To extend to electromagnetism the acoustic wave reflections on time reversal mirrors used in medical imaging, nondestructive testing and underwater acoustics.
Abstract
Purpose
To extend to electromagnetism the acoustic wave reflections on time reversal mirrors used in medical imaging, nondestructive testing and underwater acoustics.
Design/methodology/approach
Recent works (1993‐2004) analyse the reflection of acoustic waves on time reversal mirror. To perform the same job in electromagnetism, the behaviour of the electromagnetic field tensor under the space and time inversions of the referential is investigated and also, when in addition an exchange of two coordinates exists. All these reflections are supposed obtained from perfect but unconventional mirrors.
Findings
Electromagnetic reflections on unconventional mirrors have remarquable features since some of them give birth to a real twin source of the incident source with an opposite polarization.
Practical implications
The techniques used in acoustic to manufacture time reversal mirrors can be used in electromagnetism with possible applications of such mirrors for instance in cameras to avoid reversed photographs but no information on practical realizations has appeared in the open literature.
Orginality/value
Extends research on electromagnetism.
Details
Keywords
The divergence equations in Maxwell’s theory are Gauss law and the statement that magnetic monopoles do not exist; from this point of view these two equations are fundamental…
Abstract
The divergence equations in Maxwell’s theory are Gauss law and the statement that magnetic monopoles do not exist; from this point of view these two equations are fundamental. However, from a practical point of view, it is generally believed that Maxwell’s divergence equations are redundant and may be ignored provided that they are satisfied at some time t‐0. It has been proved recently that this idea is not correct for boundary‐initial value problems. To make mathematical arguments more accessible, we analyse here the role of the divergence equations in the framework of 2D‐electromagnetism.
Details
Keywords
The purpose of this paper is to study the effects of hedging with options and cardinality constraints in multi‐period portfolio management systems.
Abstract
Purpose
The purpose of this paper is to study the effects of hedging with options and cardinality constraints in multi‐period portfolio management systems.
Design/methodology/approach
The paper focuses on a recursive multi‐period portfolio management formulation (SHAREX) subject to hedging with cardinality constraints and options. The problem formulation is tested with observed and simulated data.
Findings
The yield of the multi‐period cardinality constrained option hedging framework under integer‐valued transactions and fixed and variable transactions costs exceeds the riskless return predicted by the Black‐Scholes model in equilibrium.
Originality/value
The paper demonstrates that the multiple representations framework constructed to generate optimal predictions provides accurate forecasts with obvious value for portfolio management.
Details
Keywords
Ali A. Awad, Radhi Al-Hamadeen and Malek Alsharairi
This paper aims to examine and compare the dividend ratios’ statistical and economic ability to predict the equity premium in the UK and US markets and two US sub-indices (S&P 500…
Abstract
Purpose
This paper aims to examine and compare the dividend ratios’ statistical and economic ability to predict the equity premium in the UK and US markets and two US sub-indices (S&P 500 Growth and S&P 500 Value).
Design/methodology/approach
In this paper, the authors use the linear regression models to examine the dividend ratios’ statistical ability to predict the equity premium. The in-sample and out-of-sample approaches, including Diebold and Mariano (1995) statistics, and Goyal and Welch’s (2003) graphical approach, are used. Also, the mean-variance analysis is used to test the economic significance.
Findings
The paper findings indicate that the dividend ratios have in-sample and out-of-sample predictive abilities in both UK and US markets and both US sub-indices. However, the results show that the dividend ratios have a less impressive predictive ability in the US market compared to the UK market and less in the US value index than the US growth index. This could indicate that there is no relation between the number of companies that distribute dividends in each index and the informativeness of dividends ratios. Furthermore, the tests show the dividend ratios’ predictive ability departure during particular periods and in some indices.
Research limitations/implications
Results and implications of this research are exclusively applied to the US and UK markets. These results can also be applied with caution to other markets, taking into consideration the distinctive characteristics of these markets.
Practical implications
Results revealed in this paper imply that the investors in any of the indices may experience economic gain by adopting a dynamic trading strategy using the information content of the dividend ratios prediction models instead of the benchmark model, which is the prevailing simple moving average model.
Originality/value
This paper adds value through testing the prediction models’ economic significance in two well-developed markets, in addition to exploring the relationship between the number of companies distributing cash dividends and the dividends ratio prediction ability. Unlike most of the previous studies in which dividend ratios’ prediction ability is attributed to the number of companies that distribute dividends in the market, this paper denied this interpretation by studying two S&P 500 sub-indices. To the best of the authors’ knowledge, this is the first study to test the prediction models’ ability for these sub-indices.
