scholarly journals DOES DEFAULT RISK MATTER FOR INVESTORS IN REITS

2020 ◽  
Vol 24 (5) ◽  
pp. 1-14
Author(s):  
Yezhou Sha ◽  
Zilong Wang ◽  
Ziwen Bu ◽  
Nick Mansley
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Default Risk ◽  
Negative Relationship ◽  
Investment Strategy ◽  
Idiosyncratic Volatility ◽  
Asset Growth ◽  
Capm Beta ◽  
The Relationship

We investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum. We also evaluate a large number of potential explanations for the negative relationship between default risk and subsequent stock returns. We do not find robust evidence that the default risk premium can be explained by firm size, book-to-market equity, asset growth and idiosyncratic volatility. However, CAPM beta shows some promise in explaining the default risk premium. Our results shed further light on the role of default risk in investment in REITs.

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19

2021 ◽  
pp. 2150004
Author(s):  
KHOA DANG DUONG ◽  
QUI NHAT NGUYEN ◽  
TRUONG VINH LE ◽  
DIEP VAN NGUYEN
Keyword(s):  
Transaction Costs ◽  
Stock Returns ◽  
Trading Volume ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Individual Investors ◽  
Limits To Arbitrage ◽  
Trading Activities ◽  
Using Data ◽  
The Relationship

This paper examines the impacts of limit-to-arbitrage factors on the returns of the idiosyncratic volatility (IVOL) puzzle in Taiwan before and during the Covid-19 pandemic. Although various studies explore the relationship between stock returns and IVOL, the empirical findings are mixed. We are motivated by unique market microstructures in Taiwan, such as individual investors’ aggressive trading volume and low transaction costs in Taiwan, discouraging arbitrary trading activities. Our empirical results indicate a negative relationship between IVOL and stock returns by using data from the Taiwan stock market. However, the IVOL anomaly does not exist during the Covid-19 pandemic, even in the small stocks sample. Besides, our findings suggest that four proxies of limits-to-arbitrage, such as reversal, transaction costs, turnover and Amihud’s Illiquidity, have statistically significant impacts on the return of IVOL anomaly in Taiwan except for the pandemic period. Finally, our finding suggests that the stock turnover is the only limit-to-arbitrage factor that helps investors earn arbitrary profits during the COVID-19 period.

Default Risk and Stock Returns: Evidence from Indian Corporate Sector

2021 ◽  
pp. 097226292110033
Author(s):  
Gurmeet Singh ◽  
Ravi Singla
Keyword(s):  
Stock Returns ◽  
Default Risk ◽  
Stock Return ◽  
Linear Regression Analysis ◽  
Negative Relationship ◽  
Point Of View ◽  
Z Score ◽  
Score Model ◽  
Financial Obligation ◽  
The Relationship

Default risk is associated with the probability that a leveraged firm is not able to pay its financial obligation on time. Relationship between default risk and stock returns is very important from investor’s point of view because it has important implication for risk and return trade off. Relationship between default risk and returns is debatable issue and contradictory results are found in the literature regarding the relationship between default risk and stock returns. Default risk assessment helps the investors and lenders to accurately assess the risks to which investors or lenders are exposed. There are several models which can be used to assess the probability of default. In the present study, the widely used Altman’s Z-score model is used as a measure of default risk to find out the relationship between default risk and stock returns using simple linear regression analysis. It is found that Altman’s Z-score can be used as a measure of default risk and results indicate the existence of positive relationship between Z-score and stock return and hence a negative relationship between default risk and stock return.

scholarly journals To explore the mystery of the idiosyncratic volatility of the A-share market

2021 ◽  
Vol 235 ◽  
pp. 03025
Author(s):  
Zhuoling Ran ◽  
Xuehao Huang ◽  
Mingjia Xie
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Cross Sectional ◽  
Monthly Data ◽  
Rolling Window ◽  
Financial Research ◽  
The Relationship ◽  
A Share

