Current Issue : July - September Volume : 2013 Issue Number : 3 Articles : 5 Articles
Experimental studies across the world show that one of investors and other activists� expectations in capital market is their ability in predicting the status of activity consistency or the bankruptcy of the companies. For this purpose, this study tries to predict the bankruptcy likelihood of manufacturing firms and comparing the predictability power of 3 methods of Logit, Probit, and Multiple-discriminant analysis. Statistical population of the study included all manufacturing firms listed in Stock Exchange of Tehran since 2000-2010.\r\n\r\nThe results showed that the predictability of Logit, Probit, and Multiple-discriminant models has been81, 80, and % 70 respectively. The results also showed the higher predictability and accuracy of Logit model and also Multiple discriminant analysis methods identify bankrupt firms with high accuracy in the level logit model....
Among the ways people plan for their retirement is taking pension policy. It becomes imperative to study Finite Horizon Lifecycle Investment for Pension Funds with Constant Rate of Return and Transaction Costs. This paper investigates a Constant Relative Risk Aversion (CRRA) investor as a representative of pension plan participants, who has a finite investment horizon and is subject to the transaction costs and a constant rate of return. The investorâ��s utility is aimed at being maximized by trading between stock and money market account. Partial differential equations are derived and closed form solution obtained. The effects of the volatility of the risky asset are investigated and it shows: s_1 (t)=0 for for �µ-r=-? and ?=(?-1)�µ+?,f(h)=f(0)=0. Also, s_1=1 if ?=1, and �µ-r=1-?,f(h)=f(8)=8. Precise conditions are obtained which determine the growth rate of the value function in the sell and buy regions....
Due to the interplay between daily rebalancing and volatility, Leveraged Exchange Traded Funds\r\n(ETFs) may experience a cumulative return different from the product of their daily leverage ratio\r\nand the periodic index return. When the leveraged ETF�s return over a particular time frame minus\r\nthe leverage ratio of the ETF multiplied by the underlying index return is negative, we refer to it as\r\ndecay. The quantity of this decay is influenced by the daily leverage ratio, time, index return, and\r\nvolatility. This study quantifies the tradeoffs these variables have on decay, and derives maximum\r\nholding periods given an investor''s decay threshold under various volatility environments. While\r\nthe majority of studies suggest short holding periods for leveraged ETFs, this paper asserts that\r\nextended holding periods can be justified depending on volatility levels and an investor''s\r\nwillingness to accept a certain level of decay.\r\nFor decay thresholds of only -2% and low volatility levels, holding periods beyond 6 months can be\r\njustified for some leveraged funds. Empirically, forecasted decay over a 3-month period based on\r\nthe Russell 1000 and using a GARCH (1, 1) volatility estimate rarely underestimates actual decay.\r\nThrough 2007, the average justified holding period for all but the -3x fund generally exceeded 4\r\nmonths. During the financial crisis, justified holding periods decreased dramatically....
According to The International Standards on Auditing, the purpose of the auditor in an audit\r\nengagement is to express an independent, objective and a professional opinion regarding the\r\naccuracy of the financial statements of the companies audited. During his mission, the auditors\r\nmust also assess the company�s ability to continue as a going concern, with a major impact on\r\nthe preparation and the quality of financial statements that are reported. To support his\r\nopinion, regarding the hypothesis of going concern, the auditor must obtain sufficient and\r\nappropriate audit evidence, and perform the necessary audit procedures. For that, analytical\r\nprocedures ensure a series of comparative information at the level of analyzed periods or\r\nbranch, useful to the auditor in the audit engagement. The present study aims to obtain a\r\ndeterministic model based on duration models, for assessing the audited companies� ability to\r\ncontinue as a going concern. The research results are useful to the auditor in the assessment of\r\nthe audited company�s compliance with the going concern assumption, in preparation of\r\nfinancial statements. The analysis was performed on a sample of 77 companies quoted on the\r\nBucharest Stock Exchange that were subject to the insolvency risk, in the period 2008-2011. To\r\nobtain the research results, data were treated with statistical software SPSS 19.0....
Working under a view of social ethics, implies that the firms must behave like a responsible\r\ncitizen. This entails rights as obligations to the community. In this perspective, the company is\r\nnow responsible for negative consequences produced by its activities. The company well\r\nknows, to minimize risk by controlling the environmental costs incurred by society. Although\r\nthese costs represent a threat to some companies for performance, others consider them a\r\ncompetitive factor.\r\nThroughout this work, we will demonstrate, through a case study, the environmental costs,\r\ndespite the ambiguities related to calculation, can be identified and recorded in the financial\r\nreports of the company. To do this, the researchers will proceed as follows. A first section will\r\npresent the theoretical framework of this research by discussing the concepts of environmental\r\ncosts. The second section will be reserving for environmental costs. In the last section, the\r\nresearchers present calculations of the various environmental costs and bookings in the\r\nfinancial reports of the company....
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