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Book part
Publication date: 10 April 2023

Parichat Sinlapates and Thawaree Chinnasaeng

This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or…

Abstract

This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or ESG100 stocks. The study period is from January 2016 to December 2020, a total of 60 months. The dividend yield is employed for categorizing the stock into value and growth stocks. The strategy of buying value stocks and short-selling growth stocks is then applied. The results show that investing using the zero-investment portfolio strategy can generate higher returns in an investment portfolio that consists of ESG100 stocks than in an investment portfolio that consists of all stocks in the SET. The optimal holding periods for investing in portfolios that consist of stocks in the SET are 6 months, 9 months, and 12 months, and the optimal holding periods for a portfolio that consists of ESG100 stocks is 6 months. To explain excess returns of stocks in the SET, the Fama and French (2015) five-factor model is employed. There is no relation between risk factors and excess returns for the holding period of 6 months and 12 months. However, excess return is found to have a negative relation with the market risk premium factor for a 9-month holding period. The excess returns of ESG100 stocks are also inversely correlated with investment factors for a holding period of 6 months.

Details

Comparative Analysis of Trade and Finance in Emerging Economies
Type: Book
ISBN: 978-1-80455-758-7

Keywords

Article
Publication date: 13 June 2016

Evanthia Zervoudi and Spyros Spyrou

– The purpose of this paper is to report new original evidence on optimal holding periods and optimal asset allocations (Benartzi and Thaler, 1995).

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Abstract

Purpose

The purpose of this paper is to report new original evidence on optimal holding periods and optimal asset allocations (Benartzi and Thaler, 1995).

Design/methodology/approach

The authors employ a number of different value functions, a recent dataset, different markets, and varying investment horizons.

Findings

The authors report original evidence across markets and over-time, employing different value functions and varying investment horizons. The results results indicate that, during the past decades, the optimal holding period (seven months during the whole period and four/five months during crises) is not affected by the value function employed, is in accordance with the Myopic Loss Aversion hypothesis, is consistent across markets, but is sensitive to economic crises and shorter to that reported in Benartzi and Thaler (12 months). The optimal asset allocation is also different to that of Benartzi and Thaler during crises periods and/or assuming value functions with probability distortion.

Originality/value

The paper employs a number of different value functions, with and without probability distortion; it compares investor behavior in three important international markets (USA, UK, Germany); as a further robustness test the authors use various investment horizons.

Details

Review of Behavioral Finance, vol. 8 no. 1
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 2 March 2015

Charles-Olivier Amédée-Manesme, Michel Baroni, Fabrice Barthélémy and Mahdi Mokrane

– The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio.

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Abstract

Purpose

The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio.

Design/methodology/approach

The authors use a Monte Carlo simulation framework to simulate a real estate asset’s cash flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. The authors assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value (MRV) of similar properties. The authors also model vacancy duration stochastically. Finally, capital values and MRVs, assumed to be correlated, are simulated using specific stochastic processes. The authors derive the optimal holding period for the asset as the value that maximizes its discounted value.

Findings

The authors demonstrate that, consistent with existing capital markets literature and real estate business practice, break options in leases can dramatically alter optimal holding periods for real estate assets and, by extension, portfolios. The paper shows that, everything else being equal, shorter lease durations, higher MRV volatility, increasing negative rental reversion, higher vacancy duration, more break options, all tend to decrease the optimal holding period of a real estate asset. The converse is also true.

Practical implications

Practitioners are offered insights as well as a practical methodology for determining the ex-ante optimal holding period for an asset or a portfolio based on a number of market and asset-specific parameters including the lease structure.

Originality/value

The originality of the paper derives from its taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset-specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify.

Details

Journal of Property Investment & Finance, vol. 33 no. 2
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 12 March 2019

Ranajee Ranajee and Rajesh Pathak

The purpose of this paper is to examine the cash holding of firms during a crisis and test the widely accepted determinants of corporate cash holding (CCH) for their consistency…

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Abstract

Purpose

The purpose of this paper is to examine the cash holding of firms during a crisis and test the widely accepted determinants of corporate cash holding (CCH) for their consistency across periods of crisis, stability and recovery, and across firm categories, in the emerging market context of India.

