The cost of sin:the effect of social norms on audit pricing

In this paper we provide evidence for the effects of social norms on audit pricing by studying companies belonging to the alcohol, firearms, gambling, military, nuclear power, and tobacco industries,which are often described as “sin” companies. We hypothesize that the disparities between “sin” firms operations and prevailing social norms create an adverse context which heightens the client's business risk assessment by auditors and is, thereby, reflected in the pricing decisions for audit and consulting services. Having controlled for the impact of variables relating to client attributes, auditor attributes and engagement attributes, we demonstrate that audit firms charge significantly higher audit and consulting fees to companies that deviate from prevailing social norms. Additionally,we show that audit pricing levels within the “sin” group depend both on prevailing political views and on the level of “vice” exhibited by “sin” companies.

Trigeneration using biomass energy for sustainable development

Purpose: The paper aims to design and prove the concept of micro-industry using trigeneration fuelled by biomass, for sustainable development in rural NW India. Design/methodology/approach: This is being tested at village Malunga, near Jodhpur in Rajasthan. The system components comprise burning of waste biomass for steam generation and its use for power generation, cooling system for fruit ripening and the use of steam for producing distilled water. Site was selected taking into account the local economic and social needs, biomass resources available from agricultural activities, and the presence of a NGO which is competent to facilitate running of the enterprise. The trigeneration system was designed to integrate off-the-shelf equipment for power generation using boilers of approximate total capacity 1 tonne of fuel per hour, and a back-pressure steam turbo-generator (200 kW). Cooling is provided by a vapour absorption machine (VAM). Findings: The financial analysis indicates a payback time of less than two years. Nevertheless, this is sensitive to market fluctuations and availabilities of raw materials. Originality/value: Although comparable trigeneration systems already exist in large food processing industries and in space heating and cooling applications, they have not previously been used for rural micro-industry. The small-scale (1-2 m3/h output) multiple effect distillation (3 effect plus condenser) unit has not previously been deployed at field level. © Emerald Group Publishing Limited.

An integrated assessment model for cross-country pipelines

The cross-country petroleum pipelines are environmentally sensitive because they traverse through varied terrain covering crop fields, forests, rivers, populated areas, desert, hills and offshore. Any malfunction of these pipelines may cause devastating effect on the environment. Hence, the pipeline operators plan and design pipelines projects with sufficient consideration of environment and social aspects along with the technological alternatives. Traditionally, in project appraisal, optimum technical alternative is selected using financial analysis. Impact assessments (IA) are then carried out to justify the selection and subsequent statutory approval. However, the IAs often suggest alternative sites and/or alternate technology and implementation methodology, resulting in revision of entire technical and financial analysis. This study addresses the above issues by developing an integrated framework for project feasibility analysis with the application of analytic hierarchy process (AHP), a multiple attribute decision-making technique. The model considers technical analysis (TA), socioeconomic IA (SEIA) and environmental IA (EIA) in an integrated framework to select the best project from a few alternative feasible projects. Subsequent financial analysis then justifies the selection. The entire methodology has been explained here through a case application on cross-country petroleum pipeline project in India.

Bid-ask spread dynamics in foreign exchange markets

The aim of this paper is to examine the short term dynamics of foreign exchange rate spreads. Using a vector autoregressive model (VAR) we show that most of the variation in the spread comes from the long run dependencies between past and future spreads rather than being caused by changes in inventory, adverse selection, cost of carry or order processing costs. We apply the Integrated Cumulative Sum of Squares (ICSS) algorithm of Inclan and Tiao (1994) to discover how often spread volatility changes. We find that spread volatility shifts are relatively uncommon and shifts in one currency spread tend not to spillover to other currency spreads. © 2013.

The effects of quantitative easing on the volatility of the gilt-edged market

We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the effects of QE overall and of the specific days of asset purchases. The action of QE successfully neutralized the six fold increase in volatility that had been experienced by gilts since the start of the financial crisis. The volatility of longer term bonds reduced more quickly than the volatility of short to medium term bonds. The reversion of the volatility of shorter term bonds to pre-crisis levels was found to be more sensitive to the specific operational actions of QE, particularly where they experienced relatively greater purchase activity.

Unifractality and multifractality in the Italian stock market

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using Monte Carlo simulations of random Gaussian innovations. Evidence is reported of multifractality, and the departure from random walk behaviour is statistically significant on standard criteria. The observed pattern is attributed primarily to fat tails in the return probability distribution, associated with volatility clustering in returns measured over various time scales. © 2009 Elsevier Inc. All rights reserved.

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Efficient Control in Multistage Stochastic Optimization Problem

AMS subject classification: 90C31, 90A09, 49K15, 49L20.

Aggregate dividends and consumption smoothing

We show that net equity payouts from the corporate sector play a crucial role in helping individuals manage their consumption path across the business cycle. In particular, we show that, as investors' desire to smooth consumption increases, optimal aggregate dividends become both more volatile and more counter-cyclical to help counterbalance pro-cyclical labor income. These findings are robust to whether or not agency conflicts exist in the economy.

