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1 – 10 of over 4000
Article
Publication date: 28 September 2010

Spyros Missiakoulis, Dimitrios Vasiliou and Nikolaos Eriotis

We know that estimates of terminal value of long‐term investment horizons are biased. Unbiased estimates exist only for investment horizon of one time‐period. The purpose of this…

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Abstract

Purpose

We know that estimates of terminal value of long‐term investment horizons are biased. Unbiased estimates exist only for investment horizon of one time‐period. The purpose of this paper is to suggest a method based on the arithmetic mean in order to obtain unbiased estimates for the terminal value of long‐term investment horizons.

Design/methodology/approach

The method used for the investigation was to employ loss functions or error statistics. Namely, the mean error, the mean absolute error, the root mean squared error, and the mean absolute percentage error was used.

Findings

The suggested method produced the closest values to the actual ones than any other suggested averaging method when the authors examined ten‐year investment horizons for Standard & Poor's 500 index and on Dow Jones Industrial index.

Practical implications

Portfolio managers and individual investors may use this paper's suggestion if they wish to obtain unbiased estimates for investment horizons greater than one time‐period.

Originality/value

The suggestion to equate the time‐period of the observed data to the time‐period of the investment horizons is novel and useful to practitioners since it produces unbiased estimates.

Details

Managerial Finance, vol. 36 no. 11
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 21 April 2011

Alan Gregory

In this paper, it is argued that previous estimates of the expected cost of equity and the expected arithmetic risk premium in the UK show a degree of upward bias. Given the…

1030

Abstract

In this paper, it is argued that previous estimates of the expected cost of equity and the expected arithmetic risk premium in the UK show a degree of upward bias. Given the importance of the risk premium in regulatory cost of capital in the UK, this has important policy implications. There are three reasons why previous estimates could be upward biased. The first two arise from the comparison of estimates of the realised returns on government bond (‘gilt’) with those of the realised and expected returns on equities. These estimates are frequently used to infer a risk premium relative to either the current yield on index‐linked gilts or an ‘adjusted’ current yield measure. This is incorrect on two counts; first, inconsistent estimates of the risk‐free rate are implied on the right hand side of the capital asset pricing model; second, they compare the realised returns from a bond that carried inflation risk with the realised and expected returns from equities that may be expected to have at least some protection from inflation risk. The third, and most important, source of bias arises from uplifts to expected returns. If markets exhibit ‘excess volatility’, or f part of the historical return arises because of revisions to expected future cash flows, then estimates of variance derived from the historical returns or the price growth must be used with great care when uplifting average expected returns to derive simple discount rates. Adjusting expected returns for the effect of such biases leads to lower expected cost of equity and risk premia than those that are typically quoted.

Details

Review of Behavioural Finance, vol. 3 no. 1
Type: Research Article
ISSN: 1940-5979

Keywords

Abstract

Details

An Input-output Analysis of European Integration
Type: Book
ISBN: 978-0-44451-088-4

Book part
Publication date: 27 February 2009

Chueh-Yung Tsao and Chao-Ching Liu

Owing to the fact that the over-the-counter (OTC) market has no organized exchange, the options traded in the OTC market are more likely to be exposed to credit risk, Asian…

Abstract

Owing to the fact that the over-the-counter (OTC) market has no organized exchange, the options traded in the OTC market are more likely to be exposed to credit risk, Asian options being one of them. In this chapter we first discuss the pricing of geometric Asian options and the Black–Scholes options model subject to credit risk. We then combine the two models to derive a closed-form formula for pricing a geometric Asian option subject to the credit risk. The numerical analysis reveals that other pricing formulae existing in the literature can cause serious pricing errors when there is a possibility of default in reality.

Details

Research in Finance
Type: Book
ISBN: 978-1-84855-447-4

Article
Publication date: 15 October 2020

Gylfi Magnusson

The subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in May and…

Abstract

Purpose

The subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in May and go away.” The authors test the hypothesis that stock markets tend to return considerably less in the six months beginning in May than in the other half of the year. This effect has shown persistency over time and is seemingly large enough to be a candidate for economic significance.