Details
Keywords
Ruzita Abdul Rahim and Othman Yong
The purpose of this paper is to investigate the initial return patterns of Malaysian initial public offerings (IPOs) and whether shari'a‐compliant status would alter such patterns.
Abstract
Purpose
The purpose of this paper is to investigate the initial return patterns of Malaysian initial public offerings (IPOs) and whether shari'a‐compliant status would alter such patterns.
Design/methodology/approach
The effect of shari'a‐compliant status on the patterns of initial return of IPOs is analyzed using a sample of 386 IPOs issued between January 1999 and December 2007.
Findings
The preliminary results indicate that over the study period, the initial returns of Malaysian IPOs drop substantially from 94.91 percent reported from the pre‐crisis period of 1990‐1998 to 31.99 percent, a level more comparable to that reported in advanced markets. Since the initial returns do not revert to pre‐crisis levels, the new low IPO underpricing trend is more likely to be associated with the removal of pricing restraints. The results of regression analyses on the full sample, however, suggest that there is no drastic change with respect to factors that drive initial returns in Malaysian IPOs. With regards to shari'a‐compliant status, IPOs of this subsample show similar profiles to those of non‐shari'a counterparts. However, other than demand, the two subsamples are driven by different factors. Initial returns of shari'a‐compliant IPOs are driven by the size and type of offers, whereas those of the non‐shari'a IPOs are driven by risks.
Research limitations/implications
Future studies should re‐examine the issue by taking into consideration the extensiveness of a firm's compliance to shari'a rules and other predictor variables.
Originality/value
This paper is one of the first to examine the effect of shari'a‐compliant status on the performance of IPOs.
Details
Keywords
The purpose of this paper is to examine the potential gains in hedge ratio calculation for agricultural commodities by incorporating market linkages and prices of related…
Abstract
Purpose
The purpose of this paper is to examine the potential gains in hedge ratio calculation for agricultural commodities by incorporating market linkages and prices of related commodities into the hedge ratio estimation process.
Design/methodology/approach
A vector autoregressive multivariate generalized autoregressive conditional heteroskedasticity (VAR‐MGARCH) model is used to construct a time‐varying correlation matrix for commodity prices across linked markets and across linked commodities. The MGARCH model is estimated using a two‐step approach, which allows for a large system of related prices to be estimated.
Findings
In‐sample and out‐of‐sample portfolio variance comparison among no hedge, bivariate GARCH, and MGARCH models indicates that hedge ratios estimated using the MGARCH approach reduce agricultural producers' and commercial consumers' risks in futures market participation.
Research limitations/implications
The application is limited to an examination of Montana wheat markets.
Practical implications
Agricultural producers who use futures markets to reduce market risk will have a better method for determining hedging positions, because MGARCH estimated hedge ratios incorporate more information than hedge ratios estimated using existing practices.
Social implications
Portfolio variance reduction is analogous to utility improvement for agricultural producers. More efficient hedging strategies can lead to better implementation of futures markets and increased social welfare.
Originality/value
This research substantially extends current literature on agricultural hedge strategies by illustrating the advantages of using an hedge ratio estimation approach that incorporates important information about prices at linked markets and prices of other commodities. Providing evidence that market portfolio variance can be lowered using the multivariate estimation approach, the research offers commercial agricultural producers and consumers a practical tool for improving futures market strategies.
Details
Keywords
Anlin Chen, Li‐Wei Chen and Lanfeng Kao
The purpose of this paper is to examine the long‐run performance of initial public offerings (IPOs) in Taiwan with a five‐factor model on a calendar time basis.
Abstract
Purpose
The purpose of this paper is to examine the long‐run performance of initial public offerings (IPOs) in Taiwan with a five‐factor model on a calendar time basis.
Design/methodology/approach
Besides the Fama‐French three factors, the paper also incorporates leverage and liquidity into the factor model to measure IPO five‐year performance. The sample consists of 261 IPOs issued in Taiwan over‐the‐counter during 1991 and 2002. The actual data cover the period from January 1991 to December 2007.
Findings
Contrary to findings of previous studies on US IPO markets, the paper finds that Taiwan IPOs experience better long‐run performance than the market even after adjusting for the common factors in the capital markets.
Originality/value
This paper argues that survival rate of Taiwan IPOs would be the reason why Taiwan IPOs do not underperform in the long run.
Details
Keywords
Francisca Beer, Badreddine Hamdi and Mohamed Zouaoui
The purpose of this paper is to examine whether investors’ sentiment affects accruals anomaly across European countries.
