Rezumat. Această lucrare îşi propune să identifice un potenţial impact al mediului macroeconomic ... more Rezumat. Această lucrare îşi propune să identifice un potenţial impact al mediului macroeconomic asupra profitabilităţii companiilor listate la Bursa de Valori Bucuresti. Cercetarea derivă din literatura de specialitate recentă privind determinarea macroeconomică a structurii capitalului specifică întreprinderilor situate în ţările emergente. În cazul acestor societăţi, specialiştii nu au convenit cu privire la transferul riscului la nivelul randamentelor aferente obligaţiunilor suverane şi corporative, dar fiecare ţară emergentă implică o abordare individuală, fiind abandonată perspectiva generală. Prin urmare, cercetarea se concentrează pe evidenţierea efectului macroeconomic asupra rentabilităţii întreprinderilor; va fi dezvoltată o perspectivă complexă, ce urmăreşte mixul dintre abordarea sistemică şi cea idiosincratică. Cuvinte-cheie: riscul de faliment; impact macroeconomic; profitabilitate; idiosincratic. Cod JEL: E44.
The risk concept and the risk diversification theories are facing new approaches and suffer signi... more The risk concept and the risk diversification theories are facing new approaches and suffer significant changes by accepting the influence of subjective elements and random phenomena. The paper is screening the most important risk diversification theories and model ad the attitude toward the risk. The selection catches the evolutions of the concepts, approach and attitudes, but also various examples of the risk theory materialization. The case study of the Romanian SMEs managers is a qualitative analysis of their knowledge and perception toward risk in the managed companies and own lives. There were crystallised some conclusions and new research directions that could lead to solutions of improving the risk protection of the business environment.
Recent phenomena on the aging of the population due to the improvement of the quality of life, th... more Recent phenomena on the aging of the population due to the improvement of the quality of life, the decrease of the population, the decrease in the fertility rate and the development of the capital markets have led to the encouragement of private pension funds. The private pension system is essential to any modern and prosperous economy; the competitive allocation of capital under this scheme ensures the maintenance / increase of the purchasing power of future earnings from pensions, as well as the most appropriate way to finance national economic development.Basedon extensive literature on the optimization of financial investment portfolios and efficient management of private pension funds, our main objective is to optimize portfolios of private pension funds in relation to the degree of risk assumed by the managers of these funds. In concrete terms, we report optimal weights for the allocation of pension funds in five asset categories (shares, corporate bonds, participation funds, ...
Under the background of the current economic realities, characterized by uncertainty and mistrust... more Under the background of the current economic realities, characterized by uncertainty and mistrust, of increased complexity of the environment in which they operate, the Romanian companies must demonstrate good organization, flexibility, skills, good risk management and be trustworthy economic and social partners. The answer to many of these challenges is provided by a modern management system, which makes proof of more convincing development possibilities, namely corporate governance. This article is an attempt to summarize the major theoretical and practical issues related to corporate governance models, as well as a vision of the need to apply this management system in the Romanian companies. At the same time, the paper will briefly present the current state of corporate governance system implementation in the Romanian companies.
This paper is concerning about the nonlinear programming problems where the functions involved ar... more This paper is concerning about the nonlinear programming problems where the functions involved are η-pseudolinear with respect to a bifunction. Starting from differentiable η-pseudolinear case described by Giorgi and Rueda we first design a framework for case of η-pseudolinearity with respect to a bifunction then we present our main results in two theorems where we prove the necessary and sufficient conditions of efficiency for a feasible point and we investigate the conditions when an efficient solution is properly efficient solution.
The study of the multiobjective programming problems is one of the great significance in optimiza... more The study of the multiobjective programming problems is one of the great significance in optimization theory (see [1]). A certain situation is when the objective function is a nondiferentiable vector function. To treat this case we consider a constrained multiobjective programming problem. The class of invex functions was introduced by Hanson (see [2]). This class of functions is designed to relax the assumptions of the convexity which are imposed on functions when we want to state the sufficient optimality conditions. In the specialized literature exists some concepts concerning the class of invex functions (see [3], [4]). One of these approaches is that proposed by H. Slimani and M.S. Radjef (see [4]). In their study the invexity for a differentiable vector function is solved by searching the invexity for each component. On the other hand, for studying the invexity of a nondifferentiable vector function with respect to the same function η exist an other approach (see [5], [6],) wh...
