QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION

2013 ◽  
Vol 27 (3) ◽  
pp. 375-402
Author(s):  
Lihong Zhang ◽  
Lin Zhao
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Partial Information ◽  
Future Research ◽  
Continuous Time Model ◽  
Time Model ◽  
Inaccurate Information ◽  
The Mean ◽  
The Impact ◽  
Sharp Ratio

Motivated by the fact that many investors have limited ability to update the expectation regarding future stock returns with the arrival of new information instantly, this paper provides a continuous-time model to study the performance of passive trading strategies. We derive the true Sharp ratio of the passive strategies in terms of the mean and variance of an explicit stochastic process. Based on this expression, we quantify the impact of partial information by performing a thorough comparative static analysis. Such an analysis provides a rationale for why investors with inaccurate information about stock return behave better in the mean-reverting environment than in the i.i.d. environment and why pessimistic investors can achieve better performance than optimistic ones. As a by-product, we propose an analytical approach to compute the “implied” parameters in stock return predictor for both i.i.d. and mean-reverting dynamics, which seems interesting for future research.

scholarly journals Plasma mineral (selenium, zinc or copper) concentrations in the general pregnant population, adjusted for supplement intake, in relation to thyroid function

2020 ◽  
Vol 125 (1) ◽  
pp. 71-78
Author(s):  
Victor Pop ◽  
Johannes Krabbe ◽  
Wolfgang Maret ◽  
Margaret Rayman
Keyword(s):  
Thyroid Function ◽  
Reference Range ◽  
First Trimester ◽  
Future Research ◽  
Thyroid Peroxidase ◽  
Reference Ranges ◽  
Lower Plasma ◽  
The Mean ◽  
The Impact ◽  
Supplement Intake

AbstractThe present study reports on first-trimester reference ranges of plasma mineral Se/Zn/Cu concentration in relation to free thyroxine (FT4), thyrotropin (TSH) and thyroid peroxidase antibodies (TPO-Ab), assessed at 12 weeks’ gestation in 2041 pregnant women, including 544 women not taking supplements containing Se/Zn/Cu. The reference range (2·5th–97·5th percentiles) in these 544 women was 0·72–1·25 µmol/l for Se, 17·15–35·98 µmol/l for Cu and 9·57–16·41 µmol/l for Zn. These women had significantly lower mean plasma Se concentration (0·94 (sd 0·12) µmol/l) than those (n 1479) taking Se/Zn/Cu supplements (1·03 (sd 0·14) µmol/l; P < 0·001), while the mean Cu (26·25 µmol/l) and Zn (12·55 µmol/l) concentrations were almost identical in these sub-groups. Women with hypothyroxinaemia (FT4 below reference range with normal TSH) had significantly lower plasma Zn concentrations than euthyroid women. After adjusting for covariates including supplement intake, plasma Se (negatively), Zn and Cu (positively) concentrations were significantly related to logFT4; Se and Cu (but not Zn) were positively and significantly related to logTSH. Women taking additional Se/Zn/Cu supplements were 1·46 (95 % CI 1·09, 2·04) times less likely to have elevated titres of TPO-Ab at 12 weeks of gestation. We conclude that first-trimester Se reference ranges are influenced by Se-supplement intake, while Cu and Zn ranges are not. Plasma mineral Se/Zn/Cu concentrations are associated with thyroid FT4 and TSH concentrations. Se/Zn/Cu supplement intake affects TPO-Ab status. Future research should focus on the impact of trace mineral status during gestation on thyroid function.

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

scholarly journals Predicting Stock Return of UAE Listed Companies Using Financial Ratios

2019 ◽  
Vol 8 (2) ◽  
pp. 214
Author(s):  
Arindam Banerjee
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Share Price ◽  
Financial Ratios ◽  
P Value ◽  
Dividend Yield ◽  
Value Analysis ◽  
Return On Equity ◽  
Equity Ratio ◽  
The Impact

