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Volatility and return spillovers between private equity buyout, venture capital and major financial markets Investment Analysts Journal (IF 0.925) Pub Date : 2024-03-11 Korhan K. Gokmenoglu, Efe Altingunes
This study investigates the volatility and return spillovers between Private Equity Buyouts (PE) and Venture Capital (VC), the equity market, precious metals, real estate, and the Dollar index, whi...
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The cumulative prospect theory and fund flows in emerging markets Investment Analysts Journal (IF 0.925) Pub Date : 2024-03-11 Amit Pandey, Anil Kumar Sharma
This study is the first to examine the efficacy of the Cumulative Prospect Theory value of the past return (CPTV) to explain fund flow in emerging markets funds by considering the impact of fund ma...
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The impact of conventional energy markets on connectedness dynamics among eco-friendly assets Investment Analysts Journal (IF 0.925) Pub Date : 2024-03-04 Oktay Özkan, Asil Azimli, Tomiwa Sunday Adebayo
This study examines the connectedness among eco-friendly assets and how volatility in fossil energy markets affects this connectedness. Using a broad coverage for eco-friendly assets such as a clea...
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Do changes in star selection criteria affect analyst behaviour? Investment Analysts Journal (IF 0.925) Pub Date : 2024-03-01 Karam Kim, Doojin Ryu, Jinyoung Yu
This study examines whether the star analyst selection criteria affect analysts’ coverage decisions and the informativeness of their reports. We focus on a change to the star evaluation criteria th...
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Under- or -overreaction: Investors’ response to black swan events Investment Analysts Journal (IF 0.925) Pub Date : 2023-12-02 Luu Thu Quang
The objective of this study is to explore whether four categories of investors overreact or underreact to specific black swan events in the Vietnam Stock Exchange (HSX) and whether their trading pa...
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Pairs trading in cryptocurrency markets: A comparative study of statistical methods Investment Analysts Journal (IF 0.925) Pub Date : 2023-12-02 Po-Chang Ko, Ping-Chen Lin, Hoang-Thu Do, Yuan-Heng Kuo, Linh My Mai, You-Fu Huang
This study aims to identify a secure and efficient trading approach for investors in highly volatile cryptocurrency markets. While pairs trading is a promising strategy, the available literature on...
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Rating to economic profit: Valuation properties, implementation issues, and the justification of target prices Investment Analysts Journal (IF 0.925) Pub Date : 2023-11-26 Apostolos Ballas, Grigoria Chlomou, Efthimios Demirakos
This study offers a comprehensive theoretical and empirical analysis of a fundamentals-based investment criterion (HSBC’s Rating to Economic Profit – REP). By employing a large sample of US-listed ...
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Quantile dependencies between exchange rate volatility and sectoral stock returns in South Africa Investment Analysts Journal (IF 0.925) Pub Date : 2023-11-24 Darren Mubaiwa, Ismail Fasanya
This study assesses the effect of USD-Rand exchange rate volatility on South African sectoral stock returns between 29 March 1996 and 28 July 2022. Using the quantile-on-quantile regression (QQR) t...
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Sector exposures in factor portfolios: Why neutralise when you can optimise? Investment Analysts Journal (IF 0.925) Pub Date : 2023-10-18 Andrew Paskaramoorthy, Emlyn Flint
Managing sector risk within factor portfolios has traditionally been viewed as a binary decision problem: to neutralise sector risk or not. Challenging this view, we introduce a novel conceptual fr...
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Leveraging defence into offence: enhancing absolute and risk-adjusted equity returns with tail risk management overlays Investment Analysts Journal (IF 0.925) Pub Date : 2023-09-15 Bruno Schwalbach, Christo Auret
Research has shown that tail risk hedging using explicit option purchases and trend-following effectively mitigate equity tail risk. This paper demonstrates that these defensive qualities can be le...
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Quantile dependencies across BRICS currency markets in time of crisis: Analysis of the Russia–Ukraine war Investment Analysts Journal (IF 0.925) Pub Date : 2023-09-12 Oluwatomisin J. Oyewole, Ismail O. Fasanya, Mamdouh Abdulaziz Saleh Al-Faryan
This paper examines the spillovers across BRICS currency markets during the Russia–Ukraine war. We observe that the connectedness across the BRICS currency markets is stronger during than before th...