This paper explores the relative stock market performance of well-diversified gender equality equ... more This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 2020, with a sample of 11 indices and 834 daily observations, and using several different statistical and econometric methods. Our results show a high level of dynamic conditional correlation of daily returns among the gender equality and the overall indices. We also found comparable levels of conditional volatility (resulting from an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH)model) and an elevated degree of synchronization of the volatility regimes (identified by a Markov switching model). Calibrating simple linear quantile regressions, we found that the value of the slope coefficients of the hypothetical linear relationship between the gender equality indices and the overall market indices are close to ...
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2019
This paper aims to establish whether there is a relationship between the main industries of the S... more This paper aims to establish whether there is a relationship between the main industries of the STOXX EURO 600 index. Another research question is addressed in this article: what is the link between small and large firms? In order to answer these two questions, we will use various econometric models such as VAR-impulse response functions, Granger causality tests and GARCH models for modeling the volatility. The empirical results pointed out a positive relationship between all the sectors selected and STOXX 600 index. The Granger causality test showed a unidirectional causal relationship from the insurance sector to STOXX 600 and a bidirectional causal relationship between automobiles & parts, construction and material components, retail, telecommunications, utilities and STOXX600. We strongly believe that through our results we will help investors in their decision-making process, academic research and the policy makers and will improve supervisory process.
This paper explores the sensitivity of Romanian collective investment undertakings’ returns to ch... more This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with change...
This paper deals with the application of the analysis on a portfolio made up of eight titles, thr... more This paper deals with the application of the analysis on a portfolio made up of eight titles, through determination of the portfolio with absolute minimum variation and of the frontier of efficiency. Thus, using the Markowitz model, the dimensions of the portfolio with minimum absolute variation could be established but its profitability was smaller than the profitability offered by the BET rating. The best strategy to follow in this respect would have been to adopt a passive strategy and to take over the structure of the rating in the investment of portfolio for a good profitability but with a higher risk.
The fundamental premise from which we start in this article is that the leader counts, that the t... more The fundamental premise from which we start in this article is that the leader counts, that the top-level people certainly affect the productivity of any organization and that awareness of empathic capacity for each leader, the discovery of the constitutive capacities of the empathic phenomenon and their involvement in particular by them proves to be necessary. The capacity to be empathic is a prerequisite to optimize the leader's relations with subordinates and a condition for effective communication.
This article tries to answer an actual issue inducted by the title portfolio management. How do w... more This article tries to answer an actual issue inducted by the title portfolio management. How do we combine the risky assets with the ones without risk, which are the portfolios selection criteria, which are their performances and the choices of the rational investor.
The economy of knowledge requires measures of national wealth that take into account aspects not ... more The economy of knowledge requires measures of national wealth that take into account aspects not contemplated by GDP, in order to portray the situation of a country more truthfully. In this paper, we use a new model to measure the intellectual capital of nations, adapted from microeconomics. It is based on the observation of hidden capital as implicit generator of long-term wealth, considering not only sustainability and social wellbeing, but also intangible assets such as human development, economic structure, international trade, foreign image and innovation. This empirical study reveals the importance of hidden capital in a nation's wealth, making the difference where economic growth is concerned, as the most developed countries record the highest scores of efficiency in terms of intangible capital.
Rezumat. Premisa fundamentală de la care pornim în realizarea acestui articol este aceea că lider... more Rezumat. Premisa fundamentală de la care pornim în realizarea acestui articol este aceea că liderul contează, că oamenii din vârful ierarhiei influenţează în mod cert productivitatea oricărei organizaţii şi că se dovedeşte a fi necesar conştientizarea existenţei unei capacităţi ...
The international financial crisis during these last years has provided the effects in the most e... more The international financial crisis during these last years has provided the effects in the most economies of the world, forcing the affected countries to grow the credit demand to mitigate the impact of this financial crisis into their economy. The International Monetary Fund (IMF) extended the opportunity for Member States to obtain a financial support from the Fund with the recipient country must meet certain indicators of macroeconomic stability. Our paper aims to present the effects of the stand-by agreement with the IMF signed by the Romanian government to alleviate the crisis of the Romanian economy and out of the economic recession that our country faced during the 2009-2010 years.
This paper examines the correlation between public policies in the field of military expenditures... more This paper examines the correlation between public policies in the field of military expenditures and economic growth in Romania. The research is built upon the vast literature focused on the field of public policies and economic growth. Whereas economic growth became one of the most dynamic areas in economics, this correlation will consider the determinants of the real sector development through economic phenomenon modeling. The impact of military expenditures on growth is analysed for Romania, using annual data over the period 1991-2016. The research methodology employed is the Granger causality test. The empirical results reveal that there is a bidirectional relationship between military expenditure and GDP over the long run, with a positive effect described by both relationships through several models exemplified in the analysis. From the economic point of view, these results highlight the impact of military expenditures, generating different positive effects on labor, capital, economic growth and efficient use of resources in the economic sector, at the national level.
