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The MICEX Index slid down 2.5% at the beginning of January 2014, however Gazprom’s stock and Norilsk Nickel’s stock went up in the second half of the month, thereby having a positive effect on the MICEX Index which was pushed up to 1494.6 points. The annual dynamics of blue chips has been negative in most cases. It is only Sberbank’s preferred stock which gained significantly (5.85%) over the period under review. Total MICEX stock exchange market capitalization amounted to Rb 24,9 trillion (37.56% of GDP) as of January 24, 2014, having shown an increase of Rb 450,7bn (1.8%) over the value observed as of December 30, 2013.

Football has become an important industry in Turkey. A huge amount of sponsoring, advertising, betting funds into football and television rights are sold for billions of Turkish Liras. In order to better compete in Turkish leagues, football clubs have made considerable investments and have aspired to be listed on the stock exchange. The pioneer was Beþiktaþ that went public in 2002. After that three football clubs were listed on Borsa Istanbul (BIST). The aim of this study is to evaluate the financial performance of four big football clubs (Beþiktaþ, Fenerbahçe, Galatasaray and Trabzonspor) listed on BIST from 2009-2010 to 2012-2013. In order to evaluate these clubs, Grey Relational Analysis (GRA) is used. GRA is widely used in various disciplines such as economics, engineering, sociology and finance. It can be used as a rating, classification and decision making technique to determine the important factors among those required for a system with a limited number of data set.

Member states of the euro area have been struggling with the legacies of the severe financial and economic crisis for four years now. But debt ratios are still rising. Negative primary balances, low growth, and low inflation do not allow for a recovery similar to the one in the US after the Second World War. Between 1946 and 1953, the US was able to almost halve its debt with no haircuts. The crisis countries of the euro area were able to "buy time" with bailout packages and low interest rates. But as long as the other influencing factors are not developing more positively, it remains uncertain whether the current stabilization of the euro debt crisis is sustainable. The ECB's low interest rate policy undoubtedly offers some relief in this situation. First, the interest burden for most countries in the euro area has declined in recent years. This effect has tended to stifle increases in the debt ratio. Second, low interest rates strengthen the economy. In turn, this increases government tax revenue and improves the primary balance. Low interest rates have also played an important role in driving down the debt ratio in the US. At the moment they appear to be the only lever in the euro area with which to make euro area countries' debt more sustainable. What matters now is that they seize this opportunity.

The debt capital of real economy enterprises in Germany is provided to a large extent by the banking system via credits, in particular to SMEs. This predominance of the bank-based financing is due to a small and medium-sized businesses structure of the real economy and to a structure of the banking market mostly oriented towards deposits-based lending to enterprises and available all over the country, including rural areas. In the course of the internationalisation of the regulation standards, there is the threat of a distortion in favour of the capital market-oriented financial system. The European policy should, therefore, take care that the regulation regime will not urge the financial system into an excessive capital market orientation. Considerations by the EU Commission to establish financial instruments outside the banking sector cannot do justice to the problem of asymmetrical information prevailing on the credit and capital markets and hence not guarantee stable corporate financing. However, economic policy is called upon to more intensely put instruments of venture capital financing into the focus of the public funding institutions and their financial promotional programmes. Classification JEL: G1, G21, G28, L25.

This paper aims subjective nature of the valuation method by return on assets at an enterprise level. Starting from the evaluation principles and techniques used to determine the value of assets of an enterprise, we come upon the method the yield (revenue) by putting it into practice on an enterprise with agro-industrial activity. Value approached in this valuation technique is market value, being followed in the specific market region South-West region in which the undertaking operates. By addressing different market value starting from the comparables used have revealed how the value resulting from the efficiency of the method varies depending on how the evaluator expects and appreciates the value of comparables against the subject being assessed. All these techniques are highlighted through a case study of the agro-industrial companies in the county of Dolj.

In November, the MICEX index was driven by the substantial devaluation of the ruble and reached another record- high-level of 1538.9 points during the year. It is the metalworking sector index that became a leader among the sector indices in November, up 12.1% since the beginning of the month. The stock market capitalization as of the 27th of November amounted to Rb 23,9 trillion (36.9% of GDP), an increase of Rb 218,5bn (0.9%) since the 3rd of November. The corporate bond market in November saw some adverse trends such as downward trend in the corporate bond index and investment, and the acceleration of the average weighted bond yield (especially in the production sector). Such indicators as the corporate bond market volume and investment activity of bond issuers showed positive dynamics. At the same time, deterioration in issuers’ failure to discharge their obligations to bondholders was observed.

