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J  .  A  . M  . I

Journal of Applied Management and Investments

 RUS    UKR

 

ISSN 2225-3467

 

 

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Current Issues & Archive

 Volume 6 Issue 3 2017                                  Abstracts

 

 

 

 

 

 

  “Reverse-Engineering” the Market Portfolio     

M. Dash        

The market portfolio plays a pivotal role in asset pricing. W. Sharpe proposed a model for the market portfolio based on optimizing the excess expected returns to total risk. Unfortunately, empirical studies using Sharpe's model in the CAPM explain asset expected returns only to a moderate extent. The present study proposes a model for the market portfolio which maximally explains expected returns of assets, under a given asset pricing model. This model is compared with five other constructions, viz. the equally-weighted portfolio, the value-weighted portfolio, the maximum returns portfolio, the minimum risk portfolio, and the Sharpe portfolio, in terms of their risk-return properties, the statistical properties of their implied SMLs, and their efficiency.

Keywords: market portfolio, Sharpe’s optimization model, coefficient of determination

  

 Analysis of the General Lighting Market        

M. Hint

The industrial products market has proved to be a very complex field in which the changes follow quickly, following the rapid pace of technology, modelling and adapting to the requirements of the moment. In such conditions, the success of the economic activity of an entity in the electrical lighting equipment market is conditional on the quality and diversity of the obtained products. The originality of the article is determined by the identification of efficient technologies in the general lighting market. Practically, analyses show that environmental protection actions are increasing and the trends are set to reduce the currently used technologies in the field of general lighting and introduce efficient LED lighting fixtures.

Keywords: managerial accounting, economy, lighting market, prices, industry, business opportunities, technologies 

 

  Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea     

Y. Hong,  J.-C. Lee, G. Ding

As other developed economies over the world, the stock market plays a crucial role in facilitating the economic growth. In this paper, we compare two different types of heavy-tailed distribution, the Student’s t distribution and the normal reciprocal inverse Gaussian distribution, within the generalized autoregressive conditional heteroskedasticity (GARCH) framework for the daily stock market returns of South Korea (KOSPI). Our results show two important findings: i) the daily KOSPI returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG distribution has a better in-sample performance than the Student’s t distribution. 

Keywords: stock market, GARCH model, heavy-tailed distribution, KOSPI

 

  Performance Measurement of Healthcare Systems in Europe  

C. Lo Storto, A. G. Goncharuk

This paper implements Data Envelopment Analysis (DEA) to calculate an index to measure efficiency of healthcare systems, and combine together a number of health quality indices to develop an effectiveness index. These performance measurements are used to conduct a benchmarking study relative to 32 European countries in 2011 and 2014. The study showed that comparing efficiency and effectiveness (quality) of healthcare helps to identify the real leaders, but most importantly it enables to find the most problematic countries that need reform of healthcare sector.

Keywords: healthcare, performance measurement, efficiency, effectiveness, Europe

 

 Morality of Debt Repayment in the Light of Current Research          

P. Masiukiewicz

Level of morality of debt repayment is diverse across different member states of the European Union. The level of debt repayment in Polish enterprises has become a burning problem. Therefore both economic and moral aspects have been analyzed in this paper. Polish economy is characterized by high results in the indexes of late debt repayments in enterprises and households. Simultaneously, studies of attitudes (intentions) to timely debt repayment show a quite high level of ethics of Polish entrepreneurs. As a result, discrepancy between both phenomena is observable. Not repaying one’s debt is highly reprehensible as regards ethics. Considerable economic and social costs are consequences of a low level of payments morality. Creating national coalitions for reliability in business is advisable.

Keywords: payments morality, repayment deadline, tax arrears, debt management

 

 

 Competitive Forces on the Ukrainian Pharmaceutical Market: Evaluation Aspects

H. Olasiuk

Nowadays strong market position of a company is not only about figures of revenue and profit, but also the ability to build sustainable relationships with consumers, suppliers and competitors. From this standpoint, there has been developed a model for evaluating companies’ position in competitive environment. Grounding on postulates of M. Porter’s model of competitive forces, we suggested the model that encounters quantitative and qualitative parameters. Financial implications of skillful operational management bring about proper balance between amounts of receivables and payables that jointly give certain bargaining power on the market. Developed model showed three behavioral patterns toward riskiness of managerial decisions, namely high-risky, medium and low-risky competitive strategies. Level of risk depends on the ability to make challenging decisions regarding sales, purchasing and financial issues. On a highly competitive market, companies retain market share by sacrificing financial indicators of receivables, payables, returns on equity and assets.

Keywords: bargaining power, benchmarking analysis, competitive environment, competitive forces, pharmaceutical companies

 

 

 “Innovation Prism” – Measuring Two Intellectual Poles of Performance: Which Contribute Matters?

D. Ramadevi, D. Sangeetha

This study attempts to shed light on the intellectual capital assets of creativity and innovation in result to the performance management. In analyzing the relevant literature on performance measurement of Intellectual Capital (IC) – creativity and innovation, it emerges that the benefits of measuring and reporting has been linked to value creation. In order to provide a deeper understanding of the character and role of IC and adequate IC indicators, the main aim of this study is to propose a strategic model “Innovation Prism” for measuring Intellectual Capital. The study also investigates the employee intrinsic inspiration as a mediator between contextual factors and employee creativity. Data were collected through convenient sampling from employees working in service firms in India. Based on the findings, employee creativity has shown a significant positive relation with organization innovation capability of Indian Service firms. The outcome of the study also provides the important implications to the researchers, policy and decision makers.

Keywords: intellectual capital, creativity, innovation, performance management, frontline employees

 

 

 Application Of Altman Z Score on BSE-Greenex Companies

M. M. Swalih, M. S. Vinod

Altman Z is a tool that has been used widely to assist managements in predicting corporate financial problems. It also helps various stakeholders to take effective preventive measures. The present study has assessed the Altman Z Score of BSE-Greenex companies for four years. The results present some interesting facts about the Greenex companies. It was found that 12 out of the 25 companies belong to the distress zone. Only three companies belonged to the safe zone. The results of the present study can be used as a ready reference to assess the utility of investing in Greenex companies.

Keywords: Altman Z score, BSE Greenex, carbon performance, eco-friendly companies

 

 

 

 

 

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(c) 2011-2017 Journal of Applied Management and Investments