Beyond new roads and bridges

2018 ◽  
Vol 30 (2) ◽  
pp. 175-190
Author(s):  
Lenahan O’Connell ◽  
Juita-Elena (Wie) Yusuf ◽  
Khairul Azfi Anuar
Keyword(s):  
Factor Model ◽  
Public Support ◽  
Mass Transit ◽  
Light Rail ◽  
Urban Context ◽  
Public Preferences ◽  
Content Type ◽  
Hampton Roads ◽  
Infrastructure Investments ◽  
Three Factor

Purpose The purpose of this paper is to compare public preferences for investment and spending on non-automobile infrastructures (mass transit and bicycling) to preferences for new roads and the repair of current highways. The study explores the factors that explain preferences for non-automobile infrastructure using a three-factor model including self-interest (personal transportation benefits), concern for community-wide benefits (political beliefs), and concern for the economic impact. The study uses a case study of the urban context of the Hampton Roads region of Southeastern Virginia (USA). Design/methodology/approach The analysis uses data from a 2013 telephone survey of urban residents in the Hampton Roads area. Survey respondents were asked to identify their two investment priorities from four options: repairing existing roads, bridges, and tunnels; constructing new or expanding roads, bridges, and tunnels; expanding mass transit; and expanding bicycle routes and improving bike safety. Findings Repairing existing highway infrastructure is the most popular spending priority (66 percent of residents). There is as much support (46 percent) for investing in non-automobile infrastructure as for investing in new roads, bridges, and tunnels. Significant predictors of support for non-automobile infrastructure, using the three-factor model, are: length of commute time, self-identification as liberal, use of light rail, and a belief that light rail contributes to economic development. Originality/value The study examines public preferences for both non-traditional and traditional transportation infrastructure investments. It highlights the factors that contribute to public support for different transportation spending options.

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.

Applying the Fama and French three-factor model to analyze risk/reward in the Spanish REITs: an ARDL approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhenyu Su ◽  
Paloma Taltavull
Keyword(s):  
Growth Rate ◽  
Factor Model ◽  
Explanatory Power ◽  
Gdp Growth ◽  
Size Factor ◽  
Content Type ◽  
Gdp Growth Rate ◽  
Fama And French ◽  
Three Factor

Purpose This paper aims to analyse the risk and excess returns of the Spanish real estate investment trusts (S-REITs) using various methods, though focusing primarily on the Fama-French three-factor (FF3) model, over the period from 2007Q3 to 2017Q2. Design/methodology/approach The autoregressive distributed lag model is used for the empirical analysis to test long-term stable relationships between variables. Findings The findings indicate that the FF3 model is suitable for the S-REITs market, better explaining the S-REITs’ returns variation than the traditional single-index capital asset pricing model (CAPM) and the Carhart four-factor model. The empirical evidence is reasonably consistent with the FF3 model; the values for the market, size and value are highly statistically significant over the analysis period, with 68.7% variation in S-REITs’ returns explained by the model. In the long run, the market factor has less explanatory power than the size and value factors; the positive long-term multiplier of the size factor indicates that small S-REIT companies have higher returns, along with higher risk, while the negative multiplier of the value indicator suggests that S-REITs portfolios prefer to allocate growth REITs with low book-to-market ratios. The empirical findings from a modified FF3 model, which additionally incorporates Spain’s gross domestic product (GDP) growth rate, two consumer price index (CPI) macro-factors and three dummy variables, indicates that GDP growth rate and CPI also affect S-REITs’ yields, while investment funds with capital calls have a small influence on S-REITs’ returns. Practical implications The regression results of the standard and extended FF3 model can help researchers understand S-REITs’ risk and return through a general stock pattern. Potential investors are given more information to consider the new Spanish investment vehicle before making a decision. Originality/value The paper uses standard techniques but applies them for the first time to the S-REIT market.

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.

