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Book part
Publication date: 4 March 2008

C. Sherman Cheung, Clarence C.Y. Kwan and Peter C. Miu

In response to common criticisms on the appropriateness of mean-variance in asset allocation decisions involving hedge funds, we offer a mean-Gini framework as an…

Abstract

In response to common criticisms on the appropriateness of mean-variance in asset allocation decisions involving hedge funds, we offer a mean-Gini framework as an alternative. The mean-Gini framework does not require the usual normality assumption concerning return distributions. We also evaluate empirically the differences in allocation outcomes between the two frameworks using historical data. The differences turn out to be significant. The evidence thus confirms the inappropriateness of the mean-variance framework and enhances the attractiveness of mean-Gini for this asset class.

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Research in Finance
Type: Book
ISBN: 978-1-84950-549-9

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Book part
Publication date: 27 June 2014

C. Sherman Cheung and Peter Miu

Real estate investment has been generally accepted as a value-adding proposition for a portfolio investor. Such an impression is not only shared by investment…

Abstract

Real estate investment has been generally accepted as a value-adding proposition for a portfolio investor. Such an impression is not only shared by investment professionals and financial advisors but also appears to be supported by an overwhelming amount of research in the academic literature. The benefits of adding real estate as an asset class to a well-diversified portfolio are usually attributed to the respectable risk-return profile of real estate investment together with the relatively low correlation between its returns and the returns of other financial assets. By using the regime-switching technique on an extensive historical dataset, we attempt to look for the statistical evidence for such a claim. Unfortunately, the empirical support for the claim is neither strong nor universal. We find that any statistically significant improvement in risk-adjusted return is very much limited to the bullish environment of the real estate market. In general, the diversification benefit is not found to be statistically significant unless investors are relatively risk averse. We also document a regime-switching behavior of real estate returns similar to those found in other financial assets. There are two distinct states of the real estate market. The low-return (high-return) state is characterized by its high (low) volatility and its high (low) correlations with the stock market returns. We find this kind of dynamic risk characteristics to play a crucial role in dictating the diversification benefit from real estate investment.

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Signs that Markets are Coming Back
Type: Book
ISBN: 978-1-78350-931-7

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Book part
Publication date: 26 April 2011

C. Sherman Cheung and Peter C. Miu

Using a market model of international equity returns, which fully incorporates the regime switching and heteroskedasticity effects, we conduct an empirical study on the…

Abstract

Using a market model of international equity returns, which fully incorporates the regime switching and heteroskedasticity effects, we conduct an empirical study on the asymmetric behavior of 31 emerging equity markets across the different regimes of both the global and the local markets. Asymmetric correlation is found to be much weaker than that among developed markets as documented in the recent studies. There is little evidence of performance enhancement by possessing information on asymmetric correlation in international asset allocation strategies involving emerging markets.

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Research in Finance
Type: Book
ISBN: 978-0-85724-541-0

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Book part
Publication date: 24 March 2005

Narat Charupat and C.Sherman Cheung

This paper examines secondary equity offerings that were done in the Canadian markets through “installment receipts” (IRs). Previous studies on seasoned equity offerings…

Abstract

This paper examines secondary equity offerings that were done in the Canadian markets through “installment receipts” (IRs). Previous studies on seasoned equity offerings tend to focus on the price reaction around the announcement date. We extend the analysis to cover a longer period so that the issues of liquidity effect and information asymmetry can be adequately addressed. We also offer evidence to indicate that the use of IRs in secondary offerings can reduce the liquidity impact in markets where market depth is not as substantial as in the U.S.

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Research in Finance
Type: Book
ISBN: 978-0-76231-161-3

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Book part
Publication date: 4 March 2008

Abstract

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-549-9

To view the access options for this content please click here
Book part
Publication date: 27 June 2014

Abstract

Details

Signs that Markets are Coming Back
Type: Book
ISBN: 978-1-78350-931-7

To view the access options for this content please click here
Book part
Publication date: 26 April 2011

Abstract

Details

Research in Finance
Type: Book
ISBN: 978-0-85724-541-0

To view the access options for this content please click here
Book part
Publication date: 24 March 2005

Abstract

Details

Research in Finance
Type: Book
ISBN: 978-0-76231-161-3

To view the access options for this content please click here
Book part
Publication date: 24 March 2005

Abstract

Details

Research in Finance
Type: Book
ISBN: 978-0-76231-161-3

To view the access options for this content please click here
Book part
Publication date: 18 August 2014

David A. Askay, Anita Blanchard and Jerome Stewart

This chapter examines the affordances of social media to understand how groups are experienced through social media. Specifically, the chapter presents a theoretical model…

Abstract

Purpose

This chapter examines the affordances of social media to understand how groups are experienced through social media. Specifically, the chapter presents a theoretical model to understand how affordances of social media promote or suppress entitativity.

Methodology

Participants (N=265) were recruited through snowball sampling to answer questions about their recent Facebook status updates. Confirmatory factor analysis (CFA) was used to examine the goodness of fit for our model.

Findings

We validate a model of entitativity as it occurs through the affordances offered by social media. Participant’s knowledge that status update responders were an interacting group outside of Facebook affected their perceptions of interactivity in the responses. Interactivity and history of interactions were the strongest predictors of status update entitativity. Further, status update entitativity had positive relationships with overall Facebook entitativity as well as group identity.

Practical implications

To encourage group identity through social media, managers need to increase employees’ perceptions of entitativity, primarily by enabling employees to see the interactions of others and to contribute content in social media platforms.

Originality/value

This is the only study we know of that empirically examines how groups are experienced through social media. Additionally, we draw from an affordance perspective, which helps to generalize our findings beyond the site of our study.

Details

Social Media in Human Resources Management
Type: Book
ISBN: 978-1-78190-901-0

Keywords

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