Abstract
Purpose
The purpose of this paper is to examine whether investors’ sentiment affects accruals anomaly across European countries.
Design/methodology/approach
The authors estimate the model using Fama–MacBeth regressions. The sample includes 54,572 firm-year observations for 4,787 European firms during the period 1994–2014.
Findings
The authors find that investors’ sentiment influences accruals mispricing across European countries. The effect is pronounced for stocks whose valuations are highly subjective and difficult to arbitrage. The cross-country analysis provides evidence that sentiment influences accruals anomaly in countries with weaker outside shareholder rights, lower legal enforcement, lower equity market development, higher allowance of accrual accounting and in countries where herd-like behavior and overreaction behavior are strong.
Research limitations/implications
The findings suggest the generalizability of the sentiment-accruals anomaly relation in European countries characterized by different cultural values, levels of economic development and legal tradition.
Practical implications
The findings suggest to caution individuals investors. These investors would be wise to take into account the impact of sentiment on the performance of their portfolio. They must keep in mind that periods of high optimism are accompanied by a high level of accruals and followed by low future stock returns.
Originality/value
The research supplements previous American studies by showing the significance of the level of sentiment in understanding the accruals anomaly in Europe. Hence, it is important for future studies to consider investor sentiment as an important time-series determinant of the accruals anomaly, particularly for stocks that are hard to value and difficult to arbitrage.
Details
Keywords
Using the Jefimenko generalization of the Biot‐Savart law and the Laplace transform we analyse the electromagnetic radiation of a vertical dipole antenna fed with a pulsed…
Abstract
Using the Jefimenko generalization of the Biot‐Savart law and the Laplace transform we analyse the electromagnetic radiation of a vertical dipole antenna fed with a pulsed current. We get the magnetic field from the vector potential directly while the electric field is obtained through Maxwell’s equations. We write explicitly the expressions of the electromagnetic field for an exponentially decaying pulse and for a truncated harmonic pulse in vacuum and in a dispersive dielectric of the ionosphere type.
Details
Keywords
Mahtab Athari, Atsuyuki Naka and Abdullah Noman
This paper aims to achieve two main objectives. The first is to introduce a suitable adjustment to the conventional dividend-price ratio, which would address econometric concerns…
Abstract
Purpose
This paper aims to achieve two main objectives. The first is to introduce a suitable adjustment to the conventional dividend-price ratio, which would address econometric concerns and improve the predictability of the equity premium. The second is to compare the predictive performance of the newly introduced adjusted dividend-price ratio with the conventional dividend-price ratio.
Design/methodology/approach
The authors hypothesize that the adjusted dividend-price ratio will have better predictive power and forecasting quality for equity premium compared to the conventional dividend-price ratio. To test the hypothesis, the authors predict equity premium with both variables on a sample of 11 developed and emerging market indexes over a period spanning June 1995 to March 2017. To accommodate time variation in parameter values or structural breaks in the data, the authors conducted a fixed window rolling regressions using both variables. A variety of forecast techniques including magnitude and sign accuracy measures are applied to compare the performance of forecasts.
Findings
The adjusted dividend-price ratio is shown to be stationary and has both lower persistence and variability compared with the conventional dividend-price ratio. The authors find that the adjusted dividend-price ratio provides superior out-of-sample (OOS) performance compared to the conventional dividend-price ratio, for both size and sign accuracy, in forecasting equity premium for the majority of the countries in the sample.
Research limitations/implications
This paper introduces an easy-to-follow modification in the conventional dividend-price ratio that can be replicated by researchers and practitioners alike. However, the study has a limitation in that it does not capture the impact of dividend-paying firms within each index on the predictive ability of the adjusted dividend-price ratio.
Practical implications
The knowledge of equity premium predictability is important in implementing market-timing strategies and could be beneficial for portfolio and risk management. The newly introduced variable is easy to construct using widely available data without the need for complex econometric estimation. Investors can use this variable to predict equity premiums in international markets, both developed and emerging. The findings of this paper will be relevant to financial analysts, portfolio managers, investors and researchers in international finance. For example, by using the adjusted dividend-price ratio, investors would see up to 0.5% improvement in their OOS monthly forecasts of the equity premium.
Originality/value
To the best of the authors’ knowledge, this is the first paper that proposes adjustment in the conventional dividend-price ratio based on the past observations of the most recent quarter. In this way, the paper offers fresh insight that dividend-price ratio is still useful to predict equity premium albeit, after some adjustments and modifications. The findings of the paper would result in renewed interest in using the dividend-price ratio as a predictor of the equity premium.