Design/methodology/approach

The authors analyze monthly data from 13 countries for the period 1958–2019, using the Kruskal–Wallis test, t-test and a boot-strap based estimator. In addition, we look a sub-periods for a larger group of countries and include data on both stock returns and interest rates.

Findings

The authors find a strong seasonal effect in a large majority of the markets, with the period from November to April seeing higher returns than the other six months of the year. This result also holds for a larger sample of countries based on data from a shorter period. The effect is found to be economically significant in most countries in the sample. The authors examine one potential explanation for seasonal variation in stock returns, i.e. seasonal affective disorder (SAD). The authors find some, albeit weak, support for this hypothesis.

Originality/value

This paper uses a rich dataset that has not been used for this purpose before and robust tests of statistical and economic significance to shed light on an important aspect of global financial markets.

Details

Managerial Finance, vol. 47 no. 2
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 7 January 2020

Gülin Feryal Can and Muzaffer Bertan Kıran

The purpose of this paper is to develop an approach to compare occupational health and safety (OHS) performances of countries. Additionally, another aim is to debate the impacts…

Abstract

Purpose

The purpose of this paper is to develop an approach to compare occupational health and safety (OHS) performances of countries. Additionally, another aim is to debate the impacts of using recorded data and ratios for OHS performance evaluations.

Design/methodology/approach

The number of fatal accidents (NFAs), fatal accident rates (FARs), numbers of lost days (NLDs) and accident severity rates (ASRs) are determined as main criteria and six economic activity areas (EAAs) are considered as sub-criteria. Two different initial decision matrices are used as the initial decision matrix, the first of which consists of recorded data of countries related to NFAs and NLDs, and the second consists of FAR and ASR values as ratios. Importance weights of main and sub-criteria regarding the recorded data and ratios are determined using four different weighting ways. Countries are ranked via utilizing Multi-Attributive Ideal-Real Comparative Analysis considering two different initial decision matrices.

Findings

It can be stated that an evaluation based on ratios for comparison of OHS performance provides more realistic results. Additionally, increasing the effect of the FAR values using the 6,000 equivalent lost days factor is also important in terms of differentiating the data of the countries in question.

Originality/value

To the best of the authors’ knowledge, there is no study in literature that discusses the ranking of countries by means of recorded data and ratios considering different criteria. Additionally, this study is a first in terms of the number of countries evaluated and the comparison of these countries according to their respective EAAs.

Details

International Journal of Intelligent Computing and Cybernetics, vol. 13 no. 1
Type: Research Article
ISSN: 1756-378X

Keywords

Article
Publication date: 8 July 2019

Nizar Mohammad Alsharari and Turki Raji Alhmoud

The purpose of this paper is to examine the determinants of profitability of 28 Sharia-compliant corporations in Jordan over the three-year period of 2013-2015.

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Abstract

Purpose

The purpose of this paper is to examine the determinants of profitability of 28 Sharia-compliant corporations in Jordan over the three-year period of 2013-2015.

Design/methodology/approach

The two-stage least square (2SLS) regression analysis with fixed effects was conducted using two measures of profitability, namely: return on assets and return on equity. The empirical data were collected from 28 Sharia-compliant corporations in Jordan over the study period. A variety of internal and external factors was used to determine profitability.

Findings

In general, this analysis of the determinants of profitability for Sharia-compliant corporations confirmed previous findings. Regression findings revealed that previous year profitability, debt ratio, organizational structure, the size of the audit firm and voluntary disclosure to be important determinants of profitability of Sharia-compliant corporations in Jordan from 2013 to 2015. The independent variables of firm size, ownership ratio greater than 5%, liquidity ratio, percentage of non-Jordanian ownership or the age of the firm were not found to significantly influence the profitability of the corporations studied.

