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Ramaiah Ramasamy, Rajamohan, and Sathish Pachiyappan. "Holding period for positive return from Indian mutual funds." Investment Management and Financial Innovations 16, no. 1 (April 2, 2019): 346–64. http://dx.doi.org/10.21511/imfi.16(1).2019.27.
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In India, households predominantly prefer to invest their surplus in financial securities, which provide stable return irrespective of whether they beat inflation or help in creating wealth. However, financial planners advise their clients to invest their surplus for long term in risky assets such as mutual funds to generate inflation beating returns. But when households ask for the meaning of long term in a definite number, it varies among the financial advisors. Hence, the study made an attempt to answer this question by calculating the minimum time duration required to generate a minimum positive return for two indices (NIFTY 50, S&P BSE SENSEX) and 6 mutual fund schemes for a period of 23 years and the same two indices (NIFTY 50, S&P BSE SENSEX) and 20 mutual fund schemes for a period of 12 years and found out that the time horizon or the long term to ensure minimum positive return ranges from 5 years to 9 years depending up on the type of fund or the level of risk associated with the mutual fund schemes.
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Brooks, Robert, and Kate Upton. "Bond Portfolio Holding Period Return Decomposition." Journal of Investing 26, no. 2 (May 31, 2017): 78–90. http://dx.doi.org/10.3905/joi.2017.26.2.078.
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Lubis, Bintang Lakitang, Ahmad Rifai, and M. Iqbal Harori. "PENGARUH MARKET VALUE, VARIANCE RETURN, DAN VOLUME PERDAGANGAN TERHADAP PERIODE KEPEMILIKAN SAHAM (HOLDING PERIOD)." Jurnal Perspektif Bisnis 3, no. 1 (May 31, 2020): 11–20. http://dx.doi.org/10.23960/jpb.v3i1.12.
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The purpose of this study is to determine the effect of market value, variance return and trading volume on the holding period. The sampling technique in this study used a purposive sampling method and obtained as many as 6 companies listed in the IDXBUMN20 index. The data analysis technique used multiple regression panel data models and using the analysis tool Eviews 9. Based on the t test (partial) shows that the market value, variance return and trading volume has significantly effect and negative relationship on holding period in a partial way. Based on the F test (simultaneous) shows that the market value, variance return and trading volume have significantly effect on the holding period.
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Ardana, Yudhistira, Tiara Novia Fatrin, and Wulandari Wulandari. "Faktor-faktor yang Mempengaruhi Holding Period Saham." Benefit: Jurnal Manajemen dan Bisnis 3, no. 1 (July 16, 2018): 89. http://dx.doi.org/10.23917/benefit.v3i1.6117.
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Stocks are an investment that many investors choose because they are able to provide an attractive rate of return. Holding period is a period that indicates the length of this study was to determine the factors that affected the holding period of shares partially on the companies listed into to LQ45 index. This study used a descriptive method, with the purposive sampling technique and it obtained 21 companies as the research sample. The result of the research showed that the market value and the trading volume were partially significant to the holding period of stock with and sig value was smaller than 0,05 (sig < 0,05) that was 0,000 and 0,005, while the bid-ask spread, variance return, and dividend payout ratio partially had no significant effect on the holding period of stock with the value of and the sig value was greater than 0,05 (sig > 0,05) that was equal to 0,414, 0,706, and 0,673. The value of the adjusted r square (R²) of 0,381 or 38,1% indicated the the bid-ask spread, the market value, the trading volume, the variance return, the dividend payout ratio could explain the holding period of 38,1%, while the remaining 61,9% was explained by other variables outside the study.
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Anderson, Gary A., and Joel R. Barber. "PROJECT HOLDING-PERIOD RATE OF RETURN AND THE MIRR." Journal of Business Finance & Accounting 21, no. 4 (June 1994): 613–18. http://dx.doi.org/10.1111/j.1468-5957.1994.tb00340.x.
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Gilmer, R. H. "Risk and return: A question of the holding period." Journal of Economics and Business 40, no. 2 (May 1988): 129–37. http://dx.doi.org/10.1016/0148-6195(88)90012-4.
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Abraham, Rebecca, Judith Harris, and Joel Auerbach. "IPO performance at announcement and in the aftermarket." Journal of Economic Studies 43, no. 4 (September 12, 2016): 574–86. http://dx.doi.org/10.1108/jes-04-2015-0062.
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Purpose The purpose of this paper is to investigate IPO performance. At announcement, the impact of purchases by informed traders on stock returns and uninformed traders on volatility were assessed. In the post-IPO period, returns were expected to be driven by firms with high returns on equity and the implementation of growth strategies. Return on equity was evaluated further in terms of whether it had a direct effect or was instrumented by volatility, cash flow, profit margin or revenue growth. Design/methodology/approach All IPOs announced in 2009-2014 were used. Measures were created to demarcate growth firms from risk-averse firms and firms with highly volatile cash flows from their counterparts with cash flows of lesser volatility. Event studies were used to measure abnormal return and abnormal volume, while multiple regressions tested the influence of predictors on abnormal returns, volatility and holding period return. Instruments of return on equity were also assessed. Findings The offer volume of informed traders significantly explained announcement-day returns, while the offer volume of uninformed traders explained the increase in volatility of IPO stock. The ability to capitalize on growth opportunities and increase shareholder wealth through higher return on equity significantly predicted holding period returns. Return on equity, was explained by volatility, cash flow to assets and profit margin. Originality/value The data are highly current with 2014 IPOs being used. The paper clearly distinguishes between fleeting announcement-day returns driven by informed traders and long-term holding period returns in a departure from the prevailing practice of measuring long-term post-IPO performance with abnormal returns. Finally, the paper creates subjective measures of volatility and growth strategies.
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Azaria, Ainun, and Sylva Alif Rusmita. "Identifikasi Holding Period Bank Umum Syariah di Bursa Efek Indonesia." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 8 (January 17, 2020): 1733. http://dx.doi.org/10.20473/vol6iss20198pp1733-1740.