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the term spread and the Cochrane-Piazzesi factor, (iii) the effects of supply are stronger for longer maturities, and (iv) following periods when arbitrageurs have lost money, both supply and the term spread are stronger predictors of excess returns.

This study provides evidence that stock market participants revise their forecasting strategies in response to macroeconomic news contingent on the state of the economy. This study utilizes Mangee (2011)'s novel dataset based on textual information contained in Bloomberg News's end-of-the-day stock market reports. A key finding is that macroeconomic news is reported to impact stock prices with a positive relation on some days and a negative one on others. The Bloomberg data show that, on average, economic considerations matter positively for stock prices during both expansions and contractions, but the degree to which macroeconomic news matters negatively rises dramatically during expansions. However, the Bloomberg data suggests that the connection between macroeconomic news and stock prices is much more unstable than what has been previously reported. In particular, the qualitative impact of economic considerations is not constant across expansionary periods. Furthermore, net market psychology associated with economic considerations is found to decline sharply leading up to and during sustained economic contractions. The results are consistent with theoretical accounts of asset price fluctuations which recognize that market participants imperfection of knowledge underpins the temporal indeterminacy of fundamentals-based relations.

We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints. We test the model's predictions within U.S. equities, across 20 global equity markets, for Treasury bonds, corporate bonds, and futures. Consistent with the model, we find in each asset class that a betting-against-beta (BAB) factor which is long a leveraged portfolio of low-beta assets and short a portfolio of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed towards one, and the return of the BAB factor is low.

Member states of the euro area have been struggling with the legacies of the severe financial and economic crisis for four years now. But debt ratios are still rising. Negative primary balances, low growth, and low inflation do not allow for a recovery similar to the one in the US after the Second World War. Between 1946 and 1953, the US was able to almost halve its debt with no haircuts. The crisis countries of the euro area were able to "buy time" with bailout packages and low interest rates. But as long as the other influencing factors are not developing more positively, it remains uncertain whether the current stabilization of the euro debt crisis is sustainable. The ECB's low interest rate policy undoubtedly offers some relief in this situation. First, the interest burden for most countries in the euro area has declined in recent years. This effect has tended to stifle increases in the debt ratio. Second, low interest rates strengthen the economy. In turn, this increases government tax revenue and improves the primary balance. Low interest rates have also played an important role in driving down the debt ratio in the US. At the moment they appear to be the only lever in the euro area with which to make euro area countries' debt more sustainable. What matters now is that they seize this opportunity. Seit vier Jahren kämpfen die Staaten des Euroraums gegen die Hinterlassenschaften der schweren Finanz- und Wirtschaftskrise an. Aber noch immer steigen die Schuldenquoten. Für die Krisenstaaten des Euroraums wurde zwar mit Rettungspaketen und Niedrigzinsen "Zeit erkauft". Aber solange sich die anderen Einflussgrößen nicht positiver entwickeln, bleibt es ungewiss, ob die momentane Beruhigung der Euro-Verschuldungskrise nachhaltig ist. Zweifelsfrei stellt in dieser Situation die Niedrigzinspolitik der EZB eine Erleichterung dar. Zum einen ist die Zinslast für die meisten Eurostaaten in den letzten Jahren zurückgegangen. Dieser Effekt dämpft tendenziell das Wachstum der Schuldenquote. Zum anderen stärken die niedrigen Zinsen die Wirtschaft. Dies wiederum erhöht die Steuereinnahmen des Staates und verbessert den Primärsaldo. Niedrigzinsen haben auch bei der Rückführung der Schuldenquote in den USA eine große Rolle gespielt. Zwischen 1946 und 1953 konnten die USA ihren Schuldenstand ohne Schuldenschnitt fast halbieren. Negative Primärsalden, niedrige Wachstumsraten und die niedrige Inflationsrate lassen dies in der Euro-Schuldenkrise jedoch nicht zu. Deshalb scheinen Niedrigzinsen im Moment der einzige Hebel zu sein, mit dem die Schulden tragfähiger gemacht werden können. Nun kommt es darauf an, dass die Eurostaaten die Chance auch ergreifen.