Return and risk are inevitable topics in financial research. This paper explores the relationship between IVOL (idiosyncratic volatility) and cross-sectional return (risk premium and excess return) of the Chinese A-share market. With the monthly data of 237 months from January 2001 to September 2019 of Ashare of Shanghai and Shenzhen stock exchange, IVOL of each stock by the regressions is conducted through rolling window based on the four factors model of Carhart. Whether there is a significant positive or negative relationship between the IVOL and the cross-sectional return of the stock by combination analysis and crosssection regression are tested in the paper. The research shows that, after excluding the influence of financial crisis and stock disaster, from January 2001 to September 2019, there is a significant positive relationship between the special volatility and cross-sectional return in Chinese A-share market under normal market conditions, and there is no so-called “mystery of the special volatility”.

scholarly journals Study on the relationship between Word Preference and Stock Returns under the background of intelligent information

2021 ◽  
Vol 275 ◽  
pp. 01048
Author(s):  
Yunhong Li
Keyword(s):  
Stock Returns ◽  
Firm Value ◽  
Service System ◽  
Negative Relationship ◽  
Investment Decisions ◽  
Going Public ◽  
Intelligent Information ◽  
The Relationship ◽  
Meaningful Role

Based on intelligent informatics, this study examines whether corporate names with implications of luck and taboo have different effects on firm value using a sample of Chinese IPO firms. With the help of the green service system, it can provides investment decisions for the consumers. We find that after controlling for other influencing factors, P/E ratios are positively associated with lucky names but have a slightly negative relationship with taboo names. Similarly, CARs are positively correlated to lucky names but negatively with taboo names. The results also indicate that China’s IPO firms with taboo names have higher first-day returns, but drop faster than do other firms, indicating that these firms experience lower pricing when getting listed. Our findings highlight the economically meaningful role of firms’ names in the process of going public.

The Teacher Behavior Checklist: The Mediation Role of Teacher Behaviors in the Relationship Between the Students’ Importance of Teacher Behaviors and Students’ Effort

2020 ◽  
pp. 009862832097989
Author(s):  
Michael T. Geier
Keyword(s):  
Critical Thinking ◽  
Negative Relationship ◽  
Teacher Behavior ◽  
Teacher Behaviors ◽  
Stepwise Multiple Linear Regression ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
The Relationship ◽  
Teaching Implications

Background: Previous research suggests a relationship between teacher behaviors and students’ effort. However, it is not clear what role the students’ expectations (i.e., importance of teacher behaviors) play in this relationship. Objective: Utilizing the teacher behavior checklist, this study sought to investigate whether teacher behaviors mediate the relationship between the importance students set on teacher behaviors and students’ effort. Further, the study explored which specific behaviors influence students’ effort. Method: Cross-sectional survey data were analyzed ( N = 159) using mediation analysis and stepwise multiple linear regression. Results: There was evidence that teacher behaviors mediate the relationship between the importance students set on teacher behaviors and students’ effort. Four of the 28 teacher behaviors had a significant relationship to students’ effort: creative and interesting, enthusiastic about teaching, happy/positive/humorous, and promotes critical thinking. Conclusion: Knowing students’ expectations (i.e., the importance of teacher behaviors) is essential to increasing students’ effort. Teaching Implications: Happy/positive/humorous had a negative relationship with students’ effort, while creative and interesting, enthusiastic about teaching, and promotes critical thinking showed a positive relationship with students’ effort.

scholarly journals Leader–Follower Congruence in Work Engagement and Leader–Member Exchange: The Moderating Role of Conscientiousness of Followers

2021 ◽  
Vol 12 ◽  
Author(s):  
Yanhua Ye ◽  
Ziwen Wang ◽  
Xiaowei Lu
Keyword(s):  
Work Engagement ◽  
Negative Relationship ◽  
Leader Member Exchange ◽  
Future Directions ◽  
Lmx Theory ◽  
Person Environment Fit ◽  
Work Tasks ◽  
Member Exchange ◽  
The Relationship

