Search results

Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets with the objective of determining the degree of unconditional spillover between markets.

To examine volatility spillovers across the 16 office markets, the authors adopted the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) by measuring cross-office market volatility transmission in asset pricing through estimates of several “volatility spillover indices.”

Volatility spillovers are important and time-varying across the leading office markets, with cross-market volatility interaction being bi-directional and of relative endogenous nature for many markets. The London office market is the “volatility leader” and has exerted significant net volatility influence on the other markets. Additionally, the volatility spillovers between business cycle fluctuations and asset market cycle volatilities are linked across some European economies.

Evidence of co-integration among the domestic volatility spillover cycles implies the presence of unobserved common shocks and might not be good news for international investors who pursue diversification strategies in European office real estate markets.

No previous study has addressed formally the measurement and assessment of the nature and intensity of volatility spillovers across direct office markets on such a broad range of European office markets. The relevance of the topic has been even increasing over the previous years as more and more investors seek for flexibility and participation in the investment process and asset management.

The purpose of this paper is to compare the risk and return characteristics as well as the allocation of mean‐variance (MV) and downside risk (DR) optimized portfolios of international real estate stock markets and to discuss implications for portfolio management.

The analysis focuses on real estate markets only and examines the appropriateness of the Markowitz approach based on MV optimization in comparison to the DR framework suggested by Estrada. Therefore, the two frameworks are presented before the properties of the return distributions are analyzed. Afterwards, the risk and return characteristics as well as the allocation of the efficient portfolios in both frameworks and the divergences are analyzed.

Because of non‐normally distributed returns, negative skewness, and probably non‐quadratic utility functions of investors, MV optimization is not appropriate and the alternative approach by Estrada has its merit compared with other DR frameworks. Furthermore, MV‐efficient and DR‐efficient portfolio allocation differ, as shown by a similarity index. Summarizing, MV optimization is inherent with misleading results and DR optimization shows stronger out‐of‐sample performance – at least during time periods characterized by high market volatility and financial market turmoil.

This study provides some interesting and valuable insights into the DR of international securitized real estate portfolios and the limitations for portfolio management based on MV optimization.

The purpose of this paper is to examine the time‐varying correlation structure of international real estate stock markets and its implications for portfolio management.

The analysis focuses on real estate markets only and examines the appropriateness of the Markowitz approach based on mean‐variance‐optimization. Therefore, the properties of the return distributions are analyzed first. Afterwards, the stability of the correlation and covariance structure over time is analyzed and statistically tested by the Jennrich test.

Because of low correlation among real estate markets worldwide there exists diversification benefits from broadening the investment horizon to international real estate markets. However, using correlation coefficients as a measure for diversification benefits is limited by empirical findings: Returns are not normally distributed, correlations increase in downward moving phases and neither the correlation nor the covariance structures are statistically stable over time. Therefore, mean‐variance optimization is inherent with misleading results.

The study provides some interesting and valuable insights into the correlation structure of real estate stock markets over time and the limitations for portfolio management based on mean‐variance‐optimization.

This chapter aims to determine whether diversification benefits accrue from adding emerging market hedge funds (EMHFs) to an emerging market bond/equity portfolio, and subsequently whether the type of exposure hedge funds provide is justified by their fees. We use multivariate cointegration analysis to show that the advantages of adding hedge funds to balanced portfolios are limited for the three regions of Asia, Eastern Europe, and Latin America, as well as for the entire global emerging market universe. In summary, we find that emerging market hedge funds are generally redundant for diversifying long-only emerging market investment portfolios with long-term investment horizons. This result also holds when we extend our sample by the global financial crisis in 2008 and 2009 and allow for structural breaks according to the Gregory-Hansen (1996) test. Hence, even during the global financial crisis in 2008 and 2009, when risk diversification was most needed, long-term comovements between hedge funds and traditional assets is, with the exception of the Eastern European region, not disrupted. Because EMHF returns are heavily influenced by the emerging market equity and bond markets, we conclude that the “alpha fees” charged by EMHFs may not always be appropriate for the three main regions under consideration. This also holds, however, to a lesser extent, for a global diversification among hedge funds and traditional assets in emerging markets.