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Return and volatility connectedness across stock markets: A global perspective Investment Analysts Journal (IF 0.925) Pub Date : 2023-09-11 Huifu Nong
The connectedness of stock markets is inevitable because of the rapid increases in global financialisation, financial liberalisation, and integration of national economies. This study therefore inc...
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Which shrinkage is better? Portfolio selection with a cleaned random matrix Investment Analysts Journal (IF 0.925) Pub Date : 2023-09-04 Young C. Joo, Sung Y. Park
Covariance matrix estimation is of great importance in formulating a portfolio. The sample covariance matrix, the most frequently used estimator, is well known to be unstable due to the estimation ...
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Examining swap butterfly risk premia in South Africa Investment Analysts Journal (IF 0.925) Pub Date : 2023-09-04 Sanveer Hariparsad, Eben Maré
This paper studies a long butterfly strategy (which is immune to parallel curve shifts but exposed to non-parallel curve shifts) on the South African interest rate swap curve. Ten swap butterfly ri...
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Equity issuance and share price performance on the Johannesburg Stock Exchange Investment Analysts Journal (IF 0.925) Pub Date : 2023-08-12 Dirk Johan van Vuuren, Michael Ward, Chris Muller
Listed companies can acquire capital through a rights issue where existing shareholders have a preference in buying additional shares at a discounted rate, in proportion to their existing holding. ...
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What is the optimal offshore allocation for South African investors? Investment Analysts Journal (IF 0.925) Pub Date : 2023-08-09 Emlyn Flint
In 2022, the South African Pensions Fund Act was changed to allow funds to allocate up to 45% of their portfolio to offshore investments. This is a material change to fund regulations and naturally...
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The impact of news on South African sovereign bond yields Investment Analysts Journal (IF 0.925) Pub Date : 2023-07-19 Elizabeth-Ann van der Westhuizen, Leon Marx Brümmer, Cornelis Hendrik van Schalkwyk
A reverse event study approach was used to investigate how the South African sovereign bond yield curve reacts to headline news. The change in daily yields, calculated as the difference between the...
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The influence of crises on the financial position of multinationals in emerging markets Investment Analysts Journal (IF 0.925) Pub Date : 2023-07-17 Peter Vaz da Fonseca, Michele Nascimento Jucá, João Paulo da Torre Vieito
This investigation is one of the first to analyse the relationships between leverage and bankruptcy costs, interest expenses, tax benefits and firm value, in multinational and domestic companies, d...
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Price discovery or overreaction? A study on the reaction of Asia Pacific country ETFs to the US stock market Investment Analysts Journal (IF 0.925) Pub Date : 2023-06-03 Rongzhao Ou
Despite the presence of arbitrage mechanisms, large premiums (or discounts) for Asia Pacific country ETFs in the US market could still exist in the short run due to the time gap between trading hou...
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A quantile-based analysis of risk-return dynamics in the South African equity market Investment Analysts Journal (IF 0.925) Pub Date : 2023-05-15 Munyaradzi Chawana, Ilse Botha, Yolanda Stander
ABSTRACT This paper employs quantile autoregression to investigate the influence of ‘market size’ and ‘industry’ effects on the South African equity market volatility response to return shocks. It is now well documented that equity market volatility exhibits asymmetric response to positive and negative return shocks. This paper provides empirical evidence which shows that the South African equity market
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Time–frequency analysis of cryptocurrency attention Investment Analysts Journal (IF 0.925) Pub Date : 2023-05-08 Zuzana Kučerová, Svatopluk Kapounek, Jarko Fidrmuc
We present a wavelet analysis of retail investor attention and the daily returns of Bitcoin, Ethereum, and Litecoin at five selected crypto exchanges that identifies the fractal dynamics of the sho...
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Tracking error volatility and relative risk budgets Investment Analysts Journal (IF 0.925) Pub Date : 2023-05-08 Aron Gottesman
ABSTRACT This paper uses a pooled cross-sectional sample of actively managed US equity mutual funds from 1991–2022 to show that tracking error volatility (TEV) is characterised by reversion. Mutual funds with relatively high (low) TEV tend to reduce (increase) their TEV in subsequent periods, and the degree of reversion is determined by the degree to which TEV is relatively high or low. This suggests
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Do financial analysts publish long-term forecasts in response to firms’ overinvestments? Investment Analysts Journal (IF 0.925) Pub Date : 2023-05-04 Su Young Choi, Minyoung Noh, Jaimin Goh, Sooin Kim
This study examines the relationship between analysts issuing long-term earnings forecasts and firms overinvestment. This research demonstrates that a positive relationship exists between analysts ...
