Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Florin Aliu ◽  
Ujkan Bajra ◽  
Naim Preniqi
Keyword(s):  
Design Methodology ◽  
Portfolio Risk ◽  
Content Type ◽  
Risk Return ◽  
Retail Investors ◽  
Portfolio Managers ◽  
Asset Classes ◽  
The Individual ◽  
Diversification Techniques ◽  
Daily Returns

Purpose This study aims to investigate the diversification benefits attached to the crypto portfolios when combined with stocks, Forex instruments and commodity assets. Design/methodology/approach Markowitz diversification techniques have been used to analyze the risk-return tradeoffs of the individual portfolios. Daily prices on cryptocurrencies and the selected asset classes, cover the period before and during the pandemic COVID-19. The portfolio risk of the portfolios was calculated by identical techniques and analyzed with equal criteria. Findings The results with 270 trails indicate that stocks on average reduce the portfolio risk of crypto portfolios by 36% followed by fiat currency with 30.9% and commodities by 20.8%. Average daily returns stand in line with the standard portfolio theories where riskier portfolios offer higher returns and the other way around. Originality/value The authors contribute to the current literature by investigating the portfolio risk attached to the crypto portfolios when stocks, commodities and Forex instruments were added separately. To this end, results inform not only retail investors but also portfolio managers on the asset classes that generate better optimization for crypto portfolios.

Real estate portfolios – the case for globally diversified core property funds

2019 ◽  
Vol 38 (1) ◽  
pp. 82-86
Author(s):  
Arvydas Jadevicius
Keyword(s):  
Real Estate ◽  
Design Methodology ◽  
Asia Pacific ◽  
Portfolio Risk ◽  
Ceteris Paribus ◽  
Content Type ◽  
Monte Carlo Simulation Technique ◽  
Risk Return ◽  
Core Property ◽  
Practical Implications

Purpose The purpose of this paper is to build a case for globally diversified core real estate funds portfolio. Design/methodology/approach It uses Monte Carlo simulation technique to construct synthetic real estate funds portfolios. Findings Benefit of maintaining globally diversified real estate funds portfolio merits admission. An optimal portfolio has an almost even split between Europe, USA and Asia Pacific, ceteris paribus. Likewise, currency effect for Europe domiciled investors is undeniable. Practical implications The overall estimates suggest that a blend of APAC, European and US allocations enhance portfolio risk return profile. Originality/value The study adds additional evidence on the contested issue of real estate diversification.

Portfolio dynamics under illiquidity

2016 ◽  
Vol 17 (4) ◽  
pp. 405-427 ◽  
Author(s):  
Axel Buchner
Keyword(s):  
Design Methodology ◽  
Correlation Effect ◽  
Portfolio Risk ◽  
Liquid Asset ◽  
Content Type ◽  
Risk Return ◽  
Portfolio Weight ◽  
Long Time ◽  
Return Dynamics ◽  
Illiquid Assets

Purpose This paper aims to explore the effects of illiquidity on portfolio weight and return dynamics. Design/methodology/approach Using a novel continuous-time framework, the paper makes two key contributions to the literature on asset pricing and illiquidity. The first is to study the effects of illiquidity on portfolio weight dynamics. The second contribution is to analyze how illiquidity affects the risk/return dynamics of a portfolio. Findings The numerical results highlight that investors should be prepared for potentially large and skewed variations in portfolio weights and can be away from optimal diversification for a long time when adding illiquid assets to a portfolio. Additionally, the paper shows that illiquidity increases portfolio risk. Interestingly, this effect gets more pronounced when the return correlation between the illiquid and liquid asset is low. Thus, there is a correlation effect in the sense that illiquidity costs, as measured by the increase in overall portfolio risk, are inversely related to the return correlation of the assets. Originality/value This is the first paper that highlights that the increase in portfolio risk caused by illiquidity is inversely related to the return correlation between the liquid and illiquid assets. This important economic result contrasts with the widely used argument that the benefit of adding illiquid (alternative) assets to a portfolio is their low correlation with (traditional) traded assets. The results imply that the benefits of adding illiquid assets to a portfolio can be much lower than typically perceived.

Do information technology (IT) capabilities affect hotel competitiveness?

2020 ◽  
Vol 11 (3) ◽  
pp. 447-460
Author(s):  
Nan Hua
Keyword(s):  
Design Methodology ◽  
Financial Data ◽  
Content Type ◽  
It Systems ◽  
Study Results ◽  
It Capabilities ◽  
The Usa ◽  
Lagged Effects ◽  
The Individual ◽  
Direct Measures

Purpose This paper aims to examine the impacts of IT capabilities on hotel competitiveness. Design/methodology/approach This study adapts and extends Hua et al. (2015) and O’Neill et al. (2008) by incorporating the specific measures of IT expenditures as proxies for the relevant IT capabilities to explore the impacts of IT capabilities on hotel competitiveness. Findings This study finds that expenditures on IT Labor, IT Systems and IT Websites exert different impacts on hotel competitiveness. In addition, IT capabilities exert both contemporary and lagged effects on hotel competitiveness. Originality/value This study is the first that uses financial data to capture direct measures of individual IT capabilities and tests the individual impacts of IT capabilities on hotel competitiveness from both contemporaneous and lagged perspectives. It uses a large same store sample of hotels in the USA from 2011 to 2017; as a result, the study results can be reasonably representative of the hotel population in the USA.

