Ranko Jelic - Academia.edu (original) (raw)

Papers by Ranko Jelic

Edward Elgar Publishing eBooks, May 23, 2024

European Journal of Operational Research, Mar 1, 2017

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is... more We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel 2.5 formula in the objective function produces superior results to those of the old (Basel II) formula in stress scenarios in which the correlations of asset returns change considerably. These improvements are achieved at the expense of reduced cardinality of Pareto-optimal portfolios. This reduced cardinality (and thus portfolio diversification) in periods of relatively low market volatility may have unintended consequences for banks' risk exposure.

Journal of Business Finance & Accounting, Sep 1, 2011

This paper examines 1,089 private equity (PE) backed and non-PE backed (pure) UK buy-outs, determ... more This paper examines 1,089 private equity (PE) backed and non-PE backed (pure) UK buy-outs, determinants of their survival, and their exit behaviour during the period of 1966-2004. Our results suggest that 56% of the pure sample buy-outs remained in a buy-out organisational form for at least seven years after the original buy-out transaction, thus lending support to views that buy-outs present long rather than short term form. PE backed buy-outs exhibit higher exit rates, fewer early (within 12 months) exits and fewer liquidations than their pure counterparts. Buy-outs sponsored by PE syndicates, those harvested during periods with strong market conditions and greater supply of PE funding, tend to have shorter longevity. The most notable difference between the survival experiences of PE backed and pure buy-outs is documented in IPO exits, where a significant number of pure buyouts exit early to the Alternative Investment Market (AIM).

Computers & Operations Research, Aug 1, 2016

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.

European Financial Management, Dec 1, 2003

The Polish government has preferred gradual direct sales to privatisation initial public offering... more The Polish government has preferred gradual direct sales to privatisation initial public offerings (PIPOs) by a 2.8 to 1 margin. Evidence suggests that the government has attempted to manage the timing of PIPOs. We, however, find no evidence of underpricing of PIPOs to a greater degree than that found for issues in the private sector. Both domestic and international investors in PIPOs earned predominantly positive buy-andhold returns up to 36 months after listing. The difference between PIPOs and private sector IPOs average returns is statistically significant only for international investors.

Social Science Research Network, 2023

Social Science Research Network, 2023

Social Science Research Network, 2023

Using a hand-collected dataset of 1,225 buy-outs, we examine post buy-out and post exit long term... more Using a hand-collected dataset of 1,225 buy-outs, we examine post buy-out and post exit long term abnormal operating performance of UK management buyouts, during the period 1980-2009. Our univariate and panel data analysis of post buy-out performance conclusively show positive changes in output. We also find strong evidence for improvements in employment and output and a lack of significant changes in efficiency and profitability following initial public offerings (IPO) exits. IPOs from the main London Stock Exchange (LSE) market outperform their counterparts from the Alternative Investment Market (AIM) only in terms of changes in output. For secondary management buy outs (SMBOs), performance declines during the first buy-out but in the second buy-out performance stabilises until year three, after which profitability and efficiency fall while employment increases. Although private equity (PE) backed buy-outs do not exhibit either post buy-out or post exit underperformance, they fail to over-perform their non-PE backed counterparts. In the subsample of buy-outs exiting via IPOs on the AIM, PE firms do not outperform non-PE buy-outs. Our findings highlight the importance The authors thank an anonymous referee for valuable suggestions and are also indebted to Wolfgang Aussenegg, Mike Theobald, and Stefano Bonini for their helpful comments on earlier drafts of the paper. Earlier versions of this paper were presented at the 2008 European Financial Management Association Meeting in Athens and 2010 European Financial Management Symposium on Entrepreneurial Finance and Venture Capital Markets in Toronto. Ranko Jelic gratefully acknowledges a personal research grant from the UK Institute for Quantitative Investment Analysis (INQUIRE) received for the project: UK Private Equity Market-Longevity, Exit Strategies and Performance of Management Buyouts. Especial thanks to Peter Pope for his continuous help and support regarding the above project. Mike Wright thanks Barclays Private Equity and Ernst & Young for financial support for CMBOR.

Social Science Research Network, Jan 26, 2019

In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become... more In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become a global phenomenon. More recently, academic literature examines a sharp drop in number of listed firms and the role of PE firms in the possible demise of public corporations. Rather controversially, some authors were also predicting the eclipse of PE. In this article we discuss recent developments and argue that rumors of the eclipse of PE are exaggerated. The PE model, and its accompanying governance role, is here to stay but it will need to adapt to changing dynamics between general and limited partners, and emergence of fintech.