In June 2014, the MICEX Index fully recovered the loss sustained in May, the monthly average index reached 1486.0 points. VTB Bank’s shares stopped growing in value in June, losing more than 10.6% in the period between May 30, 2014 and June 26, 2014. The Moscow Exchange trading volume reached Rb 620.5bn in the period between June 2 and 26, 2014. The stock exchange capitaliza?? on amounted to Rb 23.63 trillion (36.4% of GDP) as of June 26, 2014.

In this paper, we identify the bid-ask spread components in the Brazilian market at intraday high frequency. To do so, we use data from all stocks that compose the Ibovespa in 10-minute frequencies from January to March of 2013. We use the model of Huang and Stoll (1997). Preliminary results indicate that there is a relatively stable pattern in the temporal evolution of the means of the bid-ask spread percentage with a distinct seasonal effect linked to the opening and closing of the Brazilian market. Regarding the proportion of components, adverse selection costs exhibit the lowest participation in the bid-ask spread of stocks in the Brazilian market (approximately 3%); inventory holding costs have the largest participation (approximately 52%), followed by the order processing costs component (45%). The presented results highlight the importance of liquidity over information asymmetry as the observed pattern diverges from those obtained in previous studies conducted in developed markets.

In October 2014, the MICEX Index saw a downtrend caused by falling crude oil prices. The MICEX Index lost 1.4% in the period between October 1 thru October 24 . The MICEX capitalization amounted to Rb 22,0 trillion as of October 24 (34.0% of GDP). The acceleration of the average weighted yield of bond issues (especially in the production sector) and the downtrend in the market index dynamics remained the major adverse eff ect in the Russian corporate bond market. At the same time, no deterioration in issuers’ failure to discharge their obligations to bondholders was observed.

This study utilized the cross-sectional independence test established by Pesaran (2004) to identify the existence of common factors in stock markets functioning in Chinese regions. The volatility spillover test of Hafner and Herwartz (2006) based on the Lagrange multiplier (LM) principle was also adapted to test for non-causality in the variance of stock indexes of Chinese stock markets. Our results show that cross-sectional interdependence is apparent in Chinese stock markets; however, only stock markets with higher market values, such as those in Shanghai and Hong Kong, have influence on the Taiwan stock market.

Die von Lebensversicherungen angebotenen Privatrententarife können einen Inflationsschutz nicht garantieren. Die effektive garantierte Beitragsrendite lag in der vorliegenden Untersuchung von 48 Versicherungstarifen bei lediglich 1,02 Prozent und bei den Marktführern sogar nur bei 0,94 Prozent. Verantwortlich hierfür sind erhebliche Kosten, deren Ausmaß dem Kunden in der Regel verborgen bleibt. Er findet im gesetzlich vorgeschriebenen Produktinformationsblatt keine Gesamtsumme der anfallenden Kosten, sondern nur Teilbeträge, die sich auf jeweils unterschiedliche Zeiträume beziehen. Auch die von vielen Versicherern verwendete „Gesamtkostenquote“ ist missverständlich und untertreibt die tatsächlichen Kosten. Die Analyse der durch Kosten verursachten Einbußen, der „Reduction in Wealth“, ergab bei einem Modellvertrag mit Einzahlungen von insgesamt 48 000 Euro allein in der Ansparphase einen durchschnittlichen „Schaden“ von 10 105 Euro. Die „Reduction in Wealth“ macht den „Schaden“ durch Kosten in einer einzigen Kennziffer deutlich. Sie ist deshalb in der Reformdiskussion um ein verbessertes Produktinformationsblatt der gegenwärtig favorisierten Gesamtkostenquote vorzuziehen. Pension products offered by life insurance companies to individual customers are no safe protection against inflation. In a survey we tested 48 pension products. The average garanteed return after 40 years was 1.02 percent. The average garanteed return of the tested products offered by big players was even lower: 0.94 percent. The main reasons for this weak performance are high costs. The extent of these cost disadvantages is invisible for customers. There is no insurance company providing clear information on total costs in the Product Information Sheet („Produktinformationsblatt“). The companies use a new figure calculated on a concept of „yield reduction“ called „Gesamtkostenquote“. The name is misleading. It unfortunately guides the customers to underestimate the real amount of costs. In our survey we used a concept of „reduction of wealth“ to uncover the real amount of costs the pension contracts carry. The average loss for the customers is 10,105 Euro. This concept is rather than the „Gesamtkostenquote“ able to uncover the real impact of costs. Therefore we prefer to implement the “reduction of wealth“ as a compulsery figure in a rebuilt „Produktinformationsblatt“.