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Nonlinear dependencies in the Fama and French three-factor model Investment Analysts Journal (IF 0.925) Pub Date : 2023-04-27 Jakub Bandurski, Łukasz Postek
ABSTRACT This article addresses the topic of nonlinear dependencies in the Fama and French three-factor model. Five time-series models, including nonlinear terms, are assessed using US and European data and compared with a benchmark linear model. The analysis found that nonlinear dependencies in the modified Fama and French three-factor model were statistically significant and provided additional explanatory
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Pandemic impact on the co-movement and hedging effectiveness of the global futures markets Investment Analysts Journal (IF 0.925) Pub Date : 2023-04-04 Ahmad Danial Zainudin, Azhar Mohamad
ABSTRACT This paper examines the impact of COVID-19 on five of the world's most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are influential at both low and high frequency scales. Second, the spectrogram shows mixed causality directions at all scales of observation
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Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications Investment Analysts Journal (IF 0.925) Pub Date : 2023-03-27 Masud Alam, Mohammad Ashraful Ferdous Chowdhury, Mohammad Abdullah, Mansur Masih
ABSTRACT We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while
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The role of oil price in determining the relationship between cryptocurrencies and non-fungible assets Investment Analysts Journal (IF 0.925) Pub Date : 2023-01-19 Omar Bani-Khalaf, Nigar Taspinar
ABSTRACT This study aimed to explain the relationship between bitcoin and nonfungible tokens (NFTs) to determine if the NFT is an alternative investment to bitcoin or a complement during oil price uncertainty. The results showed a comovement between NFT and bitcoin prices. However, after excluding the effect of oil prices and using the partial wavelet coherence test, the results changed and the comovements
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Editorial: 50th anniversary collection edition of the Investment Analysts Journal Investment Analysts Journal (IF 0.925) Pub Date : 2023-01-15 Mark N Ingham
Published in Investment Analysts Journal (Vol. 52, No. 1, 2023)
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Measuring corporate failure risk: Does long short-term memory perform better in all markets? Investment Analysts Journal (IF 0.925) Pub Date : 2023-01-10 Hyeongjun Kim, Hoon Cho, Doojin Ryu
ABSTRACT Recently, various corporate failure prediction models that use machine learning techniques have received considerable attention. In particular, using a sequence of a company's historical information, rather than just the most recent information, yields better predictive performance by adopting recurrent neural networks (RNNs) and long short-term memory (LSTM) algorithms in the United States
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Central bank policy rate announcements and high-frequency intra-day benchmark stock returns reaction dynamics: Evidence from South Africa Investment Analysts Journal (IF 0.925) Pub Date : 2022-11-22 Cyril May, Tatenda Ngandu
ABSTRACT This paper investigates the chronological impact of South African Reserve Bank (SARB) repo rate announcements on the Financial Times Stock Exchange/Johannesburg Securities Exchange (FTSE/JSE) All Share Index (ALSI) returns and returns volatility. Covering the period 2012–2021, the study employs the ‘event study’ approach, a risk augmented generalised autoregressive conditional heteroscedasticity
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Correction Investment Analysts Journal (IF 0.925) Pub Date : 2022-10-18
Published in Investment Analysts Journal (Vol. 51, No. 4, 2022)
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The MAX puzzle in a frontier market before and during the Covid-19 pandemic Investment Analysts Journal (IF 0.925) Pub Date : 2022-10-12 Khoa Dang Duong, Man Minh Tran, Qui Nhat Nguyen, Hoa Thanh Phan Le
ABSTRACT This study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly, Fama-Macbeth two-step estimations, and portfolio analyses, we report the persistence of the MAX puzzle in Vietnam before and during
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Information sharing and fund performance: Evidence from the US mutual fund family Investment Analysts Journal (IF 0.925) Pub Date : 2022-10-02 Yaoyao Fu, Peng Hua, Qijie Chen, Si Zhou
ABSTRACT In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund family joint information set. The findings indicate a positive relationship between the degree of
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The asymmetric effect of COVID-19 government interventions on global stock markets: New evidence from QARDL and threshold regression approaches Investment Analysts Journal (IF 0.925) Pub Date : 2022-09-26 Mohammad Abdullah, G. M. Wali Ullah, Mohammad Ashraful Ferdous Chowdhury
