Search results

1 – 10 of over 13000
Article
Publication date: 3 May 2013

Mohamed Sahbi Nakhli and Lotfi Belkacem

The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.

544

Abstract

Purpose

The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.

Design/methodology/approach

To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random effect is reduced, whereas the resampling procedure is based on the random draw.

Findings

The empirical results show the existence of a small sample bias in the bootstrap method with replacement, and that the time‐series relations of stock returns are the main source of momentum profits.

Originality/value

To ensure the random effect of the draws, the authors develop a new resampling procedure called the mixed bootstrap method.

Details

Managerial Finance, vol. 39 no. 6
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 24 July 2007

Dja‐Shin Wang, Tong‐Yuan Koo and Chao‐Yu Chou

The present paper aims to present the results of a simulation study on the behavior of the four 95 percent bootstrap confidence intervals for estimating Cpk when collected…

600

Abstract

Purpose

The present paper aims to present the results of a simulation study on the behavior of the four 95 percent bootstrap confidence intervals for estimating Cpk when collected data are from a multiple streams process.

Design/methodology/approach

A computer simulation study is developed to present the behavior of four 95 percent bootstrap confidence intervals, i.e. standard bootstrap (SB), percentile bootstrap (PB), biased‐corrected percentile bootstrap (BCPB), and biased‐corrected and accelerated (BCa) bootstrap for estimating the capability index Cpk of a multiple streams process. An analysis of variance using two factorial and three‐stage nested designs is applied for experimental planning and data analysis.

Findings

For multiple process streams, the relationship between the true value of Cpk and the required sample size for effective experiment is presented. Based on the simulation study, the two‐stream process always gives a higher coverage percentage of bootstrap confidence interval than the four‐stream process. Meanwhile, BCPB and BCa intervals lead to better coverage percentage than SB and PB intervals.

Practical implications

Since a large number of process streams decreases the coverage percentage of the bootstrap confidence interval, it may be inappropriate to use the bootstrap method for constructing the confidence interval of a process capability index as the number of process streams is large.

Originality/value

The present paper is the first work to explore the behavior of bootstrap confidence intervals for estimating the capability index Cpk of a multiple streams process. It is concluded that the number of process streams definitively affects the performance of bootstrap methods.

Details

Engineering Computations, vol. 24 no. 5
Type: Research Article
ISSN: 0264-4401

Keywords

Article
Publication date: 14 November 2008

Jau‐Chuan Ke, Yunn‐Kuang Chu and Jia‐Huei Lee

In order to develop a feasible and efficient method to acquire the long‐run availability of a parallel system with distribution‐free up and down times, the purpose of this…

287

Abstract

Purpose

In order to develop a feasible and efficient method to acquire the long‐run availability of a parallel system with distribution‐free up and down times, the purpose of this paper is to perform the simulation comparisons on the interval estimations of system availability using four bootstrapping methods.

Design/methodology/approach

By using four bootstrap methods; standard bootstrap (SB) confidence interval, percentile bootstrap (PB) confidence interval, bias‐corrected percentile bootstrap (BCPB) confidence interval, and bias‐corrected and accelerated (BCa) confidence interval. A numerical simulation study is carried out in order to demonstrate performance of these proposed bootstrap confidence intervals. Especially, we investigate the accuracy of the four bootstrap confidence intervals by calculating the coverage percentage, the average length, and the relative coverage of confidence intervals.

Findings

Among the four bootstrap confidence intervals, the PB method has the largest relative coverage in most situations. That is, the PB method is the best one made by practitioners who want to obtain an efficient interval estimation of availability.

Originality/value

It is the first time that the relative coverage is introduced to evaluate the performance of estimation method, which is more efficient than the existing measures.

Details

Engineering Computations, vol. 25 no. 8
Type: Research Article
ISSN: 0264-4401

Keywords

Book part
Publication date: 13 May 2017

Otávio Bartalotti, Gray Calhoun and Yang He

This chapter develops a novel bootstrap procedure to obtain robust bias-corrected confidence intervals in regression discontinuity (RD) designs. The procedure uses a wild…

Abstract

This chapter develops a novel bootstrap procedure to obtain robust bias-corrected confidence intervals in regression discontinuity (RD) designs. The procedure uses a wild bootstrap from a second-order local polynomial to estimate the bias of the local linear RD estimator; the bias is then subtracted from the original estimator. The bias-corrected estimator is then bootstrapped itself to generate valid confidence intervals (CIs). The CIs generated by this procedure are valid under conditions similar to Calonico, Cattaneo, and Titiunik’s (2014) analytical correction – that is, when the bias of the naive RD estimator would otherwise prevent valid inference. This chapter also provides simulation evidence that our method is as accurate as the analytical corrections and we demonstrate its use through a reanalysis of Ludwig and Miller’s (2007) Head Start dataset.

