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This paper aims to elaborate on the optimization of two particular cryptocurrency portfolios in a mean-variance framework. In general, cryptocurrencies can be classified to as coins and tokens where the first can be thought of as a medium of exchange and the latter accounts for security or utility tokens depending upon its design.

Against this backdrop, this empirical study distinguishes, in particular, between pure coin and token portfolios. Both portfolios are optimized by maximizing the Sharpe ratio and, subsequently, compared with alternative portfolio strategies.

The empirical findings demonstrate that the maximum utility portfolio of coins, with a risk aversion of λ = 10, outweighs alternative frameworks. The portfolios optimized by maximizing the Sharpe ratio for both coins and tokens indicate a rather poor performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and confers them more robustness.

Further investigation is strongly recommended as tokens represent a new phenomenon in the cryptocurrency universe, for which only a limited amount of data are available, which restricts the sampling. Furthermore, future study is to include more sophisticated optimization models using different constraints in portfolio creation.

In light of the persistently substantial volatility in cryptocurrency markets, the empirical findings assert that portfolio managers are advised to construct a global minimum variance portfolio. In the absence of sophisticated optimization models, private investors can invest according to the market values of cryptocurrencies. Despite minor differences in the risk and reward ratios of the portfolios tested, tokens tend to be more speculative, especially, if the Tether token is excluded, which may require enhanced supervision and investor protection by regulating authorities.

As the current literature investigates on diversification effects of blended cryptocurrency portfolios rather than making an explicit distinction, this paper reflects one of the first to explore the investability and role of diversifying coins and tokens using a classic Markowitz approach.

A well-documented pattern in the literature concerns the outperformance of small-cap stocks relative to their larger-cap counterparts. This paper aims to address the “small-cap versus large-cap” issue using for the first time data from the exchange traded funds (ETFs) industry.

Several raw return and risk-adjusted return metrics are estimated over the period 2012-2016.

Results are partially supportive of the “size effect”. In particular, small-cap ETFs outperform large-cap ETFs in overall raw return terms even though they fail the risk test. However, outperformance is not consistent on an annual basis. When risk-adjusted returns are taken into consideration, small-cap ETFs are inferior to their large-cap counterparts.

This research only covers the ETF market in the USA. However, given the tremendous growth of ETF markets worldwide, a similar examination of the “small vs large capitalization” issue could be conducted with data from other developed ETF markets in Europe and Asia. In such a case, useful comparisons could be made, so that we could conclude whether the findings of the current study are unique and US-specific or whether they could be generalized across the several international ETF markets.

A possible generalization of the findings would entail that profitable investment strategies could be based on the different performance and risk characteristics of small- and large-cap ETFs.

This is the first study to examine the performance of ETFs investing in large-cap stock indices vis-à-vis the performance of ETFs tracking indices comprised of small-cap stocks.

The authors examine the industrywise investment preferences of foreign portfolio investors (FPIs), domestic institutional investors (DIIs) and retail investors in the Indian context. They also investigate the factors influencing their preferences.

Using the quarterly shareholdings and returns data of the Indian market from March 31, 2009 to March 31, 2018, the authors employ analysis of variance to study investors' preferences and a random effect panel data model to examine the factors that influence these preferences.

FPIs hold proportionally more stocks in service-oriented industries and large-cap firms, DIIs hold proportionally large numbers of shares in paper industries and retail investors hold proportionally more shares in chemicals and textiles. FPIs prefer stocks with a high export-to-sales ratio and firms registered on a foreign stock market. Domestic investors, especially retail investors, prefer small-cap stocks and firms whose operations require local knowledge. In addition, industry heterogeneity determines investment decisions. Firm-specific and macroeconomic factors that influence investment decisions differ across industries. Finally, government policies and reforms also play a key role in attracting investors.

Policymakers can identify the key variables that influence investment, which can help direct and regulate investment in India and similar emerging markets.

This study fills a research gap by addressing how industry-level heterogeneity affects investors' preferences in terms of the industrywise preferences of different types of investors and the factors that influence their preferences.

The main purpose of this study is to use the Sharpe Ratio to test the efficient market hypothesis for different market capitalization and investment styles of mutual funds. The results of the study for the entire period of 1994‐2007 as well as the two subperiods (1994‐1999 and 2000‐2007) indicate that small cap funds have provided the highest risk‐adjusted return for the entire period whereas growth funds have exhibited lower returns. The findings, therefore, suggest that the mutual funds market is not always efficient, which makes it possible for an investor or a mutual fund manager to earn excess return on a risk‐adjusted basis.

