scholarly journals Copula methods for evaluating relative tail forecasting performance

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ángel León ◽  
Trino-Manuel Ñíguez
Keyword(s):  
Design Methodology ◽  
Screening Strategy ◽  
Performance Measure ◽  
Superior Performance ◽  
Gaussian Copula ◽  
Portfolio Performance ◽  
Lower Tail ◽  
Content Type ◽  
Forecasting Performance ◽  
Practical Implications

PurposeThe authors apply their method to analyze which portfolios are capable of providing superior performance to those based on the Sharpe ratio (SR).Design/methodology/approachIn this paper the authors illustrate the use of conditional copulas for identifying differences in alternative portfolio performance strategies. The authors analyze which portfolios are capable of providing superior performance to those based on the SR.FindingsThe results show that under the Gaussian copula, both expected tail ratio (ETR) and skewness-kurtosis ratio portfolios exhibit remarkably low correlations respecting the SR portfolio. This means that these two portfolios are different respecting the SR one. The authors also find that copulas which focus on either the upper tail (Gumbel) or the lower tail (Clayton) render significant differences. In short, the copula analysis is useful to understand what kind of equity-screening strategy based on its corresponding performance measure (PM) performs better in relation to the SR portfolio.Practical implicationsCopula methods for evaluating relative tail forecasting performance provide an alternative tool when forecast differences are very small or found non statistically significant through standard tests.Originality/valueOur copula methods to evaluate models' performance differences are significant because when models' performance is rather similar, conclusions on statistical differences, can be defective as they may hinge on the subsample type or size used, leading to inefficient investment decisions. Our method based in copula is novel in this research topic.

Large-cap vs small-cap portfolio performance: new empirical evidence from ETFs

2019 ◽  
Vol 18 (1) ◽  
pp. 71-94
Author(s):  
Gerasimos Rompotis
Keyword(s):  
Design Methodology ◽  
Portfolio Performance ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Time Data ◽  
Content Type ◽  
Risk Characteristics ◽  
The Usa ◽  
First Time ◽  
Practical Implications

PurposeA well-documented pattern in the literature concerns the outperformance of small-cap stocks relative to their larger-cap counterparts. This paper aims to address the “small-cap versus large-cap” issue using for the first time data from the exchange traded funds (ETFs) industry.Design/methodology/approachSeveral raw return and risk-adjusted return metrics are estimated over the period 2012-2016.FindingsResults are partially supportive of the “size effect”. In particular, small-cap ETFs outperform large-cap ETFs in overall raw return terms even though they fail the risk test. However, outperformance is not consistent on an annual basis. When risk-adjusted returns are taken into consideration, small-cap ETFs are inferior to their large-cap counterparts.Research limitations/implicationsThis research only covers the ETF market in the USA. However, given the tremendous growth of ETF markets worldwide, a similar examination of the “small vs large capitalization” issue could be conducted with data from other developed ETF markets in Europe and Asia. In such a case, useful comparisons could be made, so that we could conclude whether the findings of the current study are unique and US-specific or whether they could be generalized across the several international ETF markets.Practical implicationsA possible generalization of the findings would entail that profitable investment strategies could be based on the different performance and risk characteristics of small- and large-cap ETFs.Originality/valueThis is the first study to examine the performance of ETFs investing in large-cap stock indicesvis-à-visthe performance of ETFs tracking indices comprised of small-cap stocks.

Leading in the connected era

2014 ◽  
Vol 42 (1) ◽  
pp. 37-46 ◽  
Author(s):  
Saul Berman ◽  
Peter Korsten
Keyword(s):  
Design Methodology ◽  
Rapid Change ◽  
Superior Performance ◽  
Institutional Diversity ◽  
Content Type ◽  
Face To Face ◽  
Constant Change ◽  
Collaborative Cultures ◽  
Practical Implications ◽  
Future Plans

Purpose – Leaders are recognizing that the current connected era is fundamentally changing how customers, employees and partners engage, according to an IBM survey of CEOs and senior public sector leaders from around the globe. Design/methodology/approach – Between September 2011 and January 2012, IBM leaders met face to face with leaders worldwide to better understand their future plans and challenges in an increasingly connected economy. The CEOs surveyed lead organizations of different sizes in 64 countries and 18 industries The analysis also sought to understand differences between responses of CEOs in financially outperforming organizations and those in underperforming organizations. Findings – Key survey findings include: CEOs are creating more open and collaborative cultures – encouraging employees to connect, learn from each other and thrive in a world of rapid change; the emphasis on openness and collaboration is even higher among outperforming organizations; to engage customers as individuals, CEOs are investing in customer insights more than any other functional area; and extensive partnering is providing the edge CEOs need to take on radical innovation. Practical implications – Three suggested initiatives to promote superior performance are: embrace connectivity and openness; engage customers as individuals; and amplify innovation with partnerships. Originality/value – Explains that to create greater value, CEOs must take advantage of newly enabled connections with and among employees, customers and partners. Shows that to lead in this unfamiliar territory amid constant change, CEOs will need to learn from their own networks. They will need to assemble those networks like portfolios – with generational, geographic, institutional diversity. Then, they will need to help their organizations do the same.

