Research articles for the 2021-03-31

A Comparative Study on Portfolio Evaluation Measures with Respect to Equity Growth Mutual Funds
Marisetty, Nagendra
Risk and return go together. For a higher return, one has to take a higher risk. Risk cannot be avoided but definitely can be minimized through diversification. Mutual funds do risk diversification by investing in various companies. But still, they have to face risk when the markets are highly volatile. Investor’s perception towards risk and return is continuously changing. To diversify the risk, the investors choose the best fund to get more return. Investors use various evaluation measures like Sharpe, Treynor, and Jensen measures, for selecting the best fund to minimize the risk and maximize the return. Is all evaluation measure giving the same proposal to the investor? To know this, Research is focusing the Comparative study on various portfolio evaluation measures with respect to equity growth mutual funds.

A price on warming with a supply chain directed market
John F. Raffensperger

Existing emissions trading system (ETS) designs inhibit emissions but do not constrain warming to any fxed level, preventing certainty of the global path of warming. Instead, they have the indirect objective of reducing emissions. They provide poor future price information. And they have high transaction costs for implementation, requiring treaties and laws. To address these shortcomings, this paper proposes a novel double-sided auction mechanism of emissions permits and sequestration contracts tied to temperature. This mechanism constrains warming for many (e.g., 150) years into the future and every auction would provide price information for this time range. In addition, this paper proposes a set of market rules and a bottom-up implementation path. A coalition of businesses begin implementation with jurisdictions joining as they are ready. The combination of the selected market rules and the proposed implementation path appear to incentivize participation. This design appears to be closer to "first best" with a lower cost of mitigation than any in the literature, while increasing the certainty of avoiding catastrophic warming. This design should also have a faster pathway to implementation. A numerical simulation shows surprising results, e.g., that static prices are wrong, prices should evolve over time in a way that contradicts other recent proposals, and "global warming potential" as used in existing ETSs are generally erroneous.

A survey of electricity spot and futures price models for risk management applications
Thomas Deschatre,Olivier Féron,Pierre Gruet

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.

An Analysis of Growth and Size Relationship of Acquiring Firms
Kaur, Kuldip,Kaur, Kushwinder
With the advent of globalization and liberalization, the concept of M&As has become an integral part of the Indian economy. This phenomenon has had far reaching repercussions on Indian industrial milieu, its development and growth. The changing market conditions have brought very significant and spectacular developments in the economic scenario in India. One of the most fascinating of these developments is the emergence of merger and acquisition activity in the industrial sector. Corporate sector in India has been witnessing from time to time the incidents of M&A. In accordance with the respective business strategies, a large number of firms undergo M&A every year. It is in this context that the present study has been undertaken to analyze the impact of M&As on the efficiency of seventy seven acquiring firms undertaken for the study in terms of growth and size. For the acquiring firms in the year 1999, the time period 1996-99 has been taken as pre-merger period and 2000-04 as post-merger period. The pre-merger and post-merger period for firms in year 2000 has been taken as 1996-2000 and 2001-04, respectively.

Analysis of Factors Affecting Fraudulent Financial Reporting with Independent Commissioners as Moderation Variable
Objective - This study aims to examine and analyze the effect of pressure, opportunity, rationalization, ability and arrogance on fraudulent financial reporting with independent commissioners as the moderating variable. Methodology/Technique - The object of this research is all companies listed on the Indonesian Stock Exchange during 2019. The research sample was obtained through purposive sampling method and resulted in 215 companies. The analysis technique used is multiple regression analysis and Moderated Regression Analysis (MRA). Findings - The results show that pressure, opportunity, rationalization, ability and arrogance had a significant effect on fraudulent financial reporting. The results of the moderation regression analysis show that independent commissioners moderate the effect of pressure and arrogance on fraudulent financial reporting. Meanwhile, independent commissioners did not moderate opportunities, rationalization, and capacity for fraudulent financial reporting. Novelty - This research contributes to the pentagon fraud theory, which proves that the elements contained in this theory can be used as a basis for analyzing fraud committed by companies, and contributing to the company so that the company's internal control is improved and the presence of an independent board of commissioners is not only a fulfillment of the company's internal control. regulations made by the IDX. Type of Paper - Empirical.