Research limitations/implications

The authors determined that the independent variables selected, with few exceptions, behaved according to expectations. Moreover, the current literature on the influence of management on performance, and thus, profitability, does not consider the philosophy under which business is conducted (a limitation with respect to the type of business conducted). For example, Sharia-compliant and non-Sharia-compliant firms operate under different sets of principles and rules. This variance in business philosophies may have an important bearing on management style, an aspect that has been neglected in the organizational management literature. The panel data from a three-year period was insufficient to validate the consistency of the results; future researchers may increase the length of the study periods to confirm results and increase the robustness of the data collection method.

Practical implications

The findings from the study have implications that may be functional for businesses, investors and policymakers in their focus on the Sharia-compliant business sector in Jordan. The factors influencing profitability may inform the setting of regulatory policy designed to stabilize and sustain the performance of Sharia-compliant corporations more broadly.

Originality/value

This study contributes to the growing body of literature on Islamic finance, and can be considered one of a very few that have examined the internal and external determinants of the profitability of Sharia-compliant corporations in a developing country such as Jordan, using panel data.

Details

Journal of Islamic Accounting and Business Research, vol. 10 no. 4
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 1 January 2005

Jan Emblemsvåg

To identify, discuss and provide a solution for a common problem in the mathematical analyses in business analyses, namely, paralysis by analysis.

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Abstract

Purpose

To identify, discuss and provide a solution for a common problem in the mathematical analyses in business analyses, namely, paralysis by analysis.

Design/methodology/approach

The paper first discusses the scale and frequency of the paralysis by analysis problem, before discussing it in more depth before addressing a fundamental problem, which is an important root of the paralysis by analysis problem, the indiscriminate usage of central tendency measures. Finally, it discusses how variance can be turned from being a liability into an asset. The approach is conversational but examples and a case study are provided to substantiate the arguments.

Findings

The paper provides some recommendations for avoiding paralysis by analysis.

Practical implications

Basically, the paper shows by argument and example why practitioners and some researchers need to better understand the limitations and promises of mathematical analyses and to some extent how to incorporate this understanding into their work.

Originality/value

There is nothing really new in this paper, but it discusses a problem that for some reason is often ignored by practitioners and some researchers. The true value of the paper therefore lies in making practitioners, in particular, more aware of the limitations as well as the possibilities in the mathematical analyses performed in business analytics so that they can better understand what they are doing and hence get behind the numbers, as it were.

Details

International Journal of Productivity and Performance Management, vol. 54 no. 1
Type: Research Article
ISSN: 1741-0401

Keywords

Book part
Publication date: 5 October 2018

Nasir Bedewi Siraj, Aminah Robinson Fayek and Mohamed M. G. Elbarkouky

Most decision-making problems in construction are complex and difficult to solve, as they involve multiple criteria and multiple decision makers in addition to subjective…

Abstract

Most decision-making problems in construction are complex and difficult to solve, as they involve multiple criteria and multiple decision makers in addition to subjective uncertainties, imprecisions and vagueness surrounding the decision-making process. In many instances, the decision-making process is based on linguistic terms rather than numerical values. Hence, structured fuzzy consensus-reaching processes and fuzzy aggregation methods are instrumental in multi-criteria group decision-making (MCGDM) problems for capturing the point of view of a group of experts. This chapter outlines different fuzzy consensus-reaching processes and fuzzy aggregation methods. It presents the background of the basic theory and formulation of these processes and methods, as well as numerical examples that illustrate their theory and formulation. Application areas of fuzzy consensus reaching and fuzzy aggregation in the construction domain are identified, and an overview of previously developed frameworks for fuzzy consensus reaching and fuzzy aggregation is provided. Finally, areas for future work are presented that highlight emerging trends and the imminent needs of fuzzy consensus reaching and fuzzy aggregation in the construction domain.

