A conditional asset-pricing model with the optimal orthogonal portfolio

This paper employs a conditional asset-pricing model based on the optimal orthogonal portfolio approach to construct a factor portfolio that embodies all the latent factors important for pricing a given set of test assets. The advantage of this portfolio to the anomaly related mimicking portfolios is its ability to separate out the components of average return that are not related to the return covariation. The performance of this portfolio is evaluated against several conventional factors, using both cross-sectional and time-series regression approaches, as well as the Hansen and Jagannathan (1997) distance measure. Its strong out-of-sample results indicate that our suggested methodology may have important applications in risk management, portfolio selection and performance evaluation.     

Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies?

We employ the optimal orthogonal portfolio approach to investigate if the size and book-to-market effects in US data are related to risk factors beside the market risk. This method enables us to estimate the upper limit of the risk premium, due to observed as well as all possible unobserved factors, which can be derived from a linear asset pricing model. As a corollary, it is possible to divide the observed average asset return into three parts: one explained by the market factor, one due to the unobserved factors, and finally the non-risk-based (NRB) component. Our empirical results confirm the existence of latent risk factors, which cannot be captured by the market index. In particular, the size effect is related to some other background risk factors than the market portfolio, but a large part of observed book-to-market effect has a NRB explanation.     

Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs

This study uses a set of return‐based factors to explore market (return and volatility) timing ability of commodity trading advisors (CTAs). Unlike previous research, we use return‐based factors that are related to the futures markets in which most CTAs trade. This leads to higher explanatory power for our multifactor model. Our approach allows us to test for the presence of market timing in multiple markets. Accordingly, we are able to identify the markets in which CTAs may have market timing ability. We find that systematic CTAs are generally more skilled at market timing than discretionary CTAs, with the latter having slightly better overall risk‐adjusted performance during our study period: January 1994 to December 2004. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1067–1099, 2009     

Shortages and economic policy

In this paper, we use an input-output framework to model an economy experiencing a shortage of a primary product or intermediate good. We show that when a shortage is combined with factor price rigidities, the reduction in consumption and employment will be larger than is necessary. In such cases, there is a need for government intervention, to manage the shortage and make the best of a bad situation. We show that the impact of a shortage can be ameliorated by changes in the composition of output, brought about by direct allocation of the scarce input or by differential sales taxes. The traditional instruments of monetary and fiscal policy are shown to be of little use in dealing with shortages.     

Applying knowledge management implementation model in Water Resources Management Company by the purpose of continuous improvement

This research seeks to explore the current knowledge management （KM） practice in the Water Recourses Management Company （WRMC） according to Jashpar＇s knowledge management cycle which comprises four loops, including knowledge creation, knowledge organization, knowledge sharing and knowledge leverage. This research used a qualitative method, and data were collected through questionnaires. The 92 respondents were the staff of office. The data were analyzed through SPSS software. The findings of this research reveal that, the knowledge creation and knowledge organization were in good level, but knowledge sharing condition was not suitable, therefore, it has negative effect on leveraging knowledge, hence we tried to demonstrate a knowledge management implementation model using the knowledge management concept and taking advantage from the concept of excellence model by the purpose of continuous improvement. This paper suggests proper knowledge management implementation （KMI） is a managerial approach that can turn an organization to an agile one. In order to verify and validate the performed research, the planned model has been accomplished in the Hydropower Plant Department, Water Recourses Management Company, positive and acceptable results were obtained and organizations total factor productivity increase was achieved which was appreciated by the organization.     

How Do US Economic Sanctions Affect EU's Trade with Target Countries?

We investigate the impact of US economic sanctions on EU's trade using a panel data approach expressed in a two‐level framework. Both multilateral and unilateral sanctions involving the US and the EU have a negative impact on EU trade (total, imports and exports). We argue that unilateral sanctions, if extensive in nature, would have a depressing impact on target countries’ trade, especially in the stage after sanctions have been imposed. Over time, both multilateral and unilateral sanctions lead to an increase in a target country's exports to the EU, lending support to the third‐country effect of sanctions.     

Cost efficiency and value driver analysis of insurers in an emerging economy

This study investigated cost inefficiencies and its relationship with value drivers of insurers in United Arab Emirates (UAE). The study revealed that there were 21–33% cost inefficiencies in these insurers under different model specifications of stochastic frontier and DEA; value drivers such as lower leverage risk, lower capital risk significantly improved cost efficiencies consistent with Basel II norms; ROE positively influenced cost efficiencies with further trade off between increased profit margin, decreased asset utilization and/or reduced equity multiplier by the insurer managements to achieve a target‐ROE; and the trend of cost efficiency was improving during 2000–2004. The study suggests that stock insurers could overcome their cost inefficiencies through adoption of efficient measures such as risk mapping of clients, risk prioritization besides ALM techniques. The study has direct implications for individual and institutional investors in making their portfolio investment decisions in insurance sector, policymakers, and regulators to closely monitor inefficient insurers consistent with Basel II norms. Copyright © 2008 John Wiley & Sons, Ltd.     

Access to Preferential Loans for Poverty Reduction and Rural Development: Evidence from Vietnam

Preferential loans play an important role in the process of reducing poverty in developing countries. Considering the data set from the 2010 Vietnam Household Living Standards Survey, we aim to examine the influential factors in probability of households getting access to preferential loans. Additionally, we analyze the determinants of household income in association with the loans by applying a quantile regression model. Our results show that ethnicity-related factors have the largest marginal effect on the access to preferential loans. The results from the quantile regression model demonstrate that the debt factor has a deeper impact on the borrowing group at the lower quantiles of household income.