Investment Analysis and Portfolio Management

This paper used complementary panel data models that are fixed effect regression model and panel vector auto regression model. The study was motivated by the hypothesis that both macroeconomic and microeconomic variables have an effect on the loan quality. The first part of the research was to determine the specific macro and microeconomic variables that give rise to the non-performing loans (NPLs) using fixed effect regression model. The empirical findings of this study provide evidence that nonperforming loans depends on macro and micro economic variables, the trend analysis of Zimbabwean commercial banks' shows an upward movement of over the period of study. The study found out that Gross domestic product (GDP), Inflation, loan deposit ratio and bank size had a statistical significant effect on the level of non-performing loans (NPLs). The second part was mainly to model the dynamic relationship of all the variables that were found to affect nonperforming loans (NPLs); this was done through impulse response analysis based on PANEL VAR model. One standard shock to credit growth will be greatly felt in the sixth year, whereas of size of the bank will have a great negative impulse in the seventh year.

The purpose of this paper is to develop a particular portfolio investment strategy limiting its downside risk, assuming low risk and maximizing its performance. This
kind of portfolio is suggested for Pension Funds or Insurance companies where their objective is to ensure a minimum annual return with a limited risk assumed or build portfolios with low risk assumed. The core financial asset of a pension fund and of an Insurance company is represented by fix income asset class. The idea is to develop a Dynamic Core-Satellite Portfolio using particular financial instruments called ETFs.
The Core component of this strategy is constituted Fix Income asset, instead the Satellite component might be constituting by equity, commodities or by fix income asset (but riskier and with different period of time). Building this portfolio, I will impose some constraint to the strategy that permit to safeguard the performance of the investor.

Mutual fund management companies have offered to reduce the absolute level of fees and alter the fee structure as a step to reaching a settlement with the New York Attorney General. This has raised questions about how these changes will impact the future profitability of the funds, and the prospects of new money inflows. In this article, Duke and Upadhyay analyze the factors in the mutual fund industry affecting the demand from investors, the follow-on reaction of the mutual fund management companies, and the anticipated impact on the investment and marketing performance of the funds. They suggest that while increasing the size of the fund may be good for economies of scale and increasing earnings from the fees associated with fund management, it may not be good for the fund's overall investment and long-term marketing performance.

Purpose: This study conduct on University Students during 2013 and sample chose from Federal Urdu University Islamabad. This study examine that which factors are reason of stress among University students, and how these factors affecting the study and behavior of students towards study. Which are most important to examine and how to minimize the stress.
Design/ Methodology: Questionnaires were designed and distributed to all the students of Federal Urdu University students. This measures perceived levels of stress amongst the students of Federal Urdu University and potential effects of stress on the performance of students.
Research limitations: Reliance on self-reported measures is one of the limitations of this study. More objective measures of performance such as grades, test scores, or teachers’ ratings of performance, observed stress reactions, and problem-solving ability, can be used in future research.
Value: This research paper highlights the causes of stress and their negative impacts on students’ performance.
Key words: Stress, Examination, Financial Problems, Lack of interest in study.

Einleitung 3
Definition 4
Entscheidungskategorien                 5
Entscheidungstechniken:                 6
➣ Pro & Contra-Listen 7
➣  Der Entscheidungsbaum 9
➣  Die Entscheidungstabelle 11
➣  Die Nutzwertanalyse 13
➣  Die Portfolio Analyse 15
➣  Die Szenario Technik 18
Fazit 19
Quellen         20

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.

Purpose: To investigates the causes of job satisfaction among the employees of different organizations and how can maximize the performance of employees through job satisfaction.
Design/ Methodology - Questionnaires were designed and distributed to all the employees of different organization. This measures perceived levels of job satisfaction amongst the employees of organizations and potential effects of job satisfaction on the performance of employees.
Practical implications-The findings of this research emphasis on organization culture, work place conditions and job rank in order to optimize the performance of the employees through job satisfaction. There is also a need to undertake longitudinal research to investigate
Findings: Findings suggested that there is a positive relationship exists between stress, time management and Family conflict problems. Increase in lack of support from family increase the stress level of a student similarly if a student could not manage its time this also increase the stress of a student.
Research limitations- The research was carried out in five organizations and therefore results cannot be generalized to cover the whole organization sector.
Value-This research paper highlights the causes of job satisfaction and their positive impacts on employee’s performance.
Key Words- Job satisfaction, Organization culture, Job rank, Work place conditions.

