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Article
Publication date: 26 December 2022

Bruvine Orchidée Mazonga Mfoutou and Yuan Tao Xie

This study aims to examine the solvency and performance persistence of defined benefit private and public pension plans (DBPPs) in the Republic of Congo.

Abstract

Purpose

This study aims to examine the solvency and performance persistence of defined benefit private and public pension plans (DBPPs) in the Republic of Congo.

Design/methodology/approach

The authors use the 2 × 2 contingency table approach and the time product ratio (TPR)-based cross-product ratio (CPR) on data covering ten years from 2011 to 2020, with variable funded ratios and excess returns, to determine the solvency and performance persistence of defined benefit pension plans.

Findings

The authors document a lack of solvency and performance persistence in DBPP funds. They conclude that the solvency and performance of DBPP funds are not repetitive. The previous year's private and public defined benefit pension funds’ results do not repeat in the current year. Hence, the current solvency and performance of defined benefit pension funds are not good predictors of future funds' solvency and performance.

Originality/value

To the best of the authors’ knowledge, this study is the first to combine solvency and performance to examine the persistence of defined benefit pension plans in sub-Saharan Africa.

Details

African Journal of Economic and Management Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2040-0705

Keywords

Book part
Publication date: 12 December 2007

Patrick Kuok-Kun Chu

This chapter examines the performance persistence evidences of pension fund managers who managed the constituent equity funds included in Hong Kong Mandatory Provident…

Abstract

This chapter examines the performance persistence evidences of pension fund managers who managed the constituent equity funds included in Hong Kong Mandatory Provident Fund (MPF) schemes over the period 2001–2004. Nonparametric two-way contingency table and parametric OLS regression analysis are employed to evaluate performance persistence. The evidence suggests that the raw returns, traditional Jensen alphas, and conditional Jensen alphas in the previous year possess predictive abilities. When the funds are classified into high-volatile and low-volatile samples, the high-volatile funds are found to possess stronger performance persistence. Neither hot-hand nor cold-hand phenomena are found in the equity funds managed by same investment manager.

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

Article
Publication date: 14 September 2020

Omid Sabbaghi and Min Xu

The study systematically investigates persistence in performance for simulated trading among non-professional traders in the futures market.

Abstract

Purpose

The study systematically investigates persistence in performance for simulated trading among non-professional traders in the futures market.

Design/methodology/approach

In this study, the authors employ a novel data set from the Chicago Mercantile Exchange (CME) Group's Trading Challenges for years 2014 through 2018 and expand upon the empirical methodology of Malkiel (1995) through improved interval estimations in testing for persistence in performance. The authors implement Fama-MacBeth style regressions to understand the degree of persistence in performance and the extent to which non-professionals extrapolate from prior returns. They adjust returns for risk through the Fama and French (2015) five-factor model in understanding whether the sample of non-professionals is able to produce excess returns after expenses and whether there is evidence of excess gross to cover expenses.

Findings

The empirical analysis suggests strong evidence for performance persistence among non-professionals participating in the Preliminary Rounds. In the Championship Rounds, the authors find that the persistence effect becomes stronger in economic and statistical significance after accounting for expenses. The results suggest that competition and transaction costs help to distinguish between winners and losers. When conducting Fama-MacBeth style regressions, the authors present evidence that strongly supports the persistence effect and over-extrapolation. While the results of the multi-factor model analysis suggest that, after adjusting for risk, most teams are experiencing negative excess returns prior to expenses, the authors also uncover evidence of teams earning returns sufficient to cover their expenses.

Originality/value

The authors bridge the gap between the literature on performance persistence and the emerging literature on non-professionals in the financial markets. Data from the CME Group’s Trading Challenge provide a rich source in studying the beliefs of non-professionals, and this study is helpful for understanding how beliefs, operationalized in simulated trades, perform over short time horizons, thereby providing insights into the behavioral dynamics of the financial markets. The results provide new empirical evidence for performance persistence among non-professionals.

Details

Review of Behavioral Finance, vol. 13 no. 3
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 12 November 2019

Dinesh Jaisinghani, Harwinder Kaur, Jatin Goyal and Mahesh Joshi

The purpose of this paper is to examine the degree of persistence of firm performance for publicly listed firms in Indonesia. The study also explores the impact of…

Abstract

Purpose

The purpose of this paper is to examine the degree of persistence of firm performance for publicly listed firms in Indonesia. The study also explores the impact of marketing expenditure on firm’s performance.