Over the past few decades, numerous research across the globe has been conducted to examine the impact of firm performance on its stock return. The findings of these studies have been varied. In spite of the long standing research in this area, several attempt towards exploring this relationship has led to limited success owing largely to the existence of volatility across different stock markets. The variance in the volatility in these markets make it extremely difficult to obtain a uniform measure. A volatile stock market makes it difficult for the accounting and financial variables to accurately predict the stock returns (Feris & Erin, 2018).  The primary aim of this paper is aimed to investigate whether financial ratios can be used as a predictor of stock returns in the context of United Arab Emirates (UAE). The sample of the study includes thirty companies from the Dubai Financial Market (DFM) and Abu Dhabi stock exchange (ADX). Data is collected for the period of 2017. This research comprises of five independent variables namely, Earning Per Share ratio (EPS), Price Earning ratio (PE), Return on Equity ratio (ROE), Dividend Yield ratio (DY) and Debt Equity ratio (DE) and stock return is taken as the dependent variable. The study examines which among the given ratios can better predict stock returns both in the short run and the long run. The analysis is based on the regression analysis and correlation matrix. The results of correlation test revealed less multicollinearity between the variables and the regression results showed that Dividend Yield and the Return on Equity are statistically significant to predict the stock returns. However, Earning Per Share, Price Earning and Debt Equity could not predict the stock returns and thus can be safely considered as statistically insignificant. The t-stats test and p-value analysis were key indicators for arriving at the conclusion. The study can significantly benefit investors who can examine closely the dividend yield and return on equity while selecting an optimal portfolio. 

scholarly journals Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018 ◽  
Vol 10 (10) ◽  
pp. 3361 ◽  
Author(s):  
Junru Zhang ◽  
Hadrian Djajadikerta ◽  
Zhaoyong Zhang
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Return ◽  
Return Volatility ◽  
Chinese Stock Market ◽  
Stock Return Volatility ◽  
News Release ◽  
Volatility Persistence ◽  
Google Search ◽  
The Impact

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

scholarly journals Evaluating the economic impact of national sporting performance: Evidence from the Johannesburg Stock Exchange

2010 ◽  
Vol 41 (3) ◽  
pp. 1-11 ◽  
Author(s):  
B. K. Smith ◽  
J. D. Krige
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Proxy Variable ◽  
Study Approach ◽  
Johannesburg Stock Exchange ◽  
Sport Teams ◽  
The Mean ◽  
The Impact ◽  
Sporting Performance

This study examines the impact of South Africa’s national soccer, rugby and cricket teams’ performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to affect stock returns through its influence on investor mood. The unconditional mean return on the JSE All Share index for a 13½ year period from September 1995 to February 2009 was compared to the mean return after wins, draws and losses by the national sport teams. An event study approach was followed and four different statistical tests were conducted in order to test for a relationship. The results of the tests indicate the existence of a moderate win effect, with mean returns after wins being statistically significantly higher for the categories all sports combined, cricket and soccer.

Can Earnings Innovations Explain The Inverse Relationship Between Unanticipated Inflation And Stock Returns?

2011 ◽  
Vol 9 (2) ◽  
pp. 10 ◽  
Author(s):  
Jon A. Hooks
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Inverse Relationship ◽  
Explanatory Power ◽  
Earnings Forecast ◽  
Capitalization Rate ◽  
Relationship Of ◽  
The Impact ◽  
The Relationship ◽  
Unanticipated Inflation

Hooks (1991) argues that the explanatory power of unanticipated inflation in stock return models appears to result from the relationship of unanticipated inflation with the earnings capitalization rate and not the impact inflation has on the level or growth rate of earnings. Here we extend this line of investigation by examining the relationship between unanticipated inflation and the earnings innovation extracted from a univariate earnings forecast. We show that unanticipated inflation has no significant relationship with innovations in conventional earnings. However, we find that unanticipated inflation has a significant positive relationship with the magnitude of the earnings innovation during the 1955-85 period when earnings are adjusted to account for the effects of inflation on firms assets and liabilities.

