Zvika Afik | Ben Gurion University of the Negev (original) (raw)

Papers by Zvika Afik

SSRN Electronic Journal, 2022

A recently published paper argues that Advance Pricing Agreements adopting the Comparable Profits... more A recently published paper argues that Advance Pricing Agreements adopting the Comparable Profits Method or the Transactional Net Margin Method, overlook the risk transferred from the tested party (subsidiary) to the party related to the transaction (parent) - a shift caused by fixing the profitability of the tested party. In this paper, we propose a practical implementation methodology to estimate the model parameters and discuss the theoretical and practical reasons for our proposed method. Finally, we also provide numerical examples demonstrating the miss-allocation of profits and taxes. According to our examples, fixing the profitability level of a manufacturer equals a shift of 0.5% of its profitability, while fixing the profitability of a management entity means a shift of 0.85% of its profitability. These amounts can be significant on aggregate levels.

Finance Research Letters, 2021

Abstract We report the Israeli firms’ market value reaction to announcements on initiating Cannab... more Abstract We report the Israeli firms’ market value reaction to announcements on initiating Cannabis-related activity. Using Event Study analysis, we find a significant positive effect of the announcements: a cumulative average abnormal return of 64% in three days. Similar stock price reactions are observed for most firms individually, though some of these firms’ activity in Cannabis has been declarative only without any related business action.

Encyclopedia of Finance, 2021

Nonprofit and Voluntary Sector Quarterly, 2019

Today’s uncertain financial markets could affect foundations’ future grantmaking capacities. We r... more Today’s uncertain financial markets could affect foundations’ future grantmaking capacities. We review foundations’ financial decision-making patterns and their effect on foundations’ assets, longevity goals, and payouts. Using three fictional foundations with different longevity goals and grantmaking preferences, we demonstrate the delicate balance and tight nexus between asset management strategies, payout rates, and longevity. To do so, we perform stochastic Monte Carlo simulations of multiple foundation life cycles, conducted under diverse capital market scenarios. The findings suggest that foundations should (a) readjust their return expectations to today’s less favorable markets; (b) reduce their reliance on past portfolios’ investment returns or unique “success stories” in making decisions; (c) appreciate the strong interdependence between portfolio-mix, payout rates, and longevity; (d) consider effects of their particular mission/problem area on these parameters; and (e) use...

Journal of International Financial Markets, Institutions and Money, 2019

Almost all North American callable corporate bonds carry a make-whole call option. We trace the e... more Almost all North American callable corporate bonds carry a make-whole call option. We trace the evolution of the US make-whole callable bond to the Canada-call that predates it by over eight years. This crosscountry spillover of financial innovation continued at a slow pace. Six years after the US market initial adoption of make-whole bonds, AT&T introduced it to Europe. More than 10 years later, large European firms started issuing this financial instrument. The benefits and optimal exercise of the make-whole call provision are described. We provide a simple analysis that indicates the possibility for the optimal exercise of the make-whole call even when traditional analysis suggests a negative NPV of calling and refinancing the bond. Given the possibility of optimal exercise even when the make-whole call is seemingly out-of-the-money, we demonstrate how the effect of incentive alignment between stockholders and bondholders lowers the issuer's cost of including a make-whole call provision below the issuer's expected benefit of having the option to utilize such provision.

Journal of Policy Modeling, 2018

With the increasing salience of foundations in many policy fields, and recent changes in market c... more With the increasing salience of foundations in many policy fields, and recent changes in market conditions, policies towards foundations designed decades ago seem outdated. In this article we suggest reassessing foundation payout minimums. To examine the impact of payout rates on grantmaking foundations lifespan and performance under "new normal" economics, we simulate multiple foundations lifecycles using Monte Carlo methods in diverse capital market conditions, with varied investment and payout strategies. We find that while under past market regime perpetuity seems to be a given, under more probable future scenarios, foundations might face increasingly early mortality and endowment depletion, limiting their potential impact. Furthermore, lower payout rates allow for higher lifetime grantmaking, higher mean annual grantmaking, and lower giving volatility. Accordingly, we suggest a tiered payout policy, in line with foundations' missions and proper financial planning. 'what has been will always be.' Accordingly, financial research on foundations mostly relies on historical data. Renowned economist Mohamed El Erian (2010) warns against this assumption, and argues that we have entered "a new normal" where the global economic landscape has dramatically changed, and interest rates and investment returns that we saw before the global crisis are converging to lower long-term averages. This notion is supported also by others, such as Summers (2013; 2014), who predicts long term stagnation and turbulence in financial markets. The new context, then, requires research under different assumptions and using different methods. When past performance becomes irrelevant, research using analytical tools, such as Monte Carlo simulations, that examine varying market conditions, are more appropriate (Cooley, Hubbard & Walz, 2003; Pfau & Kitces, 2014). Therefore, in this work we study Monte Carlo simulations of payouts for foundations with differing missions, using a range of asset portfolio allocations, under diverse market conditions. The findings of the simulations shed a new light on the payout debate and carry important implications for foundation policies and regulations, as well as for foundation management. The payout rule, its history, status, and practice Although the origin of philanthropic foundations can be traced to ancient times (Kiger, 2000), foundations increasingly gained importance since the late nineteenth and