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This study aims to determine the effect of bid-ask spread, stock return and trading volume on the holding period of sharia commercial bank shares. This study uses a purposive sampling method, and from the specified criteria there were 3 Sharia Commercial Banks obtained, that meet the criteria and can be used as samples. The data used is in the form of daily reports obtained from the IDX website. This study uses a quantitative approach with descriptive analysis analysis techniques. The results of this study indicate that the stock holding period of Islamic Commercial Banks can be seen based on the bid-ask spread, stock return and trading volume.Keywords: Holding Period Saham, Bid-Ask Spread, Return Saham, Volume Perdagangan
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Garnia, Erna, Ina Primiana, Rachmat Sudarsono, and Dian Masyita. "On the Relationships Among Expected Return, Volume, Holding Period, and Bid-Ask Spread in Indonesia Stock Market." Advanced Science Letters 21, no. 4 (April 1, 2015): 589–91. http://dx.doi.org/10.1166/asl.2015.5904.
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The relationships among expected return and various liquidity measures are first examined theoretically in this paper. Under constant holding period, it is shown that the expected return is proportional to the bid-ask spread. Under constant expected return, the holding period is proportional to the bid-ask spread and the volume is inversely proportional to the bid-ask spread. Under constant bid-ask spread, the expected return is inversely proportional to the holding period and is also proportional to the volume. Based on five years data from Indonesia Stock Market, the previous relationships are examined empirically.
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Santoso, Eko Budi. "ANALISIS PENGARUH TRANSACTION COST TERHADAP HOLDING PERIOD SAHAM BIASA." Jurnal Riset Akuntansi dan Keuangan 4, no. 2 (August 1, 2008): 116. http://dx.doi.org/10.21460/jrak.2008.42.147.
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The moin pwpose of this sndy is to test the effect of transaction cost totntdins period of common stock This srudy iwestigates whether investorswith longer (shorter) hwestment time horizon lold common stockswith higher (owe) bid-qsk spred as a prory of tronsaction cost. Besides,thk study also added two independent voiables such as marketvalue and variance ofrefirn-The statistical method ued in this study is two-stage least square regressionsbecause the itnestorb tnlding period md the bid-ask spreadfor each stoch are simultoteously determined. The result shows that bidask spred related positivefu ord significott to holding period. The bidask spread, morket yalue, and varianee of return have a significant Kqruords: Trqtsaction Cost, Bid-Ask Spread, Holding Period, Market Value, Variance of Return
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Boangmanalu, Andi Ivand Markemo, and Puput Tri Komalasari. "PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN." Jurnal Manajemen Indonesia 15, no. 2 (April 14, 2017): 115. http://dx.doi.org/10.25124/jmi.v15i2.710.
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The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio composition. Optimal portfolio is not only determined by the covariance between securities in the portfolio, but also by holding period. The aims of this study is to answer two research questions. The first research question is how long the optimal holding period that was resulted from trade-off between risk and return. This study using target return that are determined hypothetically as well as the risk criteria are divided into 3 namely the mean variance, semivarians and expected loss. Target returns are simulated in this study were divided into 3 criteria namely aggressive, moderate and conservative. The second research question is whether there are differences among the various portfolio performance based on criteria of risk and target return. Portfolio performance is measured by using excess return and the Sharpe index. In this study, stocks covered in LQ-45 index are used to construct efficient portoflio. Monthly price series for company and LQ-45 index for February 2004 to September 2008 are collected. The analysis found that optimal holing period is ranges between 1-5 months. Holding period of a portfolio that more than 5 months will provide risk and return trade-off less favorable. In addition this study found that there was no significant differences in portfolio performance based on overall scenarios
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Syifa, Karoomatus, and Aris Susetyo. "Pengaruh Bid-Ask Spread, Market Value dan Risk of Return Terhadap Holding Period Saham." Jurnal Ilmiah Mahasiswa Manajemen, Bisnis dan Akuntansi (JIMMBA) 2, no. 3 (June 30, 2020): 440–49. http://dx.doi.org/10.32639/jimmba.v2i3.489.
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Tujuan penelitian ini untuk mengetahui pengaruh bid-ask spread, market value dan risk of return terhadap holding period saham secara parsial maupun simultan pada saham perusahaan indeks JII tahun 2016-2018. Sumber data dalam penelitian adalah data sekunder berbentuk data harian yang diperoleh di www.idx.co.id dan Yahoo Finance. Populasi yang digunakan dalam penelitian ini adalah perusahaan yang terdaftar dalam Indeks JII tahun 2016-2018 yang berjumlah 30 perusahaan. Teknik pengambilan sampel menggunakan metode purposive sampling yang menghasilkan jumlah sampel sebanyak 17 perusahaan. Tahun 2016 terdapat 246 hari perdagangan, tahun 2017 terdapat 238 hari perdagangan dan tahun 2018 terdapat 241 hari perdagangan sehingga membentuk data panel sebanyak 12.325 sampel. Teknik analisis yang digunakan adalah analisis regresi data panel: Fixed Effect Model dengan bantuan aplikasi software Eviews 10. Uji hipotesis dalam penelitian ini menggunakan uji t-statistic dan uji F-statistic dengan tingkat signifikansi 5%. Hasil penelitian menunjukkan bahwa: 1) bid-ask spread memiliki pengaruh negatif dan signifikan terhadap holding period saham, 2) market value memiliki pengaruh positif dan signifikan terhadap holding period saham, 3) risk of return memiliki pengaruh negatif dan signifikan terhadap holding period saham, 4) bid-ask spread, market value dan risk of return secara simultan memiliki pengaruh terhadap holding period saham. Holding period saham dapat dijelaskan oleh pengaruh variasi variabel independen bid-ask spread, market value dan variance return sebesar 99,91 %, sedangkan 0,09% dipengaruhi oleh variabel lain diluar model penelitian.
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Spahr, Ronald W., and Robert G. Schwebach. "The Effect of Serial Dependence on Multiperiod Holding Period Return Performance." Financial Review 36, no. 4 (November 2001): 49–74. http://dx.doi.org/10.1111/j.1540-6288.2001.tb00029.x.
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Bulkley, George, and Vivekanand Nawosah. "Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?" Journal of Financial and Quantitative Analysis 44, no. 4 (August 2009): 777–94. http://dx.doi.org/10.1017/s0022109009990111.
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AbstractIt has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.
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Monalisa, Yani. "Analisis Holding Period dan Time Diversification pada Saham-saham LQ45 Periode Januari 2012-Desember 2017." Journal of Accounting, Finance, Taxation, and Auditing (JAFTA) 1, no. 1 (April 22, 2019): 44–57. http://dx.doi.org/10.28932/jafta.v1i1.1527.
