Search results

Purpose – The purpose of this chapter is to examine whether or not the Capital Asset Pricing Model (CAPM) reasonably describes the return generating process on the Ghanaian Stock Exchange using monthly return data of 19 individual companies listed on the Exchange during the period January 2000 to December 2009.

Methodology/approach – We follow a methodology similar to Jensen (1968) time series approach. Parameters are estimated using OLS. This study is designed to measure beta risk across different times by following the time series approach. The betas of the individual securities are estimated using time series data of the excess return version of the CAPM.

Findings – Our test results show that although market beta contributes to the variation in equity returns in Ghana, its contribution is not as significant as predicted by the CAPM, and in some cases very weak. Our results also reject the strictest form of the Sharpe–Lintner CAPM, but we found positive linear relationship between equity risk premium and market beta. Instead, our evidence uphold the Jensen (1968) and Jensen, Black, and Scholes (1972) versions of the CAPM.

Research limitations/implications – This study is limited to the single-factor CAPM. Future studies will extend the test to include both size and BE/ME fundamentals and factors relating to P/E ratio, momentum and liquidity.

Practical implications – Our results will make corporate managers to be cautious when using CAPM as a basis to determine cost of equity for investment appraisal purposes, and fund managers when evaluating asset and portfolio performance.

Originality/value – The CAPM is applied to individual securities instead of portfolios, since the model was developed using information on a single security.

The first element contributing to the low number of African American men in college is the set of factors that cause Black men to not even consider applying or enrolling. In this volume, Launcelot Brown, Malick Koyate, and Rodney Hopson explore why so many Black men fail to grasp the opportunity to go to college while Rhonda Sharpe and William Darity examine some specific factors affecting the decision not to enroll. Also, Candace Baldwin, Jodi Fisler, and James Patton delineate issues linked to the status and perceptions of Black men in society as a whole that contribute to their absence from our campuses.

James March's highly influential article on organisational learning underpins the studies of exploration and exploitation collected in this issue. What is less well known is that March's article, which is based on a computer simulation of collective and individual learning, reflects a real-life experiment in exploration and exploitation that he, in large part, designed and conducted when he was the new ‘boy Dean’ of the School of Social Sciences in the University of California at Irvine between 1964 and 1969. This chapter tells this story and then uses it to critique March's original model. It argues that March's model, which was probably the first simulation of an organisation learning, worked to constitute rather than model the phenomenon of organisational learning. The Irvine story is also important because it provides the context for what constitutes knowledge in organisation theory, and because it highlights the personal trauma and distress that can accompany the creative play of exploration.

To lay the ground for a future diversification of academic finance in line with on-going sustainability issues.

We situate academic finance within the broader spectrum of social sciences and highlight its ontological, epistemological and methodological assumptions. This brings out the limitations of paradigmatic unity in finance and the ideological aspects of academic finance, and allows us to characterise diversification in finance with reference to the nested epistemological structure of scientific discourse.

We define the diversification of academic finance as a process by which (i) finance research is extended to other existing paradigms in social sciences; (ii) new research metaphors are developed within the current paradigm and (iii) puzzle-solving robustness is achieved. We develop a new research agenda which are divided down into themes, paradigmatic hypotheses, and research questions.

We do not test any particular implications of our research agenda.

This chapter will be a useful reference for any researcher or practitioner seeking to contribute to the diversification of academic finance, and make finance work for society.

This chapter looks at academic finance from an interdisciplinary angle in order to bring out its limitations and carve out an innovative research agenda.

William Breit’s brilliant idea was to commission a Nobel Economists Lecture Series at Trinity University that induced recipients to write autobiographical essays on their individual evolution as an economist. This fourth edition presents eighteen such essays. Breit had two intellectual purposes in mind. One objective was to identify common themes in the laureates’ description of their development as economists. The second objective was to use the materials provided in the essays to examine the question of the role of biography in the development of modern economics as a contribution to a theory of scientific discovery.

There has been much discussion, but little research about why African American males do not attend and or complete a college education. We examine the alternatives that might reduce or compete with the decision to complete a college education. We analyze the number of men incarcerated, trends in labor force participation, and occupation and wages by educational attainment. We find that even when the number of 18–24-year-old African American males incarcerated increased, the number of 18–24-year-old African American males enrolled in college had a larger increase suggesting that incarceration is not a plausible explanation for the growth rate in degree attainment for African American males. We find that the decrease in the overall percentage and in the percentage of 18–24-year-old African American males reporting employed as their labor force status and the increase in the percentage for these groups reporting not in the labor force and unemployed may have an impact on the college degree completion. Additionally, an increasing percentage of African American males have an associate's or bachelor's degree, but there was a larger percentage change in the percent of African American males with some college. African American males with some college earn significantly less than those with an associate's or bachelor's degree, but earn significantly more than African American women with some college or an associate's degree. This supports Dunn's (1988) finding that African American males do not invest in college because they desire “quick money.” The earnings differential between African American males and females may also explain the degree attainment gap, as it is the African American females with a bachelor's degree that earn significantly more than African American males with some college.

Portfolio selection has been extensively studied in field of business and economics. Many methods have been developed to construct a well-diversified portfolio that is expected to result in higher investment return with minimum risk. One of the most foundational works contributing to modern portfolio selection is the Markowitz mean variance optimization approach. The Markowitz approach heavily relies on past stock price performance, both in term of correlation structure and the return, to predict the future outcome. We constructed both Markowitz portfolio and the Fundamental Indexing portfolio independently, then using Buffet ratio to weight, combined both portfolio into a newly blended portfolio, test out-of-sample the new portfolio in term of return and then compare it to the Indonesian LQ45 benchmark index. The result shows that the new combined portfolio returns annually on average 43.89% higher than the benchmark index.