Risk models vs characteristic models from an investor’s perspective

2019 ◽  
Vol 20 (2) ◽  
pp. 201-222
Author(s):  
Christian Fieberg ◽  
Armin Varmaz ◽  
Thorsten Poddig
Keyword(s):  
Risk Factor ◽  
Versus Characteristic ◽  
Design Methodology ◽  
Factor Models ◽  
Expected Returns ◽  
Risk Models ◽  
Content Type ◽  
Risk Factor Models ◽  
Mean Variance ◽  
Academic Debate

Purpose The purpose of this paper is to analyze the implications of the risk versus characteristic debate from the perspective of a mean-variance investor. Design/methodology/approach Expected returns and the variance-covariance matrix are estimated based on various characteristic and risk models and evaluated for the purpose of mean-variance portfolios. Findings Return estimates from characteristic models are most informative to investors. Risk-factor models provide the most informative estimates of the risk. A mean-variance investor should rely on combinations of the two model types. Originality/value Although the risk vs characteristic debate is a binary academic debate, our findings from an investor's perspective suggest to make use of the best of both worlds.

Benefits on Sales Generated by Innovation

2021 ◽  
pp. 2140010
Author(s):  
Fernando Henrique Taques ◽  
Nelson Areal ◽  
Leonardo Fernando Cruz Basso
Keyword(s):  
Risk Factor ◽  
Financial Performance ◽  
Abnormal Returns ◽  
Sales Performance ◽  
Factor Models ◽  
Regression Method ◽  
Risk Models ◽  
Risk Factor Models ◽  
Rolling Regression ◽  
D Investment

The object of the research is to assess whether organizations’ ability to innovate may be able to explain abnormal returns to firms by composing risk factor models. Using R&D investment indicators and published patents from a global sample of companies for the period 1992 to 2018, the 3-factor, 4-factor and 5-factor risk models were applied. Partly the case is that increased investment in innovation contributes to better sales performance and, consequently, excess returns. Regarding the rolling-regression method, the results show few scenarios in which the ability to innovate is an explanatory factor for financial performance.

The Contributions of Propensity, Delinquent Peers, Low Parental Supervision, and Empathy to the Emergence of Antisocial Behavior in Childhood and Adolescence: Testing Developmental Path Models Combining Psychological- and Sociological-Criminological Approaches

2020 ◽  
pp. 1-14
Author(s):  
Susanne Wallner ◽  
Stemmler Mark ◽  
Jost Reinecke
Keyword(s):  
Risk Factor ◽  
Antisocial Behavior ◽  
Action Theory ◽  
Cumulative Risk ◽  
Factor Models ◽  
Individual Risk ◽  
Parental Supervision ◽  
Childhood And Adolescence ◽  
Path Models ◽  
Risk Factor Models

Psychological- and sociological-criminological research refers to, for example, cumulative risk factor models (e.g., Lösel & Bender, 2003) and Situational Action Theory (SAT; e.g., Wikström, 2006). The German longitudinal study “Chances and Risks in the Life Course“ (research project A2, Collaborative Research Center 882; e.g., Reinecke, Stemmler, & Wittenberg, 2016) focuses upon the development of antisocial behavior from a psychological and sociological point of view. Two-wave panel data of two cohorts (children and adolescents) were utilized to test the power of developmental path models investigating the development of antisocial behavior. Individual risk seems to have both direct and indirect influences on antisocial behavior, supporting the ideas of risk factor models; antisocial behavior might be the outcome of the interaction between propensity and criminogenic exposure, so there is evidence for SAT. Additionally, empathy seems to be related to both propensity and low parental supervision. Implications for the study of antisocial behavior in childhood and adolescence are discussed in line with developmental criminology.

scholarly journals Ordering risk bounds in factor models

2018 ◽  
Vol 6 (1) ◽  
pp. 259-287 ◽  
Author(s):  
Jonathan Ansari ◽  
Ludger Rüschendorf
Keyword(s):  
Risk Factor ◽  
Systemic Risk ◽  
Factor Models ◽  
Worst Case ◽  
Sign Changes ◽  
Risk Factor Models ◽  
Risk Bounds ◽  
Derivatives Of ◽  
Dependence Structures

AbstractConditionally comonotonic risk vectors have been proved in [4] to yield worst case dependence structures maximizing the risk of the portfolio sum in partially specified risk factor models. In this paper we investigate the question how risk bounds depend on the specification of the pairwise copulas of the risk components Xiwith the systemic risk factor. As basic toolwe introduce a new ordering based on sign changes of the derivatives of copulas. This together with discretization by n-grids and the theory of supermodular transfers allows us to derive concrete ordering criteria for the maximal risks.

20 years of ETHICOMP: time to celebrate?

