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This paper aims to extend existing research in relation to both the importance of volume effects within housing markets and the specific behaviour of the London housing market. A detailed borough-level examination is undertaken of the relationships between volume, house prices and house price volatility. Support for alternative housing market theories, the degree of heterogeneity in house price behaviour across boroughs and the extent to which housing displays differing properties to other financial assets are examined.

Correlation analyses, causality testing and volatility modelling are undertaken in extended forms which synthesise and extend approaches within the housing, economics and finance literatures. The various modelling and testing techniques are supplemented via the use of alternative variable transformations to evaluate housing market behaviour in detail.

Novel findings are provided concerning both volume effects within housing markets generally and the specific properties of London housing market. Evidence concerning bubbles, the volatility-reducing effects of volume, the importance of geographical and price-related factors underlying the relationship between volume and both house price growth and volatility and the presence of asymmetric adjustment in the London housing market are all provided. The extent and nature of the support available for alternative housing market theories are evaluated.

The volatility-reducing effects of volume within housing markets, along with volume effects and the presence of asymmetric adjustment within the London housing market are examined for the first time. New empirical evidence on the support for alternative housing market theories and the differing empirical characteristics of housing relative to other financial assets are presented.

The purpose of this study is to consider why firms use different disclosure outlets. The authors argue that the firm's choice of disclosure outlet can be explained by voluntary disclosure theories and investigate whether the market response around different disclosure outlets varies.

The authors investigate differences in the characteristics of firms purchasing analyst research, holding investor presentations or Open Briefings and compare market reactions around each disclosure event.

The authors find that firm incentives to reduce information acquisition costs or mitigate disclosure risk affect firm disclosure outlet choice, and mixed evidence in support of talent signalling motivations. There is a lower absolute abnormal return around Open Briefings and a higher signed abnormal return around purchased analyst research.

The research is exploratory in nature and only considers a small subset of disclosure outlets. There may be differences in information content across disclosure outlets.

They show disclosure outlets are not homogenous and provide empirical evidence voluntary disclosure theories help explain differences between firms’ use of disclosure outlets. Considering the growing number of disclosure outlets available, disclosure outlet choice is likely to be an increasingly important topic in accounting research.

There is a great deal of research that has been done to investigate the investment characteristics of conventional socially responsible investment portfolios compared to their broader conventional counterparts. However, the impact of incorporating sustainability criteria into the traditional Sharia screening process has not so far been investigated. Therefore, the study aims to give empirical evidence as to whether or not incorporating sustainability socially responsible criteria in the traditional Sharia screening process has a significant impact on the investment characteristics of the Islamic investment portfolio.

The paper examines the investment characteristics of four groups of investment portfolios mainly, Dow Jones Global Index, Dow Jones Sustainability World Index, Dow Jones Islamic Market World Index and Dow Jones Islamic Market Sustainability Index. To improve the robustness of the study, the analysis was carried out at different levels. First, absolute mean return and t‐test were used to examine whether the difference between the different groups of investments is statistically significant or not. Second, risk adjusted equilibrium models, both single‐index and Fama and French multi‐index, were employed. This is to control for different risk exposure and investment style bias associated with different investment portfolios examined.

The paper finds that neither the Sharia nor the sustainability screening process seems to have an adverse impact on the performance and systematic risk of the investment portfolios compared to their unrestricted conventional counterparts. Therefore, Muslim as well as socially responsible investors can choose investments that are consistent with their value systems and beliefs without being forced to sacrifice performance or expose to higher systematic risk.

The study contributes to the existing literature by giving new evidence on the impact of incorporating sustainability criteria into the traditional Sharia screening process that has not so far been investigated.

Elie Halévy essentially expressed the view recorded by James Mill in his anonymously written ‘On the Nature, Measures, and Causes of Value’⁷ that the first chapter of the Critical Dissertation relating to the nature of value ‘contains not an assertion, who which, as far as ideas politico-economical are concerned, Mr. Ricardo would not have assented; it contains, not indeed, as far as such ideas are concerned, an assertion which is not implied in the propositions which Mr. Ricardo has put forth. It is a criticism on some of Mr. Ricardo's forms of expression…’ ([J. Mill], 1826a, p. 157). The justification for the Ricardian reaction is clear enough, as I shall now show.⁸

This paper aims to perform an analytical analysis on portfolio allocation when a tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio efficiency issue. Indeed, it is well known that investors can assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. However, the risk management office often imposes a TEV constraint to the asset managers’ activity to maintain the portfolio risk near to the risk of the benchmark. This situation could lead asset managers to select non efficient portfolios in the total return and absolute risk perspective. However, the risk management office can impose further constraints, such as on maximum variance or maximum value at risk (VaR) to maintain the overall portfolio risk under control.

First the authors define the TEV constrained-efficient frontier (ECTF), a set of TEV constrained portfolios that are mean–variance efficient. Second, they define two new portfolio frontiers analyzing how the imposition of a maximum variance or maximum VaR restriction can reduce the ECTF. Third, they investigate the feasibility of such portfolio frontiers and their relationships.

