Common Assets Research Articles

Characteristics and the Cross-Section of Covariances

We propose a new, minimally parameterized way of modeling stock-level covariances as a function of firm characteristics. Our model uses a large number of indicator functions to approximate the surface mapping two firms' characteristics to the correlation of their returns. We show that the method performs better than existing methods both in and out of our sample period. In truly out of sample tests, we show that using the information in firm characteristics, we can predict future covariances better than when using common asset pricing models. Correspondingly, we discuss how one can use our model as an avenue for understanding how characteristics relate to stock returns in the context of linear asset pricing models.

Finance and Economic Growth in a Dynamic Game

We investigate how the relaxation of financial constraints affects economic growth in a dynamic game of the tragedy of the commons by introducing an imperfect financial market into Tornell and Velasco’s (J Polit Econ 100(6):1208–1231, 1992) model. It is shown that whereas the relaxation of financial constraints enhances economic growth if agents have access only to a common asset whose property rights are not secure, the relaxation of financial constraints reduces economic growth if agents can have access not only to a common asset but also to a private asset whose property rights are secure.

Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Over the past two decades, commodity-linked products have become increasingly popular as an alternative asset class for many investors. This is mainly because long positions in commodities potentially offer diversification benefits in portfolios comprising other more traditional assets. Commodities also arguably provide equity-like returns and act as an inflation hedge. However, there is an ongoing debate concerning long-only positions in commodities as an adequate investment vehicle, especially given observed low or negative returns and increased correlation with other more common asset classes, as given periodically. The purpose of this article is to analyze the performance effects of including long/short commodity indices in more conventional stock–bond portfolios using out-of-sample tests over different periods and by employing different asset allocation strategies. Overall, the author identifies benefits of commodity inclusion from 2002 to 2011, but these benefits largely disappear from 2011 to 2015. An intriguing finding is that Henriksen observes a much lower risk–adjusted performance for the commodity indices after their launch date. <b>TOPICS:</b>Commodities, security analysis and valuation, fixed income and structured finance, portfolio construction

The Traditional Uses, Phytochemistry and Pharmacological Properties of Cassia fistula

Introduction: Due to the numerous unfavorable impact of present day drugs individuals used to incline toward herbal medications. The traditional prescriptions are progressively requested through the traditional experts and herbalists in the treatment of irresistible ailments. Medicinal plants assume a fundamental part for the improvement of new medications. Cassia fistula is a medicinal plant and belongs to a Caesalpiniaceae family which is usually recognized as Amulthus as well as ‘Indian Laburnum’ is an English term used for Amulthus, generally employed as a part of medicine ayurvedic system on behalf of different infirmities. Objective: To search out traditional uses by the local population, medicinal substances, their qualities and effects as well as chemical constituents in Cassia fistula are the aims of article that makes available a complete detail. Findings: Cassis fistula is a medium size short-lived tree with long and cylindrical fruits containing pulp and furthermore with a splendid yellow shaded flower. The tree is local to Pakistan, generally discovered east of the Indus in the fields and proceeding with north into the Himalayas to a rise of roughly 1200 meters. In Pakistan it is developed all through the field region. The present article gives a record of refreshed data on its phytochemical and pharmacological properties. The audit uncovers that wide quantities of phytochemical constituents have been separated from the plant perform activity such as destroying parasitic worms especially of the intestine, reduce fever, inhibit oxidation, killing larval pests, destroying fungi, anti-leishmaniatic function, destroying bacteria and other microbes, also anti-fiery activity, activity against tumor, as well as cough suppressant, activity of central nervous system, impact of clastogenic, having tendency to loosen or relax means producing bowel moment as well as relieving constipation, Impact against anxiety, impact of comforting, a damage mending impact, Hypolipidemic action, Hypocholesterolemic, Leukotriene restraint, Hepatoprotective as well as hypoglycemic activity. Conclusion: The dynamic standards ought to stay confined and plan to cure distinctive distresses by trail clinically performing concentrates to grasp the instrument of sub-atomic activity, searching for lead particles from common assets.

