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Journal articles on the topic 'Generative returns'

Author: Grafiati

Published: 4 June 2021

Last updated: 8 February 2022

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1

Longenbaugh, Nicholas, and Maria Polinsky. "Equidistance returns." Linguistic Review 35, no. 3 (2018): 413–61. http://dx.doi.org/10.1515/tlr-2018-0002.

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Abstract Modern generative linguistic theory furnishes a variety of general principles that appear to be at work in the grammar of all the world’s languages. One of the most basic and uncontroversial of these principles is that Agree/Move operates according to the constraint Attract Closest, which dictates that the closest suitable goal must be the target for the relevant operation (Rizzi 1990; Chomsky 1995, 2000; Richards 1998). The Polynesian language Niuean (Tongic subgroup, predicate initial word order, ergative-absolutive case system) presents a well known challenge to the universality of

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Schluter, Christian, and Mark Trede. "Weak convergence to the Student and Laplace distributions." Journal of Applied Probability 53, no. 1 (2016): 121–29. http://dx.doi.org/10.1017/jpr.2015.13.

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Abstract One often observed empirical regularity is a power-law behavior of the tails of some distribution of interest. We propose a limit law for normalized random means that exhibits such heavy tails irrespective of the distribution of the underlying sampling units: the limit is a t-distribution if the random variables have finite variances. The generative scheme is then extended to encompass classic limit theorems for random sums. The resulting unifying framework has wide empirical applicability which we illustrate by considering two empirical regularities in two different fields. First, we

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ADAMATZKY, ANDREW, and LEON O. CHUA. "PHENOMENOLOGY OF RETAINED REFRACTORINESS: ON SEMI-MEMRISTIVE DISCRETE MEDIA." International Journal of Bifurcation and Chaos 22, no. 11 (2012): 1230036. http://dx.doi.org/10.1142/s0218127412300364.

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We study two-dimensional cellular automata, each cell takes three states: resting, excited and refractory. A resting cell excites if the number of excited neighbors lies in a certain interval (excitation interval). An excited cell becomes refractory independently on states of its neighbors. A refractory cell returns to a resting state only if the number of excited neighbors belong to recovery interval. The model is an excitable cellular automaton abstraction of a spatially extended semi-memristive medium where a cell's resting state symbolizes low-resistance and refractory state high-resistanc

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Duran-Nebreda, Salva, Iain G. Johnston, and George W. Bassel. "Efficient vasculature investment in tissues can be determined without global information." Journal of The Royal Society Interface 17, no. 165 (2020): 20200137. http://dx.doi.org/10.1098/rsif.2020.0137.

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Cells are the fundamental building blocks of organs and tissues. Information and mass flow through cellular contacts in these structures is vital for the orchestration of organ function. Constraints imposed by packing and cell immobility limit intercellular communication, particularly as organs and organisms scale up to greater sizes. In order to transcend transport limitations, delivery systems including vascular and respiratory systems evolved to facilitate the movement of matter and information. The construction of these delivery systems has an associated cost, as vascular elements do not p

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Jameela, M., L. Chen, A. Sit, J. Yoo, C. Verheggen, and G. Sohn. "SIMULATION-BASED DATA AUGMENTATION USING PHYSICAL PRIORS FOR NOISE FILTERING DEEP NEURAL NETWORK." ISPRS - International Archives of the Photogrammetry, Remote Sensing and Spatial Information Sciences XLIII-B2-2020 (August 12, 2020): 247–54. http://dx.doi.org/10.5194/isprs-archives-xliii-b2-2020-247-2020.

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Abstract. LiDAR (Light Detection and Ranging) mounted with static and mobile vehicles has been rapidly adopted as a primary sensor for mapping natural and built environments for a range of civil and military applications. Recently, technology advancement in electro-optical engineering enables acquiring laser returns at high pulse repetition frequency (PRF) from 100Hz to 2MHz for airborne LiDAR, which leads to an increase in the density of 3D point cloud significantly. Traditional systems with lower PRF had a single pulse-in-air zone (PIA) big enough to avoid a mismatch between pulse pair at th

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Comentale, Ed. "The Shropshire Schizoid and the Machines of Modernism." Modernist Cultures 1, no. 1 (2005): 22–46. http://dx.doi.org/10.3366/e2041102209000033.