Extant research has investigated the relationship between work engagement and various outcomes, such as job performance and organizational commitment, neglecting the effect of work engagement on social relationships at work. Drawing upon person-environment fit theory and LMX theory, the present study aims to examine the effect of (in)congruence between leader and follower work engagement on leader–member exchange (LMX) and the moderating effect of conscientiousness. About 273 employees and 72 leaders participated in this study and completed the measurements of work engagement, conscientiousness, and LMX at two time points. Using cross-level polynomial regressions, we found that, compared with incongruent work engagement, employees perceived high levels of LMX quality when their work engagement was aligned with that of their leaders. Regarding the congruence, the employees reported higher levels of LMX when congruence in work engagement was at higher rather than lower levels. Regarding the incongruence, when the employees engaged less in their work tasks than their leaders, they were more likely to experience lower LMX. Moreover, the negative relationship between incongruence in leader and follower work engagement and LMX was mitigated when followers were more conscientious. All our hypotheses were supported. Both theoretical and practical implications for work engagement as well as future directions are discussed.

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

Close social relationships and loneliness: the role of subjective age

2019 ◽  
pp. 1-5 ◽  
Author(s):  
Naama Spitzer ◽  
Dikla Segel-Karpas ◽  
Yuval Palgi
Keyword(s):  
Older Adults ◽  
Social Relationships ◽  
Negative Relationship ◽  
Community Dwelling ◽  
Subjective Age ◽  
Perceptions Of Aging ◽  
The Relationship ◽  
Moderating Role

Abstract Loneliness is considered a major issue, often negatively influencing the quality of life of individuals of all ages, and of older adults, in particular. The aims of this study are: (1) to assess the association between close social relationships and loneliness; and (2) to examine the moderating role of subjective age in this association. Married or cohabiting community-dwelling Israelis in the second half of life (N = 360) were interviewed and reported on their close social relationships, their level of loneliness, and their subjective age. The number of close social relationships was found to have a negative relationship with loneliness. Moreover, subjective age was found to moderate the relationship between close social relationships and loneliness, such that the association was weaker for those with older subjective age. Those with older subjective age are often not able to benefit from close social relationships to alleviate loneliness as much as their younger-subjective-age counterparts. Efforts to address older adults’ loneliness should consider focusing on older adults’ perceptions of aging.

scholarly journals In Pursuit of Work Performance: Testing the Contribution of Emotional Intelligence and Burnout

2020 ◽  
Vol 17 (15) ◽  
pp. 5373
Author(s):  
Martin Sanchez-Gomez ◽  
Edgar Breso
Keyword(s):  
Emotional Intelligence ◽  
Work Performance ◽  
Negative Relationship ◽  
Performance Testing ◽  
Maslach Burnout Inventory ◽  
Multiple Mediation ◽  
Mediation Analyses ◽  
The Individual ◽  
The Relationship

Previous research has highlighted the connection between emotional intelligence (EI) and work performance. However, the role of job burnout in this context remains relatively unexplored. This study aimed to examine the mediator role of burnout in the relationship between EI and work performance in a multioccupational sample of 1197 Spanish professionals (58.6% women). The participants completed the Wong and Law Emotional Intelligence Scale, the Maslach Burnout Inventory, and the Individual Work Performance Questionnaire. As expected, the results demonstrated a positive relationship between EI and performance, and a negative relationship with burnout, which has a mediator effect in the relationship between EI and work performance. Professionals with high levels of IE and low burnout reported the highest performance. Multiple mediation analyses showed that employees’ EI was indirectly connected to work performance via professional efficacy and exhaustion, even when controlling the effects of sociodemographic variables. The same pattern was found when multiple mediations were conducted for each EI dimension. These findings demonstrate the importance of burnout in understanding work performance and emphasize the role of EI as a protective variable which can prevent the development or chronic progression of workers’ burnout.

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