An assessment of OECD sustainable portfolios with a multi-criteria approach under uncertainty

Kybernetes ◽  
2017 ◽  
Vol 46 (1) ◽  
pp. 67-84 ◽  
Author(s):  
Klender Cortez Alejandro ◽  
Martha del Pilar Rodríguez García
Keyword(s):  
Financial Performance ◽  
Working Conditions ◽  
Design Methodology ◽  
Fuzzy Regression ◽  
Portfolio Performance ◽  
Content Type ◽  
Corporate Social ◽  
Practical Implications ◽  
Hybrid Methodology ◽  
Better Than

Purpose This paper aims to analyse the differences in financial performance portfolios between sustainable and non-sustainable firms through the use of portfolio theory and OptQuest algorithms from 2007 to 2013. Design/methodology/approach The sample consists of 1,078 firms from 15 Organisation for Economic Cooperation and Development countries. A maximisation weighted ratio is estimated by applying OptQuest algorithms to measure the portfolio performance considering a fuzzy Jensen’s alpha and the percentage of the portfolio’s performance that exceeds the market. Findings The results show a similar financial performance in sustainable portfolios (SP) and non-SP, but considering the uncertainty, the performance in sustainable firms was better than that of non-sustainable ones. Uncertainty was reduced, as it passed the beginning of the crisis from 2008-2009 to 2012-2013. Research limitations/implications The main limitation is the different assessments of sustainability indexes in each of the countries. Practical implications The results help investors assess their decisions in an uncertain economic environment and allocate their investment in not only financial terms but also social character. Social implications Countries with higher financial performances in SP show the efficiency in their legal environmental regulations. On the other hand, the degree of uncertainty is lower in the SP than non-SP, suggesting that sustainable firms in financial crisis could be more responsible in social claims such as good working conditions. Originality/value This study contributes to existing research in two ways. First, the paper studies corporate social responsibility by different continents and countries in an uncertain economic timespan. For this, the legal, cultural and socioeconomic divergences and convergences were explored. Second, the research presented an analysis of the financial performance differences between sustainable and non-SP by applying a hybrid methodology with fuzzy regression and OptQuest algorithms.

The stakeholder value map: a new tool to measure success with diverse groups

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nitin Pangarkar ◽  
Natasha Pangarkar
Keyword(s):  
Value Creation ◽  
Design Methodology ◽  
Superior Performance ◽  
Multiple Stakeholders ◽  
Content Type ◽  
Organizational Contexts ◽  
Different Dimensions ◽  
Diverse Groups ◽  
Practical Implications

Purpose This study aims to propose a framework to help firms craft value-creating strategies for multiple stakeholders. Design/methodology/approach The study uses an inductive methodology based on analysing strategies for two exemplar companies, namely, Starbucks and Wagestream. Key insights about how value creation by these companies for multiple stakeholders led to their superior performance, as well as generalizable lessons from the exemplar companies, were identified. Findings The study finds that the performance of the two exemplar companies can be explained effectively through the framework. Research limitations/implications The framework proposed in the study requires a large amount of data about the value created for different stakeholders. Because the framework is comprehensive, managers need to aggregate different dimensions and varied data which can lead to manipulation or misuse by self-serving managers who wish to make their own strategies or performance look good. Practical implications The study identified specific actionable ideas that organizations can undertake to enhance the value they create for their various stakeholders. Originality/value The study is the first to develop an actionable framework that can be used by companies to craft strategies based on creating or enhancing stakeholder value. The framework is flexible with regard to application in different country, industry or organizational contexts.