Design/methodology/approach

The data comprise 165 listed firms operating in Indonesia over the period 2007–2016. Dynamic panel regression estimations using Arellano and Bond (1991) and Blundell and Bond (1998) techniques have been deployed to generate the results.

Findings

The findings show the existence of positive persistence and sub-optimal level of competition in the performance of Indonesian firms. The results highlight that marketing intensity has a positive and significant impact on firm performance. The positive persistence hints at creation of substantial entry and exit barriers by the Indonesian firms and also indicate that Indonesian firms are able to create behavioral inertia among their consumers by properly directing their marketing efforts.

Practical implications

There is a need on the part of management to strengthen the short-term profit capabilities to nurture long-term benefits of profit maximization. On the regulators part, the authorities should frame the policies to foster long-run competition.

Originality/value

The current study contributes to the sparse literature on persistence of firm performance in the context of emerging economies like Indonesia. This is the first study on persistence of firm performance for publicly listed firms in Indonesia.

Details

International Journal of Productivity and Performance Management, vol. 69 no. 6
Type: Research Article
ISSN: 1741-0401

Keywords

Article
Publication date: 1 December 2006

Keith Hooper, Howard Davey, Roger Su and Dani A.C. Foo

Many studies have discussed mutual funds performance, especially about the persistence of excess returns. Regression is the most common method to be used to research the…

Abstract

Many studies have discussed mutual funds performance, especially about the persistence of excess returns. Regression is the most common method to be used to research the fund persistence. Dutta (2002) proposes a simpler approach – a direct annual examination of whether a fund beats a market proxy or not, to research the persistence in American mutual fund returns. In this study, authors use a similar methodology to analyse New Zealand growth mutual funds. In addition, a statistically robust method is juxtaposed as a comparison. The study finds that the most of the funds sampled during the period 1996‐2003 are unable to better the benchmark of the world index.

Details

Accounting Research Journal, vol. 19 no. 2
Type: Research Article
ISSN: 1030-9616

Keywords

Article
Publication date: 16 October 2020

Samuel Adomako

The purpose of this paper was to examine the joint effects of regulatory focus, entrepreneurial persistence and institutional support on new venture performance.

Abstract

Purpose

The purpose of this paper was to examine the joint effects of regulatory focus, entrepreneurial persistence and institutional support on new venture performance.

Design/methodology/approach

This paper uses a random survey approach to sample 204 new ventures from Ghana. The moderated mediation method was used to analyse the survey data.

Findings

The findings from this paper show that entrepreneurs' promotion focus positively relates to persistence while prevent focus negatively influences persistence. In addition, persistence mediates the link between regulatory focus (promotion and prevention focus) and new venture performance. These relationships are positively moderated by perceived institutional support.

Research limitations/implications

Using data from only the manufacturing sector in Ghana limits the generalisability of this paper. In addition, persistence is not observed or measured directly in this paper but is only used as self-reporting variable that captures an individual's tendency to persist.

Originality/value

The contribution of this paper is threefold. First, this paper contributes to regulatory focus literature by enhancing our knowledge on how self-regulation could help explain entrepreneurial decision-making. Second, this paper broadens self-regulation literature by adding institutional context as a moderating variable. Third, this paper helps clarify the potential role of persistence in entrepreneurship.

Details

Journal of Small Business and Enterprise Development, vol. 27 no. 7
Type: Research Article
ISSN: 1462-6004

Keywords

Article
Publication date: 3 December 2021

Bill Gerrard and Morten Kringstad

The purpose of this paper is to address the problem of designing league regulatory mechanisms given the multi-dimensionality of competitive balance and the proliferation…

Abstract

Purpose

The purpose of this paper is to address the problem of designing league regulatory mechanisms given the multi-dimensionality of competitive balance and the proliferation of empirical measures.