ABSTRACT We examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries over the period of January 2020 to December 2021, applying Quantile ARDL (QARDL) and panel threshold regressions. The QARDL results show a heterogenous effect of government interventions on stock markets which varies along with country income level and stock market size
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Analysts’ stock ratings and the predictive value of news and Twitter sentiment Investment Analysts Journal (IF 0.925) Pub Date : 2022-09-25 John Garcia
ABSTRACT This study investigates the relationship between the stock ratings of professional analysts and company-level sentiment. I find that investor sentiment expressed in tweets and news articles displays a positive relationship with professional analysts’ stock ratings and that the sentiment conveyed through tweets has a stronger effect than the sentiment from conventional news articles. Furthermore
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The information content of bond rating changes and insider trading in Korea Investment Analysts Journal (IF 0.925) Pub Date : 2022-09-18 Heejin Yang, Doowon Ryu
ABSTRACT This study examines differences in insider groups’ trading behaviours based on their characteristics. We use data on high-frequency insider trading and Korean bond rating change announcements. We find that insiders actively exploit their information advantage, and their transaction behaviour differs based on their position (e.g., blockholders, executives, or largest shareholders). In particular
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Heterogeneous investor attention to climate risk: Evidence from a unique dataset Investment Analysts Journal (IF 0.925) Pub Date : 2022-09-08 Hyejin Park, Minki Kim, Doojin Ryu
ABSTRACT The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analysing novel trading data for Korean-listed firms that include investor information. We observe that institutional investors divest from high-emission firms during the market
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The impact of algorithmic trading on market quality: Evidence from the Johannesburg Stock Exchange Investment Analysts Journal (IF 0.925) Pub Date : 2022-08-08 Aurélie Courdent, David McClelland
ABSTRACT High-frequency trading (HFT) is a trading method that relies on sophisticated algorithms to analyse markets and execute large numbers of orders within milliseconds. In the last two decades, this new technology has gained traction globally and now accounts for the majority of the trading volume on the Johannesburg Stock Exchange (JSE). Despite the dominance of HFT, studies on the topic have
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The sustainable lifestyle level: How real salary increases affect adequate retirement provision Investment Analysts Journal (IF 0.925) Pub Date : 2022-08-04 Elze-Mari Roux, Johann de Villiers
ABSTRACT This article studies the effect of real increases in salary on required contribution rates when saving for retirement to maintain a Sustainable Lifestyle Level (SLL). We consider two strategies. The first sets conventional contribution rates, recalculating whenever an increase occurs. This requires smaller initial contribution rates, which then need to be increased later in the employee’s
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Tactical asset allocation using the Kalman filter Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-29 Reder van Rooyen, Gary van Vuuren
ABSTRACT Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in equilibrium values. This approach contrasts with strategic asset allocation (SAA) in which a long-term investment view target allocation is established using a combination of target
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Higher moments and industry momentum returns Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-21 Xiaoyue Chen, Bin Li, Andrew C. Worthington
ABSTRACT Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data on 48 US industry return series from Kenneth French’s data library to calculate realised skewness
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Economic policy uncertainty and industry portfolio returns in the United States Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-11 Asil Azimli
ABSTRACT This paper examines whether returns on 49 different industry portfolios in the United States (US) expose significantly to the US economic policy uncertainty (EPU) even after controlling for the market and firm-specific risk factors. We find that the US EPU can load significantly against the returns of 15 industry portfolios which include stocks from heavy manufacturing and export dependent
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Is the rand a commodity currency? A volatility spillover analysis Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-11 Ayesha Sayed, Ailie Charteris
ABSTRACT South Africa is a major commodity exporter, yet it is not clear what impact volatility in commodity prices has on the volatility of its currency. In this study, we examine whether a comprehensive sample of commodities (metals, grains and energy) transmit (or receive) volatility spillovers to (from) the rand exchange rate against the United States dollar for the period January 2000 to May 2022