Nigeria is a west African country with abundant natural resources and harbours a long term aspiration is to be among the top 20 economies in the global world by the year 2020. These lofty objectives can only be achieved and or realized through the requisite mega and multiple infrastructural development projects, programs and portfolios within the Nigeria's built environment. Portfolio is defined as projects, programs, subsidiary portfolios, and operations managed as a group to achieve strategic objectives. However, Organizations still struggle with the resource sharing problem across projects as well as constant changes in their portfolios. Also, the rate at which many organizations' businesses and portfolios get abandoned or fold within one or two decades in Nigeria is worrisome. The aim of this research paper is to identify and discuss the factors shaping Project Portfolio management in Nigeria's built environment with a view of identifying, examining, and highlighting the impact of some selected factors on

Food insecurity is an overriding problem of most developing countries like Ethiopia, which requires empirical evidence pertinent to food security policy formulation and implementation. This paper investigates food security situation of households by surveying 260 farm households randomly and proportionately sampled from the major farming systems in Ethiopia. Households' daily calorie availability and dietary diversity were measured to capture the diet quantity and quality dimensions of food security of households. A seemingly unrelated regression (SUR) model results of the two measures suggested that the mean daily calorie intake per adult equivalent and dietary diversity level of households were about 1871 kcal and 6.8, respectively, with significant differences in farming systems and household idiosyncratic characteristics. The univariate probit model results show that the likelihood of households to be food security was 42.3%, while their probability to have semi-diversified diet was 37.2%. However, food security status and dietary diversity status were weakly interdependent and their determinant factors were significantly different. The major contribution of this paper is that it employs econometric estimation of dietary diversity scores and status and measures their interactions with diet quantity scales and food security status at household level.

The research paper aims to provide clarity on the role fees play in terms of the
performance achieved by these funds and to determine what the relationship is between
fee structure and performance achieved by equity retail funds in the UK. It will also identify
if the fund fee structures create value for money in terms of their performance and
realised returns for their investors.

The purpose of this book is to help you learn how to manage your money to derive the maximum benefit from what you earn. Mixing investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization leaves readers with the mindset on investments to serve them well. The material is intended to be rigorous and empirical yet not overly quantitative. We continue with unparalleled international coverage, newly rewritten and reorganized derivatives material to be more intuitive and clearer, three additional chapters on derivatives pricing for those who want more detail, rewritten material on multifactor models of risk and return, and new CFA problems for more practice on computations concerning investment decisions. To manage money and investments, one needs to learn about investment alternatives and develop a way of analyzing and thinking about investments that will be of benefit and allow a foundation as new tools and investment opportunities become available. Reilly/Brown provide the best foundation, used extensively by professionals, organizations, and schools across the country. A great source for those with both a theoretical and practical need for investment expertise.

The popularity of mutual fund investing among private investors has grown dramatically all over the world during last 40 years. Therefore, the research in mutual fund has increased significantly. Despite this huge demand of mutual fund investing, only a few researches on mutual fund have been conducted in Bangladesh. In this paper an attempt is made to evaluate the performance of 15 close-ends Bangladeshi mutual funds traded in DSE (Dhaka stock exchange) based on monthly net asset value. For this purpose the methodologies employed in this study are risk adjusted performance measures suggested by Jensen, Treynor, and Sharpe widely known as Jensen alpha,Treynor ratio, Sharpe ratio. DSEX index has used as a proxy for benchmark index. The study found that over the
research period (from 2013 to 2017) 12 out of 15 funds got superior return compared to benchmark index return. In addition to, diversification, market timing and selectivity skill of fund managers are tested with help of co-efficient of determination (R2), quadratic regression of Treynor and Mazuy and Fama decomposition model respectively.The paper found that 9 out of 15 funds are well diversified and have reduced its unique risk. Finally this paper has revealed no statistically significant timing skill but moderate level of selectivity in mutual fund market of Bangladesh.

