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1 – 10 of over 1000Graeme Newell and Muhammad Jufri Marzuki
Renewable energy infrastructure is an important asset class in the context of reducing global carbon emissions going forward. This includes solar power, wind farms, hydro, battery…
Abstract
Purpose
Renewable energy infrastructure is an important asset class in the context of reducing global carbon emissions going forward. This includes solar power, wind farms, hydro, battery storage and hydrogen. This paper examines the risk-adjusted performance and diversification benefits of listed renewable energy infrastructure globally over Q1:2009–Q4:2022 to examine the role of renewable energy infrastructure in a global infrastructure portfolio and in a global mixed-asset portfolio. The performance of renewable energy infrastructure is compared with the other major infrastructure sectors and other major asset classes. The strategic investment implications for institutional investors and renewable energy infrastructure in their portfolios going forward are also highlighted. This includes identifying effective pathways for renewable energy infrastructure exposure by institutional investors.
Design/methodology/approach
Using quarterly total returns, the risk-adjusted performance and portfolio diversification benefits of global listed renewable energy infrastructure over Q1:2009–Q4:2022 is assessed. Asset allocation diagrams are used to assess the role of renewable energy infrastructure in a global infrastructure portfolio and in a global mixed-asset portfolio.
Findings
Listed renewable energy infrastructure was seen to underperform the other infrastructure sectors and other major asset classes over 2009–2022. While delivering portfolio diversification benefits, no renewable energy infrastructure was seen in the optimal infrastructure portfolio or mixed-asset portfolio. More impressive performance characteristics were seen by nonlisted infrastructure funds over this period. Practical reasons for these results are provided as well as effective pathways going forward are identified for the fuller inclusion of renewable energy infrastructure in institutional investor portfolios.
Practical implications
Institutional investors have an important role in supporting reduced global carbon emissions via their investment mandates and asset allocations. Renewable energy infrastructure will be a key asset to assist in the delivery of this important agenda for a greener economy and addressing global warming. Based on this performance analysis, effective pathways are identified for institutional investors of different size assets under management (AUM) to access renewable energy infrastructure. This will see institutional investors embracing critical investment issues as well as environmental and social issues in their investment strategies going forward.
Originality/value
This paper is the first published empirical research analysis on the performance of renewable energy infrastructure at a global level. This research enables empirically validated, more informed and practical decision-making by institutional investors in the renewable energy infrastructure space. The ultimate aim of this paper is to articulate the potential strategic role of renewable energy infrastructure as an important infrastructure sector in the institutional real asset investment space and to identify effective pathways to achieve this renewable energy infrastructure exposure, as institutional investors focus on the strategic issues in reducing global carbon emissions in the context of increased global warming.
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Luis Otero González, Raquel Esther Querentes Hermida, Pablo Durán Santomil and Celia López Penabad
The primary objective of this study is to analyze the performance and risk characteristics of portfolios composed of Spanish family businesses (FBs) when sustainability and…
Abstract
Purpose
The primary objective of this study is to analyze the performance and risk characteristics of portfolios composed of Spanish family businesses (FBs) when sustainability and quality factors are taken into account. By comparing different portfolio compositions against a benchmark, the study aims to provide insights into the impact of these factors on portfolio performance.
Design/methodology/approach
This study employs an empirical approach to evaluate the performance and risk of portfolios consisting of Spanish family businesses (FBs) by incorporating sustainability and quality factors. It compares the results of various portfolios against a benchmark, utilizing GARCH models and the extended six-factor model of Fama and French for the period 2018–2023.
Findings
The findings reveal that investing in Spanish family businesses (FBs) yields higher returns compared to the index, with portfolios incorporating quality factors demonstrating superior performance. However, the inclusion of sustainability factors negatively affects portfolio performance. These results highlight the significance of considering sustainability and quality factors in portfolio construction and investment decisions.
Originality/value
This study contributes to the existing literature by examining the performance and risk implications of incorporating sustainability and quality factors into portfolios of family businesses. The findings offer valuable insights for investors and managers interested in constructing portfolios or developing financial products that balance risk and return effectively.
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Mohammadreza Tavakoli Baghdadabad
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Abstract
Purpose
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Design/methodology/approach
We estimate a cross-sectional model of expected entropy that uses several common risk factors to predict idiosyncratic entropy.
Findings
We find a negative relationship between expected idiosyncratic entropy and returns. Specifically, the Carhart alpha of a low expected entropy portfolio exceeds the alpha of a high expected entropy portfolio by −2.37% per month. We also find a negative and significant price of expected idiosyncratic entropy risk using the Fama-MacBeth cross-sectional regressions. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
Originality/value
We propose a risk factor of idiosyncratic entropy and explore the relationship between this factor and expected stock returns. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
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Graeme Newell and Muhammad Jufri Marzuki
Healthcare property has become an important alternate property sector in recent years for many international institutional investors. The purpose of this paper is to assess the…
Abstract
Purpose
Healthcare property has become an important alternate property sector in recent years for many international institutional investors. The purpose of this paper is to assess the risk-adjusted performance, portfolio diversification benefits and performance dynamics of French healthcare property in a French property portfolio and mixed-asset portfolio over 1999–2020. French healthcare property is seen to have different performance dynamics to the traditional French property sectors of office, retail and industrial property. Drivers and risk factors for the ongoing development of the direct healthcare property sector in France are also identified, as well as the strategic property investment implications for institutional investors.
