Behavioral-related firm characteristics, risks and determinants of stock returns

2019 ◽  
Vol 18 (1) ◽  
pp. 95-112
Author(s):  
Wikrom Prombutr ◽  
Chanwit Phengpis
Keyword(s):  
Stock Returns ◽  
Behavioral Finance ◽  
Measurement Errors ◽  
Sufficient Conditions ◽  
Portfolio Analysis ◽  
Firm Characteristics ◽  
Content Type ◽  
Necessary And Sufficient ◽  
Stock Portfolio ◽  
Investment Growth

PurposeThis paper aims to investigate a relatively new anomaly of investment growth and revisits well-known anomalies of size and value. It aims to answer two main research questions. First, can covariance risks (i.e. factor loadings) be excluded from being determining variables that drive return premiums and explain stock returns? Second, from a behavioral finance standpoint, the authors examine whether using firm characteristics is a more practical and accessible approach and also meets the necessary and sufficient conditions to analyze stock returns.Design/methodology/approachThe authors create the investment-growth-based factor (LMH) which is defined as the return difference between low and high investment growth portfolios. The authors then incorporate the LMH factor along with other characteristic-based factors and their loadings into characteristic-balanced portfolio and three-factor model tests.FindingsThe authors find that covariance risks on investment growth, size and value are not necessary as determining variables. Instead, they find that behavioral-related firm characteristics of investment growth, size and value are necessary and sufficient as determinants of return premiums and stock returns.Practical implicationsThe results have practical and useful implications for investors in their stock portfolio analysis and selection because firm characteristics are relatively more available than covariance risks that need estimation and typically contain measurement errors.Originality/valueThe paper has practical value to investors in their stock portfolio analysis and selection. Methodologically, in contrast to prior studies that do not directly use the investment growth to control for portfolio characteristics, the use of the newly created LMH factor and its loadings allows us to directly and properly test if the investment growth anomaly is related to the investment growth characteristic that is hypothesized to drive return premiums and determine stock returns from behavioral finance perspectives.

The importance of the political order for peace

2017 ◽  
Vol 9 (1) ◽  
pp. 24-37 ◽  
Author(s):  
Janja Mikulan Kildi ◽  
Victor Cepoi
Keyword(s):  
Rule Of Law ◽  
Sufficient Conditions ◽  
Theoretical Framework ◽  
Political Order ◽  
Political Factors ◽  
Content Type ◽  
The Rule Of Law ◽  
Depth Analysis ◽  
Fuzzy Set Analysis ◽  
Necessary And Sufficient

Purpose The purpose of this paper is to address the issue of security challenges in the selected states in Eurasia and Central and Eastern Europe from the perspective of peace and politics. Since the security situation differs significantly across the sub-regions under scrutiny, the main objective of the current research is to establish and test a theoretical model of relevant combinations of political factors and their relation to peace. The theoretical framework has been designed by following Fukuyama’s idea of political order and upgraded with the newly constructed index of social exclusion. Design/methodology/approach According to the objective and methodological gaps in this field, the paper applies comparative fuzzy set analysis. The method relies on the theoretical framework and empirical data and allows a constant communication between the two. It has allowed the research to focus on what conditions are necessary and/or sufficient for peace in the selected countries. Findings It is evident there are several different paths to achieve peace. However, the rule of law clearly constitutes both the necessary and sufficient conditions for peace in the selected regions. Moreover, the results of the research reveal that the concepts of interest are highly interlinked with each other, especially when it comes to the rule of law, state, and democratic accountability. Thus, further research should focus on in-depth analysis of each particular case to explore which conditions or combinations are decisive in particular setting. Originality/value Such findings can contribute to improving the areas where Eurasian countries are still lagging behind. Further research should focus on small but significant differences within these four groupings of countries, to improve the understanding of prerequisites for peace and contribute to the development of state and human security in the EU neighborhood.

Observer-based control for a singular Markovian jumping system

2017 ◽  
Vol 34 (1) ◽  
pp. 33-52
Author(s):  
Ching-Min Lee
Keyword(s):  
Control Problem ◽  
Control Systems ◽  
Discrete Time ◽  
Networked Control Systems ◽  
Sufficient Conditions ◽  
Networked Control ◽  
Markovian Jumping ◽  
Content Type ◽  
Robot Systems ◽  
Necessary And Sufficient

