Does the low-risk anomaly exist in the Indian equity market? A test using alternative risk measures

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Asgar Ali ◽  
K.N. Badhani ◽  
Ashish Kumar
Keyword(s):  
Cross Sections ◽  
Risk Measures ◽  
Equity Market ◽  
Low Risk ◽  
Diverse Range ◽  
Trade Off ◽  
Content Type ◽  
Risk Return ◽  
Weighted Portfolio ◽  
The Cross

PurposeThis study aims to investigate the risk-return trade-off in the Indian equity market at both the aggregate equity market level and in the cross-sections of stock return using alternative risk measures.Design/methodology/approachThe study uses weekly and monthly data of 3,085 Bombay Stock Exchange-listed stocks spanning over 20 years from January 2000 to December 2019. The study evaluates the risk-return trade-off at the aggregate equity market level using the value-weighted and the equal-weighted broader portfolios. Eight different risk proxies belonging to the conventional, downside and extreme risk categories are considered to analyse the cross-sectional risk-return relationship.FindingsThe results show a positive equity premium on the value-weighted portfolio; however, the equal-weighted portfolio of these stocks shows an average return lower than the return on the 91-day Treasury Bills. The inverted size premium mainly causes this anomaly in the Indian equity market as the small stocks have lower returns than big stocks. The study presents a strong negative risk-return relationship across different risk proxies. However, under the subsample of more liquid stocks, the low-risk anomaly regarding other risk proxies becomes moderate except the beta-anomaly. This anomalous relationship seems to be caused by small and less liquid stocks having low institutional ownership and higher short-selling constraints.Practical implicationsThe findings have important implications for investors, managers and practitioners. Investors can incorporate the effects of different highlighted anomalies in their investment strategies to fetch higher returns. Managers can also use these findings in their capital budgeting decisions, resource allocations and other diverse range of direct and indirect decisions, particularly in emerging markets such as India. The findings provide insights to practitioners while valuing the firms.Originality/valueThe study is among the earlier attempts to examine the risk-return trade-off in an emerging equity market at both the aggregate equity market level and in the cross-sections of stock returns using alternative measures of risk and expected returns.

Design variation of thin-walled composite beam cross-section properties

2016 ◽  
Vol 12 (3) ◽  
pp. 558-576 ◽  
Author(s):  
Aníbal J.J. Valido ◽  
João Barradas Cardoso
Keyword(s):  
Cross Section ◽  
Cross Sections ◽  
Laminated Composite ◽  
Adjoint System ◽  
Design Sensitivity ◽  
Content Type ◽  
Design Elements ◽  
Thin Walled ◽  
The Cross ◽  
Cross Section Geometry

Purpose The purpose of this paper is to present a design sensitivity analysis continuum formulation for the cross-section properties of thin-walled laminated composite beams. These properties are expressed as integrals based on the cross-section geometry, on the warping functions for torsion, on shear bending and shear warping, and on the individual stiffness of the laminates constituting the cross-section. Design/methodology/approach In order to determine its properties, the cross-section geometry is modeled by quadratic isoparametric finite elements. For design sensitivity calculations, the cross-section is modeled throughout design elements to which the element sensitivity equations correspond. Geometrically, the design elements may coincide with the laminates that constitute the cross-section. Findings The developed formulation is based on the concept of adjoint system, which suffers a specific adjoint warping for each of the properties depending on warping. The lamina orientation and the laminate thickness are selected as design variables. Originality/value The developed formulation can be applied in a unified way to open, closed or hybrid cross-sections.

Are herding transmissions in the gulf cooperation council stock markets regional or international?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dina Gabbori ◽  
Basel Awartani ◽  
Aktham I. Maghyereh ◽  
Nader Virk
Keyword(s):  
Cross Section ◽  
Stock Markets ◽  
Equity Market ◽  
Short Term ◽  
Absolute Deviation ◽  
Content Type ◽  
Market Return ◽  
The Us ◽  
The Cross ◽  
The Relationship