The purpose of this study is to determine whether or not the option agreements are used in an effective manner by the central banks, as an alternative tool of intervention in their intervention in the foreign exchange markets. In that respect, the interventions of the central banks in the foreign exchange markets, and their use of the option agreements have been dealt theoretically; and the intervention program applied by the Colombia Central Bank on the option agreement has been examined. In this paper, we will test the effectiveness of the intervention of the Colombia Central Bank Banco de la Republica Colombia on the foreign exchange market by using the option agreements, on the level of exchange rate and the volatility. For this purpose, in order for the quantities of tender for the four types of option agreements used by the bank, to represent the capital movements effecting the exchange rate level as control variable, the Libor rate representing the international interest rates, and the rate of interest in Colombia are taken into consideration, and a test will be applied to determine whether there is a downward or upward sudden movements in the level of exchange rate. Based on the results to be achieved, we will attempt to form an opinion regarding the effectiveness of the option intervention program.

Although some studies have documented that there is a price increase for firms added to the S&P 500 Index other studies show mixed results. A more recent research suggests that managers are under greater scrutiny once they are added to the S&P500, and work harder to improve firm performance. They examine the earnings performance of the firms included in the S&P500 Index. We examine whether operational performance measured by net operating profits, cost of capital, and capital invested improves for these firms. Our findings show that net operating profits increases while cost of capital decreases over the same period, and capital invested increases significantly. The results imply that firms do improve operational performance; however, the outcome of the capital invested could be positive or negative, perhaps, explaining the mixed results from past studies.

This paper researches the portfolio construction between stock price of group of seven (G7) and West Texas Intermediate crude oil from January 2, 1998 to March 1, 2012. We investigate the volatility spillover between stock price and oil price with the dynamic conditional correlation (DCC), constant conditional correlation (CCC) and BEKK models, and also analyze their optimal hedge ratio and portfolio weights. The empirical result is that the hedge effectiveness of DCC model is better than the CCC model and BEKK models. The hedge effectiveness (HE) in Canada is the highest but Japan is the lowest. Moreover, the results show that Japan has the biggest optimal portfolio weight and the lowest hedge ratio. We do this research with expectation of providing investors information to increase the basis of investing.

Seeking persistent abnormal portfolio performance has been a key question for academics and practitioners. The main challenge in the construction of fund-of-funds is the ex-ante selection of "skilled" managers, ex-post outperforming the benchmark. This empirical study focused on European mutual funds, consists in using the False Discovery Rate selecting procedure. The standard tests to identify funds with non-zero alphas do not adequately account for the presence of "luck", while this becomes an important issue when one deals with multiple testing. Different pricing models are used and the performance of constructed fund-of-funds is analyzed in-sample and out-of-sample for different investment strategies.

In September 2014, the MICEX Index saw an uptrend starting at 1392 and reaching a month high of 1477 by September 16 but then went down to 1430 and stood still until the end of the month. The MICEX capitalization was Rb 22,8trillion (35.2% of GDP) by September 25. At the same time, the share of traded highly liquid stocks saw a decline in August. The Russian corporate bond market in September kept facing poor market conditions because of mounting external pressure upon the Russian economy and after the Chairman of the Board of AFC Systema was placed under house arrest. Increasing dynamics of the weighted average yield of bond issues remained the key adverse development in the market, whereas the key market indicators (in particular the market volume and index) showed stabilization.

In August 2014, the MICEX Index, after having risen to 1,460 points as of 21 August, over the next few days dropped by 4.1%, standing as of 29 August at 1,400.7 points. The MICEX’s capitalization as of 29 August amounted to Rb 22.4 trillion (or 34.6% of GDP). In August, the main negative factor on Russia’s domestic corporate bond market was the surge of the weighted average effective yield on corporate bond issues that triggered the downward movement of the corporate bond portfolio duration index and waning investor primary and secondary bidding activity. Nevertheless, August also saw some positive trends displayed by key market indicators, such as the market volume and the marker index, as well as issuer activity with regard to registration of new securities issues. Besides, bond issuers were better fulfi lling their obligations to bondholders..