Purpose For most practical control system problems, the state variables of a system are not often available or measureable due to technical or economical constraints. In these cases, an observer-based controller design problem, which is involved with using the available information on inputs and outputs to reconstruct the unmeasured states, is desirable, and it has been wide investigated in many practical applications. However, the investigation on a discrete-time singular Markovian jumping system is few so far. This paper aims to consider an observer-based control problem for a discrete-time singular Markovian jumping system and provides a set of easy-used conditions to the proposed control law. Design/methodology/approach According to the connotation of the separation principle extended from linear systems, a mode-dependent observer and a state-feedback controller is designed and carried out independently via two sets of derived necessary and sufficient conditions in terms of linear matrix inequalities (LMIs). Findings A set of necessary and sufficient conditions for an admissibility analysis problem related to a discrete-time singular Markovian jumping system is derived to be a doctrinal foundation for the proposed design problems. A mode-dependent observer and a controller for such systems could be designed via two sets of strictly LMI-based synthesis conditions. Research limitations/implications The proposed method can be applied to discrete-time singular Markovian jumping systems with transition probability pij > 0 rather than the ones with pii = 0. Practical implications The formulated problem and proposed methods have extensive applications in various fields such as power systems, electrical circuits, robot systems, chemical systems, networked control systems and interconnected large-scale systems. Take robotic networked control systems for example. It is recognized that the variance phenomena derived from network transmission, such as packets dropout, loss and disorder, are suitable for modeling as a system with Markovian jumping modes, while the dynamics of the robot systems can be described by singular systems. In addition, the packets dropout or loss might result in unreliable transmission signals which motivates an observer-based control problem. Originality/value Both of the resultant conditions of analysis and synthesis problems for a discrete-time singular Markovian jumping system are necessary and sufficient, and are formed in strict LMIs, which can be used and implemented easily via MATLAB toolbox.

Perceived value, satisfaction and future intentions in sport services

2019 ◽  
Vol 32 (4) ◽  
pp. 566-579 ◽  
Author(s):  
Mario Alguacil ◽  
Juan Núñez-Pomar ◽  
Carlos Pérez-Campos ◽  
Vicente Prado-Gascó
Keyword(s):  
Linear Models ◽  
Qualitative Comparative Analysis ◽  
Sufficient Conditions ◽  
Perceived Value ◽  
Hierarchical Regression ◽  
Brand Trust ◽  
Predictive Capability ◽  
Content Type ◽  
Necessary And Sufficient

Purpose The purpose of this paper is to analyze the role of brand-related variables as congruence and brand trust on the traditional model formed by perceived quality, perceived value (PV) and satisfaction, in order to compare predictive models for the variables of PV, satisfaction and future intentions of 683 users of sports services. Design/methodology/approach The analysis has been carried out using two different methodologies. First, three models have been proposed to be analyzed by hierarchical regression models, in order to subsequently propose a fuzzy-set qualitative comparative analysis (fsQCA) to verify the existence or not of necessary and sufficient conditions. Findings The results indicate that both the classic service variables and the elements related to the brand significantly predict PV, satisfaction and future intentions, in some cases with greater predictive weight being given to congruence and trust than the classic service variables. In addition, linear models have been shown to improve their predictive capability by including brand-related variables, especially the future intentions model. After the fsQCA, congruence and trust have proved to be sufficient combinations to achieve high levels of PV and future intentions, while this is not the case for satisfaction. Originality/value The importance of the aspects related to the brand, either on their own or in combination with the classic service variables, is demonstrated, contributing to the literature on brand image in sports services, which is practically non-existent.

Short- and long-term effects of responsible investment growth on equity returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yann Ferrat ◽  
Frédéric Daty ◽  
Radu Burlacu
Keyword(s):  
Stock Returns ◽  
Equity Returns ◽  
Investment Horizon ◽  
Long Term Effects ◽  
Cross Sectional ◽  
Content Type ◽  
Responsible Investment ◽  
Short Run ◽  
Investment Growth ◽  
The Impact

PurposeThe growth of socially responsible assets has been exponential over the last decade, they now account for almost a third of professional investments. As the growth persists, faith and conviction investors reshape the equity markets. To fully comprehend the impact of socially conscious participants on security returns, this paper attempts to provide insights on how responsible investment growth has impacted the returns of sustainable stocks. The examination is split by investment horizon to account for short and long effects.Design/methodology/approachUsing an exclusive dataset of non-financial ratings, provided by MSCI ESG research, the authors examine the cross-sectional returns of US and European sustainability-leading and lagging corporations between 2007 and 2019. Panel models robust to country, firm-year and industry effects were then employed to examine the impact of responsible investment growth on future stock returns.FindingsThe authors find evidence that the impact of responsible investment growth is dual contingent upon the timeframe considered. In the short run, sustainability-leading and lagging firms display similar stock returns. However, the spread in returns is negative over long horizons and increasing over time.Originality/valueThe examination performed in this study highlights the significant effect of responsible investment growth on future stock returns. Overall, the authors’ findings are consistent with the price pressure hypothesis in the short run and the cost of capital alteration over longer horizons.