The Traditional Uses, Phytochemistry and Pharmacological Properties of Cassia fistula

Introduction: Due to the numerous unfavorable impact of present day drugs individuals used to incline toward herbal medications. The traditional prescriptions are progressively requested through the traditional experts and herbalists in the treatment of irresistible ailments. Medicinal plants assume a fundamental part for the improvement of new medications. Cassia fistula is a medicinal plant and belongs to a Caesalpiniaceae family which is usually recognized as Amulthus as well as ‘Indian Laburnum’ is an English term used for Amulthus, generally employed as a part of medicine ayurvedic system on behalf of different infirmities. Objective: To search out traditional uses by the local population, medicinal substances, their qualities and effects as well as chemical constituents in Cassia fistula are the aims of article that makes available a complete detail. Findings: Cassis fistula is a medium size short-lived tree with long and cylindrical fruits containing pulp and furthermore with a splendid yellow shaded flower. The tree is local to Pakistan, generally discovered east of the Indus in the fields and proceeding with north into the Himalayas to a rise of roughly 1200 meters. In Pakistan it is developed all through the field region. The present article gives a record of refreshed data on its phytochemical and pharmacological properties. The audit uncovers that wide quantities of phytochemical constituents have been separated from the plant perform activity such as destroying parasitic worms especially of the intestine, reduce fever, inhibit oxidation, killing larval pests, destroying fungi, anti-leishmaniatic function, destroying bacteria and other microbes, also anti-fiery activity, activity against tumor, as well as cough suppressant, activity of central nervous system, impact of clastogenic, having tendency to loosen or relax means producing bowel moment as well as relieving constipation, Impact against anxiety, impact of comforting, a damage mending impact, Hypolipidemic action, Hypocholesterolemic, Leukotriene restraint, Hepatoprotective as well as hypoglycemic activity. Conclusion: The dynamic standards ought to stay confined and plan to cure distinctive distresses by trail clinically performing concentrates to grasp the instrument of sub-atomic activity, searching for lead particles from common assets.

Pension Funds Interconnections and Herd Behavior

Strategic investment decisions in pension funds are made by trustees. In making these decisions, trustees contract independent advisors such as asset managers and actuaries. Can these external advisors transfer their investment beliefs to the pension funds they contract with? We use proprietary data with the names of asset management firms and individual actuaries that service multiple pension funds to answer this question. We find that pension funds make similar decisions on strategic asset allocations in the presence of a common asset manager or a common actuary, despite significant differences in their liability structures, funding levels, or sizes. The effect is particularly strong in alternative asset classes, such as private equity, hedge funds, and real estate. If two pension funds increase their strategic allocation to alternatives by 10 percentage points in one year, then a third pension fund that contracts the same asset manager increases its strategic allocation to alternatives by 2.5 percentage points, all else being equal. The common-advisor effect might lead a pension fund to select a strategic asset allocation that is not in line with its liability structure, funding ratio, sophistication level, or organizational structure.

Networks of common asset holdings: aggregation and measures of vulnerability

This paper quantifies the interrelations induced among financial institutions by common asset holdings. A network representation emerges in which nodes represent portfolios and edge weights aggregate the common asset holdings as well as the liquidity of these holdings. As a building block, we introduce a simple model of order imbalance that estimates price impacts caused by liquidity shocks. In our model, asset prices are set by a competitive risk-neutral market maker, and the arrival rates for buyers and sellers depend on the common asset holdings. We illustrate the relevance of our aggregation method and the resulting network representation using data on mutual fund asset holdings. We compare three related measures of vulnerability in the network and demonstrate a strong dependence between mutual fund returns and these measures.

Challenges And Opportunities in Applying Vibration Based Condition Monitoring in Railways

Electrical rotating machines are among the most common assets used in industry. In railways applications these devices are present in fixed and rolling stock systems, such as turnouts and traction components. Condition based maintenance (CBM) of rotating machines may significantly improve the availability of critical railway assets. Moreover, by efficiently assessing the state of health of targeted components, it becomes possible to introduce advanced asset management strategies for life cycle cost optimization. In comparison with traditional maintenance approaches, health monitoring enables better maintenance scheduling, fleet size optimization and maintenance costs reduction. CBM applied to rotating machines has been actively studied by many researchers in a wide variety of fields such as: signal processing, anomaly detection, failure diagnostic and failure prognostics. However, there is still a considerable gap between the methods studied in research and the ones successfully applied in industry, and especially in the railway field. This paper discusses the challenges and opportunities for application of CBM methods to electrical rotating machines in railway applications. For the purpose of illustration, a case study focusing on traction motor bearings is considered. Time domain and frequencydomain signal processing techniques are employed to extract features from bearing degradation data. The data analyzed in the present study have been obtained in a bearing test bench and during a test conducted on a real traction motor used in trains. The results of the considered methods are discussed and future research directions are suggested.

Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors from a large dimensional and high-frequency returns dataset with 267 constituents of the S&P 500 index. In the first step, we apply either LASSO or elastic net shrinkage on estimates of integrated volatility of all constituents in the dataset, in order to select a subset of asset return series for further processing. In the second step, we utilize (sparse) principal component analysis to estimate latent common asset return factors, from which latent integrated volatility factors are extracted. Although we find limited in-sample fit improvement, relative to a benchmark HAR model, all of our proposed factor-augmented models result in substantial out-of-sample predictive accuracy improvement. In particular, forecasting gains are observed at market, sector, and individual-stock levels, with the exception of the financial sector. Further investigation of the factor structures for non-financial assets shows that industrial and technology stocks are characterized by minimal exposure to financial assets, inasmuch as forecasting gains associated with factor-augmented models for these types of assets are largely attributable to the inclusion of non-financial stock price return volatility in our latent factors.

USAGE OF FLY ASH AND OTHER UNCONVENTIONAL METHODS IN CONSTRUCTION

Conventional Portland Cement (CPC) is turning into a vitality comprehensive and expensive constituent in the creation of solid, which is the most broadly utilized development material. It is normal that the concrete prerequisite will grow triple to around 3.5 billion tons by the year 2015. In spite of the fact that the prerequisite is immense, the crude materials required for the bond generation are generally less. Notwithstanding the costly procedure of bond creation, the ecological effect because of the outflow of Carbon dioxide (CO2) is disturbing, since it is the real wellspring of an unnatural weather change. Bhanumathidas and Mehta (2001) have assessed that to create one ton of concrete, about 1.5 tons of earth minerals are expended and one ton of CO2 is produced in the environment. One of the productive strategies to ration the common assets and diminish the effect on the earth is to go for SCMs, wherein the amount of CPC can be spared. Since the majority of the SCMs are squandered materials, which are poisonous when dumped in the grounds, mixing of them in concrete turns into a protected and viable transfer strategy. A portion of the waste materials which enhance the properties of cement is fly fiery debris, Ground Granulated Blast heater Slag (GGBS), silica smolder, RHA, LP, copper slag et cetera.

Towards certified open data in digital service ecosystems

The opportunities of open data have been recently recognized among companies in different domains. Digital service providers have increasingly been interested in the possibilities of innovating new ideas and services around open data. Digital service ecosystems provide several advantages for service developers, enabling the service co-innovation and co-creation among ecosystem members utilizing and sharing common assets and knowledge. The utilization of open data in digital services requires new innovation practices, service development models, and a collaboration environment. These can be provided by the ecosystem. However, since open data can be almost anything and originate from different kinds of data sources, the quality of data becomes the key issue. The new challenge for service providers is how to guarantee the quality of open data. In the ecosystems, uncertain data quality poses major challenges. The main contribution of this paper is the concept of the Evolvable Open Data based digital service Ecosystem (EODE), which defines the kinds of knowledge and services that are required for validating open data in digital service ecosystems. Thus, the EODE provides business potential for open data and digital service providers, as well as other actors around open data. The ecosystem capability model, knowledge management models, and the taxonomy of services to support the open data quality certification are described. Data quality certification confirms that the open data is trustworthy and its quality is good enough to be accepted for the usage of the ecosystem’s services. The five-phase open data quality certification process, according to which open data is brought to the ecosystem and certified for the usage of the digital service ecosystem members using the knowledge models and support services of the ecosystem, is also described. The initial experiences of the still ongoing validation steps are summarized, and the concept limitations and future development targets are identified.