Behavioural Intention of Commercial Banks' Customers towards Financial Technology Services
Peong, Kwee Kim
Objective - The objective of this study is to determine the process that takes place in the employment of financial technology in the financial services industry. It is of utmost important that FinTech firms and commercial banks understand the predictors that can influence their consumers' decision to adopt FinTech services and to increase loyalty toward their services. Methodology/Technique – An online survey was used in the present research to explore factors that can influence commercial bank users' intention to use FinTech services in Malaysia. The data for the current study was gathered from bank users who aged at least 18 years old and resided in Malacca, Malaysia whom accessed FinTech services via smartphone. This research also employed the convenient sampling in distributing online questionnaires to 400 respondents who had successfully completed and returned the questionnaires. Findings – The empirical findings illustrate that trust, social influence, cyber-security risks and privacy risks are the most influential determinants that affect bank customers' behavioural intention to use FinTech services in Malaysia. Novelty – This research contributes to the theory of TAM, UTAUT and TPB by proposing a direct effect of trust, social influence, cyber-security risks and privacy risks on the adoption of FinTech services. The findings of the current study will be beneficial to policymakers, specifically financial institutions and FinTech firms as they will be informed on workable means to increase the quality of FinTech applications/websites. This can yield greater intentions to adopt FinTech. Stakeholders should play their important role in noticing and considering the influential factors that can impact the consumers' behavioural intention for using technologies in their policies to fulfil the users' needs. Type of Paper - Empirical

Benefits of Enterprise Risk Management: A Systematic Review of Literature
Prasad, Ch V V S N V
Objective - In an enhanced climate of risk complexities, the firm's stakeholders desire a risk management framework that promises the benefits of efficiencies, transparencies, and solutions for interrelated risks. Enterprise risk management (ERM) is widely seen as a suitable instrument to address these issues. However, not all are convinced of ERM's benefits. This necessitates a review of extant literature and collating it to generate interrelated insights. This paper reviews articles on ERM from the management and finance domain and catalogs the benefits of ERM. Methodology/Technique: – This paper reviews 129 articles addressing ERM benefits. It examines the academic disciplines of journals publishing ERM studies by looking into their H Indices, SJR scores, and ABDC rankings to assess ERM's impact and acceptability among scholars. The research articles are analyzed for their subject domains, geographic scope, and methodology used in exploring the relationship between ERM adoption and its benefits to the firm. Collating and reviewing these articles enables the mitigation of data gaps. These studies were primarily from accounting, finance, management, corporate governance, and strategy domains. Findings – Improved cost-effectiveness, earnings stability, increased profitability, improved decision making, better risk communication, competitive advantage, better resource allocation, enhanced firm value, and performance are the key benefits of ERM adoption identified in this study. A knowledge gap is presented around assessing ERM benefits and extending ERM research scope to developing countries like India. Novelty – The study catalogs the benefits of ERM and makes a strong case for ERM adoption among firms. Type of Paper - Review

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Andrei Cozma,Matthieu Mariapragassam,Christoph Reisinger

We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced by Guyon and Labord\`ere [Nonlinear Option Pricing, Chapter 11, Chapman and Hall, 2013] and combine it with new variance reduction techniques in order to accelerate convergence. We use control variates derived from a calibrated pure local volatility model, a two-factor Heston-type LSV model (both with deterministic rates), and the stochastic (CIR) short rates. The method can be applied to a large class of hybrid LSV models and is not restricted to our particular choice of the diffusion. The calibration procedure is performed on real-world market data for the EUR-USD currency pair and has a comparable run-time to the PDE calibration of a two-factor LSV model alone.

Common Ownership in the Dutch Banking Market
Laser, Falk Hendrik
Common ownership has increased across countries and industries in recent years. I focus on the potential anti-competitive effects of rising common ownership on consumer prices conducting a case study for the Dutch banking market. My analysis draws on retail pricing data for savings accounts in 2014 and ownership data on the investor level. Using a structural approach, I project the impact of increasing common ownership on interest rates for savings accounts. Depending on the different levels of common ownership assumed, I simulate decreases in interest rates of up to 50 basis points for large banks and predict substantial average losses of interest for consumers ranging between 12 and 33 euros per year.

