Limit Transaction Costs Research Articles

An overview of technical analysis in systematic trading strategies returns and a novel systematic strategy yielding positive significant returns

This paper contributes to the literature on systematic trading strategies, in particular technical analysis profitability. We measure the profitability and forecasting power of a trend following strategy implemented in Python on a wide perimeter (205 European stocks, 11 industries, 7 major stock exchanges) over 8 years: from 2015 to 2022. The strategy signal is based on 4 moving averages and a trailing stop loss. We also introduce a mechanism based on trailing upper and lower price bounds to avoid false signals and limit transaction costs during lateral movements. We calibrate the iper-parameters to all stocks belonging to the same industry. The returns of the strategy applied to the constituents of the top performing industries provides a total return of 20% net of transaction costs, with an annualized Sharpe ratio of 0.54, in the out of sample time window from 2020 to 2022.

Collaborative environmental governance and transaction costs in partnerships: evidence from a social network approach to water management in France

Several studies attempt to explain how collaborative environmental governance processes operate, but the question of why collaboration relationships form has received much less attention. Motivated by this need, this paper provides insights to the broad question: why does collaborative river basin management in France depend so heavily on partnerships made up around a few actors? Accordingly, our analytical framework develops a transaction cost explanation for the extent to which participatory procedures help stakeholders to identify partners and initiate collaboration, and for the causal link between the attributes of these stakeholders and their partnerships. The p2 model is implemented to investigate partnership networks of the key actors that govern the management of the Gironde estuary, the study case. The results provide evidence that environmental institutions bring together heterogeneous actors who might not be ready for collaboration, thereby actors’ perceived power similarity; their geographical proximity and co-presence in formal fora limit transaction costs.

Decoration, self-transcendence, and spiritual expression: stakeholder cooperation and the creation of joint value in the workplace

This paper explores recent empirical findings that highlight the importance of decoration, particularly in forms that may be described as a kind of spirituality or spiritual expression, and the significance these findings have for thinking about how stakeholders cooperate to create value. We highlight how this phenomenon may become important for thinking about organizations – especially how spirituality may play a role in fostering stakeholder relations that generate more value for all those involved as well as limit transaction costs. Given our focus in exploring this phenomenon and highlighting decoration’s relevance, we focus on its core findings, outline connections to the spirituality and stakeholder theory literatures, and note promising directions for future research.

Implications of uncertainty and scale in carbon emission estimates on locally appropriate designs to reduce emissions from deforestation and degradation (REDD+)

This study combined uncertainty analysis of carbon emissions with local stakeholders' perspectives to develop an effective Reducing Emission from Deforestation and Degradation (REDD+) scheme at the district level. Uncertainty of carbon emission estimates depends on scale while local stakeholders' views on plausible REDD+ schemes influence and limit transaction costs. The uncertainty analysis formed the basis for determining an appropriate scale for monitoring carbon emission estimates as performance measures for REDD+ incentives. Our analysis of stakeholder’ perspectives explored (i) potential location and activities for lower emission development pathways, and (ii) perceived fair allocation of REDD+incentives. Our case study focused on frontier forest in Tanjung Jabung Barat District, Jambi, Indonesia. The uncertainty analysis used Monte Carlo simulation techniques using known inaccuracy of land cover classification and variation in carbon stocks assessment per land cover type. With decreasing spatial resolution of carbon emission maps, uncertainty in carbon estimates decreased. At 1 km2 resolution uncertainty dropped below 5 %, retaining most of the coarser spatial variation in the district. Fairness, efficiency and transaction cost issues in the design of REDD+ mechanisms were readily recognized by local stakeholders, who converged on an equal allocation to short-term efficiency (emission reduction activities) and long-term fairness (alternative livelihood development). A striking difference occurred in desirable transaction costs (which include monitoring, reporting and verification), with Non-Governmental Organizations (NGOs) aiming for 8 %, while government and researchers accepted transaction costs of 40 %. Feasible measures for emission reduction in the district, derived from a participatory planning process, are compatible with the 1 km2 spatial resolution of performance measures.

Stale Prices and Strategies for Trading Mutual Funds

We demonstrate that an institutional feature of numerous mutual funds—funds managing billions in assets—generates fund net asset values that reflect stale prices. Because investors can trade at these NAVs with limited transaction costs in many cases, obvious trading opportunities exist. These opportunities are especially prevalent in funds that buy Japanese or European equities. Simple, feasible strategies generate Sharpe ratios (excess return divided by standard deviation) that are many times greater than the Sharpe ratio of the underlying fund. We illustrate the potential of the strategy for three Vanguard Group mutual funds. A particular issue to keep in mind is that when the strategies are implemented, the gains from these strategies are matched by offsetting losses incurred by buy-and-hold investors in these funds.