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For the KOSPI 200 index options market. we examine the power of influence on pricing options of the skewness and the kurtosis of the risk neutral distribution. We compare the Black and Scholes (1973) model which does not consider the skewness or the kurtosis of the risk neutral distribution with Corrado and sue 1996)’s model which consider both the skewness and the kurtosis and the models which consider only the skewness or the kurtosis.

It is found that Corrado and sue 1996)‘s model which consider both skewness and kurtosis shows the best performance closely followed by the model which consider only the skewness for tile in-sample pricing and the out-of-sample pricing. As a result. it contributes to pricing options to consider both skewness and kurtosis and the skewness is more important factor for pricing options than the kurtosis.

It has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets.

Two measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model.

The authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles.

This is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles.

In this paper, we examine whether the risk neutral skewness and kurtosis from S&P 500 options have information for predicting the higher moments of the stock returns called skewness and kurtosis, which contain the important information for forecasting potential crash, spike upward and the fluctuations of stock index. We find that the implied risk neutral skewness and kurtosis does not provide the information contents for predicting the higher moments of S&P 500 index return, after eliminating the overlapping data. All the results are robust to the alternative measures of risk neutral moments from options prices, the sub-periods and forecasting periods.

This paper investigates the relative importance of the skewness and kurtosis of the risk neutral distribution for pricing KOSPI200 options. The skewness and kurtosis are estimated from non parametric method of Bakshi, Kapadia, and Madan (2003) and the parametric method of Corrado and Su (1996). We show that the skewness of the risk neutral distribution is more important factor than the kurtosis irrespective of the estimation method, the definition of pricing errors, the moneyness, the type of options and a period of time.

Independent component analysis (ICA) is a widely-used blind source separation technique. ICA has been applied to many applications. ICA is usually utilized as a black box, without understanding its internal details. Therefore, in this paper, the basics of ICA are provided to show how it works to serve as a comprehensive source for researchers who are interested in this field. This paper starts by introducing the definition and underlying principles of ICA. Additionally, different numerical examples in a step-by-step approach are demonstrated to explain the preprocessing steps of ICA and the mixing and unmixing processes in ICA. Moreover, different ICA algorithms, challenges, and applications are presented.

We explore the cross-section of realized variance, skewness, and kurtosis for stock returns obtained from intraday data. We investigate the properties of the realized higher moments, and more importantly, examine relations between the realized moments and subsequent stock returns. We find evidence of a negative relation between realized skewness and next week’s returns. A strategy buying stocks in the lowest realized skewness quintile and selling stocks in the highest realized skewness quintile earns 0.79 percent per week a risk-adjusted basis. Our results on the realized skewness are robust to controls for various firm characteristics such as size and book-to-market. Little evidence exists that either the realized volatility or the realized kurtosis is significantly related to next week’s returns.

In this paper, an emerging state-of-the-art machine intelligence technique called the Hierarchical Temporal Memory (HTM) is applied to the task of short-term load forecasting (STLF). A HTM Spatial Pooler (HTM-SP) stage is used to continually form sparse distributed representations (SDRs) from a univariate load time series data, a temporal aggregator is used to transform the SDRs into a sequential bivariate representation space and an overlap classifier makes temporal classifications from the bivariate SDRs through time. The comparative performance of HTM on several daily electrical load time series data including the Eunite competition dataset and the Polish power system dataset from 2002 to 2004 are presented. The robustness performance of HTM is also further validated using hourly load data from three more recent electricity markets. The results obtained from experimenting with the Eunite and Polish dataset indicated that HTM will perform better than the existing techniques reported in the literature. In general, the robustness test also shows that the error distribution performance of the proposed HTM technique is positively skewed for most of the years considered and with kurtosis values mostly lower than a base value of 3 indicating a reasonable level of outlier rejections.

This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil.

The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions.

The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings.

This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners.

This paper aims to examine the influence of procurement physiognomies on the creative accounting (CA) of listed health-care firms in Nigeria from 2016 to 2020.

This paper used positivist paradigm. Annual reports and accounts, questionnaire and e-mails were used to obtained and extract quantitative data. The data were analyzed using OLS regression.

The study found that, procurement planning, e-procurement and procurement legislation compliance possessed negative weighty consequence on CA of quoted Nigerian health-care corporations while outsourcing, procurement staff competency and strategic supplier partnership possess positive substantial impact on the firms’ CA. The article concluded that procurement physiognomies play an important role in managing CA of health-care firms.

This study findings are only applicable to listed health-care firms in Nigeria. It only used six procurement attributes. The research implication is that researchers are to use the findings in conducting further studies on procurement physiognomies and CA to help in coming up with ways of curbing irregularities in the organizations.

The health-care firms are to use the findings to come up with policies that ensure malpractices in procurement are curbed and CA is minimized to its barest level. Its societal implication is that the public is to use the findings in changing societal attitudes toward earnings manipulation.

Its societal implication is that the public is to use the findings in changing societal attitudes toward earnings manipulation.

To the best of the authors’ knowledge, this article is the first to evaluate the influence of procurement physiognomies on CA in Nigerian-listed health-care companies. Many researchers neglect how procurement is used to carry out a lot of CA and this study focuses on a mechanism for curtailing corruption.

This paper aims to investigate short selling and stock price crash risk. The authors find that short selling is positively associated with one-month-ahead stock price crash risk, consistent with the literature showing that short sellers are informed traders. The authors attribute this prediction ability to the information short sellers receive from foreign investors with high levels of ownership in a firm. The results shed light on policy issues regarding short selling regulation.