Search results

The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical analysis.

Ibovespa, S&P500, Bitcoin and interbank deposit rate (IDR) indexes were respectively considered proxies for the national, international, cryptocurrency and fixed income stock markets. Forecasts were made out of the sample aiming at incorporating them in the BL model, using several portfolio weighting methods from June 13, 2013 to August 30, 2022.

The Sharpe, Treynor and Omega ratios point out that the proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally calculated counterparts, with emphasis on the risk parity portfolio. Nonetheless, the inclusion of the IDR leads to performance losses, especially in scenarios with lower risk tolerance. And finally, given the impact of turnover, the naive portfolio was also detected as a viable alternative.

The results obtained can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing.

The main contributions of the study are: performance analysis incorporating cryptocurrencies and international assets in an uncertain recent period; the use of a methodology to compute the views simulating the behavior of managers using technical analysis; and comparing the performance of portfolio management strategies based on the BL model, taking into account different levels of risk and uncertainty.

This study aims to examine the tourists' visit intention by watching deepfake destination videos, using Information Manipulation and Media Richness Theory.

This study conducted a primary survey utilizing a structured questionnaire. In total, 1,360 tourists were surveyed, and quantitative data analysis was done using PLS-SEM.

The results indicate that the factors that affect the tourists' visit intention after watching deepfake videos include information manipulation tactics, trust and media richness. This study also found that perceived deception and cognitive load do not influence the tourists' visit intention.

The originality/salience of this study lies in the fact that this is possibly among the first to combine the Media Richness Theory and Information Manipulation for understanding tourists' visit intention and post-viewing deepfake destination videos.

This paper aims to propose a simulation-based performance evaluation model for the drone-based delivery of aid items to disaster-affected areas. The objective of the model is to perform analytical studies, evaluate the performance of drone delivery systems for humanitarian logistics and can support the decision-making on the operational design of the system – on where to locate drone take-off points and on assignment and scheduling of delivery tasks to drones.

This simulation model captures the dynamics and variabilities of the drone-based delivery system, including demand rates, location of demand points, time-dependent parameters and possible failures of drones’ operations. An optimization model integrated with the simulation system can update the optimality of drones’ schedules and delivery assignments.

An extensive set of experiments was performed to evaluate alternative strategies to demonstrate the effectiveness for the proposed optimization/simulation system. In the first set of experiments, the authors use the simulation-based evaluation tool for a case study for Central Florida. The goal of this set of experiments is to show how the proposed system can be used for decision-making and decision-support. The second set of experiments presents a series of numerical studies for a set of randomly generated instances.

The goal is to develop a simulation system that can allow one to evaluate performance of drone-based delivery systems, accounting for the uncertainties through simulations of real-life drone delivery flights. The proposed simulation model captures the variations in different system parameters, including interval of updating the system after receiving new information, demand parameters: the demand rate and their spatial distribution (i.e. their locations), service time parameters: travel times, setup and loading times, payload drop-off times and repair times and drone energy level: battery’s energy is impacted and requires battery change/recharging while flying.

This study investigates whether the disclosure of derivatives is value relevant in emerging markets and evaluates the effects of the 2008/2009 global financial crisis on the value relevance of derivative disclosures.

Panel regression models using sub-samples and a crisis interaction term were applied to a sample of the 200 largest non-financial firms by market capitalization listed on the Johannesburg Stock Exchange (JSE) from 2005 to 2017 to assess the consequences of the financial crisis.

The results suggest that the disclosure of derivatives is value relevant in the hitherto understudied context of emerging markets. The 2008/2009 financial crisis had a significant impact on derivatives use and the value relevance of derivatives disclosure by JSE-listed companies.

Companies should reconsider both how they employ derivatives as part of their risk management practices and how they communicate derivatives use to stakeholders in the financial statements. The findings facilitate a comparative analysis across various market contexts by researchers and assist investors in better decision-making. The findings can influence regulatory practices and can help standard setters to review disclosure requirements.

The benefits of corporate hedging were studied from an emerging market perspective, using an original dataset and approach to investigate the effects of international financial volatility on emerging markets. The authors tested whether companies are valued differently, based on their disclosure of the use of derivatives in the financial statements, and the effect of the financial crisis on the value relevance derivatives disclosures.

The description of “blockchain banking”, the determination of “the sub-processes” of “blockchain banking” as a “business process”, and the assessment of “maturity level” in Parsian Bank.

Theoretical sources on “blockchain banking” were initially investigated. Then the “sub-processes” of “blockchain banking” as a “business process” were extracted by Parsian Bank's experts through the “Delphi method”. Next, the “sequence” of the “sub-processes” was determined by means of the “AHP”. Eventually, Parsian Bank's maturity levels for all the sub-processes as well as the overall maturity level were specified on the basis of the “CMMI” V1.3 in order for Business Process Management (BPM).

Blockchain banking’ combines traditional banking with cryptocurrencies, which can be provided by merging “hybrid e-wallet” with “bank account” and “bank card” – all together as “crypto bank account”. Plus, “hybrid e-wallet” is a form of mobile e-wallet on blockchain that supports both cryptocurrencies and traditional currencies in the same platform by which the purchase and sale of cryptocurrencies are possible. Besides, “Blockchain banking service” can also be offered within the framework of “open banking” aligned with “open innovation” through a FinTech (or a beta bank) in collaboration with a licensed bank via “open API”, which is called “blockchain banking based on FinTech”. At last, the eight sub-processes of “blockchain banking” were determined and Parsian Bank's “maturity level” was specified.

