment of annuities (calculated for a given number of lives) is equal to the expected rate of return of the portfolios in which such reserves are invested. Given this assumption, pension fund managers may take greater risks to realize higher returns and subsequently reduce their pension liabilities. This study demonstrates that the discount rate used to calculate a two-life annuity and the expected return on the portfolio are not necessarily equal. A stochastic-based model is used to determine the proper discount rate for calculating the two-life annuity. The model includes fluctuations of both the interest rate and the payments made by the annuity. In general, this study contributes to the stability of pension systems by determining the appropriate discount rate when computing required actuarial reserves or the portfolio's required rate of return given a reserve. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
11. Factors affecting Canadian credit unions' financial performance.
- Author
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Almehdawe, Eman, Khan, Saqib, Lamsal, Manish, and Poirier, Angèle
- Subjects
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CREDIT unions , *FINANCIAL performance , *TIME series analysis , *INTEREST rates , *RATE of return - Abstract
Purpose: The purpose of this paper is to identify the factors that affect the Canadian credit unions' financial performance which play an important role in providing financial services to the agriculture sector. Design/methodology/approach: We surveyed the literature to identify different performance metrics of credit unions and a set of possible factors that might affect their performance. We collected data related to different dependent and independent variables from financial statements and balance sheets of 189 credit unions and from general websites like Statistics Canada and Bank of Canada. Then, we imputed the missing data and developed fixed effect and random effect panel data regression models. First, we used return on asset as the main dependent variable. Afterwards, we used six performance metrics to check the robustness of our models. Findings: From an initial list of 16 possible factors that might affect the financial performance of a credit union, we were able to narrow the factors down to the nine most significant ones. It was observed that credit unions in the prairies were more likely to perform well financially as compared to other provinces. Membership size, the size of a credit union in terms of total assets, capital adequacy ratio, market penetration, diversification of income, inflation rate and provincial GDP and interest rates were significant. The cross-sectional analysis performed confirmed the findings of the fixed effect panel data models. Research limitations/implications: This study has a limitation concerning the number of years included into the time series analysis. Only ten years worth of data were available. Practical implications: Results provide credit union management, service providers for credit unions and market analysts with a current understanding of how different internal and external factors might affect return on assets, return on equity, delinquency, cash ratio, efficiency ratio, asset growth and loan growth. Our models can be used to predict financial performance of credit unions based on the defined significant variables. Originality/value: Although there is a wide body of literature that studies performance of banks, not many studies focus on credit unions. Moreover, the existing studies are based on credit unions in United States or Europe, and literature on Canadian credit unions is scarce. The data collected covered 189 Canadian credit unions. To our knowledge this is the first study that looks at the various internal, external and regulatory factors together that affect the credit unions in various jurisdictions of Canada. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
12. Determinants of Non-Life Insurer Profitability in Turkey.
- Author
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ÖZEN, Abdurrahman and ÇANKAL, Erhan
- Subjects
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RATE of return , *INTEREST rates , *PROFITABILITY , *INSURANCE companies , *PANEL analysis - Abstract
Profitability is important for insurance companies as it is indicator of whether they are able to continue their activities and fulfill their obligations to policyholders. The aim of this study is to find out most important firm-specific and macroeconomic variables affecting profitability of non-life insurance companies in Turkey. The study for non-life insurance companies covers the period between 2006 and 2017 for 21 companies. ROA is used as measure of profitability. According to the fxed effects panel data model results: there is statistically significant positive relationship with size, liquidity, investment yield, age, GDP growth rate, interest rate and profitability while there is negative relationship with premium growth rate, loss ratio, leverage ratio, solvency and profitability. [ABSTRACT FROM AUTHOR]
- Published
- 2020
13. An ex-post evaluation of optimal credit granted to the youth under the program of Promoting Entrepreneurship in Agro-pastoral Activities in the Centre region of Cameroon.