Brownlees, Engle and Kelly (2012) [BEK12] presented a volatility forecasting
comparative study within the autoregressive conditional heteroskedasticity
(ARCH)1 class of models. They considered 5 models chosen from the vast literature
on GARCH modeling for their simplicity and demonstrated ability to
forecast volatility over alternatives. Their natural starting point for model comparison
due to its ubiquity and progenesis of alternative models was the GARCH
(1,1) model by Engle (1982)2. In this article, we consider the application and
comparison of these models in forecasting volatility within the South African
financial context. We applied these models on the JSE Top 40 index closing
levels data ranging from 2009/01/02 to 2012/01/31 and explore the changes in
model parameter values that occurs due to consideration of different parameter
estimation window lengths. The data under consideration comprises of 771 data
points.

This paper used complementary panel data models that are fixed effect regression model and panel vector auto regression model. The study was motivated by the hypothesis that both macroeconomic and microeconomic variables have an effect on the loan quality. The first part of the research was to determine the specific macro and microeconomic variables that give rise to the non-performing loans (NPLs) using fixed effect regression model. The empirical findings of this study provide evidence that nonperforming loans depends on macro and micro economic variables, the trend analysis of Zimbabwean commercial banks' shows an upward movement of over the period of study. The study found out that Gross domestic product (GDP), Inflation, loan deposit ratio and bank size had a statistical significant effect on the level of non-performing loans (NPLs). The second part was mainly to model the dynamic relationship of all the variables that were found to affect non-performing loans (NPLs); this was done through impulse response analysis based on PANEL VAR model. One standard shock to credit growth will be greatly felt in the sixth year, whereas of size of the bank will have a great negative impulse in the seventh year.

Nigeria is an African country with abundant natural and human resources with an aspiration to be among the top 20 economies in world by the year 2020. Such objective can only be achieved through requisite infrastructural development projects within the Nigeria's built environment such as road, power plants and adequate housing estate development projects etc. However, Nigeria's housing estate developments were insufficient in terms of demands; do not reflect the desired housing needs of the end-users; in some-cases affordable but not qualitative; do not possess green building features. These has led to challenges and questions about project portfolio management (PPM) strategies that align and fit portfolios with the organizational objectives while also delivering estate development projects that are less risky and marketable. The aim of this research paper is to assess the PPM strategies used by housing estate development organizations in Nigeria's built environment with a view of identifying, examining, and highlighting the impact of these strategies on housing estate development project portfolios in Nigeria. Literature reviewed led to identification and assessment of five PPM strategies. Krejcie and Morgan table was used to determine the sample size, while Cronbach's alpha, mean item scores, relative importance index, T-test statistics were used for data analyses. The results show that any chosen PPM strategy(ies) by Housing Estate Development organizations will not be easy to apply, use, implement nor will it be excellent in the strive to achieve the Organizational Objectives in any given Portfolio.

One Belt One Road (OBOR) Initiative launched by People’s Republic of China in 2013 is currently the biggest globally undertaken industry investment portfolio. In accounts for construction of numerous large scale infrastructure projects, including industrial facilities and transportation infrastructure, accompanied by enhancement of future naval and continental transportation roots. From a strategic perspective, achieving overall sustainability is the greatest challenge for OBOR.

Megaprojects development and management are always accompanied by specific risks, given the work load magnitude, project duration, and scope of targeting beneficiaries. In case of OBOR, risk volumes increase given that one side provides all financing through credit lines, while targeted beneficiaries’ side is significantly diversified, heterogenic and dominantly undeveloped market in economic and industrial sense.