This paper focuses on corporate rating delivery process in terms of localization criteria differe... more This paper focuses on corporate rating delivery process in terms of localization criteria differentiation. Corporate rating is conceived as a default predictor. We conduct a comprehensive study of the existing literature on the corporate default models, outlining the weak and the strong points, especially from the point of view of the methodology by which default threshold is identified. Both classical
This paper focuses on applying Black and Scholes structural approach on credit risk in the case o... more This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a case-study on 35 companies belonging to five industries (energetic, materials, chemistry, pharmaceuticals, equipments) during a period of 10 years in order to highlight out default point/threshold and its essential factors evolution across industries. Research approach is concentrated also on the specific characteristics of the Romanian capital market (especially in terms of illiquidity and lack of transparency additional costs), macroeconomic environment and corporate finance decision process. We compute default point from the perspective of the arbitrage between assets and leverage; in accordance with the most recent theories on specific features corporate default within emerging countries (Galytskyy, 2006), a key element will be represented by the assets volatility which will be correlated with the country risk premium in order to highlight out a potential macroeconomic impact on corporate failure.
This paper focuses on corporate rating delivery process in terms of localization criteria differe... more This paper focuses on corporate rating delivery process in terms of localization criteria differentiation. Corporate rating is conceived as a default predictor. We conduct a comprehensive study of the existing literature on the corporate default models, outlining the weak and the strong points, especially from the point of view of the methodology by which default threshold is identified. Both classical and modern theories are analyzed; the empirical perspective based on a case study on IT commercial companies is elaborated mainly in order to build up a practical approach on the corporate rating delivery process. Localization criteria is a key-element. There will be followed up a potential differentiation of the corporate rating rationale in terms of financial indicators contribution in accordance with the localization criteria. Corporate rating will be elaborated under the form of a score function using Multiliniar Discriminant Analysis. The main preoccupation consists of revealing out potential differences of the corporate rating delivery process according to the localization criteria-emerging versus developed countries.
Rezumat. Această lucrare îşi propune să identifice un potenţial impact al mediului macroeconomic ... more Rezumat. Această lucrare îşi propune să identifice un potenţial impact al mediului macroeconomic asupra profitabilităţii companiilor listate la Bursa de Valori Bucuresti. Cercetarea derivă din literatura de specialitate recentă privind determinarea macroeconomică a structurii capitalului specifică întreprinderilor situate în ţările emergente. În cazul acestor societăţi, specialiştii nu au convenit cu privire la transferul riscului la nivelul randamentelor aferente obligaţiunilor suverane şi corporative, dar fiecare ţară emergentă implică o abordare individuală, fiind abandonată perspectiva generală. Prin urmare, cercetarea se concentrează pe evidenţierea efectului macroeconomic asupra rentabilităţii întreprinderilor; va fi dezvoltată o perspectivă complexă, ce urmăreşte mixul dintre abordarea sistemică şi cea idiosincratică. Cuvinte-cheie: riscul de faliment; impact macroeconomic; profitabilitate; idiosincratic. Cod JEL: E44.
The risk concept and the risk diversification theories are facing new approaches and suffer signi... more The risk concept and the risk diversification theories are facing new approaches and suffer significant changes by accepting the influence of subjective elements and random phenomena. The paper is screening the most important risk diversification theories and model ad the attitude toward the risk. The selection catches the evolutions of the concepts, approach and attitudes, but also various examples of the risk theory materialization. The case study of the Romanian SMEs managers is a qualitative analysis of their knowledge and perception toward risk in the managed companies and own lives. There were crystallised some conclusions and new research directions that could lead to solutions of improving the risk protection of the business environment.
Recent phenomena on the aging of the population due to the improvement of the quality of life, th... more Recent phenomena on the aging of the population due to the improvement of the quality of life, the decrease of the population, the decrease in the fertility rate and the development of the capital markets have led to the encouragement of private pension funds. The private pension system is essential to any modern and prosperous economy; the competitive allocation of capital under this scheme ensures the maintenance / increase of the purchasing power of future earnings from pensions, as well as the most appropriate way to finance national economic development.Basedon extensive literature on the optimization of financial investment portfolios and efficient management of private pension funds, our main objective is to optimize portfolios of private pension funds in relation to the degree of risk assumed by the managers of these funds. In concrete terms, we report optimal weights for the allocation of pension funds in five asset categories (shares, corporate bonds, participation funds, ...