- Author
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Folefack, Achille Jean Jaza, Ngapana, Patricia Nadège Nju'pue, and Muluh, George Achu
- Subjects
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ENTREPRENEURSHIP , *RATE of return , *INTEREST rates - Abstract
This study uses an ex-post evaluation method to estimate the optimal external funding level that maximizes the benefit of agro-pastoral enterprises supported by the youth program for the Promotion of Entrepreneurship in Agro-pastoral Activities (PEA-Youth Program) in the Centre region of Cameroon. The Linear Programming (LP) model recommends a personal contribution between 238,510 and 995,000 FCFA for each enterprise. It also recommends full use of start-up/subsidized credit (1,200,000 FCFA) for each activity, which can be justified by its zero interest rate (0%) as compared to the productive credit (15% interest rate) whose use(<1,500,000 FCFA) is recommended for short cycle activities (poultry, maize) and not recommended for long cycle activities (piggery, plantain, cassava production). The results of LP rotation restriction are similar to the profitability results using the economic rate of return (ERR) and suggest monoculture as profitable to only one activity (plantain), while the four remaining enterprises (maize, piggery, poultry, cassava) could be profitable if undertaken simultaneously or in association. Hence, the PEA-Youth Program should consider funding several activities at the same time, increasing the level of subsidized credit for short cycle agro-pastoral enterprises whereas productive credit should instead be revised downwards or eliminated completely for long cycle activities. [ABSTRACT FROM AUTHOR]
- Published
- 2020
14. Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference.
- Author
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Chang, Hao, Wang, Chunfeng, Fang, Zhenming, and Ma, Dan
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DEFINED contribution pension plans , *INTEREST rates , *RISK aversion , *RATE of return , *PENSION trust management , *STOCHASTIC analysis - Abstract
The interest rate and the market price of risk may be stochastic in a real-world financial market. In this paper, the interest rate is assumed to be driven by a stochastic affine interest rate model and the market price of risk from the stock market is a mean-reverting process. In addition, the dynamics of the stock are simultaneously driven by random sources of interest rate and the stock market itself. In pension fund management, different fund managers may have different risk preferences. We suppose risk preference is described by the hyperbolic absolute risk aversion utility, which is a general utility function describing different risk preferences. Legendre transform-dual theory is presented to successfully obtain explicit expressions for optimal strategies. A numerical example illustrates the sensitivity of optimal strategies to market parameters. Theoretical results imply that the risks from stochastic interest rate and stochastic return may be completely hedged by adopting specific portfolios. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
15. Wealth accumulation in rotation forestry – Failure of the net present value optimization?
- Author
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Kärenlampi, Petri P.
- Subjects
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NET present value , *INTERNAL rate of return , *WEALTH , *INTEREST rates , *RATE of return , *FORESTS & forestry - Abstract
The rate of wealth accumulation is discussed, and an expression for a momentary rate of capital return is presented. An expected value of the wealth accumulation rate is produced. The return rates depend on any yield function. Three different yield functions are applied, two of them published in the literature, and a third one parametrized using a comprehensive growth model. A common economic objective function, as well as a third known objective function, are applied and compared with the clarified wealth accumulation rate. While direct optimization of wealth appreciation rate always yields best results, procedures gained by maximizing the internal rate of return are only slightly inferior. With external discounting interest rate, the maximization of net present value yields arbitrary results, the financial consequences being at worst devastating. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
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16. Interest Rate and Exchange Rate Exposure of Portfolio Stock Returns: Does the Financial Crisis Matter?
- Author
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Dwumfour, Richard Adjei and Addy, Naa Adokarley
- Subjects
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FINANCIAL crises , *FOREIGN exchange rates , *INTEREST rates , *STOCK exchanges , *RATE of return - Abstract
The study examines the impact of changes in interest rate and exchange rates and their unexpected changes on industry and size portfolio returns on the Ghana Stock Exchange (GSE) controlling for the 2007/2008 financial crisis. Three main exchange rates (FX) namely, Ghana cedis (Gh¢)/US dollar, Gh¢/Great Britain Pounds (GBP) and the Gh¢/Euro are used. We use OLS, GARCH and ARIMA in our estimations. The study found that only depreciation of the Gh¢/USD reduces the returns of financial stocks and large firms. There is a direct positive impact of the financial crisis on the returns due to investment shift from developed markets where crisis occurs. Variations in the returns are mostly explained by the market index returns (RM), which has a positive impact. However, we find that the positive impact of RM on the portfolio returns (finance, medium and large portfolios) is reduced during the financial crisis. The results largely reveal that shocks to the conditional variance are highly persistent and the response of volatility decays at a slower rate. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
17. State-space approach to capital return in nonlinear growth processes.
- Author
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Kärenlampi, Petri P.
