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Article
Publication date: 20 January 2012

Yuri Khoroshilov

Existing empirical studies that document momentum trading strategies do not provide any insight on how investors choose the time horizon that is used to compute the past…

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Abstract

Purpose

Existing empirical studies that document momentum trading strategies do not provide any insight on how investors choose the time horizon that is used to compute the past stock returns. Indeed, since past returns over overlapping time periods are positively correlated, it is hard to identify the exact historical time period on which investors base their trading strategies and to investigate whether such a period is unique. The purpose of this paper is to investigate this and reach some conclusions.

Design/methodology/approach

In this paper the author uses experimental setting to analyze how investors choose which of the past returns to use as a basis for their trading strategies and whether this choice depends on their investment horizon. The advantage of this experimental setting over the existing empirical research is the ability to control for the investment horizon of the subjects and the ability to provide the subjects with a hand‐picked set of stocks with uncorrelated past returns over overlapping time periods. In the study subjects were asked to make short‐term investment decisions based on historical short‐term realized returns over two time intervals of different lengths. In each treatment the subjects were divided into two groups based on the lengths of their investment horizons, which were set to match the lengths of time intervals used to compute the historical returns.

Findings

It was found that subjects followed momentum trading strategies based on both historical returns provided to them and paid more attention to the historical returns over the shorter time period. In addition, some evidence was found that subjects with longer investment horizons rely less on momentum strategies.

Originality/value

A wide sample was used to create an original set of observations and conclusions.

Details

Journal of Economic Studies, vol. 39 no. 1
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 16 April 2010

Simon Archer, Rifaat Ahmed Abdel Karim and Venkataraman Sundararajan

The aims of this paper are: first, to draw attention to the issues of displaced commercial risk (DCR) which arise as a result of the risk characteristics of profit‐sharing…

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5083

Abstract

Purpose

The aims of this paper are: first, to draw attention to the issues of displaced commercial risk (DCR) which arise as a result of the risk characteristics of profit‐sharing investment accounts (PSIA), the main source of funding of Islamic banks in most jurisdictions; and, second, to present a value‐at‐risk approach to the estimation of DCR and the associated adjustments in capital requirements.

Design/methodology/approach

The paper is based on empirical research into the characteristics of PSIA in practice, which vary to a greater or lesser extent from what one would expect them to be in principle, on an analysis of the capital adequacy and risk management implications that flow from this, and on an econometric formulation whereby the extent of DCR in Islamic banks may be estimated.

Findings

The findings are, first, that the characteristics of PSIA can vary from being a deposit like product (fixed return, capital certain, all risks borne by shareholders) to an investment product (variable return, bearing the risk of losses in underlying investments), depending upon the extent to which the balance sheet risks get shifted (“displaced”) from investment account holders to shareholders through various techniques available to Islamic banks' management. Second, the paper finds that this DCR has a major impact on Islamic bank's economic and regulatory capital requirements, asset‐liability management, and product pricing. Finally, it proposes an econometric approach to estimating DCR but report that individual Islamic banks generally lack the data needed to apply this approach, in the absence of which panel data for a population of Islamic banks may be used to estimate DCR for that population.

Research limitations/implications

Empirically, the paper is thus limited by the lack of data just mentioned. Furthermore, the application of the proposed panel data approach has been left for future research.

Originality/value

The analysis of the issues and the development of the econometric model represent in themselves an original research contribution of some significance.

Details

Journal of Islamic Accounting and Business Research, vol. 1 no. 1
Type: Research Article
ISSN: 1759-0817

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Book part
Publication date: 4 April 2005

Mirko Cardinale

The paper uses 101 years of Chilean and international financial assets returns to investigate mean-variance optimal portfolio allocations. The key conclusion is that the…

Abstract

The paper uses 101 years of Chilean and international financial assets returns to investigate mean-variance optimal portfolio allocations. The key conclusion is that the share of international unhedged investments is substantial even in minimum risk portfolios (20%), unless the period 1980–2002 is assumed to be drawn from a different distribution and previous history is disregarded. In addition to that, the paper finds that mean-variance optimal investors would have generated substantial demand for an asset replicating the return profile of an efficient pay-as-you-go pension scheme. Labour income and departures from log-normality of returns might, however, affect the latter conclusion.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Article
Publication date: 1 February 1993

Michael J. Crean

Offers an analytical tool that measures reinvestment rate risk.Expands the knowledge of the concept of reinvestment vis‐...‐vis theinternal rate of return via the external…

Abstract

Offers an analytical tool that measures reinvestment rate risk. Expands the knowledge of the concept of reinvestment vis‐...‐vis the internal rate of return via the external rate of return. Concludes that investors should prefer investments that are less sensitive to reinvestment rate assumption than vice versa.