This is the very first practical guide to “blockchain banking service”.

This study applies the modified brand avoidance model to examine factors that influence sustainable fashion avoidance behaviour among millennial shoppers in South Africa.

A positivistic approach and a web-based online survey were employed to collect cross-sectional data from 423 millennial fashion shoppers. Standard multiple regression analysis was used to test proposed hypotheses.

Unmet expectations, materialism and symbolic incongruence emerged as major predictors of millennials' intention to avoid sustainable fashion. Sustainable fashion avoidance intention was found to have a positive effect on sustainable fashion avoidance behaviour.

This study relied on self-reported data collected from millennial shoppers. Future studies may improve the generalizability of this study's results by conducting a comparative study with other cohorts such as baby boomers and Generation X who espouse different shopping values. Future studies may benefit from the use of longitudinal data in order to understand how millennial shoppers relate to sustainable fashion as it evolves.

The results of this study suggest the importance of developing value propositions that align sustainable fashion with cultural, personality and symbolic cues valued by millennial shoppers. Consumer education on the benefits of sustainable fashion is recommended as a long-term behavioural change strategy.

The purchase behaviour of sustainable fashion should be encouraged as it enhances environmental sustainability including safeguarding the livelihoods of future generations.

This study contributes to literature on sustainable fashion avoidance behaviour. This is one of the pioneering studies to empirically examine the influence of unmet expectations, symbolic incongruence and ideological incompatibility in the context of an emerging market, such as South Africa.

This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).

The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.

The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.

To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.

This techno-centric and too much busy day-to-day living style of citizens pressurizes the implementation of E-ticketing service to adapt with change. Thus, this study aims to examine the factors influencing railway passengers’ E-ticketing service acceptance and usage intention in Bangladesh and to extend the widely used Technology Acceptance Model through inserting two new constructs.

This paper employs structural equation modeling to test model’s paths developed through theoretical research framework. Moreover, a structured questionnaire was administered at different railway stations in northern and western parts of Bangladesh to collect data. Total of 302 responses were considered for statistical analysis to test hypotheses after considering anomalies and outliers in raw data.

The study results show that technology trust (TT) has the strongest impact on passengers’ E-ticketing usage intention rather than perceived ease of use and perceived usefulness (PU). Meanwhile, the easiness of using technology to reserve tickets does matter to female passengers rather than male passengers wherein PU and TT do not do that.

The findings of this study might be helpful for the railway authorities to improve the ticket reservation service quality online by developing the advanced booking application and minimizing the pressure on other transportation. Therefore, this empirical study will contribute to this domain for further study that ensures full satisfaction of passengers and uplift the railway passengers’ usage intention for E-ticketing which then helps the government to implement the digitization slogan with efficiency and effectiveness.

This study aims to examine whether there are differences between financial statements prepared in accordance with International Financial Reporting Standards (IFRS) and financial statements prepared in accordance with local accounting standards in terms of its ability to present the financial conditions of companies listed on the Saudi Stock Exchange as one of the emerging markets.

Data on study variables were obtained from the published financial statements of 67 of listed companies in the Saudi Stock Exchange during the period 2014–2019. The study addressed the research hypotheses by using Altman Z-score model. Both the T-test and Wilcoxon rank test were used to investigate the significance of differences between the values of Z-score and the individual variables included in the model in the pre- and post-IFRS mandatory adoption periods.

The results revealed a decrease in the values of Z-score as well as the values of the individual variables included in the model in the period following the adoption of IFRS than it was before the adoption of IFRS, which indicates the ability of IFRS to show the financial conditions of companies more transparently than local accounting standards. However, the results of the T-test and Wilcoxon test showed that these decreases were not statistically significant.

This study has some limitations, including the small sample size as a result of the small size of the Saudi Stock Exchange, As well as the reliance of this study only on the Altman model with its five variables in assessing financial conditions without examining the impact of other factors that may affect the financial conditions of companies.

Financial conditions of the companies have important implications for multiple parties such as management, government, investors and others as an early warning sign that enables them to take the necessary measures early before the actual bankruptcy occurs and what results in costs.

Although assessing financial conditions of the companies is one of the basic uses of accounting information, this topic has not received sufficient attention as a means to test the benefits of adopting IFRS, especially in emerging markets such as Saudi Stock Exchange. This is the first study to examine the impact of adopting IFRS on the transparency of financial reporting in assessing financial conditions in Saudi Arabia.

This study aims to investigate different types of platform providers (PPs) to gain a deeper understanding of the characteristics and underlying logic of this group within collaborative consumption (CC). As CC occurs with three groups of actors (PP, peer service provider and customer) and is predominantly viewed from the customer perspective, this study offers insights from the under-researched PP perspective.

This research applies a multiple case study approach and analyzes descriptively and thematically 92 cases of CC PPs gathered through the Crunchbase database.

The authors derive four archetypes of CC PPs, namely, the hedonist, functionalist, environmentalist and connector, that differ in their offered values, dominating motives and activities across industries.

The authors conceptualize CC by clearly describing the four archetypes and their characteristics. However, further research would benefit from including databases other than Crunchbase.

PPs need to understand their value offerings and customer preferences to develop convincing value propositions and offer engaging activities. PPs would benefit from a more active social media presence to build strong relations with customers and peer service providers to effectively communicate their values.

The paper is pioneering as it encompasses the perspective of CC PPs and operationalizes the concept of CC. The authors address the lack of research on CC by conducting an extensive case study.