- Subjects
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PARTITION functions , *VALUE engineering , *RATE of return , *CAPITALIZATION rate , *INTEREST rates - Abstract
Purpose: The purpose of this paper is to introduce a capital return rate function for growth processes, and apply it to financial sustainability considerations in growing multiannual plants. Design/methodology/approach: A partition function of change rate of capitalization is introduced, as well as that of capitalization itself, and the expected value of capital return rate is produced as the ratio of the two functions. Findings: Financial sustainability significantly differs from maximum-yield sustainability, and does not depend on any external interest rate. Research limitations/implications: It is proposed that financial considerations should not be based on any arbitrary external interest. Neither should the shape of any yield function be neglected. Constancy of capital return rate in time is not assumed. Practical implications: Two forestry examples show that the capital return rate is sensitive to rotation time, and in particular to the level of initial investment. The proposed procedure can be applied in the absence of periodic boundary conditions in time. Originality/value: The methodology has not been applied in this field previously. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
18. Machine learning for quantitative finance: fast derivative pricing, hedging and fitting.
- Author
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De Spiegeleer, Jan, Madan, Dilip B., Reyners, Sofie, and Schoutens, Wim
- Subjects
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MACHINE learning , *HEDGING (Finance) , *DIVIDEND yield , *INTEREST rates , *GAUSSIAN processes , *RATE of return - Abstract
In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive at speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process regression. The price we have to pay for this extra speed is some loss of accuracy. However, we show that this reduced accuracy is often well within reasonable limits and hence very acceptable from a practical point of view. The concrete examples concern fitting and estimation. In the fitting context, we fit sophisticated Greek profiles and summarize implied volatility surfaces. In the estimation context, we reduce computation times for the calculation of vanilla option values under advanced models, the pricing of American options and the pricing of exotic options under models beyond the Black-Scholes setting. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
19. Government bond yields in Germany and Spain—empirical evidence from better days.
- Author
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Basse, Tobias, Wegener, Christoph, and Kunze, Frederik
- Subjects
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INTEREST rates , *RATE of return on government securities , *CREDIT risk , *LIQUIDITY (Economics) , *COINTEGRATION , *RATE of return - Abstract
This paper tries to link the uncovered interest rate parity condition to the discussion about interest rate convergence in currency unions. Techniques of fractional cointegration analysis are used to examine the relationship between German and Spanish government bond yields with maturities of two, five, seven and ten years in the period 05 January 2001 to 29 December 2006. Back then (in the good times of the currency union) financial markets did not have to fear exchange rate risk and sovereign credit risk. Thus, the risk premia to be observed were small and driven by liquidity risk. Economic theory suggests that a cointegration vector of
between the interest rates can only exist when markets do not expect exchange rate movements and the risk premium is not interest rate sensitive (or practically speaking the sensitivity is low). Given the data set examined here, it is probably no surprise that the interest rates of the two countries are cointegrated and that the cointegration vector of German and Spanish government bond yields with maturities of two, five and seven years seems to be . We then have also examined the degree of interest rate sensitivity of the yield spread between Spain and Germany. The differential between the yields of the two countries in all maturity brackets do not react to the level of interest rates in the currency union. This fits perfectly to our results with regard to the cointegration vector. [ABSTRACT FROM AUTHOR] - Published
- 2018
- Full Text
- View/download PDF
20. VALUATION OF GOVERNMENT BONDS: THE EXCHANGE RATE IS AN IMPORTANT ASPECT.
- Author
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Francová, Blanka
- Subjects
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SALES & prices of government securities , *FOREIGN exchange rates , *INTEREST rates , *RISK premiums , *RATE of return , *REGRESSION analysis - Abstract
Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi-linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010 - 2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
21. An examination of restaurant firm financing and the cost of borrowing.
- Author
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Dalbor, Michael C. and Lee, Seoki
- Subjects
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RESTAURANT finance , *CAPITAL structure , *DEBT , *INTEREST rates , *RATE of return , *ORGANIZATIONAL performance - Abstract
The use of debt is prevalent in the restaurant industry. While there have been numerous studies on restaurant capital structure, this study examines the relationship between firm performance and effective interest rate on debt used by restaurant firms. This study uses a sample of 56 publicly traded U.S. restaurant firms for the years 2012–2014. We examine the relationship between effective interest rates and firm performance as measured by approximate Tobin’s Q, return on assets, and return on equity. We find a significant and positive relationship between effective interest rates and return on equity. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
22. Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims.