The purpose of this research was to analyze financial results of four major US retailers from June 2006 until August 2008 and compare their tactics to create shareholder’s value, using key performance and enterprise marketing ratios. This is a relevant study given the different business models and strategies used by these companies, as well as their strong rivalry in the retail industry. The study highlighted Walmart and Costco given their recent growth and competitiveness. The results showed that Walmart was superior in attracting investors willing to pay a premium for the stock. On the other hand, Costco created an average of $10.32 dollars of sales for every dollar spent in Sales, General and Administrative expenses, whereas Walmart produced only $5.44. In other words, Costco created twice as much sales volume for every dollar spent in these expenses. Further, the Maximum Earnings Market Share displayed that Costco could have made $3,660 million more in that period, whereas Walmart spent $26,300 million more than needed to increase earnings in the same period.

We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the wealth process) type. In both cases, the optimal strategy is proven to be of the option-based portfolio insurance type. The optimal strategy combines a long position in the optimal unrestricted allocation with a put option. In the American case, where the investor is restricted to fulfill a capital guarantee at every intermediate time point over the interval of optimization, we prove that the investor optimally changes his budget constraint for the unrestricted allocation whenever the constraint is active. The strategy is explained in a step-by-step manner, and numerical illustrations are presented in order to support intuition and to compare the restricted optimal strategy with the unrestricted optimal counterpart.

Mutual funds represent one of the most popular investment instruments. Some institutions offer fund awards to recognize strong performing funds and fund groups that have shown excellent returns relative to their peers. Many fund companies also use awards won in their advertising and marketing material. This brings rise to the question: Do investors think award winning funds have a better brand image? Can awards increase investors’ purchase intention? The purpose of this study is to investigate the relationships and effects of brand image, perceived quality, perceived risk, perceived value, and purchase intention, as well as to examine the effects of demographic variables on these five dimensions. The research findings show significant relationships between brand image, perceived quality, perceived value, and purchase intention. In addition, some demographic variables may lead to significant differences in these five dimensions. Finally, the results from structural equation modeling show that there are positive and direct effects among brand image, perceived quality, perceived value, and purchase intention. Brand image indeed increases investors purchase intentions. The purchase intention is affected mainly by perceived quality, not by perceived risk.

Emerging market economies (EMEs) are making important strides in developing long-term finance capital market vehicles to support investment in strategic areas such as infrastructure. However, since last year, EMEs have suffered from big shifts in terms of market sentiment. While EMEs’ prospects were clearly overhyped in the wake of the crisis, the bleak forecasts that dominated headlines in the second half of last year were similarly exaggerated. There are still a number of factors indicating that EMEs’ role in the global economy will continue to grow—just not as rapidly or dramatically as previously thought

Issuers may compete with each other by issuing similar warrants with the same underlying stocks, causing a supply-side effect on warrant markets. The study provides a theory and supported evidence that put warrants on individual stocks are issued by third party banks in Taiwan and that they respond to overpricing of a put warrant issued by a competitor by issuing their own with more attractive terms. We measure the mispricing by the theoretical prices of either the square-root constant elasticity volatility (SRCEV) model or the Barone-Adesi and Whaley (BAW) model. The results reveals that competition among issuers helps reduce prices in put warrant markets.

Foreign political events that took place in March 2014 had an extremely adverse impact on the Russian stock market. It took the MICEX Index just one day to tumble by 10.8% on March 3, 2014. Stock market capitalization lost Rb 1,72 trillion in March 2014, while total capitalization amounted to Rb 21,7 trillion (33.5% of GDP )as of March 26, 2014. The situation in the Russian corporate bond market kept worsening in March 2014 in response to mounting adverse trends in the Russian economy. The key market indicators, such as market volume and index, weighted average yield of issues, investment activity in the primary and secondary markets saw a downtrend during the month.

This paper casts the opportunity set hedging demand in terms of the certainty equivalent of wealth for an investor who considers both consumption and bequest motives and is constrained to invest his asset proportions of wealth in a convex set. We show that the hedge portfolio exactly balances out the unfavorable impact of the opportunity set on the certainty equivalent of wealth.

