A multi-organisational approach for disaster preparedness and response:the use of optimisation and GIS for facility location, stock pre-positioning, resource allocation and relief distribution

From 1992 to 2012 4.4 billion people were affected by disasters with almost 2 trillion USD in damages and 1.3 million people killed worldwide. The increasing threat of disasters stresses the need to provide solutions for the challenges faced by disaster managers, such as the logistical deployment of resources required to provide relief to victims. The location of emergency facilities, stock prepositioning, evacuation, inventory management, resource allocation, and relief distribution have been identified to directly impact the relief provided to victims during the disaster. Managing appropriately these factors is critical to reduce suffering. Disaster management commonly attracts several organisations working alongside each other and sharing resources to cope with the emergency. Coordinating these agencies is a complex task but there is little research considering multiple organisations, and none actually optimising the number of actors required to avoid shortages and convergence. The aim of the this research is to develop a system for disaster management based on a combination of optimisation techniques and geographical information systems (GIS) to aid multi-organisational decision-making. An integrated decision system was created comprising a cartographic model implemented in GIS to discard floodable facilities, combined with two models focused on optimising the decisions regarding location of emergency facilities, stock prepositioning, the allocation of resources and relief distribution, along with the number of actors required to perform these activities. Three in-depth case studies in Mexico were studied gathering information from different organisations. The cartographic model proved to reduce the risk to select unsuitable facilities. The preparedness and response models showed the capacity to optimise the decisions and the number of organisations required for logistical activities, pointing towards an excess of actors involved in all cases. The system as a whole demonstrated its capacity to provide integrated support for disaster preparedness and response, along with the existence of room for improvement for Mexican organisations in flood management.

European studies: Taking stock and looking ahead

This essay is an attempt to generalize experiences of Central and Eastern European universities in the field of European Studies over the past 20 years. The paper follows the logic of business analysis in order to come up with proposals for future action.

Virtuális árhatás a Budapesti Értéktőzsdén = Virtual price effects on the Budapest stock exchange

Az árhatásfüggvények azt mutatják meg, hogy egy adott értékű megbízás mekkora relatív árváltozást okoz. Az árhatásfüggvény ismerete a piaci szereplők számára fontos szerepet játszik a jövőben benyújtandó ajánlataikhoz kapcsolódó árhatás előrejelzésében, a kereskedés árváltozásból eredő többletköltségének becslésében, illetve az optimális kereskedési algoritmus kialakításában. Az általunk kidolgozott módszer révén a piaci szereplők a teljes ajánlati könyv ismerete nélkül egyszerűen és gyorsan tudnak virtuális árhatásfüggvényt meghatározni, ugyanis bemutatjuk az árhatásfüggvény és a likviditási mértékek kapcsolatát, valamint azt, hogy miként lehet a Budapesti Likviditási Mérték (BLM) idősorából ár ha tás függ vényt becsülni. A kidolgozott módszertant az OTP-részvény idősorán szemléltetjük, és a részvény BLM-adatsorából a 2007. január 1-je és 2011. június 3-a közötti időszakra virtuális árhatás függvényt becsülünk. Empirikus elemzésünk során az árhatás függ vény időbeli alakulásának és alapvető statisztikai tulajdonságainak vizsgálatát végezzük el, ami révén képet kaphatunk a likviditás hiányában fellépő tranzakciós költségek múltbeli viselkedéséről. Az így kapott információk például a dinamikus portfólióoptimalizálás során lehetnek a kereskedők segítségére. / === / Price-effect equations show what relative price change a commission of a given value will have. Knowledge of price-effect equations plays an important part in enabling market players to predict the price effect of their future commissions and to develop an optimal trading algorithm. The method devised by the authors allows a virtual price-effect equation to be defined simply and rapidly without knowledge of the whole offer book, by presenting the relation between the price-effect equation and degree of liquidity, and how to estimate the price-effect equation from the time line of the Budapest Liquidity Measure (BLM). The methodology is shown using the time line for OTP shares and the virtual price-effect equation estimated for the 1 January 2007 to 3 June 2011 period from the shares BML data set. During the empirical analysis the authors conducted an examination of the tendency of the price-effect equation over time and for its basic statistical attributes, to yield a picture of the past behaviour of the transaction costs arising in the absence of liquidity. The information obtained may, for instance, help traders in dynamic portfolio optimization.

Stress events in the Hungarian stock market

Central clearing and the role of central counterparties (CCP) has gained on importance in the financial sector, since counterparty risk of the trading is to be managed by them. The regulation has turned towards them lately, by defining several processes, how CCPs should measure and manage their risk. Stress situation is an important term of the regulation, however it is not specified clearly, how stress should be identified. This paper provides a possible definition of stress event based on the existing risk management methodology: the usage of risk measure oversteps, and investigates the potential stress periods of the last years on the Hungarian stock market. According to the results the definition needs further calibration based on the magnitude of the cross-sectional data. The paper examines furthermore whether stress is to be predicted from market liquidity. The connection of liquidity and market turmoil proved to be contrary to the expectations; liquidity shortage was rather a consequence, than a forecaster phenomenon in the tested period.

