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Article
Publication date: 20 February 2017

Raymond Kan and Guofu Zhou

The purpose of this paper is to show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption.

712

Abstract

Purpose

The purpose of this paper is to show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption.

Design/methodology/approach

The EM algorithm is applied to solve the statistical estimation problem almost analytically, and the asymptotic theory is provided for inference.

Findings

The authors find that the multivariate normality assumption is almost always rejected by real stock return data, while the multivariate t-distribution assumption can often be adequate. Conclusions under normality vs under t can be drastically different for estimating expected returns and Jensen’s αs, and for testing asset pricing models.

Practical implications

The results provide improved estimates of cost of capital and asset moment parameters that are useful for corporate project evaluation and portfolio management.

Originality/value

The authors proposed new procedures that makes it easy to use a multivariate t-distribution, which models well the data, as a simple and viable alternative in practice to examine the robustness of many existing results.

Details

China Finance Review International, vol. 7 no. 1
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 26 September 2019

Hongxu Chen, Qin Yin, Guanhua Dong, Luofeng Xie and Guofu Yin

The purpose of this paper is to establish a stiffness model of fixed joint considering self-affinity and elastoplasticity of asperities.

145

Abstract

Purpose

The purpose of this paper is to establish a stiffness model of fixed joint considering self-affinity and elastoplasticity of asperities.

Design/methodology/approach

The proposed model considers that asperities of different scales are interrelated rather than independent. For elastoplastic contact, a spring-damper model and an elastic deformation ratio function were proposed to calculate the contact stiffness of asperities.

Findings

A revised fractal asperity model was proposed to calculate the contact stiffness of fixed joint, the impacts of the fractal dimension, the fractal roughness parameter and the Meyer index on the contact stiffness were discussed, and the present experimental results and the Jiang’s experimental results showed that the stiffness can be well predicted by proposed model.

Originality/value

The contradiction between the Majumdar and Bhushan model and the Morag and Etsion model can be well explained by considering the interaction among asperities of different scales. For elastoplastic contact, elastic deformation ratio should be considered, and the stiffness of asperities increases first and then decreases with the increasing of interference.

Details

Industrial Lubrication and Tribology, vol. 72 no. 1
Type: Research Article
ISSN: 0036-8792

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Article
Publication date: 28 December 2018

Miao Luo, Tao Chen and Jun Cai

For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form…

431

Abstract

Purpose

For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form of investment and is an integral part of a firm’s business growth. This makes it difficult to distinguish between the growth-based and earnings quality-based interpretations of the accrual effects, because high accruals can represent both high growth and inflated earnings. The purpose of this paper is to add to the literature by examining an issue that has not received much attention: the correlation between asset growth and accruals and its implication on stock return predictability. The authors address the issue using Fama and Macbeth’s (1973) cross-sectional regressions that are conditional on the correlations between the two variables.

Design/methodology/approach

The authors partition firms based on whether the correlation between current accrual and asset growth in the past five years is positive (ρ+) or negative (ρ−). The authors refer to these two types of firms such as “positive correlation” and “negative correlation” groups. For both groups, the authors examine whether firms with higher asset growth and higher accruals are associated with lower future stock returns. The authors implement Fama and MacBeth’s cross-sectional regressions incorporating the effect of correlations between growth and accrual measures. In addition, the authors regress hedge portfolio returns on Fama and French (1993) three-factor and Fama and French (2015) five-factor models to see if the intercepts (a’s) from these regressions are significantly different from 0.

Findings

For each year, the authors partition firms based on whether the correlation between asset growth and current accrual is positive or negative. For both the “positive correlation” and “negative correlation” firms, the authors examine the association between accruals and future stock returns. The authors find that accruals remain strong in predicting future stock returns for both groups. The accrual effects from the “negative correlation” group cannot be attributed to the growth-based hypothesis because for these firms, when accruals are high, growth measures tend to be relatively low and vice versa. The effects are most likely driven by the alternative hypothesis that investors overvalue the accrual part of earnings.

Research limitations/implications

There exist a few issues when investors actually implement these strategies. These include liquidity costs, institutional holdings and short sale constraints. Lesmond (2008) concludes that the bulk of the trading profits is derived from the short side of the trade, but that this position suffers from high liquidity costs that reduces institutional holdings with consequent short sale constraints. The net gains after taking into account these issues remain an open question be addressed in the future.

Practical implications

The empirical results indicate that investors can do an implementable portfolio strategy of going long for a year on an initially equally weighted lowest asset growth (accrual) decile portfolio and going short for a year on an initially equally weighted highest asset growth (accrual) decile portfolio, which produces significant abnormal returns. The results further show that these abnormal returns can be improved if investors classify stocks into “the positive correlation” and “negative correlation” groups and implement trading similar trading strategies.

