Decision-Making in Economics eJournal最新文献

{"title":"Relationship Between Threshold Level of Inflation and Economic Growth in Bangladesh: A Multivariate Quadratic Regression Analysis","authors":"M. Asaduzzaman","doi":"10.2139/ssrn.3777880","DOIUrl":"https://doi.org/10.2139/ssrn.3777880","url":null,"abstract":"The main objective of this study is to empirically examine the relationship between inflation and economic growth in Bangladesh and to investigate the ongoing possible threshold effect. This study draws on diverse tables and charts, correlation matrices, pair-wise Granger Causality tests, ADRL (General to Specific Approach) test, and a quadratic regression equation estimated by OLS using time series annual data covering the sample period from 1980 to 2017. The results demonstrate that the relationship between inflation and GDP growth is non-linear with a subsistence of a breakpoint, which means the inverted U-shape curve. Moreover, the Granger Causality shows that economic growth does granger cause inflation. The empirical result indicates that when the inflation level reaches the threshold level at 7.84 percent then the economic growth is in peak position. This study proposed that the Bangladesh Bank should maintain the precautious and growth-friendly monetary policy structure by keeping inflation targeting below 7.84 percent, or else the growth might be held back.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127739405","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Advanced Course in Asset Management (Presentation Slides)","authors":"T. Roncalli","doi":"10.2139/ssrn.3773484","DOIUrl":"https://doi.org/10.2139/ssrn.3773484","url":null,"abstract":"These presentation slides have been written for the Advanced Course in Asset Management (theory and applications) given at the University of Paris-Saclay. They contain 5 lectures (Part 1. Portfolio Optimization Part 2. Risk Budgeting Part 3. Smart Beta, Factor Investing and Alternative Risk Premia Part 4. Green and Sustainable Finance, ESG Investing and Climate Risk Part 5. Machine Learning in Asset Management) and 15 tutorial exercises. \u0000 \u0000The Table of contents is the following: \u0000 \u0000Part 1. Portfolio Optimization \u00001. Theory of portfolio optimization \u00001.a. The Markowitz framework \u00001.b. Capital asset pricing model (CAPM) \u00001.c. Portfolio optimization in the presence of a benchmark \u00001.d. Black-Litterman model \u00002. Practice of portfolio optimization \u00002.a. Covariance matrix \u00002.b. Expected returns \u00002.c. Regularization of optimized portfolios \u00002.d. Adding constraints \u00003. Tutorial exercises \u00003.a. Variations on the efficient frontier \u00003.b. Beta coefficient \u00003.c. Black-Litterman model \u0000 \u0000Part 2. Risk Budgeting \u00001. The ERC portfolio \u00001.a. Definition \u00001.b. Special cases \u00001.c. Properties \u00001.d. Numerical solution \u00002. Extensions to risk budgeting portfolios \u00002.a. Definition of RB portfolios \u00002.b. Properties of RB portfolios \u00002.c. Diversification measures \u00002.d. Using risk factors instead of assets \u00003. Risk budgeting, risk premia and the risk parity strategy \u00003.a. Diversified funds \u00003.b. Risk premium \u00003.c. Risk parity strategies \u00003.d. Performance budgeting portfolios \u00004. Tutorial exercises \u00004.a. Variation on the ERC portfolio \u00004.b. Weight concentration of a portfolio \u00004.c. The optimization problem of the ERC portfolio \u00004.d. Risk parity funds \u0000 \u0000Part 3. Smart Beta, Factor Investing and Alternative Risk Premia \u00001. Risk-based indexation \u00001.a. Capitalization-weighted indexation \u00001.b. Risk-based portfolios \u00001.c. Comparison of the four risk-based portfolios \u00001.d. The case of bonds \u00002. Factor investing \u00002.a. Factor investing in equities \u00002.b. How many risk factors? \u00002.c. Construction of risk factors \u00002.d. Risk factors in other asset classes \u00003. Alternative risk premia \u00003.a. Definition \u00003.b. Carry, value, momentum and liquidity \u00003.c. Portfolio allocation with ARP \u00004. Tutorial exercises \u00004.a. Equally-weighted portfolio \u00004.b. Most diversified portfolio \u00004.c. Computation of risk-based portfolios \u00004.d. Building a carry trade exposure \u0000 \u0000Part 4. Green and Sustainable Finance, ESG Investing and Climate Risk \u00001. ESG investing \u00001.a. Introduction to sustainable finance \u00001.b. ESG scoring \u00001.c. Performance in the stock market \u00001.d. Performance in the corporate