A vállalati likviditásmenedzsment számviteli támogatása (Accounting support for company’s liquidity management)

A cikk kiindulópontja, hogy a kettős könyvvitelt vezető vállalkozások által kötelezően elkészítendő éves pénzügyi kimutatások (számviteli beszámolók) olyan információbázist jelentenek, amelyek segítséget nyújthatnak egyrészről a vállalati likviditásmenedzsment támogatásához, másrészről a vállalkozások likviditási helyzetének megítéléséhez. A cikk első fele felvázolja a vállalkozások pénzügyi helyzetét bemutató adatok számviteli kereteit, bemutatja a likviditás fogalmának egyes értelmezéseit, majd részletesen kitér arra, hogy a likviditás utólagos vizsgálatához, illetve előrejelzéséhez milyen korrekciókat kell (lehet) végezni a számviteli beszámoló adatain. A cikk második fele az elemzés lehetséges módjait és eszközeit veszi számba, kitérve a statikus és dinamikus elemzés közötti különbségek bemutatására, az egyes mutatók számításának lehetséges módjaira és értelmezésükre, mindvégig szem előtt tartva az alkalmazás korlátait. ________ The study examines how information provided by accounting information systems could support companies’ liquidity management. The starting point is that compulsory financial statements prepared by economic entities embody an adequate information basis, which could help liquidity management as well as the judgement of liquidity. The first part of the study introduces the various interpretations of liquidity and gives a detailed description of the adjustments that need to be made on accounting data for an a posteriori examination of liquidity and to be able to forecast liquidity. The second part discusses the possible means and tools of analysis, including the differences between static and dynamic methods and the calculation and interpretation of the various ratios widely used by professionals. The conclusion is that there is no best-practice method or ratio, but rather a wide range of tools is to be used when one is willing to gain a complex and comprehensive insight about an entity’s liquidity.

Volt-e likviditási válság? Volatilitás és likviditás kapcsolatának vizsgálata (Was there a liquidity crisis? Analysis the relationship between volatility and liquidity)

Széleskörűen alátámasztott, empirikus tény, hogy önmagában a nagyobb volatilitás csökkenti a piac likviditását, vagyis változékonyabb piacokon várhatóan nagyobb lesz egy-egy tranzakció áreltérítő hatása. Kutatásomban azt a kérdést vizsgáltam, hogy a Budapesti Értéktőzsdén az OTP-részvény piacán a 2007/2008-as válságban tapasztalható, átmeneti likviditáscsökkenés betudható volt-e egyszerűen a megnövekedett volatilitásnak, vagy ezen túl abban más tényezők (pl. a szereplők körének és viselkedésének drasztikus megváltozása, általános forráscsökkenés stb.) is szerepet játszhattak-e. A volatilitást a loghozamok szórásával, illetve a tényleges ársávval, míg az illikviditást a Budapesti Likviditási Mértékkel (BLM) reprezentáltam. Egyrészt azt állapítottam meg, hogy az OTP esetében a tényleges ársáv szorosabban korrelál a BLM-mel, mint a szórás. Másrészt az is egyértelmű, hogy a válság előtti kapcsolat a volatilitás és a likviditás között a válságban és azután már jelentősen megváltozott. Válságban az illikviditás jóval nagyobb volt, mint amit a volatilitás növekedése alapján vártunk, a válság lecsengése után azonban megfordult ez a reláció. _________ It is a widely supported empirical fact, that the greater volatility in itself decreases the liquidity of the market, namely more volatile a market is, the higher a transaction’s price impact will be. I have examined in my paper the question, whether the decrease of liquidity during the crisis of 2007/2008 in case of the OTP stock – traded on the Budapest Stock Exchange – was the consequence of the increased volatility, or other factors had an effect on the illiquidity as well (e.g.: the drastic change of market participants’ behaviour; reduction of fi nancing sources; etc.). I have represented volatility with the standard deviation of the logreturns, and with the true range, while the illiquidity with the Budapest Liquidity Measure (BLM). On one hand I have identifi ed, that in case of the OTP, the true range has a stronger relationship with the BLM than the standard deviation has. On the other hand it was clear, that the relationship between volatility and liquidity has changed notably during and after the crisis. During crisis the illiquidity was greater than what I have estimated based on the volatility increase, but after the crisis this relation has changed.