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In “The Shropshire Schizoid and the Machines of Modernism” Edward P. Comentale considers the work of A. E. Housman, D. H. Lawrence, and Wyndham Lewis in order to engage with modernism from a perspective indebted to the theories of Deleuze and Guattari. Comentale thus intervenes polemically in recent attempts to rethink and revise scholarly conceptions of Modernism. “The Shropshire Schizoid” argues that critical understanding of Modernism should not be based on oedipal accounts of Modernist textuality that construe desire as founded upon lack. In his detailed readings of key works by Housman, L

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Bullinger, Christopher D., and Nicholas D. Bullinger. "Generating Higher Returns by Optimizing the Generation Fleet." Electricity Journal 16, no. 10 (2003): 61–67. http://dx.doi.org/10.1016/j.tej.2003.09.007.

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Joseph, Nathan Lael, and Khelifa Mazouz. "Testing for Overreaction and Return Continuations in Stock Price Index Returns." International Journal of Strategic Decision Sciences 1, no. 2 (2010): 93–112. http://dx.doi.org/10.4018/jsds.2010040105.

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In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate

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King, Russell, Anastasia Christou, Ivor Goodson, and Janine Teerling. "Tales of Satisfaction and Disillusionment: Second-Generation “Return” Migration to Greece and Cyprus." Diaspora: A Journal of Transnational Studies 17, no. 3 (2014): 262–87. http://dx.doi.org/10.3138/diaspora.17.3.262.

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We examine the comparative “return” experiences of second-generation Greek-Americans and British-born Greek Cypriots who have relocated to their respective parental homelands of Greece and Cyprus. Sixty individuals, born in the United States or the United Kingdom yet now living in Greece or Cyprus, were interviewed and detailed life narratives recorded. We find both similarities and differences between the two groups. While the broad narrative themes “explaining” their returns are similar a search for a “place to belong” in the ancestral homeland linked to what is, or was, perceived to be a mo

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Shen, Haocheng, Jason Yosinski, Petar Kormushev, Darwin G. Caldwell, and Hod Lipson. "Learning Fast Quadruped Robot Gaits with the RL PoWER Spline Parameterization." Cybernetics and Information Technologies 12, no. 3 (2012): 66–75. http://dx.doi.org/10.2478/cait-2012-0022.

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Abstract Legged robots are uniquely privileged over their wheeled counterparts in their potential to access rugged terrain. However, designing walking gaits by hand for legged robots is a difficult and time-consuming process, so we seek algorithms for learning such gaits to automatically using real world experimentation. Numerous previous studies have examined a variety of algorithms for learning gaits, using an assortment of different robots. It is often difficult to compare the algorithmic results from one study to the next, because the conditions and robots used vary. With this in mind, we

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Ding, David K., Hardjo Koerniadi, and Chandrasekhar Krishnamurti. "What Drives the Declining Wealth Effect of Subsequent Share Repurchase Announcements?" Journal of Risk and Financial Management 13, no. 8 (2020): 176. http://dx.doi.org/10.3390/jrfm13080176.

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Recent academic studies document that open market share repurchase announcements in the United States generate significantly lower returns than those reported in earlier studies. We find that the lower announcement return is associated with an increasing number of subsequent announcements in the more recent periods. Although the announcement period return from the initial announcement is positive, subsequent announcement returns are significantly decreasing. Further, we find that the decreasing returns of subsequent announcements are attributed to firms with negative past repurchase announceme

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Kuzubas, Tolga Umut, Burak Saltoğlu, Ayberk Sert, and Ayhan Yüksel. "Performance evaluation of the Turkish pension fund system." Journal of Capital Markets Studies 3, no. 1 (2019): 18–33. http://dx.doi.org/10.1108/jcms-03-2019-0013.

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Purpose The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system. Design/methodology/approach This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability. Findings Majority of pension funds are unable to generate excess returns. Majority

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Rodica, Baciu (Boanta), Brezeanu Petre, and Adrian Simon. "The Influence of Bank Credit on Financial Structure and Financial Return for the Romanian Companies Active in Car Parts Distribution." Accounting and Finance Research 9, no. 2 (2020): 73. http://dx.doi.org/10.5430/afr.v9n2p73.