Project planning and management tools developed and widely used in United States of America, European Union and Europe as a market, have considerably contributed to the third and fourth industrial revolution so far. Some of them originated from initiatives similar to OBOR, during the post-World War 2 recovery period in Europe. They proved to be adaptable to cultural obstacles, market evolution, technology development, globalization and social responsibility.

This paper describes benefits of applying commercial and institutional project management tools used in European market to contribute future sustainability of OBOR Initiative in markets of European Union and Europe. It accounts for key obstacles OBOR will face in its future development and outlines dominant business strategy mechanisms that can provide desired sustainability of OBOR projects both for its sponsors and its targeting beneficiaries.

The purpose of this book is to help you learn how to manage your money to derive the maximum benefit from what you earn. Mixing investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization leaves readers with the mindset on investments to serve them well. The material is intended to be rigorous and empirical yet not overly quantitative. We continue with unparalleled international coverage, newly rewritten and reorganized derivatives material to be more intuitive and clearer, three additional chapters on derivatives pricing for those who want more detail, rewritten material on multifactor models of risk and return, and new CFA problems for more practice on computations concerning investment decisions. To manage money and investments, one needs to learn about investment alternatives and develop a way of analyzing and thinking about investments that will be of benefit and allow a foundation as new tools and investment opportunities become available. Reilly/Brown provide the best foundation, used extensively by professionals, organizations, and schools across the country. A great source for those with both a theoretical and practical need for investment expertise.

It has been a major issue for argument amongst the investors, academicians and practitioners for quite some time now as to whether stock markets in India operate independently or its volatility can be attributed to its reaction towards global market cues. In the current era of globalization, a question arises as to whether the free movement of capital in from of FDI, FII and free liberalized system of cross border
investments has really led to financial integration of Indian stock markets with other major stock markets of the world or there exists a disintegration amongst the leading global stock markets.
The paper studies the inter-linkages of major stock exchanges in India, the Bombay Stock Exchange (BSE) and the National Stock Exchange of Indian Limited (NSE) with the help of benchmark indices of the Hong Kong Stock Exchange (HSE), New York Stock Exchange (NYSE), Tokyo Stock Exchange (TSE) and Korean Stock exchange (KSE). To study the trends, similarities and patterns of movements in various stock exchanges, correlation analysis is used as a statistical tool for quantitative research. The stock market data for India, Hong Kong, USA, Japan and Korea is taken into consideration for the time period from 1st Jan, 2014 to 30th Sept, 2020. The tests of analysis revealed the stock market interdependencies and dynamic interactions of SENSEX and NIFTY with the indices of the selected major stock exchanges of the
world. The analysis revealed that the stock markets under study were influenced by each other which leaves the phenomenon of de globalization nowhere in near vicinity.

What exactly are the drivers of Buffet's alpha? How consistent are they over time? How great an investor has Warren Buffet been and just how good does he remain today?
Spoiler alert - times have changed, it's not clear that Buffet has, at least not in a good or meaningful way

so zreteľom na analýzu Markowitzovho modelu, CAPM a APT) DIPLOMOVÁ PRÁCA Ján SKÁCEL Univerzita Komenského v Bratislave Fakulta managementu Katedra financií a ekonómie Študijný odbor: Manažment Špecializácia: Finančný manažment a finančné služby Vedúci diplomovej práce: prof. Ing. Milan RALBOVSKÝ, PhD. Bratislava 2005 II ABSTRAKT SKÁCEL, Ján : Možnosti zmierňovania rizika portfóliových investícií (so zreteľom na analýzu Markowitzovho modelu, CAPM a APT) [Diplomová práca] -Univerzita Komenského v Bratislave. Fakulta managementu; Katedra financií a ekonómie. -Školiteľ : prof. Ing. Milan RALBOVSKÝ, PhD. -Bratislava : FMUK, 2005. -58 s.

This Research Project is undertaken to acquire the Degree of Master of Business Administration (MBA). It can be helpful for all future researches related to Reversal and Momentum effects.

