scholarly journals Factors influencing SRI fund performance

2019 ◽  
Vol 3 (1) ◽  
pp. 68-81
Author(s):  
Halil Kiymaz
Keyword(s):  
Regression Analysis ◽  
Factor Model ◽  
Five Factor Model ◽  
Fund Performance ◽  
Factor Models ◽  
Cross Sectional ◽  
Content Type ◽  
Responsible Investment ◽  
Factors Influencing ◽  
Three Factor

Purpose The purpose of this paper is to examine socially responsible investment (SRI) fund performance and investigate the factors influencing fund performance. Design/methodology/approach The study uses return data from the Morningstar database for 152 SRI funds from January 1995 to May 2015. The initial analysis includes the use of various risk-adjusted performance measures, including Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio and M2. The study also uses four factor models, including Jensen single-factor model, Fama–French three-factor model, Carhart four-factor model and Fama–French five-factor model to explain SRI fund returns. Finally, a cross-sectional regression analysis is applied to investigate the determinants of SRI fund returns. Findings The results show that, on average, the SRI funds provide comparable risk-adjusted returns relative to various benchmark market indices. Market factor is significant in explaining SRI fund returns. Examining each factor model, the results do not support Fama–French’s three-factor model as neither size nor value factor is significant. The author finds weak support for Carhart’s momentum factor along with the market factor. Finally, the Fama–French five-factor model shows market, size and operating profit factors explain SRI fund returns. The study also finds the fund performance is stronger for funds with the higher turnover ratio, the larger fund size and more managerial experience and lower for funds with higher expense ratio. Also, funds formed with negative screening perform better than positive or mixed screened funds. Originality/value SRI funds have received considerable attention from investors. This study contributes to the literature by examining SRI fund performance and investigating factors influencing their performance using multiple factor models and cross-sectional regression analysis. The findings are relevant for investors who demand responsible investment opportunities without sacrificing returns for nonfinancial screenings. Findings also suggest that investors should consider fund characteristics when selecting SRI funds.

scholarly journals Choosing Factors for the Vietnamese Stock Market

2021 ◽  
Vol 14 (3) ◽  
pp. 96
Author(s):  
Nina Ryan ◽  
Xinfeng Ruan ◽  
Jin E. Zhang ◽  
Jing A. Zhang
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Factor Models ◽  
Marginal Contribution ◽  
Return On Equity ◽  
Factor Modeling ◽  
Three Factor ◽  
Better Than

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

Information risk, stock returns, and asset pricing: Evidence from China

2017 ◽  
Vol 30 (4) ◽  
pp. 379-394 ◽  
Author(s):  
Raheel Safdar ◽  
Chen Yan
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Empirical Literature ◽  
Firm Level ◽  
Cross Sectional ◽  
Market Pricing ◽  
Content Type ◽  
Information Risk ◽  
Accruals Quality ◽  
Three Factor

Purpose This study aims to investigate information risk in relation to stock returns of a firm and whether information risk is priced in China. Design/methodology/approach The authors used accruals quality (AQ) as their measure of information risk and performed Fama-Macbeth regressions to investigate association of AQ with future realized stock returns. Moreover, two-stage cross-sectional regression analysis was performed, both at firm level and at portfolio level, to test if the AQ factor is priced in China in addition to existing factors in the Fama French three-factor model. Findings The authors found poor AQ being associated with higher future realized stock returns. Moreover, they found evidence of market pricing of AQ in addition to existing factors in the Fama French three-factor model. Further, subsample analysis revealed that investors value AQ more in non-state owned enterprises than in state owned enterprises. Research limitations/implications The study sample comprises A-shares only and the generalization of the findings is limited by the peculiar institutional and economic setup in China. Originality/value This study contributes to market-based accounting literature by providing further insight into how and if investors value information risk, and it seeks to fill gap in empirical literature by providing evidence from the Chinese capital market.

A psychometric evaluation of the job crafting questionnaire (JCRQ) among employees working in Jordanian universities

2019 ◽  
Vol 27 (1) ◽  
pp. 36-50 ◽  
Author(s):  
Mohammed Yasin Ghadi
Keyword(s):  
Construct Validity ◽  
Discriminant Validity ◽  
Factor Model ◽  
Five Factor Model ◽  
Psychometric Evaluation ◽  
Job Crafting ◽  
Cross Sectional ◽  
Content Type ◽  
Five Dimensions ◽  
Cross Sectional Design

