Decision Rules and their Influence on Asset Prices

This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs.

Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets

This paper studies the impact of loss aversion on decisions regarding the allocation of wealth between risky and risk-free assets. We use a Value-at-Risk portfolio model with endogenous desired risk levels that are individually determined in an extended prospect theory framework. This framework allows for the distinction between gains and losses with respect to a subjective reference point as in the original prospect theory, but also for the influence of past performance on the current perception of the risky portfolio value. We show how the portfolio evaluation frequency impacts investor decisions and attitudes when facing financial losses and analyze the role of past gains and losses in the current wealth allocation. The perceived portfolio value exhibits distinct evolutions in two frequency segments delimitated by what we consider to be the optimal evaluation horizon of one year. Our empirical results suggest that previous research relying on VaR underestimates the aversion of real individual investors to financial losses.prospect theory, loss aversion, capital allocation, Value-at-Risk, portfolio evaluation

TESTING CAPITAL ASSET PRICING MODEL FOR ROMANIAN CAPITAL MARKET

The purpose of this article is the empirical testing of Capital Asset Pricing Model(CAPM) for the Romanian capital market, both for individual assets and for portfolios, using asample of daily data for 24 companies listed on Bucharest Stock Exchange, during the period06.01.2003 - 31.07.2009, following the interpretation of results and usefulness of the modelestimates. My intention is to find if the relationship between expected return and risk is linear, ifbeta is a complete measure of the risk and if a higher risk is compensated by a higher expectedreturn. The results confirm that the intercept is statistically insignificant, upholding theory, for bothindividual assets and portfolios. The tests do not necessarily provide evidence against CAPM,however other simulations can be built, more close to reality, improving the model and offering analternative which also takes into account the specific conditions of local capital market and theglobal financial crisis consequences.Capital Asset Pricing Model (CAPM), beta, risk free rate, risk premium, expected return

Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments

This paper studies the attitude of non-professional investors towards financial losses and their decisions concerning wealth allocation among consumption, risky, and risk-free financial assets. We employ a two-dimensional utility setting in which both consumption and financial wealth fluctuations generate utility. The perception of financial wealth is modelled in an extended prospect-theory framework that accounts for both the distinction between gains and losses with respect to a subjective reference point and the impact of past performance on the current perception of the risky portfolio value. The decision problem is addressed in two distinct equilibrium settings in the aggregate market with a representative investor, namely with expected and non-expected utility. Empirical estimations performed on the basis of real market data and for various parameter configurations show that both settings similarly describe the attitude towards financial losses. Yet, the recommendations regarding wealth allocation are different. Maximizing expected utility results on average in low total-wealth percentages dedicated to consumption, but supports myopic loss aversion. Non-expected utility yields more reasonable assignments to consumption but also a high preference for risky assets. In this latter setting, myopic loss aversion holds solely when financial wealth fluctuations are viewed as the main utility source and in very soft form.prospect theory, Value-at-Risk, loss aversion, expected utility, non-expected utility

Entscheidungsregeln und ihr Einfluss auf den Aktienkurs

Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den Einfluss der Anwender praktischer Entscheidungsregeln auf die Aktienkurse. Letztere werden als unvollständig informierte Anleger betrachtet. Neben diesen Anlegern agieren auf dem Markt vollständig informierte, uninformierte Investoren und ein kompetitiver Market Maker, welcher periodisch zwei Transaktionskurse (Ask/Bid) festlegt. Der Einfluss der unvollständig informierten Anleger auf die Transaktionskurse erfolgt einerseits durch die Genauigkeit ihrer Information, anderseits durch ihren Anteil an der Gesamtheit der Investoren. Die ermittelte Preisspanne (Spread) ist positiv and weist eine c.p. positive Abhängigkeit von diesen beiden Faktoren auf. Eine mögliche Erklärung dafür bietet das Auftreten von Adverse Selektion.

