Walter S. A. Schwaiger

A note on GARCH predictable variances and stock market efficiency

Abstract It will be shown that there is strong evidence for the empirically observed Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in stock market returns to be the result of a rational and hence an efficient equilibrium pricing.

The REA Accounting Model: Enhancing Understandability and Applicability

The REA accounting model developed by McCarthy conceptualizes the economic logic of the double-entry bookkeeping without referring to debits, credits and accounts. The conceptual core elements of the model are the economic resources, economic events and economic agents as well as the relationships that link the underlying stock flows according to the duality principle. In this paper the debit and credit notations are included as a meta concept to promote the model’s understanding within the traditional accounting logic. By specifying additional economic resource types in form of liabilities and equity the model is completed with respect to the essential balance sheet positions, so that the REA accounting model is ready for accounting applications.

Accounting and Management Information Systems: A Semantic Integration

Accounting information systems fulfil the purpose of recording the business transactions over time according to the legal accounting requirements. Management information systems provide the information and mechanisms that are needed to manage the enterprise in different management domains. The primary research objective of this article is the specification of the relevant concepts underlying both information systems and their integration in a comprehensive framework. The resulting framework shows the economic and managerial requirements for integrated accounting-based management information systems and it can be used for a semantic design of such systems. For this purpose the probabilistic REA management ontology is developed by integrating the management concepts of the cybernetic management framework into the REA business ontology. Consequently the derived REA management ontology rests upon the well-established REA business ontology and it allows the semantic design and implementation of accounting-based management information systems.

The OntoREA Accounting Model: Ontology-based Modeling of the Accounting Domain

McCarthy developed a framework for modeling the economic rationale of different business transactions along the enterprise value chain described in his seminal article “The REA Accounting Model – A Generalized Framework for Accounting Systems in a Shared Data Environment” Originally, the REA accounting model was specified in the entity-relationship (ER) language. Later on other languages – especially in form of generic data models and UML class models (UML language) – were used. Recently, the OntoUML language was developed by Guizzardi and used by Gailly et al. for a metaphysical reengineering of the REA enterprise ontology. Although the REA accounting model originally addressed the accounting domain, it most successfuly is applied as a reference framework for the conceptual modeling of enterprise systems. The primary research objective of this article is to anchor the REA-based models more deeply in the accounting domain. In order to achieve this objective, essential primitives of the REA model are identified and conceptualized in the OntoUML language within the Asset Liability Equity (ALE) context of the traditional ALE accounting domain.

The OntoREA© Accounting and Finance Model: Ontological Conceptualization of the Accounting and Finance Domain.

Geerts and McCarthy [1, 2] extended McCarthy’s [3] Resource-Event-Agent (REA) accounting model with a forward-looking perspective by including commitments and economic contracts. Schwaiger [4] investigated the extended REA accounting model with respect to accounting and finance requirements and developed the REA-based Asset-Liability-Equity (ALE) accounting model. Due to the ontological neutrality of UML class diagrams [5], financial instruments are not concisely conceptualized. This holds true especially for derivative instruments which have very special temporal modal and identity-related peculiarities. For modeling them the OntoUML language developed by Guizzardi [6] provides a solid foundation. In this article ontological meta-properties of OntoUML are used to specify these peculiarities and to derive the OntoREA© Accounting and Finance Model, which constitutes a valid ontology-based conceptualization of the accounting and finance domain. This model should be beneficial especially for business analysts who have to understand and develop conceptual models for up-to-date enterprise and accounting information systems.

The OntoREA© Accounting and Finance Model: A Retroactive DSRM Demonstration Evaluation

Derivative instruments have special characteristics that make them difficult to understand and to handle in financial instrument accounting. In the OntoREA© Accounting and Finance Model [1] such instruments are conceptualized and integrated into the REAC Business Ontology [2] as well as the OntoREA Accounting Model [3]. But the OntoREA© model is developed at a very abstract level so that no real cases are used for demonstration and evaluation. This shortcoming is addressed in this article by demonstrating and evaluating the Collective conceptualization of derivative instruments in OntoREA© from a retroactive design science methodological (DSRM) [4] perspective within the model driven software development (MDD) context. Along the model transformations in this context the OntoREA© model serves as platform independent (PIM) model. For demonstration purposes its direct translation into a platform specific (PSM) as well as an implementation specific (ISM) model are demonstrated for a real derivative instrument. The evaluation shows that the requirements of derivative instruments are met adequately.