Search engines exist to help sort through all the information available on the Internet, but have thus fair failed to shoulder any responsibility for the content which appears on the pages they present in their indexes. Search engines lack any transparency to clarify how results were found, and how they are connected to the search terms. Thus, problems arise in connection with the protection of minors – namely, that minors have access, intentional or unwitting, to content which may be harmful to them. The findings of this study point to the need for a better framework for the protection of children. This framework should include codes of conduct for search engines, more accurate labeling of Web site data, and the outlawing of search engine manipulation. This study is intended as a first step in making the public aware of the problem of protecting children on the Internet.

The purpose of this paper is to examine the impact of exposure-related and consumer-related factors on the return of sponsorship investment through their influence on viewers’ attention for sponsor signage.

Data were collected through an experimental study (n=92) involving eye-tracking and a questionnaire, and were analyzed using regression analysis.

The results show that viewers’ attention for sponsor signage is affected by the signage color of concurrent sponsors, as well as viewers’ brand familiarity, and sport involvement. In particular, the findings reveal that viewers’ attention for sponsor signage increases with greater color contrast between concurrently visible sponsor signage. Further, signage receives more attention if viewers are familiar with the brand and less involved with the sponsored event. Given that attention is an important prerequisite for further processing of sponsorship information, these findings have important implications for managers seeking to evaluate the return on their sponsorship investment.

When assessing the return on a sponsorship investment, marketers should consider the characteristics of surrounding sponsor signage and the audience with regard to their impact on viewers’ attention for their own signage. Ideally, marketers should attempt to create a greater color contrast between their own signage and its surroundings in order to maximize viewer attention.

This paper provides valuable information on the importance of concurrently visible sponsor signage and audience characteristics for the return on investment of sponsorships through their impact on viewers’ attention.

Literature considers the succession process to be successful when both the continuity of the business and harmony within the family are preserved. This study empirically investigates intra-family dynamics with regard to daughters as potential successors in family businesses.

The study takes place in South Africa where family businesses represent a significant amount of all listed businesses on the Johannesburg Stock Exchange. A structured survey instrument is used to collect primary data from family businesses in South Africa. The study hypotheses are statistically tested using regression analyses.

Results highlight the importance of the business context (BC), intra-family cohesion (IFC), intra-family adaptability (IFA) as well as the parent-daughter relationship (PDR) in successful daughter succession planning (SP). An important insight which emerges from the findings is the extent to which a harmonious business environment is conducive in accommodating the daughter as a successor to the business.

Family business owners need to be aware of the often conflicting pressures that daughters face as potential successors. Evidence-based and fit for purpose to the South African family BC processes and directives must be formulated that guide the implementation of SP. The provision of training specifically focused on gender bias issues and women empowerment programmes in family business is recommended.

Investigating theoretical and practical problems related to daughters in SP in South Africa is important considering that firms in African countries in general tend to be poorly managed.

This study aims to examine the relationship between external audit fees and the adherence of internal audit with the International Standards for the Professional Practice of Internal Auditing (ISPPIA), i.e. whether such adherence has a relation with lower or higher audit fees.

Data were gathered from the annual reports and 229 chief internal auditors (CIAs) from UK companies listed on the London Stock Exchange.

The result suggests that, in fact, higher external audit fee is related with adherence with both attribute and performance standards. Also, there is an association between audit fees and budget for the internal audit with longer tenure of the CIA.

Given the lack of attention to the potential impact of the ISPPIA on audit fees by previous researchers, any insight provided by the study in this regard will represent a valuable contribution to the literature in complementing what already exists and pointing the way to further research opportunities.

This paper aims to present an open source math-aware Question Answering System based on Ask Platypus.

The system returns as a single mathematical formula for a natural language question in English or Hindi. These formulae originate from the knowledge-based Wikidata. The authors translate these formulae to computable data by integrating the calculation engine sympy into the system. This way, users can enter numeric values for the variables occurring in the formula. Moreover, the system loads numeric values for constants occurring in the formula from Wikidata.

In a user study, this system outperformed a commercial computational mathematical knowledge engine by 13 per cent. However, the performance of this system heavily depends on the size and quality of the formula data available in Wikidata. As only a few items in Wikidata contained formulae when the project started, the authors facilitated the import process by suggesting formula edits to Wikidata editors. With the simple heuristic that the first formula is significant for the paper, 80 per cent of the suggestions were correct.

This research was presented at the JCDL17 KDD workshop.