Design/methodology/approach
Using annual total returns, the risk-adjusted performance, portfolio diversification benefits and performance dynamics of French direct healthcare property over 1999–2020 are assessed. Asset allocation diagrams are used to assess the role of direct healthcare property in a French property portfolio and in a French mixed-asset portfolio. The role of specific drivers for French healthcare property performance is also assessed. Robustness checks are also done to assess the potential impact of COVID-19 on the performance of French healthcare property.
Findings
French healthcare property is shown to have different performance dynamics to the traditional French property sectors of office, retail and industrial property. French direct healthcare property delivered strong risk-adjusted returns compared to French stocks, listed healthcare and listed property over 1999–2020, only exceeded by direct property. Portfolio diversification benefits in the fuller mixed-asset portfolio context were also evident, but to a much lesser extent in a narrower property portfolio context. Importantly, this sees French direct healthcare property as strongly contributing to the French property and mixed-asset portfolios across the entire portfolio risk spectrum and validating the property industry perspective of healthcare property being low risk and providing diversification benefits in a mixed-asset portfolio. However, this was to some degree to the loss or substitution of traditional direct property exposure via this replacement effect. French direct healthcare property and listed healthcare are clearly shown to be different channels in delivering different aspects of French healthcare performance to investors. Drivers of French healthcare property performance are also shown to be both economic and healthcare-specific factors. The performance of French healthcare property is also shown to be different to that seen for healthcare property in the UK and Australia. During COVID-19, French healthcare property was able to show more resilience than French office and retail property.
Practical implications
Healthcare property is an alternate property sector that has become increasingly important in recent years. The results highlight the important role of direct healthcare property in a French property portfolio and in a French mixed-asset portfolio, with French healthcare property having different investment dynamics to the other traditional French property sectors. The strong risk-adjusted performance of French direct healthcare property compared to French stocks, listed healthcare and listed property sees French direct healthcare property contributing to the mixed-asset portfolio across the entire portfolio risk spectrum. French healthcare property’s resilience during COVID-19 was also an attractive investment feature. This is particularly important, as many institutional investors now see healthcare property as an important property sector in their overall portfolio; particularly with the ageing population dynamics in most countries and the need for effective social infrastructure. The importance of French direct healthcare property sees direct healthcare property exposure accessible to investors as an important alternate real estate sector for their portfolios going forward via both non-listed healthcare property funds and the further future establishment of more healthcare REITs to accommodate both large and small institutional investors respectively. The resilience of French healthcare property during COVID-19 is also an attractive feature for future-proofing an investor’s portfolio.
Originality/value
This paper is the first published empirical research analysis of the risk-adjusted performance, diversification benefits and performance dynamics of French direct healthcare property, and the role of direct healthcare property in a French property portfolio and in a French mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision-making regarding the strategic role of French direct healthcare property in a portfolio; particularly where the strategic role of direct healthcare property in France is seen to be different to that in the UK and Australia via portfolio replacement effects. Clear evidence is also seen of the drivers of French healthcare property performance being strongly influenced by healthcare-specific factors, as well as economic factors.
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Rida Afrilyasanti, Eko Suhartoyo and Utami Widiati
Through the action research study, this paper aims to examine how e-portfolios improve students’ critical, reflective and creative thinking as part of higher-order thinking skills…
Abstract
Purpose
Through the action research study, this paper aims to examine how e-portfolios improve students’ critical, reflective and creative thinking as part of higher-order thinking skills (HOTS). Besides, this paper also explores how e-portfolios enhance students’ speaking skills. The study is carried out to improve the current state by identifying and solving problems in specific contexts.
Design/methodology/approach
This investigation was designed to seek the improvement of the students’ higher-order thinking and speaking skills after the implementation of the e-portfolio. Action research was chosen because action research is suitable to bring change and improvement in the system or assume to bring progress in the system. This study was designed in two phases, featuring reflection and connection between previous and new data.
Findings
By completing this action research study, the authors assisted students in improving their higher-order thinking and speaking skills. The improvement was related to the indicators for learning success, which were explained in this research. The HOTS criteria include the capacity to analyze essential facts and arguments that the students presented in their spoken works logically and critically.
Research limitations/implications
HOTS encompasses critical, logical, creative and metacognitive thinking skills. Future research should go further into the usage of e-portfolios in the development of students’ metacognitive capacities. Moreover, because this investigation was carried out using action research methods, it is crucial to recognize that no generalizability can be offered for the findings.
Practical implications
The study’s findings should also benefit practitioners and instructors endeavoring to enhance students’ e-portfolios, critical thinking and digital skills in the classroom.