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In this research, we analyze the dependence between financial return (as a dependent, endogenous variable) and bank credit (the volume of bank credits and the cost of borrowed capital, both expressed as independent, exogenous variables), applicable to Romanian companies that deal in the wholesale trade sector of parts and accessories for motor vehicles. Using the 2008–2017 time series panel data model on companies in this sector, we conclude that there is a relatively modest link between financial performance and bank credit., thus illustrating that the main factors generating financial return

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Kolluri, Bharat, Susan Machuga, and Mahmoud Wahab. "Co-Movements of US and Asian Equity Markets: Evidence from Asymmetric and Time-Varying Coefficients." Review of Pacific Basin Financial Markets and Policies 17, no. 04 (2014): 1450021. http://dx.doi.org/10.1142/s0219091514500210.

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We examine co-movements of nine Asian equity markets with both the US and Japan with special interest in distinguishing co-movements during periods of positive returns from those during periods of negative returns. A discrete asymmetric piecewise linear conditional mean returns specification is adopted to generate asymmetric co-movement parameters for periods of positive and negative returns. Conditional heteroskedasticity is modeled using GARCH and EGARCH specifications. Predicted conditional volatilities are used to generate alternative estimates of asymmetric and time-varying co-movement pa

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Eltahir, Yassin Ibrahim, Osama Azmi Sallam, Hussien Omer Osman, and Fethi Klabi. "Does Volatility Generate Major and Minor Stocks in Saudi Stocks Market?" Integrated Journal of Business and Economics 4, no. 1 (2020): 14. http://dx.doi.org/10.33019/ijbe.v4i1.239.

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This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of five stocks representing the basic materials, banking, services, food and transport sectors (SABIC, Al Rajhi, Etisalat, Almarai and Al Bahri respectively). The data sample for the period from 2011 to 2016 is taken, which represents the lifespan of the five-year plan. Daily stock returns were calculated during this period. Study applies the M GA

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Byun, Suk Joon, Sonya S. Lim, and Sang Hyun Yun. "Continuing Overreaction and Stock Return Predictability." Journal of Financial and Quantitative Analysis 51, no. 6 (2016): 2015–46. http://dx.doi.org/10.1017/s0022109016000594.

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We study the return predictability of a measure of continuing overreaction based on the weighted average of signed volumes. We find that the strategies of buying stocks with upward continuing overreaction and selling stocks with downward continuing overreaction generate significant positive returns and that our measure of continuing overreaction is a better predictor of future returns than past returns. The results are stronger among stocks primarily held by investors more prone to biased self-attribution. Our results provide direct support for the model of return predictability based on overc

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Bach, Laurent, Laurent E. Calvet, and Paolo Sodini. "Rich Pickings? Risk, Return, and Skill in Household Wealth." American Economic Review 110, no. 9 (2020): 2703–47. http://dx.doi.org/10.1257/aer.20170666.

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We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01 percent. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation.

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Lizieri, Colin, Stephen Satchell, and Qi Zhang. "The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis." Real Estate Economics 35, no. 4 (2007): 569–98. http://dx.doi.org/10.1111/j.1540-6229.2007.00201.x.

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Bora, Ivani Mausumi, and Manoj Kumar. "Long Term Dynamics of Indian ADRs Market: The Case of Persistence and Irregular Cycles." Accounting and Finance Research 6, no. 2 (2017): 71. http://dx.doi.org/10.5430/afr.v6n2p71.

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The focus of this study is to understand the previously ignored return generating dynamics of American Depositary Receipts (ADR) markets. The main objective of this study is to investigate the nature of the return generating process of the Indian ADRs market. Specifically, the study addresses following interrelated research questions: Do returns series of Indian ADRs market exhibit random walk behavior or rather depict persistence and nonlinear dynamics? Is there any cyclicity in the returns series of Indian ADRs market? Rescaled Range (R/S) method on daily and weekly return series of Bank of

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Sehgal, Sanjay, and Sakshi Jain. "Long-term prior return patterns in stock and sector returns in India." Journal of Advances in Management Research 11, no. 2 (2014): 192–210. http://dx.doi.org/10.1108/jamr-02-2012-0002.