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Penelitian ini bertujuan untuk menjelaskan mengenai holding period yang dapat memaksimalkan keuntungan skaligus meminimalkan resiko.Holding period yang digunakan bervariasi dari 5 hari kerja, 10 hari kerja dan 20 hari kerja, 100 hari kerja, 200 hari kerja sampai 300 hari kerja. Selain itu, penilian ini diharapkan dapat memberikan gambaran tentang kekeliruan dari time diversification.Dari hasil penelitian, dengan menggunakan historical data berupa harga penutupan saham periode Januari 2012 - Desember 2017, holding period makin panjang akan menghasilkan CV makin rendah. Sedangkan time diversification menurut Bodie, Kane dan Marcus terbukti benar, bahwa dalam jangka panjang, resiko akan bertambah namun tingkat pengembalian (return) akan menjadi tidak pasti. Ini terbukti dengan makin lebarnya perbedaan antara kisaran harga teoritikal dengan kisaran harga aktual, seiring dengan makin lamanya holding period.
Kata Kunci : Kualitas Laba, Leverage, Likuiditas, Ukuran Perusahaan
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Adhikari, Ramesh, Kyle J. Putnam, and Humnath Panta. "Robust Optimization-Based Commodity Portfolio Performance." International Journal of Financial Studies 8, no. 3 (September 5, 2020): 54. http://dx.doi.org/10.3390/ijfs8030054.
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This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and conditional value-at-risk optimization techniques are used to construct the robust commodity futures portfolios. This paper documents the benefits of applying a sophisticated, robust optimization technique to construct commodity futures portfolios. We find that a 12-month lookback period contains the most useful information in constructing optimization-based portfolios, and a 1-month holding period yields the highest returns among all the holding periods examined in the paper. We also find that an optimized conditional value-at-risk portfolio using a 12-month lookback period outperforms an optimized mean-variance portfolio using the same lookback period. Our findings highlight the advantages of using robust optimization for portfolio formation in the presence of return uncertainty in the commodity futures markets. The results also highlight the practical importance of choosing the appropriate lookback and holding period when using robust optimization in the commodity portfolio formation process.
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Fathani, Nurul Fathani, and Ulfi Kartika Oktaviana. "DETERMINAN HOLDING PERIOD JAKARTA ISLAMIC INDEX." El Dinar 6, no. 2 (November 1, 2018): 101. http://dx.doi.org/10.18860/ed.v6i2.5749.
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<em>Market of financial capital is a good media to distribute the finance from the investors to the companies that need it. The investors give an investation to get a profit in the shape of capital gain or dividend. They can optimize the profit by deciding the golden time to buy or sell the investation. One of the ways to decide when the golden time comes is by looking at the holding period of the investation. A high holding period is showing a good condition of the investation because the investors will hold it when they get the profit optimally. That is also done in the contrary. This research is done to know the impact of market value, bid ask spread, and dividend payout ratio to the holding period. The samples of this research are all of the companies in Jakarta Islamic Index (JII) around 2014-2016 in sum thirteen in which the samples are taken by using purposive sampling. The data is a secular data that is got by the daily and annual report from the research object. Then, the data analysis process that is used is a regressive analysis of panel data with Eviews 9 program. The result of this research shows that, simultaneously, the variable of market value, bid ask spread, and dividend payout ratio is significantly influencing the holding period. Partially, the variable of dividend payout ratio has a positive influence to the holding period significantly, while for the variable of market value, variant return, and bid ask spread do not have a significant influence to the holding period.</em>
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Sanderson, Rohnn, and Nancy Lumpkin-Sowers. "Buy and Hold in the New Age of Stock Market Volatility: A Story about ETFs." International Journal of Financial Studies 6, no. 3 (September 6, 2018): 79. http://dx.doi.org/10.3390/ijfs6030079.
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The buy and hold stock market strategy, which gained tremendous popularity in the 1970s, may no longer be such a profitable method for accumulating wealth for the average investor in the new millennium. This paper investigates the relationship between compound return and holding period length to see how long an Exchange Traded Fund (ETF) investment must be held before a positive return on principal is 100% likely. Because the ETF is a relatively new investment vehicle that could be considered particularly well-suited to the requirements of the buy and hold strategy, we begin our investigation here. We find that the compound returns earned over a rolling holding period are much more volatile than one might assume given historic rules of thumb for average return expectations. Using monthly return data for all listed NASDAQ ETFs between their date of inception and 2015, we find it takes ten years for the average probability of a gain on principal to be over 95 percent.
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Yunita, Irni, Marwa Dewi Ahdiyati Salim, and Hendratno Hendratno. "The Effect of Variance Return, Market Value, and Dividend Payout Ratio on Holding Period of Shares (Case Study at the Companies included in LQ-45 Index Year 2012-2018)." Jurnal Manajemen Indonesia 20, no. 3 (December 28, 2020): 216. http://dx.doi.org/10.25124/jmi.v20i3.3518.
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The purpose of this research is to investigate the effect of variance return, market value, and Dividend Payout Ratio (DPR) on holding period of shares of the companies listed in LQ-45 Index period 2012-2018. The population of the study were the companies listed in LQ-45 Index period 2012-2018. The sampling technique used in the study was purposive sampling. Using the technique, 26 companies were obtained. The analysis method used was panel data regression analysis. The result of study showed that variance return, market value, and Dividend Payout Ratio (DPR) simultaneously had significant effect on holding period of shares. Partially, variance return had significant negative effect on holding period of shares. Market value and Dividend Payout Ratio (DPR) had positive and significant effect on holding period of shares. Based on the result of study, investors who would like invest could pay attention to the risks they would have. If investors intended to maintain their shares in long term, they would need to invest in companies that had low risks. The risks were reflected by the value of variance return. In addition, if investors intend to maintain their shares for a long term, they will need to make investment in a company that has a bigger size. The company size is reflected from the value of market value. Then, if investors intend to maintain their shares for a long term, they will need to make investment in a company that give a large dividend. So, investors will get more profits from the companies.
Keywords—variance return; market value; Dividend Payout Ratio (DPR); holding period
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Khataybeh, Mohammad A., Mohamad Abdulaziz, and Zyad Marashdeh. "Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets." Applied Economics Quarterly: Volume 65, Issue 2 65, no. 2 (June 1, 2019): 115–37. http://dx.doi.org/10.3790/aeq.65.2.115.
