Quality investing and the cross-section of country returns

2016 ◽  
Vol 33 (2) ◽  
pp. 281-301 ◽  
Author(s):  
Adam Zaremba
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Quality Metrics ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Content Type ◽  
Country Level ◽  
The Cross ◽  
Practical Implications

Purpose The main purpose of this study is to examine the role of quality as a determinant of a cross-sectional variation in country-level stock returns. The study attempts to address the question: Is there any special premium for top-quality stock markets with decent profitability, indebtedness and liquidity ratios? Design/methodology/approach The computations are based on the listings of 66 country portfolios over the period between 2000 and 2013. Long/short country portfolios from sorts on characteristics related to quality are examined with asset-pricing models. Findings The inter-market variation in returns may be explained with profitability and debt ratios: the more profitable and the less indebted is the stock market, the better is its performance. Moreover, the performance of country-level value, size and momentum strategies may be improved by double sorting on quality characteristics. Practical implications The practical implications include such issues as the global asset allocation, the development of investment products, asset pricing and investment performance measurement. The country selection strategies that are based on leverage and profitability prove to be a useful tool for investors with a global investment mandate. Furthermore, additional sorting on quality metrics may markedly improve the performance of inter-market value, size and momentum strategies. Originality/value This paper examines the role of quality metrics related to financial leverage, profitability and liquidity in explaining the cross-sectional variation in country returns.

The role of entrepreneurship in reducing poverty in agricultural communities

2021 ◽  
Vol 15 (5) ◽  
pp. 665-683
Author(s):  
Mufaro Dzingirai
Keyword(s):  
Poverty Reduction ◽  
The Body ◽  
Exploratory Research ◽  
Microfinance Institutions ◽  
Cross Sectional ◽  
Content Type ◽  
Agricultural Communities ◽  
Agricultural Entrepreneurship ◽  
Practical Implications

Purpose Entrepreneurship has increasingly become a subject of interest for scholars and policymakers in an attempt to reduce poverty in agricultural communities across the world, especially in Africa. Accordingly, the purpose of this paper is to examine the role of entrepreneurship in reducing poverty in agricultural communities of Lower Gweru, Zimbabwe. Design/methodology/approach Exploratory research design informed the data collection and analysis in this study. In-depth interviews were conducted with 20 owners of agribusinesses from various socio-economic backgrounds. The collected data from the field were analyzed using thematic analysis. Findings The results revealed that entrepreneurship plays a catalytic role in poverty reduction in agricultural communities through food security, skill transfer, employment creation, income generation and a decrease in food costs. Research limitations/implications This study focused on four agricultural communities in Lower Gweru which can limit the generalizability of the results to other contexts. Furthermore, this inquiry is a cross-sectional study that did not capture the longitudinal factors that can affect entrepreneurship and poverty reduction in agricultural communities. Practical implications The research outcomes have some practical implications for the Zimbabwean government and microfinance institutions in designing policies and programs to reduce poverty in marginalized agricultural communities. The findings are also useful for non-governmental organizations in designing, monitoring and evaluating poverty reduction programs in agricultural communities. Originality/value This study advances, contextualizes and enriches the body of knowledge concerning agricultural entrepreneurship and poverty reduction in the under-researched setting of agricultural communities. Notably, this study captures the African flavor in the agricultural entrepreneurship and poverty reduction discourse by focusing on the unique Zimbabwean context.

The role of owner/manager in adoption of electronic commerce in small businesses

2013 ◽  
Vol 20 (4) ◽  
pp. 754-787 ◽  
Author(s):  
Morteza Ghobakhloo ◽  
Sai Hong Tang
Keyword(s):  
Electronic Commerce ◽  
Small Businesses ◽  
Research Model ◽  
Cross Sectional ◽  
Policy Makers ◽  
Content Type ◽  
Research Findings ◽  
Managerial Level ◽  
Practical Implications

Purpose – Based on theories from the innovation diffusion literature, the purpose of this paper is to develop an integrated model of electronic commerce (EC) adoption in small businesses (SBs) of developing countries. The research model specifies variables at managerial level as the primary determinants to EC adoption in SBs. Design/methodology/approach – A questionnaire-based field survey was conducted to collect data from 268 owner/managers of SBs in Iran. The data were analysed using factorial analysis. Subsequently, six hypotheses were derived and tested by hierarchical multiple regression and logistic regression analysis. Findings – Perceived benefits, perceived compatibility, perceived risks, perceived costs, and innovativeness were found to be the significant determinants of decision to adopt EC. Likewise, discussion on discriminators between adopters and non-adopters of different EC applications has been provided. Research limitations/implications – Cross-sectional data of this research tends to have certain limitations when it comes to explaining the direction of causality of the relationships between the variables. The study focuses only on the manufacturing SBs of Iran. Practical implications – The research findings have important implications for practising managers, information systems experts, and policy-makers. Governments should follow specific policies to facilitate institutionalisation of EC in SBs. Similarly, EC vendors and technology providers should collaborate with SBs to enhance the compatibility of different EC applications with specific characteristics of these businesses. Originality/value – To the best of the authors' knowledge, this paper is perhaps one of the first that examines the adoption of EC by SBs in a developing country context, using a research model which tests the effects of owner/managers' attributes on adoption of simple and advanced EC applications.

