scholarly journals Can Individual Investors Capture The Value Premium?

2011 ◽  
Vol 7 (5) ◽  
Author(s):  
Patrick J. Larkin
Keyword(s):  
Individual Investors ◽  
Investment Strategies ◽  
Enterprise Value ◽  
Market Portfolio ◽  
A Value ◽  
Time Period ◽  
Return On Capital ◽  
Reduce Risk ◽  
One Year ◽  
Value Strategy

I test the performance of several simple one and two-factor mechanical GARP and value investment strategies against a value-weighted market portfolio for the period 1998-2006, focusing on the suitability of the strategies for individual investors. All of the GARP and value strategies produce substantially higher average returns than the market portfolio over the 97 rolling one-year holding periods included in the study. The strategies have a higher standard deviation of returns across the 97 start months, but are less likely than the market portfolio to experience negative returns over any three or five-year time period. Overall, the best performing strategies are EBIT to enterprise value and return on capital, EBIT to enterprise value alone, and earnings yield (the inverse of the P/E ratio). Adding a profitability factor to form a GARP strategy from a simple one-factor value strategy does not appear boost performance, though it does reduce risk in the EBIT to enterprise value and return on capital strategy. My results indicate that individual investors who are able to tolerate occasional underperformance should consider using a GARP or value strategy in at least a portion of the portion of their portfolio that is allocated to U.S. equities.    

scholarly journals Application of multi-criteria decision analysis for investment strategies in the Indian equity market

2021 ◽  
Vol 18 (3) ◽  
pp. 40-51
Author(s):  
Sudipa Majumdar ◽  
Rashita Puthiya ◽  
Nandan Bendarkar
Keyword(s):  
Decision Analysis ◽  
Financial Services ◽  
Equity Market ◽  
Individual Investors ◽  
Investment Strategies ◽  
Excess Returns ◽  
Multi Criteria Decision Analysis ◽  
Industrial Manufacturing ◽  
A Value ◽  
Manufacturing Sectors

In the Indian equity market, the Systematic Investment Plan (SIP) is the most popular strategy due to its convenience for disciplined investing regardless of market conditions. This study analyzes the excess returns of an extensive dataset of listed Indian companies from 2010 to 2019, along with a value-based version of the Multi-Criteria Decision Analysis (MCDA), to identify top performing stocks, based on their sectors and market capitalization. The findings of the study provide empirical evidence of Value Averaging (VA) as a viable alternative strategy over SIP (also known as Dollar Cost Averaging or Rupee Cost Averaging) as 352 out of 359 companies yielded higher returns under VA. The superiority of the VA strategy over the SIP was particularly marked in the consumer goods, financial services and industrial manufacturing sectors, with a clear dominance of small cap companies. The results also show that risk factors for VA strategy play an important role and should be taken into account, rather than base investment decisions on excess returns alone. The efficiency scores of individual stocks provide important insights for mutual funds, financial brokers and individual investors in India.

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

'A town built on migration?' Calculating the human capital value of migration to Reading, 1851-1871

2019 ◽  
pp. 26-54
Author(s):  
Daniel James Gooch
Keyword(s):  
Human Capital ◽  
Economic Value ◽  
Infrastructure Projects ◽  
Economic Output ◽  
Net Migration ◽  
A Value ◽  
Time Period ◽  
The Town ◽  
Age And Sex ◽  
Capital Value

This article provides an estimate of the human capital value of migration to Reading in the period 1851-1871 to the town's economy. This is determined by estimating total net migration to the town across this period by age and sex and assigning all migrants a value for expected lifetime economic output less expected lifetime consumption costs. The final figures are contextualised by comparison with the value of social overhead capital used to fund significant local infrastructure projects in the same time period and show that, from a human capital perspective, the value of migration to Reading was very significant. This article thus addresses significant historiographical gaps in the study of Victorian labour migration to southern provincial towns and provides an original perspective to studies of the economic value of migration and its role in the growth of such communities.

THE USE OF HISTORICAL DATA IN ACCOUNTING RESEARCH: THE CASE OF THE AMERICAN SUGAR REFINING COMPANY

1997 ◽  
Vol 24 (2) ◽  
pp. 1-24 ◽  
Author(s):  
Robert Bricker ◽  
Kevin Brown
Keyword(s):  
Capital Market ◽  
Historical Data ◽  
Abnormal Returns ◽  
Deep Understanding ◽  
Historical Record ◽  
Historical Period ◽  
Financial Condition ◽  
A Value ◽  
Time Period ◽  
And Performance

In 1908, the American Sugar Refining Company (ASR) reversed its long-held policy of secrecy as to its financial condition and performance. Prior work, applying contemporary capital market methods to ASR security price data of that period, has suggested a value to ASR shareholders of this policy reversal. This paper examines the historical record of that time and presents additional evidence on this matter, particularly in terms of identifying potentially confounding events occurring during the period under study. The results of this analysis suggest a difficulty in attributing observed abnormal returns to ASR's secrecy policy reversal on the basis of the results obtained from applying capital markets methods. This analysis is useful for scholars interested in applying modern capital market methods to historical data. It highlights the significance of the possible effects of contemporaneous historical events, focuses attention on the importance of a deep understanding of the historical period studied, and suggests a value in combining historical and empirical-markets methods to gain a richer understanding of the events and conditions in the time period under study.

