Dynamic lot sizing problem with continuous-time Markovian production cost

This paper develops a polynomial algorithm for obtaining dynamic economic lot sizes in a single product multiperiod production system with the objective of minimizing total production and inventory costs over T periods. It is assumed that production costs are linear, inventory costs are concave, setup costs are zero and backlogging is not permitted in all periods. Moreover, the unit production cost is a stochastic variable, which is evolved according to a continuous-time Markov process over the planning horizon. The model is formulated as a stochastic dynamic programming (DP) optimization with the state variable being unit production cost. Then, it is solved using the backward dynamic programming approach. To justify the application of the proposed model, two practical cases are presented.     

The impact on stock prices of deferral and elimination of internal control audit requirement for small firms

This paper examines the cumulative market reaction to the events related to deferral of internal control audit requirement under the Sarbanes-Oxley Act of 2002 and its elimination under the Dodd-Frank Act of 2010 for nonaccelerated filers (small firms). We document that small firms experienced negative cumulative abnormal returns around these events; and the differences between the cumulative abnormal returns for small firms and the two control groups (accelerated and large accelerated filers) were negative and significant at the 1% level. These results support the notion that market participants value the reliability of financial information irrespective of the firm size. Within the small firms, we find no firm characteristic significantly explains the market reaction to the events considered. That is, all small firms lost market value in reaction to the events that delayed and eliminated their internal control audit requirement.     

Oil booms and inequality in Iran

We study the response of income inequality to positive per capita oil and gas revenue shocks in Iran. Using historical data from 1973 to 2016 and vector autoregression (VAR) as well as vector error correction (VECM) model‐based impulse‐response functions, we find a positive and statistically significant response of income inequality to oil booms. We also explore possible channels through which oil booms may increase inequality, including private sector credit growth, construction investment, international trade (imports) and real economic output. We find that following an oil boom, higher imports, private sector credit growth, and real economic output can explain the increased income gap to a certain degree in Iran's oil‐based economy. Our analysis can help policymakers evaluate and accommodate the possible positive or negative effects of inequality in Iran resulting from the 2016 lifting of the embargo against the country.     

Foreign direct investment and civil violence in Sub-Saharan Africa

Despite the steady growth in foreign direct investment (FDI) flow into Sub-Saharan Africa (SSA), which is facilitated by the United Nations "2030 Agenda for Sustainable Development", economic development in SSA countries remains relatively weak, due in part to frequent incidents of civil violence. The critics of FDI inflow into SSA posit that the cross-border capital flow fuels civil conflict and unrest, whilst the proponents maintain that FDI inflow helps developing countries raise their economies. To reconcile these two views, this paper considers the impact of FDI on civil violence in SSA by distinguishing recipient industries of FDI. The results from a new general equilibrium theory suggest that an increase in resource-directed FDI inflow to countries where the resource sector is skilled labour (unskilled labour) intensive reduces (increases, respectively) the risk of violence. Using a panel data consisting of 34 SSA countries for 1972–2013, the dynamic panel estimates provide support for our theoretical findings. In particular, an increase in FDI inflow reduces the risk of civil violence for skilled labour intensive fuel-resource-rich SSA countries. However, the likelihood of violence can increase in FDI inflow for countries that are rich in unskilled labour intensive non-fuel, ore and other mineral resources.     

Estimation of Suspended Sediment Concentration by M5 Model Tree Based on Hydrological and Moderate Resolution Imaging Spectroradiometer (MODIS) Data

The Estimation of suspended sediment concentration (SSC) is an important factor in river engineering, which is used as an indicator of land-use change, water quality studies, and all projects related to constructions in rivers. In this research, the M5 model tree and the Moderate Resolution Imaging Spectroradiometer (MODIS) data were utilized to estimate the SSC at Ahvaz station on the Karun River. In this study, 135 cloud-free images of the MODIS sensor on the Terra satellite were taken for days corresponding to field SSC data, during the years 2000 to 2015. Input parameters of the model tree in this study were flow discharge, derived from hydrological data, and red (R), near-infrared (NIR) bands, and NIR/R ratio extracted from MODIS imagery. The results of statistical analysis illustrate that the M5 model outperforms the sediment rating curve (SRC) method, which is the most common method of estimating suspended sediment load. The Nash-Sutcliffe efficiency index for the M5 model tree of 0.58 was achieved, which was much better than that of the SRC method (0.26). At high fluxes, the efficiency of the SRC method significantly reduced, while the model tree provides acceptable results. The global sensitivity analysis on the M5 model pointed out that 93% of output variance was established by the main effects of input parameters, and less than 7% belong to the interaction effects. 73% and 12% of output variance specified by the main effects of flow discharge and NIR/R ratio, respectively.

