Search results

1 – 10 of over 13000
Article
Publication date: 10 May 2019

Peterson Owusu Junior, George Tweneboah, Kola Ijasan and Nagaratnam Jeyasreedharan

This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate…

Abstract

Purpose

This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate distributional fit that captures tail and shape characteristics. The study adds to the knowledge of distributional properties of seven global REITs by using the generalised lambda distribution (GLD), which captures fairly well the higher moments of the returns.

Design/methodology/approach

This is an empirical study with GLD through three rival methods of fitting tail and shape properties of seven REIT return data from January 2008 to November 2017. A post-Global Financial Crisis (GFC) (from July 2009) period fits from the same methods are juxtaposed for comparison.

Findings

The maximum likelihood estimates outperform the methods of moment matching and quantile matching in terms of goodness-of-fit in line with extant literature; for the post-GFC period as against the full-sample period. All three methods fit better in full-sample period than post-GFC period for all seven countries for the Region 4 support dynamics. Further, USA and Singapore possess the strongest and stronger infinite supports for both time regimes.

Research limitations/implications

The REITs markets, however, developed, are of wide varied sizes. This makes comparison less than ideal. This is mitigated by a univariate analysis rather than multivariate one.

Practical implications

This paper is a reminder of the inadequacy of the normal distribution, as well as the mean, variance, skewness and kurtosis measures, in describing distributions of asset returns. Investors and policymakers may look at the location and scale of GLD for decision-making about REITs.

Originality/value

The novelty of this work lies with the data used and the detailed analysis and for the post-GFC sample.

Details

Journal of European Real Estate Research , vol. 12 no. 3
Type: Research Article
ISSN: 1753-9269

Keywords

Article
Publication date: 1 January 1997

R.W. Faff and S. Lau

Standard multivariate tests of mean variance efficiency (MVE) have been criticised on the grounds that they require regression residuals to have a multivariate normal…

1974

Abstract

Standard multivariate tests of mean variance efficiency (MVE) have been criticised on the grounds that they require regression residuals to have a multivariate normal distribution. Generally, the existing evidence suggests that the normality assumption is questionable, even for monthly returns. MacKinlay and Richardson (1991) developed a generalised method of moments (GMM) framework which provides tests which are valid under much weaker distributional assumptions. They examined monthly US data formed into size based portfolios, for mean‐variance efficiency relative to the Sharpe‐Lintner CAPM. They found that inferences regarding mean‐variance efficiency can be sensitive to the test considered. In this paper we further investigate their GMM tests using monthly Australian data over the period 1974 to 1994. We extend upon their analysis to consider an alternative version of their GMM test and also to examine a zero‐beta version of the CAPM. Similar to the US case, our results also indicate sensitivity of inferences to the tests used. Finally, while we find that the GMM tests generally provide rejection of mean‐variance efficiency, tests involving the zero‐beta CAPM, particularly when a value‐weighted market index is used, prove less prone to rejection.

Details

Pacific Accounting Review, vol. 9 no. 1
Type: Research Article
ISSN: 0114-0582

Book part
Publication date: 30 August 2019

Md. Nazmul Ahsan and Jean-Marie Dufour

Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult…

Abstract

Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult to apply due to the presence of latent variables. The existing methods are either computationally costly and/or inefficient. In this paper, we propose computationally simple estimators for the SV model, which are at the same time highly efficient. The proposed class of estimators uses a small number of moment equations derived from an ARMA representation associated with the SV model, along with the possibility of using “winsorization” to improve stability and efficiency. We call these ARMA-SV estimators. Closed-form expressions for ARMA-SV estimators are obtained, and no numerical optimization procedure or choice of initial parameter values is required. The asymptotic distributional theory of the proposed estimators is studied. Due to their computational simplicity, the ARMA-SV estimators allow one to make reliable – even exact – simulation-based inference, through the application of Monte Carlo (MC) test or bootstrap methods. We compare them in a simulation experiment with a wide array of alternative estimation methods, in terms of bias, root mean square error and computation time. In addition to confirming the enormous computational advantage of the proposed estimators, the results show that ARMA-SV estimators match (or exceed) alternative estimators in terms of precision, including the widely used Bayesian estimator. The proposed methods are applied to daily observations on the returns for three major stock prices (Coca-Cola, Walmart, Ford) and the S&P Composite Price Index (2000–2017). The results confirm the presence of stochastic volatility with strong persistence.

Details

Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A
Type: Book
ISBN: 978-1-78973-241-2

Keywords

Open Access
Article
Publication date: 16 November 2023

P.K. Priyan, Wakara Ibrahimu Nyabakora and Geofrey Rwezimula

The study aims to evaluate the influence of capital structure decisions and asset structure on firms' performance for East African listed nonfinancial firms.

Abstract

Purpose

The study aims to evaluate the influence of capital structure decisions and asset structure on firms' performance for East African listed nonfinancial firms.

Design/methodology/approach

The research is descriptive and employs secondary data from the East African capital markets' websites. The generalized method of moments approach is used to estimate the relationship due to its ability to account for endogeneity problems.

