Contemporary literature reveals that, to date, the poultry livestock sector has not received sufficient research attention. This particular industry suffers from unstructured…
Abstract
Contemporary literature reveals that, to date, the poultry livestock sector has not received sufficient research attention. This particular industry suffers from unstructured supply chain practices, lack of awareness of the implications of the sustainability concept and failure to recycle poultry wastes. The current research thus attempts to develop an integrated supply chain model in the context of poultry industry in Bangladesh. The study considers both sustainability and supply chain issues in order to incorporate them in the poultry supply chain. By placing the forward and reverse supply chains in a single framework, existing problems can be resolved to gain economic, social and environmental benefits, which will be more sustainable than the present practices.
The theoretical underpinning of this research is ‘sustainability’ and the ‘supply chain processes’ in order to examine possible improvements in the poultry production process along with waste management. The research adopts the positivist paradigm and ‘design science’ methods with the support of system dynamics (SD) and the case study methods. Initially, a mental model is developed followed by the causal loop diagram based on in-depth interviews, focus group discussions and observation techniques. The causal model helps to understand the linkages between the associated variables for each issue. Finally, the causal loop diagram is transformed into a stock and flow (quantitative) model, which is a prerequisite for SD-based simulation modelling. A decision support system (DSS) is then developed to analyse the complex decision-making process along the supply chains.
The findings reveal that integration of the supply chain can bring economic, social and environmental sustainability along with a structured production process. It is also observed that the poultry industry can apply the model outcomes in the real-life practices with minor adjustments. This present research has both theoretical and practical implications. The proposed model’s unique characteristics in mitigating the existing problems are supported by the sustainability and supply chain theories. As for practical implications, the poultry industry in Bangladesh can follow the proposed supply chain structure (as par the research model) and test various policies via simulation prior to its application. Positive outcomes of the simulation study may provide enough confidence to implement the desired changes within the industry and their supply chain networks.
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This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test…
Abstract
This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the effect of change in trading volume is excluded from the return of a stock with a significant contemporaneous correlation between return and change in trading volume in the post-2000 market. The results appear in both the Korea Composite Stock Price Index and Korea Securities Dealers Automated Quotation. This phenomenon stems from the significance of the return response to change in trading volume per se and not the sign of the response. Additionally, the findings imply that the trading volume has a term structure because of the mean reversion of the trading volume and the return also has a partial term structure because of the contemporaneous correlation between return and change in trading volume. This conclusion suggests that considering the short-term impact of change in trading volume enables a more efficient observation of the market and avoidance of asset misallocation.
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This paper aims to evaluate the impact of the COVID-19 pandemic on the performance of travel cryptocurrency and stock markets over a long period during the pandemic.
Abstract
Purpose
This paper aims to evaluate the impact of the COVID-19 pandemic on the performance of travel cryptocurrency and stock markets over a long period during the pandemic.
Design/methodology/approach
A generalized autoregressive conditional heteroskedasticity model was developed for 6 travel cryptocurrencies and the top 10 hotel, 7 airline and 26 restaurant stocks listed on the NASDAQ stock exchange. An event-study approach was applied to the emergence of the novel coronavirus and its variant, Omicron. Additionally, abnormal returns of the respective assets in response to such events were estimated.
Findings
Results indicated that the travel cryptocurrency market did not respond to the early stage of the pandemic, but NASDAQ hotel, restaurant and airline stocks revealed abnormal negative returns when the pandemic manifested in the USA. Upon the official US declaration of a pandemic, both cryptocurrencies and tourism stocks showed abnormal negative returns, but these were considerably greater among stocks than cryptocurrencies. Conversely, in response to the Omicron variant, only hotel, restaurant and airline stocks showed abnormal negative returns.
Practical implications
These results imply that travel cryptocurrencies are a financial instrument independent of hotel, restaurant or airline stocks. Thus, adopting travel cryptocurrencies may help investors and businesses diversify risk during long-duration crises such as COVID-19.
Originality/value
To the best of the author’s knowledge, this paper is the first empirical study to investigate the impact of the COVID-19 pandemic on the recently emerging travel cryptocurrency market using an event-study approach to investigate how it differs from tourism stock performances.
研究目的
本文评估了 COVID 大流行在疫情期间很长一段时间对旅游加密货币和股票市场表现的影响。
研究设计/方法/途径
为 6 种旅行加密货币和纳斯达克证券交易所上市的前 10 大酒店、7 家航空公司和 26 家餐厅股票开发了 GARCH(广义自回归条件异方差)模型。 将事件研究方法应用于新型冠状病毒及其变种 Omicron 的出现。 此外, 还估计了相应资产因此类事件而产生的异常收益。
研究发现
结果表明, 旅游加密货币市场对疫情初期没有反应, 但纳斯达克酒店、餐厅和航空公司股票在美国出现疫情时出现异常负回报。 在美国正式宣布大流行后, 加密货币和旅游股均出现异常负回报, 但股票中的负回报要远高于加密货币。 相反, 作为对 Omicron 变体的回应, 只有酒店、餐厅和航空股出现异常的负回报。
实际意义
这些结果表明, 旅行加密货币是一种独立于酒店、餐厅或航空公司股票的金融工具。因此, 采用旅游加密货币可能有助于投资者和企业在 COVID-19 等长期危机期间分散风险。
原创性/价值
本文是第一份旨在调查 COVID-19 大流行对最近新兴的旅游加密货币市场的影响的实证研究, 并使用事件研究方法来调查它与旅游股票表现有何不同。
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Daniel Liston-Perez and Juan Pablo Gutierrez
The purpose of this paper is to examine the temporal impact of individual and institutional investor sentiment on sin stock returns.