Social implications
The discussion focuses on important development topics. Everyone, not just students, should be encouraged to participate in creating and developing our technological future. The analysis offers unique and essential perspectives into what to explore for such a substantial attempt as implementing digital technology, specifically to construct an e-portfolio.
Originality/value
Despite the widespread usage of e-portfolios in English as a foreign language (EFL) instruction, there is a lack of research on how e-portfolios can enhance EFL students’ HOTS and speaking abilities. Hence, this study addresses a deficiency in existing research by examining the potential of e-portfolios to enhance students’ HOTS and oral communication skills within the context of EFL.
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Hsing-Hua Chang, Chen-Hsin Lai, Kuen-Liang Lin and Shih-Kuei Lin
Factor investment is booming in global asset management, especially environmental, social, and governance (ESG), dividend yield, and volatility factors. In this chapter, we use…
Abstract
Factor investment is booming in global asset management, especially environmental, social, and governance (ESG), dividend yield, and volatility factors. In this chapter, we use data from the US securities market from 2003 to 2019 to predict dividends and volatility factors through machine learning and historical data–based methods. After that, we utilize particle swarm optimization to construct the Markowitz portfolio with limits on the number of assets and weight restrictions. The empirical results show that that the prediction ability using XGBoost is superior to the historical factor investment method. Moreover, the investment performance of our portfolio with ESG, high-yield, and low-volatility factors outperforms baseline methods, especially the S&P 500 ETF.
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George Li, Ming Li and Shuming Liu
The paper aims to investigate whether or not a firm’s capital structure can interact with past stock returns to affect future stock returns. Specifically, the authors examine…
Abstract
Purpose
The paper aims to investigate whether or not a firm’s capital structure can interact with past stock returns to affect future stock returns. Specifically, the authors examine whether or not capital structure can help improve momentum profit.
Design/methodology/approach
The authors use the US common stocks data from 1965 to 2022 to empirically examine the impact of capital structure on momentum profit.
Findings
When capital structure is measured either as the ratio of debt to asset or the ratio of liability to asset, we all find out that momentum strategies tend to be more profitable for stocks with large capital structure.
Originality/value
Besides documenting the empirical evidence of the impact of capital structure on momentum profit, the authors also present a simple explanation for their empirical results and show that their finding is consistent with the behavioral finance theory that characterizes investors’ increased psychological bias and the more limited arbitrage opportunity when the estimation of firm value becomes more difficult or less accurate.
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Steven D. Silver and Marko Raseta
The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in…
Abstract
Purpose
The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in response to price shocks and investigate alternative rebalancing heuristics.
Design/methodology/approach
The authors use market data over 40 years to define market shocks. Portfolio rebalancing implements constrained Markowitz mean-variance (MV) heuristics.
Findings
Momentum rebalancing in portfolio management outperforms contrarian rebalancing in the study interval. Sensitivity analysis by decade, sector constraints and proportion of security holdings bought or sold continue to support momentum rebalancing.
Research limitations/implications
The results are consistent with under-responding to price shocks at consensus levels in financial markets. The theoretical background provides a basis for experimental lab studies of shocks of different magnitudes under conditions in which participants have information on the levels of other participants and a condition in which they can only observe their previous estimates.
Practical implications
Managing portfolios in the face of price disturbances of different magnitudes is informed by empirical studies and their implications for investor behavior.
Originality/value
This is the first study the authors can locate that uses market data with alternative rebalancing heuristics to estimate price returns from the respective heuristics over a time interval of 40 years. The authors support the results with sensitivity estimates and consider implications for the underlying agent heuristics in light of background studies.
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Yan He, Ruixiang Jiang, Yanchu Wang and Hongquan Zhu
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that…
Abstract
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.
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Sven Rehers, Jon Lekander and Ansgar Bernhard Bendiek
This paper compares the benefits of direct international real estate investments in a mixed asset portfolio from the perspective of a passive investor with high and low bond…
Abstract
Purpose
This paper compares the benefits of direct international real estate investments in a mixed asset portfolio from the perspective of a passive investor with high and low bond allocation.
Design/methodology/approach
Due to high data availability and its professionalism, the Norwegian sovereign wealth fund was used as a representative example. Real estate indices from 8 countries were used for the portfolio analysis. The data were desmoothed according to Geltners’s 1993 approach.
Findings
The optimal real estate ratio in the present case is around 20–55%. However, this is strongly dependent on the bond ratio of the multi-asset portfolio. Portfolios with a high equity ratio benefit more from the additional direct real estate investments than portfolios with high bond ratios.
Research limitations/implications
A rebalancing of individual stocks and bonds was not analysed. Only indexes from MSCI (Morgan Stanley Capital International) were available.
Practical implications
Concludes that the weighting of stocks and bonds has a strong influence on the optimal real estate ratio and therefore structural changes that affect this weighting.
Originality/value
The originality of the paper lies in the analysis with different weights of stocks and bonds, the consideration of 8 real estate markets and the observation period. The results of the work highlight areas of interest for further research.
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