Reversal effect is a theory that stock prices overreact to relevant news so that extreme investment performance tends to reverse itself. Reversal effect means “A change in the direction of a price trend”.
Momentum effect says that what was strongly going up in the past will probably continue to go up in the near future.

This study was conducted to analyse the reversal and momentum effect in BRICS nations. The BRICS nations consist of five countries including Brazil, Russia, India, China and South Africa. To study the reversal and momentum effect on BRICS Nations, monthly closing data from various organizations (the stock exchanges) were extracted. The stock exchanges selected were Bolsa de Valores de São Paulo, Mercadorias & Futuros de São Paulo (BM&F BOVESPA) of Brazil, Moscow Exchange (MOEX) of Russia, National Stock Exchange (NSE) of India, Hong Kong Stock Exchange (HKE) of China and Johannesburg Stock Exchange (JSE) of South Africa.
 
In this project I have used Fama French 3 Factor Model to analyze the Reversal and Momentum effect in BRICS countries during the period 1st January 2009 to 31st December 2014.In this project work the index of a particular country is divided into two group’s winners group and losers group. The winners group and loser group is further divided into three sub categories Value, Neutral and Growth. On the basis of value, Neutral and Growth the SMB and HML calculations are done for each country.

In this project Brazil shows Momentum effects for all the sample periods starting from Jan 09 till Dec 14,
India and South Africa shows Reversal effects for all the sample periods starting from Jan 09 till Dec 14. 
In case of Russia reversal effect is observed in Jan-June 10 and Jul –Dec 10 only. 
In case of China reversal is observed in 5 sample periods out of 12 sample periods. 
Emerging countries experienced inflated momentum effect which is good for investor.

This study will examine the portfolio performance of a portfolio constructed from index Kompas 100 and index Bisnis 27. Porfolio formed using the Single Indes Model method. The data used for the research was the list of company that are consistently included in the index list of Kompas 100 and Bisnis 27 during the period of August to July 2011. In the portfolio that uses the index Kompas 100 there are 51 issuers that included in the optimal portfolio, while for the portfolio of Business 27 there are 12 issuers that enter the optimal portfolio. Kompas 100 portfolio was manage to produced an average expected return of 0.22% per day with the level of risk by 0.002%. As for Bisnis 27 the portfolio was capable of producing an average expected return of 0.16% with a risk level of 0.006%. Based on comparison of expected return, risk level then concluded that overall Kompas 100 have a better performance than Business 27 portfolio. So we can conclude that portfolio with more diversified asset can have a much better performance than the less diversified portfolio. Keywords: Portfolio, Single Index Model, The Return on The Portfolio, The Level of Portfolio Risk. I. PENDAHULUAN Pasar Modal memiliki peran penting bagi perekonomian suatu negara karena pasar modal menjalankan dua fungsi, yaitu pertama sebagai sarana bagi pendanaan usaha atau sebagai sarana bagi perusahaan untuk mendapatkan dana dari masyarakat pemodal (investor). Dana yang diperoleh dari pasar modal dapat digunakan untuk pengembangan usaha, ekspansi, penambahan modal kerja dan lain-lain, kedua pasar modal menjadi sarana bagi masyarakat untuk berinvestasi pada instrument keuangan seperti saham, obligasi, reksa dana, dan lain-lain. Dengan demikian, masyarakat dapat menempatkan dana yang dimilikinya sesuai dengan karakteristik keuntungan dan risiko masing-masing instrumen (www.idx.co.id). Melalui pasar modal inilah para investor akan terbantu untuk membuat dan menetukan struktur dari portofolio yang akan dibentuknya. Tiap investor tentunya melakukan perhitungan tertentu (dengan pertimbangan tertentu) dalam membuat perencanaan investasinya, terdapat level atau batasan resiko tertentu yang mau dan tidak mau diterimanya. Untuk memperkecil tingkat resiko dari investasi, seorang investor dapat membentuk portofolio atau kumpulan aset yang gunanya adalah mendiversifikasikan penempatan dana investasi kedalam beberapa aset yang berbeda sehingga resiko kerugian dari investasinya dapat dikurangi. Salah satu cara termudah untuk mendiversifikasi adalah dengan memasukkan indeks ke dalam portofolio investasi, karena indeks sendiri merupakan kumpulan dari beberapa emiten saham yang terdaftar pada bursa saham dan juga indeks dapat digunakan sebagai sarana untuk melihat pertumbuhan ekonomi suatu negara. Ada beberapa indeks yang terdapat di BEI, salah satunya adalah indeks Bisnis 27 dan Kompas 100 yang akan digunakan dalam penelitian ini. Bisnis 27 merupakan 27 emiten terbaik yang dinilai oleh BEI dan harian Bisnis Indonesia sebagai emiten dengan kapitalisasi pasar, total aset dan juga jumlah volume transaksi terbanyak

