Do Traditional Accounting-based Performance Measures explain the Stock Returns better than EVA®?-Evidence from India

2017 ◽  
Vol 7 (12) ◽  
pp. 28
Author(s):  
Ashita Agrawal
Keyword(s):  
Stock Returns ◽  
Performance Measures ◽  
Better Than

scholarly journals Performance of Seven Consumer Sleep-Tracking Devices Compared with Polysomnography

SLEEP ◽  
2020 ◽  
Author(s):  
Evan D Chinoy ◽  
Joseph A Cuellar ◽  
Kirbie E Huwa ◽  
Jason T Jameson ◽  
Catherine H Watson ◽  
...  
Keyword(s):  
Performance Measures ◽  
Gold Standard ◽  
High Performance ◽  
Sleep Stage ◽  
Sleep Laboratory ◽  
Sleep Assessment ◽  
Sleep Condition ◽  
Different Populations ◽  
Tracking Devices ◽  
Better Than

Abstract Study Objectives Consumer sleep-tracking devices are widely used and becoming more technologically advanced, creating strong interest from researchers and clinicians for their possible use as alternatives to standard actigraphy. We therefore tested the performance of many of the latest consumer sleep-tracking devices, alongside actigraphy, versus the gold-standard sleep assessment technique, polysomnography (PSG). Methods In total, 34 healthy young adults (22 women; 28.1 ± 3.9 years, mean ± SD) were tested on three consecutive nights (including a disrupted sleep condition) in a sleep laboratory with PSG, along with actigraphy (Philips Respironics Actiwatch 2) and a subset of consumer sleep-tracking devices. Altogether, four wearable (Fatigue Science Readiband, Fitbit Alta HR, Garmin Fenix 5S, Garmin Vivosmart 3) and three non-wearable (EarlySense Live, ResMed S+, SleepScore Max) devices were tested. Sleep/wake summary and epoch-by-epoch agreement measures were compared with PSG. Results Most devices (Fatigue Science Readiband, Fitbit Alta HR, EarlySense Live, ResMed S+, SleepScore Max) performed as well as or better than actigraphy on sleep/wake performance measures, while the Garmin devices performed worse. Overall, epoch-by-epoch sensitivity was high (all ≥0.93), specificity was low-to-medium (0.18-0.54), sleep stage comparisons were mixed, and devices tended to perform worse on nights with poorer/disrupted sleep. Conclusions Consumer sleep-tracking devices exhibited high performance in detecting sleep, and most performed equivalent to (or better than) actigraphy in detecting wake. Device sleep stage assessments were inconsistent. Findings indicate that many newer sleep-tracking devices demonstrate promising performance for tracking sleep and wake. Devices should be tested in different populations and settings to further examine their wider validity and utility.

scholarly journals Choosing Factors for the Vietnamese Stock Market

2021 ◽  
Vol 14 (3) ◽  
pp. 96
Author(s):  
Nina Ryan ◽  
Xinfeng Ruan ◽  
Jin E. Zhang ◽  
Jing A. Zhang
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Factor Models ◽  
Marginal Contribution ◽  
Return On Equity ◽  
Factor Modeling ◽  
Three Factor ◽  
Better Than

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

Are Shocks Asymmetric to Volatility of Chinese Stock Markets?

2004 ◽  
Vol 07 (03) ◽  
pp. 379-395 ◽  
Author(s):  
Wei-Chiao Huang ◽  
Yuanlei Zhu
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Garch Model ◽  
Leverage Effect ◽  
Arch Models ◽  
Before And After ◽  
Chinese Markets ◽  
Chinese Stock Markets ◽  
Better Than ◽  
A Share

This paper uses ARCH models to examine if there is a leverage effect and also to test if A- and B-share holdings have different risks in Chinese stock markets before and after B-share markets open to domestic investors in February 2001. The empirical results suggest that leverage effect was not present and shocks have symmetric impact on the volatility of Chinese B-share stock returns in both periods and A-share returns in Period I. Thus GARCH model would be a better model to fit the Chinese B-share stock returns than EGARCH or GJR-GARCH model. But EGARCH or GJR-GARCH model fits recent (Period II) A-share markets data better than GARCH model. Another finding of this paper is that holding A- or B-share bears different risk in returns in the two Chinese markets. Furthermore, news or shocks have a larger impact on volatility of B-share returns in Period I than in Period II.

An Empirical Assessment of CAPM, Market Model and APT: Evidence from the Greek Stock Market

2006 ◽  
Vol 7 (1) ◽  
pp. 87-118
Author(s):  
Petros Messis ◽  
George Emmanuel Iatridis ◽  
George Blanas
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Market Model ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Total Risk ◽  
Pricing Theory ◽  
Athens Stock Exchange ◽  
Better Than

This paper uses three models to estimate the financial performance of 33 securities traded on the Athens Stock Exchange (ASE). To estimate the expected returns, this study uses the Capital Asset Pricing Model (CAPM), the Market Model, and the Arbitrage Pricing Theory (APT). There is significant evidence that the APT performs better than the CAPM and the Market Model, while the differences between the CAPM and the Market Model appear not to be significant. The three models are tested for a five-year period from 2000 to 2005. Total risk is significantly negatively related to returns during down markets, while this relationship is positive but not significant in up markets. There is evidence that, apart from the market risk, other risk factors that influence the stock returns are the inflation rate and the exchange rate.