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The asymmetric relationship between volatility index and volatility-of-volatility index Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-07 Adian McFarlane, Anupam Das, Young Cheol Jung
ABSTRACT We use the nonlinear autoregressive distributed lag model to assess the asymmetric relationship between the Chicago Board Options Exchange’s volatility index (VIX) and volatility-of-volatility index (VVIX) over the period January 2007 to March 2020. To control for potentially confounding factors, we include measures for economic policy uncertainty and the volatility risk premium. There are
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Does the elderly’s private pension ownership intensify aggregate equity demand? Empirical evidence in the US Investment Analysts Journal (IF 0.925) Pub Date : 2022-07-02 Sei-Wan Kim, Young-Min Kim, Dennis W. Jansen, Lu Yanxin
ABSTRACT In this paper, we investigate how the old generation income structure affects aggregate equity purchases, using Flows of Funds Accounts and Survey of Consumer Finances. Our results suggest that the risk aversion that increases with age could be modified to incorporate the old’s pension ownership. In particular, private pension income to elder households are related to increased aggregate equity
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Performance of factor models in explaining anomalous return patterns: Evidence from Pakistan Investment Analysts Journal (IF 0.925) Pub Date : 2022-06-29 Mehak Younus, Hilal Anwar Butt
ABSTRACT We compared classic and contemporary asset pricing factor models in explaining anomalous returns in the Pakistani stock market using a sample of 290 companies listed on the Pakistan Stock Exchange. We replicated 54 anomalies with a successful replication rate of 31.5%. We also replicated the factors of chosen factor models, including Fama and French's three-, five-, and six-factor models and
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Is a sentiment-based trading strategy profitable? Investment Analysts Journal (IF 0.925) Pub Date : 2022-06-20 Karam Kim, Doojin Ryu, Jinyoung Yu
ABSTRACT We examine whether sentiment indices predict individual firms’ stock returns and evaluate the performances of sentiment-based trading strategies in the Korean equity market. We find that the sentiment indices (constructed using the principal component analysis (PCA) and overnight stock returns) positively predict stock price movements, whereas news sentiment does not significantly determine
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The effects of economic policy uncertainty on the US REITs ETFs: A quantile analysis Investment Analysts Journal (IF 0.925) Pub Date : 2022-06-07 Husni Charif, Ata Assaf, Ender Demir, Khaled Mokni
ABSTRACT This paper investigates the impact of economic policy uncertainty (EPU) on real estate investment trusts (REITs) ETFs in a quantile-based framework by employing the nonparametric causality test and the quantile autoregressive (QAR) model. Using data covering the returns of eight major United States (US) Real Estate Investment Trusts (REIT) exchange-traded funds (ETFs) over the period spanning
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A modified Shiller's cyclically adjusted price-to-earnings (CAPE) ratio for stock market index valuation in a zero-interest rate environment Investment Analysts Journal (IF 0.925) Pub Date : 2022-03-19 Roberto Catanho, Adrian Saville
ABSTRACT The cyclically adjusted price-earnings ratio (CAPE) is a tool that has become widely used to predict market returns. However, recently, deterioration in its forecast strength has surfaced. At the same time, global long-term interest rates have declined and are expected to remain at record lows, which the CAPE fails to consider. Omitting to fully examine the impact of the cost on capital on
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Financial constraints and the financial distress puzzle: Evidence from a frontier market before and during the Covid-19 pandemic Investment Analysts Journal (IF 0.925) Pub Date : 2022-03-08 Khoa Dang Duong, Linh Thi Diem Truong, Tran Ngoc Huynh, Quang Thu Luu
ABSTRACT We are the first ever to examine the financial constraints and distress risk puzzle of listed manufacturing firms in Vietnam. We employ different estimation methods such as portfolio sorting, Fama Macbeth regression, and asset pricing models to analyse a sample containing 27 300 firm-month observations from 2008 to 2021. Our empirical evidence figures out that the Z-score anomaly exists in
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Portfolio diversification with cryptocurrencies – Evidence from Middle Eastern stock markets Investment Analysts Journal (IF 0.925) Pub Date : 2022-03-08 Sunitha Kumaran
ABSTRACT The appealing features of cryptocurrency in the digital money sector have put them into the category of investable assets. Investment professionals have begun to consider their investability and diversification benefits. It is vital for investors to understand the return-risk behaviour among investable assets to reap the benefits of diversification. This paper considers a proxy of cryptos
