Search results

A stylized fact in finance literature is the belief in positive relationship between ex ante return and risk. Hence, a rational investor, by utility preference axiom can only consider committing fund in asset which promises commensurate higher return for higher risk. Questions have been asked as to whether this holds true across securities, sectors and markets. Empirical evidence appears less convincing, especially in developing markets. Accordingly, the author investigates the nature of reward for taking risk in the Nigerian Capital Market within the context of individual assets and markets.

The author employed ex post design to collect weekly stock prices of firms listed on the Premium Board of Nigerian Stock Exchange for period 2014–2022 to attempt to answer research questions. Data were analyzed using a unique M Vec TGarch-in-Mean model considered to be robust in handling many assets, and hence portfolio management.

The study found that idea of risk-expected return trade-off is perhaps more general than as depicted by traditional finance literature. The regression revealed that conditional variance and covariance risks reveal minimal or no differences in sign and sizes of coefficients. However, standard errors were also found to be large suggesting somewhat inconclusive evidence of existence of defined incentive structure for taking additional risk in the market.

In terms of choice of methodology and outcomes, this research adds substantial value to body of knowledge. The adapted multivariate model used in this paper is a rare approach especially for management of portfolios in developing markets. Remarkably, the research found empirical evidence that positive risk-expected return trade-off, as known in mainstream literature, is not supported especially using a typical developing country data.

Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market. This paper aims to analyse whether leverage and liquidity augmented five-factor model performs better than Capital Asset Pricing Model (CAPM), Fama and French three-factor model, leverage augmented four-factor model and liquidity augmented four-factor model.

The data for the current study comprises records on prices of securities that are part of the Nifty 500 index for a time frame of 14 years, that is, from October 2004 to September 2017 consisting of 183 companies using time series regression.

The results indicate that the five-factor model performs better than CAPM and the three-factor model. The model outperforms leverage augmented and liquidity augmented four-factor models. The empirical evidence shows that the five-factor model has the highest explanatory power among the entire asset pricing models considered.

The present study bears certain useful implications for various stakeholders including fund managers, investors and academicians.

This study presents a five-factor model containing two additional factors, that is, leverage and liquidity risk along with the Fama-French three-factor model. These factors are expected to give more value to the model in comparison to the Fama-French three-factor model.

This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil.

The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions.

The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings.

This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners.

Important research once thought unassailable has failed to replicate. Not just in economics, but in all science. The problem is therefore not in dispute nor are some of the causes, like low power, selective reporting, the file drawer effect, publicly unavailable data and so forth. Some partially worthy solutions have already been offered, like pre-registering hypotheses and data analysis plans.

This is a review paper on the replication crisis, which is by now very well known.

This study offers another partial solution, which is to remind researchers that correlation does not logically imply causation. The effect of this reminder is to eschew “significance” testing, whether in frequentist or Bayesian form (like Bayes factors) and to report models in predictive form, so that anybody can check the veracity of any model. In effect, all papers could undergo replication testing.

The author argues that this, or any solution, will never eliminate all errors.

Organizations, would they be individual companies or large multi-firm networks, face a wide variety of potential risks requiring dedicated keen management. It all the better applies to supply-chains as risk, related to both physical and information flows, pervades the whole logistics network and has acquired a new and growing security dimension since 9/11. More specifically, as they are now under the permanent threat of terrorism, and because offering sufficient security levels is bound to become a necessary condition for global supply-chain membership, seaports need to adjust their risk management strategy and processes accordingly. In such a context, this paper aims at describing the project of a decision-support system, dedicated to container transit security-wise decision making and which features an expert-system architecture.

This study examined the effectiveness of a 4.5-day service leadership program for students from Chinese universities using objective outcome evaluation. The participants were assessed before and after the program, with two post-test measurements (immediate assessment and assessment 12 days after the completion of class learning). At pretest and two posttest time points, the participants completed a questionnaire measuring positive youth development, service leadership qualities and beliefs, and life satisfaction. Results showed that students’ performance in both the immediate posttest and follow-up test was better than that in the pretest. Despite the limitations of the one-group pretest-posttest design, results suggest that the curricular-based service leadership program was effective to promote students’ positive youth development, service leadership qualities and beliefs, as well as life satisfaction, and the effectiveness maintained a short period after the class had ended. While the existing findings are promising, these findings should be replicated in the future.

It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP).

This study applied dynamic covariances from multivariate GARCH(1,1) with Student’s-t-distribution. This research also constructed static optimization from the conventional MVP, ERC and MDP as comparison. Moreover, the optimization involved transaction cost and out-of-sample analysis from the rolling windows method. The sample consisted of ten significant cryptocurrencies.