- Author
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Cheng, Ming, Konstantinides, Dimitrios G., and Wang, Dingcheng
- Subjects
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RATE of return , *STOCHASTIC processes , *LEVY processes , *ASYMPTOTIC expansions , *TIME perspective , *INTEREST rates , *COPULA functions , *PROBABILITY theory - Abstract
• This paper considers a multidimensional risk model with an investment return process modelled by a general càdlàg process. • The claim sizes from different lines of business are distributed according to the multivariate regular variation. • Conditions are proposed that can guarantee the uniformity of three types of ruin probabilities for the entire time horizon. • The conditions proposed are weak enough to be satisfied by some stochastic processes, such as the Lévy process, Vasicek model, Cox-Ingersoll-Ross model, Heston model, and Stochastic volatility model. Consider an insurer with d lines of business and the freedom to make risk-free and risky investments. The investment portfolio price process is described as a general càdlàg process. It is assumed that the claim sizes from different lines of business and their common inter-arrival times form a sequence of independent and identically distributed (i.i.d.) random pairs, each pair obeying a particular dependence structure. With this dependence structure, claim sizes from different lines of business are distributed according to the multivariate regular variation. This paper proposes conditions that can be satisfied by several important stochastic processes, including the Lévy process, Vasicek interest rate model, Cox-Ingersoll-Ross interest rate model, Heston model, and Stochastic volatility model. Under these conditions, the uniform asymptotic expansions of ruin probabilities are derived, which hold uniformly for the entire time horizon. Numerical examples are provided as a means of illustrating the main results. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
23. Buttonwood: When to fight the Fed.
- Subjects
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INVESTORS , *CENTRAL banking industry , *RATE of return , *FEDERAL government , *INTEREST rates , *MONETARY policy - Abstract
The article reports that Investors who have ignored the 'don't fight the Fed' rule and bet against central banks have enjoyed strong returns, despite multiple interest rate hikes. It mentions that the Betting against central banks can be beneficial in refining their guidance and preventing the need for rate changes and moderation in rate of interest of monetary polic.
- Published
- 2023
24. PPPs — True Financial Costs and Hidden Returns.
- Author
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Fernandes, Carlos, Ferreira, Miguel, and Moura, Filipe
- Subjects
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PUBLIC-private sector cooperation , *RATE of return , *LOAN costs , *INTEREST rates , *STOCKHOLDERS equity , *ECONOMICS - Abstract
The cost of using private finance is at the centre of the public private partnerships (PPPs) debate, but until now most works considered only the direct financial costs such as the loan interest rate and the shareholders return on equity and were based on various secondary sources. This paper focuses on seven shadow toll deals closed in Portugal between 1999 and 2002 and reports the financial costs of the PPP model considering also the associated transaction costs and is based on detailed information included in each concession's financial base case. The transaction costs include financial costs such as banking fees, due diligence costs and the impact of all cash distribution traps, such as reserve accounts or minimum-level of debt ratios. The PPP financial costs were then compared with the costs arising from raising public debt through a government or a public agency bond. Our analysis shows that the PPP ‘true' financing costs are, on average, 370 basis points above the cost of raising public debt and that the ‘transaction costs' account for around 40% of that financial premium. [ABSTRACT FROM PUBLISHER]
- Published
- 2016
- Full Text
- View/download PDF
25. Low interest rates and unprecedented stock market volatility: What they mean for your next rate case.
- Author
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Strunk, Kurt G.
- Subjects
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INTEREST rates , *STOCK exchanges , *MARKET volatility , *RATE of return , *PUBLIC utilities , *CAPITAL market - Abstract
Litigating return on equity disputes exposes public utilities to substantial uncertainty in today’s market and regulatory environment. Anomalous capital market conditions have led some regulators to modify their approaches to assessing ROE and to consider alternative metrics. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
26. Testing the liquidity preference hypothesis using survey forecasts.
- Author
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Ornelas, Jose Renato Haas and Silva Jr., Antonio Francisco de Almeida
- Subjects
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LIQUIDITY (Economics) , *ECONOMIC forecasting , *INTEREST rates , *RATE of return , *STATISTICAL hypothesis testing , *EMPIRICAL research - Abstract
We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations in order to evaluate LPH. This approach allows us to disentangle the effect of the changes in interest rate expectations from the liquidity premium. We found empirical support for the LPH with Brazilian data using both traditional and survey methods. However, the evaluation with interest rate surveys gives a higher statistical confidence level than the traditional approach when we perform tests for term premium monotonicity. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