Special employment centers in Castile and León 2007-2013: effects of the crisis in relation to these centers’ registered legal personalities

The aim of this paper is to carry out an economic and financial study of the Special Employment Centres in Castile and León based on a classification of these entities’ registered legal personalities in order to view how the economic crisis that began at the end of 2007 may have affected them. Various items from the Centres’ financial statements are analysed and the results are compared to those from the period 2007-2013 as to provide a broader perspective of their size, development, growth and behaviour. The following economic figures were used: total assets, turnover and revenue. The variable “employment” is compared with the subsidies received by the Centres, showing that the crisis does affect the Centres depending on their registered legal personalities. Associations and physical persons are the most affected personalities, to the point of possible extinction. An account reversal for the Centres is also included in this article, which measures the percentage of public aid received by the Centres that is returned to society.

Análise experimental do efeito da diversificação em carteiras de ações: a relação entre risco e quantidade de ativos sob a ótica da estratégia ingênua

The objective is to analyze the relationship between risk and number of stocks of a portfolio for an individual investor when stocks are chosen by "naive strategy". For this, we carried out an experiment in which individuals select actions to reproduce this relationship. 126 participants were informed that the risk of first choice would be an asset average of all standard deviations of the portfolios consist of a single asset, and the same procedure should be used for portfolios composed of two, three and so on, up to 30 actions . They selected the assets they want in their portfolios without the support of a financial analysis. For comparison we also tested a hypothetical simulation of 126 investors who selected shares the same universe, through a random number generator. Thus, each real participant is compensated for random hypothetical investor facing the same opportunity. Patterns were observed in the portfolios of individual participants, characterizing the curves for the components of the samples. Because these groupings are somewhat arbitrary, it was used a more objective measure of behavior: a simple linear regression for each participant, in order to predict the variance of the portfolio depending on the number of assets. In addition, we conducted a pooled regression on all observations by analyzing cross-section. The result of pattern occurs on average but not for most individuals, many of which effectively "de-diversify" when adding seemingly random bonds. Furthermore, the results are slightly worse using a random number generator. This finding challenges the belief that only a small number of titles is necessary for diversification and shows that there is only applicable to a large sample. The implications are important since many individual investors holding few stocks in their portfolios

Diagnóstico financiero de la Ebanistería JAR

Esta monografía es el análisis financiero actual de la ebanistería JAR. Se propuso desde el principio conocer la situación real financiera de la ebanistería para dar una orientación a los dueños de la compañía, sobre que decisiones puedan tomar para mejorar los resultados de la empresa. Para llevar a cabo el análisis y el diagnóstico financiero de la ebanistería, se tomó como base los balances y estados financieros de los años 2011 hasta el 2014. Adicionalmente se recopilo información financiera de empresas del sector para compararlos con los resultados de la ebanistería JAR. En base a la información recopilada, se sacaron los indicadores de endeudamiento, liquidez, rentabilidad e inductores de valor. Toda esta información es analizó y cotejó para obtener las conclusiones y recomendaciones esperadas. La ebanistería JAR no se encuentra en una difícil situación financiera como los dueños de la ebanistería lo habían planteado en un comienzo. Más bien sus directivos están comparando épocas muy distintas de la historia de la ebanistería y de la historia económica de Colombia que los hace pensar que las cosas no están bien. Cuando se hace el análisis comparativo de los indicadores de rentabilidad de la ebanistería JAR contra las ebanisterías del sector, se encuentra que los indicadores de rentabilidad ROA y RONA, son incluso levemente superiores a los del sector para el año 2014.

Impacto de la información asimétrica en el mercado eléctrico colombiano no regulado de largo plazo

Este artículo estudia el impacto que la asimetría de información tiene sobre el mercado eléctrico no regulado colombiano desde una perspectiva teórica esta -- Se analizan los tratamientos que se han hecho en los principales mercados eléctricos internacionales para solucionar esta imperfección de mercado y, a la vez, analiza los resultados obtenidos, donde a partir de las experiencias se proporciona recomendaciones al mercado de energía colombiano -- También se analiza la Resolución CREG 035 de 2015 y el cambio que las modificaciones en esta traen para el funcionamiento del sector -- Los resultados obtenidos basados en las experiencias internacionales y la teoría económica indican que el mercado eléctrico colombiano está experimentando un problema de información asimétrica y esta nueva Resolución no ayuda a mitigarlo

Diseño de un fondo de inversión colectiva basado en derivados energéticos

El propósito de este trabajo de grado es diseñar un fondo de inversión colectiva donde los activos predominantes sean derivados energéticos -- Lo anterior, ajustado al marco normativo expedido por el Ministerio de Hacienda en 2013 -- Para su diseño se estudiará el comportamiento de los derivados energéticos en el principal mercado de futuros: New York Mercantile Exchange y Derivex, que es el mercado de derivados de commodities energéticos en Colombia -- Se recopilarán datos a través de una consulta histórica en diferentes sistemas de información, como Bloomberg y Derivex -- Recopilada y analizada la información en referencia, se determinará la composición del portafolio que se ajuste a las necesidades del mercado colombiano y se desarrollarán pruebas y modelos estadísticos para medir los riesgos financieros -- Finalmente, la investigación y el trabajo de campo se presentan en un informe donde se exponen las características que debe tener un fondo de inversión concentrado en derivados energéticos

Atividade Bancária - Condicionantes do Crédito nos Particulares Caixa Leasing & Factoring – Instituição Financeira de Crédito, S.A

Mestrado em Contabilidade e Análise Financeira