Older boards are better boards, so beware of diversity targets

2019 ◽  
Vol 26 (1) ◽  
pp. 15-28 ◽  
Author(s):  
Elizabeth Prior Jonson ◽  
Linda McGuire ◽  
Sharif Rasel ◽  
Brian Cooper
Keyword(s):  
Financial Performance ◽  
Performance Measures ◽  
Adverse Impact ◽  
Board Members ◽  
Female Representation ◽  
Industry Sector ◽  
Age Diversity ◽  
Size Firm ◽  
Primary Focus ◽  
Better Than

AbstractThis study examined 130 Australian companies from the ASX 500 All Ordinaries between 2011 and 2015. We performed regression analysis on the effects of age of the board (mean age and age diversity) upon financial performance (measured by ROA and Tobin's Q). Controlling for board size, firm size and industry sector, we found that the average age of board members is positively associated with firm performance as measured by ROA. Boards with an older average age of directors perform better than boards with a younger average age. There was no significant relationship between age diversity as measured by the within-board standard deviation on the two performance measures. The primary focus of our study was age. However, an interesting concomitant finding is that the focus on increasing female representation on boards will lower the average age of a board (as female directors tend to be significantly younger than their male counterparts) and this may have an adverse impact on financial performance.

Value, size, sector, and momentum stocks

2021 ◽  
pp. 187-198
Author(s):  
Jesper Rangvid
Keyword(s):  
Stock Market ◽  
Business Cycle ◽  
Stock Returns ◽  
The Business Cycle ◽  
Better Than ◽  
Do So

This chapter studies the characteristics of the most important and well-known factors. Factor portfolios are portfolios of stocks based on certain characteristics, such as the size of the company, the price of the stock in relation to, e.g., the earnings of the company, the sector within which the firm operates, etc.Factors that perform better than the overall stock market tend to suffer more during recessions. To compensate investors for their underperformance during recessions, returns on these factors during expansions are so high that average stock returns over the full business cycle end out being high. Conversely, those factors that provide lower average returns than the overall stock market do so because they perform relatively better during recessions. The business cycle again plays an important role for understanding stock-market patterns.

scholarly journals The Association between Various Earnings and Cash Flow Measures of Firm Performance and Stock Returns: some Iranian evidence

2013 ◽  
Vol 3 (1) ◽  
pp. 24 ◽  
Author(s):  
Ali Mazloom ◽  
Alireza Azarberahman ◽  
Jalal Azarberahman
Keyword(s):  
Firm Performance ◽  
Stock Returns ◽  
Cash Flow ◽  
Applied Research ◽  
Stock Exchange ◽  
Cash Flows ◽  
Company Performance ◽  
Statistical Population ◽  
Semi Empirical ◽  
Better Than

The main purpose of this research is the study of association between various measures of firm performance based on earnings and cash flows and stock returns. This research is an applied research, and its design is semi-empirical, which is done by the method of post-event (past information). The statistical population of the research includes all companies listed in Tehran Stock Exchange (TSE), and its period is nine consecutive years, from 2003 to 2011. Simple and multiple regressions are applied in order to test the hypotheses. Results of the research represent that earning based measures are more related to stock returns than cash flow based measures. Furthermore, earning based measures depict the company performance better than cash flow measures in some companies with higher accruals. But in companies with lower accruals, the company performance cannot be depicted properly neither by earning based nor cash flow based measures.

scholarly journals How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 76
Author(s):  
Saswat Patra ◽  
Malay Bhattacharyya
Keyword(s):  
At Risk ◽  
Stock Returns ◽  
Value At Risk ◽  
Risk Measure ◽  
Stock Index ◽  
Risk Exposure ◽  
Index Options ◽  
Significance Level ◽  
Significance Levels ◽  
Better Than

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim risk exposure of a position or a portfolio. MaxVaR is a more stringent risk measure as it assesses the risk during the risk horizon. For a 30-day maturity option, we find that MaxVaR can be 40% higher than VaR at a 5% significance level. It highlights the importance of MaxVaR as a risk measure and shows that the risk is vastly underestimated when VaR is used as the measure for risk. The sensitivity of MaxVaR with respect to option characteristics like moneyness, time to maturity and risk horizons at different significance levels are observed. Further, interestingly enough we find that the MaxVar to VaR ratio is higher for stocks than the options and we can surmise that stock returns are more volatile than options. For robustness, the study is carried out under different distributional assumptions on residuals and for different stock index options.

Comparative analyses of mean-variance and mean-semivariance approaches on global and local single factor market model for developed and emerging markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mehmet Emin Yildiz ◽  
Yaman Omer Erzurumlu ◽  
Bora Kurtulus
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Risk Measures ◽  
Emerging Market ◽  
Cost Of Equity ◽  
Content Type ◽  
The Cost ◽  
Global And Local ◽  
Insight Into ◽  
Better Than

PurposeThe beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset pricing model (CAPM) and downside CAPM risk parameters to gain further insight into which risk parameter leads to better performing risk measures at explaining stock returns.Design/methodology/approachThe study conducts a comparative analysis of 16 risk measures at explaining the stock returns of 4531 companies of 20 developed and 25 emerging market index for 2000–2018. The analyses are conducted using both the global and local indices and both USD and local currency returns. Calculated risk measures are analyzed in a panel data setup using a univariate model. Results are investigated in country-specific and model-specific subsets.FindingsThe results show that (1) downside betas are better than CAPM betas at explaining the stock returns, (2) both risk measure groups perform better for emerging markets, (3) global downside beta model performs better than global beta model, implying the existence of the contagion effect, (4) high significance levels of total risk and unsystematic risk measures further support the shortfall of CAPM betas and (5) higher correlation of markets after negative shocks such as pandemics puts global CAPM based downside beta to a more reliable position.Research limitations/implicationsThe data are limited to the index securities as beta could be time varying.Practical implicationsResults overall provide insight into the cost of equity calculation and emerging market assets valuation.Originality/valueThe framework and methodology enable us to compare and contrast CAPM and downside-CAPM risk measures at the firm level, at the global/local level and in terms of the level of market development.

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