27. Time Series Analysis of the Relationship between Macroeconomic Factors and the Stock Market Returns in Pakistan.
- Author
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Alam, Zaheer and Rashid, Kashif
- Subjects
- *
MACROECONOMICS , *RATE of return , *STOCK exchanges , *CONSUMER price indexes , *MONEY supply , *FOREIGN exchange rates , *INTEREST rates - Abstract
The purpose of this research is to investigate the relationship between Karachi stock market 100 index and macroeconomic variables, i.e., inflation, industrial production, money supply, exchange rate and interest rate. The long term relationship between macroeconomic variables and stock market returns has been analyzed by using Johnson Cointegration test, Augmented Dicky Fuller (ADF) and Phillip Perron (PP) tests. The Autoregressive Conditional heteroskedasticity Lagrange Multiplier (ARCH LM) test provided prudent evidence about the presence of heteroskedasticity in the data. The Generalized Autoregressive Conditional heteroskedasticity (GARCH) model was used to find out the relationship between stock returns and the variance of the squared error terms as there was heteroskedastic trend in the data. The results show that the cointegrating relationship exists between stock prices and the macroeconomic variables in Pakistani stock market. The GARCH model showed the significant relationships after mitigating the heteroskedasticity. The consumer price index (CPI), money supply (MS), exchange rates (ER) and interest rates (IR) proved to be negatively associated with the stock returns (SR), while industrial production index (IPI) was found to be positively associated with the stock returns. All the variables were significantly associated to stock market returns except inflation. The investors can use the GARCH results for investment decisions that is the returns are volatile not only due to any happening today but also on the past. The findings suggest that in the long run, the Pakistani stock market is reactive to macroeconomic indicators. [ABSTRACT FROM AUTHOR]
- Published
- 2014
28. COLLISION COURSE.
- Author
-
SANFORD, JEFF
- Subjects
- *
AUTO body repair , *RATE of return , *INTEREST rates - Abstract
The article focuses on Fix Auto, an autobody repair industry. It states that autobody repair shops are parental operations although some proprietors may run small regional chains. According to CEO (chief executive officer) of Fix Auto Steve Leal, his goal is to become leading consolidator of collision repair businesses. It mentions that tying autonomous shops into a corporate structure is a great way to make a big return on investment and interest rates are low which makes financing cheap.
- Published
- 2016
29. Corporate Tax Reform: Tax on Corporations as a Revenue Source.
- Subjects
- *
TAXATION , *GOVERNMENT revenue , *RATE of return , *INTEREST rates ,UNITED States tax laws - Abstract
The article discusses corporate tax reform in the U.S. It states that corporate tax is the third-largest Federal revenue source, lagging behind the individual income tax, and mentions that most of historical decline in the tax was caused by legislated reductions in the corporate effective tax rate on the return to new investment. It notes that large fraction of the decline in corporate tax revenues is associated with changes in rates, and depreciation.
- Published
- 2018
30. National Saving Schemes: CDNS raises rates on its products.
- Subjects
- *
INTEREST rates , *RATE of return , *SAVINGS accounts , *MONETARY policy , *STATE banks - Abstract
In addition, the return on three-month Short Term Savings Certificates (STSC) rose to 20.84% while yield of six-month STSC surged to 20.82%. The revision in rates of savings schemes come after the Monetary Policy Committee (MPC) of the State Bank of Pakistan (SBP) raised the key interest rate by 100bps, taking it to 21% last month. The Central Directorate of National Savings (CDNS) announced that it has revised upwards the rates of return on some National Savings schemes. [Extracted from the article]
- Published
- 2023
31. Buttonwood Late to disinflate.
- Subjects
- *
GOVERNMENT securities , *PRICE inflation , *RATE of return , *INTEREST rates , *MONETARY policy - Abstract
The article focuses on the U.S. Federal Reserve is busy in fighting inflation and three-year Treasury yield has risen by more than a percentage point, the biggest absolute change since yields collapsed in January 2008 during the global financial crisis. It mentions Fed will increase interest rates by another two percentage points this year, having already raised them by a quarter of a point on March 16, 2022. It also mentions monetary policy is pressing on neither the accelerator nor the brake.