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Abstract This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized returns in most of the sample period. However, when adjusting for negative market premiums, the results show a significant and consistent relationship for all the testing periods and samples. However, a guaranteed reward for holding extra risk occurred only in the period 2001 –2008, which suggests an assurance of positive risk-return tradeoff during bull markets. JEL Classifications: G11, G12, G15, C21 Asset Pricing, Emerging Markets, Conditional Relationship, Beta, Market Premium
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Dumont De Chassart, Marc, Colin Firer, Wendy Grantham, Simon Hill, Mark Pryce, and Ian Rudden. "Market timing using derivatives on the Johannesburg Stock Exchange during bear periods." South African Journal of Business Management 31, no. 4 (December 31, 2000): 149–55. http://dx.doi.org/10.4102/sajbm.v31i4.746.
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The objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timers appear to do better under bullish rather than bearish markets. However, in a bear period, substantially lower predictive accuracies were needed to beat a buy and hold strategy when timing strategies using call options and holding cash (bull timing) were used compared to the strategy of holding the market and buying puts (bear timing) ahead of anticipated poor periods. Finally both the strategies of holding cash and buying a call in every period (market speculation) as well as of holding the market and buying a put in every period (portfolio insurance) out-performed a buy and hold strategy.
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Tsalikis, George, and Simeon Papadopoulos. "Assessing the performance of American and European Leveraged Exchange Traded Funds." Investment Management and Financial Innovations 15, no. 2 (May 24, 2018): 165–82. http://dx.doi.org/10.21511/imfi.15(2).2018.15.
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Leveraged Exchange Traded Funds (ETFs) (LETFs) are a recent and highly successful financial innovation; yet, investors and several studies criticized them for not performing as advertised, especially in the long term. Τhis paper discusses their unique characteristics and their path-dependent price dynamics, which may result in unexpected returns. Furthermore, the authors evaluate the performance of a large sample of European and American leveraged ETFs since each fund’s inception and show that they perform as intended for daily holding periods. Leveraged ETFs are also successful in delivering the promised performance over holding periods of up to one week, their performance starts to deviate when the holding period increases to one month. Empirical evidence suggests that bear (short) ETFs deviate from their target return more quickly than their bull (long) counterparts as the holding period lengthens. A possible explanation for this is that transaction costs, which are related to daily re-balancing activity, are higher for bear funds. When comparing the daily performance of European vs American funds, the authors find them both to be equally efficient in replicating their benchmarks, although European leveraged ETFs are much smaller in their Assets Under Management (AUM) compared to US LETFs.
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Chung, Jai-Woong. "A Study on the Relationship between Underwriters and Institutional Investors in IPO : Focus on Holding Period and Rate of Return in Holding Period." Korean Review of Corporation Management 11, no. 1 (February 29, 2020): 51–70. http://dx.doi.org/10.20434/kricm.2020.02.11.1.51.
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Islamiah, Rima. "Determinants of the Industrial Manufacturing Stock’s Holding Period." Journal of Islamic Economic Laws 1, no. 1 (July 31, 2018): 99–125. http://dx.doi.org/10.23917/jisel.v1i1.6357.
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This study aims to identify the effect of Market Value (MV), Return on Asset (ROA), Earning per Share (EPS) and Bid-Ask Spread (BAS) over the holding period of manufacturing companies listed in Jakarta Islamic Index (JII). The data used here is period between 2014-2016. This research is a quantitative research. The data used in this research are the outstandingnumber of shares, the volume of stock transactions, closing price, ROA, and EPS. The technique for data analysis which will be used in this research is panel data regression test using REM model. The results of this study show that: 1). Market value have a significant positive effect on the manufacturing company stock’s holding period, which is shown by the value of sig t 0,0075. 2). ROA has no significant effect on on the manufacturing company stock’s holding period, which is shown by the value of sig t 0.1269. 3). EPS did not significantly affect the holding period of the manufacturing company's shares which was shown by the sig t value 0.7358. 4). The variable of Bid-Ask Spread does not significantly affect the holding period of the manufacturing company's stock which is shown by the value of sig t 0.1031. 5). MV, ROA, EPS, BAS according to test of model existence / F test is the existing model used with the value of F statistics 0.000397. 5). The value of Adjusted R2 of 19.85% indicates that variations in the variable of Holding Period can be explained by independent variables, and the remaining 80.65% of the variable of Holding Period are explained by other variables outside the research model.
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Schaub, Mark. "A note on the long-term performance of Korean ADRs." Managerial Finance 44, no. 1 (January 8, 2018): 86–91. http://dx.doi.org/10.1108/mf-03-2016-0072.
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Purpose The purpose of this paper is to examine how Korean firm American Depository Receipts (ADRs) performed vs a US index and an Asia Pacific regional index. ADRs have been known to help cause-emerging economies become more developed and foreign exchange markets become more stable. Design/methodology/approach The study utilizes standard ADR/IPO excess return methodology and presents returns on a month-by-month and cumulative basis for a three-year holding period beginning with the day of listing. Excess holding period returns are also provided. Findings The Korean firm ADRs trading on the NASDAQ underperformed both the US index and the regional Asia Pacific index for the first three years of trading. However, the Korean ADRs listed on the NYSE outperformed both the US index and the Asia Pacific index for the three-year holding period. Originality/value This paper shows how including equities of Korean firms traded in US markets in a stock portfolio helps to provide international diversification benefits. Solid performance vs market indexes may make subsequent and new issues from Korea more attractive in US equity markets.
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Zahoor, Musawwar, Muhammad Bilal Saeed, and Shujahat Haider Hashmi. "Determinants of Trading Volume in Karachi Stock Market." Jinnah Business Review 5, no. 2 (July 1, 2017): 61–68. http://dx.doi.org/10.53369/ixcl3369.
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This study aimed to investigate the determinants of trading volume. For this purpose a sample of fifty firms listed at KSE had been considered. 50 firms based on capitalization were selected from non-financial sector covering a time period from 2005 to 2014. Descriptive statistics, Variance inflation factor, and panel data estimation model have been employed for the purpose of analysis. The findings revealed that determinants have significant effect on trading volume. It has been observed that abnormal return, volatility (systematic & residual risk), size, institutional holding, dividend yield, positive returns, and negative returns have positive effect on trading volume, while institutional holding has no effect on trading volume.
