Hasil untuk "Capital. Capital investments"

Jan Tobochnik, Harvey Gould, William Klein

An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and realistic values of the Gini coefficients and the Pareto index. We also show that although the system reaches a steady state, the system is not in thermal equilibrium. The nonequilibrium behavior is associated with the multiplicative noise generated by the investment mechanism.

Vasant Dhar, João Sedoc

Long-term investing was previously seen as requiring human judgment. With the advent of generative artificial intelligence (AI) systems, automated systematic long-term investing is now feasible. In this paper, we present DBOT, a system whose goal is to reason about valuation like Aswath Damodaran, who is a unique expert in the investment arena in terms of having published thousands of valuations on companies in addition to his numerous writings on the topic, which provide ready training data for an AI system. DBOT can value any publicly traded company. DBOT can also be back-tested, making its behavior and performance amenable to scientific inquiry. We compare DBOT to its analytic parent, Damodaran, and highlight the research challenges involved in raising its current capability to that of Damodaran's. Finally, we examine the implications of DBOT-like AI agents for the financial industry, especially how they will impact the role of human analysts in valuation.

Fabrizio Lillo, Piero Mazzarisi, Ioanna-Yvonni Tsaknaki

The Kelly criterion provides a general framework for optimizing the growth rate of an investment portfolio over time by maximizing the expected logarithmic utility of wealth. However, the optimality condition of the Kelly criterion is highly sensitive to accurate estimates of the probabilities and investment payoffs. Estimation risk can lead to greatly suboptimal portfolios. In a simple binomial model, we show that the introduction of a European option in the Kelly framework can be used to construct a class of growth optimal portfolios that are robust to estimation risk.

Erich Hoedl

Global sustainable development is an open process that depends on a variety of global transformative strategies underpinned by social movements. Several global regions are developing initiatives for sustainability, and Europe has also launched the European Green Deal. Europe, as one of several global poles, is developing innovative strategies to reduce real capital inputs, increase human capital through education, and increase global competitiveness. In parallel, the European financial system is increasing high financial investments to support European sustainable development with an export surplus. The author offers crucial insights into how Europe can benefit by shifting from high trade to direct investment in its less developed global regions. Europe can become a global leader by increasing its efforts towards European sustainability, and simultaneously contributing to socio-economic equality and global sustainable development. We neglect most bottom-up initiatives and concentrate on macro-sociological development.

Serkan Şengül

This study investigates the impact of basic economic variables on production processes in Türkiye's fisheries sector, emphasizing sustainable development strategies. Using a dataset from the Turkish Statistical Institute covering annual data from 2003 to 2023, the research employs the ARDL model to examine the long-term and short-term effects of capital investments, labor costs, and energy expenses on total production. Results indicate that capital investments significantly enhance productivity, though misallocation can negatively impact efficiency. Labor and energy costs exhibit a negative effect, underlining the importance of cost optimization for sectoral sustainability. Based on these findings, the current study proposes strategic policy recommendations such as; efficient capital allocation, labor cost optimization through training programs, and the adoption of renewable energy sources to reduce operational expenses. These recommendations aim to support sustainable growth in the Turkish fisheries sector, enhance food security, and bolster economic resilience.

Mohammad Reza Karimi Gharigh, Lamia Varawala, Mohammad Reza Hesamzadeh et al.

The impact of energy production significantly affects system sustainability, which has enabled a shift towards renewable energy sources. Thus, producer behavior is crucial in electricity markets to achieve sustainability goals. In this paper, we address two key challenges comprising electricity markets and generation investment. Firstly, electricity markets typically are operated with competitive market clearing and merit-order dispatch, which neglects negative externalities from pollution. A Pigouvian tax is proposed in order to investigate the impacts of these externalities on electricity prices and resolve this issue. Secondly, renewable energy sources entail low operational costs, which result in lower system prices and reduced profits for producers. Furthermore, producers face high investment costs when moving into renewable energy resources, which leads to strategic investment decisions. In order to mitigate this strategic behavior, subsidies are proposed equal to producers' contribution to consumer surplus. These subsidies incentivize producers to decrease prices and increase consumer surplus, so, producers would be motivated to invest in socially optimal generation capacity. Finally, we demonstrate that implementing the proposed tax and subsidy does not increase the regulator's information burden.

