This chapter presents the survey of selected linear and mixed integer programming multi-objective portfolio optimization. The definitions of selected percentile risk…
This chapter presents the survey of selected linear and mixed integer programming multi-objective portfolio optimization. The definitions of selected percentile risk measures are presented. Some contrasts and similarities of the different types of portfolio formulations are drawn out. The survey of multi-criteria methods devoted to portfolio optimization such as weighting approach, lexicographic approach, and reference point method is also presented. This survey presents the nature of the multi-objective portfolio problems focuses on a compromise between the construction of objectives, constraints, and decision variables in a portfolio and the problem complexity of the implemented mathematical models. There is always a trade-off between computational time and the size of an input data, as well as the type of mathematical programming formulation with linear and/or mixed integer variables.
We evaluate the performance of fixed income mutual funds using stochastic discount factors motivated by continuous-time term structure models. Time-aggregation of these models for discrete returns generates new empirical “factors,” and these factors contribute significant explanatory power to the models. We provide a conditional performance evaluation for US fixed income mutual funds, conditioning on a variety of discrete ex-ante characterizations of the states of the economy. During 1985–1999 we find that fixed income funds return less on average than passive benchmarks that do not pay expenses, but not in all economic states. Fixed income funds typically do poorly when short-term interest rates or industrial capacity utilization rates are high, and offer higher returns when quality-related credit spreads are high. We find more heterogeneity across fund styles than across characteristics-based fund groups. Mortgage funds underperform a GNMA index in all economic states. These excess returns are reduced, and typically become insignificant, when we adjust for risk using the models.
Assesses the effect of an international business person′s accent onGuatemalan subjects′ perception of the business person′s effectiveness,credibility, competence…
Assesses the effect of an international business person′s accent on Guatemalan subjects′ perception of the business person′s effectiveness, credibility, competence, friendliness, as well as the Guatemalan subject′s intentions to buy. Graduate students at a Guatemalan university listened to tape recordings of three presenters speaking Guatemalan Spanish and three presenters speaking Spanish with a foreign accent. The findings suggest that, for the Guatemalan audience, a sales pitch in Guatemalan Spanish evoked more favourable judgements on all measured dimensions than the same sales pitch in foreign accented Spanish. Females, however, evaluated the Guatemalan Spanish presenters more positively and evaluated the foreign accented presenters more negatively than their male counterparts.
A reconsideration of some Austrian work in public finance analysisthat is based on a positive theory of the state and its relationshipwith the market economy is offered…
A reconsideration of some Austrian work in public finance analysis that is based on a positive theory of the state and its relationship with the market economy is offered. The contributions of some prominent Austrian economists are considered, and how they relate to contemporary thinking in public finance. The two central paradigms of the tax state and entrepreneurship are explored.
This study delves into the determinants and praxis of derivative hedging instruments (DHIs) usage of Malta, a small island state. Empirical evidence is also provided in…
This study delves into the determinants and praxis of derivative hedging instruments (DHIs) usage of Malta, a small island state. Empirical evidence is also provided in relation to the impact of DHI usage and the adoption of a hedge accounting (HA) model in entities’ financial statements. A mixed methodology design is deployed involving: (1) a series of statistical models and tests and (2) seven semi-structured interviews with senior professionals.
The data collected comprise proxy variable values collected from the financial statements of 568 firm-years from 107 Maltese entities between the years 2009 and 2014. Greater likelihood of financial distress, decreasing investment efficiency and increased levels of gearing, are identified as being significant determinants for the use of DHIs. Although DHI usage is low in comparison to larger states, it has been increasing over the period under study.
HA is evidenced to be less popular in Malta, but the study evidences correlation between certain DHIs and HA usage. The quantitative statistical model results in evidence with no significant earnings volatility (EV) or cash flow volatility (CFV) reduction effects through the application of HA. Albeit, the study finds a significant CFV reduction effect emanating from DHI usage, but no corresponding EV reduction effect.
Better education and dissemination of the HA treatment by auditors and regulatory bodies could help propagate the HA treatment, potentially enhancing the EV reduction effectiveness of DHI use. This research provides empirical evidence to substantiate the rationale behind utilising DHIs in smaller island states, especially when coupled with a sound risk management culture.
The internal factors that influence the decision to change dividend growth rates include two competing models: the earnings and free cash flow models. As far as each of…
The internal factors that influence the decision to change dividend growth rates include two competing models: the earnings and free cash flow models. As far as each of the components of each model is considered, the informative and efficient dividend payout decisions require that managers have to focus on the significant component(s) only. This study examines the cointegration, significance, and explanatory power of those components empirically. The expected outcomes serve two objectives. First, on an academic level, it is interesting to examine the extent to which payout practices meet the premises of the earnings and free cash flow models. The latter considers dividends and financing decisions as two faces of the same coin. Second, on a professional level, the outcomes help focus the management’s efforts on the activities that can be performed when considering a change in dividend growth rates.
This study uses data for the firms listed in two indexes: Dow Jones Industrial Average (DJIA30) and NASDAQ100. The data cover quarterly periods from 30 June 1989 to 31 March 2011. The methodology includes (a) cointegration analysis in order to test for model specification and (b) classical regression in order to examine the explanatory power of the components of earnings and free cash flow models.
The results conclude that: (a) Dividends growth rates are cointegrated with the two models significantly; (b) Dividend growth rates are significantly and positively associated with growth in sales and cost of goods sold only. Accordingly, these are the two activities that firms’ management need to focus on when considering a decision to change dividend growth rates, (c) The components of the earnings and free cash flow models explain very little of the variations in dividends growth rates. The results are to be considered a call for further research on the external (market-level) determinants that explain the variations in dividends growth rates. Forthcoming research must separate the effects of firm-level and market-level in order to reach clear judgments on the determinants of dividends growth rates.
This study contributes to the related literature in terms of offering updated robust empirical evidence that the decision to change dividend growth rate is discretionary to a large extent. That is, dividend decisions do not match the propositions of the earnings and free cash flow models entirely. In addition, the results offer solid evidence that financing trends in the period 1989–2011 showed heavy dependence on debt financing compared to other related studies that showed heavy dependence on equity financing during the previous period 1974–1984.
The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian…
The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making the firm-specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications.
The paper employs first step time series regression approach to drive the risk-adjusted return of individual firms. For examining the predictability of firm characteristics on the risk-adjusted return, the panel data estimation technique has been used.
There is a weak anomaly effect in the Indian stock market. The choice of a five-factor model (FFM) in its unconditional and conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size, market leverage and short-run momentum effect are found to be persistent in the Indian stock market even with the alternative conditional specifications of the FFM. The results also suggest that it is naï argue for disappearing size effect in the cross-sectional regularity.
Constrained upon the data availability, certain market anomalies and conditioning variables cannot be included in the analysis.
Considering the practitioners' prospective, the results indicate that the profitable investment strategy with respect to the small size effect is still persistent and warrants close-ended mutual fund investment portfolio strategy for enhancing the long-term profitability. The short-run momentum effect can generate potential profits given a short-term investment horizon.
This paper provides the first-ever empirical evidence from an emerging stock market towards the use of alternative conditional multifactor models for the complete explanation of market anomalies. In an attempt to analyze the anomaly effect in the Indian stock market, this paper provides further evidence towards the long-short hedge portfolio return variations in terms of a wide set of market anomalies that have been documented in prior literature.