The authors find that variance or VaR constraint can force asset managers to pursue portfolio efficiency.

This is a practically important issue given that asset managers often receive a constraint on TEV from the risk management office, but the risk management office does not ask them to minimize the TEV as often assumed in the optimizations performed in the literature on this topic.

We explore the predictive capacity of short-horizon time preference decisions for long-horizon investment decisions. We use experimental evidence from a sample of Canadian working poor. Each subject made a set of decisions trading off present and future amounts of money. Decisions involved both short and long time horizons, with stakes ranging up to 600 dollars. Short horizon preference decisions do well in predicting the long-horizon investment decisions. These short horizon questions are much less expensive to administer but yield much higher estimated discount rates. We find no evidence that the present-biased preference measures generated from the short-horizon time preference decisions indicate any bias in long-term investment decisions. We also show that individuals are heterogeneous with respect to discount rates generated by short-horizon time preference decisions and long-horizon time preference decisions.

Existing empirical studies that document momentum trading strategies do not provide any insight on how investors choose the time horizon that is used to compute the past stock returns. Indeed, since past returns over overlapping time periods are positively correlated, it is hard to identify the exact historical time period on which investors base their trading strategies and to investigate whether such a period is unique. The purpose of this paper is to investigate this and reach some conclusions.

In this paper the author uses experimental setting to analyze how investors choose which of the past returns to use as a basis for their trading strategies and whether this choice depends on their investment horizon. The advantage of this experimental setting over the existing empirical research is the ability to control for the investment horizon of the subjects and the ability to provide the subjects with a hand‐picked set of stocks with uncorrelated past returns over overlapping time periods. In the study subjects were asked to make short‐term investment decisions based on historical short‐term realized returns over two time intervals of different lengths. In each treatment the subjects were divided into two groups based on the lengths of their investment horizons, which were set to match the lengths of time intervals used to compute the historical returns.

It was found that subjects followed momentum trading strategies based on both historical returns provided to them and paid more attention to the historical returns over the shorter time period. In addition, some evidence was found that subjects with longer investment horizons rely less on momentum strategies.

A wide sample was used to create an original set of observations and conclusions.

The purpose of this paper is to examine whether Fama–French common risk-factor portfolio investors herd on a daily basis for five developed markets, namely, Europe, Japan, Asia Pacific ex Japan, North America and Globe.

To examine the herd behavior of common risk-factor portfolio investors, this paper utilizes the cross-sectional absolute deviations (CSAD) methodology, covering a daily data sampling period of July 1990 to January 2019 from Kenneth R. French-Data Library. CSAD driven by fundamental and non-fundamental information is assessed using Fama–French five-factor model.

The results do not provide evidence for herding under normal market conditions, either when reacting to fundamental information or non-fundamental information, for any region under consideration. However, Fama–French common risk-factor portfolio investors mimic the underlying risk factors in returns related to size and book-to-market value, size and operating profitability, size and investment and size and momentum of the equity stocks in European and Japanese markets during crisis period. Also, no considerable evidence is found for herding (on fundamental information) under crisis and up-market conditions except for Japan. Ancillary findings are discussed under conclusion.

Further research on new risk factors explaining stock return variation may help improve the model performance. The performance can be improved by adding new risk factors that are free from behavioral bias but significant in explaining common stock return variation. Also, it is necessary to revisit the existing common risk factors in order to understand behavioral aspects that may affect cost of capital calculations (e.g. pricing errors) and valuation of investment portfolios.

This is the first paper that examines the herd behavior (fundamental and non-fundamental) of Fama–French common risk-factor investors using five-factor model.

The purpose of this paper is to examine semi-strong market efficiency by observing the behavioral finance implications of Jim Cramer’s recommendations in bull vs bear markets. The authors extend the literature by analyzing investor reaction through the lenses of prospect theory, overreaction, and herding.

The authors test for abnormal returns in response to Mad Money buy and sell recommendations. The authors use a sample of buy and sell recommendations from MadMoneyRecap.com from July 28, 2005 through February 9, 2009. The 3.5-year time period is the most recent and comprehensive set of Mad Money recommendations that has been tested to date.

The results indicate market inefficiency at the semi-strong level. Furthermore, the findings highlight the loss aversion tendencies of investors in regards to prospect theory of Kahneman and Tversky (1979) as well as the disposition effect of Shefrin and Statman (1985). Evidence also exists consistent with the herding and overreaction hypotheses.

The evidence suggests contrarian behavior in which investors respond positively to good news in bad times – perhaps, in effort to stay the course and at least break even. This behavior may suggest that losers tend to hold on to losses in hopes of recouping them. Thus, positive information in bad times could further persuade market participants to hang on to or buy more of losers, while also persuading non-shareholders to buy in as well.

Though other studies including Kenny and Johnson (2010) have estimated abnormal returns in response to analyst recommendations, to the knowledge, none has examined behavioral implications of investor reaction to buy and sell recommendations in both bull and bear markets. Furthermore, the study captures a longer bull and bear market and covers two definitions of such markets.