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Purpose – The purpose of this paper is to analyze long-term prior return patterns in stock returns for India. Design/methodology/approach – The methodology involves portfolio generation based on company characteristics and long-term prior return (24-60 months). The characteristic sorted portfolios are then regressed on risk factors using one factor (capital asset pricing model (CAPM)) and multi-factor model (Fama-French (FF) model and four factor model involving three FF factors and an additional sectoral momentum factor). Findings – After controlling for short-term momentum (up to 12 months)

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Fadlitama, Luthfie, and Wardatul Adawiyah. "THE EFFECT OF MERGERS AND ACQUISITIONS ON ABNORMAL RETURN: CASE STUDY OF 46 LISTED COMPANIES IN INDONESIA STOCK EX- CHANGE (IDX) FROM 2010-2016." Emerging Markets : Business and Management Studies Journal 5, no. 1 (2018): 36–48. http://dx.doi.org/10.33555/ijembm.v5i1.54.

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This research aims to analyze whether there is a significant difference of abnormal returns due to the occurrence of mergers and acquisitions activity in which affect the wealth value of the shareholders and to determine the return of the shareholders after mergers and acquisition proportion is announced. In order to calculate the abnormal returns, this research uses two different approach; market model and market adjusted modelEvent study methodology is used to determine the abnormal return using market model and market adjusted model over period 10 days before and 10 days after consummation

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Hiraoka, Toru. "Generation of Mottled Images Using Smoothing Filtering and Extension / Return Processing." Journal of the Institute of Industrial Applications Engineers 7, no. 4 (2019): 122–26. http://dx.doi.org/10.12792/jiiae.7.122.

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Carlson, Murray, David A. Chapman, Ron Kaniel, and Hong Yan. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model." Quarterly Journal of Finance 05, no. 02 (2015): 1550010. http://dx.doi.org/10.1142/s201013921550010x.

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We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The advantage of this approach, relative to the existing literature, is that the equilibrium model delineates the precise nature of the risk/return trade-off within an optimizing setting that endogenizes return predictability. In the experiments that we consider, the estimation issues are so severe that simple unconditional consumption and portfolio rules actu

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Perez-Liston, Daniel, Daniel Huerta-Sanchez, and Juan Gutierrez. "Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?" Journal of Emerging Market Finance 17, no. 2_suppl (2018): S185—S212. http://dx.doi.org/10.1177/0972652718777062.

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We examine the relationship between sentiment and Mexican stock market returns. Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns. Results also reveal a spillover of US sentiment on the return-generating process of the Mexican stock market that is distinct from domestic sentiment. This effect may be attributed to close economic ties and ease of capital flows between the two countries. Additionally, we find that rational sentiment and market returns are inversely related to the Peso/US dollar exchange rate. Our findings suggest that sen

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Udoka, Christopher, Barinyima Nkoi, and Felix E. Oparadike. "Comparative Analysis on Economic Viability of Independent Power Producing System in Nigeria." European Journal of Engineering Research and Science 4, no. 1 (2019): 75–80. http://dx.doi.org/10.24018/ejers.2019.4.1.1096.

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The aim of this research is to compare the economic benefits of various types of power generating technologies such as gas turbines, wind turbines and solar energy that is suitable for power producing plants in Nigeria. The study conducts economic assessment by developing a data-intensive spread-sheet-based model. The model estimates the unit cost of electricity generated by a 10MW capacity solar photovoltaic system (PV), Wind turbine and Gas Turbine. Comparison based on investment cost and capacity charge indicated that the levelized cost of electricity (LCOEsolar) by solar PV was found to be

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Gomes, Fábio Augusto Reis, and Vicente Cresto. "Avaliação do Desempenho dos Fundos Long-Short no Brasil." Brazilian Review of Finance 8, no. 4 (2010): 505. http://dx.doi.org/10.12660/rbfin.v8n4.2010.1641.