Findings

The result shows that capital structure decisions and asset structure strongly influence the firms' performance. When long-term debts, short-term debts and tangible fixed assets increase, the return on total assets increases. An increase in the total debt ratio raises the return on equity (ROE). However, the increase in long-term debt lowers the ROE.

Practical implications

The results will help investors and potential investors decide on a financing policy that maximizes performance. Likewise, governments and other policymakers review the capital markets' frameworks to attract institutional and individual investors to the markets for financial availability and to increase profitability.

Originality/value

The research provides evidence on the influence of capital structure decisions and asset structure on firms' performance. Furthermore, its results contribute to firms' financing policy formulation and the corporate finance literature.

Details

PSU Research Review, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2399-1747

Keywords

Article
Publication date: 26 September 2022

Qiang Wang, Chen Zhang and Rongrong Li

This study is aimed to measure the intertemporal financial efficiency of 16 emerging economy countries (BRICS and N-11) and further to investigate the mechanisms of financial…

Abstract

Purpose

This study is aimed to measure the intertemporal financial efficiency of 16 emerging economy countries (BRICS and N-11) and further to investigate the mechanisms of financial development on energy efficiency covering the period 2008–2020.

Design/methodology/approach

The dynamic data envelopment analysis model is used to measure financial efficiency dynamically. The generalized method of moments is used to investigate the effects of financial efficiency on energy efficiency. In the proposed approach, energy efficiency is the dependent variable, whereas financial efficiency, GDP per capita, industrial structure upgrade index, urbanization level and export trade structure are the regressors. Generalized moment estimation is performed.

Findings

There is heterogeneity in the level of financial development at different stages of economic development. The impact of financial efficiency on energy efficiency is related to the type of industries to which financial institutions are allocated. With the financial development of emerging economies, enterprises in technology-intensive industries are becoming the main contributors to higher profits for financial institutions, the products and results of these enterprises reduce energy consumption and increase energy efficiency. In addition, residents with rising levels of wealth holdings prefer low-carbon and environmentally friendly products, which indirectly improves energy efficiency. Per capita GDP and urbanization have no significant impact on the energy efficiency of emerging economies. The optimization and upgrading of the industrial structure of emerging economies has played a role in promoting energy efficiency. The export trade structure has a restraining effect on energy efficiency.

Originality/value

The findings contribute value by supporting a positive link between Financial Development and Energy Efficiency in the emerging economies. Enterprises in technology-intensive industries have gradually become the main force that brings higher profits to financial institutions. The products and achievements of these enterprises will reduce energy consumption and improve energy efficiency. The findings of this study provide emerging economies with an objective view of their financial development and energy efficiency, while also providing governments and policymakers with ways to improve energy efficiency and achieve sustainable development.

Details

Management of Environmental Quality: An International Journal, vol. 34 no. 2
Type: Research Article
ISSN: 1477-7835

Keywords

Article
Publication date: 27 April 2020

Edmore Mahembe and Nicholas M. Odhiambo

This paper aims to assess whether official development assistance (ODA) or foreign aid has been effective in reducing extreme poverty; test whether the type and source of aid…

Abstract

Purpose

This paper aims to assess whether official development assistance (ODA) or foreign aid has been effective in reducing extreme poverty; test whether the type and source of aid matter; and examine whether political or economic freedom enhances aid effectiveness in developing countries.

Design/methodology/approach

The study uses recent dynamic panel estimation techniques (system generalised method of moments), including those methods which deal with endogeneity by controlling for simultaneity and unobserved heterogeneity.

Findings

The main findings of the study are: firstly, foreign aid does have a statistically significant poverty reduction effect and the results are consistent across all the three extreme poverty proxies. Secondly, the disaggregation of aid by source and type shows that total aid, grant and bilateral aid are more likely to reduce poverty. Thirdly, political freedom might not be an effective channel through which aid impacts extreme poverty, but aid is more effective in an environment where there is respect for freedom of enterprise.

Research limitations/implications

As with most cross-country aid–growth–poverty dynamic panel data studies, the challenges of establishing robust causality and accounting for the unobserved country-specific heterogeneity remain apparent. However, given the data availability constraints, generalised method of moments is, to the best of the authors’ knowledge, the most robust empirical strategy when T < N. Future research could explore possibilities of individual country analysis, disaggregating countries by income and also examining the direction of causality between foreign aid, poverty and democracy.

Practical implications

The policy implications are that the development partners should continue to focus on poverty reduction as the main objective for ODA; aid allocation should be focused on channels which have more poverty-reduction effect, such as per capita income and economic freedom; and aid recipient countries should also focus on reducing inequality.

Social implications

The main social implications from this study is that it is possible to reduce poverty through ODA. Second, to enhance the effectiveness of foreign aid, ODA allocation should be focussed on channels, which have more poverty-reduction effect, and the host countries should have economic freedom.

Originality/value

This paper makes a further contribution to the aid effectiveness literature, especially the channels through which foreign aid affects poverty.