Abstract
Purpose
The purpose of this paper is to examine the temporal impact of individual and institutional investor sentiment on sin stock returns.
Design/methodology/approach
The authors estimate vector autoregressive models (VARs) to assess the dynamic relationships amongst pure sin returns and both types of investor sentiment. The justification for estimating VARs is that it allows one to study the potential influence that shocks (i.e. innovations) in individual and institutional investor sentiment might have on pure sin returns over time. Sin stock returns are separated into a market-based and pure sin component. Additionally, the authors split both measures of investor sentiment into rational- and irrational-based components.
Findings
This study finds that shocks to both individual and institutional rational-based sentiment positively influence pure sin returns for up to four months. However, irrational-based shocks have a positive, weaker and insignificant effect on pure sin returns. In addition, the results for the pure sin portfolio are compared to the S&P 500 and a comparables portfolio. The results show that sin stocks are less responsive than the S&P and the comparables portfolio to shocks in investor sentiment.
Originality/value
This study addresses some of the limitations found in the only prior study of sin stocks and investor sentiment (Perez Liston, 2016). Specially, this study investigates the link between sin stocks and sentiment in a dynamic context and also focuses the analysis on pure sin returns.
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Valeed Ahmad Ansari and Soha Khan
This paper aims to examine the presence of momentum profit in the Indian stock market and seeks to explore the sources of momentum profit employing both risk based and behavioral…
Abstract
Purpose
This paper aims to examine the presence of momentum profit in the Indian stock market and seeks to explore the sources of momentum profit employing both risk based and behavioral models. R2, idiosyncratic volatility, and delay measures are employed in order to test behavioral models.
Design/methodology/approach
The paper follows Jegadeesh and Timan's methodology in constructing momentum portfolios.
Findings
The study finds strong presence of momentum profits in India during 1995‐2006. The risk based models such as CAPM and Fama‐French fail to account for the phenomenon. Idiosyncratic risk exhibits a positive relation with momentum, lending support to behavioural factors as source of momentum phenomenon.
Practical implications
In forming portfolios, selecting the stocks which have been winners in the last three and six months can help investors and fund mangers earn substantial profit.
Originality/value
The study employs behavioral variables to explain the momentum phenomenon. In the Indian context it is an unexplored area.
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The accounting literature has traditionally focused on firm-level studies to examine the capital market implications of earnings and other accounting variables. We first develop…
Abstract
The accounting literature has traditionally focused on firm-level studies to examine the capital market implications of earnings and other accounting variables. We first develop the arguments for studying capital market implications at the aggregate level as well. A central issue is that diversification makes equity investors at least partially and potentially almost completely immune to several firm-level properties of earnings by holding diversified portfolios. Diversification is particularly important when assessing the welfare consequences of random errors in accounting measurement (imperfect accruals) and, to the extent it is independent across firms, of deliberate manipulation (earnings management). Consequently, some firm-level metrics of association, timeliness, value relevance, conservatism and other earnings properties do not map easily into investor welfare. Similarly, earnings-related risk manifests itself to equity investors largely through systematic earnings risk (covariation with aggregate earnings and/or other macroeconomic indicators). We conclude that the design and evaluation of financial reporting must adopt at least in part an aggregate perspective. We then summarize the literature in accounting, economics and finance on aggregate earnings and stock prices. Our review highlights the importance of studying earnings at the aggregate level.
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Xiyang Li, Bin Li, Tarlok Singh and Kan Shi
This study aims to draw on a less explored predictor – the average correlation of pairwise returns on industry portfolios – to predict stock market returns (SMRs) in the USA.
Abstract
Purpose
This study aims to draw on a less explored predictor – the average correlation of pairwise returns on industry portfolios – to predict stock market returns (SMRs) in the USA.
Design/methodology/approach
This study uses the average correlation approach of Pollet and Wilson (2010) and predicts the SMRs in the USA. The model is estimated using monthly data for a long time horizon, from July 1963 to December 2018, for the portfolios comprising 48 Fama-French industries. The model is extended to examine the effects of a longer lag structure of one-month to four-month lags and to control for the effects of a number of variables – average variance (AV), cyclically adjusted price-to-earnings ratio (CAPE), term spread (TS), default spread (DS), risk-free rate returns (R_f) and lagged excess market returns (R_s).
Findings
The study finds that the two-month lagged average correlation of returns on individual industry portfolios, used individually and collectively with financial predictors and economic factors, predicts excess returns on the stock market in an effective manner.