Philipp Golka, Steffen Murau, Jan-Erik Thie

Sustainable finance is often discussed as a solution to the climate crisis, but its impacts are limited and its discourse focuses on mobilising private investments through public de-risking, without considering direct government action. We argue that this is due to an implicit reference to mainstream economic theory assuming that an active state leads to time inconsistency problems and crowding-out effects. However, these assumptions have been sufficiently refuted as public investments may actually crowd-in private capital. We therefore propose a paradigm shift towards what we call Public Sustainable Finance, aimed at empowering the role of the state in the green transition on the discursive, policy, and political economy levels. Studying the case of Germany, we show how Public Sustainable Finance can be introduced despite tight fiscal regimes. To this end, we propose that the Climate- and Transformation Fund be given its own borrowing powers. By borrowing an average of 23 billion euros annually from 2024 to 2030, the existing financing gap that has been exacerbated following the November 2023 constitutional court ruling can be closed, enabling a more rapid and effective green transition.

Bilgehan Tekin, Mustafa Eraslan

This study examines the influence of macroeconomic indicators on nonperforming bank loans. This research focuses on the period from 2010:1Q to 2019:4Q to capture significant trends and fluctuations in the economy. Data for receivables to be liquidated as a proxy for nonperforming loans, the consumer price index as a proxy for inflation, total private consumption expenditures as a proxy for economic activity, gross domestic product and total (private) fixed capital expenditures as proxies for economic growth are analyzed using the ARDL bound test, FMOLS, DOLS and VECM Granger methodologies. This study addresses several key questions. First, it examines how the receivables to be liquidated relate to changes in total private consumption expenditures (LNPCE). The findings indicate that higher LNPCE decreases the ability of receivables to be liquidated in both the long run and short run. Second, it explores the impact of gross domestic product (GDP) fluctuations on the amount of receivables to be liquidated, revealing that a higher GDP increases the amount of receivables to be liquidated in both the long and short run. Last, the study assesses the extent to which changes in the consumer price index (CPI) influence the receivables to be liquidated, finding that a higher CPI increases the receivables to be liquidated in the long run.

Mehrzad Alijani, Fatemeh Nezhad Hossseinian

ObjectiveThe main purpose of this research is to investigate the effect of stock liquidity on investment returns under financing restrictions and information efficiency in 111 companies listed on the Tehran Stock Exchange from 2014 to 2019. This study examines the effect of the liquidity of companies' shares under two conditions i.e., financial constraints and information asymmetry. The findings align with prior research, indicating a positive correlation between stock liquidity and current and future rates of capital accumulation, productivity, and economic growth. MethodsHypotheses were examined using the multiple regression and ordinary least squares (OLS) method. This study adopts an applied research classification, involving the exploration and analysis of various factors within the Tehran Stock Exchange to either confirm or reject hypotheses. The outcomes of this research carry relevance for the Tehran Stock Exchange, investment firms, and brokerage companies. ResultsThe main findings of the research proved there is a significant relationship between stock liquidity and investment in companies; a higher liquidity level of shares corresponds to a more effective and profitable investment. Based on the type of model and variables, four hypotheses are discussed in this article, all of which have been confirmed. This research shows that there is a direct relationship between stock liquidity and investment efficiency for younger companies with higher information asymmetry and financial constraints. These results are consistent with the view that increased stock liquidity positively impacts enhancing the information content of stock prices. This, in turn, contributes to the enhancement of market feedback and transparency, enabling managers of newer companies facing information asymmetry and heightened financial constraints to be influenced towards making value-creating decisions. ConclusionThe research findings indicate a significant and negative association between higher stock liquidity and the decrease in investments below the required level for young companies. Furthermore, a negative and statistically significant relationship is observed between higher stock liquidity and lower investment in companies characterized by information asymmetry and greater financial constraints. This study sought to examine the relationship between stock liquidity and investment efficiency of companies listed on the Tehran Stock Exchange. It also tried to investigate whether the effect of stock liquidity on the reduction of investment in companies with information asymmetry and financial constraints is more significant or not. The findings reveal that the impact of increased stock liquidity on the reduction of investment is more pronounced in companies facing information asymmetry and financial constraints. These results are obtained following a thorough examination, incorporating endogeneity tests and a range of measures assessing both stock liquidity and investment efficiency.

Yuri Kabanov, Aleksei Kozhevnikov

We expose a simple solution of the consumption-investment problem pair trading. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation solvable explicitly.