Gross profitability and momentum

2018 ◽  
Vol 44 (8) ◽  
pp. 992-1011
Author(s):  
Ajay Bhootra
Keyword(s):  
Design Methodology ◽  
Investment Strategy ◽  
Superior Performance ◽  
Momentum Strategy ◽  
Short Side ◽  
Content Type ◽  
Strong Performance ◽  
Potential Factors ◽  
Combined Strategy ◽  
Practical Implications

Purpose The purpose of this paper is to examine the combined performance of momentum and a gross profitability-based strategy. The motivation stems from the strong performance of momentum on the short side and profitability on the long side, suggesting a potentially superior combined strategy. Gross profitability is also a measure of firm quality, so that another motivation is to contribute to a growing literature on factor-based investing that includes momentum and quality as potential factors. Design/methodology/approach The empirical approach employed in the paper is standard in the asset pricing literature. The firms are sorted into portfolios based on profitability and momentum, and the combined performance is studied through independent double sorting. Both value-weighted and equally weighted returns are reported in case of key empirical results. Findings The combined strategy results in superior performance. Specifically, the strategy produces results 2.75 greater than the momentum strategy, and about four times as high as the profitability strategy. The strategy also has much higher Sharpe ratio that improves further when combined with size and value strategies. Research limitations/implications The research has significant implications for academics and practitioners alike. A new investment strategy that has not been explored in the literature is presented. The superior performance of the strategy presents a challenge for the market efficiency, and would be of interest to academics and practitioners working in the area of investment management. Practical implications There has been a growing interest in multi-factor investing in recent years. The paper documents that superior performance is achieved by combining two of the popular factors, namely profitability and momentum. Originality/value The research is the first to study the combined performance of profitability and momentum, and provide evidence on the superiority of the combined strategy.

Automatic generation of a section erection planning for European shipyards building complex ships

2016 ◽  
Vol 27 (4) ◽  
pp. 483-501
Author(s):  
Christopher Rose ◽  
Jenny Coenen
Keyword(s):  
Design Methodology ◽  
Pareto Front ◽  
Fitness Function ◽  
Automatic Generation ◽  
Superior Performance ◽  
Computational Time ◽  
Content Type ◽  
Starting Point ◽  
Process Constraints ◽  
Practical Implications

Purpose – The purpose of this paper is to present a method for generating a set of feasible, optimized production schedules for the erection process of compact shipyards building complex ship types. Design/methodology/approach – A bi-objective mathematical model is developed based on the process constraints. A Pareto front of possible erection schedules is created using a the Non-dominated Sorting Genetic Algorithm II with a custom heuristic fitness function and constraint violation. Findings – It was possible to consistently generate a wide variety of production schedules with superior performance to those manually created by shipyard planner in negligible computational time. Practical implications – The set of optimized production schedules generated by the developed methodology can be used as a starting point by existing shipyard planners when drafting the initial erection planning for a new project. This allows the planners to consider wider variety of options in less time. Originality/value – No other published approach for the automatic generation of optimized production schedules of the erection process is specifically tailored to the construction of complex ships.

Developing a novel recommender network-based ranking mechanism for library book acquisition

2017 ◽  
Vol 35 (1) ◽  
pp. 50-68 ◽  
Author(s):  
Fan Wu ◽  
Ya-Han Hu ◽  
Ping-Rong Wang
Keyword(s):  
Design Methodology ◽  
Empirical Studies ◽  
Correlation Coefficients ◽  
Performance Measure ◽  
Ranking System ◽  
Content Type ◽  
Library Book ◽  
Ranking Mechanism ◽  
Spearman’S Correlation ◽  
Practical Implications

Purpose Most academic libraries provide book recommendation services to enable readers to recommend books to the libraries. To facilitate decision-making in book acquisition, this study aimed to develop a method to determine the ranking of the recommended books based on the recommender network. Design/methodology/approach The recommender network was conducted to establish relationships among book recommenders and their similar readers by using circulation records. Furthermore, social computing techniques were used to evaluate the degree of representativeness of the recommenders and subsequently applied as a criterion to rank the recommended books. Empirical studies were performed to demonstrate the effectiveness of the proposed ranking system. The Spearman’s correlation coefficients between the proposed ranking system and the ranking obtained using reader circulation statistics were used as performance measure. Findings The ranking calculated using the proposed ranking mechanism was highly and moderately correlated to the ranking obtained using reader circulation statistics. The ranking of recommended books by the librarians was moderately and poorly correlated to the ranking calculated using reader circulation statistics. Practical implications The book recommender can be used to improve the accuracy of book recommendations. Originality/value This study is the first that considers the recommender network on library book acquisition. The results also show that the proposed ranking mechanism can facilitate effective book-acquisition decisions in libraries.