Corporate Governance and Earnings Management: Empirical Evidence of the Distress and Non-Distress Companies
Alexander, Nico
Objective - The purpose of this research is to obtain empirical research on the effect of corporate governance on earnings management in distressed and non-distressed companies. Corporate governance in this research is measured by independent board, audit committee, board of commissioners, institutional ownership and number of board commissioner meetings. The research predicts that corporate governance has a negative effect on earnings management either both in distressed and non-distressed companies. Methodology/Technique - This research uses 309 manufacturing companies listed on the Indonesian Stock Exchange and the data was obtained using purposive sampling method during 2016 until 2018. Of the 309 respondents in the sample, 287 are distressed companies and 22 are non-distressed companies. The data was analyzed using a multiple regression method. Findings - The empirical results show that commissioner board and institutional ownership have a negative effect on earnings management in non-distressed companies but in distressed companies, corporate governance does not have an effect on earnings management. This research shows that distressed companies, corporate governance cannot minimize earnings management practices because to maintain the company as a going concern, management will do earnings management to ensure stakeholders' trust to encourage further investment in the company. In non-distressed companies, corporate governance can minimize earnings management practices because the company is in a good financial condition, so they don't need to do earnings management. Additionally, in order to ensure stakeholders' trust, the company will strengthen its' corporate governance mechanisms. Type of Paper - Empirical.

Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina,Caporale, Guglielmo Maria
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeting ones (the US, the Euro-Area and Switzerland). Both a benchmark linear VECM and a nonlinear Threshold VECM are estimated; the latter includes Taylor rule deviations as the threshold variable. The results can be summarised as follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated adjustment speed towards equilibrium being twice as fast. Second, Taylor rule deviations play an important role: the adjustment speed is twice as fast when deviations are small and the credibility of the central bank is higher. Third, inflation targeting tends to generate a higher degree of credibility for the monetary authorities thereby reducing deviations of the exchange rate from the PPP- and UIP-implied equilibrium.

Impact of CSR on the Stock Returns of Indian Companies
Jagadeesh, M
Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a positive or negative or no correlation between CSR and stock price in Indian context.Methodology- The research design used in this study was an experimental cross-sectional design. This study uses regression, correlation and hypothesis testing to find the relationship between corporate social responsibility and stock price and financial performance. The stock price and some financial measures like dividend, ROE and employee benefit are also taken to measure the financial performance which indirectly affects stock price and to measure CSR the CSR expenditure is taken. Findings- This study will tell whether there is a positive or negative or no correlation between CSR and stock price in Indian context. This study is also used to suggest if the company are able to get enough returns from their CSR spending.Originality/value- The primary contribution of this study is to present a valid and robust evidence of the relationship between CSR and stock price of India listed companies. The proper reason behind CSR spending’s and its impact.

Introducere în finanÅ£ele comportamentale ale familiei â€" Partea întâi (An Introduction to Behavioral Finance of the Family â€" Part 1)
Dumitriu, Ramona,Stefanescu, Razvan
Romanian Abstract: Adeseori, unele decizii financiare ale familiilor, precum cele care privesc împrumuturile, consumul, economisirea sau investiţiile sunt adoptate în moduri care diferă semnificativ de ipotezele finanţelor tradiţionale. Finanţele comportamentale ale familiei încearcă să explice astfel de diferenţe studiind unele circumstanţe precum relaţiile de putere din cadrul gospodăriilor, cunoştinţele financiare sau preferinţele decidenţilor. English Abstract: Quite often, some financial decisions of the families, such as those regarding borrowing, consumption, saving or investments are made in ways that are significantly different from the assumptions of the traditional finance. The behavioral finance of the family attempts to explain these differences by studying some circumstances such as intra-household power relations or the financial knowledge and preferences of the decision-makers.

Machine Earning â€" Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage
Burgess, Nicholas
In this paper we use the tools and frameworks from Oxford University’s postgraduate diploma in financial strategy to study the performance and benefits of algorithmic trading strategies (algos), and specifically those that use artificial intelligence (AI) and machine learning (ML).We discover using valuation theory from (SBS2, 2020) that algos generate superior returns compared to human discretionary trading both in normal market conditions and during large market drawdowns, such as during the coronavirus (COVID-19) pandemic. Furthermore applying financial strategy techniques from (SBS1, 2020) we find that algos could be combined with existing core competencies at my organization RUS1 to create a sustainable competitive advantage and give RUS an edge over its competitors.Finally considering M&A growth strategies from (SBS4, 2020) we conclude that for RUS algorithmic trading capabilities would be best acquired taking an organic approach as an inhouse build approach would be both cost-effective and allow for a more customized and bespoke integration. Even if only a fraction of the potential benefits are monetized, algo trading could have a significant positive impact on earnings, which in turn would allow for reinvestment to facilitate sustainable growth and maintain a sustainable competitive advantage.

