Compositional methods applied to capital allocation problems

Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel

doi:10.21314/jor.2016.345

Cited by 19 publications

(11 citation statements)

References 20 publications

(24 reference statements)

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“…Recently, CoDa has been applied in finance and accounting to answer research questions concerning relative magnitudes. Examples include crowdfunding (Davis et al., 2017), financial markets (Kokoszka et al., 2019; Ortells et al., 2016; Wang et al., 2019), municipal budgeting (Voltes-Dorta et al., 2014), investment portfolios (Boonen et al., 2019; Belles-Sampera et al., 2016), product portfolios (Joueid and Coenders, 2018) and insurance pricing (Verbelen et al., 2018). CoDa has been successfully applied in multivariate descriptive studies of financial statements (Linares-Mustarós et al., 2018; Carreras-Simó and Coenders, 2019, in press).…”

Section: Methodsmentioning

confidence: 99%

Corporate social responsibility and financial profile of Spanish private hospitals

Creixans-Tenas

Coenders

Serrat

2019

Heliyon

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In the context of the recent economic crisis, the financial situation of the Spanish health sector has become a major concern for responsible actors from the public and private spheres, because of a decline in public spending and increased demand due to population growth and ageing. The public health system seeks collaborative synergies with the private health system to achieve better health care results, cut waiting lists and cope with financial pressure. The private health sector currently owns 452 hospitals in Spain (57% of the country's total). This paper analyses the financial statements of hospital companies in the Spanish private healthcare system, using compositional data (CoDa) methodology. It identifies a significant relationship between financial statement structure and corporate social responsibility (CSR). Relevant CSR indicators include a sustainability report according to the Global Reporting Initiative (GRI), accreditation by the Joint Commission International (JCI) and ISO 14001, 50001 and 26000 accreditations. These indicators reduce asset turnover and increase debt quality: the proportion of long-term debt within total liability. From a methodological perspective, the paper proposes the first application CoDa in statistical models to predict financial statements from non-financial variables, and the first use of CoDa in partial-least-squares structural equation models (PLS-SEM). Our methodological approach reduces the asymmetry, redundancy and outliers encountered in standard statistical models that predict financial ratios.

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Section: Methodsmentioning

confidence: 99%

Corporate social responsibility and financial profile of Spanish private hospitals

Creixans-Tenas

Coenders

Serrat

2019

Heliyon

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“…Nowadays, CoDa spans almost all of the hard sciences and has started to be used in several management fields. Besides Linares et al 2018, examples include crowdfunding (Davis et al, 2017), financial markets (Ortells et al, 2016;Wang et al, 2019), investment portfolios (Belles-Sampera et al, 2016;Boonen et al, 2019;Glassman & Riddick, 1996), municipality budgets (Voltes-Dorta et al, 2014), product portfolios (Joueid & Coenders, 2018), market segmentation (Ferrer-Rosell & Coenders, 2018;Ferrer-Rosell et al, 2016a), market share (Morais et al, 2018), advertisement (Mariné-Roig & Ferrer-Rosell, 2018), consumer research (Ferrer-Rosell et al, 2015;Ferrer-Rosell et al, 2016b;Vives-Mestres et al, 2016a), quality management (Vives-Mestres et al, 2014; 2016b), organizational culture (Van Eijnatten, et al, 2015), and management education (Batista-Foguet et al, 2015;Mateu-Figueras et al, 2016).…”

Section: Definition and Purposementioning

confidence: 99%

Principal component analysis of financial statements. A compositional approach

Simó

Coenders

2020

RMCE

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Financial ratios are often used in principal component analysis and related techniques for the purposes of data reduction and visualization. Besides the dependence of results on ratio choice, ratios themselves pose a number of problems when subjected to a principal component analysis, such as skewed distributions. In this work, we put forward an alternative method drawn from compositional data analysis (CoDa), a standard statistical toolbox for use when data convey information about relative magnitudes, as financial ratios do. The method, referred to as the CoDa biplot, does not rely on any particular choice of financial ratio but allows researchers to visually order firms along the pairwise financial ratios for any two accounts. Non-financial magnitudes and time evolution can be added to the visualization as desired. We show an example of its application to the top chains in the Spanish grocery retail sector and show how the technique can be used to depict strategic management differences in financial structure or performance, and their evolution over time.

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“…Applications of compositional techniques in risk-management are scarcely found in the literature. Belles-Sampera et al (2016) show the connection between capital allocation principles and compositional data for a one-period horizon. The authors apply compositional techniques to compute the distance between a set of risk allocation solutions and to compute the distance between them, but they do not address forecasting problems.…”

Section: Introductionmentioning

confidence: 97%

Forecasting compositional risk allocations

Boonen

Guillén

Santolino

2019

Insurance: Mathematics and Economics

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We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional data methods are proposed and the regression is flexible to incorporate external information from other variables. We guarantee that projected proportional contributions add up to 100%, and we introduce a method to generate confidence regions with the same restriction. An illustration using data from the stock exchange is provided.

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Compositional methods applied to capital allocation problems

Cited by 19 publications

References 20 publications

Corporate social responsibility and financial profile of Spanish private hospitals

Corporate social responsibility and financial profile of Spanish private hospitals

Principal component analysis of financial statements. A compositional approach

Forecasting compositional risk allocations

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