Investment strategies in the long run with proportional transaction costs and a HARA utility function

We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to a utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in the case of logarithmic utility.     

Automated trading with boosting and expert weighting

We propose a multi-stock automated trading system that relies on a layered structure consisting of a machine learning algorithm, an online learning utility, and a risk management overlay. Alternating decision tree (ADT), which is implemented with Logitboost, was chosen as the underlying algorithm. One of the strengths of our approach is that the algorithm is able to select the best combination of rules derived from well-known technical analysis indicators and is also able to select the best parameters of the technical indicators. Additionally, the online learning layer combines the output of several ADTs and suggests a short or long position. Finally, the risk management layer can validate the trading signal when it exceeds a specified non-zero threshold and limit the application of our trading strategy when it is not profitable. We test the expert weighting algorithm with data of 100 randomly selected companies of the S&P 500 index during the period 2003–2005. We find that this algorithm generates abnormal returns during the test period. Our experiments show that the boosting approach is able to improve the predictive capacity when indicators are combined and aggregated as a single predictor. Even more, the combination of indicators of different stocks demonstrated to be adequate in order to reduce the use of computational resources, and still maintain an adequate predictive capacity.     

Implementing IFRS: A Case Study of the Czech Republic

This empirical paper presents a study of the implementation process for International Financial Reporting Standards (IFRS) in one of the accession countries, the Czech Republic. Based upon a review of the legislation, institutional framework and context, and drawing upon recent interviews with Czech companies required to prepare IFRS accounts, auditors and institutional players in the Czech Republic, the paper highlights some of the key issues that are arising with the move to the implementation of IFRS reporting for listed group companies and other enterprises in the Czech Republic.

The paper considers the issues that arise when implementing new accounting regulations, some of which are not new and have been well covered in the literature, but others of which are particular to the implementation of IFRS reporting. The method of implementation, the scope of IFRS, particular issues with local accounting practice and IFRS, the issue of enforcement of compliance with IFRS and its relationship with audit, the link between IFRS reporting and taxation and the provision of education and training are all considered. There is also a review of the state of preparedness of local group listed entities with respect to the implementation of IFRS reporting.

There are many potentially rich areas for accounting research where the work could also inform the practice of IFRS accounting. The paper provides a contribution by highlighting how one country has moved to implement the requirement for group listed enterprises to prepare IFRS accounts and the issues that then arise for legislators, preparers and users.     

Solving the Winner Determination Problem in a Divisible-Object Auction

In an auction of a divisible object, bidders' demand functions are often assumed to be nonincreasing, meaning that bidders are willing to pay less or the same price for every additional unit. Under this assumption, the optimal allocation that maximizes the auctioneer's revenue can be found using a greedy-based procedure. This article argues that situations may arise where a bidder may need to express her preferences through a nondecreasing demand function; when such a bidder is present in the auction, the greedy-based procedure does not guarantee the optimal allocation. Thus, this article proposes a mixed integer program that finds the optimal allocation in a divisible-object auction at which bidders submit their bids as arbitrary stepwise demand functions. The practical aspect of the mathematical program is presented by means of a simple yet illustrative example in a treasury bond auction setting. The results of the auctioneer's revenue are reported as a function of the number of bidders with nonincreasing and nondecreasing demand functions.     

Collective bargaining and regional wage differences in Spain: an empirical analysis

This article analyses the importance of labour market institutions and, in particular, collective wage bargaining in shaping regional wage differences in the Spanish labour market. Using microdata from the Spanish Structure of Earnings Survey, our results reveal that there are significant inter-regional wage differences for similarly skilled workers. These differences are present throughout the whole wage structure and can be explained by both competitive and non-competitive factors, such as insufficient competition in product markets. In this context, industry-level collective bargaining plays a major role in accounting for regional wage differences, a role that in the Spanish case is enhanced due to its unusual regional dimension.     

Economic fluctuations in Central and Eastern Europe: the facts

This article provides a detailed empirical analysis of quarterly frequency dynamics in macroeconomic aggregates in 12 countries of Central and Eastern Europe (CEE). It shows that business fluctuations in CEE countries are, in general, more pronounced than in developed ones, and are of similar size as in other emerging market economies. Private consumption is particularly volatile. Relative to major developed economies government spending is dominantly procyclical, and net exports are strongly countercyclical. The most frequent country outliers are the high inflation countries of Bulgaria, Romania and Russia, especially in labour market, price and exchange rate variables. Excluding these countries from the sample makes many of the observed patterns in cyclical dynamics more homogenous, and broadly similar to ones established in developed economies.     

Convergence crisis: economic crisis and convergence in the European Union

The success of the integration process of the new EU Member States is reflected by the convergence performance. Sustainable convergence assumes that potential growth rates of the less developed countries continuously exceed the dynamics of the potential output of the developed countries. However, the financial and economic crisis of 2008 has resulted in a fundamentally new situation as regards these issues. This paper considers real convergence, catch-up processes and in terms of these the main economic growth trends. The study focuses mainly on the potential growth trends. The recession has, however, affected the individual countries to different degrees. The study classified the Member States into four groups based on the initial circumstances and the vulnerability originating from them; these are ‘Developed’ countries and ‘Convergence’ countries, three groups of the latter are ‘Mediterranean’ countries, ‘Catch-up’ countries and ‘Vulnerable’ countries. Potential growth and the contribution of the individual growth factors might follow significantly different paths in these country groups. The convergence countries might face especially great challenges. Potential growth rate of the ‘Convergence’ countries—according to simulations—is expected to recover less in the mid-term, than that of the ‘Developed’ countries, i.e. convergence slows down, it might come to a halt or even divergence might occur in certain countries. It might result in a ‘Convergence Crisis’ particularly in certain ‘Mediterranean’ and ‘Vulnerable’ new Member States. Also, longer term simulations indicate that the European convergence processes might slow down and stop in certain countries. These trends may have significant effects on economic policies facilitating potential growth. We apply extensive quantitative analysis, production function and growth accounting approaches in the study.     

Deprivation and Subjective Well‐Being: Evidence from Panel Data

This paper uses data from the 2000–08 waves of the German Socio‐Economic Panel dataset (SOEP) to assess the impact of deprivation in various life domains upon individual well‐being. Unobserved heterogeneity is controlled for by means of a random effects model extended to include a Mundlak term and explicit controls for the respondents' personality traits. The paper shows that people care about social comparison information in a number of domains, not just income. Using an equivalent income approach, the estimates suggest that a one standard deviation deterioration of the individual position in the income distribution is as important as a 33.5 percent decrease in own income. This monetary equivalent amounts to an income variation of between 25 and 43 percent when it comes to other deprivation domains, including durables, accommodation, health, and social relations. These results recommend that in the fight against deprivation more emphasis should be directed to these non‐monetary relevant dimensions.