The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data.
Abstract
Purpose
The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data.
Design/methodology/approach
The absolute return profiles are identified using properties of the empirical distributions of fund returns. The authors use both Bayesian multinomial probit and frequentist multinomial logit regressions to examine the relationship between the return profiles and fund characteristics.
Findings
Some evidence is found that only some hedge funds strategies, but not all of them, demonstrate higher tendency to produce absolute returns. Also identified are some investment provisions and fund characteristics that can influence the chance of generating absolute returns. Finally, no evidence was found for performance persistence in terms of absolute returns for hedge funds but some limited evidence for funds of funds.
Practical implications
This paper is the first attempt to examine the hedge fund return profiles based on the notion of absolute return in great details. Investors and managers of funds of funds can utilize the identification method in this paper to evaluate the performance of their interested hedge funds from a new angle.
Originality/value
Using the properties of the empirical distribution of the hedge fund returns to classify them into different absolute return profiles is the unique contribution of this paper. The application of the multinomial probit and multinomial logit models in the fund performance and fund characteristics literature is also new since the dependent variable in the authors' regressions is multinomial.
Details
Keywords
The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with regime shifts on optimal portfolio choice over the long run for a static…
Abstract
Purpose
The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with regime shifts on optimal portfolio choice over the long run for a static buy-and-hold investor who is investing in industry portfolios.
Design/methodology/approach
This paper uses a Markov switching model to model returns on industry portfolios and propose a Gibbs sampling approach to take into account parameter uncertainty. This paper compares the results with a linear benchmark model and estimates without taking into account parameter uncertainty. This paper also checks the predictive power of additional predictive variables.
Findings
Incorporating parameter uncertainty and taking into account the possible regime shifts in the returns process, this paper finds that such investors can allocate less in the long run to stocks. This holds true for both the NASDAQ portfolio and the individual high tech and manufacturing industry portfolios. Along with regime switching returns, this paper examines dividend yields and Treasury bill rates as potential predictor variables, and conclude that their predictive effect is minimal: the allocation to stocks in the long run is still generally smaller.
Originality/value
Studying the effect of regime switching behavior in returns on the optimal portfolio choice with parameter uncertainty is our main contribution.
Details
Keywords
Deniz Ilalan and Burak Pirgaip
Since the famous tapering talk of Bernanke, US Dollar (USD) made a significant appreciation on emerging market local currencies. When the stock indices are adjusted to USD, a…
Abstract
Since the famous tapering talk of Bernanke, US Dollar (USD) made a significant appreciation on emerging market local currencies. When the stock indices are adjusted to USD, a negative relationship is usually the case. USD index is a natural candidate for measurement of these effects. It is seen that some emerging stock indices exhibit negative causality with USD index in Granger sense. Moreover, the authors take into account rolling correlations of USD index and the relevant stock indices and examine them on the investment horizon beginning from tapering talk. The authors deduce that Granger causality test and correlation results are coherent with each other which sheds light to the famous discussion whether causality implies correlation or vice versa.
Details
Keywords
Buket Candan and Emre Şahin Dölarslan
Tourists' environmentally responsible behaviour (ERB) is very important for the environmental sustainability of popular tourist destinations. The main purpose of this research…
Abstract
Purpose
Tourists' environmentally responsible behaviour (ERB) is very important for the environmental sustainability of popular tourist destinations. The main purpose of this research paper is to explore the relationship between environmental citizenship behaviour (ECB) and trust in local government with ERB.
Design/methodology/approach
A theoretical model was proposed and tested. Data were collected from domestic tourists (n = 555) visiting Antalya, on the Mediterranean coast of Turkey.
Findings
The results show that all dimensions of ECB (helping, engagement and initiatives) have a positive effect on the formation of ERB among domestic tourists. The results also show that trust in the local government of the destination has a moderating effect on the relationship between the two dimensions of ECB (engagement and initiatives) and ERB. The helping dimension of ECB has the highest positive impact factor on ERB. The results provide a comprehensive framework for further research. The proposed model is strongly supported by the findings.