Workplace conflict and willingness to cooperate

2016 ◽  
Vol 27 (2) ◽  
pp. 172-198 ◽  
Author(s):  
Oluremi Bolanle Ayoko
Keyword(s):  
Conflict Management ◽  
Management Training ◽  
Future Research ◽  
Cross Sectional ◽  
Workplace Conflict ◽  
Content Type ◽  
Business Undergraduates ◽  
Practical Implications ◽  
Willingness To Cooperate

Purpose This paper aims to clarify the relationship between conflict, apologies, forgiveness and willingness to cooperate after a conflict event. Design/methodology/approach The paper used scenarios and quantitative measures to examine the connection between conflict, perceived apology sincerity, forgiveness and willingness to cooperate in 358 business undergraduates. Findings Data revealed that relationship conflict was significantly but negatively associated with forgiveness and willingness to cooperate. Additionally, attitudes toward forgiveness were directly and positively related not only to forgiveness but also to willingness to cooperate. Finally, forgiveness mediated the link between both perceived apology sincerity attitudes to forgiveness and willingness to cooperate. Research limitations/implications Data were cross-sectional and may be subject to bias. Longitudinal studies are needed to further tease out the connection between the variables in the current study. Similarly, future research should explore the role of climate and individuals’ disposition and readiness to apologize, forgive and their willingness to cooperate at work. Practical implications The paper includes practical implications for managers interested in eliciting cooperation after a workplace conflict. Specifically, apology and forgiveness should be included in managers’ conflict management training programs. Social implications Our findings indicated that apology and forgiveness are social skills that are important for conflict management and cooperation after a workplace conflict. Originality/value Beyond reconciliation, the current study provides new insights into the important role of actual forgiveness in whether employees are willing to cooperate after conflict at work. Practical assistance is offered to managers who are interested in fostering cooperation and increased performance after conflict episodes.

scholarly journals The Cross Section of Country Equity Returns: A Review of Empirical Literature

2019 ◽  
Vol 12 (4) ◽  
pp. 165 ◽  
Author(s):  
Zaremba
Keyword(s):  
Asset Pricing ◽  
Cross Section ◽  
Equity Returns ◽  
Empirical Literature ◽  
Fund Flows ◽  
Cross Sectional ◽  
Preparation Methods ◽  
Stock Level ◽  
Country Level ◽  
The Cross

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

scholarly journals The role of liquidity in asset pricing: the special case of the Portuguese Stock Market

2017 ◽  
Vol 22 (43) ◽  
pp. 191-206 ◽  
Author(s):  
María del Mar Miralles-Quirós ◽  
José Luis Miralles-Quirós ◽  
Celia Oliveira
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Emerging Market ◽  
Methodological Approach ◽  
Model Framework ◽  
Content Type ◽  
Previous Evidence

Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market. Research limitations/implications These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision. Originality/value The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.

Cross-sectional return patterns in New Zealand’s registered and OTC stock markets

2015 ◽  
Vol 27 (1) ◽  
pp. 51-68 ◽  
Author(s):  
Hamish Anderson ◽  
Ben Marshall ◽  
Xiao Wang
Keyword(s):  
Stock Returns ◽  
Design Methodology ◽  
Explanatory Power ◽  
International Markets ◽  
Stock Exchanges ◽  
Cross Sectional ◽  
Over The Counter ◽  
Content Type ◽  
Pricing Factors ◽  
Practical Implications

Purpose – This paper aims to examine whether the cross-sectional return patterns in New Zealand’s main stock market (NZSX) are also present in the alternative (NZAX) and over-the-counter (Unlisted) markets. Design/methodology/approach – Cross-sectional regressions of monthly stock returns on well-known pricing factors including firm size, book-to-market (B/M) ratio, liquidity and past returns were run. The NZSX sample commenced in 1988 and continued through to 2011, while data are available for the Unlisted and NZAX markets from 2004 to 2011. Findings – The pricing factors that are important in explaining returns in major international markets also influence returns on the NZSX. However, only B/M is consistently priced across all New Zealand stock exchanges, including the alternative NZAX and Unlisted markets. There is evidence of reversal in NZAX stocks, but liquidity effects are not consistent or pervasive in either market. Practical implications – With B/M being the only consistently priced variable across all markets, investors in the NZAX and in particular Unlisted may be concerned with other risk factors. For example, the risks associated with differing levels of investor protection, corporate governance and disclosure may be of more concern to investors than pricing factors such as size, liquidity and past returns in these alternative trading platforms. Originality/value – The paper examines cross-sectional return patterns of the NZAX and Unlisted stocks and is the first paper to jointly test the explanatory power of size, B/M, past returns and liquidity factors for NZSX stocks.