Social Science Research Network, 2023

Social Science Research Network, May 10, 2017

We analyse stock price behaviour around the disclosure of corporate insider transactions after th... more We analyse stock price behaviour around the disclosure of corporate insider transactions after the introduction of the Market Abuse Directive (MAD). Ranking according to our Insider Trading Enforcement (ITE) index highlights significant differences in the MAD enforcement between French and German legal origin countries. We document contrarian behaviour of insiders in all of the sample countries. Insiders reveal significant information to the public through both their purchases and sales. The price impact of the insiders' transactions is particularly strong in countries with a lower ITE index (i.e. weaker public enforcement).

Review of Quantitative Finance and Accounting, Apr 13, 2022

This paper examines the association between non-executive employee shareholding and financial rep... more This paper examines the association between non-executive employee shareholding and financial reporting quality. The analysis is conducted using a sample of non-financial firms listed in eleven European countries between 2006 and 2017. We find a positive association between non-executive employee ownership and financial reporting quality. Furthermore, we find this positive association to be more pronounced for firms operating in the following settings: higher labour union density, more industry peer firms and more flexible labour market regulations. Overall, these findings support the view that employee shareholding enhances the quality of financial reporting by aligning the interests of employees with those of shareholders through two channels: reduced agency problems and enhanced employee retention. Our study contributes to the research on the impact of ownership characteristics on financial reporting incentives. It underscores the role non-executive employee ownership can play in improving a firm's corporate governance and therefore the quality of financial reporting.

Finance Research Letters, May 1, 2022

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-andhold portfolios... more We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-andhold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown trade-offs compared to relevant benchmarks, regardless of the selected subsamples and market conditions. The superior performance of our approach is particularly pronounced in periods with reversing market trends (i.e. a market rally and a fall in the same subsample).

Accounting and Business Research, Dec 1, 1998

... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Au... more ... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Autores: Braim Saadouni, Ranko Jelic; Localización: Accounting and business research, ISSN 0001-4788, Vol. 29, Nº 1, 1998 , págs. 57-72. Fundación Dialnet. ...

We examine the Taiwanese market for covered warrants, and the impact of the expiration of a cover... more We examine the Taiwanese market for covered warrants, and the impact of the expiration of a covered warrant on the returns, and trading volume of the underlying stock. This paper seeks to address the impact of warrant expiration on the underlying shares. It proposes several sample groups in which such impact may emerge different outcome. Overall, the hypotheses of there are significant price effect and abnormal trading volume around the warrant expirations cannot be rejected. The hypotheses of different price effect and trading volume in sub groups also have been confirmed. This study makes extensive of data from Taiwanese market and several sample groups; the empirical analysis can also serve as a means to improve academic knowledge of impact derivative expiration event on the underlying shares. We conclude that the feature of the sample set does generate different results and we also provider alternative explanations to the empirical outcome.

Finance Research Letters, Mar 1, 2023

Social Science Research Network, 2018

We develop a novel approach to the bond portfolio optimization for insurance companies that are s... more We develop a novel approach to the bond portfolio optimization for insurance companies that are subject to the new Solvency II regulation. The regulatory efficient portfolios are determined using the Non-dominated Sorting Genetic Algorithm II (NSGA-II). The characteristics of the estimated efficient portfolios are examined in different market regimes. Our findings suggest low cardinality of all estimated efficient portfolios despite explicit regulatory penalties for highly concentrated portfolios. The efficient portfolios are dominated by short term and BBB rated bonds. The lack of diversification and over-exposure to bonds with higher credit risk in different market regimes represents a weakness of the Solvency II regulation with unintended consequences for management of insurance companies.

This paper examines the financial performance of Malaysian initial public offerings Ž. IPOs durin... more This paper examines the financial performance of Malaysian initial public offerings Ž. IPOs during the period 1980-1995. The major focus of the study is on the role of management earnings forecasts and underwriters in the valuation of IPOs. The results suggest extremely high and statistically significant initial premiums and positive and statistically significant long-term returns up to 3 years after listing. The findings for long-term returns contradict the consensus of the IPO literature that documents a significant negative long-term performance. Our results indicate a negative association of upward bias in management earnings forecasts with IPOs' performance during the first 12 months after the IPOs.

Social Science Research Network, 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure ... more In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR optimization method where VaR is estimated using a univariate Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting Genetic Algorithm (NSGA-II). On a sample of 40 large US stocks, our procedure provided superior mean-VaR trade-offs compared to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true in both low and high volatility samples.