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Obeidat, Mohammed Ibrahim Sultan. "Inventory conversion period and profitability relationship of the listed pharmaceutical firms of Jordan." Accounting 7, no. 7 (2021): 1731–40. http://dx.doi.org/10.5267/j.ac.2021.4.024.
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The study objects for determining whether or not a relationship exists between inventory management of the listed pharmaceutical firms at Amman Stock Exchange, and the profitability of these firms, and whether or not inventory management affects firm profitability. Only three pharmaceutical firms were found listed at Amman Stock Exchange by the end of 2020, and therefore, the annual data of the three firms along the period 2009-2019 were collected and used in the analysis and hypothesis testing. Inventory turnover and average inventory holding period were used as indicators for inventory management at a reciprocal form, whereas, return on assets was used as a measure of firm profitability. Using the Pearson correlation method, the analysis and hypothesis testing demonstrated that a significant positive relationship exists between inventory turnover and return on assets, and a negative significant relationship exists between average inventory holding period and return on assets. Moreover, using the ordinary least square method, the study shows that inventory management has a positive significant effect on firm profitability. More studies regarding inventory management and firm profitability relationships, are recommended to be performed on other manufacturing industries than pharmaceutical firms.
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Ganguli, Santanu K. "Excessive Corporate Liquidity and Stock Return: Evidence from the Indian Business Environment." Global Business Review 20, no. 4 (July 23, 2019): 946–61. http://dx.doi.org/10.1177/0972150919845238.
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The article examines the determinants, financial characteristics and the stock returns of Indian firms which held excessive liquidity during the post-meltdown period of 2008–2012 in the backdrop of an uncertain business environment. The research design is essentially based on a model developed by Opler, Pinkowitz, Stulz, and Williamson (1999) adjusted for variable specification necessitated by Indian conditions and data availability. The model is used to identify the transitory and persistent excess liquidity firms. Quarterly, bi-yearly and yearly stock returns of excess liquidity firms are compared with the returns of non-excess liquidity control firms. In India where banks play a major role in financing in view of the illiquid debt market, speculative motive plays a dominant role in holding excess liquidity. Build-up of excess liquidity arising from the relatively strong economic performance of earlier years is utilized conservatively to decrease leverage rather than gear up investment when investment opportunity is depressed due to a weak macroeconomic outlook and structural factors. Greater liquidity and longer holdings do not generate lesser returns for varying periods till 1 year compared to a portfolio of non-excess liquidity control firms. At variance with the existing literature the results indicate that marginal value of liquidity in terms of stockholders’ returns does not decline with higher or longer liquidity holding when the investment environment is unfavourable.
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Yang, Yurun, Ahmet Goncu, and Athanasios Pantelous. "Pairs trading with commodity futures: evidence from the Chinese market." China Finance Review International 7, no. 3 (August 21, 2017): 274–94. http://dx.doi.org/10.1108/cfri-09-2016-0109.
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Purpose The purpose of this paper is to compare the profitability of different pairs selection and spread trading methods using the complete data set of commodity futures from Dalian Commodity Exchange, Shanghai Futures Exchange and Zhengzhou Commodity Exchange. Design/methodology/approach Paris trading methods that are proposed in the literature are compared in terms of the risk-adjusted returns visa in-sample and out-of-sample backtesting and bootstrapping for robustness. Findings The empirical results show that pairs trading in the Chinese commodity futures market offers high returns, whereas, the profitability of these strategies primarily depends on the identification of suitable pairs. The observed high returns are a compensation for the spread divergence risk during the potentially longer holding periods, which implies that the maximum drawdown is more crucial compared to other risk-adjusted return measures such as the Sharpe ratio. Originality/value Complementary to the existing literature, for the Chinese commodity futures market, it is shown that if shorter maximum holding periods are introduced for the spread positions, then the pairs trading profits decreases. Therefore, the returns do not necessarily imply market inefficiency when the higher maximum drawdown associated with the holding period of the spread position is taken into account.
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Agrawal, Sakshi. "Financial Statistics and its Behavioral Implications- A Case Study of Select Hospitality Industry." IRA-International Journal of Management & Social Sciences (ISSN 2455-2267) 5, no. 3 (December 30, 2016): 491. http://dx.doi.org/10.21013/jmss.v5.n3.p12.
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<em>The paper deals on Financial Statistics of Hospitality Industry vis Indian Hotels Ltd., Benaras Ltd, Sinclairs Ltd and The Grand Bhagwati Ltd. Looking at their share price and Holding period return did their portfolio and Risk Analysis. Taking their standard deviation, variance and the calculation of Sharpe Ratio did the risk analysis. The time period analyzed was from March 2010 to March 2015. The financial Statistics gives a comfortable position for the investors in terms of Returns and so a comfortable Portfolio Return Risk graph. However, a deeper analysis shows that the Profit after taxes of the respective firms are broadly not in congruence with the statistics and so the respective Returns differs. The paper takes an insight into the Behavioral implications of the Financial Statistics.</em>
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Alrasidi, ST, Salehudin Eka Saputra, and Farida Titik Kristanti, S. E. M. Si. "Gender-Diversity, Financial Performance and Cash Holding in Family Firms." GATR Accounting and Finance Review 3, no. 4 (December 10, 2018): 124–30. http://dx.doi.org/10.35609/afr.2018.3.4(4).
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Objective - This research aims to determine the presence of partial effects on gender-diversity and financial performance variables on the cash holding of family firms on the Indonesian Stock Exchange included in the Kompas100 index. Methodology/Technique - The approach used in this research was causal associative testing using a panel data regression with a General Least Square (GLS) method using six independent variables: size, growth opportunity, dividend, return on assets, leverage, and gender diversity. Meanwhile, cash holding acts as a dependent variable. Findings - The results of the research show that the independent variables of leverage have significantly negative relationships on cash holding on the Kompas100 index of Indonesia in the period of 2013-2016. Contrary to this, return on asset has a significantly positive relationship with cash holding. Novelty - Gender diversity is an important variable of boardroom; this paper reveals the impact of gender diversity and performance on family holding firms. These results can be used to assess the performance and fundamentals of a firm. Type of Paper Empirical Keywords: Cash Holding; Dividend; Gender Diversity; Growth Opportunity; Leverage; Return on Assets; Size. JEL Classification: M40, M41, M49.
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Tah, Kenneth A., and Oscar Martinez. "The effects of securitized asset portfolio specialization on bank holding company’s return, and risk." Studies in Economics and Finance 33, no. 4 (October 3, 2016): 679–87. http://dx.doi.org/10.1108/sef-11-2015-0267.