Purpose Job crafting is recently argued to have five dimensions (Nielsen et al., 2017): increasing challenging demands, decreasing social demands, increasing social job resources, increasing quantitative demands and decreasing hindrance demands. The purpose of this study aimed to investigate the psychometric properties and construct validity of the five-factor model of job crafting, introduced by using a sample of Jordanian university employees. Design/methodology/approach A pre-determined survey on was used. Accordingly, 513 professional workers in several universities completed the survey. Cronbach’s alpha was used to assess the internal consistency of the scale, whereas series of confirmatory factor (CFA) analysis and exploratory factor analysis (EFA) were conducted to assess the scale’s factorial and discriminant validity. Other tests were also conducted. Findings As predicted, the proposed model best fit the data. Statistical analysis yielded several findings. First, the results of the reliability test revealed that the five sub-scales of job crafting had significant and sufficiently strong internal consistencies. Second, the results showed that the 15 items loaded significantly with a factor loadings more than 0.50. Third, the CFA results confirmed that the five-factor model best fitted the data in comparison to the one-factor model. Finally, the construct validity of JCRQ-15 was confirmed through its correlation with several validating variables. Research limitations/implications Some limitations need to be addressed. First, the sample came from participants working in specific Jordanian universities which may limit the generalization that could be made from the results to other occupations. Second, due to the cross-sectional design of the present study, the question remains whether the JCRQ-15 are stable overtime. Third, the common methods bias might be a problem because it is one of the main sources of measurement error in validation studies using self-reported scales. Originality/value The present study provided an early supportive evidence for the use of the JCRQ-15 as a valid measure of job crafting in the Jordanian context.

Emerging market currency risk exposure: evidence from South Africa

2020 ◽  
Vol 21 (2) ◽  
pp. 159-179
Author(s):  
Mashukudu Hartley Molele ◽  
Janine Mukuddem-Petersen
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Factor Model ◽  
Five Factor Model ◽  
Risk Exposure ◽  
Foreign Exchange Risk ◽  
Content Type ◽  
Exchange Risk ◽  
Three Factor

Purpose The purpose of this paper is to examine the level of foreign exchange exposure of listed nonfinancial firms in South Africa. The study spans the period January 2002 and November 2015. Foreign exchange risk exposure is estimated in relation to the exchange rate of the South African Rand relative to the US$, the Euro, the British Pound and the trade-weighted exchange rate index. Design/methodology/approach The study is based on the augmented-market model of Jorion (1990). The Jorion (1990) is a capital asset pricing model-inspired framework which models share returns as a function of the return on the market index and changes in the exchange rate factor. The market risk factor is meant to discount the effect of macroeconomic factors on share returns, thus isolating the foreign exchange risk factor. In addition, the study further added the size, value, momentum, investment and profitability risk factors in line with the Fama–French three-factor model, Carhart four-factor model and the Fama–French five-factor model to account for the fact that equity capital markets in countries such as South Africa are known to be partially segmented. Findings Foreign exchange risk exposure levels were estimated at more than 40% for all the proxy currencies on the basis of the standard augmented market model. However, after controlling for idiosyncratic factors, through the application of the Fama–French three-factor model, the Carhart four-factor model and the Fama–French five-factor model, exposure levels were found to range between 6.5 and 12%. Research limitations/implications These results indicate the importance of controlling for the effects of idiosyncratic facto0rs in the estimation of foreign exchange risk exposure in the context of emerging markets of Sub-Saharan Africa (SSA). Originality/value This is the first study to apply the Fama–French three-factor model, Carhart four-factor model and the Fama–French five-factor model in the estimation of foreign exchange exposure of nonfinancial firms in the context of a SSA country. These results indicate the importance of controlling for the effects of idiosyncratic factors in the estimation of foreign exchange risk exposure in the context of emerging markets.

Does managerial personality influence pricing practices under uncertainty?

2017 ◽  
Vol 26 (7) ◽  
pp. 771-784 ◽  
Author(s):  
Mario Kienzler
Keyword(s):  
Personality Traits ◽  
Factor Model ◽  
Five Factor Model ◽  
Cross Sectional Study ◽  
Individual Characteristics ◽  
Openness To Experience ◽  
Cross Sectional ◽  
Content Type ◽  
Pricing Decisions ◽  
The Relationship