Food insecurity is an overriding problem of most developing countries like Ethiopia, which requires empirical evidence pertinent to food security policy formulation and implementation. This paper investigates food security situation of households by surveying 260 farm households randomly and proportionately sampled from the major farming systems in Ethiopia. Households' daily calorie availability and dietary diversity were measured to capture the diet quantity and quality dimensions of food security of households. A seemingly unrelated regression (SUR) model results of the two measures suggested that the mean daily calorie intake per adult equivalent and dietary diversity level of households were about 1871 kcal and 6.8, respectively, with significant differences in farming systems and household idiosyncratic characteristics. The univariate probit model results show that the likelihood of households to be food security was 42.3%, while their probability to have semi-diversified diet was 37.2%. However, food security status and dietary diversity status were weakly interdependent and their determinant factors were significantly different. The major contribution of this paper is that it employs econometric estimation of dietary diversity scores and status and measures their interactions with diet quantity scales and food security status at household level.

In empirical applications the hedge ratios must be estimated based on some statistical models. As the hedge ratios are determined by the second moments of the spot and futures prices only, we may conclude that different statistical models give rise to different hedge ratios to the extent that they produce different estimated second moments.

Investigating the presence of the classical dividend signalling effect based on the Australian stock market with aggregate data in the latest time series between 2007 and 2012 by employing Augmented Dickey-Fuller (ADF) test and Kwiatkowski-Philips-Schmidt-Shin (KPSS) test for examining the data contained unit root or not; Johansen Trace test & Maximum Eigenvalue test for investigating the cointegration relationship; Vector Auto-regressive Model (VAR), Vector Error Correction Model (VECM), Wald coefficients restrictions test, Granger-Causality test, and the Impulse Responses Functions for testing the relationship between the dividend payout ratio (DPR) and the earnings per share (EPS). We found that the data set in this paper has contained the unit root and has cointegration between variables.More importantly, we found that the EPS can not Granger cause the DPR but the DPR can Granger cause the EPS with the appropriate lag in the Granger-Causality test is 2.The impulse response function under the VAR of EPS to DPR showed a significantly positive response from at the first two months and a positive response around the second month from DPR to EPS. This indicated that the dividend can convey the information on future earnings in Australia and the dividend is sticky, which are consistent with Lee (2010b).

Key Words: Dividend Signalling, Dividend Payout, Future Earnings, Australian Stock Markets, VAR, VECM, Impulse Response Functions, Sticky Dividends

This paper used complementary panel data models that are fixed effect regression model and panel vector auto regression model. The study was motivated by the hypothesis that both macroeconomic and microeconomic variables have an effect on the loan quality. The first part of the research was to determine the specific macro and microeconomic variables that give rise to the non-performing loans (NPLs) using fixed effect regression model. The empirical findings of this study provide evidence that nonperforming loans depends on macro and micro economic variables, the trend analysis of Zimbabwean commercial banks' shows an upward movement of over the period of study. The study found out that Gross domestic product (GDP), Inflation, loan deposit ratio and bank size had a statistical significant effect on the level of non-performing loans (NPLs). The second part was mainly to model the dynamic relationship of all the variables that were found to affect nonperforming loans (NPLs); this was done through impulse response analysis based on PANEL VAR model. One standard shock to credit growth will be greatly felt in the sixth year, whereas of size of the bank will have a great negative impulse in the seventh year.