Capital Gains Taxes and Stock Return Volatility

2013 ◽  
Vol 35 (2) ◽  
pp. 1-31 ◽  
Author(s):  
Zhonglan Dai ◽  
Douglas A. Shackelford ◽  
Harold H. Zhang
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Cash Flows ◽  
Capital Gains ◽  
Return Volatility ◽  
Capital Gains Tax ◽  
Tax Rate ◽  
Stock Return Volatility ◽  
Capital Gains Taxes ◽  
The Impact

ABSTRACT This paper presents an empirical investigation of the impact of capital gains taxes on stock return volatility. We predict that the more stock returns are subject to capital gains taxation, the greater the increase in return volatility following a capital gains tax rate cut due to reduced risk-sharing in firms' cash flows between shareholders and the government. Consistent with this prediction, we find larger increases in the return volatility for more appreciated stocks than for less appreciated stocks and for non-dividend-paying stocks than for dividend-paying stocks after both 1978 and 1997 capital gains tax rate reductions. The findings imply that capital gains taxes convey a heretofore overlooked benefit of lower stock return volatility.

scholarly journals Substance Use Among Patients Receiving Out- and Inpatient Dependence Care: a Prospective Norwegian Cohort Study From 2016 to 2020

2021 ◽  
Author(s):  
Jørn Henrik Vold ◽  
Fatemeh Chalabianloo ◽  
Christer F. Aas ◽  
Else-Marie Løberg ◽  
Kjell Arne Johansson ◽  
...  
Keyword(s):  
Substance Use ◽  
Mixed Model ◽  
Linear Mixed Model ◽  
Severity Index ◽  
Future Research ◽  
Opioid Agonist ◽  
Low Threshold ◽  
The Mean ◽  
The Impact ◽  
Over Time

Abstract BackgroundContinuous use of amphetamines, alcohol, benzodiazepines, cannabis, cocaine, or opioids contributes to health impairments, increased morbidity, and overdose deaths among patients with substance use disorders (SUDs). This study evaluates the impact of inpatient detoxification, specialized opioid agonist therapy (OAT), and low-threshold municipality care on substance use over time. MethodsWe used data from a cohort of SUD patients in Norway through health assessments of self-reported substance use and sociodemographic and clinical factors. A total of 881 substance use measurements, including type and amount of substances, were assessed from 708 SUD patients in 2016-2020. Substance use for individual and total substances was calculated, creating a substance use severity index (SUSI) ranging from zero (no use) to one (daily use). We defined baseline as the first substance use measurement when the measurements were listed chronologically. Time was defined as years from baseline. We used a linear mixed model to analyze associations between the SUSI and inpatient detoxification, specialized OAT compared with low-threshold municipality care, as well as the factors like injecting substance use, gender, and age, presented with coefficients and 95% confidence intervals (CI).ResultsNeither inpatient detoxification (mean SUSI change: 0.01, -0.03;0.04) nor specialized OAT (0.03, -0.09;0.14) compared with low-threshold municipality care were associated with changes in substance use over time. Patients who were over 60 years of age (mean SUSI difference: -0.06, -0.13;0.00) had a lower SUSI than those under 30 years of age, while patients who injected substances had a higher SUSI than those who did not inject substances (0.18, 0.15;0.20) at baseline. The mean SUSI for the individual substances were 0.50 (standard deviation (SD): 0.38) for cannabis, 0.40 (0.37) for benzodiazepines, 0.33 (0.34) for amphetamines and cocaine, 0.31 (0.29) for alcohol, and 0.22 (0.31) for opioids at baseline. The mean SUSI of all substances was 0.35 (0.20). Conclusion The present study demonstrates that neither inpatient detoxification nor specialized OAT compared to low-threshold municipality care were associated with changes in substance use over time. Future research needs to evaluate the impact on substance use and healthy survival of multiple health care interventions to this patient group.

scholarly journals Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns

2022 ◽  
Vol 15 (1) ◽  
pp. 28
Author(s):  
Thomas Chinan Chiang
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Return ◽  
Negative Impact ◽  
Global Market ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact ◽  
Global Stock ◽  
The U.S

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable negative effect from global EPU to U.S. stocks. Evidence suggests that the COVID-19 pandemic has a negative impact that significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in domestic EPU and, in turn, affects stock return. Evidence shows significant COVID-19 effects that change relative stock returns between the U.S. and global markets, creating a decoupling phenomenon.

scholarly journals THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 229-256
Author(s):  
Linda Karlina Sari ◽  
Noer Azam Achsani ◽  
Bagus Sartono
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Symmetric Model ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Volatility Transmission ◽  
The Impact

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.

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