We discuss the economics of high-frequency trading (hereafter HFT), survey empirical findings and offer policy recommendations. HFT involves high speed connections to exchanges, computerized trading, and very short-term positions. Beyond these common features, HFT strategies are heterogeneous. They can involve market-making, directional trade, arbitrage, and possibly manipulation. The empirical literature finds that HFT market-making is profitable only because of favorable exchange fees. HFT market orders predict future short-term market movements and correspondingly earn profits, at the expense of other market participants. Yet, there is no empirical evidence of adverse effects of HFT on liquidity. HFT could generate negative externalities, by inducing adverse selection for slower traders, or enhancing the risk of trading firms’ failure waves. To cope with these problems, slow-traders’ friendly market mechanisms should be available, and minimum capital requirements and stress tests should be implemented.

This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the feedback causality between the domestic and U.S. markets and illustrates bi-directional information transmission across markets. This is opposite to previous Taiwanese cases, which did not control for the impact of reputation and liquidity. In other words, reputation and liquidity are important factors that direct the information flow for Taiwanese cross-listed stocks.

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture model. This model allows for heavy tails, tail dependence and leptokurtosis of marginals. The results show that mean-variance optimization is seriously compromised by model uncertainty, in particular, for non-Gaussian data and small sample sizes. To mitigate these shortcomings, we propose a method to adjust the sample covariance matrix in order to reduce model risk., Risks, 2 (3)

Investors’ behavior is considered one of the factors influencing the economy in general. Whether their behavior is rational or irrational is an extensively discussed subject, presented on a large body of literature. This paper presents a research of how financial analysts’ opinions may affect the future of the Romanian economy. We use the CFA Romania Macroeconomic Confidence Index in an empirical research to find whether the past values of the CFA Index have a significant influence on the future values of macroeconomic information on the Romanian market. After performing normality tests and after testing the data for autocorrelation, cross correlation, multicollinearity, regressions were performed. Using regressions’ indicators, projected data was obtained and compared with real data. Tests were realized to determine whether the projected data are significantly different from the real data or not. The conclusion is that part of the macroeconomic data is influenced by analysts’ opinions regarding the evolution of the Romanian market.

In May 2014, Russia’s stock market con?? nued its steady recovery. As of 26 May, the MICEX Index stood at 1,449.3 points, having grown since the beginning of that month by more than 11%. The growth leader among highly liquid shares were VTB Bank’s securi?? es – over the period from 2 May through 26 May they rose 24.25%. However, the highest annual yield on shares – more than 40% per annum – was shown by Norilsk Nickel. As of 26 May, the stock market’s capitaliza?? on amounted to Rb 22.9 trillion (or 35.3% of GDP).

This article explores the dilemmas and challenges that hybrid organizations face when developing marketing strategies. Hybrid organizations are organizations that combine tasks and characteristics of governmental organizations, private (for profit) organizations, and non-profit organizations. In this article, we show that these organizations are confronted with different target groups, organizational identities and key images. In some instances, the key messages that need to be transmitted through marketing strategies may even be incompatible. Dutch sheltered work companies are illustrative examples of hybrid organizations. They compete with temp work agencies in providing employees to employers, they provide care for people with severe disabilities and they implement the Dutch Sheltered Work Act in their role of governmental agencies. This article theoretically identifies the challenges and dilemmas that may be involved in the marketing of these diverse activities and explores strategies that may be used to overcome these challenges and dilemmas.

Traditional portfolio theory stated that diversified portfolio is optimised regarding returns. It can generate the highest return with relatively lowest risk. Market risk cannot be diversified, so the most intelligent approach is to buy and hold assets in the long run. Therefore, the market return is treated as the benchmark return. Return added in advance to the benchmark return is alpha return. As such, the objective of trading actively is to beat the benchmark, i.e. throughout trading, alpha return is expected. Otherwise, active trading does not make any sense. Active trading is based on prediction, whether by fundamental analysis, by technical analysis or by applying the principles of Chinese feng shui. This study found that with a certain level of accuracy of prediction, it can achieve alpha return. It suggests a model for estimating the level of accuracy. Also, the model is enhanced by including transaction cost. Some implications or corollary can be concluded by this study. Firstly, a model is proposed which can be treated as a baseline for formulating the required accuracy of different computer aided prediction models such as SVN, Neural Network, and GARCH. In other words, to examine if one prediction model works, we can examine the required level of accuracy by the proposed model and then compare the required accuracy and prediction accuracy. Secondly, there are several corollaries on market behaviour the evidence of which supports the finding that most active traders are unable to exploit market opportunities, i.e. to buy and sell better and make more buys in a bull market.