Asset growth and the cross-section of stock returns: evidence from Greek listed firms

2017 ◽  
Vol 55 (5) ◽  
pp. 826-841 ◽  
Author(s):  
Georgios Constantinou ◽  
Angeliki Karali ◽  
Georgios Papanastasopoulos
Keyword(s):  
Stock Returns ◽  
Emerging Market ◽  
Balance Sheet ◽  
Firm Level ◽  
Cross Sectional ◽  
Content Type ◽  
Listed Firms ◽  
Asset Growth ◽  
Book To Market Ratio ◽  
Investment Growth

Purpose The purpose of this paper is to examine whether firm-level asset investment effects in returns found for US firms occur within the Greek stock market. Design/methodology/approach The paper utilizes portfolio-level tests and cross-sectional regressions. Findings The authors find that growth in total assets is strongly negatively related to future stock returns of Greek firms. In fact, the relation remains statistically significant, even when the authors control for other strong predictors of future returns (i.e. market capitalization and book-to-market ratio). Furthermore, the authors find that a hedge trading strategy on asset growth rate consisting of a long (short) position in firms with low (high) balance sheet growth generates positive returns, confirming that investment growth has significant predictive power for future returns of Greek listed firms. Originality/value The paper adds to the literature on the generalization of asset pricing regularities attributable to accounting figures in an emerging market.

Archival research considerations for CRSP data

2018 ◽  
Vol 31 (3) ◽  
pp. 360-370
Author(s):  
Rick N. Francis ◽  
Grace Mubako ◽  
Lori Olsen
Keyword(s):  
Stock Returns ◽  
Doctoral Students ◽  
Measurement Errors ◽  
Content Type ◽  
Share Prices ◽  
Promotion And Tenure ◽  
Statistical Inferences ◽  
Technical Competency ◽  
Adjustment Factors ◽  
Rights Offering

Purpose This study aims to remind researchers that measurement errors and inappropriate inferences may result from improperly combining and adjusting certain Center for Research in Security Prices (CRSP) measures. Design/methodology/approach In addition to real-world working examples, the study uses earnings announcements data to examine the effects of improperly combining and adjusting CRSP measures. Findings This study assists researchers with the following two considerations when using CRSP data: stand-alone share prices adjusted with CRSP adjustment factors are inaccurate in the presence of property dividend, spin-off and rights offering events; and ignoring covertly missing stock returns may create misleading test results. The primary objectives of the study are to help researchers increase the integrity of their studies and the probability of publication. Research limitations/implications Inadequate consideration for the two issues discussed in the paper may change the researcher’s statistical inferences. Originality/value Archival researchers who overtly address and discuss the existence of these issues achieve two important and related benefits. First, the researcher increases his or her credibility with editors and reviewers, which enhances the probability of a published study. Second, the researcher increases his or her perceived technical competency, which potentially affects promotion and tenure decisions, editorial membership decisions, co-authorship opportunities and other professional effects. Doctoral students will find this study to be particularly useful.

scholarly journals Cardinalities of prime spectra of precompletions

2021 ◽  
pp. 133-152
Author(s):  
Erica Barrett ◽  
Emil Graf ◽  
S. Loepp ◽  
Kimball Strong ◽  
Sharon Zhang
Keyword(s):  
Maximal Ideal ◽  
Noetherian Ring ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Local Rings ◽  
Local Domain ◽  
Content Type ◽  
Necessary And Sufficient

Given a complete local (Noetherian) ring T T , we find necessary and sufficient conditions on T T such that there exists a local domain A A with | A | > | T | |A| > |T| and A ^ = T \widehat {A} = T , where A ^ \widehat {A} denotes the completion of A A with respect to its maximal ideal. We then find necessary and sufficient conditions on T T such that there exists a domain A A with A ^ = T \widehat {A} = T and | S p e c ( A ) | > | S p e c ( T ) | |\mathrm {Spec}(A)| > |\mathrm {Spec}(T)| . Finally, we use “partial completions” to create local rings A A with A ^ = T \widehat {A} = T such that S p e c ( A ) \mathrm {Spec}(A) has varying cardinality in different varieties.

