Ziwen Gao, Steven F. Lehrer, Tian Xie and Xinyu Zhang
Motivated by empirical features that characterize cryptocurrency volatility data, the authors develop a forecasting strategy that can account for both model uncertainty and…
Abstract
Motivated by empirical features that characterize cryptocurrency volatility data, the authors develop a forecasting strategy that can account for both model uncertainty and heteroskedasticity of unknown form. The theoretical investigation establishes the asymptotic optimality of the proposed heteroskedastic model averaging heterogeneous autoregressive (H-MAHAR) estimator under mild conditions. The authors additionally examine the convergence rate of the estimated weights of the proposed H-MAHAR estimator. This analysis sheds new light on the asymptotic properties of the least squares model averaging estimator under alternative complicated data generating processes (DGPs). To examine the performance of the H-MAHAR estimator, the authors conduct an out-of-sample forecasting application involving 22 different cryptocurrency assets. The results emphasize the importance of accounting for both model uncertainty and heteroskedasticity in practice.
Details
Keywords
This study aims to show that the best-performing realized measures vary across markets when it comes to forecast real estate investment trust (REIT) volatility. This finding…
Abstract
Purpose
This study aims to show that the best-performing realized measures vary across markets when it comes to forecast real estate investment trust (REIT) volatility. This finding provides little guidance for practitioners on which one to use when facing a new market. The authors attempt to fill the hole by seeking a common estimator, which can study for different markets.
Design/methodology/approach
The authors do so by drawing upon the general forecasting literature, which finds that combinations of individual forecasts often outperform even the best individual forecast. The authors carry out the study by first introducing a number of commonly used realized measures and then considering several different combination strategies. The authors apply all of the individual measures and their different combinations to three major global REIT markets (Australia, UK and US).
Findings
The findings show that both unconstrained and constrained versions of the regression-based combinations consistently rank among the group of best forecasters across the three markets under study. None of their peers can do it including the three simple combinations and all of the individual measures. The conclusions are robust to the choice of evaluation metrics and of the out-of-sample evaluation periods.
Originality/value
The study provides practitioners with easy-to-follow insights on how to forecast REIT volatility, that is, use a regression-based combination of individual realized measures. The study has also extended the thin real estate literature on using high-frequency data to examine REIT volatility.
Details
Keywords
Dean Tjosvold, Chun Hui and Ziyou Yu
The ability to reflect upon and manage their internal functioning may very much help teams contribute to their organizations. This study suggests that managing conflict…
Abstract
The ability to reflect upon and manage their internal functioning may very much help teams contribute to their organizations. This study suggests that managing conflict cooperatively and productively provides a foundation for effective team task reflexivity. 200 employees in 100 work teams in China completed measures of their team's cooperative, competitive, and avoiding approach conflict management and task reflexivity and 100 managers indicated the team's in‐role and extra‐role (organizational citizenship behavior) performance. Results support the theorizing that conflict management can contribute to team task reflexivity. Structural equation analyses were interpreted as suggesting that cooperative conflict management promotes task reflexivity that in turn results in team performance. These results, coupled with previous research, were interpreted as suggesting that cooperative approaches to conflict and task reflexivity are complementary foundations for effective teamwork.
Qiaoqi Lang, Jiqian Wang, Feng Ma, Dengshi Huang and Mohamed Wahab Mohamed Ismail
This paper verifies whether popular Internet information from Internet forum and search engine exhibit useful content for forecasting the volatility in Chinese stock market.
Abstract
Purpose
This paper verifies whether popular Internet information from Internet forum and search engine exhibit useful content for forecasting the volatility in Chinese stock market.
Design/methodology/approach
First, the authors’ study commences with several HAR-RV-type models, then the study amplifies them respectively with the posting volume and search frequency to construct HAR-IF-type and HAR-BD-type models. Second, from in-sample and out-of-sample analysis, the authors empirically investigate the interpretive ability, forecasting performance (statistic and economic). Third, various robustness checks are utilized to reconfirm the authors’ findings, including alternative forecast window, alternative evaluation method and alternative stock market. Finally, the authors further discuss the forecasting performance in different forecast horizons (h = 5, 10 and 20) and asymmetric effect of information from Internet forum.