Originality/value

The empirical evidence finds that firm-year observations that exhibit a negative correlation between growth and accrual measures represents a significant 30 percent of the total firm-year observations during the sample period from July 1974 to June 2017. This highlights the necessity to undertake a detailed analysis on the issue. The authors continue to find accrual effects among these groups of firms. Therefore, the accrual effect cannot be attributed to the diminishing marginal return hypothesis. This is the main contribution of the paper.

Details

China Finance Review International, vol. 9 no. 3
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 1 September 2019

Xuan Wang

In order to find a way to create the artistic conception of modern landscape space, the spatial analysis of Daguanyuan is carried out from the perspective of literature in order…

31

Abstract

In order to find a way to create the artistic conception of modern landscape space, the spatial analysis of Daguanyuan is carried out from the perspective of literature in order to find out the method of creating the artistic conception of modern landscape space. Adopting the method of general to special, from theory to practice, the argument with special significance is analyzed from the most common phenomena, and this argument is applied to the method of practical cases. The results show that Daguanyuan space in literature needs the audience's ability to understand words, the perception of space in film and television needs the audience's strong memory and imaginative thinking, while the perception of Daguanyuan space in garden art needs only basic discrimination ability. After analyzing the effect of Daguanyuan space construction from the literary perspective, it is believed that the writing techniques of starting point - development - climax - ending, wanting to carry forward first and restraining first, and reserving foreshadows in literature can be used for reference in modern landscape design.

Details

Open House International, vol. 44 no. 3
Type: Research Article
ISSN: 0168-2601

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Article
Publication date: 7 November 2016

Congying Guan, Shengfeng Qin, Wessie Ling and Guofu Ding

With the developments of e-commerce markets, novel recommendation technologies are becoming an essential part of many online retailers’ economic models to help drive online sales…

2352

Abstract

Purpose

With the developments of e-commerce markets, novel recommendation technologies are becoming an essential part of many online retailers’ economic models to help drive online sales. Initially, the purpose of this paper is to undertake an investigation of apparel recommendations in the commercial market in order to verify the research value and significance. Then, this paper reviews apparel recommendation techniques and systems through academic research, aiming to acquaint apparel recommendation context, summarize the pros and cons of various research methods, identify research gaps and eventually propose new research solutions to benefit apparel retailing market.

Design/methodology/approach

This study utilizes empirical research drawing on 130 academic publications indexed from online databases. The authors introduce a three-layer descriptor for searching articles, and analyse retrieval results via distribution graphics of years, publications and keywords.

Findings

This study classified high-tech integrated apparel systems into 3D CAD systems, personalised design systems and recommendation systems. The authors’ research interest is focussed on recommendation system. Four types of models were found, namely clothes searching/retrieval, wardrobe recommendation, fashion coordination and intelligent recommendation systems. The forth type, smart systems, has raised more awareness in apparel research as it is equipped with advanced functions and application scenarios to satisfy customers. Despite various computational algorithms tested in system modelling, existing research is lacking in terms of apparel and users profiles research. Thus, from the review, the authors have identified and proposed a more complete set of key features for describing both apparel and users profiles in a recommendation system.

Originality/value

Based on previous studies, this is the first review paper on this topic in this subject field. The summarised work and the proposed new research will inspire future researchers with various knowledge backgrounds, especially, from a design perspective.

Details

International Journal of Clothing Science and Technology, vol. 28 no. 6
Type: Research Article
ISSN: 0955-6222

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Article
Publication date: 19 January 2015

Chao Wang, Guofu Yin, Zhengyu Zhang, Shuiliang Wang, Tao Zhao, Yan Sun and Dangguo Yang

– The purpose of this paper is to introduce a novel method for developing static aeroelastic models based on rapid prototyping for wind tunnel testing.

618

Abstract

Purpose

The purpose of this paper is to introduce a novel method for developing static aeroelastic models based on rapid prototyping for wind tunnel testing.

Design/methodology/approach

A metal frame and resin covers are applied to a static aeroelastic wind tunnel model, which uses the difference of metal and resin to achieve desired stiffness distribution by the stiffness similarity principle. The metal frame is made by traditional machining, and resin covers are formed by stereolithgraphy. As demonstrated by wind tunnel testing and stiffness measurement, the novel method of design and fabrication of the static aeroelastic model based on stereolithgraphy is practical and feasible, and, compared with that of the traditional static elastic model, is prospective due to its lower costs and shorter period for its design and production, as well as avoiding additional stiffness caused by outer filler.

Findings

This method for developing static aeroelastic wind tunnel model with a metal frame and resin covers is feasible, especially for aeroelastic wind tunnel models with complex external aerodynamic shape, which could be accurately constructed based on rapid prototypes in a shorter time with a much lower cost. The developed static aeroelastic aircraft model with a high aspect ratio shows its stiffness distribution in agreement with the design goals, and it is kept in a good condition through the wind tunnel testing at a Mach number ranging from 0.4 to 0.65.

Research limitations/implications

The contact stiffness between the metal frame and resin covers is difficult to calculate accurately even by using finite element analysis; in addition, the manufacturing errors have some effects on the stiffness distribution of aeroelastic models, especially for small-size models.