Practical implications
Local policy makers can focus on how to increase the environmental motivation of domestic tourists. Environmentally friendly projects can be developed to attract their attention. This will ensure that they take more responsibility for the environment at the destination.
Originality/value
Understanding the potential impact of local government on tourist behaviour is crucial for sustainability. However, there are few studies that directly examine the moderating effect of trust in local government on the relationship between ECB and ERB. This study addresses this gap and makes novel contributions to the relevant literature.
Details
Keywords
Rafael Ravina-Ripoll, Gustavo Adolfo Díaz-García, Eduardo Ahumada-Tello and Esthela Galván-Vela
This study analyses the concept of happiness management based on the empirical validation of the interactions between emotional wage, organisational justice and happiness at work…
Abstract
Purpose
This study analyses the concept of happiness management based on the empirical validation of the interactions between emotional wage, organisational justice and happiness at work. It complements a holistic view of the management models used in recent corporate governance. This perspective explores the dimension’s emotional wage mediating role and influences on organisational justice and happiness at work. The effect of organisational justice on happiness at work is also analysed.
Design/methodology/approach
A quantitative, cross-sectional, descriptive and correlational study is proposed. A sample of 502 workers in the education sector in Costa Rica was selected. A structural equation model (PLS-SEM) was developed to test the proposed theoretical model. The SPSS-AMOS 23 and SmartPLS 4 computer programs are used for this purpose.
Findings
The results show that emotional wage has a positive impact on happiness at work and that it mediates positively between organisational justice and happiness at work. Developing organisational policies to include these variables as necessary resources for corporate governance is recommended.
Research limitations/implications
The first limitation of this study is due to the type of sampling, which was purposive. The kind of population and the time of execution of this study were determining factors when deciding on the mode of application of the instrument. However, an attempt to reduce the bias associated with this element could be made by expanding the sample to as many respondents as possible. The second limitation was that the data were collected within a specific time frame. Longitudinal studies address Thcould. The third limitation stems from the scarcity of literature on happiness management. In this regard, this type of research currently needs to be explored in emerging economies. It makes it difficult to determine whether the empirical results obtained in this paper can be generalised to other territories in the global village. Moreover, the last limitation is that the authors of this research have only explored the moderating role of emotional pay in the relationship between the dimensions of organisational justice and happiness at work. It would be interesting to consider other mediating variables to have a clearer picture of the organisational justice–happiness at work construct from the happiness management approach.
Practical implications
As already indicated throughout this research, emotional wage, organisational justice and happiness at work are constructs that positively drive employee satisfaction, motivation and well-being. Human talent management strategies undertaken by organisations should encourage the adaptation of actions that stimulate employees' quality of life, corporate social responsibility and ethical management practices to be more competitive in today’s markets. It requires implementing the dynamic management models that provide internal customers with a high sense of belonging, job satisfaction and commitment to their professional performance. In other words, this will require robust leadership styles and corporate cultures that stimulate employee creativity, loyalty and innovation. For this reason, management of organisations must implement human resources policies to attract and retain creative talent through happy leadership. It requires, among other things that the philosophy of happiness management becomes a critical strategic resource for companies to promote nonfinancial benefits for employees, including emotional wage (Ruiz-Rodríguez et al., 2023).
Social implications
In the current business environment, there has been a transformation in leadership styles, motivation and the development of a sense of belonging in organisations' human capital. Based on this trend, the study of happiness management becomes a social strategy to improve the conditions, in which the organisations compete to attract highly demanded human capital. It is why this research contributes elements that have an impact on citizenship by proposing the management models based on happiness at work and quality of life.
Originality/value
This study adds to the happiness management literature by including emotional wage, organisational justice and happiness at work in human resources and strategic management. It also contributes to the academic debate on the need to formulate organisational cultures that empower workers in their professional performance based on happiness and positive emotions.