Design/methodology/approach

The study employs panel data and Fama–Macbeth regression techniques on publicly listed firms during 2001–2015, amid controls for idiosyncratic factors. Further empirical analysis is carried out through the disaggregation of firms based on group affiliation, controlling stake of promoters, financial constraints and firm size.

Findings

The study reports that cash levels are significantly higher during crisis periods for Indian firms. Moreover, promoter holding is observed to be a strong predictor of CCH, which is an addition to the list of predictors in existing literature. Additionally, most of the predictors of cash holding turn out to be consistent through periods of financial crisis, stability and recovery. A firm’s age and growth prospects do not determine cash levels for Indian firms; however, cash-flow volatility, firm size, leverage and non-cash working capital requirements help to determine the cash levels of the firm consistently through different periods. Group-affiliated firms are less likely to engage in cash accumulation as opposed to firms that are large and financially constrained and have high promoter stakes.

Originality/value

The study is unique because it examines the consistency of determinants of cash holding across good and turbulent times and across firm classifications. Moreover, the study uses a broad sample of firms and investigates the topic for a relatively long period in an emerging market setup.

Details

International Journal of Managerial Finance, vol. 15 no. 4
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 3 August 2010

Eero J. Pätäri, Timo H. Leivo and J.V. Samuli Honkapuro

The purpose of this paper is to examine the applicability of data envelopment analysis (DEA) as a basis of value portfolio selection criterion.

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Abstract

Purpose

The purpose of this paper is to examine the applicability of data envelopment analysis (DEA) as a basis of value portfolio selection criterion.

Design/methodology/approach

The portfolios are composed of the comprehensive sample of Finnish non‐financial stocks based on their DEA scale efficiency scores. The performance of portfolios is evaluated on the basis of average return and several risk‐adjusted performance metrics. Moreover, the impact of holding period length on the results is examined by varying the portfolio reformation frequency from one to five years at annual frequency.

Findings

The results show that the DEA scale efficiency scores add value to portfolio selection. Though outperformance of the DEA value portfolios in contrast to both comparable glamour portfolio and the stock market average is most evident for shorter (i.e. annual and biannual) holding periods, the absolute performance of the DEA value portfolio can be enhanced by using longer reformation intervals.

Research limitations/implications

The sample of stocks is not large in spite of its comprehensiveness from the local stock market aspect. Future studies can apply DEA approach to other stock markets to examine whether the results are parallel to this study.

Practical implications

The DEA is particularly useful as a multicriteria methodology in cases in which the number of stocks in the sample is large.

Originality/value

This paper is the first attempt to form value portfolios using DEA models. The proposed methodology provides an interesting alternative to detect undervalued stocks by capturing several dimensions of relative value simultaneously. It provides also useful implications in portfolio management.

Details

Studies in Economics and Finance, vol. 27 no. 3
Type: Research Article
ISSN: 1086-7376

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Book part
Publication date: 10 November 2020

Mark Schaub and Garland Simmons

American depository receipts (ADRs) listed on the New York Stock Exchange during the 1990s and 2000s are compared to determine how well they performed versus the US index and…

Abstract

American depository receipts (ADRs) listed on the New York Stock Exchange during the 1990s and 2000s are compared to determine how well they performed versus the US index and respective regional indexes utilizing three-year holding period excess returns. Results suggest that ADRs listed in the 2000s perform better than those in the 1990s. Also, seasoned equity offerings performed better than initial public offerings. Regression analysis indicated the best predictors of ADR performance are the returns of the respective regional index where the ADR-listing firm is headquartered, the date of issue (2000s vs 1990s), and whether the ADR was from an emerging economy.