This study aims to examine the incremental valuation implication of excess realized tax benefit under Statement of Financial Accounting Standard (SFAS) No. 123R: share‐based payment (123R excess tax benefit), which is required to be reported as a component of financing cash flows by the publicly traded corporations.

The sample comprises of Standard and Poor's (S&P); large‐, mid‐ and small‐cap firms who adopted SFAS No. 123(R) on January 1, 2006. The study covers a time period of the first and second quarters of 2006.

The multivariate regression analyses indicate that the capital market evaluates the SFAS 123R excess tax benefit in presence of accruals, and operating, investing and other financing cash‐flow components at different rates in pricing equity securities.

The primary results, however, are mostly restricted to large‐ and mid‐cap S&P firms. No incremental valuation consequence of SFAS 123R excess tax benefits for small‐cap S&P firms is observed.

The findings suggest that the 123R excess tax benefit reported as a financing cash‐flow component is incrementally informative in equity valuation but the timing and extent of its market valuation is impacted by firm size, its visibility and information environment, and the magnitude of the excess realized tax benefit in dollar terms.

There is a great deal of research that has been done to investigate the investment characteristics of conventional socially responsible investment portfolios compared to their broader conventional counterparts. However, the impact of incorporating sustainability criteria into the traditional Sharia screening process has not so far been investigated. Therefore, the study aims to give empirical evidence as to whether or not incorporating sustainability socially responsible criteria in the traditional Sharia screening process has a significant impact on the investment characteristics of the Islamic investment portfolio.

The paper examines the investment characteristics of four groups of investment portfolios mainly, Dow Jones Global Index, Dow Jones Sustainability World Index, Dow Jones Islamic Market World Index and Dow Jones Islamic Market Sustainability Index. To improve the robustness of the study, the analysis was carried out at different levels. First, absolute mean return and t‐test were used to examine whether the difference between the different groups of investments is statistically significant or not. Second, risk adjusted equilibrium models, both single‐index and Fama and French multi‐index, were employed. This is to control for different risk exposure and investment style bias associated with different investment portfolios examined.

The paper finds that neither the Sharia nor the sustainability screening process seems to have an adverse impact on the performance and systematic risk of the investment portfolios compared to their unrestricted conventional counterparts. Therefore, Muslim as well as socially responsible investors can choose investments that are consistent with their value systems and beliefs without being forced to sacrifice performance or expose to higher systematic risk.

The study contributes to the existing literature by giving new evidence on the impact of incorporating sustainability criteria into the traditional Sharia screening process that has not so far been investigated.

Do socially responsible funds, as a whole, perform as well as the average of all mutual funds in their respective categories? This paper examines fund characteristics as well as risk and performance measures of all available socially responsible funds (SRFs) in the U.S. mutual fund industry over the last fifteen years. The contribution of this paper is two unique findings. First, although SRFs have had a relative advantage in terms of lower expense ratios, lower annual turnover rates, lower tax cost ratios, and lower risk, SRFs also exhibit lower returns, and two risk‐adjusted return measures indicate SRFs have inferior reward‐to‐risk performance. In particular, domestic stock SRFs have not generated competitive returns relative to conventional funds in the same categories over the past ten to fifteen years. These results contrast those found in the extant SRI literature which suggest socially responsible investing has little or no cost. Second, a finer partitioning by fund type reveals not all SRFs have similar relative performance. SRFs in balanced fund and fixed‐income fund categories, especially during the past three years, have performed better than the category averages with lower risk, higher returns, and higher risk‐adjusted returns. This suggests the costs of socially responsible investing are not homogenous.

The strong performance of New Zealand’s equity market and the Government’s efforts to encourage small investors to invest in initial public offering (IPO) firms raises two questions: should retail investors invest in IPO offers and what types of IPOs are worth buying in the long term? The paper aims to discuss these issues.

The authors construct buy and hold equally weighted portfolios of IPOs and peers based on sales forecast, market capitalisation, and price-to-book ratio. The authors employ four benchmark-adjusted performance measures: cumulative average abnormal return (CAR), holding period return difference, wealth relative, and excess return (α).

