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1 – 10 of over 120000The purpose of this paper is to explore capital gains, income, and total returns in various property markets in Europe. In a comparative study the nature of returns for different…
Abstract
Purpose
The purpose of this paper is to explore capital gains, income, and total returns in various property markets in Europe. In a comparative study the nature of returns for different commercial and residential properties is investigated. Hereby, total returns, income returns, and capital growth are distinguished. The paper further presents an analysis of the risk‐return relationship of the different markets and investigates the interactions between property markets, other local financial markets, and macroeconomic variables.
Design/methodology/approach
Focusing on the risk‐return relationship of the different asset classes and countries, the Sharpe ratio is used as a risk‐adjusted performance measure to investigate the European markets. Using a simple linear regression model, a comparison of the European commercial property markets with respect to their returns and risk are provided. Finally, a capital asset pricing model (CAPM) and factor models based on arbitrage pricing theory (APT) are used in an effort to further explain the spreads and risk premiums for individual property markets.
Findings
The large differences between the markets regarding spreads, risk premiums, and risk‐return relationships are found. Overall, the Dutch market can be regarded as giving the highest compensation for the risk taken by the investors in the last decade, while the German market performed the worst and was the only market with negative capital growth rates for the considered period. Applying the CAPM, It has also been found total returns in commercial property markets are not significantly related to the performance of stock market indices. On the other hand, factor models using macroeconomic variables are able to explain a higher fraction of property total return spreads over the risk‐free rate in the considered countries. But depending on the country, different macroeconomic variables were estimated to be significant such that there is no single factor model available that could be applied to all European markets. Overall, these findings indicate that classic financial models drawing on existing datasets are unable to satisfactorily explain the performance of property as an asset class. On the other hand, the fact that property office markets yield relatively high returns that exhibit rather low correlations with stock market returns, makes them a very suitable candidate for portfolio diversification.
Originality/value
The paper investigates the risk‐return relationship in various European property markets. The large differences between the markets observed also partly explain the diversity of literature results on this relationship across single countries by, e.g. Goetzmann, Englund, or Bourassa et al. By using classic financial models like the CAPM or APT a contribution to the literature is made by explaining the factors that actually determine property returns over the risk free rate in different countries.
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Sees the objective of teaching financial management to be to helpmanagers and potential managers to make sensible investment andfinancing decisions. Acknowledges that financial…
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.
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Halim Yusuf Agava and Faoziah Afolashade Gamu
This study evaluated the effect of macroeconomic factors on residential real estate (RE) investment returns in the cities of Abuja and Lagos, Nigeria, with a view to guiding RE…
Abstract
Purpose
This study evaluated the effect of macroeconomic factors on residential real estate (RE) investment returns in the cities of Abuja and Lagos, Nigeria, with a view to guiding RE investors and researchers.
Design/methodology/approach
A survey research design was employed using a questionnaire to collect RE transaction data from 2008 to 2022 from estate surveying and valuation firms in the study areas. Rental and capital value data collected were used to construct rental and capital value indices and total returns on investment. The macroeconomic data used were retrieved from the archives of the Central Bank of Nigeria (CBN). Granger causality (GC) and multiple regression models were adopted to evaluate the effect of selected macroeconomic variables on residential RE investment returns in the study areas.
Findings
The study found a progressive upward movement in rental and capital values of residential RE investment in the study areas within the study period. Total and risk-adjusted returns on investment were equally positive within the study period. Only the inflation rate, unemployment rate and real gross domestic product (GDP) per capita were found to be the major determinants of residential RE investment returns in the study areas within the study period.
Research limitations/implications
The secrecy associated with property transaction information/data by RE practitioners in the study areas posed a challenge. Property transaction data were not adequately kept in a way for easier access and retrieval in many of the estate firms and agent offices. Consequently, there was a lack of data that spanned the study period in some of the sampled estate firms or agent offices. This data collection challenge was, however, overcome by the excess time spent retrieving the required data for this study to ensure that the findings appropriately answer the research questions.