2015 ◽  
Vol 13 (3/4) ◽  
pp. 166-175 ◽  
Author(s):  
Bernd Carsten Stahl ◽  
Charles M Ess
Keyword(s):  
Design Methodology ◽  
Ethical Issues ◽  
Special Issue ◽  
Content Type ◽  
Conference Series ◽  
Design Build ◽  
The World ◽  
Definition Of ◽  
Important Building Block ◽  
Academic Debate

Purpose – The purpose of this paper is to give an introduction to the special issue by providing background on the ETHICOMP conference series and a discussion of its role in the academic debate on ethics and computing. It provides the context that influenced the launch of the conference series and highlights its unique features. Finally, it provides an overview of the papers in the special issues. Design/methodology/approach – The paper combines an historical account of ETHICOMP and a review of the existing papers. Findings – ETHICOMP is one of the well-established conference series (alongside IACAP and CEPE) focused on ethical issues of information and computing. Its special features include: multidisciplinary and diversity of contributors and contributions; explicit outreach to professionals whose work is to design, build, deploy and maintain specific computing applications in the world at large; creation of knowledge that is accessible and relevant across fields and disciplines; intention of making a practical difference to development, use and policy of computing principles and artefacts; and creation of an inclusive, supportive and nurturing community across traditional knowledge silos. Originality/value – The paper is the first one to explicitly define the nature of ETHICOMP which is an important building block in the future development of the conference series and will contribute to the further self-definition of the ETHICOMP community.

Understanding integrated thinking: evidence from the field, the development of a framework and avenues for future research

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Cristiano Busco ◽  
Fabrizio Granà ◽  
Giulia Achilli
Keyword(s):  
Design Methodology ◽  
Future Research ◽  
Research Projects ◽  
Special Issue ◽  
Content Type ◽  
Research Opportunities ◽  
Energy Company ◽  
New Research ◽  
Academic Debate

Purpose This study aims to develop a framework to systematize the emerging literature on integrated thinking and offers empirical insights on how integrated thinking has been practiced within an organization. The paper also introduces the contributions that compose the special issue “exploring integrated thinking in action: theoretical interpretations and evidence from the field” and outlines avenues for future research. Design/methodology/approach The paper critically reviews the literature on integrated thinking and proposes a framework that classifies prior studies into three areas, namely, integrated thinking and sustainable strategies; integrating thinking in practice; the concept and measures of integrated thinking. The study also provides an illustration of the ways in which integrated thinking has been adopted by a European energy company to shape and execute its purpose-driven strategy, as well as the benefits that have emerged. The paper uses the framework developed from the literature to introduce the contributions of the special issue and to suggest future research opportunities. Findings The study shows that while the literature on integrated thinking is still in its infancy, the evidence emerging from contemporary organizations supports empirical-driven research and stimulates a variety of theoretical and empirical contributions that will enable the academic debate to move forward. Originality/value The theoretical and practical insights offered by this study, together with those provided by the papers of this Meditari Accountancy Research special issue, will foster future research on integrated thinking. In particular, the framework developed in this paper may be drawn upon by researchers to plan new research projects on integrated thinking and its adoption within organizations.

Nonsteroidal anti-inflammatory drug-associated gastropathy: Incidence and risk factor models

1991 ◽  
Vol 91 (3) ◽  
pp. 213-222 ◽  
Author(s):  
James F. Fries ◽  
Catherine A. Williams ◽  
Daniel A. Bloch ◽  
Beat A. Michel
Keyword(s):  
Risk Factor ◽  
Factor Models ◽  
Inflammatory Drug ◽  
Anti Inflammatory ◽  
Risk Factor Models

scholarly journals The advertising standardisation debate revisited

2016 ◽  
Vol 7 (1) ◽  
pp. 2-14 ◽  
Author(s):  
Sarah Turnbull ◽  
Liza Howe-Walsh ◽  
Aisha Boulanouar
Keyword(s):  
Middle East ◽  
Design Methodology ◽  
Review Of The Literature ◽  
Islamic Ethics ◽  
Content Type ◽  
Advertising Strategy ◽  
Starting Point ◽  
Key Driver ◽  
Islamic Values ◽  
Academic Debate

Purpose – The purpose of this paper is to bridge the gap between previous examinations of advertising standardisation and consideration of Islamic ethics to develop a better understanding of how Islamic values influence global advertising strategy. Design/methodology/approach – This paper is based on a critical review of the literature. The paper presents a conceptual framework which considers both the environmental influences and Islamic ethics which need to be considered when developing advertising strategy in Middle East Islamic States. Findings – The authors assert the importance of considering Islamic ethics when planning advertising in the Islamic Middle East. In particular, six dominant ethical dimensions are provided for marketing scholars and practitioners to observe: unity (Tawheed), Iman (faith), Khilafah (trusteeship), Balance, Justice or Adl and Free will. Research limitations/implications – The conceptual model presented provides a useful starting point to generate further academic debate and empirical verification. Originality/value – The paper extends our understanding of the influence of Islamic ethics on advertising and contributes to the wider marketing standardisation literature by considering religion as a key driver in the debate.

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