Purpose While marketing and management research suggests that managers’ individual characteristics influence pricing decisions, the influence of personality traits in this context remains unclear. This study aims to explore the relationship between the five basic personality traits of the five-factor model (extraversion, conscientiousness, openness to experience, agreeableness and neuroticism) and three basic pricing practices (value-, competition- and cost-informed). Design/methodology/approach On the basis of a non-experimental decision-making scenario, the analysis examines the pricing decisions of 57 managers in relation to a new business service. Findings The results suggest that managers’ conscientiousness and openness to experience are positively related to preference for value-informed pricing. Similarly, managers’ agreeableness is positively related to preference for competition-informed pricing and managers’ openness to experience and agreeableness are positively related to preference for cost-informed pricing. Research limitations/implications The cross-sectional study design does not support causal inference, and the modest sample size may limit the external validity of the findings. Practical implications By increasing awareness of the influence of personality on pricing preferences, the findings are of relevance to managers who are directly involved in pricing decisions. Additionally, the findings are informative for managers who must assign responsibility for pricing authority within firms. Originality/value This empirical exploration of the relationship between certain personality traits and specific pricing practices contributes to the literature on psychological aspects of pricing theory by showing how managerial personality influences pricing preferences under uncertainty.

Cross section of stock returns on Shari’ah-compliant stocks: evidence from Pakistan

2019 ◽  
Vol 12 (2) ◽  
pp. 282-302 ◽  
Author(s):  
Salman Ahmed Shaikh ◽  
Mohd Adib Ismail ◽  
Abdul Ghafar Ismail ◽  
Shahida Shahimi ◽  
Muhammad Hakimi Mohd. Shafiai
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Factor Model ◽  
Five Factor Model ◽  
Value Premium ◽  
Expected Returns ◽  
Content Type ◽  
The Cross ◽  
Three Factor

Purpose This paper aims to study the cross section of expected returns on Shari’ah-compliant stocks in Pakistan by using single- and multi-factor asset pricing models. Design/methodology/approach To estimate cross section of expected returns of Shari’ah-compliant stocks, the study uses capital asset pricing model (CAPM), Fama-French three-factor model and Fama-French five-factor model. Data for the period 2001-2015 on 217 companies are used. For the market portfolio, PSX-100 and Dow Jones Islamic Index for Pakistan are used. Findings The study could not find empirical support for CAPM using Lintner (1965), Black et al. (1972) and Fama and Macbeth (1973) approach. Nonetheless, the relation between beta and returns is positive in up-market and negative in down-market. The results of Fama-French three-factor and five-factor models suggest that size premium is positive and significant for explaining the cross section of stock returns of small size stocks, whereas value premium is positive and significant for explaining the cross section of returns of high value stocks. Practical implications The results suggest that fund managers can use Shari’ah-compliant stocks for portfolio diversification and for offering specialized investments given the positive market excess returns and the existence of size and value premium on Shari’ah-compliant stocks. Originality/value This is the first study on Fama-French (2015) five-factor model for Islamic capital markets in Pakistan.

scholarly journals Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey

2020 ◽  
Vol 4 (2) ◽  
pp. 129-143
Author(s):  
Emre Zehir ◽  
Aslı Aybars
Keyword(s):  
Factor Model ◽  
Efficient Market Hypothesis ◽  
Capital Asset Pricing ◽  
Portfolio Performance ◽  
Socially Responsible ◽  
Content Type ◽  
Responsible Investment ◽  
Asset Pricing Model ◽  
Market Index ◽  
Three Factor

PurposeThe purpose of this paper is to examine the performance of portfolios that are constructed based on environmental, social and governance (ESG) scores and consist of stocks located in Europe and Turkey.Design/methodology/approachIn order to form the portfolios, firstly all stocks are ranked in a descending way based on ESG-based (ESG, environmental, social and governance) scores, separately. Then, 10% of stocks with the highest scores are included in the “Top” portfolio and 10% of stocks with the lowest scores are included in “Bottom” portfolio and totally performance of eight portfolios are investigated. Finally, capital asset pricing model (CAPM) and Fama-French three-factor model are employed as performance measurement benchmarks.FindingsResults obtained from CAPM regression show that using ESG-based scores two portfolios underperform the market index. The results of the three-factor model provide that performances of Bottom ESG and Bottom GOV portfolios outperform the market excess return by 0.57% and 0.53%. The overall findings of this paper indicate that there is no relationship between socially responsible investment (SRI) and portfolio performance. These findings are in line with the efficient market hypothesis which indicates all information is reflected in prices.Originality/valueThe aim of the study is to provide insight on the question of “whether SRI has any effect on the portfolio performance”. As far as the literature review is concerned it is seen that this study provide additional insight by utilizing a longer time span together with data from numerous markets.

scholarly journals Role of leverage and liquidity risk in asset pricing: evidence from Indian stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mehak Jain ◽  
Ravi Singla
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Liquidity Risk ◽  
Pricing Models ◽  
Content Type ◽  
Asset Pricing Models ◽  
Three Factor ◽  
Better Than