- Published
- 2022
32. The world this week Business.
- Subjects
- *
RATE of return , *BONDS (Finance) , *INTEREST rates , *PRICE inflation - Abstract
The article offers global business news brief as of April 2022. Topics discussed include yields on short-term American bonds rose significantly, an indicator that markets are expecting hefty interest-rate rises from the Federal Reserve; Carlsberg and Heineken were among the latest companies to announce that they are leaving Russia and Germany's annual inflation rate is expected to come in at 7.3 percent for March 2021 according to the country's statistics office.
- Published
- 2022
33. Techno-economic and profitability analysis of extraction of patchouli oil using supercritical carbon dioxide.
- Author
-
Soh, Soon Hong, Jain, Akshay, Lee, Lai Yeng, Chin, Siew Kian, Yin, Chun-Yang, and Jayaraman, Sundaramurthy
- Subjects
- *
SUPERCRITICAL carbon dioxide , *SUPERCRITICAL fluid extraction , *DISCOUNTED cash flow , *ECONOMIC indicators , *INTEREST rates , *NET present value , *RATE of return - Abstract
Patchouli oil is a commercially important essential oil in the flavor and fragrance industry. In this study, a technoeconomic feasibility assessment was conducted to commission a supercritical fluid extraction plant for the extraction of patchouli oil in Singapore. The study revealed that the manufacturing cost for patchouli oil is 53.87 USD/kg for a plant processing capacity of 400,000 kg of raw material/year with the cost of utilities being a major contributing factor to the manufacturing cost. In addition, financial indicators such as net present value, discount cash flow rate of return, return on investment and payback period have been applied to evaluate the profitability of the supercritical fluid extraction plant. The total investment cost for the plant is around 4.77 million USD. Calculation of the discounted cash flow rate of return shows that a maximum interest rate of 26.3% can be loaned from investors and the project would still breakeven. At an interest rate of 5.25%, the return on investment for the project is calculated to be 27.4% and the payback time is estimated to be 5.4 years with a total profit of 5.27 million USD after 10 years. [Display omitted] • Cost estimation and profitability analysis were applied on the SFE of patchouli oil. • Specific cost of manufacturing for patchouli oil was 53.87 USD/kg. • Cost of utilities is the largest contributor in the COM of patchouli oil. • Difference between selling price and patchouli oil COM showed economic feasibility. • Profitability study presented 27.4% ROI and payback time of 5.4 years. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
34. At any rate: China revamps its interest-rate system but also adds to its muddle.
- Subjects
- *
INTEREST rates , *RATE of return , *BANK loans , *COMMERCIAL loans , *COMMERCIAL policy - Abstract
The article reports on the revamp of China's interest-rate system. Topics discussed include the introduction of Loan Prime Rate (LPR) for banks pricing corporate loans, the country's attempt to make lending rates more responsive to financial conditions, and the real interest rates for industrial firms.
- Published
- 2019
35. Clarifications of and improvements to the equations used to calculate the levelized cost of electricity (LCOE), and comments on the weighted average cost of capital (WACC).
- Author
-
Harvey, L.D. Danny
- Subjects
- *
CAPITAL costs , *PROJECT finance , *INTEREST rates , *RATE of return , *EQUATIONS - Abstract
The levelized cost of electricity (LCOE) is a metric commonly used in the academic literature. Electricity-supply projects can be financed by the project developer, equity partners, or through debt, with the timing of investments and returns different for all three. The LCOE metric is equally applicable to all three sources of financing although the calculation does not explicitly represent these differences in timing. The LCOE metric implicitly assumes that surplus revenue earned during the operation of a powerplant can be re-invested with a rate of return equal to the return on equity, an assumption that is not valid. A modified LCOE equation that accounts for this difference and for steadily declining output and increasing O&M costs is presented here. The errors entailed in using a simple weighting of the returns to equity and debt (the weighted average cost of capital, WACC) in the non-linear LCOE equation entails an error of less than 0.5% if the interest rate on surplus revenues equals the discount rate. Otherwise, it is necessary to separately consider the equity and debt financing portions (even if returns to equity and debt are the same, as the modified LCOE equation applies only to the debt portion). • The LCOE equation is equally applicable to alternative financing structures. • A modified LCOE equation accounts for interest rate differing from discount rate. • A modified LCOE equation accounts for increasing O&M costs and declining output. • Use of WACC should be abandoned in favor of separate debt and equity calculations. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
