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Article
Publication date: 4 September 2007

Don U.A. Galagedera

The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review…

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Abstract

Purpose

The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset pricing.

Design/methodology/approach

Pricing models are discussed under five categories: the single‐factor model, multifactor models, CAPM with higher order systematic co‐moments, CAPM conditional on market movements and time‐varying volatility models.

Findings

The paper finds that the last half‐century has witnessed the proliferation of empirical studies testing on the validity of the CAPM. A growing number of studies find that the cross‐asset variation in expected returns cannot be explained by the systematic risk alone. Therefore a variety of models have been developed to predict asset returns.

Research limitations/implications

There is no consensus in the literature as to what a suitable measure of risk is, and consequently, as to what is a suitable measure for evaluating risk‐adjusted performance. So the quest for robust asset pricing models continues.

Originality/value

From its beginning to its possible demise the paper reviews the history of the CAPM assuring that we are all up to speed with what has been done.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 July 1991

Don U.A. Galagedera

Industrialists often complain that management graduates are farfrom reality. As a remedy, institutes of higher education haveintroduced “industrial training” as a

Abstract

Industrialists often complain that management graduates are far from reality. As a remedy, institutes of higher education have introduced “industrial training” as a component in academic programmes. A reason attributed for failure of training programmes is inappropriate assessment. Therefore, the training programme should be of structured type and allow for the assessment of the trainee′s level of accomplishment in familiarisation with the working environment, in knowledge enhancement and in ability to apply the concepts and theories learned.

Details

Industrial and Commercial Training, vol. 23 no. 7
Type: Research Article
ISSN: 0019-7858

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Article
Publication date: 1 September 2002

Don U.A. Galagedera and Param Silvapulle

Outlines previous research on measuring the performance of investment funds, suggesting that data envelopment analysis (DEA) techniques can overcome some of the problems…

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2146

Abstract

Outlines previous research on measuring the performance of investment funds, suggesting that data envelopment analysis (DEA) techniques can overcome some of the problems of the capital asset pricing model and give pointers for improvement. Uses DEA to assess the relative performance of 257 Australian mutual funds 1995‐1999 and logistic regression to investigate the characteristics which affect it. Describes the methodology and presents the results, which suggest that scale efficiency is the main source of overall technical efficiency and that both are higher for risk‐averse funds with high positive net asset flows. Explains the ASSIRT rating system for managed funds and finds the ratings strongly associated with DEA relative efficiency scores. Believes the findings are useful to analysts, investors and managers.

Details

Managerial Finance, vol. 28 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 30 August 2011

Elizabeth A. Maharaj, Don U.A. Galagedera and Jonathan Dark

The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales through wavelet…

Abstract

Purpose

The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales through wavelet decomposition. Such information is vital for international investors who have different time horizons for their investment decisions and trading strategies.

Design/methodology/approach

The wavelet technique used here allows the return series to be viewed at different frequency by decomposing the series into different time horizons known as time scales. The decomposed return series enable investigation of return variability at different return intervals.

Findings

In an analysis at different time scales, there is no evidence to suggest that the return dynamics of developed and emerging markets are different. In both types of markets, return variance is time scale dependent, satisfying a pure power law process, and the variability in returns is more likely to be due to the dynamics at the lower time scales. While emerging markets generally exhibit a higher level of volatility, the relative contribution from each time scale is quite similar to that of the developed markets.

Originality/value

The difference in the return dynamics between emerging and developed markets is observed at the lowest time scale. This is an indication that differences in the return dynamics between the two types of markets may be more likely in the short term (high frequency) rather than in the long term. A plausible reason for this is speculative trading. Such information is vital for international investors who have different time horizons for their investment decisions and trading strategies.

Details

Managerial Finance, vol. 37 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 4 September 2007

Kaylene Zaretzky and J. Kenton Zumwalt

Earlier research found that firms with the highest distress risk have low book‐to‐market (B/M) ratios and low returns. This paper aims to examine the robustness of those's…

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Abstract

Purpose

Earlier research found that firms with the highest distress risk have low book‐to‐market (B/M) ratios and low returns. This paper aims to examine the robustness of those's results and provide further evidence that high distress‐risk firms do not enjoy the same high returns earned by high B/M firms and that distress risk is unlikely to explain the Fama and French high‐minus‐low (HML) B/M factor.

Design/methodology/approach

A distress‐risk measure, distressed‐minus‐solvent (DMS), is calculated and a range of zero investment distress‐risk trading strategies is investigated. Value‐ and equal‐weighted portfolios are examined both with negative book‐equity firms and without. These most distressed firms have low or negative B/M values and would either not be included in the Fama and French sample or included in the low B/M portfolio.

Findings

The paper finds that the DMS factor is negative and significant, and none of the zero investment strategies earns significantly positive returns.

Research limitations/implications

The findings suggest that exposure to distress risk does not earns investors a positive risk premium. It appears that over the period examined, market inefficiencies drive the market value and returns of high distress‐risk firms.

Originality/value

The distress‐risk premium is shown to be negative and, therefore, cannot be driven by bankruptcy risk alone. The negative premium is not consistent with a financial distress explanation for the Fama and French HML factor.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 4 September 2007

Michael E. Drew, Madhu Veeraraghavan and Min Ye

The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the…

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1301

Abstract

Purpose

The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange.

Design/methodology/approach

Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period.

Findings

A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the magnitude and persistence of price momentum.

Research limitations/implications

Substantial momentum observed in monthly stock returns has investment implications. Abnormal returns vary from 0.3 to 7 per cent per month in the intermediate horizon.