Edward Elgar Publishing eBooks, May 23, 2024

European Journal of Operational Research, Mar 1, 2017

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is... more We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel 2.5 formula in the objective function produces superior results to those of the old (Basel II) formula in stress scenarios in which the correlations of asset returns change considerably. These improvements are achieved at the expense of reduced cardinality of Pareto-optimal portfolios. This reduced cardinality (and thus portfolio diversification) in periods of relatively low market volatility may have unintended consequences for banks' risk exposure.

Journal of Business Finance & Accounting, Sep 1, 2011

This paper examines 1,089 private equity (PE) backed and non-PE backed (pure) UK buy-outs, determ... more This paper examines 1,089 private equity (PE) backed and non-PE backed (pure) UK buy-outs, determinants of their survival, and their exit behaviour during the period of 1966-2004. Our results suggest that 56% of the pure sample buy-outs remained in a buy-out organisational form for at least seven years after the original buy-out transaction, thus lending support to views that buy-outs present long rather than short term form. PE backed buy-outs exhibit higher exit rates, fewer early (within 12 months) exits and fewer liquidations than their pure counterparts. Buy-outs sponsored by PE syndicates, those harvested during periods with strong market conditions and greater supply of PE funding, tend to have shorter longevity. The most notable difference between the survival experiences of PE backed and pure buy-outs is documented in IPO exits, where a significant number of pure buyouts exit early to the Alternative Investment Market (AIM).

Computers & Operations Research, Aug 1, 2016

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.

European Financial Management, Dec 1, 2003

The Polish government has preferred gradual direct sales to privatisation initial public offering... more The Polish government has preferred gradual direct sales to privatisation initial public offerings (PIPOs) by a 2.8 to 1 margin. Evidence suggests that the government has attempted to manage the timing of PIPOs. We, however, find no evidence of underpricing of PIPOs to a greater degree than that found for issues in the private sector. Both domestic and international investors in PIPOs earned predominantly positive buy-andhold returns up to 36 months after listing. The difference between PIPOs and private sector IPOs average returns is statistically significant only for international investors.

Social Science Research Network, 2023

Social Science Research Network, 2023

Social Science Research Network, 2023

Using a hand-collected dataset of 1,225 buy-outs, we examine post buy-out and post exit long term... more Using a hand-collected dataset of 1,225 buy-outs, we examine post buy-out and post exit long term abnormal operating performance of UK management buyouts, during the period 1980-2009. Our univariate and panel data analysis of post buy-out performance conclusively show positive changes in output. We also find strong evidence for improvements in employment and output and a lack of significant changes in efficiency and profitability following initial public offerings (IPO) exits. IPOs from the main London Stock Exchange (LSE) market outperform their counterparts from the Alternative Investment Market (AIM) only in terms of changes in output. For secondary management buy outs (SMBOs), performance declines during the first buy-out but in the second buy-out performance stabilises until year three, after which profitability and efficiency fall while employment increases. Although private equity (PE) backed buy-outs do not exhibit either post buy-out or post exit underperformance, they fail to over-perform their non-PE backed counterparts. In the subsample of buy-outs exiting via IPOs on the AIM, PE firms do not outperform non-PE buy-outs. Our findings highlight the importance The authors thank an anonymous referee for valuable suggestions and are also indebted to Wolfgang Aussenegg, Mike Theobald, and Stefano Bonini for their helpful comments on earlier drafts of the paper. Earlier versions of this paper were presented at the 2008 European Financial Management Association Meeting in Athens and 2010 European Financial Management Symposium on Entrepreneurial Finance and Venture Capital Markets in Toronto. Ranko Jelic gratefully acknowledges a personal research grant from the UK Institute for Quantitative Investment Analysis (INQUIRE) received for the project: UK Private Equity Market-Longevity, Exit Strategies and Performance of Management Buyouts. Especial thanks to Peter Pope for his continuous help and support regarding the above project. Mike Wright thanks Barclays Private Equity and Ernst & Young for financial support for CMBOR.

Social Science Research Network, Jan 26, 2019

In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become... more In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become a global phenomenon. More recently, academic literature examines a sharp drop in number of listed firms and the role of PE firms in the possible demise of public corporations. Rather controversially, some authors were also predicting the eclipse of PE. In this article we discuss recent developments and argue that rumors of the eclipse of PE are exaggerated. The PE model, and its accompanying governance role, is here to stay but it will need to adapt to changing dynamics between general and limited partners, and emergence of fintech.