Measuring and managing liquidity risk in the Hungarian practice

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semi-structured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Measuring and managing liquidity risk in the Hungarian practice

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semistructured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Hedging under liquidity constraints

Although risk management can be justified by financial distress, the theoretical models usually contain hedging instruments free of funding risk. In practice, management of the counterparty risk in derivative transactions is of enhanced importance, consequently not only is trading on exchanges subject to the presence of a margin account, but also in bilateral (OTC) agreements parties will require margins or collateral from their partners in order to hedge the mark-tomarket loss of the transaction. The aim of this paper is to present and compare two models where the financing need of the hedging instrument also appears, influencing the hedging strategy and the optimal hedging ratio. Both models contain the same source of risk and optimisation criterion, but the liquidity risk is modelled in different ways. In the first model, there is no additional financing resource that can be used to finance the margin account in case of a margin call, which entails the risk of liquidation of the hedging position. In the second model, the financing is available but a given credit spread is to be paid for this, so hedging can become costly.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Using soil profiles of seeds and molecular markers as proxies for sawgrass and wet prairie slough vegetation in Shark Slough, Everglades National Park

We measured the abundance of Cladium jamaicense (Crantz) seeds and three biomarkers in freshwater marsh soils in Shark River Slough (SRS), Everglades National Park (ENP) to determine the degree to which these paleoecological proxies reflect spatial and temporal variation in vegetation. We found that C. jamaicense seeds and the biomarkers Paq, total lignin phenols (TLP) and kaurenes analyzed from surface soils were all significantly correlated with extant aboveground C. jamaicense biomass quantified along a vegetation gradient from a C. jamaicense to a wet prairie/slough (WPS) community. Our results also suggest that these individual proxies may reflect vegetation over different spatial scales: Paq and kaurenes correlated most strongly (R 2 = 0.88 and 0.99, respectively) with vegetation within 1 m of a soil sample, while seeds and TLP reflected vegetation 0–20 m upstream of soil samples. These differences in the spatial scale depicted by the different proxies may be complementary in understanding aspects of historic landscape patterning. Soil profiles of short (25 cm) cores showed that downcore variation in C. jamaicense seeds was highly correlated with two of the three biomarkers (Paq, R 2 = 0.84, p<0.005; TLP, R 2 = 0.97, p<0.0001), and all four of the proxies indicated a recent increase in C. jamaicense biomass at the site. Using a preliminary depth-to-age relationship based on matching charcoal peaks with available ENP fire records (1980-present) specific to our coring site, we found that peak-depths in C. jamaicense seed concentration appeared to correspond to recent minimum water levels (e.g., 1989 and 2001), and low seed abundance corresponded to high water levels (e.g., 1995), consistent with the known autecology of C. jamaicense. In summary, the combination of C. jamaicense seeds and biomarkers may be useful for paleoecological reconstruction of vegetation change and ultimately in guaging the success of ongoing efforts to restore historic hydrologic conditions in the South Florida Everglades.

Liquidity, governance and adverse selection in asset pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company's shares. Hence, we jointly examine both the factors, namely, governance and liquidity - in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll's (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.^

Terrigenous biomarker proxies analysed in the Amazon River system

Paleoenvironmental studies based on terrigenous biomarker proxies from sediment cores collected close to the mouth of large river systems rely on a proper understanding of the processes controlling origin, transport and deposition of biomarkers. Here, we contribute to the understanding of these processes by analyzing long-chain n-alkanes from the Amazon River system. We use the dD composition of long-chain n-alkanes from river bed sediments from the Amazon River and its major tributaries, as well as marine core-top samples collected off northeastern South America as tracers for different source areas. The d13C composition of the same compounds is used to differentiate between long-chain n-alkanes from modern forest vegetation and petrogenic organic matter. Our d13C results show depleted d13C values (-33 to -36 per mil) in most samples, indicating a modern forest source for most of the samples. Enriched values (-31 to -33 per mil) are only found in a few samples poor in organic carbon indicating minor contributions from a fossil petrogenic source. Long-chain n-alkane dD analyses show more depleted values for the western tributaries, the Madeira and Solimões Rivers (-152 to -168 per mil), while n-alkanes from the lowland tributaries, the Negro, Xingu and Tocantins Rivers (-142 to -154 per mil), yield more enriched values. The n-alkane dD values thus reflect the mean annual isotopic composition of precipitation, which is most deuterium-depleted in the western Amazon Basin and more enriched in the eastern sector of the basin. Samples from the Amazon estuary show a mixed long-chain n-alkane dD signal from both eastern lowland and western tributaries. Marine core-top samples underlying the Amazon freshwater plume yield dD values similar to those from the Amazon estuary, while core-top samples from outside the plume showed more enriched values. Although the variability in the river bed data precludes quantitative assessment of relative contributions, our results indicate that long-chain n-alkanes from the Amazon estuary and plume represent an integrated signal of different regions of the onshore basin. Our results also imply that n-alkanes are not extensively remineralized during transport and that the signal at the Amazon estuary and plume includes refractory compounds derived from the western sector of the Basin. These findings will aid in the interpretation of plant wax-based records of marine sediment cores collected from the adjacent ocean.