Dragan Milić, Bogdan Jocić, Tihomir Novaković et al.

The paper shows the relation between gross domestic product (GDP) and investments in the Republic of Serbia. The observed relation was analyzed at the economy level, as well as in agricultural particular. The observation period is from 2005 to 2020. The function of investments is overviewed through the capital ratio. In this way, it was established to what extent part of the newly created value is returned to the production process, both at the level of the entire economy and at the level of agricultural activity separately. The low participation of investments in the gross domestic product is highlighted, which indicates an unfavorable relationship towards economic and agricultural activity for the observed time period.

Ioana-Carmen BOZINTAN (COSMA-GULER), Daniel BADULESCU

Access to finance for small and medium-sized enterprises has been identified in many studies as the most important factor determining the survival and growth of SMEs in both developing and developed countries. Access to financing means access to working capital to finance current activity, but also investments and the acquisition of modern technologies, thus ensuring the competitiveness of SMEs, as well as the performance of the economy and society as a whole. Governments, through specialized agencies, often in cooperation with financial regulatory authorities and banking associations, develop various measures and programs aimed at better access to finance for SMEs. Of course, the motivations, scope and success of these initiatives are influenced by the level of development and sophistication of the financial banking sector, by its orientation and composition, by the way in which the various objectives and needs of small and medium businesses are understood. The implementation and prioritization of these programs and schemes are dramatically influenced by the availability of financial and non-financial resources, organizational skills and, finally, the sincerity and stability of dedicated public policies. This paper aims to analyze the impact of financial support policies for SMEs, the effects of crises (economic, financial, pandemic) on these policies, but also the evolution of interest in this type of support at the level of European companies. We found that government financial assistance helps SMEs to improve their financial performance and thus be able to access, in the future, various forms of financing, but also that there are significant differences, by activity sectors, types of companies and, respectively, countries, in regarding the importance and impact of public support to the business sector.

Samuel Sarkodie-Addo, John Kwaku Opoku

Active involvement in the church can provide a religious capital for political engagements but at the same time, it can prevent or limit the political participation of church members. Many studies have concentrated on the factors which either promote or discourage political mobilisation and participation by churches. However, there is little work on the impact of political involvement on church participation, and this paper seeks to contribute to filling this gap. It provides unique data and contributes to the broader discourse on church and politics. Using a Mixed-Method approach, this study was conducted with five selected churches in Ghana. The study’s main objective was to examine the involvement of Christian politicians in church activities, and the churches’ appreciation of the implications of political engagement for church participation. The paper contends that politics requires quality time investments. Christian politicians may sometimes have to trade-off time in church for political activities in order to be effective and to influence the political sphere. On the other hand, they face a lot of challenges and may need the church to stand by them. Churches that want their members to go into politics need to understand this. And therefore, they should not ‘abandon’ them but rather support, encourage and keep close contact with them.

Gergely Kiss, Jens Schwaiger

Investigating the future value $F(K,s,t)$ of a capital $K$ invested at date $S$ at date $t$ the "natural" condition $F(K,s,t)\geq K$ has lost its naturality because of the strange fact of negative interest rates. This leads to the task of describing the possible solutions of the multiplicative Sincov equation $f(s,u)=f(s,t)f(t,u)$ for $s\leq t\leq u$, where $f(s,t)=0$ may happen. In this paper we solve this task and discuss connections to the theory of investments.

Hans Henrik Sievertsen

Assessments such as standardized tests and teacher evaluations of students' classroom participation are central elements of most educational systems. Assessments inform the student, parent, teacher, and school about the student learning progress. Individuals use the information to adjust their study efforts and to make guide their course choice. Schools and teachers use the information to evaluate effectiveness and inputs. Assessments are also used to sort students into tracks, educational programmes, and on the labor market. Policymakers use assessments to reward or penalise schools and parents use assessment results to select schools. Consequently, assessments incentivize the individual, the teacher, and the school to do well. Because assessments play an important role in individuals' educational careers, either through the information or the incentive channel, they are also important for efficiency, equity, and well-being. The information channel is important for ensuring the most efficient human capital investments: students learn about the returns and costs of effort investments and about their abilities and comparative advantages. However, because students are sorted into educational programs and on the labor market based on assessment results, students optimal educational investment might not equal their optimal human capital investment because of the signaling value. Biases in assessments and heterogeneity in access to assessments are sources of inequality in education according to gender, origin, and socioeconomic background. These sources have long-running implications for equality and opportunity. Finally, because assessment results also carry important consequences for individuals' educational opportunities and on the labor market, they are a source of stress and reduced well-being.