Dividend yields and stock returns in Hong Kong

2015 ◽  
Vol 41 (2) ◽  
pp. 164-181 ◽  
Author(s):  
Michael L. Lemmon ◽  
Thanh Nguyen
Keyword(s):  
Hong Kong ◽  
Stock Returns ◽  
Stock Prices ◽  
Firm Characteristics ◽  
Dividend Yield ◽  
Firm Level ◽  
Content Type ◽  
Tax Capitalization ◽  
The Us ◽  
Rule Out

Purpose – The positive relationship between dividend yield and risk-adjusted return, which is called the dividend yield effect, is well documented in the US market. Yet, the drivers of the yield effect are unclear. Some argue this evidence is consistent with the prediction that the investor-level tax burden is capitalized in stock prices, also known as the tax capitalization hypothesis. Still others contend that nontax omitted factors drive the yield effect. The purpose of this paper is to contribute to the debate by exploring if the yield effect occurs in Hong Kong market where no taxes exist on either dividend income or capital gain. Design/methodology/approach – The authors use two main approaches to detect the dividend yield effect. The first approach groups stocks into portfolios based on dividend yields and tests for the presence of a yield effect at the portfolio level. The second approach employs the Fama-MacBeth methodology at the firm level and tests if a yield effect is existent after controlling for firm characteristics known to explain stock returns. Findings – The paper documents a robust dividend yield effect in the Hong Kong market and suggests that nontax reasons help to explain the yield effect. Originality/value – Tax capitalization is a long-standing question in financial economics and the research evidence is mixed. The findings do not completely rule out the tax capitalization hypothesis. The main contribution is to illustrate the difficulty of conducting a powerful test of this hypothesis in practice and to urge caution in interpreting the dividend yield effect as evidence in support of this hypothesis.

The trouble with diverse books, part I: on the limits of conceptual analysis for political negotiation in Library & Information Science

2020 ◽  
Vol 76 (6) ◽  
pp. 1473-1491
Author(s):  
E. E. Lawrence
Keyword(s):  
Design Methodology ◽  
Conceptual Analysis ◽  
Information Science ◽  
Sufficient Conditions ◽  
Conceptual Problem ◽  
Content Type ◽  
Informational Justice ◽  
Necessary And Sufficient ◽  
Political Negotiation ◽  
Ways Of Life

PurposeThe term diverse books is increasingly popular yet persistently nebulous. The purpose of this paper – Part I of II – is to illuminate both that the concept is in need of a unified account and that conceptual analysis, though at first seemingly quite promising, fails as a method for identifying one.Design/methodology/approachThis paper utilizes traditional (or intuitive) conceptual analysis to specify the respective clusters of necessary and sufficient conditions that constitute four broad candidate accounts of diverse books.FindingsThough diverse books is a concept in need of a definition, conceptual analysis is not an appropriate method for adjudicating between the definitions we have on offer. This is because the concept is fundamentally political, serving as a resource for re-shaping collective social arrangements and ways of life. The conceptual problem outlined here requires for its resolution a method that will move us from a descriptive project to an explicitly normative one, wherein we consider what we properly work to achieve with and through the concept in question.Originality/valueThis paper initiates a systematic analytical project aimed at defining diverse books. In illustrating a moment of methodological failure, it paves the way for a critical alternative – namely, Part II's proposal of an analytical intervention in which political concepts are defined partially in terms of their benefits vis-á-vis informational justice.

Do Islamic Holy days affect stock returns? Empirical evidence from Asian and African markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Irfan Ali ◽  
Waheed Akhter ◽  
Naukhaiz Chaudhry
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Random Effect ◽  
Stock Exchanges ◽  
Gregorian Calendar ◽  
Content Type ◽  
Muslim Countries ◽  
Calendar Anomalies ◽  
Stock Portfolio

Purpose The Islamic Holy days are among the most celebrated spiritual traditions in the world and are observed by more than 1.5 billion Muslims. This study aims to investigate the effect of these events on the regular returns of stock exchanges in selected Muslim countries. Design/methodology/approach This study examines data from eight Asian and African stock exchanges from 2001 to 2019. Isolating the effect of Gregorian calendar anomalies, it aims to evaluate the effect of Islamic Holy days on stock returns by running a pooled random effect panel regression on all the stock exchanges examined. Findings The results reveal the positive impact of Eid-ul-Fitr on Asian markets, the negative impact of Eid Milad-un-Nabi on the African stock market’s returns and the positive effect of the Holy month of Ramadan on both markets. Some Gregorian calendar anomalies also were found in these markets. Practical implications The research has significant implications for marketing professionals to recognize business opportunities and investors to efficiently manage their stock portfolio during Islamic events of Eid-ul-Fitr, Eid Milad-un-Nabi and Ramadan in relevant Muslim countries. Originality/value Given the research gap between Gregorian and Islamic calendar anomalies, this paper contributes by combining the effect of Islamic Holy days on the returns of selected Muslim-dominated financial markets.

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