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This study aims to investigate the influence of economic policy uncertainty (EPU) and geopolitical risk (GPR) on corporate cash holding level and speed of adjustment (SOA) in one of the most important emerging markets in the Middle East and North Africa, Saudi Arabia. It also investigates whether Shariah-compliance as well as financial constraints affect the relationship between both EPU and GPR and corporate cash holdings.

The study employs GMM regression considering a sample of 140 nonfinancial firms drawn from the Saudi stock market over the period 2002 to 2019.

The authors find evidence in support of the precautionary motive hypothesis. Facing costly external financing induced by economic policy-related uncertainty and geopolitical tension, Saudi firms tend to accumulate cash as a buffer against negative shocks to their cash flows. The results also show that the positive impact of EPU and GPR on the level of cash holding is less pronounced in Shariah-compliant firms, whereas it is more pronounced in more financially constrained firms. Evidence also reveals that the estimated adjustment coefficients show that Saudi firms adjust more quickly toward their target cash ratio in periods of high economic instability and geopolitical risks.

This study has important implications for managers, policymakers and regulators. For managers, the study is an important reference to understand and design cash management policies by considering factors measured at the country level. More specifically, managers should pay more attention to periods of heightened uncertainties and geopolitical tensions in which the availability of funds is reduced. For policymakers and regulators, this study may be useful in assessing the effect of economic instability on firm’s cash holding decision. Therefore, in an effort to increase the supply of external financing available to firms, policymakers may devise investment friendly environment by controlling country-specific factors.

This paper shows how EPU and GPR as institutional environment factors affect cash holding decision in an oil-rich country.

The purpose of this paper is to study the concept of purging and present a comparative study of the existing purging methodologies prevailing in the market with a view to evolving a more effective method of capturing the entire impure income to be purged.

To illustrate the present discussion, a case study of purging based on numerical examples has been included. The argument has also been supported with empirical data related to the universe of Sharīʿah-compliant stocks listed on Indian stock exchanges.

During the study, it was found that the existing purging methodologies of calculating impure income to be purged have conceptual and practical shortcomings.

The scope of the current research is limited to calculation of impure income which accrues on account of Sharīʿah non-compliant investments directly or indirectly. It does not try to quantify the benefit which may be imputed in the form of capital gains made in trading of the investee company shares due to higher market value of the shares as a result of the impure income earned by the investee company. The paper has focused on identifying and calculating the impure income on account of interest. Impure income earned from specific Sharīʿah non-compliant products or services has not been considered directly. The reason for this is that companies dealing in such products or services are generally excluded at the business screening stage itself. In the case of those companies which derive a relatively small proportion of their total income from such activities and pass the business screening stage, the quantum of the impure income is not generally reported separately in company accounts.

The result of adopting the proposed methodology will lead to complete purging of impure income (to the extent that is possible under present Company Law and stock exchange reporting regulations). Implementation of the proposed method requires a proper understanding of the working of listed companies and either a sound mathematical background or access to a software application to calculate the impure income to be purged.

The current paper is original and based on the authors’ personal understanding and experience of providing Sharīʿah consultancy services related to Sharīʿah-compliant investments.

The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.

This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.

This paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.

From a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.

Theoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.

Dynamic lot sizing is the problem of determining the quantity and timing of ordering items while satisfying the demand over a finite planning horizon. This paper considers the problem with two practical considerations: minimum order size and lost sales. The minimum order size is the minimum amount of items that should be purchased and lost sales involve situations in which sales are lost because items are not on hand or when it becomes more economical to lose the sale rather than making the sale. The objective is to minimize the costs of ordering, item , inventory holding and lost sale over the planning horizon. To solve the problem, we suggest a heuristic algorithm by considering trade-offs between cost factors. Computational experiments on randomly generated test instances show that the algorithm quickly obtains near-optimal solutions.

The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector.

The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were formed and evaluated by their cumulative stock returns over the past J periods and holding the position for the next K periods. In total, nine formation and holding periods were used, represented by 3, 6 and 12. For example, strategy 3–3 (that is, strategy with J = 3 and K = 3) refers to the strategy that stocks are ranked based on their previous three months and then held for the next three months.

The findings demonstrated that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US hospitality and tourism sector. These results are robust to size, different formation and holding combinations, beta and turnover.