scholarly journals One Year of the COVID-19 Pandemic in Galicia: A Global View of Age-Group Statistics during Three Waves

2021 ◽  
Vol 18 (10) ◽  
pp. 5104
Author(s):  
Iván Area ◽  
Henrique Lorenzo ◽  
Pedro J. Marcos ◽  
Juan J. Nieto
Keyword(s):  
Intensive Care Unit ◽  
Hospital Admissions ◽  
Age Groups ◽  
Age Group ◽  
Nw Spain ◽  
The Past ◽  
Global View ◽  
Time Period ◽  
Key Variables ◽  
One Year

In this work we look at the past in order to analyze four key variables after one year of the COVID-19 pandemic in Galicia (NW Spain): new infected, hospital admissions, intensive care unit admissions and deceased. The analysis is presented by age group, comparing at each stage the percentage of the corresponding group with its representation in the society. The time period analyzed covers 1 March 2020 to 1 April 2021, and includes the influence of the B.1.1.7 lineage of COVID-19 which in April 2021 was behind 90% of new cases in Galicia. It is numerically shown how the pandemic affects the age groups 80+, 70+ and 60+, and therefore we give information about how the vaccination process could be scheduled and hints at why the pandemic had different effects in different territories.

Survival With Respect to Morphology in Pulmonary Atresia and Intact Ventricular Septum in Sweden

2021 ◽  
Vol 12 (1) ◽  
pp. 27-34
Author(s):  
Stina Manhem ◽  
Katarina Hanséus ◽  
Håkan Berggren ◽  
Britt-Marie Ekman-Joelsson
Keyword(s):  
Pulmonary Atresia ◽  
Early Time ◽  
Ventricular Septum ◽  
Intact Ventricular Septum ◽  
Early Group ◽  
Time Period ◽  
Medical Reports ◽  
One Year ◽  
Survival Risk ◽  
Late Group

Background: Patients born with pulmonary atresia and intact ventricular septum represent a challenge to pediatric cardiologists. Our objective was to study changes in survival with respect to morphology in all children born with pulmonary atresia and intact ventricular septum in Sweden during 36 years. Methods: A retrospective, descriptive study based on medical reports and echocardiographic examinations consisting of those born between 1980 and 1998 (early group) and those born between 1999 and 2016 (late group). Results: The cohort consists of 171 patients (early group, n = 86 and late group, n = 85) yielding an incidence of 4.35 and 4.46 per 100,000 live births, respectively. One-year survival in the early group was 76% compared to 92% in the late group ( P = .0004). For patients with membranous atresia, one-year survival increased from 78% to 98%, and for muscular pulmonary atresia, from 68% to 85%. In patients with muscular pulmonary atresia and ventriculocoronary arterial communications, there was no significant increase in survival. Risk factors for death were being born in the early time period hazard ratio (HR), 6; 95% CI (2.33-14.28) P = .0002, low birth weight HR, 1.26; 95% CI (1.14-1.4) P < .0001 and having muscular pulmonary atresia HR, 3.74; 95% CI (1.71-8.19) P = .0010. Conclusion: The incidence of pulmonary atresia and intact ventricular septum remained unchanged during the study period. Survival has improved, especially for patients with membranous pulmonary atresia, while being born with muscular pulmonary atresia is still a risk factor for death. To further improve survival, greater focus on patients with muscular pulmonary atresia and ventriculocoronary arterial communications is required.

Stochastic Models for Actuarial Use: The Equilibrium Modelling of Local Markets

2009 ◽  
Vol 39 (1) ◽  
pp. 339-370 ◽  
Author(s):  
Robert J. Thomson ◽  
Dmitri V. Gott
Keyword(s):  
Local Market ◽  
Market Participants ◽  
Market Portfolio ◽  
One Year ◽  
The One ◽  
Mean Variance ◽  
Annual Time ◽  
Time Subject

AbstractIn this paper, a long-term equilibrium model of a local market is developed. Subject to minor qualifications, the model is arbitrage-free. The variables modelled are the prices of risk-free zero-coupon bonds – both index-linked and conventional – and of equities, as well as the inflation rate. The model is developed in discrete (nominally annual) time, but allowance is made for processes in continuous time subject to continuous rebalancing. It is based on a model of the market portfolio comprising all the above-mentioned asset categories. The risk-free asset is taken to be the one-year index-linked bond. It is assumed that, conditionally upon information at the beginning of a year, market participants have homogeneous expectations with regard to the forthcoming year and make their decisions in mean-variance space. For the purposes of illustration, a descriptive version of the model is developed with reference to UK data. The parameters produced by that process may be used to inform the determination of those required for the use of the model as a predictive model. Illustrative results of simulations of the model are given.