Role of political power in forest administration policy of Iran

The area of natural forest in Iran is approximately 12.4 million hectares, comprising 7.5% of the total area of Iran. Forest management in the country was changed to the legislature after order of the Forest Nationalization Law in 1963. With civilization development, pressure on forests was significantly increased. In the early 20th century a system of development planning began as a series of seven-year cycles, focusing on accelerating economic growth by improving capital-intensive industries and replacing religious and social traditions with rapid modernization. There are some essential challenges ahead of the common assets administration of the Hyrcanian forests which have many conflicts between including executive associations and regulations. So that, forest policy has been structurally shifted in policy sector, from private administration to governmental management. This paper has provided a literature review discussing the forest policy administration in Iran and its essential structural shifts during the last century as well as data collection from relevant governmental and private organizations.

Common Asset Holdings and Stock Return Comovement

A growing literature highlights the effect of common asset holdings on market dynamics. Focusing on relatively large stocks, Anton and Polk (2014) find that assets with many common investors comove more strongly in the future than otherwise similar stocks. In order to acknowledge the shift in institutional preferences over the last two decades we perform a similar analysis but also include small stocks in our sample. Our main findings are as follows: first, we document a strong increase in both institutional ownership and common asset holdings over the sample period, particularly so for the smallest stocks. Second, raw stock return correlations have also increased strongly over time, while the increase is much more modest for factor model residual correlations. Third, we confirm that common ownership is significantly related to future return correlations for relatively large stocks, but the relationship appears to become less important over time. For relatively small stocks the relationship is often insignificant, but the effect appears to become more important over time. Lastly, we find no evidence that institutional ownership Granger-causes return correlations for the subset of small stocks.

Are Specialists Speciall?

Common asset holdings have received a lot of attention recently, but little is known about how overlapping investors' portfolios are in the real world. Using data on U.S. institutional investors' stock portfolios for the period 1990–2014, we document a strong and significant overlap in the average pair of investors' portfolios. This strong portfolio overlap is the main reason for why it is difficult to detect institutions with superior performances. In fact, while specialized investors appear to emphasize certain stock-specific characteristics, their performances are not significantly different from those of diversified investors. Overall, these findings suggest that specialist investors are not very special.

The role of the private sector under insecure property rights

It is well known that the so-called voracity effect can be observed in an economy with a weak property rights system. Voracious behavior is regarded as one of the excess uses of the common assets. In this paper, we seek to examine voracious behavior from a different perspective by introducing a new direction of capital flow: from the private sector to the common sector. A government mandates that all competing interest groups invest their private capital in the common sector to mitigate the effects of excess use of the commons. In this situation, we study how this capital flow affects the voracious behavior of the groups and the growth rate of the economy. The main findings are that, while there is no standard voracity effect, an increase in the contribution of the private sector into the common sector causes more voracious behavior and thus reduces economic growth. This suggests that policies designed to preserve the commons can lead to a harmful effect on the economy.

Reengineering legacy applications into software product lines: a systematic mapping

Software Product Lines (SPLs) are families of systems that share common assets allowing a disciplined reuse. Rarely SPLs start from scratch, instead they usually start from a set of existing systems that undergo a reengineering process. Many approaches to conduct the reengineering process have been proposed and documented in research literature. This scenario is a clear testament to the interest in this research area. We conducted a systematic mapping study to provide an overview of the current research on reengineering of existing systems to SPLs, identify the community activity in regarding of venues and frequency of publications in this field, and point out trends and open issues that could serve as references for future research. This study identified 119 relevant publications. These primary sources were classified in six different dimensions related to reengineering phases, strategies applied, types of systems used in the evaluation, input artefacts, output artefacts, and tool support. The analysis of the results points out the existence of a consolidate community on this topic and a wide range of strategies to deal with different phases and tasks of the reengineering process, besides the availability of some tools. We identify some open issues and areas for future research such as the implementation of automation and tool support, the use of different sources of information, need for improvements in the feature management, the definition of ways to combine different strategies and methods, lack of sophisticated refactoring, need for new metrics and measures and more robust empirical evaluation. Reengineering of existing systems into SPLs is an active research topic with real benefits in practice. This mapping study motivates new research in this field as well as the adoption of systematic reuse in software companies.