Food insecurity is an overriding problem of most developing countries like Ethiopia, which requires empirical evidence pertinent to food security policy formulation and implementation. This paper investigates food security situation of households by surveying 260 farm households randomly and proportionately sampled from the major farming systems in Ethiopia. Households' daily calorie availability and dietary diversity were measured to capture the diet quantity and quality dimensions of food security of households. A seemingly unrelated regression (SUR) model results of the two measures suggested that the mean daily calorie intake per adult equivalent and dietary diversity level of households were about 1871 kcal and 6.8, respectively, with significant differences in farming systems and household idiosyncratic characteristics. The univariate probit model results show that the likelihood of households to be food security was 42.3%, while their probability to have semi-diversified diet was 37.2%. However, food security status and dietary diversity status were weakly interdependent and their determinant factors were significantly different. The major contribution of this paper is that it employs econometric estimation of dietary diversity scores and status and measures their interactions with diet quantity scales and food security status at household level.

The importance of examining the effect currency fluctuation has on commercial banks profitability cannot be over emphasized, particularly, given this era of Global financial integration. Most commercial banks are said to suffer from erosion of their profit arising from their exposure to fluctuations in international currencies, especially, when proper hedging strategies are not adopted. This study used the balanced panel methodology and data obtained from 12 largest banks in Nigeria to examine the relative effect of currency fluctuation on commercial banks profitability. In other to get the independent effect of currency fluctuation on commercial banks profitability the study also introduced four bank characteristic variables (bank size, bank divestment, non-performing loans and capital adequacy ratio) into the model. The initial result without the bank characteristic variables revealed that the dollar and pounds exerted a 6 percent and 11 percent negative effect on commercial banks...

Global Recession to Global Recovery:
MACRO AND MICRO DYNAMICS OF TRADE, FINANCE AND INVESTMENT

ISBN 978-93-81361-72-6 ,  Pages – 462 + xxi,  Rs.1800,  US$ 80

About the book

The book contains the selected papers presented at the Nirma International Conference on Management (NICOM 2012) organized during January 05 – 01, 2012 at the Institute of Management, Nirma University, Ahmedabad on the theme Global Recession to Global Recovery: Opportunity, Challenges and Strategies for Sustainable Growth.