bond market \u00002. Climate risk \u00002.a. Introduction to climate risk \u00002.b. Climate risk modeling \u00002.c. Regulation of climate risk \u00002.d. Portfolio management with climate risk \u00003. Sustainable financing products \u00003.a. SRI Investment funds \u00003.b. Green bonds \u00003.c. Social bonds \u00003.d. Other sustainability-linked strategies \u00004. Impact investing \u00004.a. Definition \u00004.b. Sustainable development goals (SDG) \u00004.c. Voting policy, shareholder acti","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128053665","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stochastic Dominance Without Tears","authors":"H. Vinod","doi":"10.2139/ssrn.3773309","DOIUrl":"https://doi.org/10.2139/ssrn.3773309","url":null,"abstract":"When does an entire income distribution f(x2) dominate f(x1)? When can we comprehensively say that f(x2) is ``richer'' than f(x1)? Anderson (1996) proposed a nonparametric quantification for pair-wise welfare-ordering of two countries by their entire income distributions. His algorithm readily computes index values for stochastic dominance of orders 1 to 4, denoted as SD1 to SD4. This paper fills a gap in the literature by providing a simple ranking of n densities by suggesting two new SD-type algorithms, both avoiding pair-wise comparisons. The first new algorithm is exact because it replaces Anderson's trapezoidal approximations subject to truncation errors by exact areas under step-functions defined by empirical cumulative distribution functions, ECDF(xj). Our second new SD-type algorithm uses four orders of differencing of time series data. We use monthly return data on Apple, Microsoft, and Google stocks over the latest 14 years to illustrate. We provide intuitive derivations and include 95% bootstrap confidence intervals for inference on estimated SD-type indexes","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124087565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effect of Online Customer Review, Influencer Marketing, Quality Website on Purchase Decisions Online on Online Marketplace Shopee","authors":"Nurullita Tri Handayani, Osly Usman","doi":"10.2139/ssrn.3768800","DOIUrl":"https://doi.org/10.2139/ssrn.3768800","url":null,"abstract":"This research was conducted to analyze and know the influence of Online Customer Reviews, Influencer Marketing, Website Quality, on Online Purchasing Decisions at Shopee's Online Marketplace. The analytical method used in this research is descriptive analysis and multiple linear regression analysis. This type of research is associative research and the data used are primary data obtained with a list of questions whose measurements use an interval scale. Hypothesis testing is done using SPSS. The results of the research conducted indicate that simultaneously the variables Online Customer Review, Influencer Marketing, Quality Website have a significant effect on Purchasing Decisions Online on the Online Marketplace Shopee. However, partially it is known that in the results of the above research it is known that the coefficient value of the Online Customer Review variable 0.196 is negative with T count (1.742)","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116443419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Influence of Prices, Product Reviews, and Security on Purchase Decisions at the Marketplace Shopee","authors":"Natasya Dilla, Osly Usman","doi":"10.2139/ssrn.3768491","DOIUrl":"https://doi.org/10.2139/ssrn.3768491","url":null,"abstract":"This research uses qualitative research methods that test several theories that have been carried out by previous researchers. The purpose of this study was to determine whether there is an influence between price, product reviews, and security on purchasing decisions. The number of samples conducted in this study was 100 student respondents at the State University of Jakarta. The data collection technique was done using a Likert scale questionnaire with 5 scores. Researchers tested several tests using SPSS 23, namely the Test Requirements Test, Classical Assumption Test, and Hypothesis Test. From these calculations, it is obtained Multiple Regression Analysis Ŷ = 3.876 + 0.591X1 + 0.208 X2 + 0.041 X3 then obtained Fcount > Ftable, namely 20.471> 2.70. Price Variables (X1) and Product Reviews (X2) have a value greater than 1.66 which can be said that the Price Variables and Product Reviews have a partial effect on Purchasing Decisions. While Security has a value lower or less than 1.66 which can be said that the Security Variable does not partially affect the Purchase Decision.