scholarly journals The performance of socially responsible investment funds and exchange-traded funds: Evidence from Johannesburg stock exchange

2014 ◽  
Vol 11 (4) ◽  
pp. 150-159 ◽  
Author(s):  
Godfrey Marozva
Keyword(s):  
Economic Growth ◽  
Factor Model ◽  
Stock Exchange ◽  
Exchange Traded Funds ◽  
Economic Decline ◽  
Single Factor ◽  
Investment Funds ◽  
Responsible Investment ◽  
Johannesburg Stock Exchange ◽  
Single Factor Model

The research reported in this article explored how the JSE SRI Index performed relative to exchange-traded funds during the period of economic growth as well as during the period of economic decline between 2004 and 2014. The JSE SRI Index and exchange traded funds are analysed by a single factor model as well as other risk-adjusted performance measures including the Sharpe ratio, the Treynor ratio and the M-squared ratio. The single-factor model regression results suggest that during the period of economic growth the JSE SRI index neither significantly outperformed nor underperformed the exchange-traded funds. However, the JSE SRI Index significantly underperformed the exchange-traded funds during the period of economic decline. Further tests that engaged other risk-adjusted measures indicated that the exchange-traded funds performed better than the JSE SRI index in both periods. Based on this research it is recommended that further research be conducted using models that can control for the liquidity difference in funds.

scholarly journals Review and Validity of Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange

2017 ◽  
Vol 1 (1) ◽  
pp. 21 ◽  
Author(s):  
Mengyun Wu ◽  
Muhammad Imran ◽  
YanHua Feng ◽  
Linrong Zhang ◽  
Muhammad Abbas
Keyword(s):  
Capital Market ◽  
Factor Model ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Cost Of Equity ◽  
Single Factor ◽  
Asset Pricing Model ◽  
Single Risk Factor ◽  
Model Evidence ◽  
Single Factor Model

Since the inception of prospects theory of Markowitz (1952) which leads to the development of CAPM has been studied and applied in many ways. Some researchers conclude that CAPM is valid and could be used for valuation of securities and cost of equity. However, critiques arise that CAPM is a single risk factor and remark that a single factor model cannot be generalized in the overall capital markets because the capital market absorbs many other risk factors. The CAPM has been applied to the Pakistan’s Stock Exchange to check the validity of CAPM for a sample of 306 individual firms and 18 industrial portfolios. Two pass regression has been applied to check the applicability of CAPM in Pakistan’s stock exchange. The results show that CAPM, single factor model is not valid for the technical analysis in Pakistan's capital market. The investors need to use other type of factor models which include other economic and non economic kind of variables for valuation of securities.

scholarly journals Green Banking and Infrastructure Project Financing for Sustainable Development

2018 ◽  
Vol 73 ◽  
pp. 10001
Author(s):  
Fashli Arinal ◽  
Herdiansyah Herdis ◽  
A Saragi Putri
Keyword(s):  
Sustainable Development ◽  
Stock Price ◽  
Stock Exchange ◽  
Banking System ◽  
Investment Funds ◽  
Responsible Investment ◽  
Banking Policy ◽  
Formal Requirement ◽  
Industrial Projects ◽  
Infrastructure Project

Indonesia already has policies that pay attention to environmental aspects so that the development can keep running by maintaining the natural conditions. One of the policies that have been made is green banking. The green banking policy requires the support of stakeholders who have a role as an enforcer. This study uses a quantitative approach to measure the implementation of funds used by banks in the financing of industrial projects. The database is based on the Sustainable Equity and Responsible Investment (SRI) index -KEHATI, one of the indices that the indicator of stock price movement in Indonesia Stock Exchange (BEI), but focus on banking data practicing green banking system. The result of this study shows that the bank has a responsibility to the environmental risks of the project to be run by the company where the investment funds or lending of the bank. The green banking policy requires the support of stakeholders who have a role as an enforcer. Stakeholders in green banking are groups of people or individuals who have an essential part to achieve goals, and Sustainable development can be realized well if this policy is implemented, not just a formal requirement in following the current international trend.

scholarly journals Cross-Cultural Evaluation of Antonovsky’s Orientation to Life Questionnaire: Comparison Between Australian, Finnish, and Turkish Young Adults

2018 ◽  
Vol 122 (2) ◽  
pp. 731-747 ◽  
Author(s):  
Timo Lajunen
Keyword(s):  
Cultural Differences ◽  
Factor Model ◽  
Well Being ◽  
Cross Cultural ◽  
Life Questionnaire ◽  
Single Factor ◽  
Scale Scores ◽  
Health And Well Being ◽  
Three Factor ◽  
Single Factor Model