PurposeThe authors aim to assess whether herding in GCC stock markets is more responsive to global dynamics than its response to regional developments. To do so, they use the largest equity market in the region which is Saudi Arabia as the benchmark, and then they examine if herding crosses from this large regional market to the rest of equities in the neighboring markets during various time periods. To compare the importance of global influences on herding, the authors investigate and compare the impact of the information flow from the US equity market on the herding of equities in the GCC markets.Design/methodology/approachTo investigate herding in GCC markets the authors use the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. In order to do that we follow Galariotis et al. (2015) and account for four styles: market-oriented, small-cap, value and momentum. As these factors have been shown to be associated with the economic fundamentals, filtering the covariance of deviation with these factors is expected to remove the style and the fundamental herding influence from the value of the dispersion.FindingsThe results show significant herding behavior that persists across various independent periods. This evidence stands even when the authors control for the well- known factor structures in stock returns. Importantly, the authors find that the few herding crossovers that occurred during the sample period are more likely to originate from the Saudi market rather than from the US. Therefore, the authors conclude that behavioral inefficiencies in the GCC equity markets are likely to be regional and that the sentiment-based trading in the US has essentially a minimal role to play.Practical implicationsThe empirical findings are useful for policymakers who aim at preventing market manipulation in order to preserve the integrity of financial markets. Policymakers in the GCC should disclose more information to aid investors so they do not rely on other investors' trades. The portfolio managers should be aware that the correlation of GCC equities can be higher in the short term due to common market herding in these countries. As the US market does not play an important role in triggering behavioral irrationalities in these markets, investing in GCC equities is a good hedge in a US portfolio. Finally, the results have also important implications for active funds that aim to exploit short-term trending in markets in order to enhance performance.Originality/valueThe authors’ contribution in this paper is to investigate herding in GCC markets by using the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. Another contribution of our paper is to investigate any cross herding from the Saudi market to the rest of the markets in the area. The previous literature on GCC equity market herding is silent on this issue and it is typically restricted to the level of the single market.

Numerical investigation of the effect of the injection angle on the spray structures of an air-blast atomizer

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sheng Chen ◽  
Yuming Xing ◽  
Xin Liu ◽  
Liang Zhao
Keyword(s):  
Cross Sections ◽  
Liquid Jets ◽  
Liquid Jet ◽  
Mixing Process ◽  
Gas Mixing ◽  
Air Blast ◽  
Content Type ◽  
Injection Angle ◽  
The Cross ◽  
Atomization Performance

Purpose The purpose of this study is to investigate the effect of the injection angle α on the spray structures of an air-blast atomizer and help enhance the understanding of droplet-gas mixing process in such atomizers in the engineering domain. Design/methodology/approach The phenomena in the air-blast atomizer were numerically modelled using the computational fluid dynamics software Fluent 17.2. The Euler-Lagrange approach was applied to model the droplet tracking and droplet-gas interaction in studied cases. The standard k-ε model was used to simulate the turbulent flow. A model with a modified drag coefficient was used to consider the effects of the bending of the liquid column and its penetration in the primary breakup region. The Kelvin-Helmholtz, Rayleigh-Taylor model was applied to consider the secondary breakup of the droplets. Findings The basic spatial distribution and spray structures of the droplets corresponding to the angled liquid jet (α = 60°) were similar to those reported in liquid jets injected transversely into a gaseous crossflow studies. The injection angle α did not considerably influence the averaged Sauter to mean diameter (SMD) of the cross-sections. However, the spray structures pertaining to α = 30°, α = 60° and α = 90° were considerably different. In the case of the atomizer with multiple injections, a “collision region” was observed at α = 60° and characterized by a higher ci and larger averaged SMD in the central parts of the cross-sections. Originality/value The injection angle α is a key design parameter for air-blast atomizers. The findings of this study can help enhance the understanding of the droplet-gas mixing process in air-blast atomizers. Engineers who design air-blast atomizers and face new challenges in the process can refer to the presented findings to obtain the desired atomization performance. The code has been validated and can be used in the engineering design process of the gas-liquid jet atomizer.