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Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, assessing whether customers of these products are buying just market returns (Beta), or if there is excess return (alpha) independent of the stock market. Analyzing a sample of 76 funds from January 2, 2001 to March 31, 2008, using daily and monthly data, we found evidence that a small number of funds are able to generate excess return. Besides,

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Baele, Lieven, Joost Driessen, Sebastian Ebert, Juan M. Londono, and Oliver G. Spalt. "Cumulative Prospect Theory, Option Returns, and the Variance Premium." Review of Financial Studies 32, no. 9 (2018): 3667–723. http://dx.doi.org/10.1093/rfs/hhy127.

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Abstract We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the otherwise puzzlingly low returns on both out-of-the-money put and out-of-the-money call options as well as the high observed variance premium. In a dynamic setting, probability weighting and time-varying equity return volatility combine to match the observed ti

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Nurfinda, Luvy, and Lintang Venusita. "Pengaruh Kinerja Keuangan terhadap Return Saham Perusahaan Property dan Real Estate." BISMA (Bisnis dan Manajemen) 6, no. 2 (2018): 89. http://dx.doi.org/10.26740/bisma.v6n2.p89-97.

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The indicators that often be used as an analysis tool for measuring financial performance are EPS, ROE, and NPM, that measure performance reflecting the company's ability to generate profits and returns on investment firms. Saturated sample method used in this study using a sample of seventeen companies listed in Indonesia Stock Exchange. Hypothesis testing was performed by using the classical assumption test and linear regression analysis.The results of this study showed that the variable of economic value added, earnings per share, and net profit margin had no significant effect on the stock

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Papanastasopoulos, Georgios A. "Bloated balance sheets and stock returns: Asymmetries between profit and loss firms." Economics and Business Letters 8, no. 1 (2019): 53. http://dx.doi.org/10.17811/ebl.8.1.2019.53-61.

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We study return predictability attributable to bloated balance sheets in European capital markets and find that the NOA anomaly is more severe across loss firms and is significantly attenuated across profit firms. A hedge trading strategy on NOA for loss firms generate large raw and abnormal returns that are almost three times higher than the respective returns for profit firms. Our evidence is more likely to be consistent with the hypothesis that low NOA firms may have superior returns relative to high NOA firms due to investors’ inability to make full use of information reported in financial

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McMillan, David G. "Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence." Studies in Economics and Finance 37, no. 3 (2020): 561–82. http://dx.doi.org/10.1108/sef-08-2019-0330.

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Purpose This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries. Design/methodology/approach The authors generate volatility and correlations using the realised volatility approach and implement a general vector autoregression approach to examine causality and spillovers. Findings While results confirm that same asset-cross country return correlations and spillovers increase over time, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial am

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Chatterjee, Chanchal, and Paromita Dutta. "Anomalous Price Behaviour around Open Market Stock Repurchase Announcements in India." Vikalpa: The Journal for Decision Makers 40, no. 4 (2015): 435–43. http://dx.doi.org/10.1177/0256090915611773.

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Executive SummaryThis article examines the impact of open market share repurchase announcements on stock returns in the Bombay Stock Exchange (BSE). The main objective is to examine whether share repurchase announcements under the open market route have any significant impact on the returns of the stocks traded in the BSE. The article covers the period from 2009 to 2013. For sample selection, two criteria were used: first, the firm should have been listed in the BSE for at least 28 trading days before the repurchase announcement date, and second, the firm should have all relevant data required

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Kim, Soo-Hyun. "The Effect of Operation and Market Value Efficiency on the Korean Stock Market." Journal of Derivatives and Quantitative Studies 23, no. 1 (2015): 29–40. http://dx.doi.org/10.1108/jdqs-01-2015-b0002.

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This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data Envelopment Analysis with independent outputs of sales and market value data. Sales efficiency measures the operational efficiency whereas market value efficiency measures the efficiency evaluated by the investors. Through our empirical analysis, it is found that low efficiency stocks in either measures tend to have higher future returns. However, if both efficiency measures are employed at the same time there exists a stro

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Marcu, Casiana, Florian Stătescu, and Nicoleta Iurist. "A GIS-Based Algorithm to Generate a Lidar Pit-Free Canopy Height Model." Present Environment and Sustainable Development 11, no. 2 (2017): 89–95. http://dx.doi.org/10.1515/pesd-2017-0027.