Practical implications
Inflation and GDP per capita have been found to be significant factors that influence residential RE investment performance in the study areas. Therefore, investors should pay attention to these identified macroeconomic factors for residential RE investment in the study areas whilst making investment decisions in order to mitigate a possible loss of income or return. The government should formulate and implement economic policies that would address the current high unemployment and inflation rates in Nigeria at large.
Originality/value
This study has extended and further enriched the existing body of knowledge in the field of RE investment analysis in Nigeria. To the best of the authors' knowledge, this study is the first to adopt the Cornish Fisher value-at-risk and modified Sharpe ratio models to analyse risk and risk-adjusted returns on residential RE investment, respectively, in Nigeria. It has therefore redirected the focus of RE researchers and practitioners to a more objective approach to RE investment performance analysis in Nigeria.
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Kai S. Koong, Shuming Bai, Sara Tejinder and Charlotte Morris
The US Congress set the original goal that 80 per cent of all tax returns should to be filed electronically for the 2007 tax year. Unfortunately, only 70 per cent of the total…
Abstract
Purpose
The US Congress set the original goal that 80 per cent of all tax returns should to be filed electronically for the 2007 tax year. Unfortunately, only 70 per cent of the total returns were electronically filed (e-filed) in 2017. This paper aims to examine the longitudinal progress of total tax returns e-filed by individuals, businesses and “other” categories for the period from 2004 to 2017 and projects a timeline to attain the goal.
Design/methodology/approach
A comprehensive computation and analysis were performed for the volume, ratios and growth of e-filing for the major types of return. A parallel analysis was performed for the business categories. Applying various time series and exponential smoothing forecasting models, the authors projected major return e-filings for the forecast horizons from 2018 to 2025.
Findings
First, individual tax returns filed electronically have attained the target goal of 80 per cent since 2012, the extended deadline by Congress, so have corporations and partnerships for Fiscal Year 2017. Second, both the e-file volume and e-file rate for the grand total, individuals and businesses exhibit monotonically increasing trends over the sample period. Third, of the grand e-filings, individual returns constitute the vast majority of 84 per cent, while business e-files are less than 12 per cent.
Originality/value
This study is a holistic and comprehensive analysis of the adoption of e-filing in the USA. From the longitudinal analysis and the variety of forecasting models applied, the results show that the focus should be on the employment tax e-file as it stands at only 41 per cent for 2017 due to few mandates, while the returns make up 65 per cent of total business returns. The authors projected that the grand total e-filing will attain the Congressional goal of 80 per cent by 2020 along with proposed strategies and recommendations.
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David Ray, John Gattorna and Mike Allen
Preface The functions of business divide into several areas and the general focus of this book is on one of the most important although least understood of these—DISTRIBUTION. The…
Abstract
Preface The functions of business divide into several areas and the general focus of this book is on one of the most important although least understood of these—DISTRIBUTION. The particular focus is on reviewing current practice in distribution costing and on attempting to push the frontiers back a little by suggesting some new approaches to overcome previously defined shortcomings.
We extend empirical evidence on the profitability of momentum trading to the realm of plain-equity ETFs.
Abstract
Purpose
We extend empirical evidence on the profitability of momentum trading to the realm of plain-equity ETFs.
Design/methodology/approach
We employ several ranking measures used in prior research, and for each we apply a traditional ranking based on total return, and a variation based only on the capital gain/loss portion of return.
Findings
While we find that past momentum is not a strong predictor of future performance in our overall sample period, 2007 to June 2018, we find that the percent off 52-week high price results in positive performance in the recovery years following the financial crisis of 2008–2009.
Research limitations/implications
Our study is limited by the availability of ETF experience and data, and our test period covers just 2007 through June 2018. This period includes the financial crisis of 2008–2009, which previous research finding is associated with the momentum strategy's loss of profitability. When we exclude that period, we find evidence of a profitable momentum strategy based on the measure of percent off 52-week high price, enabling us to reject the null hypothesis that the momentum trading strategy is no longer profitable.