Originality/value

This study provides an out of sample evidence by examining the relationship between “trading volume” (measured by the turnover ratio) and “momentum” strategies in an Australian setting.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 4 September 2007

Hafiz Al Asad Bin Hoque

The purpose of this paper is to explore dynamics of stock price movements of an emerging market, Bangladesh with that of USA, Japan and India.

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1938

Abstract

Purpose

The purpose of this paper is to explore dynamics of stock price movements of an emerging market, Bangladesh with that of USA, Japan and India.

Design/methodology/approach

The long‐term relationships among the markets are analyzed using the Johansen and Juselius multivariate cointegration approach. Short‐run dynamics are captured through vector error correction models. Further investigation on short‐run dynamics is carried out through impulse response analysis.

Findings

There is evidence of cointegration among the markets demonstrating that stock prices in the countries studied here share a common stochastic trend. Impulse response analysis shows that shocks to the US market do have an impact on the Bangladesh market. The evidence of Bangladesh stock market responding to shocks in the Indian market is weak. Shocks to the Japanese market do not generate a response in the Bangladesh market.

Research limitations/implications

As these markets share a common stochastic trend no diversification benefit is possible from cross‐border investments. Investors could further enhance their understanding of market behaviour by comparing the observations here with those of studies that adopt technical analysis, fundamental analysis and consider financial anomalies.

Originality/value

The evidence of cointegration and the short run dynamic relationship help investors in making efficient investment decisions in the Bangladesh stock market.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 4 September 2007

Suren Peter

The purpose of this paper is to investigate returns of initial public offerings (IPOs) in an emerging market and differences in the returns of privatized and…

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1920

Abstract

Purpose

The purpose of this paper is to investigate returns of initial public offerings (IPOs) in an emerging market and differences in the returns of privatized and non‐privatized offerings.

Design/methodology/approach

Market‐adjusted return is computed as daily cumulative excess returns for six‐ and 12‐month periods. Long‐run performance is measured by calculating market‐adjusted buy and hold return assuming that shareholders pursue strategies of 1, 2 and 3 years.

Findings

The paper finds that underpricing exists even in emerging markets and at a higher level than in developed countries. Average returns are over 55 per cent and is comparable with that of Malaysia, Mexico, Poland and Thailand. POs generally outperform the market, with the privatized IPOs offering superior excess returns than the non‐privatized IPOs. Excess returns diminish by the end of three years. The pattern of the returns seen in this case is different to similar studies elsewhere, where excess returns are observed over four to five years after the initial listing.

Research limitations/implications

The number of IPOs investigated here is comparatively small. However, because the sample consists of a mix of privatized vs non‐privatized companies, the results provide useful insights on factors that may drive the unusual returns. While underpricing is common in most IPOs, the state when privatizing enterprises seem to be offering investors excessive returns.

Originality/value

This paper provides researchers and policymakers some insights into the workings of capital markets in emerging economies.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 24 September 2021

Xue Deng and Yingxian Lin

The weighted evaluation function method with normalized objective functions is used to transform the proposed multi-objective model into a single objective one, which…

Abstract

Purpose

The weighted evaluation function method with normalized objective functions is used to transform the proposed multi-objective model into a single objective one, which reflects the investors' preference for returns, risks and social responsibility by adjusting the weights. Finally, an example is given to illustrate the solution steps of the model and the effectiveness of the algorithm.

Design/methodology/approach

Based on the possibility theory, assuming that the future returns of each asset are trapezoidal fuzzy numbers, a mean-variance-Yager entropy-social responsibility model is constructed including piecewise linear transaction costs and risk-free assets. The model proposed in this paper includes six constraints, the investment proportion sum, the non-negativity proportion, the ceiling and floor, the pre-assignment, the cardinality and the round lot constraints. In addition, considering the special round lot constraint, the proposed model is transformed into an integer programming problem.

Findings

The effects of different constraints and transaction costs on the effective frontier of the portfolio are analyzed, which not only assists investors to make decisions close to their expectations by setting appropriate parameters but also provides constructive suggestions through the overall performance of each asset.

Originality/value

There are two improvements in the improved particle swarm optimization algorithm: one is that the complex constraints are specifically satisfied by using a renewable 0–1 random constraint matrix and random scaling factors instead of fixed ones; the other is eliminating the particles with poor fitness and randomly adding some new particles that satisfy all the constraints to achieve the goal of global search as much as possible.

Details

Engineering Computations, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 7 July 2020

H. Kent Baker, Satish Kumar and Nitesh Pandey

Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF…

Abstract

Purpose

Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF between 1996 and 2019.

Design/methodology/approach

This study uses the Scopus database to analyze the most frequent authors in MF along with their affiliated institutions and countries. It also identifies the most often cited MF articles. This study uses bibliometric indicators to analyze productivity and stature of MF. It also uses such tools as bibliographic coupling, keyword analysis and coauthorship analysis to analyze MF. Further, the study provides a temporal analysis of MF publishing across different ownership periods.

Findings

MF publishes between 60 and 70 articles each year and its number of citations steadily grows. Although contributors to the journal come from around the globe, they most often are affiliated with the United States, the United Kingdom and Greece. Temporal analysis of journal's themes reveals that it has expanded its scope from accounting research to a much wider array of finance topics. Bibliographic coupling network analysis shows that major themes published in MF involve stock markets, corporate governance, banking, financial decision-making and initial public offerings.

Research limitations/implications

Due to the unavailability of bibliometric data, the analysis excludes an analysis of MF between 1975 and 1995.

Originality/value

This study provides the first overview of the MF's publication and citation trends as well as its thematic structure. It also suggests future directions that the journal might take.

Details

Managerial Finance, vol. 46 no. 11
Type: Research Article
ISSN: 0307-4358

Keywords

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