IPOs underperform their peers over the medium and long term, with a five-year CAR ranging between −6.4 and −19.7 per cent. IPOs listed post-GFC show inferior benchmark-adjusted performance with a statistically significant average monthly CAPM α of −1.07 per cent (vs −0.13 per cent for pre-2009 IPOs). Over a five-year horizon, mature IPOs, IPOs with high market cap, high sales forecast, high leverage, low price-to-book ratio, and positive earnings forecast outperform other IPOs. Small IPOs or those with a small degree of leverage exhibit the worst five-year CAR ranging between −30.2 and −49.1 per cent. Of all IPOs examined, large firms, well-established firms, and value firms achieved positive five-year CARs of between 6.6 and 17.5 per cent.

The results are useful for retail investors and financial advisors in making sensible investment decisions.

This study is the first to utilise book-to-market and sales forecast to construct peer samples and to identify the red flags for IPO downfalls in New Zealand. It covers the longest sample period (1991-2015) in New Zealand’s context.

This study evaluates the practicability of style analysis in evaluating the risk‐adjusted performance of New Zealand's retail equity trusts. The size of the New Zealand market and the short history of data available generate doubts concerning the usefulness of style analysis under these conditions. Style analysis provides useful insight when applied to the New Zealand retail equity unit trust sector. Two prevalent styles are identified, a large cap style and a mid‐cap‐value/small cap style. Little variation in style was detected for the group of trusts that tracked the large‐cap equity index but substantial variation was indicated in relative performance versus a passive investment in their style benchmarks. Significant variation was detected, both in terms of style and relative performance of trusts that tracked a mid‐cap‐value/small‐cap index. A small number of New Zealand equity managers were able to maintain a consistent style, while meeting or beating the performance of their style benchmarks.

Building on pecking order theory, this study seeks to understand the various financial factors that influence top management's decision regarding the company’s capital structure. The authors attempt to understand and analyse whether the capital structure of mid‐ and small‐cap firms is affected by cash surplus scaled to total assets. Along with other determinants of capital structure such as liquidity, profitability, tangibility, market capitalisation and age, this is considered one of the major factors. Cash surplus is calculated using data from the cash flow statement. It is defined as the difference in cash from operating activities and that from investing activities and is scaled to total assets. To the best of the authors’ knowledge, this is the first study to regress cash surplus scaled to total assets and other determinants over leverage to examine the impact on mid‐ and small‐cap firms. The pecking order theory was found to hold for firms earning cash surplus.

Data were collected from the CMIE Prowess database of all firms listed on the NIFTY Small cap 250 index and NIFTY Midcap 150 index. The data of non-financial firms belonging to the midcap and small-cap sector, listed on the National Stock Exchange of India from 2012 to 2019 were considered. After cleaning the data, an unbalanced panel of 171 companies totalling 1,362 observations for the NIFTY Small-cap 250 index and another panel of 96 companies with 761 observations for the NIFTY Midcap 150 index was created. Panel data regression analysis was used to determine the effect of cash surplus scaled to total assets on the firms' capital structure.

This study demonstrates how small- and midcap firms' behave differently in taking capital structure decisions. Pecking order theory was found to hold for firms earning cash surplus as a proportion of total assets (Surplusta).

The study was conducted through data available on secondary sources and database. The study can be better conducted by conducting a primary survey too. Further study may be conducted with a blend of secondary and questionnaire method. The results can be compared to check the similarity in findings.

Managers can benefit from the findings when making decisions on long- and short-term loans. This study can help managers in terms of the financial variables that have a role to play in the financial leverage of the company. The decision of the managers of midcap or small-cap firms would be different. Factors influencing short- and long-term borrowings are different. Academics can discuss whether there is any difference in the influence of capital structure variables of small- and midcap companies and the reasons for such differences. Judicious decisions on capital structure will create wealth for the shareholders as the right decision about leverage would result in a proper cost of capital. The findings also add to the existing literature on the Pecking order theory.

Academics can discuss whether there is any difference in the influence of capital structure variables of small- and midcap companies and the reasons for such differences.

The study extends the existing literature by demonstrating that the capital structure of mid and small-cap firms is affected by cash surplus scaled to total assets. The pecking order theory was found to hold for firms earning cash surplus. This study can inform the practitioners about the financial variables that have a role to play in the company's financial leverage. As the results and significance of the variables of the midcap or small-cap firms are different, the decisions of the managers of these firms would be separate for the capital structure of their firms. The study also infers that the factors influencing short and long-term borrowings are different. The study determines whether managers' decision-making in such companies is different in terms of raising short- and long-term loans. The study attempts to guide managers in considering the different variables that would influence their capital structure decisions, particularly the decision to include debt in the capital. Financial variables need not be of equal importance for managers belonging to small- and midcap companies.