Practical implications
It is profitable based on both return measures used in the rankings. Our finding of a profitable momentum trading strategy suggests that the null hypothesis that the momentum strategy is no longer profitable can be rejected.
Originality/value
While perhaps not so strong as to reject the efficient markets hypothesis fully, our empirical findings are more consistent with a behavioral explanation and a market inefficiency. In view of the relative ease and low transactional costs of trading in ETFs, the markets have yet another opportunity to recognize an apparent mispricing and employ arbitrage based on it. To the extent that the relative ease of trading in ETFs makes momentum strategies easier to employ, the momentum anomaly might still be expected to disappear in an efficient market.
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Assesses the 1995‐1998 performance of 17 equity mutual funds operating in the Greek financial market, explains the calculations involved and reviews relevant research. Ranks the…
Abstract
Assesses the 1995‐1998 performance of 17 equity mutual funds operating in the Greek financial market, explains the calculations involved and reviews relevant research. Ranks the funds by daily, weekly, monthly and total return for the period and compares them with the general Athens Stock Exchange index. Goes on to rank them by total risk, coefficient of variation and systematic risk before applying Treynor’s index, Sharpe’s index and Jensen’s approach. Presents the results in detail and summarizes the main findings.
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Risk allocation as currently practiced in pension funds is typically characterized by: 1) measurement of the risk of returns relative to a benchmark, and 2) the assignment of…
Abstract
Risk allocation as currently practiced in pension funds is typically characterized by: 1) measurement of the risk of returns relative to a benchmark, and 2) the assignment of asset class and profit center limits on potential losses that remain within the fund's overall risk appetite, yet do not excessively hinder achievement of performance targets. Recently, there has been an increased effort to make risk allocation more proactive, i.e., to use risk allocation as a tool for adding value, rather than simply as part of a monitoring or “warning flag” system (see “Covering Bases” [1998, p. 45] and Hemmerick [1998, p. 1]). The underlying notion is that allocated risk capital can improve performance when viewed as a target, rather than a limit, if the goal of the fund is to maximize returns, or, specifically, to maximize expected surplus growth aggregated across the fund, for a given total value at risk (VaR) of returns relative to the benchmark.
Gerasimos Rompotis and Dimitrios Balios
The purpose of this paper is to accentuate whether audit quality or other variables matter for the performance of companies in Greece.
Abstract
Purpose
The purpose of this paper is to accentuate whether audit quality or other variables matter for the performance of companies in Greece.
Design/methodology/approach
This study examines the effect of audit quality on firm performance using data of 75 companies listed in the Athens Exchange in Greece and covering the period 2018–2021. Panel data analysis is applied. The independent variables are audit quality, the size of firms, their age, leverage, liquidity and efficiency ratios. Seven alternative measures of performance are used, including, among others, return on assets and return on equity. Stock returns and risks are used too.
Findings
The results provide evidence of a positive relationship between financial performance and audit quality. The opposite is the case for stock returns and risk. On the other explanatory variables, age has a clearly negative relationship with financial performance. The opposite is the case for liquidity and efficiency. The size factor also has some sort of a positive correlation with financial performance, whereas the opposite correlation concerns the leverage ratio.
Originality/value
To the best of the authors’ knowledge, this is the first study to examine the relationship between audit quality and firm performance with data from Greece.
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Ranjay Gulati and Lihua Olivia Wang
This chapter examines the factors that may influence the total value created in a joint venture (JV) and also the relative value appropriated by each partner in the venture. We…
Abstract
This chapter examines the factors that may influence the total value created in a joint venture (JV) and also the relative value appropriated by each partner in the venture. We look at the effects of both partners’ embeddedness in prior networks of relationships and the asymmetry of business relatedness of two partners with the JV on these two important outcomes. Results of an event study of stock market reaction to JV announcements by the largest U.S. firms during 1987–1996 suggest that both network embeddedness of partners and the asymmetry of business relatedness of two firms with the JV affect the total value creation of all partners but not the relative value appropriation between the partners.