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Purpose The purpose of this paper is to examine the effect of specialization of the securitized assets portfolio on banks’ performance and securitization risk. In doing so, the paper addresses two important issues. First, whether the efficient risk–return trade-off for securitized asset portfolios is consistent with the principles of diversification. Second, whether the relationship between bank-level returns and securitized assets portfolio specialization is non-linear in securitization risk. Design/methodology/approach This paper used the fixed-effects panel regression model on US bank holding company data for the period 2001:Q2 to 2014:Q1. Findings The results show that securitized assets portfolio specialization increases returns and also reduces securitization default risk; banks’ return and securitized assets specialization are dependent in a non-linear manner on banks’ securitization risk. Additionally, it was also found that lower bank performance leads to higher securitization risk. Originality/value This paper is of value by demonstrating that diversification (specialization) of securitized assets portfolio would achieve better bank performance in low-risk (high-risk) scenarios.
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Subaida, Ida. "PENGARUH BID ASK SPREAD, VARIANS RETURN, VOLUME PERDAGANGAN , DAN HARGA SAHAM TERHADAP HOLDING PERIOD SAHAM." CERMIN: Jurnal Penelitian 3, no. 1 (July 29, 2019): 11. http://dx.doi.org/10.36841/cermin_unars.v3i1.347.
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The capital market or stock market is a container to bring together sellers and buyers of financial instruments with investment objectives. The existence of the capital market provides a role for various parties such as companies, investors, and even for the national economy. The correct information about the company's shares in the stock market is needed by investors as a decision to buy and sell shares and also for the decision to hold or release ownership of financial assets. The purpose of this study is to analyze and provide empirical evidence about the effect of bid ask spread, return variance, trading volume, and stock price on the holding period of shares in companies listed on the Indonesia Indonesia Stock Exchange which are categorized as LQ45 companies. The research sample was 45 samples in the form of companies listed on the Indonesia Indonesia Stock Exchange which included the LQ45 company category in 2017. Hypothesis testing was done by path analysis using SPSS version 22. The results of the study were bid ask spread, variance return, trading volume, and stock price does not affect the holding period.
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Bhana, Narendra. "The effects of selected trading strategies on the value of closed-end investment trusts: A test of the efficiency of the Johannesburg Stock Exchange." South African Journal of Business Management 24, no. 3 (September 30, 1993): 77–82. http://dx.doi.org/10.4102/sajbm.v24i3.866.
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Closed-end investment funds listed on the Johannesburg Stock Exchange invariably trade at discounts from their net asset value. The purpose of this article is to test a series of trading rules to determine whether an investor can capitalize on these discounts to earn excess returns. The buy-and-sell points strategy produced returns significantly in excess of these obtainable by holding the market portfolio or by following a buy-and-hold strategy. Using standard deviation of return as a proxy for risk, the results fail to confirm that an investor had to accept significantly more risk to earn a larger return. However, there is no assurance that the same strategies will produce excess returns in the future. The trading strategies tested over the 1979-88 period may require adjustments in today's market.
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Habib-ur-rahman, Habib-ur-rahman, and Hasan M. Mohsin. "Momentum Effect: Empirical Evidence from Karachi Stock Exchange." Pakistan Development Review 51, no. 4II (December 1, 2012): 449–62. http://dx.doi.org/10.30541/v51i4iipp.449-462.
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Capital market efficiency and the prediction of future stock prices are the most thought-provoking and ferociously debated areas in finance. The followers of traditional financial theory strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, economist and the journalists are of the view that general tendency of individuals is to overreact to the information. De Bondt and Thaler (1985) studies this view of experimental psychology that whether such behaviour matters at the market level or not. They found out that stock prices will overreact to information, and suggested that contrarian strategies buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one month. They suggested that the contrarian strategies having holding period of one week to one month earned the significant abnormal return. Lo and Mac Kinalay (1990) objected on the ground that a major portion of this abnormal return, reported by Jegadeesh (1990) and Lehmann (1990), is due to the delayed reaction of stock prices to common factors rather than to overreaction. Some other researchers pointed out some other reasons of this abnormal stock returns i.e. short-term pressure on stock prices and absence of liquidity in the market rather than overreaction.
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Chung, Jai Woong. "Business Relationship and Allocation of Initial Public Offering in Korea: Abnormal Return in IPO Holding Period." Korean Journal of Financial Studies 48, no. 3 (June 30, 2019): 297–324. http://dx.doi.org/10.26845/kjfs.2019.06.48.3.297.
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Reddy, Krishna, Muhammad Ali Jibran Qamar, and Marriam Rao. "Return reversal effect in Shanghai A share market." Managerial Finance 45, no. 6 (June 10, 2019): 698–715. http://dx.doi.org/10.1108/mf-04-2018-0140.
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Purpose The existing literature about return reversal effect in Chinese stock markets is inconclusive and controversial. Therefore, the purpose of this paper is to investigate the presence of return reversal effect in the Shanghai A stock market. Design/methodology/approach The authors used the late-stage contrarian strategy of Malin and Bornholt (2013) for the period March 2011‒March 2016. Findings The results show that there is a long-term return reversal effect in the Shanghai A stock market for the period March 2011‒March 2016. When portfolios are in the formation period (P=24 months), the excess returns are significant in the holding period, Q=6, 9, 12, 24 months. Further, there is also a significant short-term momentum effect in the Shanghai A stock market. For the robustness check, a new reversal factor was introduced into the Fama‒French three-factor model. Results show that portfolios have a smaller size and have lower book-to-market ratios; the return reversal factor explains a portion of the abnormal returns and coefficient of the reversal effect is significant. Research limitations/implications The authors caution readers from generalizing the findings of this study, as the sample is small and the focus is only on A stocks listed on the Shanghai Stock Exchange. Originality/value The present research expands the current literature by providing a comprehensive information about the presence of the long-term and short-term return reversal effects in Shanghai A stock market. Furthermore, the Chinese stock markets have distinctive features in comparison to the developed stock markets in terms of government control, institutional structure, liquidity, cultural background, etc. Such differences affect the pattern in stock returns compared with those observed in developed stock markets. Contrary to previous studies, the present study also accounts for robustness checks. Finally, it also evaluates the possible reasons for the return reversal effect in the Shanghai market.