36. We Need to Remember What Reagan Knew About Economics.
- Author
-
Vigilante, Richard
- Subjects
- *
MONEY supply , *RATE of return - Published
- 2022
37. Why So Slow? A Gradual Return for Interest Rates.
- Author
-
CÚRDIA, VASCO
- Subjects
- *
INTEREST rates , *EMPLOYMENT , *PRICE inflation , *ECONOMIC development , *RATE of return - Abstract
Short-term interest rates in the United States have been very low since the financial crisis. Projections of the natural rate of interest indicate that a gradual return of short-term interest rates to normal over the next five years is consistent with promoting maximum employment and stable inflation. Uncertainty about the natural rate that is most consistent with an economy at its full potential suggests that the pace of normalization may be even more gradual than implied by these projections. [ABSTRACT FROM AUTHOR]
- Published
- 2015
38. Assessing Supervisory Scenarios for Interest Rate Risk.
- Author
-
CHRISTENSEN, JENS H. E. and LOPEZ, JOSE A.
- Subjects
- *
INTEREST rate swaps , *INTEREST rates , *CAPITAL assets pricing model , *YIELD curve (Finance) , *FINANCIAL management , *INTEREST rate risk management , *ECONOMICS , *RATE of return - Abstract
A new proposal by the Basel Committee on Banking Supervision for setting the amount of capital banks must hold against potential losses from interest rate risk uses only a few, very stylized scenarios. Analysis shows the proposed scenarios are extremely unlikely to occur. While they may be appropriate for setting bank capital guidelines, they are much less relevant for everyday risk management. Instead, using a modeling framework with a plausible range of interest rate scenarios would be more relevant to help banks manage their interest rate risk. [ABSTRACT FROM AUTHOR]
- Published
- 2015
39. The new commonplace: Making sense of investors' mood.
- Subjects
- *
FINANCIAL services industry , *RATE of return , *INTEREST rates , *BONDS (Finance) , *PRICE inflation - Abstract
The article focuses on condition of financial market such as emergence of yields on Treasury bill and mentions that safest assets are at premium. Topics discussed include decline in interest rates in Germany from cash to bonds, uncertainty faced by the go-to market for equity investors and decline in the inflation in the swaps market.
- Published
- 2019
40. The Forex Trading System for Speculation with Constant Magnitude of Unit Return.
- Author
-
Piasecki, Krzysztof and Stasiak, Michał Dominik
- Subjects
- *
RISK premiums , *INTEREST rates , *PRECIOUS metals , *NEAR field communication , *RATE of return , *FOREIGN exchange rates - Abstract
The main purpose of this article is to investigate a speculative trading system with a constant magnitude of return rate. We consider speculative operations related to the exchange rate given as the quotient of the base exchange medium by the quoted currency. An exchange medium is understood as any currency or any precious metal. The unit return is defined as the return expressed in the quoted currency by the amount of base exchange medium. All possible states of the exchange market form a finite elemental space. All knowledge about the dynamics of this market is presented as a prediction table describing the conditional probability distributions of incoming exchange rate changes. On the other hand, in the proposed trading system each speculative operation is concluded in such a way that the gross payment is determined by the given magnitude of unit return. The paper contains an analysis of the following evaluation criteria: annual number of transaction, success probability, expected unit payment, expected unit profit, risk index, unit risk premium, return rate, interest rate, and interest risk premium. Both of these indices can be used to select the effective trading systems. Effectiveness is considered in the local sense and in the global sense. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
41. Buttonwood: Bath time for bonds.
- Subjects
- *
BONDS (Finance) , *SECURITIES , *INTEREST rates , *RATE of return ,UNITED States economy - Abstract
The article focuses on the long-term decline in bond yields in the U.S. as of June 2019. Topics discussed include outlook on short-term rates, reasons for the decades-long decline of interest rates, the expectation for the era of low interest rates to last and the expectation for the long-term interest rates to rise again.
- Published
- 2019
42. Schumpeter | The REIT stuff.
- Subjects
- *
DATA libraries , *ELECTRONIC commerce , *INTEREST rates , *RATE of return , *REAL estate investment trusts - Abstract
The article discusses the move by real estate investment trusts (REITs) in the U.S. to invest in warehouses, data centers and telecommunication towers. Several REITs own properties in the technology industry, including Prologis, Equinix and Crown Castle International. The trend has been attributed to the growth of electronic commerce. REITs are expected to face challenges in the technology industry, including rising interest rates that might affect their returns.