Details

Regression Discontinuity Designs
Type: Book
ISBN: 978-1-78714-390-6

Keywords

Article
Publication date: 23 June 2022

Mohamed A. Ayadi, Anis Chaibi and Lawrence Kryzanowski

Prior research has documented inconclusive and/or mixed empirical evidence on the timing performance of hybrid funds. Their performance inferences generally do not…

Abstract

Purpose

Prior research has documented inconclusive and/or mixed empirical evidence on the timing performance of hybrid funds. Their performance inferences generally do not efficiently control for fixed-income exposure, conditioning information, and cross-correlations in fund returns. This study examines the stock and bond timing performances of hybrid funds while controlling and accounting for these important issues. It also discusses the inferential implications of using alternative bootstrap resampling approaches.

Design/methodology/approach

We examine the stock and bond timing performances of hybrid funds using (un)conditional multi-factor benchmark models with robust estimation inferences. We also rely on the block bootstrap method to account for cross-correlations in fund returns and to separate the effects of luck or sampling variation from manager skill.

Findings

We find that the timing performance of portfolios of funds is neutral and sensitive to controlling for fixed-income exposures and choice of the timing measurement model. The block-bootstrap analyses of funds in the tails of the distributions of stock timing performances suggest that sampling variation explains the underperformance of extreme left tail funds and confirms the good and bad luck in the bond timing management of tail funds. We report inference changes based on whether the Kosowski et al. or the Fama and French bootstrap approach is used.

Originality/value

This study provides extensive and robust evidence on the stock and bond timing performances of hybrid funds and their sensitivity based on (un)conditional linear multi-factor benchmark models. It examines the timing performances in the extreme tails funds using the block bootstrap method to efficiently identify (un)skilled fund managers. It also highlights the sensitivity of inferences to the choice of testing methodology.

Details

International Journal of Managerial Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1743-9132

Keywords

Open Access
Article
Publication date: 28 October 2021

Jun Gao, Niall O’Sullivan and Meadhbh Sherman

The Chinese fund market has witnessed significant developments in recent years. However, although there has been a range of studies assessing fund performance in developed…

Abstract

Purpose

The Chinese fund market has witnessed significant developments in recent years. However, although there has been a range of studies assessing fund performance in developed industries, the rapidly developing fund industry in China has received very little attention. This study aims to examine the performance of open-end securities investment funds investing in Chinese domestic equity during the period May 2003 to September 2020. Specifically, applying a non-parametric bootstrap methodology from the literature on fund performance, the authors investigate the role of skill versus luck in this rapidly evolving investment funds industry.

Design/methodology/approach

This study evaluates the performance of Chinese equity securities investment funds from 2003–2020 using a bootstrap methodology to distinguish skill from luck in performance. The authors consider unconditional and conditional performance models.

Findings

The bootstrap methodology incorporates non-normality in the idiosyncratic risk of fund returns, which is a major drawback in “conventional” performance statistics. The evidence does not support the existence of “genuine” skilled fund managers. In addition, it indicates that poor performance is mainly attributable to bad stock picking skills.

Practical implications

The authors find that the top-ranked funds with positive abnormal performance are attributed to “good luck” not “good skill” while the negative abnormal performance of bottom funds is mainly due to “bad skill.” Therefore, sensible advice for most Chinese equity investors would be against trying to “pick winners funds” among Chinese securities investment funds but it would be recommended to avoid holding “losers.” At the present time, investors should consider other types of funds, such as index/tracker funds with lower transactions. In addition, less risk-averse investors may consider Chinese hedge funds [Zhao (2012)] or exchange-traded fund [Han (2012)].

Originality/value

The paper makes several contributions to the literature. First, the authors examine a wide range (over 50) of risk-adjusted performance models, which account for both unconditional and conditional risk factors. The authors also control for the profitability and investment risks in Fama and French (2015). Second, the authors select the “best-fit” model across all risk-adjusted models examined and a single “best-fit” model from each of the three classes. Therefore, the bootstrap analysis, which is mainly based on the selected best-fit models, is more precise and robust. Third, the authors reduce the possibility that findings may be sample-period specific or may be a survivor (upward) biased. Fourth, the authors consider further analysis based on sub-periods and compare fund performance in different market conditions to provide more implications to investors and practitioners. Fifth, the authors carry out extensive robustness checks and show that the findings are robust in relation to different minimum fund histories and serial correlation and heteroscedasticity adjustments. Sixth, the authors use higher frequency weekly data to improve statistical estimation.

Details

Review of Accounting and Finance, vol. 20 no. 5
Type: Research Article
ISSN: 1475-7702

Keywords

Article
Publication date: 1 December 2021

Muhammad Yasir Faheem, Shun'an Zhong, Muhammad Basit Azeem and Xinghua Wang

Successive Approximation Register-Analog to Digital Converter (SAR-ADC) has been achieved notable technological advancement since the past couple of decades. However, it’s…

Abstract

Purpose

Successive Approximation Register-Analog to Digital Converter (SAR-ADC) has been achieved notable technological advancement since the past couple of decades. However, it’s not accurate in terms of size, energy, and time consumption. Many projects proposed to make it energy efficient and time-efficient. Such designs are unable to deliver two parallel outputs.