Details

Journal of Property Valuation and Investment, vol. 11 no. 2
Type: Research Article
ISSN: 0960-2712

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Article
Publication date: 3 October 2016

Michael B. McDonald and Ramon P. DeGennaro

The purpose of this paper is to examine the literature on angel investors. Research on angel investors is sparse because data are sparse. Most comprehensive studies of…

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1244

Abstract

Purpose

The purpose of this paper is to examine the literature on angel investors. Research on angel investors is sparse because data are sparse. Most comprehensive studies of angel investors have focused on the USA and UK. In these studies, definitions of angel investors and estimates of returns on angel investments vary dramatically. What can one make of this wide range of reported returns?

Design/methodology/approach

The authors examine the literature and find that the calculations of reported results are vague.

Findings

Most researchers do not explicitly report if their estimates are equal-weighted or value-weighted, nor do they say whether the results are weighted by the duration of the investment. The authors show that the unit of analysis – investment, project or angel – affects interpretations.

Practical implications

Limitations on the comparability between various studies of angel investing returns leave the current literature incomplete. They also offer opportunities for future study in the area.

Originality/value

The authors are the first to examine the angel investing literature in a comprehensive fashion, comparing between various returns found across all major studies of the subject done to date.

Details

Studies in Economics and Finance, vol. 33 no. 4
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 1 February 1993

Richard Dobbins

Sees the objective of teaching financial management to be to helpmanagers and potential managers to make sensible investment andfinancing decisions. Acknowledges that…

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5086

Abstract

Sees the objective of teaching financial management to be to help managers and potential managers to make sensible investment and financing decisions. Acknowledges that financial theory teaches that investment and financing decisions should be based on cash flow and risk. Provides information on payback period; return on capital employed, earnings per share effect, working capital, profit planning, standard costing, financial statement planning and ratio analysis. Seeks to combine the practical rules of thumb of the traditionalists with the ideas of the financial theorists to form a balanced approach to practical financial management for MBA students, financial managers and undergraduates.

Details

Management Decision, vol. 31 no. 2
Type: Research Article
ISSN: 0025-1747

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Article
Publication date: 7 August 2017

Philip Roundy, Hunter Holzhauer and Ye Dai

The growing prevalence of social entrepreneurship has been coupled with an increasing number of so-called “impact investors”. However, much remains to be learned about…

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1520

Abstract

Purpose

The growing prevalence of social entrepreneurship has been coupled with an increasing number of so-called “impact investors”. However, much remains to be learned about this nascent class of investors. To address the dearth of scholarly attention to impact investing, this study seeks to answer four questions that are central to understanding the phenomenon. What are the defining characteristics of impact investing? Do impact investors differ from traditional classes of investors and, if so, how? What are the motivations that drive impact investment? And, what criteria do impact investors use when evaluating potential investments?

Design/methodology/approach

A partially inductive study based on semi-structured interviews with 31 investors and ethnographic observation was conducted to explore how impact investors differ from other classes of investors in their motivations and unique criteria used to evaluate ventures seeking investment.

Findings

This study reveals that impact investors represent a unique class of investors that differs from socially responsible investing, from other types of for-profit investors, such as venture capitalists and angel investors, and from traditional philanthropists. The varied motivations of impact investors and the criteria they use to evaluate investments are identified.

Originality/value

Despite the growing practitioner and media attention to impact investing, several foundational issues remain unaddressed. This study takes the first steps toward shedding light on this new realm of early-stage venture investing and clarifying its role in larger efforts of social responsibility.