Thirty four selected papers primarily dealing with issues of trade, finance and investment suggest strategies and prescribe policy implications during the transition period of recession to recovery to achieve sustainable growth. The topics like  Analytical Study on Indian Health Insurance Sector and its Sustainability; The Intra Day Volatility Discovery Process using Extreme-Value Estimators and Financial Models;  Efficient Market Hypothesis and Impact of Public Information on Stock Market: A Review of Literature; Examining Investors Rationality & the Psychological Dilemma: A Behavioral Perspective; Popularity of Plastic Money: A study of Surat City; A Study on Performance of Self Help Groups in Visakhapatnam; Merger and Acquisition Announcement Effects on Shareholder Wealth: A Case Study of Dabur India Ltd and Fem Care Pharma Ltd.;  Performance Evaluation of Nationalized Banks using Input Oriented Data Envelopment Analysis; Impact of Mergers & Acquisition on Shareholder’s Wealth & Stock Risk; Stock Market Reactions to Corporate Capital Expenditure Announcements: An Evidence from BSE Listed Companies; Filter Rule and Expected Returns during Recession Followed by Recovery: Empirical Evidence for Nifty 50 from Indian Market; Financial Market Failure or Triumphs of the Speculative Market?; Merger Announcements and Abnormal Returns: A Study of Recent Mergers in India; Financial Inclusion in India: An Initiative for Growth; Behavioral Issues Effecting Individual Investment Decisions; A Comparative Investigation of Impact of Dividend Announcement in Recessions and Recovery on Stock Prices using Event Study Approach; Financial Performance of Textile and Apparel Segment of the Indian Retail Sector: An Application of ‘Z’-Score Analysis; Risk Return in Indian Stocks: A Comparative Study of Key Perceptions; Empirical Analysis of Tracking Error of Gold Exchange Traded Funds in India; Fiscal Stimulus Packages: Recovery from the Global Crisis; Study on Gold’s Inflation Battle in Indian Economy; Impact of Global Economic Crisis on the Indian Economic System; The European Long-Term Crisis–Transforming the Economy and Marketing: The Hungarian Case;  Impact of Global Financial Crisis on Asian Market Endogeneity; Growth Performance of World Economy during Recent Global Recession: What do the ECONOMIST Data Tell us?; Subsidies in India: Evolution & Relationship with Macroeconomic Indicators; An Empirical Study of Macroeconomic FDI Determinants of India and China-Opportunities and Strategies for India;  Preliminary Estimation of Welfare Loss from Cross Subsidy in Electricity Sector in India; Migrant Workers and Mode 4; Trade in Services under GATS: A Case of India’s Higher Education; Indian Outbound Tourists’ Perceptions of Select ASEAN Destinations; Indian Agriculture and WTO: Developing Strategies for Sustainable Growth and Global Competitiveness; Evaluation of Corporate Green Initiatives towards Sustainability: An Empirical Study of Selected Industries in India;  Corporate Governance and Risk & Return Analysis with Reference to Banking Industry in India, etc. have been grouped in three sub-themes of the conference and included in the three sections of the book viz. Section I: Finance and Banking, Section II: Economics and Section III: Global Trade, WTO and Corporate Governance.

In the backdrop of global recession to recovery, the contributions made by national and international scholars highlight the various issues and the nexus between them that are emerging in the global economic environment and have addressed the role of management in implementing them for sustainable growth and development. The readers will find that the scholars have also logically underscored the factors behind these issues and put forward notable policy implications, which are extremely relevant for the current debate on recession to recovery and sustainability with respect to trade, finance and investment. The economists, researchers, teachers, policy-makers, executive of various enterprises, management consultants and the representatives of trade and industry will find the collection of these papers as thought provoking for further research in their respective areas of interest.
________________________________________________

Edited by – Prof.(Dr.) Pawan K. Chugan and Prof. Sameer S Pingle                                 

First Edition – 2012
EXCEL INDIA PUBLISHERS 61/28 Dalpat Singh Building, Pratik Market, Munirka, New Delhi -110067

The paper investigates the effectiveness of the Multi-Factor Model (MFM) by constructing an enhanced index fund (EIF) based on an ad hoc approach in weight adjustment. Based on a two-stage method maximizing the information ratio to  btain optimal alpha scores (Grinold and Kahn, 2000; Sorensen, Qian, Hua and Schoen, 2004; Qian, Hua and Sorensen, 2007), the paper finds that by adjusting the benchmark weights and smoothing optimal alpha scores
using Taiwan 50 index as a benchmark, the constructed EIF can deliver higher information ratios and active returns, as well as a lower turnover rate in comparison with the
capital-weighted Taiwan 50 index.

The purpose of this book is to help you learn how to manage your money to derive the maximum benefit from what you earn. Mixing investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization leaves readers with the mindset on investments to serve them well. The material is intended to be rigorous and empirical yet not overly quantitative. We continue with unparalleled international coverage, newly rewritten and reorganized derivatives material to be more intuitive and clearer, three additional chapters on derivatives pricing for those who want more detail, rewritten material on multifactor models of risk and return, and new CFA problems for more practice on computations concerning investment decisions. To manage money and investments, one needs to learn about investment alternatives and develop a way of analyzing and thinking about investments that will be of benefit and allow a foundation as new tools and investment opportunities become available. Reilly/Brown provide the best foundation, used extensively by professionals, organizations, and schools across the country. A great source for those with both a theoretical and practical need for investment expertise.