Under the background of the current economic realities, characterized by uncertainty and mistrust... more Under the background of the current economic realities, characterized by uncertainty and mistrust, of increased complexity of the environment in which they operate, the Romanian companies must demonstrate good organization, flexibility, skills, good risk management and be trustworthy economic and social partners. The answer to many of these challenges is provided by a modern management system, which makes proof of more convincing development possibilities, namely corporate governance. This article is an attempt to summarize the major theoretical and practical issues related to corporate governance models, as well as a vision of the need to apply this management system in the Romanian companies. At the same time, the paper will briefly present the current state of corporate governance system implementation in the Romanian companies.
This paper is concerning about the nonlinear programming problems where the functions involved ar... more This paper is concerning about the nonlinear programming problems where the functions involved are η-pseudolinear with respect to a bifunction. Starting from differentiable η-pseudolinear case described by Giorgi and Rueda we first design a framework for case of η-pseudolinearity with respect to a bifunction then we present our main results in two theorems where we prove the necessary and sufficient conditions of efficiency for a feasible point and we investigate the conditions when an efficient solution is properly efficient solution.
The study of the multiobjective programming problems is one of the great significance in optimiza... more The study of the multiobjective programming problems is one of the great significance in optimization theory (see [1]). A certain situation is when the objective function is a nondiferentiable vector function. To treat this case we consider a constrained multiobjective programming problem. The class of invex functions was introduced by Hanson (see [2]). This class of functions is designed to relax the assumptions of the convexity which are imposed on functions when we want to state the sufficient optimality conditions. In the specialized literature exists some concepts concerning the class of invex functions (see [3], [4]). One of these approaches is that proposed by H. Slimani and M.S. Radjef (see [4]). In their study the invexity for a differentiable vector function is solved by searching the invexity for each component. On the other hand, for studying the invexity of a nondifferentiable vector function with respect to the same function η exist an other approach (see [5], [6],) wh...
This paper explores the relative stock market performance of well-diversified gender equality equ... more This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 2020, with a sample of 11 indices and 834 daily observations, and using several different statistical and econometric methods. Our results show a high level of dynamic conditional correlation of daily returns among the gender equality and the overall indices. We also found comparable levels of conditional volatility (resulting from an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH)model) and an elevated degree of synchronization of the volatility regimes (identified by a Markov switching model). Calibrating simple linear quantile regressions, we found that the value of the slope coefficients of the hypothetical linear relationship between the gender equality indices and the overall market indices are close to ...
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2019
This paper aims to establish whether there is a relationship between the main industries of the S... more This paper aims to establish whether there is a relationship between the main industries of the STOXX EURO 600 index. Another research question is addressed in this article: what is the link between small and large firms? In order to answer these two questions, we will use various econometric models such as VAR-impulse response functions, Granger causality tests and GARCH models for modeling the volatility. The empirical results pointed out a positive relationship between all the sectors selected and STOXX 600 index. The Granger causality test showed a unidirectional causal relationship from the insurance sector to STOXX 600 and a bidirectional causal relationship between automobiles & parts, construction and material components, retail, telecommunications, utilities and STOXX600. We strongly believe that through our results we will help investors in their decision-making process, academic research and the policy makers and will improve supervisory process.
This paper explores the sensitivity of Romanian collective investment undertakings’ returns to ch... more This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with change...
This paper deals with the application of the analysis on a portfolio made up of eight titles, thr... more This paper deals with the application of the analysis on a portfolio made up of eight titles, through determination of the portfolio with absolute minimum variation and of the frontier of efficiency. Thus, using the Markowitz model, the dimensions of the portfolio with minimum absolute variation could be established but its profitability was smaller than the profitability offered by the BET rating. The best strategy to follow in this respect would have been to adopt a passive strategy and to take over the structure of the rating in the investment of portfolio for a good profitability but with a higher risk.
The fundamental premise from which we start in this article is that the leader counts, that the t... more The fundamental premise from which we start in this article is that the leader counts, that the top-level people certainly affect the productivity of any organization and that awareness of empathic capacity for each leader, the discovery of the constitutive capacities of the empathic phenomenon and their involvement in particular by them proves to be necessary. The capacity to be empathic is a prerequisite to optimize the leader's relations with subordinates and a condition for effective communication.