Behavioral models suggest that momentum and contrarian effects are linked. We examine the two effects in the Chinese stock market over an 18-year period. The findings reveal that there is no momentum effect in China. Nevertheless, contrarian portfolio yields significant returns. In other words, contrarian effect exists despite the absence of momentum. Further, we find that the contrarian portfolio returns remain positive in the short term. The evidence suggests that momentum and contrarian effects are separate anomalies.

The MICEX Index increased 2.47% in February 2014, reaching its highest value 1507,49 points on February 17, 2014 supported mostly by a rising trend in Gazprom’s stock. The MICEX stock exchange market capitalization amounted to Rb 23,92 trillion (36.88% of GDP) by February 25, 2014. The market volume and the corporate bond market index remained unchanged while the average weighted yield kept growing in February 2014. An increase in issuers’ fundraising activity and stable situation with issuers honoring their obligations to bondholders had a positive effect on the corporate bond market.

This study analyzes the links between listed family businesses and social responsibility. On the theoretical level, it establishes a relationship between socioemotional wealth, proactive stakeholder engagement, and the social responsibility of family businesses. On a practical level, our results (obtained from a sample of 363 companies) show that family businesses do not differ from non-family businesses in many dimensions of social responsibility. Moreover, family businesses have statistically significant lower ratings for four sub-dimensions of “corporate governance”, namely “balance of power and effectiveness of the Board”, “audit and control mechanisms”, “engagement with shareholders and shareholder structure”, and “executive compensation”.

The impact of managers' incentives and earnings management methods on investor sentiment, based on 9581 listed firms in China from 2006 to 2011, is studied. This paper examines the influence of managers' incentives and earnings management methods on investor sentiment and intends to study how managers' incentives influence real earnings management (REM) and earnings management methods, and following on how REM and earnings management methods influence investor sentiment. The empirical results indicate that managers use REM to manipulate the earnings in order to be able to declare a profit, avoid loss, refinance, and change executives. The listed companies with higher executive compensations prefer to use accrual earnings management (AEM). However, making larger profits by using REM activities is not a universal phenomenon in China because the capital market in China is not efficient. This paper also finds that, when a company makes larger profits using REM activities, investors are optimistic. When a company uses AEM activities to increase earnings, investors readily recognize AEM and they become pessimistic.

В марте стали проявляться признаки стабилизации ситуации на внутрироссийском рынке корпора- тивных облигаций, а именно: рост зафиксировали такие ключевые показатели рынка, как объем и индекс рынка корпоративных облигаций, активность эмитентов; снижение продемонстрировала средневзешенная доходность эмиссий, хотя ее уровень по-прежнему остается весьма высоким. Основ- ным негативным явлением на рынке стала низкая инвестиционная активность. Также сохраняется сложная ситуация с исполнением эмитентами своих обязательств перед держателями облигаций.

We report striking evidence of semi-strong inefficiency in the UK fixed-odds football betting market using a reputable newspaper tipster which offers probabilities of match outcomes rather than simple result indicators. Betting on the Fink Tank probabilities of home wins across 10 bookmakers, when there are positive expected returns, would have generated positive returns in each of the seasons from 2006–07 to 2011–12 for a variety of different betting strategies. These returns could have been enhanced by employing the best odds from a greater number of bookmakers. However, the fact that pure arbitrage bets have existed for years and appear to last for several hours or days suggest they are in practice not exploitable to a magnitude that poses any threat to bookmakers.

Sparked by the recent great recession and the role of financial markets, considerable interest exists among researchers within both the academic and public community in measuring and modeling systemic risk. This article introduces a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of 21 largest commercial banks operating in 7 countries from Central and Eastern Europe, shows potential risk which could threaten all the financial system. The paper concludes new directions for measuring systemic risk by using Merton model. It shows how risk management tools can be applied in new ways to measure and analyze systemic risk in European banking system.

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL, Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL, J. Fixed Income, 1991, 1, 7–18, Financ. Anal. J. 1992, 48, 28–43). In particular, we incorporate the s-scores and the conditional mean returns from the Orstein and Ulhembeck (Phys. Rev. 1930, 36, 823–841) process into BL. We find that our combined strategy ALBL has generated a 45% increase in Sharpe Ratio when compared to the uncombined AL strategy over the period from January 2, 2001 to May 27, 2010. These new indices, built to capture dynamic trading strategies, will definitely be an interesting addition to the growing hedge fund index offerings. This paper introduces our first “focused-core” strategy, namely, U.S. Equity Mean-Reversion.

