It is widely agreed that the business environment within which organisations operate affects management accounting systems used in these organisations (Amat, Carmona and Reborts, 1994; Hoque and Hopper, 1997; Bhimani, 1992; Anderson and Lanen, 1999; Haldma and Laats, 2002). This association is described as a cause effect relationship where any change in the business environment will cause change in management accounting systems (Kaplan, 1985; Wijewardena and De Zoysa, 1999).
In this paper, we focus on the predictability of hedge fund index returns and its eventual application in a fund of hedge funds. There is now a consensus in empirical finance that expected asset returns are, to some extent, predictable, at least for traditional asset classes. However, literature on evidence on return predictability of hedge fund is still in its infancy. Amenc, El Bied and Martellini (2002) were the first to report both statistical and economic significance of predictability in hedge funds returns.
Like Amenc et al. (2002), we use factor models to find evidence of predictability in various hedge fund index returns. Given that the true set of predictive variables is virtually unknown, we extend Amenc et al. (2002) empirical analysis using various forecasting models to analyze hedge fund index returns predictability and its impact to tactical style allocation (TSA) strategies. We take into account a larger number of predictive variables reflecting the stage of the economic cycle, the interest rate environment, and the dynamic trading strategies applied by hedge funds. These variables are able to predict changes in hedge fund index returns. We finally expand the sample period until December 2003.
Merchant processing is the settlement of electronic payment transactions for merchants. Merchant processing activities involve gathering sales information from the merchant, obtaining authorization for the transaction, collecting funds from the card-issuing bank, and reimbursing the merchant. The processing of sales transactions for merchants by banks does not directly affect the bank’s balance sheet except through settlement accounts and reserve balances. However, merchant processing can create significant off-balance-sheet contingent liabilities that may result in losses to the bank.
Most merchant processing transactions originate from retail credit card purchases, but debit card purchases, smart card purchases, and electronic benefits transfer (EBT) transactions are increasing sources of processing volume. In recent years, bankcard associations have aggressively promoted the move to electronic transactions through their interchange rate structure. Because of this and advances in technology, the vast majority of credit card sales transactions are now electronic.