Details

Social Responsibility Journal, vol. 13 no. 3
Type: Research Article
ISSN: 1747-1117

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Article
Publication date: 28 August 2020

Rehan Aftab and Muhammad Naveed

The study invites seminal investigation on potential of investment returns in professional sports leagues. In line with scope of research, the analysis of this study…

Abstract

Purpose

The study invites seminal investigation on potential of investment returns in professional sports leagues. In line with scope of research, the analysis of this study brings into focus the Pakistan Cricket Board (PCB) and franchises pertinent to Pakistan Super League (PSL) for investment appraisal and returns analysis.

Design/methodology/approach

The methodical aspect of research deals with financial ratios and sensitivity analysis capturing the potential of returns on investment for target sample of study.

Findings

The investment appraisal substantiates the significance of potential returns on sports projects. The returns of investment reports sluggish seasonal returns during initial phase of PSL; however, return on investment (ROI) optimized with the maturity and further capitalization of Pakistan Supper League in more concentrated competitive environment. Sensitivity analysis proves variability of returns with changes in growth prospect of franchises.

Research limitations/implications

The study provides important working knowledge for existing and potential new investors and sports boards to consider the financial investment feasibility through customized investment models and relative orientations of promotion of sports, new talent hunting and re-fabricating the structure of sports in line with new age.

Originality/value

The efficacy of research is ensured through empirical verification of data obtained from reliable sources, and the novelty of research comes from investment appraisal and analysis of growing sports league familiarized as Pakistan Super League. The research approach and target sample are quite unique in context of sports leagues literature.

Details

Managerial Finance, vol. 47 no. 6
Type: Research Article
ISSN: 0307-4358

Keywords

Content available
Article
Publication date: 12 November 2018

Hatem Adela

This paper aims to contribute to formulating the methodological framework for a paradigm of Islamic economics, using the development of the conventional economics…

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5095

Abstract

Purpose

This paper aims to contribute to formulating the methodological framework for a paradigm of Islamic economics, using the development of the conventional economics, theoretical and mathematical methods.

Design/methodology/approach

The study based on the inductive and mathematical methods to contribute to economic theory within the methodological framework for Islamic Economics, by using the return rate of Musharakah rather than the interest rate in influence the economic activity and monetary policy.

Findings

Via replacement, the concept of the interest rate by the return rates of Musharakah. It concludes that the central bank can control the monetary policy, economic activity and the efficient allocation of resources by using the return rates of Musharakah through the framework of Islamic economy.

Practical/implications

The study is a contribution to formulate the methodological framework for a paradigm of Islamic economics, where it investigates the impact of return rates of Musharakah on the money market and monetary policy, by the mathematical methods used in the conventional economy. Also, the study illustrates the importance of further studies that examine the methodological framework for Islamic Economics.

Originality/value

The study aims to contribute to formulating the Islamic economic theory, through the return rate of Musharakah financing instead of the interest rate, and its effectiveness of the monetary policy. As well as reformulating the concepts of the investment function, the present value and the marginal efficiency rate of investment according to the Islamic economy approach.

Details

Review of Economics and Political Science, vol. 3 no. 3/4
Type: Research Article
ISSN: 2631-3561

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Article
Publication date: 13 September 2021

Doan Van Dinh

This study aims to investigate the relationship between risks and the expected return of financial investment because the relationship between them is negative; if the…

Abstract

Purpose

This study aims to investigate the relationship between risks and the expected return of financial investment because the relationship between them is negative; if the investors agree to the higher level of risk, they have the greater the expected return; therefore, investors always require a degree of proportionality between the risks and returns.

Design/methodology/approach

This study applied the standard deviation, variance, coefficient of variation methods and matrix function to measure risks. Besides, the dataset is a return on equity ROE, which is collected in three companies at time series from 2005 to 2020.

Findings

When the variance or the standard deviation is higher, the return on the securities is higher, but the securities are a higher risk and vice versa. The results showed risk levels of stocks that are 2.509%, 0.367%, 3.666% and the corresponding return mean of 38.68%, 23.99% and 14.02%.

Originality/value

The results support the portfolio management policy appropriately. This study identifies issues for managers, investors and readers to consider: have a comprehensive solution among microcosmic policies, finance policy, investment policy and other policies to control and balance the relationship between risks and returns; have appropriate policies to regulate funds to stimulate investment in the long term.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

Keywords

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