Making Sustainable Finance Sustainable
Ozili, Peterson K
This paper discusses the sustainability of sustainable finance. I present some issues. One, not all aspects of finance can contribute meaningfully to sustainability. Two, stringent regulation can increase regulatory burden on financial institutions, and make them exit the sustainable finance sector. Three, the current top-down approach to promoting sustainable finance might become its downfall. Four, mandatory corporate ESG reporting may eventually become counter-sustainable. Five, long-term sustainable finance can replace short-term liquidity with illiquid exposures, thereby making liquidity crises and government intervention more frequent. Some solutions to these issues include the following. One, there should be greater focus on how some aspects of finance can contribute to sustainability. Two, light-touch regulation may be needed to grow the relatively small sustainable finance sector. Three, there is need to adopt a bottom-up approach to grow the sustainable finance sector. Four, encourage voluntary ESG disclosures and related sustainability reporting. Five, short-term orientation can complement long-term sustainable financing.

Mergers and Acquisitions in Relation to Economies of Scale and Profitability: An Analysis
Kaur, Kushwinder,Kaur, Kuldip
Among other reasons, the aim to gain efficiency and increasing profitability are generally cited as important reasons for the firms to undergo mergers. Mergers and Acquisitions (M&As) have been considered as an important means through which companies can achieve economies of scale, remove inefficient management or respond to economic shocks. In this paper, an effort has been made to analyze the impact of M&As on the efficiency of seventy seven acquiring firms undertaken for the study in terms of scale economies and profitability. For the acquiring firms in the year 1999, the time period 1996-99 has been taken as pre-merger period and 2000-04 as post-merger period. The pre-merger and post-merger period for firms in year 2000 has been taken as 1996-2000 and 2001-04, respectively. The study indicates that M&As have no significant positive impact on the firms under study. It can be concluded from the discussion related to the results of the study that majority of the firms under study have experienced diseconomies of scale and profitability of many of the firms have declined during the post-merger years.

Monetary-Fiscal policies and stock market performance: Evidence from linear ARDL framework
Emamian, Aref
Objective - To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary and fiscal policies and stock market performance as well as establish potential factors and policies contributing to the highs and lows. Methodology/Technique - We use autoregressive distribution lag (ARDL) developed by Pesaran et al. (2001) to achieve the objective. In this study, annual time series data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, was used. Findings - The results show that both policies play a significant role in the stock market. We find a significant positive effect of real gross domestic product (RGDP) and the interest rate on the US stock market in the long run and significant negative relationship effect of the consumer price index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Novelty - As the US stock market heavily depends on the Tax Revenue in the short run, any changes in TR can impact on the US stock market considerably. Thus, shareholders can benefit from these results when they look at macroeconomic data in order to enhance their investment strategy. Type of Paper - Empirical.

NPA Management using Blockchain
Deka, Manas
The usage of Blockchain Technology has been increasing rapidly across the various business sectors. Multiple industries across various sectors are adopting it for its immutability, transparency, tamper proof-ness, and its distributed nature. As such, the banking industry is looking at it intently to solve a variety of problems it currently faces. One of them is NPA management. Especially in India, this is a big issue as the rate at which NPAs are growing is very high. This paper aims to find a potential solution to this problem by developing a blockchain model conceptually which uses smart contracts to effectively manage NPAs. Timers or Loop code concept in a smart contract has been utilized to keep track of a loan as it becomes an NPA. Different scenarios have been provided to explain the working of the concept. An example use case has been elaborated upon as well. The paper developed a conceptual model that is effective in managing NPA as well as it provides a scope for government, NPA as well as external auditors to monitor the state of NPAs of a bank. This paper also provides the scope to further develop the model by creating a working blockchain-based model.

Optimal Retirement Time and Consumption with the Variation in Habitual Persistence
Lin He,Zongxia Liang,Yilun Song,Qi Ye

In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habitual level and is more reluctant to change the habitual level after retirement, we assume that both the level and the sensitivity of the habitual consumption decline at the time of retirement. We establish the concise form of the habitual evolutions, and obtain the optimal retirement time and consumption policy based on martingale and duality methods. The optimal consumption experiences a sharp decline at retirement, but the excess consumption raises because of the reduced sensitivity of the habitual level. This result contributes to explain the "retirement consumption puzzle". Particularly, the optimal retirement and consumption policies are balanced between the wealth effect and the habitual effect. Larger wealth increases consumption, and larger growth inertia (sensitivity) of the habitual level decreases consumption and brings forward the retirement time.

Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
Lijun Bo,Huafu Liao,Xiang Yu

This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. We envision that the fund manager can dynamically inject capital into the portfolio account such that the total capital dominates the non-decreasing benchmark floor process at each intermediate time. The control problem is formulated to minimize the cost of accumulated capital injection. We first transform the original problem with floor constraints into an unconstrained control problem, however, under a running maximum cost. By identifying a controlled state process with reflection, we next transform the problem further into an equivalent auxiliary problem, which leads to a nonlinear Hamilton-Jacobi-Bellman (HJB) equation with a Neumann boundary condition. By employing the dual transform, the probabilistic representation and some stochastic flow analysis, the existence of the unique classical solution to the dual HJB equation is established. The verification theorem is carefully proved, which gives the complete characterization of the primal value function and the feedback optimal portfolio. The application to market index tracking is also discussed when the index process is modeled by a geometric Brownian motion.

Performance Analysis of Sharia Commercial Banks in Indonesia before the COVID Pandemic Period (2015-2019)
Wauw, Yunus
Overcoming the impact of the COVID pandemic on Islamic banking in Indonesia, management must take strategic steps based on predictions and previous performance identification. Identify performance, information on the factors that affect the performance of Islamic banking in Indonesia is needed. Several aspects that are considered to affect Islamic banking performance that management must consider are capital, liquidity aspects, credit risk, and efficiency. This research examines the influence of the aspects of capital (Capital Adequacy Ratio and Third-Party Funds), liquidity (Finance to Debt Ratio), credit risk (Non-Performing Financing).) and operational efficiency (BOPO) on the performance of Islamic banking in Indonesia 5 (five) years before the COVIDVpandemic occurred in Indonesia (2015-2019). The results showed that these five aspects had a simultaneous effect on Islamic banking performance in Indonesia, with a termination coefficient of 94.4%. Of the five variables, CAR, FDR, NPF, and BOPO significantly affect performance, while TPF has no significant effect on performance (Return on Assets).

Portfolio Diversification using Cryptocurrency
S, Padmavarthini
This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern Portfolio Theory and system of comparing Portfolio with FOREX & Commodity, Portfolio with Stock assets, Portfolio with ETFs, and lastly, combining all the asset classes in a portfolio with cryptocurrency. The portfolios optimized by maximizing the Portfolio return rate, as for other assets indicate a comparatively low performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and confers them more robustness. In light of the persistently substantial volatility in cryptocurrency markets, the empirical findings assert that portfolio managers are advised to construct a global minimum variance portfolio. In the absence of sophisticated optimization models, private investors can invest according to the market values of cryptocurrencies.

Regulatory and Bailout Decisions in a Banking Union
Haufler, Andreas
We model a banking union of two countries whose banking sectors differ in their average probability of failure and externalities between the two countries arise from cross-border bank ownership. The two countries face (i) a regulatory decision of which banks are to be shut down before they can go bankrupt, and (ii) a loss allocation â€" or bailout â€" decision of who pays for banks that have failed despite regulatory oversight. Each of these choices can either be taken in a centralized or in a decentralized way. In our benchmark model the two countries always agree on a centralized regulation policy. In contrast, bailout policies are centralized only when international spillovers from cross-border bank ownership are strong, and banking sectors are highly profitable.

Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
Lijun Bo,Huafu Liao,Xiang Yu

This paper investigates the finite time risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. The Markov regime-switching process is assumed to be unobservable, which has countable states that affect default intensities of surviving assets. The stochastic control problem is formulated under partial observations of asset prices and default events. By proving a martingale representation theorem based on incomplete and phasing out filtration, we characterize the value function in an equivalent form. This allows us to connect the control problem to a quadratic BSDE with jumps, in which the driver term has non-standard structures and carries the conditional filter as an infinite-dimensional parameter. By proposing some truncation techniques and establishing a uniform a priori estimates, we obtain the existence of a solution to the BSDE using the convergence of solutions associated to some truncated BSDEs. The verification theorem can be concluded with the aid of our BSDE results, which in turn yields the uniqueness of the solution to the BSDE.