International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

A study of stock market fluctuations and their relation to business conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubblelike deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the nonfundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

Seagrass ecosystems as a globally significant carbon stock

The protection of organic carbon stored in forests is considered as an important method for mitigating climate change. Like terrestrial ecosystems, coastal ecosystems store large amounts of carbon, and there are initiatives to protect these ‘blue carbon’ stores. Organic carbon stocks in tidal salt marshes and mangroves have been estimated, but uncertainties in the stores of seagrass meadows—some of the most productive ecosystems on Earth—hinder the application of marine carbon conservation schemes. Here, we compile published and unpublished measurements of the organic carbon content of living seagrass biomass and underlying soils in 946 distinct seagrass meadows across the globe. Using only data from sites for which full inventories exist, we estimate that, globally, seagrass ecosystems could store as much as 19.9 Pg organic carbon; according to a more conservative approach, in which we incorporate more data from surface soils and depth-dependent declines in soil carbon stocks, we estimate that the seagrass carbon pool lies between 4.2 and 8.4 Pg carbon. We estimate that present rates of seagrass loss could result in the release of up to 299 Tg carbon per year, assuming that all of the organic carbon in seagrass biomass and the top metre of soils is remineralized.

A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Comparison of snail density, standing stock, and body size between Caribbean karst wetlands and other freshwater ecosystems

Synthesizing data from multiple studies generates hypotheses about factors that affect the distribution and abundance of species among ecosystems. Snails are dominant herbivores in many freshwater ecosystems, but there is no comprehensive review of snail density, standing stock, or body size among freshwater ecosystems. We compile data on snail density and standing stock, estimate body size with their quotient, and discuss the major pattern that emerges. We report data from 215 freshwater ecosystems taken from 88 studies that we placed into nine categories. Sixty-five studies reported density, seven reported standing stock, and 16 reported both. Despite the breadth of studies, spatial and temporal sampling scales were limited. Researchers used 25 different sampling devices ranging in area from 0.0015 to 2.5 m2. Most ecosystem categories had similar snail densities, standing stocks, and body sizes suggesting snails shared a similar function among ecosystems. Caribbean karst wetlands were a striking exception with much lower density and standing stock, but large body size. Disparity in body size results from the presence of ampullariids in Caribbean karst wetlands suggesting that biogeography affects the distribution of taxa, and in this case size, among aquatic ecosystems. We propose that resource quality explains the disparity in density and standing stock between Caribbean karst wetlands and other categories. Periphyton in Caribbean karst wetlands has high carbon-to-phosphorous ratios and defensive characteristics that inhibit grazers. Unlike many freshwater ecosystems where snails are key grazers, we hypothesize that a microbial loop captures much of the primary production in Caribbean karst wetlands.

An Examination of Stock Performance: The Three Top-Performing Lodging Firms August 1987 - January 1990

A study published in the Fall 1988 issue of the FIU Hospitality Review revealed that the top three lodging stock performers during the period July 1982 to January 1988 were Prime Motor Inns, Inc., Marriott Corporation, and Hilton Hotels Corporation. The author has completed a follow-up study in an attempt to determine how selected lodging firms have fared since the summer rally of 1987 (which preceded the stock crash of October 19, 1987) until more recent times.

An Analysis of Stock Market Performance:The Dow Jones Industrial Average and the Three Top Performing Lodging Firma: 1982-1988