OntoREA© Accounting and Finance Model: Hedge Portfolio Representation of Derivatives

OntoREA© is a specification of the Accounting and Finance domain in the OntoUML language [1]. In a previous article [2] the authors use a forward contract financial derivative instrument to demonstrate the validity of the OntoREA© model within the design science research methodology (DSRM) [3]. A forward contract does not change over time and therefore can be modelled as static hedge portfolio composition. However, it is of interest if the OntoREA© model can also hold true for dynamic hedge portfolio compositions, as induced by option contract financial derivative instruments. This article investigates on that and delivers proof that the OntoREA© model is suitable for option contracts as well. Through adequately refining the platform specific database model (PSM) the policy’s dynamic nature can be demonstrated. Moreover, including a Plan/Do/Check/Act (PDCA) process model for the specification of the option contract replication also demonstrates the information processing in the REA accounting infrastructure. The proposed approach is implemented into an R/Shiny software prototype where the 3-tier-architecture is used to integrate the database and the PDCA process model at the R/Shiny implementation specific model (ISM) level. The presented hedge portfolio representation of derivatives can be useful for business analysts in the finance and accounting domain as well as for teaching financial derivative instruments.

Forschungsbericht zum Projekt: „Kosten und CO2-Emissionen im Produktionsnetzwerk von Magna Europe“

Die Produktionstatigkeit von Magna Europe basiert auf einem dezentral organisierten Produktionsnetzwerk. Den einzelnen Automobilproduzenten (OEM) werden Zulieferteile aus unterschiedlichen Produktionsstatten geliefert. In den einzelnen Produktionsstandorten laufen verschiedene Fertigungsprozesse mit unterschiedlichen Wertschopfungstiefen ab. Beispielsweise umfasst die Fertigung eines Stosfangers in der Regel einen Spritzguss-, einen Lackier- und einen Montageprozess. Aus Netzwerkperspektive stellt sich die Frage, ob es sinnvoll ist, einen derart dreistufigen Prozess an einem Standort durchzufuhren. Die beiden ersten Prozesse sind kapitalintensiv, sodass ihre Zusammenfassung in einem Produktionswerk zur Erzielung von Skaleneffekten angebracht erscheint. Beim Montageprozess erscheint eine Auslagerung in Produktionssatelliten, welche in der Nahe der OEMs angesiedelt sind, sinnvoll, zumal die einzelnen Bestandteile der Stosfanger in kompakter Form kostengunstiger bis in die Nahe der OEMs geliefert werden konnten. Zur Beurteilung der Vorteilhaftigkeit einer Satellitenorganisation bedarf es einer Netzwerk-Kostenrechnung, um die mit den unterschiedlichen Organisationformen verbunden Kosten ermitteln zu konnen. Zur Einbeziehung des Nachhaltigkeitsaspekts in die Netzwerkentscheidung sind in die Kostenrechnung auch die im Netzwerk anfallenden okologischen Ressourcenverbrauche einzubeziehen.

Forschungsbericht zum Projekt: „Bewertung von Rücklösungsverpflichtungen in der Münze Österreich AG“

Die Munze Osterreich AG ist gesetzlich verpflichtet im Umlauf befindliche Munzen zuruckzunehmen und umzutauschen. Fur die mit den damit verbundenen zukunftig erwarteten Rucklaufen einhergehenden Kosten bildet die Munze Osterreich aus kaufmannischer Vorsicht Rucklosungsverpflichtungen. Die zukunftig erwarteten Rucklaufe konnen aufgrund von Gewahrleistungsfallen sowie aufgrund von kunftig moglichen Eventualitaten entstehen. Fur die mit dem ersten Fall verbundenen Kosten werden Ruckstellungen und fur die mit dem zweiten Fall verbundenen Kosten werden Rucklagen berechnet.