The Journal of Wealth Management, 2018

The amounts of money that private foundations allocate and the duration of the grants they give a... more The amounts of money that private foundations allocate and the duration of the grants they give affect both on the impact of foundations and the sustainability of the nonprofits they support. The authors try to determine if there is a connection between payout ratios of foundations and multiyear support to grantees. They analyze a large sample of private, U.S.-based foundations to examine payout percentages for 2006–2010, as well as actual and declared patterns of multiyear support. They find that foundations that have a higher payout tend to support their grantees for longer periods of time. A positive relationship between payout and assets also shows that this multiyear support is more frequent among larger foundations. Consequently, the authors make recommendations for nonprofit executives and policymakers to acknowledge these correlations and the differences between different types of foundations. Future research into these differences and optimal minimal payout rates is also suggested.

Managerial and Decision Economics, 2017

It is a challenge to incorporate randomness into financial projections that are at the core of ne... more It is a challenge to incorporate randomness into financial projections that are at the core of new venture assessment. We present a model based on Schwartz and Moon (2001) and apply it to a real firm data. We find that our 10-year projections conform to the actual realized values. The model allows addressing crucial questions regarding the venture survival, its extreme potential outcomes, and its sensitivity to its parameters. It facilitates identifying risk drivers and assessing potential remedies. To our knowledge, we are the first to propose such a comprehensive stochastic model for risky ventures' simulation and analysis.

International Journal of Economics and Finance, 2016

Sell in May, known also as the Halloween effect, continues to persist in many parts of the world ... more Sell in May, known also as the Halloween effect, continues to persist in many parts of the world and to puzzle researchers and practitioners. Prior research found that in a few certain countries this effect is not statistically significant or does not exist. This paper shows that although Halloween effect is not significant in Israel, it can be easily replaced by another profitable calendar strategy, holding the market index just for the months of April and December each year and investing the money in the risk-free asset for the rest of the year. This strategy may not persist in the future, however it is puzzling how it prevailed over 20 years since the inception of a prime Tel Aviv market index. We show that the superior performance of this strategy compared to its natural benchmarks is robust using risk-adjusted measures over multiple sub-periods in our sample.

Infrared Technology XVI, 1990

ABSTRACT A comprehensive computer code and a ratchet staring model for evaluating advanced electr... more ABSTRACT A comprehensive computer code and a ratchet staring model for evaluating advanced electrooptical system are described and used to show how some of the different parameters of PtSi cameras affect total system performance. The performance of cameras predicted by these codes are compared with manufacturer-supplied data.

The Journal of Fixed Income, 2018

Many foreign-bond portfolio managers use weighted average to aggregate portfolio duration. The un... more Many foreign-bond portfolio managers use weighted average to aggregate portfolio duration. The underlying assumptions of this practice are that foreign and domestic interest rate shifts are perfectly correlated and that exchange rate changes are trivial. Prior literature does not provide an applicable solution to this challenge. The authors present an ex ante two-factor duration model that accounts for both foreign interest rate and exchange rate exposures and can be implemented using empirical estimation. The authors calibrate their model and test it out of sample for five currencies. The results show that their model significantly improves price change predictability relative to commonly used single-factor models.

A comprehensive computer code and a ratchet staring model for evaluating advanced electrooptical ... more A comprehensive computer code and a ratchet staring model for evaluating advanced electrooptical system are described and used to show how some of the different parameters of PtSi cameras affect total system performance. The performance of cameras predicted by these codes are compared with manufacturer-supplied data.

The paper presents super resolving configurations that are integrating two digital mirror devices... more The paper presents super resolving configurations that are integrating two digital mirror devices (DMDs) in the aperture and/or in the intermediate image plane. The usage of the DMDs allows obtaining geometric resolution improvement, enhancing field of view and reduction of aberrations such as defocusing and blurring that is obtained due to relative movement during the integration time. The idea behind all the above mentioned applications is to use the DMDs to properly encode the space and the spatial frequency domains such that the object's information can be separated from the above mentioned aberrations, distortions, limitations and noises.

Managerial and Decision Economics, 2015

Proceedings of …, Jan 1, 1991

PtSi camera: performance model validation. [Proceedings of SPIE 1540, 729 (1991)]. Moshe Meidan, ... more PtSi camera: performance model validation. [Proceedings of SPIE 1540, 729 (1991)]. Moshe Meidan, Roni Schwartz, Assaf Sher, Sasson Zhaiek, Eli Gal, Michael L. Neugarten, Zvika Afik, C. Baer. Abstract. A set of field tests was ...

Financial Markets and Portfolio Management, 2015

The Journal of Derivatives, 2015

Studies in Economics and Finance, 2016

SSRN Electronic Journal, 2000

... We wish to thank Edward Altman, Gady Jacob and Fan Yu for helpful comments. Zvika Afik, Ben G... more ... We wish to thank Edward Altman, Gady Jacob and Fan Yu for helpful comments. Zvika Afik, Ben Gurion University, POB 653 Beer-Sheva 84105 Israel, tel. +972(52)589-9949 Simon Benninga, Tel Aviv University Ramat Aviv Tel Aviv 69978 Israel, tel. +972(52)338-4690 Page 2. ...