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Sunarko, Bambang. "DETERMINAN STRUKTUR MODAL DAN PENGARUHNYA TERHADAP RETURN SAHAM PADA INDUSTRI BARANG DAN KONSUMSI YANG TERDAFTAR DI BEI." Performance 24, no. 1 (October 2, 2017): 91. http://dx.doi.org/10.20884/1.performance.2017.24.1.313.
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This research entitled determinant of capital structure and the impact of stock return on consumer goods industry that listed in Indonesia Stock Exchanged. The purpose of this research was to examine influence between profitability is measured by return on asset (ROA), liquidity is measured by current ratio (CR), cash holding, non-debt tax shield and asset growth on capital structure is measured by debt to equity ratio (DER) and influence on stock return. This research was conducted during the period 2011-2015. This research is quantitative research that used associative studies to determine the relationship or influence between two or more variables.
Population in this research is all of consumer goods industry that listed in Indonesia Stock Exchange during the period of research. Data collective method used purposive sampling method, with result 21 companies. Data analysis technique of this research used multiple regression analysis and simple regression analysi. Testing the hypothesis by using the coefficient of determination, F-test statistics and t-test statistics.
These conclution of this research indicate that profitability (ROA) positive influencing toward capital structure, liquidity (current ratio) and cash holding negative influencing toward capital structure, non-debt tax shield and asset growth not influencing toward capital structur, and capital structure not influencing toward stock return.
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Mohd Arshad, Mohd Nahar, and Nur Nadhira Baharuddin. "The Economic Benefits of Malaysian University Degrees." IIUM Journal of Educational Studies 7, no. 1 (February 4, 2020): 15–25. http://dx.doi.org/10.31436/ijes.v7i1.197.
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AbstractThis study analyzes the net returns of educational investment in Malaysia using the net present value approach. The estimations consider the tuition payments of nine different bachelor degree programs of public and private universities in Malaysia and the forgone earnings while undertaking the degree programs as the cost of investments in human capital. The returns to education investment are based on the expected income accrued by the individual over the employment period until retirement. Under the assumptions that an individual would work until the retirement age of 60 years and a discount rate of 4 percent, the estimations show that holding a computer science degree from Universiti Sains Malaysia would give the highest net present value. Holding a medical degree, in general, would give the lowest net returns on educational investment as compared to the other selected programs. The net returns are sensitive to the costs of education, earnings and the duration of undertaking the degree programs.Keywords: Human capital investment, net present value, private rate of return, educational investment, Malaysian degree programmes
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Suherman, Danni Winadi, and Gatot Nazir Ahmad. "The effect of corporate performance on the stocks in the companies doing IPO." Journal of Economics, Business and Accountancy Ventura 19, no. 1 (July 31, 2016): 125. http://dx.doi.org/10.14414/jebav.v19i1.532.
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This study tries to (1)to examine the difference of corporate social performance (CSP) between the old IPO firms and the new IPO firms, and (2)to investigate the influence of corporate social performance (CSP) on stock return. Corporate social performance (CSP) is measured using NH approach and stock return is measured using cumulative abnormal returns (CAR) and holding-period returns (HPR). The sample covers 75 IPO firms listed on the Indonesia Stock Exchange between 2011 and April 2015. Our study employs independent sample test and ordinary least square (OLS) regression to analyze the research models. The results show that 1) there is significant difference in corporate social performance (CSP) between the old IPO firms and the new IPO firms, and 2)CSP has positive and significant effect on stock return, controlling for firm size, firm growth, institutional ownership and managerial ownership. Robustness tests support the results. Investor should pay much more attention on the old IPO firms and corporate social performance (CSP). Firms that are going to sell IPO stocks, specifically for young firms, should concern more on social responsibilities.
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Mumtaz, Muhammad Zubair, and Ather Maqsood Ahmed. "Long-Run Pricing Performance of Initial Public Offerings (IPOs) in Pakistan." NUST Journal of Social Sciences and Humanities 2, no. 2 (January 21, 2021): 97–140. http://dx.doi.org/10.51732/njssh.v2i2.14.
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This study investigates the long-run pricing performance of 90 IPOs listed on the Karachi Stock Exchange from 1995 to 2010. This study finds evidence that IPOs show signs of underpricing and underperform over three years after listing; however, the observed pattern of underperformance is not always statistically significant. The equal-weighted buy-and-hold abnormal returns and calendar-time analysis confirm the significance of the IPO underperformance over the three year period after listing on the exchange. Extreme bounds analysis is used to test the sensitivity and robustness of twenty six explanatory variables in determining the IPO underperformance. The results reveal that the robust predictors of IPO underperformance include underpricing, financial leverage, age of the firm and oversubscription for buy-and-hold return calculations and underpricing, hot activity period, post issue promoters’ holding, issue proceeds and aftermarket risk level for cumulative abnormal return calculations. Moreover, the fads hypothesis and the window of opportunity hypothesis are applied to explain long-run IPO performance.
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Dhamija, Sanjay, and Ravinder Kumar Arora. "Determinants of Long-run Performance of Initial Public Offerings: Evidence from India." Vision: The Journal of Business Perspective 21, no. 1 (February 10, 2017): 35–45. http://dx.doi.org/10.1177/0972262916681243.
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The article examines the long-run performance of 377 initial public offerings (IPOs) made by Indian companies during the period 2005–2015. The objectives of the article are to analyze whether Indian IPOs underperform or outperform the broad market in the long run and to identify the key determinants of their long-run performance. The results show that the Indian IPOs outperform the broad market initially followed by significant underperformance in the long run. The IPOs listed on the main board during 2005–2015 yielded average initial excess returns (IERs) of about 22 per cent. However, 37 per cent of the IPOs provided negative IERs. The IPOs underperformed the broad market generating –57.33 per cent buy-and-hold abnormal return (BHAR) over 36 months after listing. Only 38 out of 377 IPOs (10 per cent) outperformed the benchmark index over a 36-month holding period. The important issue characteristics that influence the long-run performance of IPOs in India are the type of issuer (government-owned or private), lead manager prestige (LMP), promoter holding and the issue size.
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Abramov, A., A. Radygin, and M. Chernova. "Long-term Portfolio investment: New insight into Return and Risk." Voprosy Ekonomiki, no. 10 (October 20, 2015): 54–77. http://dx.doi.org/10.32609/0042-8736-2015-10-54-77.