Consumer value creation through WhatsApp use

2019 ◽  
Vol 32 (4) ◽  
pp. 455-471
Author(s):  
Jorge Cruz-Cárdenas ◽  
Jorge Guadalupe-Lanas ◽  
Ekaterina Zabelina ◽  
Andrés Palacio-Fierro ◽  
Margarita Velín-Fárez ◽  
...  
Keyword(s):  
Latin American ◽  
Value Creation ◽  
Emotional Support ◽  
Design Methodology ◽  
Instant Messaging ◽  
Role Performance ◽  
Content Type ◽  
Consumer Value ◽  
Depth Interviews ◽  
Practical Implications

Purpose The purpose of this paper is to understand in-depth how consumers create value in their lives using WhatsApp, the leading mobile instant messaging (MIM) application. Design/methodology/approach The study adopts the perspective of customer-dominant logic (CDL) and uses a qualitative multimethod design involving 3 focus groups and 25 subsequent in-depth interviews. The research setting was Ecuador, a Latin American country. Findings Analysis and interpretation of the participants’ stories made it possible to identify and understand the creation of four types of value: maintaining and strengthening relationships; improving role performance; emotional support; and entertainment and fun. In addition, the present study proposes a conceptual model of consumer value creation as it applies to MIM. Practical implications Understanding the way consumers create value in their lives using MIM is important not only for organizations that offer MIM applications, but also for those companies that develop other applications for mobile phones or for those who wish to use MIM as an electronic word-of-mouth vehicle. Originality/value The current study is one of the first to address the topic of consumer behavior in the use of technologies from the perspective of CDL; this perspective enables an integrated qualitative vision of value creation in which the consumer is the protagonist.

scholarly journals Advantages and potential challenges of data management in e-maintenance

2019 ◽  
Vol 25 (3) ◽  
pp. 378-396 ◽  
Author(s):  
Arian Razmi-Farooji ◽  
Hanna Kropsu-Vehkaperä ◽  
Janne Härkönen ◽  
Harri Haapasalo
Keyword(s):  
Data Management ◽  
Design Methodology ◽  
Management Practices ◽  
Future Research ◽  
Conceptual Approach ◽  
Content Type ◽  
Different Types ◽  
Maintenance Systems ◽  
Industry Leader ◽  
Practical Implications

Purpose The purpose of this paper is twofold: first, to understand data management challenges in e-maintenance systems from a holistically viewpoint through summarizing the earlier scattered research in the field, and second, to present a conceptual approach for addressing these challenges in practice. Design/methodology/approach The study is realized as a combination of a literature review and by the means of analyzing the practices on an industry leader in manufacturing and maintenance services. Findings This research provides a general understanding over data management challenges in e-maintenance and summarizes their associated proposed solutions. In addition, this paper lists and exemplifies different types and sources of data which can be collected in e-maintenance, across different organizational levels. Analyzing the data management practices of an e-maintenance industry leader provides a conceptual approach to address identified challenges in practice. Research limitations/implications Since this paper is based on studying the practices of a single company, it might be limited to generalize the results. Future research topics can focus on each of mentioned data management challenges and also validate the applicability of presented model in other companies and industries. Practical implications Understanding the e-maintenance-related challenges helps maintenance managers and other involved stakeholders in e-maintenance systems to better solve the challenges. Originality/value The so-far literature on e-maintenance has been studied with narrow focus to data and data management in e-maintenance appears as one of the less studied topics in the literature. This research paper contributes to e-maintenance by highlighting the deficiencies of the discussion surrounding the perspectives of data management in e-maintenance by studying all common data management challenges and listing different types of data which need to be acquired in e-maintenance systems.

An exploratory empirical study of whistleblowing and whistleblowers

2020 ◽  
Vol 27 (3) ◽  
pp. 755-770
Author(s):  
Maria Krambia-Kapardis
Keyword(s):  
Statistical Analysis ◽  
Design Methodology ◽  
Research Topic ◽  
Due Date ◽  
Content Type ◽  
Unethical Behaviour ◽  
Eu Member States ◽  
European Directive ◽  
Original Survey ◽  
Practical Implications

Purpose The purpose of this study is to develop a profile of whistleblowers and to determine whether whistleblowing legislation would encourage those individuals to bring to light some illegal or unethical behaviour that otherwise would remain in the shadows. Design/methodology/approach Having identified whistleblowing correlation, a survey was carried out in Cyprus of actual whistleblowers and could-have-been whistleblowers. Findings Males between 46 and55 years of age, regardless of whether they have dependents or hold senior positions in organizations are significantly more likely to blow the whistle. However, could-have-been whistleblowers did not go ahead because they felt that the authorities would not act on their information. Research limitations/implications Because of the sensitive nature of the research topic and the fact that only whistleblowers or intended whistleblowers could participate in the study, the sample size is limited as a result. This, in turn, limits both the number of respondents in each category (actual and intended) as well as constrains the statistical analysis that could be carried out on the data. Practical implications It remains to be seen whether EU Member States shall implement the European Directive 2019/1937 on the protection of persons who report breaches of Union Law, in its entirety by the due date, namely December 2021. Originality/value This study provides a literature review of whistleblowing and reports an original survey against the backdrop of the European Directive.

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