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is replaced by CVaR. Based on the complete market assumption, we give an analytical solution in general. The novelty of our solution is that it is no longer the Neyman–Pearson type, in which the final optimal portfolio takes only two values. Instead, in the case in which the portfolio value is required to be bounded from above, the optimal solution takes three values, while in the case in which there is no upper bound, the optimal investment portfolio does not exist, though a three-level portfolio still provides a sub-optimal solution.

The beneficial effects of diversified income portfolios are well documented in previous research on non-profit organizations. This study examines how different types of organizational missions affect the level of revenue diversification of organizations in one industry, a question that was neglected in previous research. Based on contingency theory, it is assumed that different missions are associated with different funding sources. Since missions can be complementary or conflicting, specific attention needs to be paid to the combination of missions. The sport sector is chosen as an empirical setting because non-profit sports clubs can have various missions while their overall purpose is promoting sport. Panel data from a nationwide survey of non-profit sports clubs in Germany are used for the analysis. The regression results show that revenue diversification is significantly determined by organizational mission. Historically, typical mission statements like promoting elite sport, tradition, conviviality, non-sport programs, and youth sport have a positive effect on revenue diversification, while clubs with a commercial orientation and a focus on leisure and health sport have more concentrated revenues. The findings have implications for club management in the sense that some missions are associated with higher financial risk and that the combination of missions should be chosen carefully.

Since its publication, the seminal structural model of default by Merton (1974) has become the workhorse for gaining insights about how firms choose their capital structure, a “bread and butter” topic for financial economists. Capital structure theory is inevitably linked to several important empirical issues such as (a) the term structure of credit spreads, (b) the level of credit spreads implied by structural models in relation to the ones that we observe in the data, (c) the cross-sectional variations in leverage ratios, (d) the types of defaults and renegotiations that one observes in real life, (e) the manner in which investment and financial structure decisions interact, (f) the link between corporate liquidity and corporate capital structure, (g) the design of capital structure of banks [contingent capital (CC)], (h) linkages between business cycles and capital structure, etc. The literature, building on Merton’s insights, has attempted to tackle these issues by significantly enhancing the original framework proposed in his model to make the theoretical framework richer (by modeling frictions such as agency costs, moral hazard, bankruptcy codes, renegotiations, investments, state of the macroeconomy, etc.) and in greater accordance with stylized facts. In this review, I summarize these developments.

The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated macroeconomic shocks. We begin with an event study, which examines the immediate impact of macroeconomic shocks on the stock market indices, and then use a Bayesian Vector Autoregressive (BVAR) analysis, which provides insight into the dynamic effects of the shocks on the stock market indices, by allowing us to treat the shocks as exogenous through appropriate setting of priors defining the mean and variance of the parameters in the VAR. The results from the event study indicate that with the exception of the gold mining index, where the CPI surprise plays a significant role, monetary surprise is the only variable that consistently negatively affects the stock returns significantly, both at the aggregate and sectoral levels. The BVAR model based on monthly data, however, indicates that, in addition to the monetary policy surprises, the CPI and PPI surprises also affect aggregate stock returns significantly. However, the effects of the CPI and PPI surprises are quite small in magnitude and are mainly experienced at shorter horizons immediately after the shock.

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.

One proxy of price rationing of credit is an aggregation of information on interest rates, while loan officer survey data measures quantity rationing of credit, meaning some borrowers are denied loans. The latter Granger causes real GDP but the former does not. The loan officer survey is a better leading indicator of credit market conditions that affect real activity.

This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equilibria when agents can trade claims to consumption contingent on aggregate shocks in financial markets. The first result is that if aggregate and idiosyncratic shocks are independent, the implementation of optimal allocations does not require any interventions in financial markets. This result can be extended to dynamic settings in the sense that, in this case, only savings need to be distorted, but not trades in financial markets. Second, I characterize optimal trading distortions in financial markets when aggregate and idiosyncratic shocks are not independent. In this case, optimal asset taxes must be higher for those securities that pay out in aggregate states in which consumption is more volatile. For instance, this can provide an efficiency justification for the frequently observed differential tax treatment of different asset classes, such as debt and equity claims.