Regarding the research limitations, this paper only considers the US tourism and hospitality sector. Therefore, the extension of results to other developed and developing markets should be taken carefully. Also, this paper relies only on the methodology of Jegadeesh and Titman (1993). Other methodologies could be suitable avenues for future research.

Investors and portfolio managers who seek for earning abnormal returns by investing in the US HT stocks can attain their hopes by constructing portfolios based on existing guidelines in the literature and adopting a short-term reversal trading strategy or by buying past losers and selling past winners of the US tourism and hospitality stocks.

This research contributes to the hospitality finance literature by offering the investors who are interested in the US hospitality and tourism sector an uncomplicated trading rule that uses real return data and is expected to generate actual returns. Moreover, the momentum strategy of Jegadeesh and Titman (1993) is never used in the hospitality finance literature.

本研究旨在探討各種可應用於旅遊及酒店業的動量交易策略。

本文按照 Jegadeesh 和 Titman（1993）的研究方法來建造投資組合。使用這研究方法時，所有投資組合均以它們在過去J 時期的累積股票收益和在未來K 時期的持倉來建立及評價的。九個組成方式及持有期被使用，以3、6、12來表示。例如，策略3-3（那就是說，該策略以J = 3和 K = 3）指的策略是以有關的股票基於過去三個月而被分等級，繼而在未來三個月被持有。

研究結果顯示，這些投資策略全沒帶來利潤；唯大部分結果顯示正動能策略報酬，雖報酬是微不足道的。這研究結果或許可理解為在美國酒店及旅遊業為期三至十二個月的價格逆轉。這些結果就規模、不同組成方式和持有組合、beta 和成交量而言是強而有力的。

就研究的局限而言，本文只是考慮美國的酒店及旅遊業；因此，如把研究結果伸延至其它已開發或發展中的市場，則需小心處理。另外，本文只依賴 Jegadeesh 和 Titman（1993）的研究方法，就此，使用其它研究方法會是日後相關研究的適當途徑。

欲透過投資於美國酒店及旅遊股票而尋求賺取異常收益的投資者和投資組合經理可如願以償，方法是基於文獻內現存的準則建造投資組合，以及採用短期的逆轉交易策略，或買入美國酒店及旅遊業過去輸家及賣出過去贏家。

本研究為酒店金融文獻作出貢獻，因研究為對美國酒店及旅遊業有興趣的投資者提供了使用實際收益數據及預期可創造實際回報的簡單交易規則；而且， Jegadeesh 和 Titman（1993）的動量策略從未在酒店金融文獻內被使用過。

There are a number of different approaches for calculating creep-fatigue (CF) damage for design, such as the French nuclear code RCC-MRx, the American ASME III NH and the British R5 assessment code. To acquire estimates for the CF damage, that are not overly conservative, both the cyclic material softening/hardening and the potential changes in relaxation behavior have to be considered. The data presented here and models are an initial glimpse of the ongoing European FP7 project MATISSE effort to model the softening and relaxation behavior of Grade 91 steel under CF loading. The resulting models are used for calculating the relaxed stress at arbitrary location in the material cyclic softening curve. The initial test results show that softening of the material is not always detrimental. The initial model development and the pre-assessment of the MATISSE data show that the relaxed stress can be robustly predicted with hold time, strain range and the cyclic life fraction as the main input parameters. The paper aims to discuss these issues.

Engineering models have been developed for predicting cyclic softening and relaxation for Gr. 91 steel at 550 and 600°C.

A simple engineering model can adequately predict the low cycle fatigue (LCF) and CF softening rates of Gr. 91 steel. Also a simple relaxation model was successfully defined for predicting relaxed stress of both virgin and cyclically softened material.

The data are not yet complete and the models will be updated when the complete set of data in the MATISSE project is available.

The models described can be used for predicting P91 material softening in an arbitrary location (n/N_f0) of the LCF and CF cyclic life. Also the relaxed stress in the softened material can be estimated.

The models are simple in nature but are able to estimate both material softening and relaxation in arbitrary location of the softening curve. This is the first time the Wilshire methodology has been applied on cyclic relaxation data.