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133363340","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Expectations and the Option Implied-Variance","authors":"Gaurav Mehta","doi":"10.2139/ssrn.3763497","DOIUrl":"https://doi.org/10.2139/ssrn.3763497","url":null,"abstract":"I show that a simple asset pricing equilibrium model can explain many salient features of index option prices if one allows for small deviations from rational expectations. A representative investor holds subjective beliefs about the underlying asset returns, which he optimally learns from past returns. I derive a closed form option price formula for a European call option in this set up. I show that given this belief structure, investor's subjective expectations about next period price growth are priced in an option, creating a wedge between option implied-variance and realized variance. Time variation in the agent's subjective expectations link this wedge to realized stock returns, helping explain its power to predict stock returns. Further, these subjective expectations also help generate different shapes of option implied-volatility curve. The model can quantitatively replicate key features of index returns and index options with very reasonable parameter values. The findings in this paper suggest that measures of option-implied variance such as VIX are not capturing the true uncertainty expected by agents but are biased in the direction of the investors expectations of future capital gains on the underlying asset.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125966769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Finanzas Corporativas y Decisiones de Inversión (Corporate Finance and Investment Decisions)","authors":"Ignacio Vélez-Pareja, Joseph Tham, Pedro Fabián Castilla Ávila","doi":"10.2139/SSRN.3758521","DOIUrl":"https://doi.org/10.2139/SSRN.3758521","url":null,"abstract":"Spanish Abstract: Esta es una version no publicada del libro Finanzas Corporativas y Decisiones de Inversion. \u0000Se estudian las razones financieras basicas y su uso como generador de informacion para el tratamiento detallado de como hacer proyecciones de los estados financieros y llegar a construir los flujos de caja necesarios para evaluar un proyecto o valorar una firma (que operacionalmente son lo mismo). \u0000Se estudian tambien las decisiones de inversion en la firma, el valor del dinero en el tiempo, bonos y acciones y analisis financiero como herramientas que facilitan el ejercicio de la proyeccion de los estados financieros. \u0000Construimos el Flujo de Tesoreria (FT) para reflejar las entradas y salidas de efectivo y como una forma de enlazar los tres estados financieros que debemos proyectar: el Flujo de Tesoreria, el Estado de Resultados y el Balance General. Incluyendolos y relacionandolos, podemos garantizar que se cumpla la relacion basica de la Contabilidad: la partida doble. Tambien se ilustra la forma tradicional (indirecta) de estimar los flujos de caja. Con base en el FT se estiman los flujos de caja de la firma necesarios para su valoracion. \u0000Se estudia como determinar las tasas de descuento para la valoracion de flujos y se presenta un capitulo sobre la determinacion de la estructura optima de capital. \u0000Para completar la construccion de los flujos de caja, se estudia el calculo del Valor Terminal. \u0000Con los flujos de caja estimados, el valor terminal y la tasa de descuento podemos valorar la firma. Sin embargo, es muy importante reconocer la variabilidad de los insumos o datos de entrada. Esto nos lleva a varios capitulos que incluyen analisis de sensibilidad, riesgo, simulacion y opciones reales. \u0000Se incluyen los temas de analisis de sensibilidad, simulacion y en forma muy introductoria, opciones reales. \u0000Finalmente se plantean sugerencias para proyectar una empresa en marcha y aspectos practicos de la valoracion de empresas. \u0000Este libro contiene ademas reflexiones sobre los aspectos practicos de la valoracion. \u0000 \u0000English Abstract: This is an unpublished version of the book Corporate Finance and Investment Decisions. The text studies the basic financial ratios and their use as an information generator for the detailed treatment of how to construct forecasted financial statements to build the cash flows necessary to evaluate a project or value a firm (which operationally is the same). This book studies investment decisions in the firm, the time value of money, bonds and stocks, financial analysis as tools that facilitates the exercise of the projection