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Abstract Lidar has provided significant benefits for forest development and engineering operations and provides a good means to collect information on forest stands. A common analysis using LiDAR data computes the CHM as a difference between DSM and DTM, create a DTM from the ground returns and a DSM from the first returns and subtract the two rasters, but how exactly are generated the DTM and the DSM. Irregular height variations, called data pits are present in the CHM and appear when the first Lidar return is far below the canopy. The purpose of this study is an approach that computes the CH

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Horneff, Vanya, Raimond Maurer, and Olivia S. Mitchell. "How will persistent low expected returns shape household economic behavior?" Journal of Pension Economics and Finance 18, no. 04 (2018): 612–22. http://dx.doi.org/10.1017/s1474747218000355.

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AbstractMany believe that global capital markets will generate lower returns in the future versus the past. We examine how persistently lower real returns will reshape work, retirement, saving, and investment behavior of older persons using a calibrated dynamic life cycle model. In a low return regime, workers build up less wealth in their tax-qualified 401(k) accounts versus the past, claim social security benefits later, and work more. Moreover, the better-educated are more sensitive to real interest rate changes, while the least-educated alter their behavior less. Interestingly, the distrib

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Wardana, Guntur Kusuma, Tatang Ary Gumanti, and Elok Sri Utami. "PENGARUH KINERJA KEUANGAN TERHADAP RETURN SAHAM PADA PERUSAHAAN KELOMPOK JAKARTA ISLAMIC INDEX." IQTISHODUNA 1, no. 1 (2016): 36–44. http://dx.doi.org/10.18860/iq.v1i1.3700.

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The purpose of this research is to analyse the influence of financial performance on returns a stockslisted in Jakarta Islamic Index. The populations in this research are all companies listed on the Jakarta IslamicIndex (JII) 2012 to 2013. The data were analysed by using method criteria a purposive sampling generate a totalof 20 companies. Multiple regression analysis results show that Price Earnings Ratio effect CumulativeAbnormal Returns, while the Net Profit Margin, Price to Book Value and Current Ratio do not influence onCumulative Abnormal Return.

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Yoon, Pyung Sig. "Price Adjustments on Ex-Right Dates in Cases of Right Offerings." Korean Journal of Financial Studies 49, no. 3 (2020): 415–45. http://dx.doi.org/10.26845/kjfs.2020.06.49.3.415.

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Using a sample of 618 right offerings made between 2004 and 2016, this study analyzes price adjustments on ex-right dates. The major results are as follows. First, as the ratio of reference price divided by the ex-right opening price is calculated as 0.9613, price adjustments are significantly less than the value of preemptive rights. We also document additional price decreases after ex-right dates. The smaller price drops on ex-right dates and delayed adjustments are evidence of market inefficiency. Second, the listing of preemptive rights certificates makes price adjustments on ex-right date

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Treloar, Peter, and C. Michael Hall. "Tasting fees and the youth market." Revista Brasileira de Pesquisa em Turismo 2, no. 2 (2008): 113–27. http://dx.doi.org/10.7784/rbtur.v2i2.105.

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Many wineries in Australia and New Zealand are seeking strategies to continue to develop in a highly competitive marketplace. One such strategy is via the development of wine tourism. Although there is a significant amount of literature of the relative advantages and disadvantages of wine tourism for small wineries, particularly with respect to its educational and market development function, there is very little research available on how wine tourism is perceived by the next generation of wine drinkers – the youth market. The purpose of this study is therefore to gain a better understanding o

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Juárez-Luna, David. "Power generation portfolios: A parametric formulation of the efficient frontier." Revista Mexicana de Economía y Finanzas 16, no. 1 (2020): 1–29. http://dx.doi.org/10.21919/10.21919/remef.v16i1.447.

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This paper aims to provide a methodology to construct parametrically the Efficient Frontier (EF) of Power Generation Portfolio (PGP). The methodology works as follows. First, we obtain two sets of the shares of the assets: one that guarantee the maximal expected return on the PGP; and another that guarantee the minimal risk of the PGP. The EF corresponds to the parametric equation of the risk-return profiles from the minimal risk to the maximal expected return of the PGP. We apply our methodology to replicate the results from three existing papers. The present methodology allows to and differe

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Juárez-Luna, David. "Power generation portfolios: A parametric formulation of the efficient frontier." Revista Mexicana de Economía y Finanzas 16, no. 1 (2020): 1–29. http://dx.doi.org/10.21919/remef.v16i1.447.