In their dialogue - An Analysis of Stock Market Performance: The Dow Jones Industrial Average and the Three Top Performing Lodging Firms 1982 – 1988 - by N. H. Ringstrom, Professor and Elisa S. Moncarz, Associate Professor, School of Hospitality Management at Florida International University, Professors Ringstrom and Moncarz state at the outset: “An interesting comparison can be made between the Dow Jones lndustrial Average and the three top performing, publicly held lodging firms which had $100 million or more in annual lodging revenues. The authors provide that analytical comparison with Prime Motor Inns Inc., the Marriott Corporation, and Hilton Hotels Corporation.” “Based on a criterion of size, only those with $100 million in annual lodging revenues or more resulted in the inclusion of the following six major hotel firms: Prime Motor Inns, Inc., Marriott Corporation, Hilton Hotels Corporation, Ramada Inc., Holiday Corporation and La Quinta Motor Inns, Inc.,” say Professors Ringstrom and Moncarz in framing this discussion with its underpinnings in the years 1982 to 1988. The article looks at each company’s fiscal and Dow Jones performance for the years in question, and presents a detailed analysis of said performance. Graphic analysis is included. It helps to have a fairly vigorous knowledge of stock market and fiscal examination criteria to digest this material. The Ringstrom and Moncarz analysis of Prime Motor Inns Incorporated occupies the first 7 pages of this article in and of itself. Marriot Corporation also occupies a prominent position in this discussion. “Marriott, a giant in the hospitality industry, is huge and continuing to grow. Its 1987 sales were more than $6.5 billion, and its employees numbered over 200,000 individuals, which place Marriott among the 10 largest private employers in the country,” Ringstrom and Moncarz parse Marriott’s influence as a significant financial player. “The firm has a fantastic history of growth over the past 60 years, starting in May 1927 with a nine-seat A & W Root Beer stand in Washington, D.C.,” offer the authors in initialing Marriot’s portion of the discussion with a brief history lesson. The Marriot firm was officially incorporated as Hot Shoppes Inc. in 1929. As the thesis statement for the discussion suggests the performance of these huge, hospitality giants is compared and contrasted directly to the Dow Jones Industrial Average performance. Reasons and empirical data are offered by the authors to explain the distinctions. It would be difficult to explain those distinctions without delving deeply into corporate financial history and the authors willingly do so in an effort to help you understand the growth, as well as some of the setbacks of these hospitality based juggernauts. Ringstrom and Moncarz conclude the article with an extensive overview and analysis of the Hilton Hotels Corporation performance for the period outlined. It may well be the most fiscally dynamic of the firms presented for your perusal. “It is interesting to note that Hilton Hotels Corporation maintained a very strong financial position with relatively little debt during the years 1982-1988…the highest among all companies in the study,” the authors paint.

Three essays on dual-class stock structure

Dual-class stock structure is characterized by the separation of voting rights and cash flow rights. The departure from a common "one share-one vote" configuration creates ideal conditions for conflicts of interest and agency problems between controlling insiders (the holders of voting rights) and remaining shareholders. The owners of voting rights have the opportunity to extract private benefits and act in their personal interest; as a result, dual-class firms are often perceived to have low transparency and high information asymmetry. This dissertation investigates the quality of information and the information environment of firms with two classes of stock. The first essay examines the quality of information by studying accruals in dual-class firms in comparison to firms with only one class of stock. The results suggest that the quality of accruals is better in dual-class firms than in single-class firms. In addition, the difference in the quality of accruals between firms that abolish their dual-class share structure by unification and singe-class firms disappears in the post-unification period. The second essay investigates the earnings informativeness of dual-class firms by examining the explanatory power of earnings for returns. The results indicate that the earnings informativeness is lower for dual-class firms as compared to single-class firms. Earnings informativeness improves in firms that unify their shares. The third essay compares the level of information asymmetry between dual-class firms and single-class firms. It is documented that the information environment for dual-class firms is worse than for single-class firms. Also, the finding suggests that the difference in information environment between dual-class firms and single-class firms disappears after dual-class stock unification.

The survival and stock performance of emerging country firms in the United States

Many firms from emerging markets flocked to developed countries at high cost with hopes of acquiring strategic assets that are difficult to obtain in home countries. Adequate research has focused on the motivations and strategies of emerging country firms' (ECFs') internationalization, while limited studies have explored their survival in advanced economies years after their venturing abroad. Due to the imprinting effect of home country institutions that inhibit their development outside their home market, ECFs are inclined to hire executives with international background and affiliate to world-wide organizations for the purpose of linking up with the global market, embracing multiple perspectives for strategic decisions, and absorbing the knowledge of foreign markets. However, the effects of such orientation on survival are under limited exploration. Motivated by the discussion above, I explore ECFs' survival and stock performance in a developed country (U.S.). Applying population ecology, signaling theory and institutional theory, the dissertation investigates the characteristics of ECFs that survived in the developed country (U.S.), tests the impacts of global orientation on their survival, and examines how global-oriented activities (i.e. joining United Nations Global Compact) affect their stock performance. The dissertation is structured in the form of three empirical essays. The first essay explores and compares different characteristics of ECFs and developed country firms (DCFs) that managed to survive in the U.S. The second essay proposes the concept of global orientation, and tests its influences on ECFs' survival. Employing signaling theory and institutional theory, the third essay investigates stock market reactions to announcements of United Nation Global Compact (UNGC) participation. The dissertation serves to explore the survival of ECFs in the developed country (U.S.) by comparison with DCFs, enriching traditional theories by testing non-traditional arguments in the context of ECFs' foreign operation, and better informing practitioners operating ECFs about ways of surviving in developed countries and improving stockholders' confidence in their future growth.