Singapore variable capital companies: the many uses and benefits

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jerry Koh ◽  
Jonathan Lee
Keyword(s):  
Design Methodology ◽  
Plug And Play ◽  
Investment Funds ◽  
Content Type ◽  
Practical Analysis ◽  
Asset Classes ◽  
The Many

Purpose To show different ways the Singapore Variable Capital Company (“VCC”) can be employed and utilized. Design/methodology/approach Describes how the Singapore VCC can be used in master-feeder structures, umbrella structures, a “plug-and-play” model, sub-fund structures with different assets and different investors, open-ended structures, and structures that allow for tokenization of securities and the offering of VCC shares as digital securities. Findings The flexibility of the VCC allows it to be used across different fund strategies, investor classes and asset classes. Originality/value Practical analysis, guidance and market commentary from experienced investment funds lawyers.

Are the saving decision patterns of bank customers also clouded by psychological biases? Evidence from Ghana

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Joseph Emmanuel Tetteh ◽  
Christopher Boachie
Keyword(s):  
Decision Making ◽  
Loss Aversion ◽  
Design Methodology ◽  
Weighted Least Squares ◽  
Least Squares Regression ◽  
Individual Decision ◽  
Content Type ◽  
Saving Decisions ◽  
The Individual ◽  
Practical Implications

PurposeThis paper attempts to investigate the influence of psychological biases on saving decision-making of bank customers in Ghana.Design/methodology/approachIt employs weighted least squares regression to test the effect of psychological biases on savings decisions of bank customers.FindingsThe findings show that all the nine psychological biases, namely mental accounting, availability, loss aversion, representativeness, anchoring, overconfidence, status quo, framing effect and disposition effect employed for the study have a significant influence on saving decision of bank customers. The results depict that psychological biases are entrenched in the saving pattern of bank customers in Ghana.Practical implicationsFor policy purposes, the study recommends that bank customers need to enhance their knowledge of psychological biases in order to improve their gains from savings, and not to fall prey to these prejudices. The satisfied customer is a dependable source of bank viability and survival.Originality/valueTo the best of the knowledge of the author, this study provides the first empirical evidence of the influence of psychological biases on saving decisions of bank customers in Ghana. The findings of this study will enhance knowledge on the influence of psychological biases on individual decision-making and will accentuate the fact that the individual is not an entirely rational being.

Frameworks for consumers’ narratives in a changing marketplace

2017 ◽  
Vol 35 (7) ◽  
pp. 892-906
Author(s):  
David A. Gilliam ◽  
Teresa Preston ◽  
John R. Hall
Keyword(s):  
Design Methodology ◽  
Ground Level ◽  
Retail Banking ◽  
Content Type ◽  
Cultural Narrative ◽  
Banking Activity ◽  
Consumer Surveys ◽  
The Individual ◽  
The Impact ◽  
Practical Implications

Purpose Narratives are central to consumers’ understanding of brands especially during change. The financial crisis that began in 2008 offered a changing marketplace from which to develop two managerially useful frameworks of consumer narratives. The paper aims to discuss these issues. Design/methodology/approach Consumer focus groups, interviews with bankers and qualitative consumer surveys were used to gather consumers’ narratives about retail banking. The narratives were examined through frameworks from both the humanities and psychology (narrative identity). Findings The individual consumer narratives were used to create first a possible cultural narrative or bird’s eye view and later archetypal narratives of groups of consumers for a ground-level view of the changing marketplace. Research limitations/implications Like all early research, the findings must be examined in other contexts to improve generalizability. Practical implications The narrative results revealed the impact of change on consumers’ identities, views of other entities and retail banking activity to yield managerially actionable information for segmentation, target marketing, branding and communication. Originality/value Frameworks are developed for consumer narratives which are shown to be useful tools in examining consumers’ reactions to changing markets and in formulating marketing responses.

Financial stability fears rise as ‘everything’ rallies

2021 ◽  
Keyword(s):  
Hedge Funds ◽  
Financial Stability ◽  
Global Markets ◽  
Price Expectations ◽  
Content Type ◽  
Profound Impact ◽  
Financial Conditions ◽  
Retail Investors ◽  
Asset Classes ◽  
Dot Com

Significance There are fears of a bubble reminiscent of the 1990s dot-com mania. The froth is most apparent in US stock markets, where retail traders are wielding increasing influence. Investors' exuberant behaviour across asset classes suggests many participants are losing touch with reality. Impacts If GameStop portends the start of a battle between hedge funds and retail investors, it could have a profound impact on global markets. The dollar index has plunged to its lowest since April 2018 and is set to stay relatively weak, helping to keep financial conditions loose. A market gauge of US price expectations is at its highest since 2013, with the 5-year breakeven rate surging to 2.2% from 0.1% a year ago. ‘Vaccine nationalism’, particularly in Europe, is further politicising the response to the pandemic and endangering the global recovery.