The effect of business cycle, market return and momentum on financial performance of socially responsible investing mutual funds

2017 ◽  
Vol 13 (3) ◽  
pp. 513-528 ◽  
Author(s):  
Karen Paul
Keyword(s):  
Business Cycle ◽  
Financial Performance ◽  
Mutual Funds ◽  
Factor Model ◽  
Social Performance ◽  
Socially Responsible ◽  
Content Type ◽  
Responsible Investing ◽  
Market Return ◽  
Three Factor

Purpose This study examines the effect of business cycle, market return and momentum on the financial performance of socially responsible investing (SRI) mutual funds using data from two complete business cycles as defined by the National Bureau of Economic Research (NBER). Design/methodology/approach A “fund of funds” approach is used to identify the extent to which SRI financial performance is affected by the macroeconomic climate. The Fama-French Three-Factor model and the Carhart four-factor model are used to bring the results into alignment with commonly used finance methodologies. Findings The results indicate that SRI tends to preserve value during economic contraction more than it adds value during economic expansion. Market return is important during both expansion and contraction, while momentum is important only during expansion. Research limitations/implications These findings suggest that double screening, for both financial and social performance, enables portfolio managers of SRI funds to have insight into those companies that are particularly vulnerable during times of economic contraction. Practical implications These results bring added clarity to the mixed findings found by previous researchers examining the relationship between corporate social performance (CSP) and financial performance. Social implications This study reinforces the idea that the financial performance of companies with high ethical standards is comparable to the financial performance of the market as a whole during times of economic expansion and superior to the market as a whole during times of economic contraction. Originality/value Business cycle analysis, along with the Fama-French Three-Factor model and the Carhart four-factor model, brings SRI research more into the realm of conventional financial analysis than previous studies.

A three factor model of followership: part 3 – research on followership, a three factor followership framework and practical implications

2016 ◽  
Vol 48 (8) ◽  
pp. 400-408 ◽  
Author(s):  
Tony Manning ◽  
Bob Robertson
Keyword(s):  
Public Sector ◽  
Empirical Evidence ◽  
Factor Model ◽  
Full Range ◽  
Training And Development ◽  
Content Type ◽  
Effective Leaders ◽  
The Uk ◽  
Practical Implications ◽  
Three Factor

Purpose The first part of this paper pointed out that theory and research on followership is less extensive and less well known than that on leadership. It then described a three factor model of leadership and suggested it could be applied to and was consistent with other work on followership. The second part of the paper presented empirical evidence supporting the three factor model of leadership and justifying its extension and application to the full range of team roles, including follower and co-worker roles, as well as leader roles. This part of the paper looks specifically at follower roles and followership. Research findings are used to develop and describe a three factor model of follower behaviour. The paper aims to discuss these issues. Design/methodology/approach A mixed group of managers, mainly from the UK public sector, completed a variety of self-assessment questionnaires, had 360 degree assessments completed on them, and provided information on their work role and situation. Research looked at the degree of correlation between variables and its statistical significance. This was used to assess the internal reliability and external validity of three factor measures of leader behaviours and team role behaviours. Information on contextual variables was used to measure leader and follower situations and develop leader-follower scales that were used to identify behaviours used by followers. In total, 360 degree assessments were also used to identify behaviours that are most and least valued when used by followers. Findings The findings presented in the second part of this paper provided empirical support for the three factor model of leadership and its extension to the full range of team roles. The findings presented in this part of the paper identify behaviours used by individuals in follower roles and behaviours valued when used by individuals in such roles. By combining these two sets of findings, it was possible to produce a three factor model of effective follower behaviour, with each metacategory consisting of five behaviour sets and each set made up of four specific behaviours. Research limitations/implications Effective organisations need effective followers and effective leaders. Moreover, the skills of the effective leader develop out of and build on those of the effective follower. Effective leaders and followers use essentially the same skills but use them in different situations, playing different roles. The research was carried out on a diverse sample of managers, drawn mainly from the UK public sector. However, it would be useful to extend the research to other populations. Practical implications The findings provide evidence-based descriptions of effective follower behaviours. These have practical implications for leaders and for followers, as well those involved in their training and development. They establish the content of developmental activities for effective followers and indicate how the training and development of followers underpins that of leaders. Social implications The findings challenge the widely held pre-occupation with leadership and the associated view that it is qualitatively different from and superior to leadership. In so doing, the three factor model of followership offers a challenge to the cult of leadership. Originality/value This is the first published research to present empirical evidence supporting the three factor model of followership. In the research process, scales were developed to assess leader and follower roles and used to identify behaviours used by followers. They were also used in further research identifying behaviours most and least valued when used by followers. The instruments and the associated research were original.

