New risk-sharing rules induced by capital allocation principles.
problem Risk sharing in corporate structures.
method Randomizing existing capital allocation principles.
result Derives new risk-sharing rules complementing existing literature.
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48 results for “Share Capital”
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
problem Non-financial firms listed at NSE struggle with financial growth due to declining performance and lack of investor interest.
method Descriptive and panel data analysis of 45 non-financial firms over 10 years.
result Share capital positively and significantly influences financial growth, explaining 32.73% and 11.62% of variations in earnings per share and market capitalization growth, respectively.
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct industrial sectors. Here we analyze the share of hundreds of product categories i…
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured…
The Great Deception: A Comprehensive Study of Execution Strategies in Corporate Share Buy-Backsq-fin.GN
This study examines the execution phase of corporate share buy-backs, highlighting inefficiencies and costs.
problem Lack of research on share buy-back execution practices and associated costs.
method Comparative analysis of execution practices and fees charged to corporations and investors.
result Uncovered inefficiencies and frictional costs in share buy-back executions, advocating for transparency and fairness.
Empirical study of CAPM and Fama-French model in Chinese A-share market.
problem Testing and validating CAPM and Fama-French model in Chinese A-share market.
method Used Fama-MacBeth regression and Fama-French three-factor model to analyze Chinese A-share trading data from 2000 to 2019, adjusting for IPO shell value contamination.
result Fama-French model captures most of A-share market returns, with adjusted R-squared > 0.88.
Taxation and Valuationq-fin.GN
I explain the root of persistent failure of efforts to remove tax-induced distortions of economic incentives. It lies in FUNDAMENTAL IMPOSSIBILITY of objectively evaluating tax base. Distortions can be entirely avoided in the sector of publicly traded corporations. Evaluation can be bypassed by taxing it in shares (to …
Derives equations for capital deepening in a competitive economy without assuming a production function.
problem Understanding capital deepening and firm survival in a competitive economy.
method Derives equations of motion from accounting identities, without assuming a production function. Uses four coupled relaxation equations to govern capital productivity, labor share, and new investment productivity.
result A 1% improvement in new-capital productivity nearly doubles the aggregate growth rate within one capital lifetime.
Study finds cryptoasset markets inefficient due to capital reallocation frictions.
problem Inefficiency in cryptoasset markets due to capital reallocation frictions.
method Examined investments with dominant and secondary risk factors, derived equilibrium restrictions, and tested empirically.
result Empirical results strongly reject necessary equilibrium restrictions, indicating market inefficiency.
Study shows environmental spending positively impacts company profitability.
problem Impact of environmental spending on company profitability.
method Panel data regression analysis using E-Views.
result Environmental spending positively impacts profitability metrics.
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and the overall of economic and financial information of the shares transactions fr…
Derives formula for present value of future consumer goods multiplier.
problem Evaluating the present value of future consumer goods investments.
method Derives a formula based on geometric sequence and investigates macroeconomic implications.
result The present value of the future consumer goods multiplier is close to one.
The paper defines fair profit sharing ratios in Islamic PL contracts.
problem Determining fair profit sharing ratios in Islamic PL contracts.
method Introduces -fair profit sharing ratios and uses econometrics models to compute or approximate them.
result Elucidates the relation between profit sharing ratios and economic factors.
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the borrowed share of stock. This only makes sense if the short seller anticipates a do…
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days of the slovak emerging capital market. The Buy and Hold…
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
problem Declining financial performance and reluctance to lend to non-financial firms listed at Nairobi Securities Exchange.
method Descriptive and panel data analysis of 45 non-financial firms over 10 years.
result Long-term debt positively and significantly influences financial growth measured by earnings per share and market capitalization.
Collectivized funds need less initial capital to match individual funds, improving pension adequacy.
problem Determining optimal fund management for diverse investor needs.
method Modeling collectivized investment funds with realistic parameters and demonstrating their superiority over individual funds.
result Collectivized funds require less initial capital to match individual funds, enhancing pension adequacy.
Study assesses short-term debt's impact on non-financial firms' financial growth.
problem Declining financial performance and reluctance to lend to non-financial firms listed at Nairobi Securities Exchange.
method Explanatory research design, descriptive statistics, and panel data analysis.
result Short-term debt positively and significantly influences financial growth.
Factor risk measuresq-fin.MF
Introduces factor risk measures to assess risk relative to multiple factors.
problem Measuring risk relative to multiple factors.
method Introduces a double-argument mapping as a risk measure to assess risk relative to a vector of factors.
result Characterizes various types of factor risk measures including distortion, quantile, linear, and coherent measures.
Growth, Poverty Trap and Escapephysics.soc-ph
Model shows how capital accumulation can lead to poverty traps and well-being states.
problem Capital accumulation and its effects on poverty and well-being.
method Stochastic Solow growth model with sigmoidal saving fraction and bimodal steady state distribution.
result Existence of poverty trap with fluctuation-driven transitions between poverty and well-being states.
Study proposes a tax-based system to share disaster risk among regions.
problem Systemic risk in catastrophic events and insurer insolvency.
method Public-private partnership with government intervention through taxation.
result Taxation system effectively shares residual claims in case of insurer insolvency.
Study finds risk sharing without convexity assumptions.
problem Finding fair risk allocations among agents with heterogeneous beliefs.
method Combines local comonotone improvement with Dieudonné-type argument.
result Existence of Pareto optima without convexity assumption.