What is your desire? Retail investor preferences in structured products

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rainer Baule ◽  
Patrick Muenchhalfen
Keyword(s):  
Design Methodology ◽  
Recent Literature ◽  
Product Structure ◽  
Content Type ◽  
Financial Products ◽  
Retail Investors ◽  
Retail Investor ◽  
Retail Products ◽  
Structured Financial Products ◽  
Insight Into

PurposeThe authors evaluate the preferences of retail investors with regard to the investment in structured financial products. The purpose of the paper is an analysis of the relative importance of key product attributes namely the issuing bank, the product structure, the associated costs and the disclosed risk.Design/methodology/approachThe authors conduct a choice-based conjoint analysis, based on an online experiment. Participants judge their preferences for products which are presented by shortened key information documents according to the requirements of EU regulation.FindingsInvestors consider the costs and the product structure to be most important, whereas the issuer and information on risk are of less interest. Their preferences depend on their (self-evaluated) expertise: while inexperienced retail investors concentrate on costs, experienced investors pay more attention to the product structure.Research limitations/implicationsThe study is limited to a subsegment of the market, the discount certificates. For these products, issuing banks gain insight into the attractiveness of their products. Furthermore, the study carries implications for regulators: since investors emphasize the costs in their decisions, an unbiased disclosure of costs should be enforced.Originality/valueWhile the recent literature has studied preferences for the investment in mutual funds, this is the first paper which directly analyzes the drivers of an investment in structured retail products.

Cultural traits influencing the adoption of new ways of workings

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Amitesh Singh Parihar ◽  
Vinita Sinha
Keyword(s):  
Design Methodology ◽  
Driving Forces ◽  
Manufacturing Industries ◽  
Survey Questionnaire ◽  
Content Type ◽  
New Ways Of Working ◽  
One Step ◽  
Cultural Traits ◽  
The Individual ◽  
Practical Implications

Purpose The purpose of this paper is to identify the strengths and areas of improvement for taking organizations one step ahead in terms of adopting digitalization, analytics and governance. Also, the paper aims to identify the organizational cultural traits that influence the adoption of digitization and technology, analytics and governance. Design/methodology/approach A quantitative analysis of survey questionnaire collected from working professionals of various manufacturing industries to find out the driving traits and the restraining traits and to propose which is dominating. Sector: manufacturing, sample: working professionals across functions and sample size: 80–100 people. Findings This research suggests the cultural traits that influence the adoption of digitization and technology, analytics and governance in any organization. Practical implications As organizations explore new ways of working, their organizational culture and employee perspective would play an important role in prioritizing the interventions. This research aims to suggest a strategy to strengthen the driving forces and/or weaken the restraining forces. Originality/value There are various papers available on the individual topics but the uniqueness of this paper is that it represents all three factors in a single research and their influencers.

Long-term dependency between sovereign bonds and sectoral indices of India: evidence using Hurst exponent and wavelet analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Santanu Das ◽  
Ashish Kumar
Keyword(s):  
Wavelet Analysis ◽  
Hurst Exponent ◽  
Minimum Variance ◽  
Portfolio Risk ◽  
Content Type ◽  
Sovereign Bonds ◽  
Portfolio Returns ◽  
Portfolio Managers ◽  
Practical Implications

PurposeThe purpose of this study is to provide a new way to optimize a portfolio and to show that combining the Hurst exponent and wavelet analysis may help to increase portfolio returns.Design/methodology/approachThe authors use the Hurst exponent and wavelet analysis to study the long-term dependencies between sovereign bonds and sectoral indices of India. The authors further construct and evaluate the performance of three portfolios constructed on the basis of Hurst standard deviation (SD) – global minimum variance (GMV), most diversified portfolio (MDP) and equal risk contribution (ERC).FindingsThe authors find that an ERC portfolio generates positive superior return as compared other two. Since our sample includes periods of two crisis – post-2007 financial crisis and the ongoing pandemic, this study reveals that combining government bond with equities and gold provides a higher returns when the portfolios are constructed using the risk exposures of each asset in the overall portfolio risk.Practical implicationsThe findings provide guidance to portfolio managers by helping them to select assets using the Hurst approach and wavelet analysis thereby increasing the portfolio returns.Originality/valueIn this study, the authors use a combination of Hurst exponent and wavelet analysis to understand the long-term dependencies among various assets and provide a new methodology to optimize a portfolio. As far as the authors’ knowledge, no study in the past has attempted to provide a joint framework for portfolio optimization and therefore this study is the first to apply this methodology.

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