Design/methodology/approach

A three-stage approach is adopted. Firstly, a taxonomy of empirical measures of competitive balance is proposed, identifying two fundamental dimensions – win dispersion and performance persistence. Secondly, a simple two-team model of league competitive balance is used to explore the dispersion–persistence relationship. Third, correlation and regression analysis of seven empirical measures of competitive balance for the 18 best-attended top-tier domestic football leagues in Europe over the 10 seasons, 2008–2017, are used to (1) validate the proposed categorisation of empirical measures into two dimensions; and (2) investigate the nature of the dispersion–persistence relationship across leagues.

Findings

The simple model of league competitive balance implies a strong positive dispersion–persistence relationship when persistence effects increase for big-market teams relative to those for the small-market teams. However, the empirical evidence indicates that while leagues such as the Spanish La Liga exhibit a strong positive dispersion–persistence relationship, other leagues show little or no relationship, and some leagues, particularly, the English Premier League and top-tier divisions in Belgium and Netherlands, have a strong negative dispersion–persistence relationship. The key policy implication for leagues is the importance of understanding the direction and impact of dispersion and persistence effects on the demand for league products.

Originality/value

The variability in the strength and direction of the dispersion–persistence relationship across leagues is an important result that undermines the “one-size-fits-all” approach to designing league regulatory mechanisms.

Details

Sport, Business and Management: An International Journal, vol. 12 no. 4
Type: Research Article
ISSN: 2042-678X

Keywords

Article
Publication date: 2 October 2019

Drosos Koutsokostas, Spyros Papathanasiou and Dimitris Balios

The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety…

Abstract

Purpose

The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of performance models.

Design/methodology/approach

Using all the available funds in operation and daily data, the authors apply single-index (Jensen, 1968) and multi-factor models (Fama and French, 1993; Carhart, 1997) to measure risk-adjusted returns. To assess performance persistence, a series of parametric (Bollen and Busse, 2005) and nonparametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995) is implemented.

Findings

Results show that the Greek equity mutual funds perform, on average, worse than the market index, irrespective of the performance measure applied, and the estimations obtained by the models are similar. Few managers that followed large-cap strategies, pursued stocks with high book-to-market value ratio and eliminated their exposure to the momentum effect were able to add value to their portfolios. Furthermore, a winner-picking strategy based on sustained superior performers is questioned. However, assigning fund returns to the corresponding risk factors results in the partial disappearance of persistence in performance.

Originality/value

The sample period includes the turbulent period, following the introduction of capital controls, which affected capital flows significantly. Moreover, the application of multiple performance measures enables us to investigate performance persistence in a wider spectrum.

Details

The Journal of Risk Finance, vol. 20 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 8 March 2011

Gerasimos G. Rompotis

The purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the…

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Abstract

Purpose

The purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance.

Design/methodology/approach

The author uses a sample of 50 iShares during the period 2002‐2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable.

Findings

The results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short‐term level. The tracking error of ETFs also persists at the short‐term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable.

Originality/value

The findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error‐concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors.

Details

Studies in Economics and Finance, vol. 28 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 1 May 2007

Steven P. Devaney, Stephen L. Lee and Michael S. Young

The purpose of this paper is to examine individual level property returns to see whether there is evidence of persistence in performance, i.e. a greater than expected…

Abstract

Purpose

The purpose of this paper is to examine individual level property returns to see whether there is evidence of persistence in performance, i.e. a greater than expected probability of well (badly) performing properties continuing to perform well (badly) in subsequent periods.

Design/methodology/approach

The same methodology originally used in Young and Graff is applied, making the results directly comparable with those for the US and Australian markets. However, it uses a much larger database covering all UK commercial property data available in the Investment Property Databank (IPD) for the years 1981 to 2002 – as many as 216,758 individual property returns.

Findings

While the results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar.

Research limitations/implications

The findings suggest that performance persistence is not a feature unique to particular markets, but instead may characterize most advanced real estate investment markets.

Originality/value

As well as extending previous research geographically, the paper explores possible reasons for such persistence, consideration of which leads to the conjecture that behaviors in the practice of institutional‐grade commercial real estate investment management may themselves be deeply rooted and persistent, and perhaps influenced for good or ill by agency effects.

Details

Journal of Property Investment & Finance, vol. 25 no. 3
Type: Research Article
ISSN: 1463-578X

Keywords

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