Template-Type: ReDIF-Article 1.0 Author-Name: F. Piri Author-Name: M. Salahi Author-Name: F. Mehrdoust Title: Robust Mean-Conditional Value at Risk Portfolio Optimization Abstract: In the portfolio optimization, the goal is to distribute the fixed capital on a set of investment opportunities to maximize return while managing risk. Risk and return are quantities that are used as input parameters for the optimal allocation of the capital in the suggested models. But these quantities are not known at the time of the formulation and solving the problem. Thus they should be estimated to solve the problem which might lead to large error. One of the widely used approaches to deal with such a situation, is robust optimization. In this paper we study the robust models of the mean-Conditional Value at Risk (M-CVaR) portfolio selection problem under the estimation risk in mean return for both interval and ellipsoidal uncertainty sets. The corresponding robust models are a linear programming problem and a second order conic programming problem (SOCP) respectively. At end an example is given to demonstrate the impact of uncertainty. Keywords: Portfolio Optimization, Robust Optimization, Value at Risk, Conditional Value at Risk, Conic Optimization, Portfolio Optimization, Robust Optimization, Value at Risk, Conditional Value at Risk, Conic Optimization Pages: 2-11 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/1 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:1:p:2-11 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/1 Template-Type: ReDIF-Article 1.0 Author-Name: Davtyan Azat Title: GMM Estimation and Shapiro-Francia Normality Test: A Case Study of CEE Economies Abstract: The present paper estimates the link between GDP per capita, inflation (GDP deflator), exports, imports, final consumption, gross capital formation, tax revenue and public expense of CEE countries (Bulgaria, Romania, the Czech Republic, Slovak Republic, Poland, Slovenia and Russia) using GMM estimation for the period 2005-2010. Besides, we run Shapiro-Francia W' test to indicate the patterns of normal distribution among samples of our study. The objective of this quantitative empirical is twofold: first, it examines the linkages of economic indicators of CEE countries in order to find out the main changes of economic landscape. Second, it aims at highlighting the development of CEE countries on the way of deeper convergence to the euro area utilizing the available panel series. We find that GDP per capita of CEE countries is in negative relationship with expense, final consumption, gross capital formation, exports and inflation. With regard to Shapiro-Francia W' test, we assume that variables show a normal distribution. Keywords: exports, final consumption, Arellano-Bond test, GMM, gross capital formation, imports, exports, final consumption, Arellano-Bond test, GMM, gross capital formation, imports Classification-JEL: E21, E22, E31, H50 Pages: 12-26 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/2 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:2:p:12-26 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/2 Template-Type: ReDIF-Article 1.0 Author-Name: Laura Carabotta Title: Which Agency and Which Period is The Best? Analyzing National and International Fiscal Forecasts in Italy Abstract: Economic forecasts taken into account during the European Semester are getting an increasing role in macroeconomic policy decisions. The main motivation for this paper is to analyse the performance of national, international and private agencies in forecasting the government deficit as a ratio to GDP for Italy from 1992 to 2012. Extending the existing methodology and using an innovative database, this paper finds that the accuracy of the forecasts depend on the month in which the forecasts are realized and on the nature of the institution making the economic forecasts (i.e. public or private). Keywords: deficit, forecast accuracy, fiscal forecasting, forecast comparison Classification-JEL: C14, E43, E62, G12, H62, H63 Pages: 27-46 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/6 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:6:p:27-46 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/6 Template-Type: ReDIF-Article 1.0 Author-Name: Kmonwan Chairakwattana Author-Name: Sarayut Nathaphan Title: Stock Return Predictability by Bayesian Model Averaging: Evidence from Stock Exchange of Thailand Abstract: This research paper examines the predictability power on future stock returns by employing the concept of Bayesian Model Averaging (BMA). The sample focuses on Stock Exchange of Thailand (SET) over 2001-2011. Predictors for return predictability contain financial information which are dividend yield, Book-to-Market, Earning yield, Default risk premium, Monthly rate of three-month Treasury bill, Term premium, Monthly inflation rate and Term spread. This paper also explores the predictability power over financial crisis, sub-period over 2008-2009. In addition, this paper compares expected returns from two models between BMA and traditional regression (Fama and Macbeth two steps procedure). Results indicated that BMA approach outperforms the traditional regression model. Keywords: Stock Return, Investment Decision, Bayesian Model Averaging, Portfolio, Asset Pricing, Model Uncertainty Pages: 47-63 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/7 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:7:p:47-63 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/7 Template-Type: ReDIF-Article 1.0 Author-Name: Thannaletchimy Thanagopal Author-Name: Pierre Le Mouel Author-Name: Arnaud Fourgeyrollas Author-Name: Paul Zagamé Title: Re-estimating International Elasticity of Substitution - A Preliminary Study of Quality Effect on Trade Abstract: Trade in quality has become a dominant economic phenomenon in Europe since the 1990s (Fontagné, Freudenberg, Peridy, 1998). Increasingly, European countries trade in similar products which vary in quality and variety, making quality an important determinant of trade within these countries. This paper, thus, attempts to quantify the effect of quality in trade within Europe. In particular, the study attempts to re-estimate import elasticities of substitution between the same good coming from different origins while accounting for the varying quality of the product. These estimates are then used to quantify the impact of quality on trade within these countries. The paper concludes that quality is important for trade, especially for differentiated goods rather than homogeneous ones. Keywords: trade, quality, import price elasticity, elasticity of substitution, competitiveness, disaggregated sectoral analysis Pages: 64-77 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/8 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:8:p:64-77 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/8 Template-Type: ReDIF-Article 1.0 Author-Name: Sasson Bar-Yosef Author-Name: Itzhak Venezia Title: An Experimental Study of Overconfidence in Accounting Numbers Predictions Abstract: This paper analyzes experimentally investors' overconfidence when making predictions of financial and accounting numbers and explores which factors drive this bias. In particular we analyze the extent to which familiarity with the variable predicted, the complexity of the forecasting task, and the amount of information available for the investors affect their overconfidence. We also compare the extent to which professional analysts differ from other investors in that respect. For this we conducted three experiments. Two experiments with advanced accounting students as subjects, where the experiments differed in the firm the subjects analyzed and the third with professional financial analysts. In each experiment we provided the subjects with past accounting reports and other financial data of a firm. Based on these data the subjects were asked to forecast Net Income, EPS, and Share Price. In all the experiments we found that the subjects exhibited a considerable degree of overconfidence. The professional analysts were slightly more overconfident than the students. Subjects showed more overconfidence in predicting share prices than when forecasting other lesser familiar variables. However we could not detect correlation between the amount of information and overconfidence, neither between success and overconfidence, nor between the complexity of the task and overconfidence. Keywords: Accounting, Prediction of Accounting Numbers, Experimental Economics, Overconfidence, Behavioral Finance, Analysts Classification-JEL: G02, G17, M40 Pages: 78-89 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/ijes/9 File-Format: text/html Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:9:p:78-89 X-File-Ref: http://www.vse.cz/RePEc/prg/jnljes/references/9