Solving Heterogeneous General Equilibrium Economic Models with Deep Reinforcement Learning
Edward Hill,Marco Bardoscia,Arthur Turrell

General equilibrium macroeconomic models are a core tool used by policymakers to understand a nation's economy. They represent the economy as a collection of forward-looking actors whose behaviours combine, possibly with stochastic effects, to determine global variables (such as prices) in a dynamic equilibrium. However, standard semi-analytical techniques for solving these models make it difficult to include the important effects of heterogeneous economic actors. The COVID-19 pandemic has further highlighted the importance of heterogeneity, for example in age and sector of employment, in macroeconomic outcomes and the need for models that can more easily incorporate it. We use techniques from reinforcement learning to solve such models incorporating heterogeneous agents in a way that is simple, extensible, and computationally efficient. We demonstrate the method's accuracy and stability on a toy problem for which there is a known analytical solution, its versatility by solving a general equilibrium problem that includes global stochasticity, and its flexibility by solving a combined macroeconomic and epidemiological model to explore the economic and health implications of a pandemic. The latter successfully captures plausible economic behaviours induced by differential health risks by age.

Subsidising Inclusive Insurance to Reduce Poverty
José Miguel Flores Contró,Kira Henshaw,Sooie-Hoe Loke,Séverine Arnold,Corina Constantinescu

In this article, we consider a compound Poisson-type model for households' capital. Using risk theory techniques, we determine the probability of a household falling under the poverty line. Microinsurance is then introduced to analyse its impact as an insurance solution for the lower income class. Our results validate those previously obtained with this type of model, showing that microinsurance alone is not sufficient to reduce the probability of falling into the area of poverty for specific groups of people, since premium payments constrain households' capital growth. This indicates the need for additional aid particularly from the government. As such, we propose several premium subsidy strategies and discuss the role of government in subsidising microinsurance to help reduce poverty.

Techno-Economic Assessment and Life Cycle Assessment of CO2 to Biofuel via Micro-Algae Process
Jaumard, Benjamin,CHEN, Li,Devaux, Fabrice
The goal of the work is to assess economic and environmental performance of microalgal biofuel production chain and identify hotspots in terms of CAPEX/OPEX, GHG emissions, energy demand and other environmental impacts. These evaluations are used to assist future R&D and business development directions. The modelled plant has a production capacity of 163 kt-biofuels/year (corresponding to 1 Mta-CO2/year treatment capacity by microalgae). Operational energy demand is around 0.17 MJ/MJ of biofuel. Techno-economic assessment shows that future biofuel production cost would be down to 1190 €/t. It is suggested to focus future R&D on cultivation, HTL and upgrading operations, as well as equipment design of cultivation. Life cycle assessment shows that a GHG emissions reduction of 72% would be reached by micro-algae biofuel, compared to conventional fuel in French electricity mix scenario. When looking into all environmental impacts, there is a trade-off when switching to microalgae-based biofuel, and trade-off seems acceptable. It is suggested to focus future R&D on heat integration of HTL/upgrading, reduction of nutrients and flocculent or research of alternative chemicals with lower environmental impact. Use of affordable blue or green hydrogen would further reduce environmental impacts as well.

The Importance of Technology in Banking During a Crisis
Pierri, Nicola,Timmer, Yannick
We study the implications of information technology (IT) in banking for financial stability, using data on US banks’ IT equipment and the tech-background of their executives. We find that one standard deviation higher pre-crisis IT adoption led to 10% fewer non-performing loans during the global financial crisis. We present several pieces of evidence that indicate a direct role of IT adoption in strengthening bank resilience; these include instrumental variable estimates exploiting the historical location of technical schools. Loan-level analysis reveals that high-IT adoption banks originated mortgages with better performance and did not offload low-quality loans.

Turnaround Prediction Model with Content Dimension on Financial Distressed Firms
Giriati, Dr.
Objective - This article aims to examine the influence of content dimensions of Organization Change Theory, such as CEO Expertise, Free Assets, Debt to Equity Ratio and Growth of Sales, on a company's turnaround ability when it is experiencing financial distress. The companies examined are listed on the Indonesian Stock Exchange (IDX). Methodology – The population used in this study is companies from sectors excluding the finance sector that were listed on the Indonesian Stock Exchange between 2013 and 2018. The sample size was determined using purposive sampling method. From the 109 companies that experienced financial distress, 57 have successfully turned their business around. The research data was collected from the ICMD (Indonesian Capital Market Directory), which was then analysed using multi regression technique analysis, using SPSS software to examine the determinants of company turnaround ability. Findings – The results indicate that CEO Expertise, Debt to Equity Ratio and Growth of Sales have a negative relationship on a company's turnaround ability. Meanwhile, Free Assets has a positive and significant relationship on a company's turnaround ability. Novelty – Previous studies have been conducted in many western countries, giving rise to researchers' doubts about the generalizability of research based on previous research findings when applied in developing countries such as Indonesia, particularly due to differences in regulations, conditions of distress, culture, financial systems and strategies used in overcoming distress. Type of Paper - Empirical