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The article examines the influence of investment horizon increase on comparative advantages of main asset classes and on the principles of investment strategy development. Unlike in the traditional approach of portfolio management theory, the study shows that for long-term investments corporate bonds have the advantage over equity in terms of return-risk tradeoff. This fact argues in favor of the fixed-income oriented (including infrastructure bonds) investment strategies for pension funds and institutional investors. The article draws special attention to the importance of regular portfolio rebalancing for long-term investors. In this case the variation of returns decreases and the variation of risks increases with the holding period. Consequently, with horizon increase a long-term investor should allocate more assets in the low-risk financial instruments in order to keep a certain level of return-risk tradeoff. This argument becomes increasingly important for the purposes of pension savings management.
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Ferrigno, M., D. D. Hickey, M. H. Liner, and C. E. Lundgren. "Cardiac performance in humans during breath holding." Journal of Applied Physiology 60, no. 6 (June 1, 1986): 1871–77. http://dx.doi.org/10.1152/jappl.1986.60.6.1871.
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The effects on cardiac performance of high and low intrathoracic pressures induced by breath holding at large and small lung volumes have been investigated. Cardiac index and systolic time intervals were recorded from six resting subjects with impedance cardiography in both the nonimmersed and immersed condition. A thermoneutral environment (air 28 degrees C, water 35 degrees C) was used to eliminate the cold-induced circulatory component of the diving response. Cardiac performance was enhanced during immersion compared with nonimmersion, whereas it was depressed by breath holding at large lung volume. The depressed performance was apparent from the decrease in cardiac index (24.1% in the immersed and 20.9% in the nonimmersed condition) and from changes in systolic time intervals, e.g., shortening of left ventricular ejection time coupled with lengthening of preejection period. In the absence of the cold water component of the diving response, breath holding at the large lung volume used by breath-hold divers tends to reduce cardiac performance presumably by impeding venous return.
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Frensidy, Budi, Reynardo Nainggolan, and Robiyanto Robiyanto. "WILL THE WINNER STILL BE THE WINNER? A STUDY OF EQUITY MUTUAL FUND PERFORMANCE IN INDONESIA." Business: Theory and Practice 21, no. 2 (September 10, 2020): 566–77. http://dx.doi.org/10.3846/btp.2020.11553.
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In this study, we explore the consistency of Indonesian Rupiah (IDR) – denominated equity mutual funds offered in Indonesia from 2007 to 2017 from various holding periods, namely one year, three years, and five years. Two questions are addressed. Will the winning mutual funds be the winner in the following period? Is the performance of a longer period more persistent than that of the shorter period? Using the nominal return from these eleven years, we find that the equity mutual funds in Indonesia earn no stable performance. The winner will not always be the winner in the following observed period. In addition, no evidence is found that long-term performance would result in a better persistence than that of the shorter time frame.
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Setiawan, Rahmat, and Koko Sudiro. "STRUKTUR MODAL DAN PROFITABILITAS PERUSAHAAN ANGGOTA HOLDING PT PUPUK INDONESIA (PERSERO)." Jurnal Ekonomi dan Bisnis 23, no. 1 (July 10, 2019): 37–46. http://dx.doi.org/10.24123/jeb.v23i1.2010.
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This research aims to investigate the effect of capital structure on profitability of the firms included in holding company PT Pupuk Indonesia (Persero). Capital structure is measured by 3 proxies, including Debt to Assets Ratio (DAR), Short-term Loan to Total Assets, and Long-term Loan to Total Assets. Profitability is measured by Return on Assets (ROA). Data were obtained from financial reports quarterly during period 2011-2015. The research results show that both DAR and Short-term Loan to Total Assets have negative significant effects on profitability. Long-term Loan to Total Assets does not have a significant effect on profitability.
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Dieu Dang, Huong. "KiwiSaver fund performance and asset allocation policy." Pacific Accounting Review 31, no. 2 (April 1, 2019): 232–57. http://dx.doi.org/10.1108/par-06-2018-0044.
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Purpose This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds. Design/methodology/approach Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation. Findings On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness. Originality/value This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.
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Dewachter, Hans, and Leonardo Iania. "An Extended Macro-Finance Model with Financial Factors." Journal of Financial and Quantitative Analysis 46, no. 6 (June 7, 2011): 1893–916. http://dx.doi.org/10.1017/s0022109011000469.
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AbstractThis paper extends the benchmark macro-finance (MF) model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return-forecasting factors. Liquidity factors are obtained from a decomposition of the money market spread, while the return-forecasting (risk premium) factor is extracted by imposing a single-factor structure on the 1-period expected excess holding return. The model is estimated on U.S. data using Markov chain Monte Carlo techniques. Two findings stand out. First, the model significantly outperforms most structural and nonstructural MF yield curve models in terms of the cross-sectional fit of the yield curve. Second, financial shocks have a statistically and economically significant impact on the yield curve.
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Barasa, Constantine, George Achoki, and Amos Njuguna. "Determinants of Corporate Cash Holding of Non-Financial Firms Listed on the Nairobi Securities Exchange." International Journal of Business and Management 13, no. 9 (August 7, 2018): 222. http://dx.doi.org/10.5539/ijbm.v13n9p222.
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A general rise in the cash holding levels by firms internationally in the recent years has led to an increase in interest in cash holding research as cash is an asset that typically yields low return. Empirical research has produced mixed results and often little research has been carried out on the subject in developing countries. This paper thus looks at the determinants of cash holding of 44 non-financial firms listed in Nairobi securities exchange (NSE) for the period 2002 to 2013 using secondary data in annual reports and financial statements. We test for trade off, pecking order and the free cash flow theories using correlational and non-experimental research design. The results of OLS with year and industry dummies and panel data models shows that there exists significant positive and negative relationship between cash holding and cash flow and leverage respectively and insignificant relationship between cash holding and market-to-book value and firm size. Interest rests were found to be a significant mediator of the relationship between cash holding and MTB, size, leverage and cash flow. Industrial sector of a firm’s main activity influences its cash holding policies. This study adds to the frontier knowledge on the determinants of cash holding by helping managers decide on their firm’s optimal cash holding while also serving to inform investors on whether portfolio managers are adopting the right cash holding practices.
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Wang, Kuei-Yuan, Su-Chun Peng, and Yen-Sheng Huang. "The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 655–74. http://dx.doi.org/10.1142/s0219091509001794.
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This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.