Originality/value

The design, fabrication and ground testing of aircraft static aeroelastic models presented here provide accurate stiffness and shape stimulation in a cheaper and sooner way compared with that of traditional aeroelastic models. The ground stiffness measurement uses the photogrammetry, which can provide quick, and precise, evaluation of the actual stiffness distribution of a static aeroelastic model. This study, therefore, expands the applications of rapid prototyping on wind tunnel model fabrication, especially for the practical static aeroelastic wind tunnel tests.

Details

Rapid Prototyping Journal, vol. 21 no. 1
Type: Research Article
ISSN: 1355-2546

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Article
Publication date: 21 September 2010

Feng Tai, Fu Guo, Jianping Liu, Zhidong Xia, Yaowu Shi, Yongping Lei and Xiaoyan Li

The purpose of this paper is to investigate the creep properties of Sn‐0.7Cu composite solder joints reinforced with optimal nano‐sized Ag particles in order to improve the creep…

359

Abstract

Purpose

The purpose of this paper is to investigate the creep properties of Sn‐0.7Cu composite solder joints reinforced with optimal nano‐sized Ag particles in order to improve the creep performance of lead‐free solder joints by a composite approach.

Design/methodology/approach

The composite approach has been considered as an effective method to improve the creep performance of solder joints. Nano‐sized Ag reinforcing particles were incorporated into Sn‐0.7Cu solder by mechanically mixing. A systematic creep study was carried out on nano‐composite solder joints reinforced with optimal nano‐sized Ag particles and compared with Sn‐0.7Cu solder joints at different temperatures and stress levels. A steady‐state creep constitutive equation for nano‐composite solder joints containing the best volume reinforcement was established in this study. Microstructural features of solder joints were analyzed to help determine their deformation mechanisms during creep.

Findings

The creep activation energies and stress exponents of Ag particle‐enhanced Sn‐0.7Cu lead‐free based composite solder joints were higher than those of matrix solder joints under the same stress and temperature. Thus, the creep properties of nano‐composite solder joints are better than those of Sn‐0.7Cu solder joints.

Originality/value

The findings indicated that nano‐sized Ag reinforcing particles could effectively improve the creep properties of solder joints. A new steady‐state creep constitutive equation of nano‐composite solder joints was established. Deformation mechanisms of Sn‐0.7Cu solder and nano‐composite solder joints during creep were determined.

Details

Soldering & Surface Mount Technology, vol. 22 no. 4
Type: Research Article
ISSN: 0954-0911

Keywords

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Article
Publication date: 25 October 2022

Hanwen Chen, Siyi Liu, Xin Liu and Jiani Wang

The paper aims to examine the corporate social responsibility (CSR) activity of audit firms.

1206

Abstract

Purpose

The paper aims to examine the corporate social responsibility (CSR) activity of audit firms.

Design/methodology/approach

Using hand-collected data on all Chinese audit firms’ CSR activities from 2007 to 2020, this study constructs two measures to proxy for audit firms’ CSR engagement: a dummy variable to indicate whether an auditor engages in CSR activities in year t and the frequency with which auditors conduct CSR activities in year t. The authors use ordinary least squares regression as a baseline methodology, along with the entropy balancing method and instrumental variable approach to alleviate potential endogeneity concerns.

Findings

The baseline results show that socially responsible audit firms provide higher quality audit services than their counterparts. In particular, the authors find that clients audited by socially responsible audit firms are less likely to receive an aggressively clean opinion. Moreover, the findings suggest that CSR activities related to community and employees are more relevant in improving audit quality compared with those related to other dimensions of CSR. Further analyses show that capital markets and audit clients react positively to audit-firm CSR activity. Audit firms engaging in CSR increase their audit inputs in response to risky clients, as compared with their counterparts. Finally, cross-sectional analyses show that the positive relationship is more pronounced for non-Big 4 and non-industry experts and is attenuated by within-firm geographic dispersion. In terms of client characteristics, the positive effect of audit-firm CSR is stronger when their clients face the higher financial risk or have lower CSR awareness than others. Taken together, these findings are consistent with the ethical view of audit-firm CSR engagement.

Practical implications

The study advances investors’ understanding of audit-firm CSR engagement and helps them evaluate the credibility of audited financial reports. Besides, the findings may also help guide the audit firms to conduct more CSR activities and help guide the audit clients to choose CSR audit firms.

Originality/value

To the best of the authors’ knowledge, this study provides the first large-sample evidence by empirically examining the association between audit-firm CSR activity and audit service performance. Besides, this paper also explores audit-firm CSR activity from two competing perspectives, thereby providing a comprehensive understanding of this issue. Finally, this work responds to the call for more CSR research in emerging markets.

Details

Managerial Auditing Journal, vol. 38 no. 2
Type: Research Article
ISSN: 0268-6902

Keywords

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