- Published
- 2019
43. Urged to merge.
- Subjects
- *
BANK mergers , *RATE of return , *INTEREST rates , *COMPETITION in the banking industry , *PROFITABILITY - Abstract
The article focuses on the possible merger of German financial institutions Commerzbank and Deutsche Bank. It describes the two banks as chronic underperformers with the 0.4 percent (%) return on equity (RoE) for Deutsche the first positive RoE in four years, while Commerzbank saw a 3% RoE. It comments that very low interest rates and high competition have hurt the banks profitability despite the banks possessing ample liquidity and being well capitalized.
- Published
- 2019
44. Buttonwood: Sunrise in Tokyo.
- Subjects
- *
STOCK exchanges , *INVESTORS , *RATE of return , *INTEREST rates , *PRICE deflation , *GROSS domestic product , *UNEMPLOYMENT , *CAPITAL investments - Abstract
The article presents a forecast for the stockmarket in Japan in 2018. The market is expected to recover as returns for investors continue to grow. The movement of the country's economic indictors is also explored, including interest rates, deflation, gross domestic product (GDP) and unemployment. The increase in capital spending in the private sector is also noted.
- Published
- 2018
45. Load bearing.
- Subjects
- *
COMMERCIAL credit , *COMMERCIAL loans , *RATE of return , *INTEREST rates - Abstract
The article deals with the concerns on the growth of the corporate-credit market in the U.S. Authorities from the International Monetary Fund (IMF) expressed concerns on the booming market for leveraged loans. Several reasons for the attractiveness of leveraged loans are identified, including good returns when interest rates have been ultra-low.
- Published
- 2018
46. M&A.
- Author
-
VALK, VINCENT
- Subjects
- *
CHEMICAL industry mergers , *PORTFOLIO management (Investments) , *PRIVATE equity , *INTEREST rates , *RATE of return , *FIXED incomes , *LIQUIDITY (Economics) ,CHEMICAL industry personnel - Abstract
The article reports on the series of merger and acquisition in the chemical industry in 2015 and 2016. Topics include the plan of industry executives to grow in targeted sectors and improve portfolios, the trends about low interest rates and low returns on fixed income, and advantage of private equity firms and companies in terms of money and liquidity.
- Published
- 2016
47. Interest Rates Are Rising. That's O.K.
- Author
-
IRWIN, NEIL
- Subjects
- *
INTEREST rates , *RATE of return , *GOVERNMENT securities , *PRICE inflation , *FINANCIAL market reaction ,UNITED States economy, 2017-2021 - Abstract
The article discusses economic implications of the interest rate hike by the U.S. Federal Reserve System. Topics explored include the recorded increase in the yields of 10-year U.S. Treasury bonds and other government bonds, the link between inflation and the interest rate hike, and the response of financial markets to the rate increase.
- Published
- 2018
48. MetLife to Buy Versant Health for $1.7 Billion.
- Author
-
Maidenberg, Micah and Scism, Leslie
- Subjects
- *
INTEREST rates , *RATE of return - Published
- 2020
49. Climbing aboard the Africa train.
- Subjects
- *
PRIVATE equity , *BUSINESS enterprises , *INFRASTRUCTURE (Economics) , *INTEREST rates , *RATE of return , *VENTURE capital , *CORPORATE debt - Abstract
The article focuses on private equity investments in African businesses and infrastructure. It states due to high domestic currency borrowing rates in Africa, most buyouts are done with little debt with private equity improving business returns by improving efficiency and increasing revenue. It mentions private equity firms sometimes act like startup founders or venture capitalists with African companies and reports South African private equity firms delivered a return rate of 18.5 percent.
- Published
- 2015
50. National news-Government raises cut-off yields on PIBs.
- Subjects
- *
INTEREST rates , *BANK investments , *FIXED interest rates , *PUBLIC investments , *RATE of return - Abstract
The government increa¬sed the returns on the long-term Pakistan Investment Bonds (PIBs) up to 42 basis points despite no change in the policy interest rate. Bankers said the cut-off yield was increased due to higher inflation which makes the returns negative or extremely low. [Extracted from the article]
- Published
- 2021
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