Dynamic optimization enhanced risk-adjusted return. Moreover, dynamic MDP and ERC could win the naïve strategy (1/N) under various estimation windows, and forecast lengths when the transaction cost ranging from 10 bps to 50 bps. The researcher also used another researcher's sample as a robustness test. Findings showed that dynamic optimization (MDP and ERC) outperformed the benchmark.

Sophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio.

To the best of the author’s knowledge, this is the first paper that studies the dynamic optimization on MVP, ERC and MDP using DCC and ADCC-GARCH with multivariate-t-distribution and rolling windows method.

While there is ample discussion in management studies and organizational behavior textbooks about the factors that impact organizational outcomes, such as employee retention, this research is focused on exploring the previously unexplored question of how procedural justice, job characteristics and meaningful work influence employees' intentions to leave their organizations. As such, this study aims to investigate the impact of procedural justice on employees' intentions to leave, both independently and in conjunction with job characteristics and meaningful work as mediators.

This study uses partial least squares structural equation modeling (PLS-SEM) to develop the research model and for hypothesis testing. The path model is assessed using critical model fit indices and measures of goodness of fit.

The results reveal a negative relationship between procedural justice and employees’ intentions to leave. This negative relationship persists and is strengthened when both job characteristics and meaningful work act as mediators. Although job characteristics only exerted a significant effect through indirect effects, meaningful work demonstrated a significant negative impact on the intentions to leave through both direct and indirect effects.

This study presents a new perspective on employee retention by proposing an original mediation-based path model. Through the testing of eleven hypotheses, the study reveals the intricate relationships between the four constructs examined. The findings provide valuable insights that can serve as a basis for future research in management studies and organizational behavior.

In the early 1930s, Nicholas Kaldor could be classified as an Austrian economist. The author reconstructs the intertwined paths of Kaldor and Friedrich A. Hayek to disequilibrium economics through the theoretical deficiencies exposed by the Austrian theory of capital and its consequences on equilibrium analysis.

The author approaches the discussion using a theoretical and historical reconstruction based on published and unpublished materials.

The integration of capital theory into a business cycle theory by the Austrians and its shortcomings – e.g. criticized by Piero Sraffa and Gunnar Myrdal – called attention to the limitation of the theoretical apparatus of equilibrium analysis in dynamic contexts. This was a central element to Kaldor’s emancipation in 1934 and his subsequent conversion to John Maynard Keynes’ The General Theory of Employment, Interest, and Money (1936). In addition, it was pivotal to Hayek’s reformulation of equilibrium as a social coordination problem in “Economics and Knowledge” (1937). It also had implications for Kaldor’s mature developments, such as the construction of the post-Keynesian models of growth and distribution, the Cambridge capital controversy, and his critique of neoclassical equilibrium economics.

The close encounter between Kaldor and Hayek in the early 1930s, the developments during that decade and its mature consequences are unexplored in the secondary literature. The author attempts to construct a coherent historical narrative that integrates many intertwined elements and personas (e.g. the reception of Knut Wicksell in the English-speaking world; Piero Sraffa’s critique of Hayek; Gunnar Myrdal’s critique of Wicksell, Hayek, and Keynes; the Hayek-Knight-Kaldor debate; the Kaldor-Hayek debate, etc.) that were not connected until now by previous commentators.

This paper contributes to the theory of the relationship between human resource management (HRM) and innovation at small- to medium-sized enterprises (SMEs) by conducting a conceptual analysis of the question why Germany boasts by far the highest number of “Hidden Champion” SMEs. This is done by case studies from the army and public financial management of aid disbursal in developing countries. Implications for HRM at SMEs are discussed.

Conceptual analysis using case studies.

Contributing towards filling the gap concerning theoretical underpinnings of the link between HRM and innovation, we suggest that interdisciplinary work from relevant organisational case studies indicates that the concept of institutional design to provide motivational incentives may be relevant, especially concerning high performance systems with bundles of HRM practices. Specifically, the fundamental principle of subsidiarity is found to be important.

The research is broadly applicable to organisations of all kinds, as the diverse case studies indicate. We point towards tentative implications for the firms that account for the majority of the work force, namely SMEs, and among them the most successful ones, the so-called “Hidden Champions”.

HR managers can improve motivation, performance and innovation by decentralising decision-making as far as possible, while ensuring the overall organisational goals are well understood and shared, and resources are dedicated to train and educate staff. Additionally, the conception of rank-order competitions complements the institutional design.

Greater productivity and material performance as well as greater job satisfaction via larger autonomy and decision-making power on the local level can be achieved by the application of subsidiarity as key HRM configuration. This can be employed at SMEs, as discussed, but also other organisations. Further, the principle of subsidiarity and the greater emphasis on staff training and education may help reduce inequality.

Our paper contributes towards filling the gap in the literature on the link between HRM and innovation, by identifying the role of subsidiarity. We introduce an interdisciplinary perspective, with contributions from economics and psychology, among others. We also contribute to the history of HRM.