Overreaction evidence from large-cap stocks

2014 ◽  
Vol 13 (4) ◽  
pp. 310-325 ◽  
Author(s):  
Tibebe Abebe Assefa ◽  
Omar A. Esqueda ◽  
Emilios C. Galariotis
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Investment Strategy ◽  
Past Performance ◽  
Content Type ◽  
Multifactor Models ◽  
Contrarian Strategy ◽  
Fama And French ◽  
Investment Portfolios ◽  
Three Factor

Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap US stocks. Previous criticisms that losers’ gains are not due to overreaction but due to their tendency to be thinly traded and smaller-sized firms than winners are addressed. Design/methodology/approach – Portfolios based on past performance are constructed and it is examined whether contrarian returns exist. The Capital Asset Pricing Model (CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether excess returns are feasible in a contrarian strategy. Findings – The results show an asymmetric performance following portfolio formation. Although both, winners and losers portfolios, have gains during holding periods, losers outperform winners at all times, and with a differential of up to 29.2 per cent 36 months after portfolio formation. Furthermore, the loser and the winner portfolios’ alphas are significant, suggesting that the CAPM and the multifactor models are unable to explain return differentials between winners and losers. Our evidence supports two main conclusions. First, stock market overreaction still holds for a sample of large firms. Second, this is robust to the Fama and French’s (1993, 1996) three-factor model and Carhart’s (1997) momentum portfolio. Findings emphasize the relevance of a contrarian strategy when rebalancing investment portfolios. Practical implications – Portfolio managers can improve stock returns by selling past winners and buying previous loser large-cap US stocks. Originality/value – This paper is the first, to the authors’ knowledge, to examine frequently traded large-cap US stocks to avoid infrequent trading and size concerns.

The Leader Support for Innovation Questionnaire (LSIQ)

2019 ◽  
Vol 40 (8) ◽  
pp. 898-915
Author(s):  
Sylvie Vincent-Höper ◽  
Maie Stein
Keyword(s):  
Process Model ◽  
Organizational Innovation ◽  
Factor Model ◽  
Idea Generation ◽  
Confirmatory Factor Analyses ◽  
Content Type ◽  
Leader Support ◽  
Support For Innovation ◽  
The Relationship ◽  
Three Factor

Purpose In this study, the authors integrate the concept of leader support with a process model of innovation including the generation, promotion and implementation of innovative ideas to obtain an in-depth understanding of how leaders may support employees’ innovative efforts. The purpose of this paper is to develop an organizing framework and validate a measure for assessing leader support for innovation. Design/methodology/approach The authors validated the Leader Support for Innovation Questionnaire (LSIQ) in German and English using samples from Germany (n=1,049) and South Africa (n=129). Findings Although confirmatory factor analyses supported a three-factor model of the 12-item LSIQ (leader support for idea generation, promotion and implementation), strong intercorrelations between the factors provide only weak evidence for the three-factor structure. Positive correlations with individual and organizational innovation demonstrate adequate construct validity. The LSIQ explains additional variance in innovation beyond that explained by measures of transformational leadership and leader–member exchange. Research limitations/implications The findings suggest that linking leader support and innovation more directly to one another matches the complexity of innovation processes. The LSIQ is a theory based and valid tool that enables more rigorous research on the role of leadership in facilitating innovation. Originality/value Previous studies using well-established leadership approaches have produced a considerable heterogeneity of findings on the relationship between leadership and innovation. Therefore, the authors introduce an integrative framework for defining and organizing leadership behaviors specifically supporting employees’ innovative efforts and validate a measure of leader support for innovation that may guide both theoretical developments and empirical research on the relationship between leadership and innovation in organizations.

