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1 – 10 of over 4000Hussein Abdoh and Oscar Varela
This study aims to investigate the effect of product market competition on the exposure of firms’ returns to consumption fluctuations (C-CAPM beta).
Abstract
Purpose
This study aims to investigate the effect of product market competition on the exposure of firms’ returns to consumption fluctuations (C-CAPM beta).
Design/methodology/approach
The C-CAPM beta comes from a regression of a stock’s returns against consumption growth, with controls for the Fama–French three factors and momentum. The Herfindahl–Hirschman index of concentration measures competition, with other measures like deregulation and tariff reductions used for robustness tests. Industries are categorized using different SIC digits, with the NAICS measure used for robustness tests. The C-CAPM beta is regressed to competition, with appropriate control variables, to find its relationship.
Findings
Higher levels of competition reduces the C-CAPM beta. The results are consistently robust to different measures of product market competition and industry identification.
Practical implications
Product market competition influences the sensitivity of systematic risk, as measured by the C-CAPM beta, to consumption, such that higher levels of competition reduce systematic risk.
Originality/value
This research contributes to a literature that admittedly is still murky, as the relationship between competition and systematic risk is still unsettled. No study (to the authors’ knowledge) examines the effect of competition on firms’ exposure to consumption. This research adds to the literature on the role of competition in risk, specifically with respect to consumption.
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The most popular method for calculating asset prices is the Capital Asset Pricing Model (CAPM). What is the appropriate amount of years to use in the estimation and which…
Abstract
The most popular method for calculating asset prices is the Capital Asset Pricing Model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results? This research looks at the out-of-sample forecasting capabilities of three popular CAPM ex-post constant beta models from 2005 to 2014. A total of 11 portfolios, five from developed and six from developing markets, are used to test the amount of input years that will reduce the mispricing in both types of markets. It is found that the best beta model to use varies between developed and developing markets. Additionally, in developing markets, a shortened span of historical years improves the pricing, contrary to popular studies that use 5 to 10 years of historical data. There are many different CAPM studies implementing various betas, using different data input lengths and run in various countries. This study empirically tests the best practices for those interested in successfully using the CAPM for their basic needs, finding that overall the simple ex-post constant beta is mispriced by 0.2 (developing) to 0.3 percent (developed). It is better to use short three-year estimation windows with the market beta in developing economies and longer nine-year estimation windows with the adjusted beta in developed economies.
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Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.
Abstract
Purpose
Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.
Design/methodology/approach
In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model.
Findings
We show that our extended model yields a Pareto efficient outcome.
Practical implications
The capital asset pricing model (CAPM) model can be used for pricing long-lived assets.
Social implications
Long-term modelling and sustainability can be modelled in our setting.
Originality/value
Our results were only known for two periods. The extension to 3 periods opens up a large scope of applicational possibilities in asset pricing, behavioural analysis and long-term efficiency.
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Sedighe Alizadeh, Mohammad Nabi Shahiki Tash and Johannes Kabderian Dreyer
This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under a financial embargo and compare the results…
Abstract
Purpose
This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under a financial embargo and compare the results with those of an important neighboring market, namely, Turkey.
Design/methodology/approach
This study follows Liu et al. (2016) and incorporates liquidity risk and transaction costs into the traditional consumption-based asset-pricing model (CCAPM) from 2009 to 2017. Effective transaction costs are estimated a la Hasbrouck (2009) and liquidity risk according to eight different criteria.
Findings
According to the results, both liquidity risk and transaction costs are higher in Iran, possibly due to the financial embargo. Thus, relative to Turkey, this paper should expect a higher increase in the CCAPM pricing performance in Iran when accounting for these two variables. The results are in line with this expectation and indicate that adjusting the CCAPM significantly increases its pricing performance in both countries, but relatively more in Iran.
Originality/value
This study compares liquidity risk and transaction costs in an economy under the extreme case of a financial embargo to an open yet in other important aspects similar economy from the same region.
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D.R. Tennant, K. Gedrich, D. Godfrey and J. Davidson
Beta‐carotene producers and food manufacturers have collated information about the usage of beta‐carotene as a colourant and in fortified foods and food supplements. These data…
Abstract
Beta‐carotene producers and food manufacturers have collated information about the usage of beta‐carotene as a colourant and in fortified foods and food supplements. These data have been combined with food consumption data from some European countries consuming higher amounts of processed foods, to generate estimates of high‐level intake to compare with official advice. Intake estimates of beta‐carotene from food colour uses for German, French and British adults ranged from 0.4 to 1.9 mg/day. Pack dosage directions and beta‐carotene content were used to estimate intakes from supplements, which could range from less than 1 mg/day to 100 mg/day. However, for the majority of products recommended daily doses were less than 10 mg/day. Theoretical intakes from fortified drinks could exceed 5 mg/day, but this level of intake is unlikely to be maintained in the longer term. The most important sources of intake appeared to be from food supplements and fortified foods. Intakes of isolated beta‐carotene were comparable to intakes of natural beta‐carotene from the diet.
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Pin‐Huang Chou, Wen‐Shen Li, S. Ghon Rhee and Jane‐Sue Wang
The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book‐to‐market (BM) anomalies for longer‐return intervals using Tokyo Stock…
Abstract
Purpose
The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book‐to‐market (BM) anomalies for longer‐return intervals using Tokyo Stock Exchange‐listed stocks.
Design/methodology/approach
The Fama‐MacBeth cross‐sectional regressions of various models over time‐intervals ranging from one month to one year are performed.