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How does (C)CAPM digest anomalies? Investment Analysts Journal (IF 0.925) Pub Date : 2022-02-22 Qi Shi
ABSTRACT In a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of weighting matrix. OLS cross-sectional regression reveals the poor performance of (C)CAPM. In contrast, the CAPM model actually explains a
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CFOs versus CEOs: Risk-taking incentives and decisions of corporate policies Investment Analysts Journal (IF 0.925) Pub Date : 2021-12-16 Han-Ching Huang, Pei-Shan Tung
ABSTRACT We undertake a broad-based study of the effect of the equity incentives of Chief Executive Officers (CEOs) and Chief Financial Officers (CFOs) on decisions relating to corporate policies and find that the risk-taking incentives of acquirer CEOs have a greater impact on the probability that firms conduct an acquisition than CFOs, extending the argument that higher risk-taking incentives induce
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Wednesdays obtain herd immunity? Examining the effect of the day of the week on the NSE sectoral market during COVID-19 Investment Analysts Journal (IF 0.925) Pub Date : 2021-12-16 Udayan Karnatak, Chirag Malik
ABSTRACT A modified CSAD model is utilised in this research to detect herding in the developing market prior to and during the COVID-19 epidemic. From July 2019 through June 2021, we evaluate the outcomes of the NSE's twelve sectoral indices. We find considerable intentional herding before to the outbreak of COVID-19, but anti-herding after the pandemic on Wednesday. Herding is enhanced on Mondays
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Early evidence on the performance of hedged exchange traded funds Investment Analysts Journal (IF 0.925) Pub Date : 2021-12-28 Joseph K. W. Fung, Jason M. K. Cheng, F. Y. Eric Lam
ABSTRACT This study provides early evidence on the performance of Hedged Exchange Traded Funds (HETFs), which were introduced around 2006. These securities track and enable retail investors to access two hedge fund strategies: global macro and long/short equity. Using monthly data of HETFs that survived until December 2017, the paper shows that most of the individual HETFs and HETF portfolios have
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Investor sentiment and market dynamics: Evidence from index futures markets Investment Analysts Journal (IF 0.925) Pub Date : 2021-12-17 Heejin Yang
ABSTRACT This study presents an investor sentiment proxy with a greater explanatory power in determining price changes in the Korean futures market and examines the effect of investor sentiment on futures price changes. We also consider how investor-trading behaviour affects the association between investor sentiment and futures prices. Our empirical results demonstrate that the multiple-variable method
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Multi-asset allocation of exchange traded funds: Application of Black–Litterman model Investment Analysts Journal (IF 0.925) Pub Date : 2021-12-16 Mei-Ling Tang, Feng-Yu Wu, Ming-Chin Hung
ABSTRACT The Black–Litterman (BL) model allows investors to apply their subjective views to asset allocation optimisation. In this study, we construct a multi-asset allocation portfolio of iShares exchange traded funds (ETFs) using mean–variance (MV) and BL models. Two investment strategies, namely lump-sum investment and a systematic investment plan (SIP), are also investigated and applied to ETF
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Firm quality and stock returns: Evidence from India Investment Analysts Journal (IF 0.925) Pub Date : 2021-11-16 Sanjay Sehgal, Asheesh Pandey
ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that
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Earnings informativeness in the Brazilian market: the influence of dividends and financial constraints Investment Analysts Journal (IF 0.925) Pub Date : 2021-11-13 Rodrigo Simonassi Scalzer, Ana Carolina Santos Souza
ABSTRACT This study addresses the informativeness of accounting earnings in Brazil by analysing the impact of distributed dividends and the existence of financial constraints. Panel data regression with fixed effects and quantile regression estimated that the dividend informativeness in Brazil and the presence of financial constraints affect earnings informativeness, even when the different forms of
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Fundamental analysis, low accruals, and the accrual anomaly: Korean evidence Investment Analysts Journal (IF 0.925) Pub Date : 2021-09-29 Young Jun Kim, Jung Hoon Kim, Sewon Kwon, Su Jeong Lee
ABSTRACT Prior studies in Korea document that low accrual firms yield extremely low returns, driving away abnormal returns of an accrual-based trading strategy. We examine whether the performance of an accrual-based trading strategy can be improved using fundamental analysis to distinguish financially strong firms (‘winners’) from financially weak firms (‘losers’) within low accrual firms. Using Korean