Findings
From in-sample perspective, the authors discover that posting volume exhibits better analytical ability for Chinese stock volatility than search frequency. Out-of-sample results indicate that forecasting models with posting volume could achieve a superior forecasting performance and increased economic value than competing models.
Practical implications
These findings can help investors and decision-makers obtain higher forecasting accuracy and economic gains.
Originality/value
This study enriches the existing research findings about the volatility forecasting of stock market from two dimensions. First, the authors thoroughly investigate whether the Internet information could enhance the efficiency and accuracy of the volatility forecasting concerning with the Chinese stock market. Second, the authors find a novel evidence that the information from Internet forum is more superior to search frequency in volatility forecasting of stock market. Third, they find that this study not only compares the predictability of the posting volume and search frequency simply, but it also divides the posting volume into “good” and “bad” segments to clarify its asymmetric effect respectively.
Highlights
This study aims to verify whether posting volume and search frequency contain predictive content for estimating the volatility in Chinese stock market.
The forecasting model with posting volume can achieve a superior forecasting performance and increases economic value than competing models.
The results are robust in alternative forecast window, alternative evaluation method and alternative market index.
The posting volume still can help to forecast future volatility for mid- and long-term forecast horizons. Additionally, the role of posting volume in forecasting Chinese stock volatility is asymmetric.
Details
Keywords
The examination and identification of solvents and binder resins in particular has been discussed in detail previously. It is the sole purpose of this section to indicate the…
Abstract
The examination and identification of solvents and binder resins in particular has been discussed in detail previously. It is the sole purpose of this section to indicate the means available for obtaining these substances from finished paints in such a way as to facilitate their analysis. For example, the ASTM (15) has published a standard procedure for examining the solvent portion of paints by direct injection on to a GC. In this case, so as to prevent blockage of the column by the resin and pigment components, the sample was injected either via a glass injection port sleeve or on to a glass wool plug positioned in the heated injection port. Hence solvent analysis could be carried out without the need to apply any preliminary separation procedures. If however, both solvent and binder resin are to be examined then a procedure for separating these constituents must be applied.
When writing about any process designed to restrict, arrest or eliminate the atmospheric corrosion of iron or steel it is very tempting to catch the breath of the reader (and, one…
Abstract
When writing about any process designed to restrict, arrest or eliminate the atmospheric corrosion of iron or steel it is very tempting to catch the breath of the reader (and, one hopes, his interest) by quoting the cost of losses to ‘rust’. Unfortunately, the figures quoted are understandably arbitrary. They also vary considerably, but the most modest estimates put the annual cost in excess of one hundred million pounds sterling, in the U.K. alone. Therefore, any method which has proven that it can substantially reduce this tremendous waste must justify investigation.
Soye Peniel Asawo and Benibo Meeting George
The quality of the relationship between leaders and their followers appears to be one of the critical determinants of employees’ commitment at work. For instance, it has been…
Abstract
Purpose
The quality of the relationship between leaders and their followers appears to be one of the critical determinants of employees’ commitment at work. For instance, it has been empirically established that the impressions that managers convey of themselves to their subordinates, is a critical factor in the leader-follower relationship. The purpose of this paper is to examine the relationship between leaders’ intimidation impression management (IM) and subordinates’ affective job commitment in the telecommunications industry in Nigeria.
Design/methodology/approach
The design adopted for this study is the cross-sectional survey design. The questionnaire was utilized to generate data from a sample of 306 employees from the six major telecommunication companies in Nigeria. The Spearman Rank Correlation Coefficient was used as the inferential test statistic for assessing the relationship between leaders’ intimidation IM and subordinates’ affective job commitment.
Findings
The results showed that leaders’ threat, warning, fear-arousal, and discomfort-arousal all had significant but weak association with subordinates’ affective job commitment. The study thus found that as leaders apply intimidation IM strategies, workers’ sense of emotive attachment to their organization only improves minimally.
Research limitations/implications
Data were generated from employees, indicating that the outcome is based on their perception which may be skewed.
Practical implications
The outcome of the study will help managers in the Nigerian telecommunication industry to avoid the pitfalls that are associated with the arbitrary and excessive use of intimidation as an IM tactic. Rather, they would be guided to encourage good quality leader-member-exchange between them and their subordinates in enhancing individual and organizational performance.