Findings
The empirical results show that most macroeconomic variables explain short‐term returns within six months, with the industrial production as the only variable that persistently explains returns of all horizons ranging from one month to one year. Firm size does bear significant risk premium, but its significance diminishes for return‐intervals beyond three months when macroeconomic variables are included in the regression. BM is the only variable that significantly accounts for the cross‐section of stock returns for all horizons, regardless of the inclusion of macroeconomic variables.
Research limitations/implications
These empirical findings suggest that stock returns are determined by both rational factors such as macroeconomic variables and behavioral factors such as BM.
Practical implications
The findings suggest that potential trading strategies indeed can be formed to exploit the persistent predictability, especially the BM regularity.
Originality/value
This paper is the first study that examines the competing explanatory power of various asset‐pricing models over different investment horizons.
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Simone Guercini and Silvia Ranfagni
The purpose of this paper is to investigate how companies entering the Chinese market integrate brand image and country image, how they redefine this integration in the corporate…
Abstract
Purpose
The purpose of this paper is to investigate how companies entering the Chinese market integrate brand image and country image, how they redefine this integration in the corporate rebranding process adopted to develop the new market, and what impact they achieve in terms of commercial and economic results.
Design/methodology/approach
The research is based on the analysis of the cases of Alpha and Beta. Alpha is a multinational company specialized in the production of chocolate, while Beta is one of the world's largest companies in the tyre industry. These cases are emblematic for the way the two companies combine brand attributes and country image attributes.
Findings
The case analysis shows that: initially in the corporate rebranding strategy defined in China, brand image is created independently from the country image; the impact of the integration on brand attitude is sought by producing a cross‐fertilization between the meaning of brand attitude and of country image attitude; the level of integration (country‐of‐manufacture, country‐of‐design) embodies the aim of the integration itself; and the differentiation of the country image for different brands passes through a phase of focalization.
Originality/value
The study identifies practices that managers can consider in the definition of the integration strategies involving brand image and country images that accompany their rebranding processes in the Chinese market. The analysis of these practices together with the results may help managers to arrive at pondered decisions concerning integration.
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Kai Li and Chenjie Xu
This paper aims to study the asset pricing implications for stock and bond markets in a long-run risks (LRR) model with regime shifts. This general equilibrium framework can not…
Abstract
Purpose
This paper aims to study the asset pricing implications for stock and bond markets in a long-run risks (LRR) model with regime shifts. This general equilibrium framework can not only generate sign-switching stock-bond correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond markets, including time-varying equity and bond return premia, regime shifts in real and nominal yield curves, the violation of the expectations hypothesis of bond returns.
Design/methodology/approach
The researchers study the joint determinants of stock and bond returns in a LRR model framework with regime shifts in consumption and inflation dynamics. In particular, the means, volatilities, and the correlation structure between consumption growth and inflation are regime-dependent.
Findings
The model shows that the term structure of interest rates and stock-bond correlation are intimately related to business cycles, while LRR play a more important role in accounting for high equity premium than do business cycle risks.
Originality/value
This paper studies the joint determinants of stock and bond returns in a Bansal and Yaron (2004) type of LRR framework. This rational expectations general equilibrium framework can (1) jointly match the dynamics of consumption, inflation and cash flow; (2) generate time-varying and sign-switching stock and bond correlations, as well as generating sign-switching bond risk premium; and (3) coherently explain another long list of salient empirical features in stock and bond markets, including time-varying equity and bond return premia, regime shifts in real and nominal yield curves, the violation of the expectations hypothesis of bond returns.
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Caterina Cavicchi and Emidia Vagnoni
This paper aims to analyze the process of implementation of a sustainability performance measurement (SPM) system by a North Italian university, which was constructed based on a…
Abstract
Purpose
This paper aims to analyze the process of implementation of a sustainability performance measurement (SPM) system by a North Italian university, which was constructed based on a participatory multi-stakeholders’ approach. In addition, it provides evidence on the use of outcome indicators.
Design/methodology/approach
The methodology is based on a single exploratory case study research.
Findings
The process of implementation of the new SPM system started with the intervention of an academic in accounting who acted as a propeller. The adoption of the framework required a shared meaning of sustainability among different stakeholders and indicators to track the shift toward sustainable development (SD). Despite the authors could not prove the stable adoption of the framework for the future, as new governing bodies were appointed in Beta, that framework could be considered a valid attempt to move from a single projects’ evaluation on sustainability performance to a systemic approach and introduce outcome indicators in performance appraisal. The framework supported university’s decision-making related to SD actions.
Research limitations/implications
Difficulties in the measurement process were linked to the information system which was not designed to allow the collection of some of the newly introduced sustainability data. However, an attempt to introduce a personalized assessment tool fostered the improvement of planning activities for 2015.
Originality/value
The originality of the paper is twofold: first, it represents an attempt to discuss the process of implementation of a SPM system that was designed by a participatory multi-stakeholders’ approach. Second, the framework was designed to consider also outcomes’ indicators as urged by scholars calling universities to promote the shift toward a sustainable society.
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As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into…
Abstract
As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into this new undeveloped market. Also, as the ASEAN becomes more internationalized, managers within will look for ways in which the capital asset pricing model (CAPM) can be applied for their needs. This research looks at the capabilities of the CAPM using ex-post time varying and compares it with the traditional constant beta model. The data include five US sectors and five ASEAN countries, for 10 total portfolios. Find that using a simple nonparametric method that allows for time variation is not statistically different from the traditional constant beta model for portfolios. This research provides additional support for the constant beta.
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