Anti-Loss Key Tag Using Bluetooth Smart

Objectives: The most common asset tracking systems used are RFID, Wi-Fi, Cellular, WSN, Robots, GPS etc. While using such techniques, the energy consumption will be increased; proximity range cannot be met and are costly. Statistical Analysis: So the developers started to build up a less complex, compact and energy efficient object tracker with the use of Bluetooth Low Energy. Findings: This paper aims at developing a Key Tag that identifies the location of the minute objects within the specified proximity area. The main components are: I) Bluetooth Low Energy, II) Smartphone. The key functions are performed by Bluetooth Low Energy (BLE) module and smart phone application. The important feature of this key tag is its low power consumption through the usage of Bluetooth Low energy that has the key feature of sleep mode for most of the time and only wakes up when the connection is initiated. Improvements: Low power consumption is achieved by limiting the actual connection times to a very few ms the results achieved through BLE analysis is presented and discussed here.

Partially Overlapping Ownership and Contagion in Financial Networks

Using historical banking data for the United States from the years 2000 to 2015 we characterize the probability and extent of a financial contagion using a calibrated network model of heterogeneous interbank exposures. Both the probability and the average extent of a contagion begin to rise in 2007 prior to the US financial crisis. Including a common asset in the model increases both the probability and extent of contagion, especially during the years of the financial crisis. Based on rising institutional ownership in the banking industry, we introduce a partially overlapping ownership asset that devalues endogenously. The addition of this asset increases the extent of a financial contagion. Our results show that trends in capital buffers and the distribution and type of assets have a significant effect on the predictions of financial network contagion models and that the rising trend in ownership of banks by banks amplifies shocks to the financial system.

To Survive and Thrive under Hypercompetition: An Exploratory Analysis of the Influence of Strategic Purity on Truckload Motor-Carrier Financial Performance

AbstractEasy access to equipment and low barriers to entry have led to an intensely competitive truckload industry in which carriers possess little power to increase prices consistent with inflation. Yet, the heterogeneous performance among TL carriers indicates that sustained success in such a hypercompetitive industry is possible. Under the strategic purity framework, this research adopts a multimethod approach by first utilizing panel of financial and operational data composed of 828 firm-quarter observations and finds that the relationship between a popular industry metric—the trailer-to-tractor ratio (T2T)—and performance is convex. Empirical results are further explained by interviews with senior executives and industry analysts. This research contributes to theory and practice by first showing that, consistent with the strategic management literature, strategy-driven heterogeneous configuration of common assets may increase performance. Second, we show that strategic purity allows carriers supernormal financial performance, despite the hypercompetitive environment. Third, as the TL industry becomes increasingly conscious of competitive strategies, our study shows that the T2T can be used as a guide for carriers to align their competitive strategy with asset configuration.

Fire Sales, Indirect Contagion and Systemic Stress Testing

We present a framework for quantifying the impact of fire sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may interact with one-sided portfolio constraints, such as leverage or capital constraints, resulting in liquidation of assets, which in turn affects market prices, leading to contagion of losses and possibly new rounds of fire sales when portfolios are marked to market. Price-mediated contagion occurs through common asset holdings, which we quantify through liquidity-weighted overlaps across portfolios. Exposure to price-mediated contagion leads to the concept of indirect exposure to an asset class, as a consequence of which the risk of a portfolio depends on the matrix of asset holdings of other large and leveraged portfolios with similar assets. Our model provides an operational stress testing method for quantifying the systemic risk arising from these effects. Using data from the European Banking Authority, we examine the exposure of the EU banking system to price-mediated contagion. Our results indicate that, even with optimistic estimates of market depth, moderately large macro-shocks may trigger fire sales which may then lead to substantial losses across bank portfolios, modifying the outcome of bank stress tests. Price-mediated contagion leads to a heterogeneous cross-sectional loss distribution across banks, which cannot be replicated simply by applying a macro-shock to bank portfolios in absence of fire sales. Unlike models based on `leverage targeting', which assume symmetric reactions to gains or losses, our approach is based on the asymmetric interaction of portfolio losses with one-sided constraints, distinguishes between insolvency and illiquidity and leads to substantially different loss estimates in stress scenarios.