Research limitations/implications
The methodology and results are of interest to academics as they could further explore the use of average correlation to improve the predictive powers of their models.
Practical implications
Market practitioners could include the average correlation in their asset pricing models to improve the predictions for the future trend in stock market returns. Investors could consider including average correlation in their forecasting models, along with the traditional financial ratios and economic indicators. They could adjust their expected returns to a lower level when the average correlation increases during a recession.
Social implications
The finding that recession periods have effects on the SMRs would be useful for the policymakers. The understanding of the co-movement of returns on industry portfolios during a recession would be useful for the formulation of policies aimed at ensuring the stability of the financial markets.
Originality/value
The study contributes to the literature on three counts. First, the study uses industry portfolio returns – as compared to individual stock returns used in Pollet and Wilson (2010) – in constructing average correlation. When stock market becomes more volatile on returns, the individual stocks are more diverse on their performance; the comovement between individual stock returns might be dominated by the idiosyncratic component, which may not have any implications for future SMRs. Using the industry portfolio returns can potentially reduce such an effect by a large extent, and thus, can provide more reliable estimates. Second, the effects of business cycles could be better identified in a long sample period and through several sub-sample tests. This study uses a data set, which spans the period from July 1963 to December 2018. This long sample period covers multiple phases of business cycles. The daily data are used to compute the monthly and equally-weighted average correlation of returns on 48 Fama-French industry portfolios. Third, previous studies have often ignored the use of investors’ sentiments in their prediction models, while investors’ irrational decisions could have an important impact on expected returns (Huang et al., 2015). This study extends the analysis and incorporates investors’ sentiments in the model.
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Richard J. Briston and Richard Dobbins
Institutional investors—insurance companies, pension funds, investment trust companies and unit trusts—have increased significantly and persistently their ownership of British…
Abstract
Institutional investors—insurance companies, pension funds, investment trust companies and unit trusts—have increased significantly and persistently their ownership of British industry. At the end of 1977 they owned approximately 46 per cent of the ordinary shares in UK quoted companies and in recent years have accounted for over 50 per cent of stock market turnover in UK equities. Their presence in the stock market has been associated with their ability to influence share prices, decide the outcome of takeover battles, and trade outside the London Stock Exchange. As major shareholders in public companies they have been encouraged to participate in managerial decision‐making. For corporate management, the growth of institutional shareholdings provides opportunities to utilise their voting power in takeover situations, encourage their support for the market value of the company, and use financial institutions as sources of new capital.
The purpose of this paper is to test the efficacy of an application of modern portfolio theory (MPT) from 2000 through 2009, a period during which the annual rate of return on the…
Abstract
Purpose
The purpose of this paper is to test the efficacy of an application of modern portfolio theory (MPT) from 2000 through 2009, a period during which the annual rate of return on the S & P 500 is negative. The financial media have called this period “the lost decade” for investors.
Design/methodology/approach
Using monthly data, the author uses a series of annual out-of-sample tests to compare the risk-reward performances of MPT portfolios against those of the S & P 500.
Findings
The author finds that the MPT portfolios outperformed the S & P 500. During the “lost decade”. They generated a cumulative return of over 77 percent compared to a cumulative return of −9.1 percent on the S & P 500. Moreover, the MPT portfolio β’s are low, ranging from 0.45 to 1.01, suggesting above-average risk-reward performances.
Research limitations/implications
The MPT portfolios are relatively small, and might not be well diversified. That said, they comprise a core set of securities that could help investors achieve a risk-reward performance that exceeds that of the S & P 500.
Practical implications
The results suggest that investors should not overlook the potential of MPT, despite its theoretical and practical limitations, to provide above-average returns at below-average risks.
Originality/value
This is the first study to show the efficacy of MPT during a period in which it was criticized at having failed investors when they needed it most.
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Fotini Economou, Konstantinos Gavriilidis, Bartosz Gebka and Vasileios Kallinterakis
The purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading…
Abstract
Purpose
The purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading patterns observed historically in financial markets. Specifically, the authors aim to synthesize the diverse theoretical approaches to feedback trading in order to provide a detailed discussion of its various determinants, and to systematically review the empirical literature across various asset classes to gauge whether their feedback trading entails discernible patterns and the determinants that motivate them.
Design/methodology/approach
Given the high degree of heterogeneity of both theoretical and empirical approaches, the authors adopt a semi-systematic type of approach to review the feedback trading literature, inspired by the RAMESES protocol for meta-narrative reviews. The final sample consists of 243 papers covering diverse asset classes, investor types and geographies.
Findings
The authors find feedback trading to be very widely observed over time and across markets internationally. Institutional investors engage in feedback trading in a herd-like manner, and most noticeably in small domestic stocks and emerging markets. Regulatory changes and financial crises affect the intensity of their feedback trades. Retail investors are mostly contrarian and underperform their institutional counterparts, while the latter's trades can be often motivated by market sentiment.
Originality/value
The authors provide a detailed overview of various possible theoretical determinants, both behavioural and non-behavioural, of feedback trading, as well as a comprehensive overview and synthesis of the empirical literature. The authors also propose a series of possible directions for future research.