Idiosyncratic risk and the cross-section of European real estate equity returns

2014 ◽  
Vol 7 (1) ◽  
pp. 29-58 ◽  
Author(s):  
Kai-Magnus Schulte
Keyword(s):  
Real Estate ◽  
Cross Section ◽  
Time Trends ◽  
Idiosyncratic Risk ◽  
Equity Market ◽  
Idiosyncratic Volatility ◽  
Content Type ◽  
Market Portfolio ◽  
The Cross

Purpose – This study is the first to examine the role of idiosyncratic risk in the pricing of European real estate equities. The capital asset pricing model predicts that in equilibrium, investors should hold the market portfolio. As a result, investors should only be rewarded for carrying undiversifiable systematic risk and not for diversifiable idiosyncratic risk. The study is adding to the growing body of countering studies by first examining time trends of idiosyncratic risk and subsequently the pricing of idiosyncratic risk in European real estate equities. The paper aims to discuss these issues. Design/methodology/approach – The study analyses 293 real estate equities from 16 European capital markets over the 1991-2011 period. The framework of Fama and MacBeth is employed. Regressions of the cross-section of expected equity excess returns on idiosyncratic risk and other firm characteristics such as beta, size, book-to-market equity (BE/ME), momentum, liquidity and co-skewness are performed. Due to recent evidence on the conditional pricing of European real estate equities, the pricing is also investigated using the conditional framework of Pettengill et al. Either realised or expected idiosyncratic volatility forecasted using a set of exponential generalized autoregressive conditional heteroskedasticity models are employed. Findings – The initial analysis of time trends in idiosyncratic risk reveals that while the early 1990s are characterised by both high total and idiosyncratic volatility, a strong downward trend emerged in 1992 which was only interrupted by the burst of the dotcom bubble and the 9/11 attacks along with the global financial and economic crisis. The largest part of total volatility is idiosyncratic and therefore firm-specific in nature. Simple cross-correlations indicate that high beta, small size, high BE/ME, low momentum, low liquidity and high co-skewness equities have higher idiosyncratic risk. While size and BE/ME are priced unconditionally from 1991 to 2011, both measures of idiosyncratic risk fail to achieve significance at reasonable levels. However, once conditioned on the general equity market or real estate equity market, a strong positive relationship between idiosyncratic risk and expected returns emerges in up-markets, while the opposite relationship exists in down-markets. The relationship is robust to firm-specific factors and a series of robustness checks. Research limitations/implications – The results show that ignoring the conditional relationship between idiosyncratic risk and returns might result in the false realisation that idiosyncratic risk does not matter in the pricing of risky (real estate) assets. Originality/value – This study is the first to examine the role of idiosyncratic risk in the pricing of European real estate equities. The study reveals differences in the pricing of European real estate equities and US REITs. The study highlights that ignoring the conditional relationship between idiosyncratic risk and returns might result in the false realisation that idiosyncratic risk does not matter in the pricing of risky assets.

scholarly journals The effect of symmetric and asymmetric information on volatility structure of crypto-currency markets

2019 ◽  
Vol 11 (3) ◽  
pp. 432-450 ◽  
Author(s):  
Anwar Hasan Abdullah Othman ◽  
Syed Musa Alhabshi ◽  
Razali Haron
Keyword(s):  
Asymmetric Information ◽  
Risk Premium ◽  
Market Price ◽  
Efficient Market Hypothesis ◽  
Market Returns ◽  
Trade Off ◽  
Content Type ◽  
Market Values ◽  
Risk Return ◽  
Crypto Currency

Purpose This paper aims to examine whether the crypto-currencies’ market returns are symmetric or asymmetric informative, through analysing the daily logarithmic returns of bitcoin currency over the period of 2011-2017. Design/methodology/approach In doing so, the symmetric informative analysis is estimated by applying the generalised auto-regressive conditional heteroscedasticity (GARCH) (1,1) model, whereas asymmetric informative or leverage effects analysis is estimated by exponential GARCH (1,1), asymmetric power ARCH (1,1) and threshold GARCH (1,1) models. In addition, the generalized autoregressive conditional heteroskedasticity in mean (GARCH-M (1,1)) was applied to examine whether the risk-return trade-off phenomenon was persistent in crypto-currencies market. Findings The main findings indicate that bitcoin market return or volatility is symmetric informative and has a long memory to persist in the future. Furthermore, the sympatric volatility is found to be more sensitive to its past values (lagged) than to the new shock of the market values. However, asymmetric informative response of volatility to the negative and the positive shocks do not exist in the bitcoin market or, in other words, there is no leverage effect. This suggests that the bitcoin market is in harmony with the efficient market hypothesis (EMH) with respect to the asymmetric information and violated the EMH with regard to the symmetric information. Hence, the market price or return of bitcoin currency could not be predicted by simply exercising such past market information in the short-run investment. In addition, the estimated coefficient of conditional variance or risk premium (λ) in the mean equation of CHARCH–M (1,1) model is positive however, statistically insignificant. This indicates the absence of risk-return trade-off, in which case the higher market risk will not essentially lead to higher market returns. This paper has proposed that an investment in the crypto-currency market is more appropriate for risk-averse investors than risk takers. Originality/value The findings of the study will provide investors with necessary information about the bitcoin market price efficiency, hedging effectiveness and risk management.