Tax depreciation versus accounting depreciation in Romania after joining the European Union

In order to give a true and fair view, accounting should be led by its own principles, without being distorted by value adjustments for taxation purposes. To achieve this goal, accounting must be separated from taxation, i.e., the tax recognition of the magnitude of some expenditure should not be subject to their impact on accounting. Although formally accepted, the disconnection of taxation from accounting continues to experience difficulties. But a certain progress can be detected. The regime of the expenditure with tax depreciation of the fixed assets is an example of separating accounting from taxation

Influence of the oral status on cardiovascular diseases in an older Italian population

Oral diseases have been adversely associated with cardiovascular diseases (CVD), which are also the most frequent cause of death in older population. The aim of this study was to investigate the association among oral status indexes and CVD in patients aged more than 65 years attending in the Oral department of a public hospital Policlinico Umberto 1 of Rome. The study population consisted of 533 patients. Dental status was detected measuring the Decayed, Missing, and Filled Teeth (DMFT) and Community Periodontal Index (CPI) indexes. The chi-square test with a 95% confidence level was used to assess qualitative variables. Odds ratios (ORs) and stepwise logistic regression were used to calculate risk estimates; the independent variables: age, gender, DMFT, CPI index, Geriatric Oral Health Assessment Index (GOHAI) score, and tooth loss were included in the statistical model. P value <0.05 was considered a statistically significant cut-off. No differences were found between females and males for DMFT and CPI. GOHAI data were worst for females. Patients with CVD had less education and oral care (P < 0.05), and higher CPI index and number of missing teeth (P < 0.05). Data show that patients with more than 18 missing teeth have 2.5 times greater risk of CVD. CVDs are associated with type 2 diabetes mellitus, underweight, and obesity (P < 0.05). From the findings of this study, it can be confirmed a significant link between CVD and oral health. A cooperation among geriatrician, cardiologist, and dentist is suitable to counteract the development of CVD and to early identify patients at risk of CVD

Emotions, Bayesian Inference, and Financial Decision Making

This paper presents a model in which rational and emotional investors are compelled to make decisions under uncertainty in order to ensure their survival. Using a neurofinancial setting, we show that, when different investor types fight for market capital, emotional traders tend not only to influence prices but also to have a much more developed adaptive mechanism than their rational peers, in spite of their apparently simplistic demand strategy and distorted revision of beliefs. Our results imply that prices in financial markets could be seen more accurately as a thermometer of the market mood and emotions rather than as simple informative signals as stated in traditional financial theory

Economics related to exploitation of gas wells at constant flow

It is regarded the isotherm movement of gases through a porous and isotropic medium towards a central well, taking into account the deviation from the perfect gases law and the viscosity pressure variation. The resulting model, completed with the specific limit conditions, is approached through a numerical method of solving and is applied to the wells through which the gas fields are exploited at constant flow. For the current exploitation rates of flow the variation curves of gas pressure at top of the well have been determined, thus resulting the flow maximum value after which the extraction process becomes unstable. When you are citing the document, use the following link http://essuir.sumdu.edu.ua/handle/123456789/1154

An enhanced bridged-based multi-hop wireless network implementation

Proceedings of: 5th Annual ICST Wireless Internet Conference (WICON 2010), 1-3 March 2010, SingaporeIn this paper an enhanced Layer-2 multi-hop wireless network implementation for Infrastructure based Wireless Mesh Networks is presented. This work combines the flexibility of Layer-2 Wireless Bridging with the dynamic self-configuring capabilities of MANET routing. The main contribution of this paper is an investigation of the issues encountered when applying a pure bridging based solution to wireless multi-hop networks and the development of several mechanisms to overcome these problems. This work was implemented and deployed in a real testbed environment using Routerboard hardware and utilising a number of open-source network tools in accordance with the needs of our platform. The developed testbed incorporates self-healing and self-configuration features without requiring a traditional MANET routing protocol. Instead the 802.11 beacon frames sent by the Access Points were extended with link information to allow optimal construction of the mesh topology. Results are presented which demonstrate the automated topology construction mechanism. Further results also show the enhancements made to the normal 802.11 Layer-2 mobility mechanism.European Community's Seventh Framework ProgramPublicad