Details

Financial Issues in Emerging Economies: Special Issue Including Selected Papers from II International Conference on Economics and Finance, 2019, Bengaluru, India
Type: Book
ISBN: 978-1-83867-960-6

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Article
Publication date: 22 May 2020

Andros Gregoriou and Robert Hudson

We examine the impact of market frictions in the form of trading costs on investor average holding periods for stocks in the S&P global 1200 index to examine constraints on…

Abstract

Purpose

We examine the impact of market frictions in the form of trading costs on investor average holding periods for stocks in the S&P global 1200 index to examine constraints on international portfolio diversification.

Design/methodology/approach

We determine whether it is appropriate to pool stocks listed in the USA, Canada, Latin America, Europe, Japan, Asia and Australia into investigations using the same empirical specification. This is very important because the pooled effects may not provide consistent estimates of the average.

Findings

We report overwhelming econometric evidence that it is not valid to pool stocks in all the underlying regional equity indices for our investigation, indicating that the effect of frictions varies between markets.

Research limitations/implications

When we pool the stocks within markets, we discover that for companies listed in the USA, Europe, Canada and Australia, market frictions do not significantly influence holding periods and hence are not a barrier to portfolio rebalancing. However, companies listed in Latin America and Asia face market frictions, which are significant in terms of increasing holding periods.

Practical implications

We ascertain that taking into account the properties of stock markets in different geographical locations is vital for understanding the limits on achieving international portfolio diversification.

Originality/value

Unlike prior research, we overcome the problems caused by contemporaneous correlation, endogeneity and joint determination of investor average holding periods and trading costs by employing the Generalized Method of Moments (GMM) system panel estimator. This makes our empirical estimates robust and more reliable than the previous empirical research in this area.

Details

Journal of Economic Studies, vol. 48 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 1 January 2004

Carol Marie Boyer

This study documents the amount of time it takes for Initial Public Offerings (POs) to make the transition from underperformance to meeting or exceeding the return for firms of…

530

Abstract

This study documents the amount of time it takes for Initial Public Offerings (POs) to make the transition from underperformance to meeting or exceeding the return for firms of similar size. The study looks at yearly holding period lengths of 1 to 10 years. The results of this study show that if purchased on issuance date, IPOs need to be held for over five years in order to make a return equal to the market.

Details

Managerial Finance, vol. 30 no. 1
Type: Research Article
ISSN: 0307-4358

Keywords

Book part
Publication date: 15 March 2022

Hong-Yi Chen, Chun-Huei Hsu and Sharon S. Yang

This study develops an environment, social, and governance (ESG) momentum strategy by combining information about ESG scores and the momentum effect. This study, subsequently…

Abstract

This study develops an environment, social, and governance (ESG) momentum strategy by combining information about ESG scores and the momentum effect. This study, subsequently, applies the ESG momentum strategy to Taiwanese and Japanese stock markets and investigates the performance of the ESG momentum strategy in each market. Detailed comparisons of the ESG scores and ESG momentum performance between the two markets are conducted. The empirical results show that the ESG momentum strategy can obtain enhanced profits in the Taiwanese market, while the ESG momentum strategy cannot lead to substantial profits in the Japanese market. In addition, the ESG momentum effect in the Taiwanese market can last for three years after portfolio formation. In the Japanese market, the ESG contrarian strategy may deliver better profits than the ESG momentum strategy.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-80117-313-1

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Article
Publication date: 1 February 2000

Norman Hutchison and Nanda Nanthakumaran

The Mallinson Report, published in 1994, emphasised the need for valuers to develop expertise for the purpose of estimating the worth of property investments. Implicit in attempts…

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Abstract

The Mallinson Report, published in 1994, emphasised the need for valuers to develop expertise for the purpose of estimating the worth of property investments. Implicit in attempts to estimate worth is the assumption that the property market displays some level of inefficiency and that, in such a market, price and worth may diverge. It is believed that astute investors can exploit such inefficiencies in the market to add value to their portfolios. This paper reviews the main issues relating to the calculation of worth. Specifically it examines market efficiency, individual and market worth, and the use of risk analysis in the calculation. Finally, it recommends a shorter analysis period in view of the uncertainty in the estimation of the variables.

Details

Journal of Property Investment & Finance, vol. 18 no. 1
Type: Research Article
ISSN: 1463-578X

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