Handbook of the Economics of Finance

It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods traded internationally, but the importance of these" shocks is economically small for these industries as well.

International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns

Luxury brands have always been fashion industry leaders, with admirable aesthetic value and innovative yet traditional business management. The brands...

Impacts of Luxury Fashion Brand’s Social Media Marketing on Customer Relationship and Purchase Intention

Market Models provides an authoritative and up–to–date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander s clear exposition provides valuable insights at every stage. In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to Market models: a guide to financial data analysis Market models: A guide to financial data analysis. Home > Research > Our research > STUDY WITH US ABOUT US NEWS & EVENTS INTERNATIONAL RESEARCH HOME implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat–tailed P&L distributions; the calculation of implied, EWMA and historic volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included. Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long–short equity hedge funds, to high–frequency data prediction using neural networks and nearest neighbour algorithms. Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self–contained. Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis. Item Type: Book Schools and Departments: School of Business, Management and Economics > Business and Management Subjects: H Social Sciences > HG Finance Depositing User: Carol Alexander Date Deposited: 27 Sep 2012 12:36 Last Modified: 27 Sep 2012 12:36 URI: http://sro.sussex.ac.uk/id/eprint/40646

Market Models: A Guide to Financial Data Analysis

The authors examine one-three-year performance of common stocks following 5,596 stock split and 76 reverse split announcements made during the period 1976-91. For stock splits, on average, the one- and three-year buy-and-hold abnormal returns after the announcement month are 7.05 percent and 11.87 percent, respectively. For reverse splits, the corresponding abnormal returns are -10.76 percent and -33.90 percent. The results suggest that the market underreacts to both the stock split and the reverse split announcements. The authors also find that the announcement period and the long-run abnormal returns are both positively associated with an increase in dividends. Copyright 1997 by University of Chicago Press.

Long-Run Common Stock Returns Following Stock Splits and Reverse Splits

This paper proposes a goal programming model for working capital management. Goal programming is necessary to model the working capital decision, as a balance has to be achieved between the conflicting objectives of liquidity and profitability. The model determines, for given working capital turnover and fixed assets turnover ratios, how funds should be maintained between working capital/current assets and fixed assets to achieve targeted levels of liquidity and profitability, whilst minimizing the opportunity cost/loss of excess liquidity.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1408722_code1147191.pdf?abstractid=1408722&mirid=1&type=2

A Liquidity-Profitability Trade-Off Model for Working Capital Management

The banking sector has undergone a complex, but comprehensive phase of restructuring since 1991, with a view to make it sound, efficient, and at the same time forging its links firmly with the real sector for promotion of savings, investment and growth. Some improvement in the Indian banking sector has been seen after the reforms. A natural framework to analyse this improvement is the CAMELS framework, under which banks are required to enhance capital adequacy, strengthen asset quality, improve management, increase earnings and reduce sensitivity to various financial risks. The present study compares the performance of public sector banks with private/foreign banks under the CAMELS framework. The data used for the study were the audited financial statements of a sample of Indian banks over the last five financial years. The results of the study show that private/foreign banks fared better than public sector banks on most of the CAMELS factors in the study period. The two contributing factors for the better performance of private/foreign banks were Management Soundness and Earnings and Profitability.

A CAMELS Analysis of the Indian Banking Industry

This study deals with the issue of balancing work and personal life among IT professionals. Studies suggest that stress levels amongst IT professionals are high because of long working hours and forgone holidays, leading to imbalances in work and personal life. Work-life balance is a matter of concern for both the employees and the employers. It concerns the employees in terms of their stress level and its resultant outcomes in terms of ill-health (both physical and mental), and it concerns the employers, as the ill-health of their employees translates into reduced productivity and increased absenteeism. Technological advancement and competition has only compounded this issue of work-life imbalance. The first part of the study focuses on establishing the psychometric properties of the scale that has been used for measuring work-life balance in this particular study. The factor structure and the reliability of the scale are discussed. The second part of the study examines the issue of work-life balance from various demographic perspectives. The findings indicate that the perception of work-life balance does not vary significantly across different demographic profiles.

Perceptions of Work-Life Balance Among IT Professionals

Even though Indian retailing is hailed as a huge sector in India, in reality, it is not so rosy when compared to the retail scenario in developed and other developing countries. Indian retail is still in the infancy stage, with the retail revolution gaining momentum in India only in the late 1990’s, and there are a number of challenge factors which need to be overcome and a number of opportunity factors which need to be leveraged upon, if organized retailing is to flourish the way it ideally should. This study revolves around the opportunities and challenges faced by organized retail players in Bangalore. It was found that organized retailers see competition from the unorganized sector as their biggest challenge, followed by competition between organized retailers and the inefficiency of distribution channels, internal logistical problem and retail shrinkage, while unorganized retailers see organized retailing as their major challenge, followed by cost of operation, logistical problem, competition between other kirana retailers and inefficient distribution channels. It was also found that organized retailers see Bangalore’s growing middle class as their greatest opportunity followed by large number of earning youth customers, Bangalore having people from all over India, proportionate increase in spending with earnings and India’s booming economy, while the kirana retailers see Bangalore having people from all over India as their biggest opportunity, followed by Bangalore’s growing middle class, India’s booming economy, large number of educational institutions in Bangalore and proportionate increase in spending with earnings. Thus, the study found that the major challenges as well as opportunities of organized and unorganized retail are almost the same. This means that mitigating the challenges and leveraging on the opportunities could benefit both sectors.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1435218_code1147191.pdf?abstractid=1435218&rulid=204627&mirid=5

A Study on the Challenges and Opportunities Faced by Organized Retail Players in Bangalore

/pdf/a-goal-programming-model-for-working-capital-management-2wl02j2rih.pdf

Mihir Dash

Papers

A Liquidity-Profitability Trade-Off Model for Working Capital Management

A CAMELS Analysis of the Indian Banking Industry

Perceptions of Work-Life Balance Among IT Professionals

A Study on the Challenges and Opportunities Faced by Organized Retail Players in Bangalore

A goal programming model for working capital management