Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence

This study investigates the level of risk due to fat tails of the return distribution and the changes of tail fatness (TF) through portfolio diversification. TF is not eliminated through portfolio diversification, and, interestingly, the positive tail has declining fatness until a certain level is reached, while the negative tail has rising fatness. This indicates that fat tails are highly relevant to common factors on systematic risk and that the relevance of common factors is higher for the negative tail compared to the positive tail. In the portfolio diversification effect, the declining fatness of the positive tail further reduces risk, but the rising fatness of the negative tail does not contribute to this effect. The asymmetry between the fatness of the positive and negative tails in the return distribution corresponds to the asymmetry of the trade-off relationship between loss avoidance and profit sacrifice that is expected as a consequence of portfolio diversification. Investors use portfolio diversification to reduce their risk of suffering high losses, but following this strategy means sacrificing high-profit potential. Our study provides empirical confirmation for the practical limitation of portfolio diversification and explains why investors with diversified portfolios suffer high losses from market crashes. An examination of the Northeast Asian stock markets of China, Japan, Korea, and Taiwan show identical results.     

Value Relevance of Comprehensive Income for the Canadian Market*

The value relevance of comprehensive income (CI) compared to net income (NI) remains unresolved. We look at this issue in the Canadian market, using association methods to determine the value relevance of reporting CI and other comprehensive income (OCI) components for stock prices and returns. The sample consists of all the firms in the S&P/TSX Composite Index that prepared their financial statements according to Canadian standards or International Financial Reporting Standards (IFRS) over the 2008–2016 period. Although we find no evidence that CI is more value relevant than NI for stock prices and returns, we note that some OCI components are incrementally value relevant beyond NI for both amounts. In addition, financial services firms differ from other companies in terms of the relationships between some of their OCI components and prices or returns, with such firms even driving some relationships. Relationships between OCI components and prices or returns are also affected when data from the financial crisis period are excluded, with some relationships even changing after IFRS adoption. These results inform Canadian standard setters and financial statement users that OCI components are decision useful for the Canadian market.     

机构交叉持股对企业价值的影响

基于2007-2018年中国A股上市公司数据,本文考察了机构交叉持股对企业价值的影响及其作用机制。研究发现,机构交叉持股显著提高了企业价值,在考虑内生性问题和替换主要变量后结论依然较为稳健。交叉持股机构投资者能够成为更加积极的监督者,主动参与公司治理,缓解代理问题,同时促进同行业企业间产品市场协作,改善企业的产品市场表现,进而提升企业价值。此外,相比其他类型的投资者,长期、独立以及稳定型的交叉持股机构投资者对企业价值的促进作用更显著,进一步印证了监督治理渠道的作用。机构交叉持股推动产品市场协作,主要是通过提高企业创新能力和营业利润率。本文结论证实了机构交叉持股的正向协同效应,对完善中国资本市场制度体系和促进企业可持续发展具有重要意义。     

Sentiment-scaled CAPM and market mispricing

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β–return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios with higher state βs earn higher returns.     

Knowledge capital,CEO power,and firm value: Evidence from the IT industry

Disruptive innovation dramatically changes the demand of a product market in the information technology (IT) industry. In response to the impact of disruptive innovation, IT firms that may be eliminated from the competitive race actively develop innovative products and adjust their operating strategies to strengthen their survivability in the fiercely competitive market. Thus, this study explores the factors that affect firm value in the IT industry under the impact of disruptive innovation. The empirical results reveal that knowledge capital and CEO power play crucial roles in explaining firm value. IT firms with powerful CEOs and increased knowledge capital have high firm values. The effects of knowledge capital and CEO power on firm value are especially significant for founder and duality CEO firms. Furthermore, the influence of CEO power is more prominent in periods of financial crisis.     

Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

Antecedents of Green Loyalty in the Cruise Industry: Sustainable Development and Environmental Management

As there is a lack of understanding about cruise travelers' eco‐friendly behaviors and knowledge about eco‐friendly cruises, this study attempted to examine the role of green value, satisfaction, desire, and internal and external normative factors in building passengers' green loyalty for environmentally responsible cruises. A survey methodology and structural equation modeling were utilized to achieve the research purpose. Data quality assessment revealed that all measures for variables included an adequate level of reliability and validity. Results of the structural analysis indicated that our theoretical framework had a sufficient level of anticipation power for loyalty. The proposed associations among study variables were generally supported. The significant indirect influence of green values and social norms on loyalty was identified. Moreover, the magnitude of the total influence of social norms on loyalty was the greatest among the study constructs. Overall, our findings offer valuable and meaningful insights for cruise researchers and practitioners. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment     

非住宅建设用地使用权续期规则的思考

研究目的:分析非住宅建设用地使用权续期活动的规则与性质,提出完善续期规则的建议。研究方法:规范分析法,比较分析法。研究结果:非住宅建设用地使用权的续期规则存在疏漏,使续期申请的起止期间难以清晰界定,以私法视角理解续期活动也不妥当。研究结论:续期是申请人取得重新设立的建设用地使用权的过程,因此要求在续期过程中必须清晰界定续期权利的设立与灭失期间,保证续期或救济得以顺利进行。续期也是获得行政特别许可的结果,应当采用协议出让方式予以确认。     

Cost Analysis of Calcium in Store Brand versus National Brand Grocery Products

Objective: This study was to determine if calcium fortification yields a higher price per serving in grocery store products. Researchers compared store brand to national brand grocery products in relation to cost in order to examine if calcium values were similar between store brand and national brand products. Methods: A total of 112 store brand and 211 national brand grocery products were collected from three low (national chain store), middle and high priced (Virginia and North Carolina regional store) grocery venues. Products were compared using price and calcium percentage per serving. ANOVA was used to determine between store brand and national brand for price per serving and calcium content, and between grocery venues. Results: National brand fortified products had a significantly lower mean price per serving when compared to national brand non-fortified products (p = 0.0002). There was no statistical difference between store brand fortified and non-fortified products (p = 0.9256). Low priced store brand products had the lowest mean price per serving ($0.34 ±0.24). Conclusions: This study found store brand products have similar calcium content as national brand products. Product cost was lower at low priced store compared to middle and high priced stores.     

Cooperative game with nondeterministic returns

We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players’ contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to information, on allocations. The latter are also at times more conducive to fractional representations. With probabilistic structures added, nondeterministic returns become random variables, utility functions attain risk-attitude connotations, and the timing of players’ allocation resolutions gains significance. Under various conditions for utility functions, we show how various core concepts of the general game can be related to its traditionally defined auxiliaries. These developments help pave the way for our illustrations, within two distinct settings, that players’ increased risk aversion would promote the formation of the grand coalition.