The positive illiquidity–return relationship (so-called liquidity premium) is a well-established pattern in international developed stock markets. The magnitude of liquidity premium should increase with market illiquidity. Existing studies, however, do not confirm this conjecture with regard to frontier markets. This may result from applying different approaches to the investors' holding period. The paper aims to identify the role of the holding period in shaping the illiquidity–return relationship in emerging and frontier stock markets, which are arguably considered illiquid.

The authors utilise the data on stocks listed on fourteen exchanges in Central and Eastern Europe. The authors regress stock returns on liquidity measures variously transformed to reflect the clientele effect in a liquidity–return relationship.

The authors show that the investors' holding period moderates the illiquidity–return relationship in CEE markets and also show that the liquidity premium in these markets is statistically and economically relevant.

The findings may be of great interest to investors, companies and regulators. Investors and companies should take liquidity into account when making decisions; regulators should employ liquidity-enhancing actions to decrease companies' cost of capital and expand firms' investment opportunities, which will improve growth perspectives for the entire economy.

These findings enrich the understanding of the role that the investors' holding period plays in the illiquidity–return relationship in CEE markets. To the best knowledge, this is the first study which investigates the effect of holding period on liquidity premium in emerging and frontier markets.

As cryptocurrencies continue to gain viability as an asset class, institutional investors and publicly traded firms have started taking investment positions in digital currencies. What firms may not be considering, however, is the effect these assets may have on their risk profiles. This study aims to (1) measure the effect of cryptocurrencies on the risk and return characteristics of publicly traded companies; (2) decipher the motives behind holding cryptocurrencies as an asset class; and (3) determine whether one reason for holding is more effective than another. To conduct this research, the four largest publicly traded holders of cryptocurrency as well as four of the most prominent cryptocurrencies are explored.

The cross-sectional analysis approach has been used to analyze the daily returns, volatility, betas and Sharpe Ratios of firms during periods without cryptocurrency strategies and during periods with cryptocurrency strategies.

The impact of the cryptocurrency asset class on common stock performance and corporate disclosures are documented. The importance of risk disclosures on cryptocurrency holdings is emphasized: Firms must better inform their stakeholders through comprehensive disclosures in financial statements. Firms utilize cryptocurrencies for various reasons such as treasury management tools or as direct sources of income. Consequently, the impact on returns and risks varies substantially.

To the best of the authors’ knowledge, this is one of the first studies on cryptocurrency investments in the treasury departments of publicly traded companies. The study contributes to the literature by extracting relevant information regarding company risk reporting and cryptocurrency risk at firms. The conclusions also promote firm transparency with detailed reporting of cryptocurrency holding risks.

This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions.

The paper opted for an empirical study analyzing the cost of rebalancing portfolios over a set period and dimensions. Stocks have been carefully selected using Bloomberg terminals, and portfolio designed then rebalanced using VBA programming. Over a few dimensions as type and number of stocks, holding period and trading strategy, the behavior of these different transaction costs has been compared. The analysis has been done for four different portfolios.

The paper provides empirical insights about how a retail investor actively trading in Peru can pay up to 14 times more in transaction costs than trading the same portfolio in the USA. These comparatively high transaction costs prevent retail investors to trade in the Peruvian stock market while fueling illiquidity to this market.

The paper deals with a limited amount of Peruvian stocks. Researchers are encouraged to test the proposition further, including other dimensions.

The paper includes implications for any retail investor that wants to invest in Peruvian stocks, giving an insight about how expensive it is to actively rebalance a portfolio in Peru.

This paper fulfils an identified need to study how much it costs to actively invest on the stock market in Peru.

We analyze trading performance of domestic and foreign investors in the KOSPI200 index futures markets in Korea over various holding periods from each transaction time to 20 trading days. We find that foreign non-brokerage firms (including investment trust, pension fund, bank and insurance) trade at a disadvantageous price compared to domestic investors, i.e., buying at a higher price by about 5bp and selling at a lower price by about 6bp during the sample period (May 1996∼Dec. 1999). The magnitude of the disadvantageous price is close to the opportunity loss attributable to their intraday momentum strategy. In contrast, foreign brokerage firms trade at a somewhat advantageous price relative to domestic investors, but not always do so. By extending holding periods up to 20 trading days after each trade, we find that foreign investors and domestic brokerage firms who made large buy or sell trades show significantly higher holding period returns, indicating that they possess superior ability to predict future price movements.