scholarly journals Effectiveness of Selected Investment Strategies in the Opinion of Polish Individual Investors Depending on their Personal Preferences

2020 ◽  
Vol 13 (4) ◽  
pp. 442-451
Author(s):  
Katarzyna Daniluk
Keyword(s):  
Risk Aversion ◽  
Investment Strategy ◽  
Capital Allocation ◽  
Survey Method ◽  
Individual Investors ◽  
Investment Horizon ◽  
Investment Strategies ◽  
Research Material ◽  
Individual Needs ◽  
Level Of Risk

SummarySubject and purpose of work: The work aimed at identifying and characterising the interdependence between Polish investors’ personal preferences in investing and their opinion about the effectiveness of investment strategies. It was examined how the adopted investment horizon, the level of risk aversion and the time spent daily on investing impact the interviewees’ experiences and opinions on the effectiveness of investment strategies.Materials and methods: As the survey method was employed, a questionnaire was sent to randomly selected Polish individual investors. The research material consisted of 652 questionnaire forms.Results: The study showed a relevant dependence between Polish investors’ personal preferences and their opinions on the effectiveness of the particular strategies.Conclusions: The interdependencies revealed in the study may be used by potential investors in the process of matching a strategy to individual needs so as to enhance the effectiveness of the choice. A higher awareness of the problem of matching an investment strategy to personal preferences will lead to improved effectiveness of capital allocation among Polish investors.

scholarly journals Management of Phantom Limb Pain through Thalamotomy of the Centro-Median Nucleus

2021 ◽  
Vol 13 (4) ◽  
pp. 587-593
Author(s):  
Ramiro A. Pérez de la Torre ◽  
Job J. Rodríguez Hernández ◽  
Ali Al-Ramadan ◽  
Abeer Gharaibeh
Keyword(s):  
Phantom Limb Pain ◽  
Phantom Limb ◽  
Limb Pain ◽  
Surgical Interventions ◽  
Burning Pain ◽  
A Value ◽  
Thoracic Limb ◽  
History Of ◽  
One Year ◽  
The Right

Background: Phantom limb syndrome is defined as the perception of intense pain or other sensations that are secondary to a neural lesion in a limb that does not exist. It can be treated using pharmacological and surgical interventions. Most medications are prescribed to improve patients’ lives; however, the response rate is low. In this case report, we present a case of phantom limb syndrome in a 42-year-old female with a history of transradial amputation of the left thoracic limb due to an accidental compression one year before. The patient underwent placement of a deep brain stimulator at the ventral posteromedial nucleus (VPM) on the right side and removal secondary to loss of battery. The patient continued to have a burning pain throughout the limb with a sensation of still having the limb, which was subsequently diagnosed as phantom limb syndrome. After a thorough discussion with the patient, a right stereotactic centro-median thalamotomy was offered. An immediate response was reported with a reduction in pain severity on the visual analogue scale (VAS) from a value of 9–10 preoperative to a value of 2 postoperative, with no postoperative complications. Although phantom limb pain is one of the most difficult to treat conditions, centro-median thalamotomy may provide an effective stereotactic treatment procedure with adequate outcomes.

scholarly journals The Effect of Environmental Disclosure and Performance on Profitability in the Companies Listed on the Stock Exchange of Thailand (SET)

2021 ◽  
Vol 19 (1) ◽  
pp. 66-72
Author(s):  
Indah Fajarini Sri Wahyuningrum ◽  
Muhammad Ihlashul Amal ◽  
Suci Sularsih
Keyword(s):  
Environmental Performance ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Iso 14001 ◽  
Company Size ◽  
Analysis Tool ◽  
Environmental Disclosure ◽  
Time Period ◽  
One Year

The main objective of this study is to determine the empirical evidence of the effect of environmental disclosure, environmental performance, company age, and company size on profitability. The purposive sampling method was used to determine the sample of companies and obtained 85 companies from a total population of 100 large companies listed on the Thailand Stock Exchange (SET) in 2018. The data analysis technique used was multiple linear regression analysis using analysis tool IBM SPSS Statistics version 26. The results of this study prove that environmental disclosure has a significant positive effect on profitability. Environmental performance and company size have a significant negative effect on profitability. On the other hand, company age is not proven to have a significant effect on profitability. Based on the research results, it can be concluded that more extensive environmental disclosure is able to increase the achievement of profitability. However, company age is not a factor affecting profitability. Meanwhile, company size and environmental performance as measured by total assets and the existence of ISO 14001 certifications are proven to reduce the level of company profitability. This study also has several limitations, including the time period which is limited to only one time period, namely 2018. It is expected that further studies can expand the time period by more than one year. This is since using a time period of more than one year can illustrate the effect of environmental disclosure and environmental performance, company age and company size on the profitability achieved by the companies.  In addition, it is expected that the results of this study can provide input to companies to be more concerned regarding company performance activities, especially on the environment because there are still many companies that have low levels of environmental disclosure even though environmental disclosure in Thailand is still voluntary.

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