Two Stories About Shareholders
Tingle, QC, Bryce
Corporate law contains two contradictory stories about the role of shareholders. In one, the shareholders are a useful countervailing force against the self-interested behaviour of corporate agents. In the other, shareholders lack the motivation, information, and proper incentives to contribute to the good governance of business corporations. Both stories are true on occasion, but is one more true than the other? Currently, developments in corporate and securities law are predicated on the idea that shareholders are, generally, a positive force in corporate governance. This seems to be a corollary of agency cost theory, the dominant paradigm for understanding the relationships between corporate actors. This article reviews the body of empirical research on the outcomes of the various forms of shareholder activism. Proposals, proxy campaigns, and takeovers represent the most impactful and costly forms of shareholder engagement with corporations. As it happens, the empirical evidence does tend to strongly support one of the two stories about the role of shareholders, but it is not the one currently dominating law reform efforts. If the character of shareholder interventions generally supports the story that shareholders lack the proper incentives and information to contribute to positive business outcomes, then much about the current regulatory scene needs to be re-evaluated.

Межстрановой опыт прогнозирования макроэкономических и кредитных кризисов и его применение для России (Joint Prediction of Turning Points in Credit and Business Cycles: Cross-Country Analysis)
Mamonov, Mikhail,Pestova, Anna,Vera, Pankova,Akhmetov, Renat
Russian abstract: Макроэкономические кризисы длятся дольше, если они происходят одновременно с системными банковскими кризисами. Это ставит вопрос о предсказании не каждого из двух событий по отдельности, а их совместной реализации. Имеет смысл говорить и о том, в какой мере межстрановой опыт в этом направлении может быть полезен для прогнозирования подобных сдвоенных событий в России. Используя квартальные данные по девятнадцати развитым странам и России за период с I квартала 1994 года по IV квартал 2018-го, авторы строят систему из двух динамических пробит-моделей, которая позволяет учесть ненаблюдаемые (не включенные в модель) факторы, влияющие одновременно на оба цикла, через кросс-корреляцию ошибок в уравнениях вероятности возникновения макроэкономической рецессии и кредитного кризиса. Результаты показывают, что модели, построенные на выборке из девятнадцати развитых экономик и России, позволяют весьма точно предсказывать для последней как одиночные события (экономические рецессии и кредитные кризисы), так и эпизоды их совместной реализации. Ð' частности, построенная модель позволяет корректно предсказать 100% совместных кризисных и 92% совместных бескризисных эпизодов в рамках обучающей выборки, 86% совместных кризисных и 90% совместных бескризисных эпизодов в рамках тестовой выборки для России. Полученные результаты, вопервых, свидетельствуют о том, что межстрановой опыт является полезным для прогнозирования сдвоенных кризисов в отдельно взятой стране (России); во-вторых, дополняют существующую эмпирическую литературу по прогнозированию рецессий и кредитных кризисов на межстрановых данных.English abstract: This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the errors of the equations governing the probability of a recession and the probability of credit crisis. The results show that, first, our system allows us to correctly predict 91% of episodes of joint realization of macroeconomic and credit crises and 89% of non-crisis periods in the training sample, and 92% and 95% respectively in the testing sample. Second, switching from two independent regression models to a system of correlated equations significantly (by 16 percentage points) increases the share of correctly predicted crisis episodes while only slightly (by 7 percentage points) reducing the proportion of correctly predicted non-crisis episodes. Third, our system can predict an approaching crisis earlier, by 1â€"4 quarters, in comparison with similar single models. Our results complement the literature on forecasting recessions and credit crises. Fourth, it is revealed that the models which have been constructed on developed countries allow one to predict crisis events for Russia. The model we have constructed correctly predicts 100% of joint crisis episodes and 92% of joint non-crisis episodes in the training sample as well as 86% of joint crisis and 90% of joint non-crisis episodes in the testing sample for Russia