This article tries to answer an actual issue inducted by the title portfolio management. How do w... more This article tries to answer an actual issue inducted by the title portfolio management. How do we combine the risky assets with the ones without risk, which are the portfolios selection criteria, which are their performances and the choices of the rational investor.
The economy of knowledge requires measures of national wealth that take into account aspects not ... more The economy of knowledge requires measures of national wealth that take into account aspects not contemplated by GDP, in order to portray the situation of a country more truthfully. In this paper, we use a new model to measure the intellectual capital of nations, adapted from microeconomics. It is based on the observation of hidden capital as implicit generator of long-term wealth, considering not only sustainability and social wellbeing, but also intangible assets such as human development, economic structure, international trade, foreign image and innovation. This empirical study reveals the importance of hidden capital in a nation's wealth, making the difference where economic growth is concerned, as the most developed countries record the highest scores of efficiency in terms of intangible capital.
Rezumat. Premisa fundamentală de la care pornim în realizarea acestui articol este aceea că lider... more Rezumat. Premisa fundamentală de la care pornim în realizarea acestui articol este aceea că liderul contează, că oamenii din vârful ierarhiei influenţează în mod cert productivitatea oricărei organizaţii şi că se dovedeşte a fi necesar conştientizarea existenţei unei capacităţi ...
The international financial crisis during these last years has provided the effects in the most e... more The international financial crisis during these last years has provided the effects in the most economies of the world, forcing the affected countries to grow the credit demand to mitigate the impact of this financial crisis into their economy. The International Monetary Fund (IMF) extended the opportunity for Member States to obtain a financial support from the Fund with the recipient country must meet certain indicators of macroeconomic stability. Our paper aims to present the effects of the stand-by agreement with the IMF signed by the Romanian government to alleviate the crisis of the Romanian economy and out of the economic recession that our country faced during the 2009-2010 years.
This paper examines the correlation between public policies in the field of military expenditures... more This paper examines the correlation between public policies in the field of military expenditures and economic growth in Romania. The research is built upon the vast literature focused on the field of public policies and economic growth. Whereas economic growth became one of the most dynamic areas in economics, this correlation will consider the determinants of the real sector development through economic phenomenon modeling. The impact of military expenditures on growth is analysed for Romania, using annual data over the period 1991-2016. The research methodology employed is the Granger causality test. The empirical results reveal that there is a bidirectional relationship between military expenditure and GDP over the long run, with a positive effect described by both relationships through several models exemplified in the analysis. From the economic point of view, these results highlight the impact of military expenditures, generating different positive effects on labor, capital, economic growth and efficient use of resources in the economic sector, at the national level.
This paper focuses on corporate rating delivery process in terms of localization criteria differe... more This paper focuses on corporate rating delivery process in terms of localization criteria differentiation. Corporate rating is conceived as a default predictor. We conduct a comprehensive study of the existing literature on the corporate default models, outlining the weak and the strong points, especially from the point of view of the methodology by which default threshold is identified. Both classical
This paper focuses on applying Black and Scholes structural approach on credit risk in the case o... more This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a case-study on 35 companies belonging to five industries (energetic, materials, chemistry, pharmaceuticals, equipments) during a period of 10 years in order to highlight out default point/threshold and its essential factors evolution across industries. Research approach is concentrated also on the specific characteristics of the Romanian capital market (especially in terms of illiquidity and lack of transparency additional costs), macroeconomic environment and corporate finance decision process. We compute default point from the perspective of the arbitrage between assets and leverage; in accordance with the most recent theories on specific features corporate default within emerging countries (Galytskyy, 2006), a key element will be represented by the assets volatility which will be correlated with the country risk premium in order to highlight out a potential macroeconomic impact on corporate failure.
This paper focuses on corporate rating delivery process in terms of localization criteria differe... more This paper focuses on corporate rating delivery process in terms of localization criteria differentiation. Corporate rating is conceived as a default predictor. We conduct a comprehensive study of the existing literature on the corporate default models, outlining the weak and the strong points, especially from the point of view of the methodology by which default threshold is identified. Both classical and modern theories are analyzed; the empirical perspective based on a case study on IT commercial companies is elaborated mainly in order to build up a practical approach on the corporate rating delivery process. Localization criteria is a key-element. There will be followed up a potential differentiation of the corporate rating rationale in terms of financial indicators contribution in accordance with the localization criteria. Corporate rating will be elaborated under the form of a score function using Multiliniar Discriminant Analysis. The main preoccupation consists of revealing out potential differences of the corporate rating delivery process according to the localization criteria-emerging versus developed countries.
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Papers by Leonardo Badea