Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we employ a graphical method based on visual comparison of the fitted copula density and the smoothed copula density estimated by wavelets. Moreover, we check the stability of the copula parameter. The empirical results show that the long memory affects the dependence structure. Second, we analyze the impact of this dependence structure on the optimal portfolio. We propose a new approach based on minimizing the Conditional Value at Risk and assuming that the dependence structure is modeled by the copula parameter. The empirical results show that our approach outperforms the traditional minimizing variance approach, where the dependence structure is represented by the linear correlation coefficient.     

Does prestigious board membership matter? Evidence from New Zealand

This study investigates whether ‘prestigious’ multiple board membership is positively associated with firm performance. We employ Resource Dependency theory to explain why performance outcomes may be improved by the presence of ‘prestigious’ multiple directorships. Our analysis relies on extensive hand‐collected data on New Zealand company directorships. The results support the contention that ‘prestigious’ multiple directorships are related to better accounting and market performance. Conclusions reflect upon how Resource Dependency theory informs this phenomenon and how ‘prestigious’ board members may be a valuable resource for firms. We also reveal how these findings expose a new avenue for board governance research.     

Covid-19 and heuristic biases: evidence from India

Stock markets worldwide have witnessed high volatility during the year 2020 owing to the eruption of Covid-19. Due to the world’s unprecedented economic challenges, this study could potentially guide financial advisors and individual investors in dealing with pandemics. An association between investors’ perception toward the intensity of Covid-19 and heuristic biases is analyzed using the responses of 290 stock investors of National Capital Region (NCR), India. The data are validated through Cronbach’s alpha, and the model fit is analyzed using EFA. Confirmatory factor analysis (CFA) is employed to investigate the relationship between Covid-19 and heuristic biases. Covid-19 does not have any influence on the overconfidence of investors. A significant positive relationship is found between Covid-19 and the remaining three heuristics, i.e., availability, anchoring, and representativeness. The present study analyzes the association between Covid-19 and specific investors’ bias only and should not be interpreted for causality. The study has the potential to guide investors in understanding the errors they are making while investing during the pandemic and the ways to deal with them. The study could provide insights to the financial advisors in understanding their customers. The implications of the study may include inputs of the errors committed by them during the pandemic. Despite the fact that an enormous amount of literature exists in the field of investors’ sentiment, a scarcity of literature is available that measures the relationship between heuristic biases and the perceived impact of the pandemic. The current study attempts to fill this gap in the literature.

     

RETRACTED: Distributional effects of rising food prices in Pakistan: Evidence from HIES 2001–02 and 2005–06 survey

This article has been retracted: please see Elsevier Policy on Article Withdrawal (http://www.elsevier.com/locate/withdrawalpolicy).This article has been retracted at the request of the Editor and the Publisher.After a thorough investigation, the Publisher has concluded that the Editor was misled into accepting this article based upon the positive advice of at least one faked reviewer report. The report was submitted from a fictitious email account which was provided to the Editor by the corresponding author during the submission of the article. The corresponding author, Dr Zaman, wishes to admit sole responsibility and to state that his co-authors were not aware of his actions.This manipulation of the peer-review process represents a clear violation of the fundamentals of peer review, our publishing policies, and publishing ethics standards. Apologies are offered to the reviewers whose identities were assumed and to the readers of the journal that this deception was not detected during the submission process.