Antonovsky’s concept “sense of coherence” (SOC) and the related measurement instrument “The Orientation to Life Questionnaire” (OLQ) has been widely applied in studies on health and well-being. The purpose of the present study is to investigate the cultural differences in factor structures and psychometric properties as well as mean scores of the 13-item form of Antonovsky’s OLQ among Australian (n = 201), Finnish (n = 203), and Turkish (n = 152) students. Three models of factor structure were studied by using confirmatory factor analysis: single-factor model, first-order correlated-three-factor model, and the second-order three-factor model. Results obtained in all three countries suggest that the first- and second-order three-factor models fitted the data better that the single-factor model. Hence, the OLQ scoring based on comprehensibility, manageability, and meaningfulness scales was supported. Scale reliabilities and inter-correlations were in line with those reported in earlier studies. Two-way analyses of variance (gender × nationality) with age as a covariate showed no cultural differences in SOC scale scores. Women got higher scores on the meaningfulness scale than men, and age was positively related to all SOC scale scores indicating that SOC increases in early adulthood. The results support the three-factor model of OLQ which thus should be used in Australia, Finland, and Turkey instead of a single-factor model. Need for cross-cultural studies taking into account cultural correlates of SOC and its relation to health and well-being indicators as well as studies on gender differences in the OLQ are emphasized.

Constructing dynamic life tables with a single-factor model

2020 ◽  
Vol 43 (2) ◽  
pp. 787-825
Author(s):  
David Atance ◽  
Alejandro Balbás ◽  
Eliseo Navarro
Keyword(s):  
Factor Model ◽  
Life Tables ◽  
Single Factor ◽  
Dynamic Life Tables ◽  
Single Factor Model

scholarly journals Integrating ESG factors in investment decisions by mutual fund managers: a case of selected Johannesburg Stock Exchange-listed companies

2020 ◽  
Vol 17 (4) ◽  
pp. 258-270
Author(s):  
Michael Bamidele Fakoya ◽  
Segopotje Evonia Malatji
Keyword(s):  
Mutual Fund ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Listed Companies ◽  
Business Practices ◽  
Mutual Fund Managers ◽  
Responsible Investment ◽  
Fund Managers ◽  
Johannesburg Stock Exchange ◽  
Asset Managers

This paper examines whether mutual fund managers incorporate environmental, social, and governance (ESG) factors when deciding which sector to invest on behalf of their trustees. In doing this, the top 20 South African mutual fund companies (asset managers) listed on the Johannesburg Stock Exchange (JSE) were selected. The paper identified the top 30 JSE listed companies (in the large industrial, equipment, and machinery sectors, excluding unlisted and service-oriented companies) where trustees’ funds were invested (with a total of 28 companies between 2007 and 2017) from the mutual fund companies’ Equity Fund Fact Sheets 2017 (representing recent investment focus). ESG data were collected from the integrated and sustainability reports at the sampled companies’ websites, and financial data were sourced from the IRESS database. This study adopted the panel data analysis. The results show an insignificant negative relationship between the ESG proxies (water usage, employee health and safety cost [number of work-related fatalities], percentage of women on corporate board) and return on equity (ROE). This means that the sampled companies disregard the United Nations Principle of Responsible Investment (UN PRI) guideline, suggesting that asset managers focus on increasing returns on shareholders’ investment without considering ESG issues. The paper concludes that the disregard for responsible investment guidelines does not encourage companies to improve their unsustainable business practices.

scholarly journals Association of Reallocating Time in Different Intensities of Physical Activity with Weight Status Changes among Normal-Weight Chinese Children: A National Prospective Study

2020 ◽  
Vol 17 (16) ◽  
pp. 5761
Author(s):  
Kaiyun Tan ◽  
Li Cai ◽  
Lijuan Lai ◽  
Zhaohuan Gui ◽  
Xia Zeng ◽  
...  
Keyword(s):  
Physical Activity ◽  
Weight Status ◽  
Sedentary Time ◽  
Factor Model ◽  
Normal Weight ◽  
Single Factor ◽  
Partition Model ◽  
Intensity Physical Activity ◽  
Vigorous Intensity ◽  
Single Factor Model

Background: Time spent in different intensity-specific physical activities is codependent, but the substitution effect of different activities on weight status changes in children remains unclear. This study aims to investigate the prospective association between reallocating time in different intensities of physical activity and weight status changes among Chinese children. Methods: A national sample of 15,100 normal-weight children aged 7–18 years (46.7% boys) were recruited in September 2013 and followed up for nine months. Vigorous-intensity physical activity (VPA), moderate-intensity physical activity (MPA), walking, and sedentary time were obtained by International Physical Activity Questionnaire Short Form (IPAQ-SF). Height and weight were objectively measured, by which body mass index (BMI) and BMI z-score were calculated. Weight status was classified by the Chinese criteria for 7- to 18-year-old children. Isotemporal substitution analyses (including single-factor model, partition model, and isotemporal substitution model) were applied to examine the association of time allocation with weight status changes. Results: Each 30 min/day of increase in VPA was favorably associated with a 13.2% reduced risk of incident overweight/obesity in a single-factor model and a 15.6% reduced risk in a partition model. Negative associations were found between VPA, MPA, walking and the risk of being underweight in the single-factor model, but not in the partition model. In substitution models, replacing 30 min/day sedentary time with an equal amount of VPA was favorably associated with a 16.1% reduction of the risk of being overweight/obese. Conclusion: These findings highlight the need for promoting vigorous-intensity physical activity in children.

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