Hamed Azizi Ganzagh, Ahmad Jafari Samimi, Zahra Mila Elmi et al.

Inflation forecasting is one of the most important issues for the economies of countries, As the existing literature suggests, hybrid models will bring better prediction accuracy due to attention to both linear and non-linear dimensions. Furthermore, the use of ARDL model can include lags of other variables in tandem with having linear features. It should also be noted that LSTM models have a forgetting gate due to their non-linear estimation characteristics, and they can incorporate data with very distant lags in the model. Therefore, the combination of these two models can significantly improve the prediction accuracy. Accordingly, attempts have been made in the current study to compare ARDL, NARX, LSTM and ARDL-D-LSTM models with one another and to introduce a suitable model for predicting Iran's monthly inflation rate in the short-term and long-term time horizon. After estimating the monthly inflation rate of Iran in the period of 4/21/2005 to 8/22/2018 and testing the model on the data for the period of 9/22/2018 to 12/21/ 2020 it was found that the NARX model and the ARDL-D-LSTM hybrid model performed well respectively for short-term time horizon and the long-term horizon according to the RMSE criteria.

Xuanwu Yue, Qiao Gu, Deyun Wang et al.

The model-based investing using financial factors is evolving as a principal method for quantitative investment. The main challenge lies in the selection of effective factors towards excess market returns. Existing approaches, either hand-picking factors or applying feature selection algorithms, do not orchestrate both human knowledge and computational power. This paper presents iQUANT, an interactive quantitative investment system that assists equity traders to quickly spot promising financial factors from initial recommendations suggested by algorithmic models, and conduct a joint refinement of factors and stocks for investment portfolio composition. We work closely with professional traders to assemble empirical characteristics of "good" factors and propose effective visualization designs to illustrate the collective performance of financial factors, stock portfolios, and their interactions. We evaluate iQUANT through a formal user study, two case studies, and expert interviews, using a real stock market dataset consisting of 3000 stocks times 6000 days times 56 factors.

Joseph Levine

How much do financial management fees cost investors? This article studies an approximate formula for the cumulative costs of annual Assets Under Management (AUM) fees. The formula states that an investment paying an annual fee of $ε$% of AUM over $N$ years loses almost $Nε$% of its value, compared to an investment with the same returns paying no fee. The article explains this formula intuitively, derives it analytically, and studies its approximation error. The article concludes with a discussion of the formula's uses and limitations.

Barbara Grabinska, Marcin Kedzior, Dorota Kedzior et al.

The energy sector is expected to face fundamental challenges in the near future. On the one hand, it is experiencing a rapidly increasing demand for energy. At the same time, it is subject to the pressure of the climate policy due to environmental issues. For the same reason, the energy sector is forced to undertake costly investments to transform production from black to green energy. The issue of financing has become one of the key problems of the energy sector, especially in those countries in which energy production traditionally is based on fossil fuels, i.e., coal. The paper aims to investigate the impact of corporate governance on the capital structure of companies from the energy industry. We use three proxies of corporate governance quality: institutional investors, the board size, and state ownership and investigate their impact on capital structure. Our findings suggest that the latter two negatively impact debt levels. In our model, we control for financial factors and CEO personal characteristics. We use a Polish setting since transformational problems of the energy sector in Poland are especially visible. At the same time, energy companies in Poland are subject to the strict EU climate policy.

Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie

The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a unified optimal investment goal. To meet the investor's objectives, an online algorithm can provide an explicit incremental approach that makes sequential updates as data arrives at the process level. This is in stark contrast to offline (or batch) processes that are focused on making component level decisions prior to process level integration. Here we present and report results for an integrated, and online framework for algorithmic portfolio management. This article provides a workflow that can in-turn be embedded into a process level learning framework. The workflow can be enhanced to refine signal generation and asset-class evolution and definitions. Our results confirm that we can use our framework in conjunction with resampling methods to outperform naive market capitalisation benchmarks while making clear the extent of back-test over-fitting. We consider such an online update framework to be a crucial step towards developing intelligent portfolio selection algorithms that integrate financial theory, investor views, and data analysis with process-level learning.