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This paper aims to provide a methodology to construct parametrically the Efficient Frontier (EF) of Power Generation Portfolio (PGP). The methodology works as follows. First, we obtain two sets of the shares of the assets: one that guarantee the maximal expected return on the PGP; and another that guarantee the minimal risk of the PGP. The EF corresponds to the parametric equation of the risk-return profiles from the minimal risk to the maximal expected return of the PGP. We apply our methodology to replicate the results from three existing papers. The present methodology allows to and differe

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ABUELFADL, MOUSTAFA. "INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING." Annals of Financial Economics 12, no. 01 (2017): 1750001. http://dx.doi.org/10.1142/s2010495217500014.

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This study tests whether individual foreign exchange (Forex) investors can predict future returns, time the market and generate alpha after transaction costs. Using a sample of 1,231 Forex trading accounts and 72,072 trades, the results show that individual Forex investors can predict future returns up to eight days after trade execution, even after controlling for Volatility. The results of return predictability are significant because they support the idea that linear independence is rejected as well as provide empirical evidence that private information is available in the foreign exchange

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Lang, Stephan, and Wolfgang Schaefers. "Examining the sentiment-return relationship in European real estate stock markets." Journal of European Real Estate Research 8, no. 1 (2015): 24–45. http://dx.doi.org/10.1108/jerer-10-2014-0036.

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Purpose – Recent studies in the field of behavioral finance have highlighted the importance of investor sentiment in the return-generating process for general equities. By employing an asset pricing framework, this paper aims to evaluate the performance of European real estate equities, based on their degree of sentiment sensitivity. Design/methodology/approach – Using a pan-European data set, we classify all real estate equities according to their sentiment sensitivity, which is measured relative to the Economic Sentiment Indicator (ESI) of the European Commission. Based on their individual s

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Wang, Tiandu, and Qian Sun. "Why investors use technical analysis? Information discovery versus herding behavior." China Finance Review International 5, no. 1 (2015): 53–68. http://dx.doi.org/10.1108/cfri-08-2014-0033.

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Purpose – The purpose of this paper is to establish two competitive models to explain why investors use technical analysis (TA). Design/methodology/approach – Information Discovery Model suggests that technical traders are able to infer non-public information; Herding Behavior Model argues that TA is a kind of irrational herding behavior that can make profit when other noise traders exist. Findings – The empirical results from Chinese stock market show that some technical trading rules generate significant excess returns. Research limitations/implications – The empirical results from Chinese s

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Glensk, Barbara, and Reinhard Madlener. "Fuzzy Portfolio Optimization of Power Generation Assets." Energies 11, no. 11 (2018): 3043. http://dx.doi.org/10.3390/en11113043.

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Fuzzy theory is proposed as an alternative to the probabilistic approach for assessing portfolios of power plants, in order to capture the complex reality of decision-making processes. This paper presents different fuzzy portfolio selection models, where the rate of returns as well as the investor’s aspiration levels of portfolio return and risk are regarded as fuzzy variables. Furthermore, portfolio risk is defined as a downside risk, which is why a semi-mean-absolute deviation portfolio selection model is introduced. Finally, as an illustration, the models presented are applied to a selectio

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Anees, Faisal, Shujahat Haider Hashmi, and Muhammad Asad. "Testing Technical Trading Rules: Evidence from SAARC Countries." New Challenges in Accounting and Finance 1 (August 2018): 1–36. http://dx.doi.org/10.32038/ncaf.2018.01.01.