Rheological and printable behavior of resin – class materials for 3D printing applications

2019 ◽  
Vol 25 (5) ◽  
pp. 801-808
Author(s):  
Jianzhong Shang ◽  
Xin Li ◽  
Zhuo Wang ◽  
Rong Wang ◽  
Hong Zhu
Keyword(s):  
Process Parameters ◽  
Cross Sections ◽  
Rheological Behavior ◽  
Dimensional Accuracy ◽  
Cross Sectional ◽  
Content Type ◽  
Nozzle Height ◽  
Uniform Wall ◽  
The Cross ◽  
Printing Parameters

Purpose This study aims to investigate rheological and extrusion behavior of thermosetting epoxy resins, which to find the universal property and printing parameters for extrusion-based rapid prototyping applications. Design/methodology/approach The thickener proportion greatly influences its viscosity and rheological behavior and therefore plays an important role in the shape of the cross-section of the extrudate. Findings A pseudoplastic (shear-thinning) is a basic requirement for obtaining extruded lines with plump cross-sections. In addition to the effects of the rheological behavior of the composite, shape maintenance and its wettability on the substrate, the cross-sectional geometry of the extrudate is also strongly affected by printing process parameters including the extrusion nozzle height, nozzle moving speed, extrusion rate and critical nozzle height. Proper combinations of these process parameters are necessary to obtain single-line extrudates with plump cross-sections and 3-D objects with dimensional accuracy, uniform wall thickness, good wall uprightness and no wall slumping. Formulas and procedures for determining these extrusion parameters are proposed and demonstrated in experiments. Originality/value The results obtained have been explained in terms of the interactions among the rheological properties of the composite, the shear rate imposed on the composite during extrusion, the wettability of the composite on the substrate and the shape maintenance of the composite during extrusion.

ANN prediction of fire temperature in timber

2019 ◽  
Vol 10 (2) ◽  
pp. 233-244
Author(s):  
Paulo Cachim
Keyword(s):  
Cross Section ◽  
Cross Sections ◽  
Design Methodology ◽  
Content Type ◽  
Construction Engineering ◽  
Standard Fire ◽  
Model Complex ◽  
Engineering Problems ◽  
The Cross ◽  
Fire Loading

Purpose Fire degradation is an extremely important risk that threatens timber structures. It is therefore normal that timber design codes include provisions for the design and verification of structures under fire loading. Eurocode 5 is no exception to this, but the simplified methods presented in the code show some inconsistencies, and the advanced method is not practical to use for design purposes. Artificial neural networks (ANNs) have the ability to model complex problems and have been used in a variety of construction engineering problems. They can learn from a subset of data, and then they can be used to predict the results for other input parameters. The purpose of this study is to present the possibility of the use of ANNs for the prediction of temperatures in rectangular timber cross sections, under fire exposure. Design/methodology/approach In this work, a multilayer feedforward ANN has been trained to predict the temperatures within a timber cross section, using as input the size of the cross section, the timber density, the time of exposure and the coordinates of the point within the cross section. Findings The results obtained clearly indicate that ANN can be used to predict the temperatures in a timber cross section subjected to fire. Originality/value ANNs have not been used for the prediction of temperatures in timber cross sections. The use of ANN makes the temperature prediction under a standard fire loading in a cross section extremely easy to implement in any code. These results can be used to calculate the strength of the elements after fire.