Originality/value
This is the first main work to examine and identify the nature of the predictive effect of leaders’ intimidation IM on subordinates’ affective job commitment in the telecommunications industry in Nigeria.
Details
Keywords
Kerry Anne Bodle, Patti J. Cybinski and Reza Monem
The purpose of this paper is to investigate whether International Financial Reporting Standards (IFRS)-based data improve bankruptcy prediction over Australian Generally Accepted…
Abstract
Purpose
The purpose of this paper is to investigate whether International Financial Reporting Standards (IFRS)-based data improve bankruptcy prediction over Australian Generally Accepted Accounting Principles (AGAAP)-based data. In doing so, this paper focuses on intangibles because conservative accounting rules for intangibles under IFRS required managers to write off substantial amounts of intangibles previously capitalized and revalued upwards under AGAAP. The focus on intangibles is also motivated by empirical evidence that financially distressed firms are more likely to voluntarily capitalize and make upward revaluations of intangibles compared with healthy firms.
Design/methodology/approach
This paper analyses a sample of 46 bankrupt firms and 46 non-bankrupt (healthy) firms using a matched-pair design over the period 1991 to 2004. The authors match control firms on fiscal year, size (total assets), Global Industry Classification Standard-based industry membership and principal activities. Using Altman’s (1968) model, this paper compares the bankruptcy prediction results between bankrupt and non-bankrupt firms for up to five years before bankruptcy. In the tests, the authors use financial statements as reported under AGAAP and two IFRS-based data sets. The IFRS-based datasets are created by considering the adjustments on the AGAAP data required to implement the requirements of IAS 38, IFRS 3 and IAS 36.
Findings
This paper finds that, under IFRS, Altman’s (1968) model consistently predicts bankruptcy for bankrupt firms more accurately than under AGAAP for all of the five years prior to bankruptcy. This greater prediction accuracy emanates from smaller values of the inputs to Altman’s model due to conservative accounting rules for intangibles under IFRS. However, this greater accuracy in bankruptcy prediction comes with larger Type II errors for healthy firms. Overall, the results provide evidence that the switch from AGAAP to IFRS improves the quality of information contained in the financial statements for predicting bankruptcy.
Research limitations/implications
Small sample size and having data available over the required period may limit generalizability of findings.
Originality/value
Although bankruptcy prediction is one of the primary uses of accounting information, the burgeoning literature on the benefits of IFRS adoption has so far neglected the role of IFRS data in bankruptcy prediction. Thus, this paper documents a new benefit of IFRS adoption. In this paper, the authors demonstrate how the restrictions on the ability to capitalize and revalue intangibles enhance the quality of information used to predict bankruptcy. These results provide evidence to international standard setters of what they can expect if their efforts to remove non-restrictive accounting practices for intangibles are abandoned.
Details
Keywords
THE power plant for the Concord supersonic transport has evolved from an optimization study which showed that a medium‐pressure ratio turbojet would be the best compromise for a…
Abstract
THE power plant for the Concord supersonic transport has evolved from an optimization study which showed that a medium‐pressure ratio turbojet would be the best compromise for a transatlantic M=2•2 civil aircraft. The detail design of the engine intake and nozzle systems is currently proceeding in the Design Offices of British Aircraft Corporation and Bristol Siddeley Engines in England and S.N.E.C.M.A. in France.
The brief announcement that the Government had accepted that there should be regulations on open date marking of food, to come into effect in 1975, will come as no surprise. It is…
Abstract
The brief announcement that the Government had accepted that there should be regulations on open date marking of food, to come into effect in 1975, will come as no surprise. It is a timely reminder of what public pressure can achieve these days; how sustained advocacy and publicity by interested sectors of society—magistrates, local authorities, public health workers, consumer groups—can secure legislative changes which, in this case, run counter to trade opinions and the recommendation originally made by the Food Standards Committee that such a proposal was not practical and the existing law was an adequate protection. This was stated in the FSC Report on Food Labelling of 1964, although there was no indication of the evidence reviewed or that the subject had been considered very deeply; it was, after all, only a small fraction of the problem of food labelling control. It was also stated in this Report that in certain cases, date‐stamping of food could give to purchasers a false sense of security, “not justified by the conditions under which the food has been kept since manufacture”.