Social Science Research Network, 2023

Social Science Research Network, May 10, 2017

We analyse stock price behaviour around the disclosure of corporate insider transactions after th... more We analyse stock price behaviour around the disclosure of corporate insider transactions after the introduction of the Market Abuse Directive (MAD). Ranking according to our Insider Trading Enforcement (ITE) index highlights significant differences in the MAD enforcement between French and German legal origin countries. We document contrarian behaviour of insiders in all of the sample countries. Insiders reveal significant information to the public through both their purchases and sales. The price impact of the insiders' transactions is particularly strong in countries with a lower ITE index (i.e. weaker public enforcement).

Review of Quantitative Finance and Accounting, Apr 13, 2022

This paper examines the association between non-executive employee shareholding and financial rep... more This paper examines the association between non-executive employee shareholding and financial reporting quality. The analysis is conducted using a sample of non-financial firms listed in eleven European countries between 2006 and 2017. We find a positive association between non-executive employee ownership and financial reporting quality. Furthermore, we find this positive association to be more pronounced for firms operating in the following settings: higher labour union density, more industry peer firms and more flexible labour market regulations. Overall, these findings support the view that employee shareholding enhances the quality of financial reporting by aligning the interests of employees with those of shareholders through two channels: reduced agency problems and enhanced employee retention. Our study contributes to the research on the impact of ownership characteristics on financial reporting incentives. It underscores the role non-executive employee ownership can play in improving a firm's corporate governance and therefore the quality of financial reporting.

Finance Research Letters, May 1, 2022

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-andhold portfolios... more We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-andhold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown trade-offs compared to relevant benchmarks, regardless of the selected subsamples and market conditions. The superior performance of our approach is particularly pronounced in periods with reversing market trends (i.e. a market rally and a fall in the same subsample).

Accounting and Business Research, Dec 1, 1998

... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Au... more ... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Autores: Braim Saadouni, Ranko Jelic; Localización: Accounting and business research, ISSN 0001-4788, Vol. 29, Nº 1, 1998 , págs. 57-72. Fundación Dialnet. ...

We examine the Taiwanese market for covered warrants, and the impact of the expiration of a cover... more We examine the Taiwanese market for covered warrants, and the impact of the expiration of a covered warrant on the returns, and trading volume of the underlying stock. This paper seeks to address the impact of warrant expiration on the underlying shares. It proposes several sample groups in which such impact may emerge different outcome. Overall, the hypotheses of there are significant price effect and abnormal trading volume around the warrant expirations cannot be rejected. The hypotheses of different price effect and trading volume in sub groups also have been confirmed. This study makes extensive of data from Taiwanese market and several sample groups; the empirical analysis can also serve as a means to improve academic knowledge of impact derivative expiration event on the underlying shares. We conclude that the feature of the sample set does generate different results and we also provider alternative explanations to the empirical outcome.

Finance Research Letters, Mar 1, 2023

Social Science Research Network, 2018

We develop a novel approach to the bond portfolio optimization for insurance companies that are s... more We develop a novel approach to the bond portfolio optimization for insurance companies that are subject to the new Solvency II regulation. The regulatory efficient portfolios are determined using the Non-dominated Sorting Genetic Algorithm II (NSGA-II). The characteristics of the estimated efficient portfolios are examined in different market regimes. Our findings suggest low cardinality of all estimated efficient portfolios despite explicit regulatory penalties for highly concentrated portfolios. The efficient portfolios are dominated by short term and BBB rated bonds. The lack of diversification and over-exposure to bonds with higher credit risk in different market regimes represents a weakness of the Solvency II regulation with unintended consequences for management of insurance companies.

This paper examines the financial performance of Malaysian initial public offerings Ž. IPOs durin... more This paper examines the financial performance of Malaysian initial public offerings Ž. IPOs during the period 1980-1995. The major focus of the study is on the role of management earnings forecasts and underwriters in the valuation of IPOs. The results suggest extremely high and statistically significant initial premiums and positive and statistically significant long-term returns up to 3 years after listing. The findings for long-term returns contradict the consensus of the IPO literature that documents a significant negative long-term performance. Our results indicate a negative association of upward bias in management earnings forecasts with IPOs' performance during the first 12 months after the IPOs.

Social Science Research Network, 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure ... more In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR optimization method where VaR is estimated using a univariate Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting Genetic Algorithm (NSGA-II). On a sample of 40 large US stocks, our procedure provided superior mean-VaR trade-offs compared to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true in both low and high volatility samples.