Decomposition of stock market trade-offs using Shewhart methodology

2016 ◽  
Vol 33 (9) ◽  
pp. 1311-1331 ◽  
Author(s):  
Nadeeka Premarathna ◽  
A. Jonathan R. Godfrey ◽  
K. Govindaraju
Keyword(s):  
Quality Management ◽  
Stock Returns ◽  
Financial Market ◽  
Significant Risk ◽  
Trade Off ◽  
Content Type ◽  
Risk Return ◽  
Trade Offs ◽  
The Impact ◽  
Market Behaviour

Purpose The purpose of this paper is to investigate the applicability of Shewhart methodology and other quality management principles to gain a deeper understanding of the observed volatility in stock returns and its impact on market performance. Design/methodology/approach The validity of quality management philosophy in the context of financial market behaviour is discussed. The technique of rational subgrouping is used to identify the observable variations in stock returns as either common or special cause variation. The usefulness of the proposed methodology is investigated through empirical data. The risk/return and skewness/kurtosis trade-offs of S&P 500 stocks are examined. The consistency of this approach is reviewed by relating the separated variability to “efficient market” and “behavioural finance” theories. Findings Significant positive and negative risk/return trade-offs were found after partitioning the returns series into common and special cause periods, respectively, while total data did not exhibit a significant risk/return trade-off at all. A highly negative skewness/kurtosis trade-off was found in total and special cause periods as compared to the common cause periods. These results are broadly consistent with the theoretical concepts of finance and other empirical findings. Practical implications The quality management principles-based approach to analysing financial data avoids the complexities commonly found in stochastic-volatility forecasting models. Social implications The results provide new insights into the impact of volatility in stock returns. They should have direct implications for financial market participants. Originality/value The authors explore the relevance of Shewhart methodology in analysing variability in stock returns through reviewing financial market behaviour.

Cross country co-movement in equity markets after the US financial crisis

2016 ◽  
Vol 8 (2) ◽  
pp. 98-121 ◽  
Author(s):  
Amanjot Singh ◽  
Manjit Singh
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Correlation Coefficients ◽  
Equity Market ◽  
Content Type ◽  
Risk Return ◽  
The Us ◽  
The Usa ◽  
Cross Country ◽  
The Global Financial Crisis

Purpose This paper aims to attempt to capture the co-movement of the Indian equity market with some of the major economic giants such as the USA, Europe, Japan and China after the occurrence of global financial crisis in a multivariate framework. Apart from these cross-country co-movements, the study also captures an intertemporal risk-return relationship in the Indian equity market, considering the covariance of the Indian equity market with the other countries as well. Design/methodology/approach To account for dynamic correlation coefficients and risk-return dynamics, vector autoregressive (1) dynamic conditional correlation–asymmetric generalized autoregressive conditional heteroskedastic model in a multivariate framework and exponential generalized autoregressive conditional heteroskedastic model in mean with covariances as explanatory variables are used. For an in-depth analysis, Markov regime switching model and optimal hedging ratios and weights are also computed. The span of data ranges from August 10, 2010 to August 7, 2015, especially after the global financial crisis. Findings The Indian equity market is not completely decoupled from mature markets as well as emerging market (China), but the time-varying correlation coefficients are on a downward spree after the global financial crisis, except for the US market. The Indian and Chinese equity markets witness a highest level of correlation with each other, followed by the European, US and Japanese markets. Both the optimal portfolio hedge ratios and portfolio weights with two asset classes point out toward portfolio risk minimization through the combination of the Indian and US equity market stocks from a US investor viewpoint. A negative co-movement between the Indian and US market increases the conditional expected returns in the Indian equity market. There is an insignificant but a negative relationship between the expected risk and returns. Practical implications The study provides an insight to the international as well as domestic investors and supports the construction of cross-country portfolios and risk management especially after the occurrence of global financial crisis. Originality/value The present study contributes to the literature in three senses. First, the period relates to the events after the global financial crisis (2007-2009). Second, the study examines the co-movement of the Indian equity market with four major economic giants such as the USA, Europe, Japan and China in a multivariate framework. These economic giants are excessively following the easy money policies aftermath the financial crisis so as to wriggle out of deflationary phases. Finally, the study captures risk-return relationship in the Indian equity market, considering its covariance with the international markets.

The cross sections for different channels in heavy ion nuclear reactions

1971 ◽  
Vol 32 (1) ◽  
pp. 7-9 ◽  
Author(s):  
J. Galin ◽  
D. Guerreau ◽  
M. Lefort ◽  
X. Tarrago
Keyword(s):  
Cross Sections ◽  
Nuclear Reactions ◽  
Heavy Ion ◽  
The Cross
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