     

Occurrence and distribution of leachate in a solid waste landfill: A field‐scale study

A field‐scale analysis for leachate flow was done for Sections 1/9 and 6/7 of the Fresh Kills landfill at Staten Island, New York. The leachate monitoring programme included field data collection of the leachate mound level for a six‐month period. The monitoring points consisted of discretely screened piezometers and wells set at various depths down to the bottom of the landfill. The position of the iso‐leachate mound head lines, derived from the field data, represented and delineated the shape of the leachate mound inside the landfill. The field data of the leachate mound head were used in the analysis of the hydraulic properties of the refuse and leachate flow rates through Sections 1/9 and 6/7 of the landfill. Piezometers and wells installed near the existing leachate collection line in Section 1/9 helped establish the gradients from which a refined estimate of the hydraulic conductivity was made. From the leachate mound head contours and flow gradients, contributions of flow from different sections of the mound were identified. Finally, the leachate flow rates were computed using Darcy's law.     

Returns to schooling in Kazakhstan

This paper examines rates of return to schooling in Kazakhstan using OLS (Ordinary Least Squares) and instrumental variable (IV) methodologies. We use spouse's education and smoking as instruments. We find that spouse's education is a valid instrument and that conventional OLS estimates that assume the exogenous nature of schooling, and hence do not control for endogeneity bias, may underestimate the true rates of return. The results indicate that the returns to schooling in Kazakhstan have increased with transition. This may reflect the relative scarcities of highly educated people in Kazakhstan with human capital that employers require and, following the market reforms, reward accordingly.     

Multi-criteria Decision Making for Integrated Urban Water Management

The city of Zahedan, in South-eastern Iran, has high population growth, limited local freshwater resources and inadequate water distribution system resulting in water supply failures in recent years. This paper will investigate integration of several demand management measures such as leakage detection on water distribution network, water metering and low volume water fixtures as well as the conjunctive use of surface and groundwater resources of this city. For integration of water management criteria, compromise programming will be used as a multi-objective decision making method. The criteria include minimizing the cost, maximizing water supply and minimizing the social hazards due to the water supply operations. This model will derive optimum long-term plans for implementation of water resources. The results will show that demand management can delay a water transfer project for Zahedan city up to 10 years. Compromise programming is as an efficient tool for integrated water resources management in urban areas and the method is capable to being used by decision-makers in other cases.     

A Fuzzy Variable Least Core Game for Inter-basin Water Resources Allocation Under Uncertainty

In this paper, a new solution concept, called Fuzzy Variable Least Core (FVLC), is developed for fuzzy cooperative games. The FVLC is able to incorporate fuzzy input variables and result in fuzzy benefit shares of players participating in a coalition. This solution concept is used for water and benefit allocation to water users in inter-basin water transfer systems considering the uncertainties associated with their benefit coefficients. In the proposed water allocation methodology, an Integrated Stochastic Dynamic Programming (ISDP) model is developed to obtain the water rights of players and economic water allocation policies. In the next step, the total net fuzzy benefit of the system is reallocated to water users in an equitable and rational way using a FVLC-based model. In this model, a new algorithm is proposed for converting a multilateral cooperative game with fuzzy variables to some fuzzy bilateral cooperative games, which are solved using the FLVC solution concept. The applicability and efficiency of the proposed methodology is examined by applying it to a large scale inter-basin water transfer project in Iran.     

Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market

This paper examines investors' option activity on value and growth stocks before earnings announcements. The main finding is that unsophisticated investors enter option positions that load up on growth stocks relative to value stocks in the days leading up to earnings announcements. This occurs despite the fact that at earnings announcements value stocks outperform growth stocks by a wide margin. The paper's results provide evidence that unsophisticated option market investors (1) overreact to past news on underlying stocks and (2) mistakenly believe that mispriced stocks will move even further away from fundamentals at impending scheduled news releases.