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Technical analysis is widely accepted tool in professional place which is frequently used for investment decisions. Technical analysis beliefs that there exist patterns and trends and by capturing trends and patterns one can bless with above average profits. We test two technical strategies: Moving averages and Trading Range to question, either these techniques can yield profitable returns with the help of historical data. Representative daily indices of Four countries namely Pakistan, India, Srilanka, Bangladesh ranging from 1997 to 2011 have been examined. In case of Moving Average Rule, bot

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Wang, Zhigang, Yong Zeng, Heping Pan, and Ping Li. "PREDICTABILITY OF MOVING AVERAGE RULES AND NONLINEAR PROPERTIES OF STOCK RETURNS: EVIDENCE FROM THE CHINA STOCK MARKET." New Mathematics and Natural Computation 07, no. 02 (2011): 267–79. http://dx.doi.org/10.1142/s1793005711001925.

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This paper investigates the predictability of moving average rules for the China stock market. We find that buy signals generate higher returns and less volatility, while returns following sell signals are negative and more volatile. Moreover, the bootstrapping results indicate that the asymmetrical patterns of return and volatility between buy and sell signals cannot be explained by four popular linear models of returns, especially the phenomenon of negative sell returns. We then test the nonlinear dynamic process of returns. Although the existing artificial neural network (ANN) model can rep

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Choi, Seung Mo, and Hwagyun Kim. "Momentum Effect as Part of a Market Equilibrium." Journal of Financial and Quantitative Analysis 49, no. 1 (2014): 107–30. http://dx.doi.org/10.1017/s0022109014000234.

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AbstractDoes the momentum effect arise naturally from the determination of asset prices in market equilibrium? We calibrate a standard endowment model of multiple assets under recursive preferences. The momentum effect partly comes from investors’ aversion to consumption risks. An unexpected dividend increase generates a positive return and increases the asset’s proportion of consumption, raising the correlation between its future dividend growth and consumption growth. This is compensated by a higher expected return, generating the momentum effect. The cross-sectional difference in expected r

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Chen, Xiaoyue, Bin Li, and Andrew C. Worthington. "Higher moments and US industry returns: realized skewness and kurtosis." Review of Accounting and Finance 20, no. 1 (2021): 1–22. http://dx.doi.org/10.1108/raf-06-2020-0171.

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Purpose The purpose of this paper is to examine the relationships between the higher moments of returns (realized skewness and kurtosis) and subsequent returns at the industry level, with a focus on both empirical predictability and practical application via trading strategies. Design/methodology/approach Daily returns for 48 US industries over the period 1970–2019 from Kenneth French’s data library are used to calculate the higher moments and to construct short- and medium-term single-sort trading strategies. The analysis adjusts returns for common risk factors (market, size, value, investmen

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Maheshwari, Supriya, and Raj S. Dhankar. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market." Global Business Review 18, no. 4 (2017): 974–92. http://dx.doi.org/10.1177/0972150917692401.

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This article investigates the relationship of trading volume with the profitability of momentum and long-run contrarian strategies for the Indian stock market. The result of the study provides support to Lee and Swaminathan (2000, The Journal of Finance, 55(5), 2017–2069) argument that trading volume predicts both the magnitude as well as the persistence of momentum in the long run. The portfolio of heavily traded securities earned higher momentum and contrarian returns as compared to low-trading securities portfolio in the Indian stock market. Hence, returns from both momentum and contrarian

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Yano, Hajime. "Future Small Body Exploration after the Investigation of Asteroid Itokawa by Remote Sensing and Returned Sample Analyses." Proceedings of the International Astronomical Union 10, H16 (2012): 152. http://dx.doi.org/10.1017/s1743921314005080.

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AbstractThis paper outlines current achievements of the Hayabusa mission and future small body missions with an emphasis on scientific prospects by both remote sensing in the vicinity of target objects and retuned sample analyses of them. First, the Hayabusa spacecraft aimed as technology demonstration for the worldfs first deep space round trip and sample return from an asteroid and it was launched via the M-V rocket in May of 2003. Soon after the touchdown on Asteroid Itokawa, a sub-km, S-type NEO in November 2005, the spacecraft lost its attitude control due to the leak of RCS propellant; t

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Bejaoui, Azza, Salim Ben Sassi, and Jihed Majdoub. "Market dynamics, cyclical patterns and market states." Studies in Economics and Finance 37, no. 4 (2019): 585–604. http://dx.doi.org/10.1108/sef-08-2019-0302.

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Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns. Findings All the cryptocurrency markets show regime switching in the return-generating

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