Details

Fuzzy Hybrid Computing in Construction Engineering and Management
Type: Book
ISBN: 978-1-78743-868-2

Keywords

Article
Publication date: 7 August 2017

Urbi Garay, Gwendoline Vielma and Edward Villalobos

The purpose of this paper is to present the formulation of the first exhaustive price index for Argentinian (and other Latin American countries) visual artists using 5,069 works…

Abstract

Purpose

The purpose of this paper is to present the formulation of the first exhaustive price index for Argentinian (and other Latin American countries) visual artists using 5,069 works sold in auctions by 71 Argentinian artists during the years 1980-2014.

Design/methodology/approach

The authors estimated a regression of hedonic prices using the ordinary least squares method. When the regression was run and the results were analysed, the authors then estimated the annual price index of Argentinian artists’ work to then compare them with different financial and economic variables.

Findings

The average annual nominal arithmetic rate of return in dollars for Argentinian art during this period was 6.81 per cent, with a 29.11 per cent standard deviation. Argentinian art shows a low correlation with Argentinian and US companies’ shares and a slightly negative correlation with US bonds. This is the reason for artworks to be included in investors’ portfolios despite the relatively high volatility.

Research limitations/implications

Valuating works of art in Argentina can be explained by a series of their attributes. The benefits of art as an investment should be contrasted with factors including illiquidity and high transaction costs that are inherent when investing in works of art.

Practical implications

Argentinian artists’ works have higher prices when, ceteris paribus, they are dated; they are auctioned in either Christie’s, Sotheby’s, Galería Arroyo, Roldan & Cia, Meeting Art, or Naon & Cia; they are oil or acrylic paintings; they are larger in size – although the price increase is decreasing when the size of the painting increases; and when the artist dies before their work is auctioned.

Originality/value

This work presents the first rigorous price index of Argentinian artists’ works. Additionally, and as far as the authors have been able to observe, the time-period in this article is the longest that has been used in studies on art as an investment in emerging markets.

Propósito

Este trabajo presenta la elaboración del primer índice exhaustivo de precios de artistas plásticos de Argentina (y de cualquier otro país de Latino América) a partir de 5.069 ventas de obras de 71 artistas argentinos realizadas en subastas durante el período 1980-2014.

Diseño/metodología/enfoque

Se estimó una regresión de precios hedónica por el Método de Mínimos Cuadrados Ordinarios. Una vez corrida la regresión y analizados sus resultados, se procedió a estimar el índice anual de precios de obras de artistas argentinos, para posteriormente relacionarlos con diversas variables financieras y económicas.

Hallazgos

El rendimiento promedio aritmético nominal anual en dólares del arte argentino durante ese período fue de 6,81% con una desviación estándar de 29,11%. El arte argentino exhibe una baja correlación con las acciones de empresas argentinas y de EEUU y ligeramente negativa con bonos de EEUU, lo cual le confiere atributos para ser incluido en las carteras de los inversionistas, a pesar de la elevada volatilidad.

Limitaciones e implicaciones de la investigación

Se consigue que la valoración de arte en Argentina puede ser explicada por una serie de atributos de las obras de arte. Los beneficios del arte como inversión deben ser evaluados con la iliquidez y los elevados costos de transacción, entre otros costos, inherentes a la inversión en obras de arte.

Implicaciones prácticas

Las obras de artistas argentinos tienen precios más altos cuando, ceteris paribus: están fechadas, se subastan en Christie's, en Sotheby's o en Galería Arroyo, son ejecutadas en óleo o en acrílico, tienen un mayor área, aunque el aumento de precio es decreciente al aumentar el área, y cuando el artista ya había fallecido al momento de celebrase la subasta.

Originalidad/valor

Este trabajo propone el primer índice riguroso de precios de obras de artistas de Argentina. Además, y hasta donde hemos podido comprobar, el período utilizado en este trabajo es el más largo que se haya empleado en estudios del arte como inversión en mercados emergentes.

Details

Academia Revista Latinoamericana de Administración, vol. 30 no. 3
Type: Research Article
ISSN: 1012-8255

Keywords

1 – 10 of over 4000