Perseverance of effort and consistency of interest for entrepreneurial career success

2020 ◽  
Vol 12 (2) ◽  
pp. 279-304 ◽  
Author(s):  
Isyaku Salisu ◽  
Norashidah Hashim ◽  
Munir Shehu Mashi ◽  
Hamza Galadanchi Aliyu
Keyword(s):  
Career Success ◽  
Structural Model ◽  
Sampling Technique ◽  
Cross Sectional ◽  
Content Type ◽  
Career Achievement ◽  
Entrepreneurial Action ◽  
Practical Implications ◽  
Collectivist Society

Purpose The purpose of this paper is to examine the effect of grit (consistency of interest and perseverance of effort) on entrepreneurial career success (career satisfaction, perceived career achievement and perceived financial attainment) through the role of resilience. Design/methodology/approach The study was cross-sectional, and the data were collected using questionnaires from 111 entrepreneurs in Nigeria who have been in business for over five years and were selected using purposive sampling technique. The study used Smart-PLS to assess the measurement and structural model. Findings The perseverance of effort was related to all the aspects of career success as well as resilience. But consistency of interest was positively related to only perceived financial attainment. It also predicted resilience. Resilience was also related to all the facets of career success. All three mediation hypotheses were supported. Research limitations/implications The study delivered fascinating understandings into the structures of grit. The Western conceptualisation of grit may not be valid in a collectivist society where consistency is not that very much considered. Practical implications The study helps to further validate grit in the entrepreneurship field; the construct is a facilitator of entrepreneurial action and an indispensable source of energy that can revitalise the entrepreneur along the arduous road to success. Originality/value The two components of grit can have a dissimilar influence on different outcomes – as prior investigations, although recognising that the two components are conceptually dissimilar, have rarely studied them so empirically.

Going European from American: does style matter?

2017 ◽  
Vol 43 (4) ◽  
pp. 471-487 ◽  
Author(s):  
Rajesh Pathak ◽  
Satish Kumar ◽  
Ranajee Ranajee
Keyword(s):  
Stock Returns ◽  
Stock Options ◽  
Equity Returns ◽  
European Options ◽  
Cross Sectional ◽  
Content Type ◽  
Put Options ◽  
Portfolio Approach ◽  
Systematic Risk Factors ◽  
Practical Implications

Purpose The purpose of this paper is to examine the cross-sectional predictive power and the information content of volatility smirks for future stock returns using single stock options. Design/methodology/approach The study uses Fama-Macbeth procedure and portfolio approach to investigate the predictability and informativeness in a setup when options settlement style is changed from American to European. Findings The study reports that the volatility smirk of European style options, unlike American style options, predict the underlying cross-sectional equity returns. Firms with steepest volatility smirk underperform firms with flatter volatility smirks, by an average of 3.28 and 4.01 per cent annually for American and European options, respectively. The results are robust to the control of idiosyncratic and systematic risk factors. Practical implications The results confirm that a trader with negative information prefers to trade out-of-the-money put options. The more pronounced results of European options designate the trader’s preference to less risky European style stock options. Results are robust and signify the delay of equity market in incorporating information impounded in the volatility smirk. Originality/value Very few studies examine smirk and returns relationship and to the best of the authors’ knowledge, no study exists that examine the unique case of change in options style and its role in affecting relationship between smirk and future returns.

The role of online freelance stock analysts in correcting overly pessimistic market sentiment

2018 ◽  
Vol 44 (8) ◽  
pp. 954-971
Author(s):  
Myungsun Kim ◽  
Robert Kim ◽  
Onook Oh ◽  
H. Raghav Rao
Keyword(s):  
Stock Returns ◽  
Relevant Information ◽  
Content Type ◽  
Market Sentiment ◽  
Value Stocks ◽  
Stock Market Reaction ◽  
Negative Tone ◽  
Stock Analysts ◽  
Practical Implications

Purpose The purpose of this paper is to examine the role of online freelance stock analysts in correcting mispricing of hard-to-value firms during sentiment-driven market periods. Design/methodology/approach The sample covers 23,758 Seeking Alpha articles obtained for the period between January 2005 and September 2011. The authors use OLS regressions to test the stock market reaction around Seeking Alpha analysts’ reports. The information in online analysts’ reports is measured by the tone of stock articles posted in SeekingAlpha.com (SA). Findings The analysis reveals that the degree of negative tone of their stock articles is related to three-day stock returns around the article posting dates. It further reveals that the relation between these returns and prevailing market sentiment depends on firm-specific susceptibility to the market sentiment. The three-day stock returns are higher during low market sentiment periods for firms that are more susceptible to the market sentiment, hence, harder to value. The tone of the stock articles during low sentiment periods also predicts the news in the forthcoming earnings. Practical implications The findings help stock investors identify value-relevant information provided by online freelance stock analysts, particularly for hard-to-value stocks and during the low market sentiment period. Originality/value This study utilizes a unique dataset obtained from SA. This is the first paper to examine whether online analysts help investors correct potential undervaluation of hard-to-value firms during the low market sentiment period.

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