Purpose Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market. This paper aims to analyse whether leverage and liquidity augmented five-factor model performs better than Capital Asset Pricing Model (CAPM), Fama and French three-factor model, leverage augmented four-factor model and liquidity augmented four-factor model. Design/methodology/approach The data for the current study comprises records on prices of securities that are part of the Nifty 500 index for a time frame of 14 years, that is, from October 2004 to September 2017 consisting of 183 companies using time series regression. Findings The results indicate that the five-factor model performs better than CAPM and the three-factor model. The model outperforms leverage augmented and liquidity augmented four-factor models. The empirical evidence shows that the five-factor model has the highest explanatory power among the entire asset pricing models considered. Practical implications The present study bears certain useful implications for various stakeholders including fund managers, investors and academicians. Originality/value This study presents a five-factor model containing two additional factors, that is, leverage and liquidity risk along with the Fama-French three-factor model. These factors are expected to give more value to the model in comparison to the Fama-French three-factor model.

Personality and learning processes underlying maverickism

2015 ◽  
Vol 30 (6) ◽  
pp. 726-740 ◽  
Author(s):  
Elliroma Gardiner ◽  
Chris J Jackson
Keyword(s):  
Learning Styles ◽  
Factor Model ◽  
Five Factor Model ◽  
Learning Processes ◽  
Full Time ◽  
Cross Sectional ◽  
Content Type ◽  
Personality Item ◽  
Cross Sectional Design ◽  
Compare And Contrast

Purpose – Maverickism is the tendency of an individual to be socially competent, creative, goal focussed, risk-taking and disruptive. Previous research with the five-factor model (FFM) shows that individuals high in maverickism exhibit both functional and dysfunctional tendencies. The purpose of this paper is to compare and contrast the descriptive FFM with the process-oriented hybrid model of learning in personality (HMLP), in the prediction of maverickism. Design/methodology/approach – Employing a cross-sectional design with 490 full-time workers the authors use the NEO-International Personality Item Pool and the Learning Styles Profiler to examine differences in the FFM and HMLP in the prediction of maverickism. Findings – Results with the FFM, identify extraversion, openness and (low) agreeableness as significant predictors of maverickism. All factors of the HMLP (except conscientious learning) significantly predict maverickism. Hierarchal regression analysis shows that the HMLP accounts for an additional 21 percent of variance in maverickism over and above that of the FFM. Research limitations/implications – The authors have tested and built theory by identifying not only what predicts maverickism, but also how the learning processes of the HMLP interrelate to predict maverickism. Practical implications – Managers interested in developing the maverick potential of their employees will find this study useful because it identifies what to look for in maverick workers. Social implications – Individuals high in maverickism have the potential for radical innovation. Understanding how to identify and develop these individuals may lead to larger societal benefits. Originality/value – The authors are the first to use the HMLP to test maverickism. The research highlights the importance of both personality and learning processes in maverickism.

Fewer reasons to sin: a five-factor investigation of vice stock returns

2017 ◽  
Vol 43 (9) ◽  
pp. 1016-1033 ◽  
Author(s):  
Greg Richey
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Capital Asset Pricing ◽  
National Defense ◽  
Content Type ◽  
Explanatory Variables ◽  
Asset Pricing Model ◽  
The Relationship ◽  
Three Factor

Purpose The purpose of this paper is to investigate the return performance of a portfolio of US “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders. Design/methodology/approach Using daily return data from a portfolio of vice stocks over the period 1987-2016, the author computes the Jensen’s α (capital asset pricing model (CAPM)), Fama-French Three-Factor, Carhart Four-Factor, and Fama-French Five-Factor results for the complete portfolio, and each vice industry individually. Findings The results from the CAPM, Fama-French Three-Factor Model, and the Carhart Four-Factor Model show a positive and significant α for the vice portfolio throughout the sample period. However, the α’s significance disappears with the addition of the explanatory variables from the Fama-French Five-Factor Model. Originality/value The author provides academics and practitioners with results from a new model. As of this writing, the author is unaware of any articles published in peer-reviewed academic journals that investigate vice stocks within the framework of the Fama-French Five-Factor Model (2015). First, the existing literature does not shed light on the relationship between “profitability” and “aggressiveness” (the fourth and fifth factors of the Fama-French Model) and vice stock returns. Second, within the framework of the Fama-French Five-Factor Model, the author shows results not only from a portfolio of vice stocks, but from various vice industries as well.

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