Details

International Journal of Development Issues, vol. 19 no. 2
Type: Research Article
ISSN: 1446-8956

Keywords

Book part
Publication date: 23 June 2016

Bao Yong, Fan Yanqin, Su Liangjun and Zinde-Walsh Victoria

This paper examines Aman Ullah’s contributions to robust inference, finite sample econometrics, nonparametrics and semiparametrics, and panel and spatial models. His early works…

Abstract

This paper examines Aman Ullah’s contributions to robust inference, finite sample econometrics, nonparametrics and semiparametrics, and panel and spatial models. His early works on robust inference and finite sample theory were mostly motivated by his thesis advisor, Professor Anirudh Lal Nagar. They eventually led to his most original rethinking of many statistics and econometrics models that developed into the monograph Finite Sample Econometrics published in 2004. His desire to relax distributional and functional-form assumptions lead him in the direction of nonparametric estimation and he summarized his views in his most influential textbook Nonparametric Econometrics (with Adrian Pagan) published in 1999 that has influenced a whole generation of econometricians. His innovative contributions in the areas of seemingly unrelated regressions, parametric, semiparametric and nonparametric panel data models, and spatial models have also inspired a larger literature on nonparametric and semiparametric estimation and inference and spurred on research in robust estimation and inference in these and related areas.

Book part
Publication date: 29 March 2006

Jean-Marie Dufour and Pascale Valéry

In this paper, we consider the estimation of volatility parameters in the context of a linear regression where the disturbances follow a stochastic volatility (SV) model of order…

Abstract

In this paper, we consider the estimation of volatility parameters in the context of a linear regression where the disturbances follow a stochastic volatility (SV) model of order one with Gaussian log-volatility. The linear regression represents the conditional mean of the process and may have a fairly general form, including for example finite-order autoregressions. We provide a computationally simple two-step estimator available in closed form. Under general regularity conditions, we show that this two-step estimator is asymptotically normal. We study its statistical properties by simulation, compare it with alternative generalized method-of-moments (GMM) estimators, and present an application to the S&P composite index.

Details

Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-0-76231-274-0

Article
Publication date: 1 March 1991

David Blake

The different types of estimators of rational expectations modelsare surveyed. A key feature is that the model′s solution has to be takeninto account when it is estimated. The two…

Abstract

The different types of estimators of rational expectations models are surveyed. A key feature is that the model′s solution has to be taken into account when it is estimated. The two ways of doing this, the substitution and errors‐in‐variables methods, give rise to different estimators. In the former case, a generalised least‐squares or maximum‐likelihood type estimator generally gives consistent and efficient estimates. In the latter case, a generalised instrumental variable (GIV) type estimator is needed. Because the substitution method involves more complicated restrictions and because it resolves the solution indeterminacy in a more arbitary fashion, when there are forward‐looking expectations, the errors‐in‐variables solution with the GIV estimator is the recommended combination.

Details

Journal of Economic Studies, vol. 18 no. 3
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 23 October 2019

Rakesh Kumar Sharma and Apurva Bakshi

This paper aims to make an attempt to identify the determinants of dividend policy by analyzing 125 real estate companies, which are selected on the basis of consistent dividend…

Abstract

Purpose

This paper aims to make an attempt to identify the determinants of dividend policy by analyzing 125 real estate companies, which are selected on the basis of consistent dividend distribution throughout the study period. Most of these companies either listed with Bombay Stock Exchange or National Stock Exchange.

Design/methodology/approach

This paper applies three alternative methods to verify and validate the results obtained from each other method, namely, fully modified ordinary least square (FMOLS), dynamic ordinary least square and generalized method of moments (GMM). Data collected of the selected companies’ post-recession period i.e. 2009-2017. The selected companies have age either 5 years old or more when data are retrieved from the above-mentioned sources. Due to much volatility in the recession period in the real estate firms at the global level, no data have been taken of the firms before March 2009. Moreover, for arriving at good analysis and an adequate number of observations for the study more recent data have been taken.

Findings

Empirical findings of this research paper depict that firm previous dividend, firm risk and liquidity are strong predictors of future dividend payout ratios (DPRs). The results indicate that firm risk as measured through price-earnings ratio (PE ratio) has a positive association with a DPR of selected real estate firms. Lagged DPR used in the GMM test as an exogenous variable is showing positive significant association with DPR. Firm’s growth is found significant in FMOLS and GMM techniques. On the other firm’s size is found significant according to cointegration techniques.

Practical implications

The present study shall be useful to different stakeholders of real estate companies. Various significant determinants as identified can be used by management for designing optimum dividend policy and providing maximum benefits to existing shareholders. Similarly existing and prospective shareholders may predict the future payment of dividend and accordingly they may take investment decisions in these firms, as the future fund’s requirement of a firm depends upon dividend payment and retention ratio.

Originality/value

As per the authors’ knowledge, there is no single study carried in the post-recession period to predict determinants of dividend policy of real estate sector using three alternatives of methods to verify and validate the results obtained from each other method. The study is carried out after exploring determinant from a diverse range of period of studies (oldest one to latest one).

Details

Journal of Financial Management of Property and Construction , vol. 24 no. 3
Type: Research Article
ISSN: 1366-4387

Keywords

1 – 10 of over 13000