of financial statements. We build the Cash Budget (CB) that shows cash in and out and is a way to link the three financial statements we need to forecast: the Cash Budget (CB), the Income Statement (IS) and the Balance Sheet (BS). By including and linking them, we can ensure that the accounting basic relationships, the double entry system, are fulfilled. The book also illustrates the tra","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126725159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Econometric Analysis of Demand for Petrol in India, 1966-2019","authors":"Charles Shaw","doi":"10.2139/ssrn.3750838","DOIUrl":"https://doi.org/10.2139/ssrn.3750838","url":null,"abstract":"This study uses single-equation dynamic models to estimate petrol demand in India. Estimated long-run elasticities are higher than their short-run counterparts, which is in line with expectations based on the existing literature. We find price elasticities of -0.418 (long-run) and -0.189 (short run), which indicates that when price increases by 10%, demand tends to reduce by approximately 4% as consumers adjust their consumption behaviour. Prices appear to be more elastic in India rather than USA where studies estimate petrol elasticities to be in the range of -0.02 to -0.04 in the short term. We further find evidence that long-run elasticities are not as high as estimated elsewhere. We address issues around modelling of habit formation, habit persistence, and unobserved heterogeneity. Results are essential for transportation policymaking, especially in the context of taxation, understanding price stability, estimating the effects of duty increases on demand, and the potential implications for carbon taxes. The results are also important for wider policy considerations such as climate protections goals, reducing local emissions, dependency on fossil fuels, and strategic energy security.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116737349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Can Educational Interventions Reduce Susceptibility to Financial Fraud?","authors":"Jeremy Burke, Christine N. Kieffer, Gary Mottola, F. Perez-Arce","doi":"10.2139/ssrn.3747165","DOIUrl":"https://doi.org/10.2139/ssrn.3747165","url":null,"abstract":"Financial fraud is pervasive and can be devastating for its victims. While numerous campaigns designed to warn and educate consumers about financial fraud exist, there is very little evidence on whether these initiatives are effective at reducing susceptibility to scams. We conduct a randomized experiment among a representative sample of U.S. adults and find that short, online educational interventions can meaningfully reduce fraud susceptibility, and that effects persist for at least three months following a reminder. Investigating mechanisms, we find no evidence that the educational intervention reduced willingness to invest generally, but rather increased knowledge which participants were able to selectively apply. We find that beneficial effects are concentrated among individuals who are more likely to invest, particularly the financially sophisticated. Our results indicate that brief financial education interventions can meaningfully reduce susceptibility to financial fraud.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133668669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Eliminating Supportive Crowds Reduces Referee Bias","authors":"J. Reade, Dominik Schreyer, Carl Singleton","doi":"10.2139/ssrn.3743972","DOIUrl":"https://doi.org/10.2139/ssrn.3743972","url":null,"abstract":"We use a series of historical natural experiments in association football (soccer) to test whether social pressure affected behaviour and outcomes. We observe how the normal advantage for the home team of playing in their own stadium was eroded behind closed doors, with no supporters. After designing a three-step sample selection and regression strategy, to get as close as possible to a causal interpretation, the standout effect of an empty stadium was that referees cautioned visiting players significantly less often, by over a third of a yellow card per match or once for every twenty-two fouls. Closed doors matches were different because referees favoured the home team less in their decision making. These results add to the literature describing how home advantage in sports decreased during the Covid-19 pandemic, though many other factors changed at that time besides the emptying stadiums.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129380119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}