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.

Validity and reliability of the Italian version of the Teachers' Sense of Efficacy Scale

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Andrea Pintus ◽  
Chiara Bertolini ◽  
Lucia Scipione ◽  
Maja Antonietti
Keyword(s):  
Classroom Management ◽  
Instructional Strategies ◽  
Factor Structure ◽  
Self Efficacy ◽  
Factor Model ◽  
Validity And Reliability ◽  
Italian Version ◽  
Content Type ◽  
Sense Of Efficacy ◽  
Three Factor

PurposeThis study investigates the construct validity and reliability of the Italian version of the Teachers' Self-Efficacy Scale (TSES) developed by Tschannen-Moran and Hoy (2001) and contributes to existing research aimed at exploring the elements and variables that influence teachers' self-efficacy levels.Design/methodology/approachThe instrument, translated and adapted in Italian by Cardarello et al. (2017), was tested on a sample of 349 in-service second grade teachers with similar demographic profiles (gender, age, seniority). The study analyzes the data following the exploratory factor analysis.FindingsThe results of this research confirm the relevance of the three-factor model, but opens the possibility of a different organizational structure of the items within the scale. In fact, the results confirmed both the original TSES three-factor structure (student engagement, classroom management, instructional strategies) and a new four-factor structure. The new four-factor structure recognizes two new factors of an instructional nature, “Inclusive instructional strategies, learner-centered” and “Traditional instructional strategies, teacher-centered.” The first one recalls beliefs about capabilities to use strategies and assessments focused on students' needs (inclusive perspective); the second one refers to the dimension of the disciplinary master.Originality/valueAccording to the idea that teachers' self-efficacy is a multidimensional construct, the findings of this study invite to reflect upon the meanings of scale application in different cultural contexts and open a discussion about instructional strategies and the experience of teaching in Italy.

Consumer’s intention to use self-service parcel delivery service in online retailing

2018 ◽  
Vol 28 (2) ◽  
pp. 500-519 ◽  
Author(s):  
Yuangao Chen ◽  
Jing Yu ◽  
Shuiqing Yang ◽  
June Wei
Keyword(s):  
Consumer Behavior ◽  
Factor Model ◽  
Situational Factors ◽  
Human Interaction ◽  
Individual Factors ◽  
Intention To Use ◽  
Content Type ◽  
Delivery Service ◽  
Self Service ◽  
Three Factor

Purpose Online retailers widely use self-service parcel delivery as a solution to the last-mile logistics problems. The purpose of this paper is to investigate the factors that affect the consumer’s intention to use self-service parcel delivery service. Design/methodology/approach The authors integrate prior research and propose a comprehensive three-factor model. The study combines individual and situational factors and proposes a socialized factor. Findings This study found that location convenience, optimism, innovation, and the need for human interaction positively affect the consumer’s intention to avail of the self-service parcel delivery service. It also identifies that socialized factor positively influences the consumer’s intention to use self-service parcel delivery services. Research limitations/implications The test results show that the explanatory power of the individual factors of the model is better than that of the situational factors. However, this does not imply that the situational factors cannot explain the consumer behavior well. Future studies should employ additional situational factors to explain the consumer behavior. Practical implications This study offers valuable theoretical and managerial implications. Delivery service providers should concentrate on their marketing force and customize their services for consumer groups who have specific individual characteristics, such as optimism and innovation. Social implications Strengthening service interactions in the social factor and choosing optimal locations for self-service pickup machines are also essential for the expansion of the users’ population and enhancement of service experience. Originality/value The authors combined situational and individual factors, proposed a socialized factor, and presented the three-factor model of the consumer’s intention to use self-service parcel delivery service.

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