Comparison of Ba/Ca and d18OWATER as freshwater proxies: a multi-species core-top study on planktonic foraminifera from the vicinity of the Orinoco River mouth

Past river run-off is an important measure for the continental hydrological cycle and the as-sessment of freshwater input into the ocean. However, paleosalinity reconstructions applying different proxies in parallel often show offsets between the respective methods. Here, we compare the established foraminiferal Ba/Ca and d18OWATER salinity proxies for their capability to record the highly seasonal Orinoco freshwater plume in the eastern Caribbean. For this purpose we obtained a data set comprising Ba/Ca and d18OWATER determined on multiple spe-cies of planktonic foraminifera from core tops distributed around the Orinoco river mouth. Our findings indicate that interpretations based on either proxy could lead to different conclu-sions. In particular, Ba/Ca and d18OWATER diverge in their spatial distribution due to different governing factors. Apparently, the Orinoco freshwater plume is best tracked by Ba/Ca ratios of G. ruber (pink and sensu lato morphotypes), while d18OWATER based on the same species is more related to the local precipitation-evaporation balance overprinting the riverine freshwater contribution. Other shallow dwelling species (G. sacculifer, O. universa) show a muted response to the freshwater discharge, most likely due to their ecological and habitat prefer-ences. Extremely high Ba/Ca ratios recorded by G. ruber are attributed to Ba2+-desorption from suspended matter derived from the Orinoco. Samples taken most proximal to the freshwater source do not show pronounced Ba/Ca or d18OWATER anomalies. Here, the suspension loaded freshwater lid developing during maximum discharge suppresses foraminiferal populations. Both proxies are therefore biased towards dry season conditions at these sites, when surface salinity is only minimally reduced.

14C concentrations of algal and archaeal lipids and their associated sea surface temperature proxies in the Black Sea

Understanding the preservation and deposition history of organic molecules is crucial for the understanding of paleoenvironmental information contained in their abundance ratios such as Uk'37 and TEX86 used as proxies for sea surface temperature (SST). Based on their relatively high refractivity, alkenones and glycerol dialkyl glycerol tetraethers (GDGTs) can survive postdepositional processes like lateral transport, potentially causing inferred SSTs to be misleading. Likewise, selective preservation of alkenones and GDGTs may cause biases of the SST proxies themselves and can lead to decoupling of both proxy records. Here we report compound-specific radiocarbon data of marine biomarkers including alkenones, GDGTs, and low molecular weight (LMW) n-fatty acids from Black Sea sediments deposited under different redox regimes to evaluate the potentially differential preservation of both biomarker classes and its effect on the SST indices Uk'37 and TEX86 . The decadal D14C values of alkenones, GDGTs, and LMW n-fatty acids indicate similar preservation under oxic, suboxic, and anoxic redox regimes and no contribution of pre-aged compounds, e.g., by lateral supply. Moreover, similar 14C concentrations of crenarchaeol, alkenones, and LMW n-fatty acids imply that the thaumarchaeotal GDGTs preserved in these sediments are produced in the euphotic zone rather than in subsurface/thermocline waters. However, we observe biomarker-based SSTs that strongly deviate (deltaSST up to 8.4 °C) from in situ measured mean annual SSTs in the Black Sea. This is not due to redox-dependent differential biomarker preservation as implied by their D14C values and spatial SST pattern. Since contributions from different sources can largely be excluded, the deviation of the Uk'37 and TEX86 proxy-derived SSTs from in situ SSTs requires further study of phylogenetic and other yet unknown environmental controls on alkenone and GDGT lipid distributions in the Black Sea.