Study examines how insurance affects households prone to proportional losses, especially those near poverty.
problem Impact of insurance on households susceptible to proportional losses, focusing on poverty traps.
method Modelled proportional capital losses with insurance, derived closed formulae and non-local differential equations.
result New formulae and methods to calculate trapping probability, constraints on parameters to prevent certainty of trapping.
NFT royalties boost creator earnings by sharing risk, reducing info asymmetry, and enabling price discrimination.
problem NFTs' royalties are criticized for being neutralized by speculators.
method Analyzes NFTs' royalties in various market conditions and their effects on creators.
result Royalties enable creators to capitalize on speculators' presence through risk sharing, info reduction, and price discrimination.
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares. The CAPM provided with a methodology …
Develops a machine-learning framework for optimal share repurchase hedging.
problem Challenges in hedging share repurchase programs due to market regulations and trading activity.
method Machine-learning framework that optimizes execution and hedging of share repurchase programs.
result Substantial performance improvements and an optimized hedging approach.
The study finds that the export shares of machinery and food/crude materials are significantly correlated with GDP.
problem Understanding the relationship between export shares and GDP across different commodity sectors.
method Analysis of GDP and international trade data using the SITC classification from 1962 to 2000.
result The export shares of machinery and food/crude materials are significantly correlated with GDP, following a power-law relationship.
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that th…
This study finds ESG rating disagreement reduces corporate productivity, especially in certain types of firms.
problem The impact of ESG rating disagreement on corporate productivity.
method Analysis of A-share listed companies data from 2015 to 2022 using XGBoost regression and SHAP.
result ESG rating disagreement reduces corporate productivity, especially in certain types of firms.
"Digitwashing": The Gap between Words and Deeds in Digital Transformation and Stock Price Crash Riskq-fin.ST
Digitwashing gap boosts stock crash risk, study finds.
problem The gap between companies' digital promises and actual performance increases stock crash risk.
method Empirical analysis of Shanghai and Shenzhen A-share companies from 2010 to 2021, robustness tests conducted.
result GDT significantly increases stock price crash risk, confirmed by robust tests.
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example Piggott, Valdez an…
Study examines financial performance determinants of Kenyan microfinance banks.
problem Competition from commercial banks threatens microfinance banks' financial performance.
method Descriptive research design with secondary data analysis.
result Operational efficiency, capital adequacy, and firm size positively correlate with financial performance.
The Stablecoin Discount: Evidence of Tether's U.S. Treasury Bill Market Share in Lowering Yieldsq-fin.GN
Tether's dominance in U.S. Treasury bills lowers bond yields by 24 basis points.
problem Impact of Tether's market share on U.S. Treasury bill yields.
method Baseline semi-log time trend model and threshold regression analysis.
result Tether's market share reduces 1-month yields by 24 basis points.
Modeling supply chain disruptions from climate hazards with adaptive firms.
problem Systemic physical climate risk in supply chains.
method Agent-based model integrating geospatial hazards and firm adaptation.
result Firms' adaptive strategies reduce disruption by 48%.
A six-factor asset pricing modelq-fin.ST
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three set of six portfolios e…
Optimal contract for a fund manager, with capital injections and endogenous trading constraintsq-fin.PM
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in …
Optimizes portfolios to minimize tax liability, even with monthly trading restrictions.
problem Minimizing tax liability in portfolio construction while adhering to trading restrictions.
method Uses convex optimization to handle the non-convex tax-aware portfolio construction problem, customizing the approach to avoid wash sales.
result The method produces near-optimal trade lists with significantly reduced computational effort compared to globally optimal solutions.
The thesis tackles two stochastic control problems in capital structure and portfolio choice.
problem Optimizing banks' dividend and recapitalization policies and individual's life-cycle portfolio choice.
method Developed stochastic control models to calibrate and analyze U.S. banks' asset values and optimal portfolio selection models.
result Calibrated model reveals that noise in reported asset values can hide up to one-third of true asset return volatility and increase banks' market equity value by 7.8%.
Share Price Prediction of Aerospace Relevant Companies with Recurrent Neural Networks based on PCAq-fin.ST
Hybrid model combines PCA and RNN for better aerospace stock price prediction.
problem Challenges in predicting stock prices of aerospace companies due to market uncertainty and complexity.
method Combination of Principal Component Analysis (PCA) and Recurrent Neural Networks (RNN).
result PCA improves both accuracy and efficiency of stock price prediction.
'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'q-fin.RM
The paper explores how to fairly share longevity risk among participants of tontine schemes.
problem Fair distribution of longevity risk among participants with varying wealth and health.
method Develops a modeling framework for sharing benefits among survivors in tontine schemes.
result There are multiple ways to share longevity risk, depending on social cohesion.
Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical financial risk exposures from regulators and the public. We develop methods for sharing and aggregating such risk exposures that …
Evolutionary dynamics of the cryptocurrency marketphysics.soc-ph
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour o…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic equilibrium with statistical properties that are in close qualitative and in many …
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the logarithm of the share of its wealth in the total wealth of the market is a subma…
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
problem Non-monotonicity in VaR-based capital allocation and the need for consistent risk measures.
method Use of Euler formula, Value-at-Risk (VaR), Expected shortfall (ES), simulation, and Markov chain Monte Carlo.
result Capital allocation with VaR is not monotonous, and consistent risk measures are crucial.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
problem Understanding stock price behavior during capital inflows and outflows.
method Identified capital flow episodes using threshold and k-means clustering; detected stock index changepoints using PELT method; combined results over identified capital flows.
result Stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
Financial Lie groupsmath.DG
In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same capital sign of e. The Lie group G(f,e) depends upon the capitaliza…