Design/methodology/approach

To this end, this study introduced an ultra-low-power circuitry for the two blocks (bootstrap and comparator) of 11-bit SAR-ADC. The bootstrap has three sub-parts: back-bone, left-wing and right-wing, named as bat-bootstrap. The comparator block has a circuitry of the two comparators and an amplifier, named as comp-lifier. In a bat-bootstrap, the authors plant two capacitors in the back-bone block to avoid the patristic capacitance. The switching system of the proposed design highly synchronized with the short pulses of the clocks for high accuracy. This study simulates the proposed circuits using a built-in Cadence 90 nm Complementary Metal Oxide Semiconductor library.

Findings

The results suggested that the response time of two bat-bootstrap wings and comp-lifier are 80 ns, 120 ns, and 90 ns, respectively. The supply voltage is 0.7 V, wherever the power consumption of bat-bootstrap, comp-lifier and SAR-ADC are 0.3561µW, 0.257µW and 35.76µW, respectively. Signal to Noise and Distortion Ratio is 65 dB with 5 MHz frequency and 25 KS/s sampling rate. The input referred noise of the amplifier and two comparators are 98µVrms, 224µVrms and 224µVrms, respectively.

Originality/value

Two basic circuit blocks for SAR-ADC are introduced, which fulfill the duality approach and delivered two outputs with highly synchronized clock pulses. The circuit sharing concept introduced for the high performance SAR-ADCs.

Article
Publication date: 7 August 2017

Bahram Sadeghpour Gildeh, Sedigheh Rahimpour and Fatemeh Ghanbarpour Gravi

The purpose of this paper is to construct a statistical hypotheses test for process capability indices and compare the pairs of them with a fixed sample size.

Abstract

Purpose

The purpose of this paper is to construct a statistical hypotheses test for process capability indices and compare the pairs of them with a fixed sample size.

Design/methodology/approach

Since the sampling distribution of the estimators of pairs of two process capability indices (PCIs) is very complex, an exact statistical hypothesis test for them cannot be constructed. Therefore, the authors have proposed a bootstrap method to construct the hypothesis test for them on the basis of p-value.

Findings

The authors have shown that by increasing n, the bootstrap method has better output relative to other methods and it can be easily implemented. The authors have also demonstrated that sometimes an exact hypotheses test cannot be constructed and need some assumptions.

Originality/value

In the present paper, several methods to test of hypotheses about the difference between two process capability indices have been compared.

Details

International Journal of Quality & Reliability Management, vol. 34 no. 7
Type: Research Article
ISSN: 0265-671X

Keywords

Content available
Article
Publication date: 1 March 2011

John T. Perry, Gaylen N. Chandler, Xin Yao and James Wolff

Among nascent entrepreneurial ventures, are some types of bootstrapping techniques more successful than others? We compare externally oriented and internally oriented…

1551

Abstract

Among nascent entrepreneurial ventures, are some types of bootstrapping techniques more successful than others? We compare externally oriented and internally oriented techniques with respect to the likelihood of becoming an operational venture; and we compare cash-increasing and cost-decreasing techniques with respect to becoming operational. Using data from the first Panel Study of Entrepreneurial Dynamics, we find evidence suggesting that when bootstrapping a new venture, the percentage of cash-increasing and cost-decreasing externally oriented bootstrapping techniques that a ventureʼs owners use are positive predictors of subsequent positive cash flow (one and two years later). But, internally oriented techniques are not related to subsequent cash flow.

Details

New England Journal of Entrepreneurship, vol. 14 no. 1
Type: Research Article
ISSN: 2574-8904

Keywords

Article
Publication date: 21 July 2020

Hussein-Elhakim Al Issa

This paper aims to examine the effect of financial bootstrapping strategies (FBS) and strategic improvisation (SI) on business performance (BP). The study enriches our…

Abstract

Purpose

This paper aims to examine the effect of financial bootstrapping strategies (FBS) and strategic improvisation (SI) on business performance (BP). The study enriches our understanding of the contributions of bootstrapping and improvisation strategies toward resource-constrained small businesses during real economic downturns and crises. The potential moderating effect of SI on the relationship between FBS and its dimensions and performance were also examined.

Design/methodology/approach

Using the convenience snowball sampling technique, data were collected from entrepreneurs in Tripoli, Libya. Structural equation modeling by means of partial least square bootstrapping resampling was used for the hypotheses testing of the 147 useable responses.

Findings

Statistically significant positive relationships were found in the direct relationships between bootstrapping and improvisation with performance. However, there was no significant association found between the delaying payment related bootstrapping and the owner-related bootstrapping with performance. The moderating effect of improvisation had a significant relationship between bootstrapping as an aggregate construct and its dimensions and performance.

Research limitations/implications

Due to the cross-sectional nature of this study which used a small sample that was randomly selected, generalization to the entire population of business ventures should be made with caution.

Practical implications

The negative moderation effect of improvisation on FBS-BP association suggests that entrepreneurs need to be careful in balancing the two strategies so that efforts are no wasted.

Originality/value

While business performance has been studied in various organizations, its examination with financial bootstrapping strategies as a predictor and strategic improvisation as a moderator contribute nascent theoretical insights.

Details

EuroMed Journal of Business, vol. 16 no. 2
Type: Research Article
ISSN: 1450-2194

Keywords

1 – 10 of over 13000