Th-234 and Po-210 as POC flux proxies during the ARK-XXVII/3 expedition (August-October 2012)

The Arctic sea-ice extent reached a record minimum in September 2012. Sea-ice decline increases the absorption of solar energy in the Arctic Ocean, affecting primary production and the plankton community. How this will modulate the sinking of particulate organic carbon (POC) from the ocean surface remains a key question. We use the 234Th/238U and 210Po/210Pb radionuclide pairs to estimate the magnitude of the POC export fluxes in the upper ocean of the central Arctic in summer 2012, covering time scales from weeks to months. The 234Th/238U proxy reveals that POC fluxes at the base of the euphotic zone were very low (2 ± 2 mmol C/m**2/d) in late summer. Relationships obtained between the 234Th export fluxes and the phytoplankton community suggest that prasinophytes contributed significantly to the downward fluxes, likely via incorporation into sea-ice algal aggregates and zooplankton-derived material. The magnitude of the depletion of 210Po in the upper water column over the entire study area indicates that particle export fluxes were higher before July/August than later in the season. 210Po fluxes and 210Po-derived POC fluxes correlated positively with sea-ice concentration, showing that particle sinking was greater under heavy sea-ice conditions than under partially ice-covered regions. Although the POC fluxes were low, a large fraction of primary production (>30%) was exported at the base of the euphotic zone in most of the study area during summer 2012, indicating a high export efficiency of the biological pump in the central Arctic. This article is protected by copyright. All rights reserved.

GDGT-based proxies of sediment core YD0903

We reconstruct the environmental evolution of the East China Sea in the past 14 kyr based on glycerol dialkyl glycerol tetraethers (GDGTs) in a sediment core from the subaqueous Yangtze River Delta. Two primary phases are recognized. Phase I (13.8-8 cal kyr BP) reflects a predominantly continental influence, showing distinctly higher concentrations of branched GDGTs (averaged 143 ng/g dry sediment weight, dsw) than isoprenoid GDGTs (averaged 36 ng/g dsw), high BIT index (branched vs. isoprenoid tetraethers) values (>0.78) and a fluctuating GDGT-0/crenarchaeol ratio (R0/5, varied from 0.52 to 3.81). Within this interval, temporal increases of terrestrial and marine influence are attributed to Younger Dryas (YD) (ca. 12.9-12.2 cal kyr BP) cold event and melt-water pulse (MWP) -1B (11.5-11.1 cal kyr BP), respectively. The prominent transition from 8 to 7.9 cal kyr BP shows a sharp decrease in BIT index value (<0.4) and increase in crenarchaeol, which marks the beginning of phase II. Afterwards, the proxies remain relatively constant, which indicates that phase II (7.9 cal kyr BP-present) is a shelf sedimentary environment with high stand of sea level. Overall, the BIT index in our record serves as a good marker for terrestrial influence at the site, and likely reflects the flooding history of the region. The TEX86 (TetraEther Index of tetraethers consisting of 86 carbons) proxy is not applicable in phase I because of an excess terrestrial influence; but it seems to be valid for revealing the annual SST in phase II (21.6±0.9°C, n=49). In contrast, the MBT'/CBT (Methylation of Branched Tetraethers and Cyclization of Branched Tetraethers) proxy appears to faithfully record the annual mean air temperature (MAT) (14.3±0.63°C, n=68) and presents an integrated signal over the middle and lower Yangtze River drainage basin.

Organic-geochemical proxies (UK'37 and TEXH86) records in surface sediments of the tropical Eastern Indian Ocean

In this study we reconstruct sea surface temperatures (SSTs) using two lipid-based biomarker proxies (alkenone unsaturation index UK'37 and TEX86 index based on glycerol dibiphytanyl glycerol tetraethers) in 36 surface sediment samples from the Indonesian continental margin off west Sumatra and south of Java and the Lesser Sunda Islands. Comparison of measured temperatures (World Ocean Atlas 09) to reconstructed temperatures suggests that SST-UK'37 reflects the SE monsoon SST in the upwelling area south of Java and the Lesser Sunda Islands, whereas Temp-TEXH86 estimates are up to 2°C lower than SST-UK'37. This offset is possibly related to either one or a combination of two factors: i) the depth habitats of the source organisms; ii) different seasonal production and/ or seasonality of export associated with phytoplankton blooming triggered by primary productivity. In the non-upwelling area off west Sumatra, the alkenone-based SSTs are cooler than measured temperatures during the entire year, likely due to the reduced sensitivity of the UK'37 proxy beyond 28°C. However, reconstructed temperatures based on TEXH86 are consistent with mean annual SST, implying that the Temp-TEXH86 reflects the mean annual SST in the non-upwelling area of the tropical Eastern Indian Ocean.