Angela Black, Roger Buckland and Patricia Fraser
Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there…
Abstract
Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility in the UK 1967‐2000, explains the methodology, plots the lagged 12‐month moving average of the annualized standard deviation for market, sector and sub‐sector returns; and relates it to economic events and the US pattern. Analyses further and finds that most of the time series variation in total variance is due to changes in market and sub‐sector variance. Compares the volatility of individual sectors and discusses the implications for portfolio risk and diversification. Considers consistency with other research, the underlying reasons for the findings and opportunities for further research.
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Angela J. Black and Patricia Fraser
Using data from the stock markets of Japan, the UK and the US, this paper examines thetime series properties of a price index derived from a zero net investment strategy of…
Abstract
Using data from the stock markets of Japan, the UK and the US, this paper examines the time series properties of a price index derived from a zero net investment strategy of buying value stocks and short selling growth stocks. We use the results of this analysis to consider implications for the validity of competing hypotheses on the source of the value premium. Overall, the results from this study indicate that the US value premium displays different characteristics to the value premiums for the UK and Japan. This has farreaching implications for financial modelling and for the success, or otherwise, of investment strategies based on the existence of a value premium.
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Patricia Fraser, Martin Hoesli and Lynn McAlevey
The purpose of this paper is to compare responses of house prices in three important markets when faced with permanent and temporary shocks to income. It additionally decomposes…
Abstract
Purpose
The purpose of this paper is to compare responses of house prices in three important markets when faced with permanent and temporary shocks to income. It additionally decomposes each historical house price series into its permanent, temporary and deterministic components.
Design/methodology/approach
Using quarterly data over 1973‐2008, two‐variable systems of house prices and income are specified for three major house‐owning economies: New Zealand (NZ), the United Kingdom (UK) and the United States of America (USA).
Findings
NZ and UK housing markets are sensitive to both permanent and temporary shocks to income, while the US market reacts to temporary shocks with the permanent component having a largely insignificant role to play in house price composition. In NZ, the temporary component of house prices has tended to be positive over time, pushing prices higher than they would have been otherwise; while in the UK, both permanent and temporary components have tended to reinforce each other.
Originality/value
The paper uses state‐of‐the‐art methods to analyse the relationships between income and house prices in three economies.
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This paper examines the Random Walk Hypothesis (RWH) for aggregate New Zealand share market returns, as well as the CRSP NYSE‐AMEX (USA) index during the 1980‐2001 period. Using…
Abstract
This paper examines the Random Walk Hypothesis (RWH) for aggregate New Zealand share market returns, as well as the CRSP NYSE‐AMEX (USA) index during the 1980‐2001 period. Using several indices, we rely on the variance‐ratio test and find evidence to support the rejection of the RWH with some evidence of a momentum effect. However, we find evidence to suggest the behaviour of share prices to be time‐dependent in New Zealand. For example, we find the indices tested were closer to random after the 1987 share market crash. Further analysis showed even stronger results for periods subsequent to the passage of the Companies Act 1993 and the Financial Reporting Act 1993. We also find evidence that indices based on large capitalisation stocks are more likely to follow a random walk compared to those based on smaller stocks. For the USA index, we find stronger evidence of random behaviour in our sample period compared to the earlier period examined by Lo and Mackinlay (1988)
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Gregory Costello, Patricia Fraser and Garry MacDonald
This paper aims to analyze the impact of common monetary policy shocks on house prices at national and capital city levels of aggregation, using Australian data and the Lastrapes…
Abstract
Purpose
This paper aims to analyze the impact of common monetary policy shocks on house prices at national and capital city levels of aggregation, using Australian data and the Lastrapes (2005) two-part structural vector autoregressive (SVAR) empirical method.
Design/methodology/approach
The Lastrapes (2005) two-part SVAR empirical method is applied to Australian housing market and macroeconomic data to assess the impact of common monetary policy shocks on house prices.
Findings
Results show that while the impact of shocks to interest rates on aggregate house prices is almost neutral, the responses of state capital city house prices to the same shock can exhibit significant asymmetries.
Originality/value
This paper contributes to the monetary policy–asset price debate by examining the influence of Australian monetary policy on capital city housing markets over the period 1982-2012. To the authors’ knowledge, this is the first empirical study that has adapted this Lastrapes (2005) methodology to the analysis of housing markets.
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Norman Hutchison, Patricia Fraser, Alastair Adair and Rahul Srivatsa
The aim of this paper is to consider the appropriate benchmark risk free rate sui for pricing of property investments in the UK and, in doing so, investigate the financial…
Abstract
Purpose
The aim of this paper is to consider the appropriate benchmark risk free rate sui for pricing of property investments in the UK and, in doing so, investigate the financial characteristics and performance of the UK gilt yields. European investors have been significant players in the UK commercial property market during the last decade and in order to be competitive in bidding situations with UK‐based investors, require to be aware of the pricing criteria adopted.
Design/methodology/approach
This paper analyses the stability, yield distribution and volatility of both conventional gilts and index‐linked gilts with different maturities over the period 1980‐2010. It considers the changing structure of the UK commercial property market and reports on a questionnaire survey of the UK property investment community, which focused on the rationale behind the selection of the appropriate risk free rate of return.
Findings
The analysis suggests that ten‐year index‐linked gilts have been the most stable, but that if conventional gilts are preferred, then five‐year nominal appear to be more stable than ten‐year nominal; ten‐year real yields are smoother and relatively less volatile. In the authors' survey of the UK property investment fund managers and their advisors, the majority, but by no means all of the respondents, used the ten‐year nominal gilt yield as their risk free rate of return. However, questions were raised as to whether it was appropriate to use spot or average gilt yields, particularly when rates in 2009/2010 had fallen to such low level.
Originality/value
The findings provide a better understanding of how the different maturities of gilts behave. Insight is given on the criteria adopted by investors when selecting the risk free rate.
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Abstract
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Student speech has and continues to be a contested issue in schools. While the Supreme Court ruled in Tinker that students do not shed their rights at the schoolhouse gate, in the…
Abstract
Student speech has and continues to be a contested issue in schools. While the Supreme Court ruled in Tinker that students do not shed their rights at the schoolhouse gate, in the Kuhlmeier and Fraser decisions the Court gave school officials greater latitude in regulating student speech, especially when it bears the imprimatur of the school. However, in its Frederick decision, the Court established school officials as the arbiters of the meaning of student speech. This chapter will explore the underlying values in schools that rejected the speech of Fraser while accepting the speech act of cheerleaders’ dance routines. It will examine how the interpretation of these speech acts by school officials contributes to gender reproduction, with all the inequalities imposed.
Daniela Patricia Blettner and Simon Gollisch
This study aims to elucidate reference points and organizational identity in letters to shareholders (LTSs) of publishing companies and develops propositions on their relation to…
Abstract
Purpose
This study aims to elucidate reference points and organizational identity in letters to shareholders (LTSs) of publishing companies and develops propositions on their relation to strategic adaptation. This study examines how characteristics of reference points (number, temporality and specificity) and organizational identity (focus, discontinuity and distinctiveness) relate to strategic adaptation. This research advances performance feedback theory and behavioral strategy by presenting rich data on how managers use reference points. This study also theorizes on the role of organizational identity as an observation frame. Finally, this study informs managers on how they can adapt reference points and organizational identity to drive strategic adaptation in their organizations.
Design/methodology/approach
This paper uses text analysis of LTSs of eight companies in the global publishing industry over six years. The research design is an exploratory, comparative case study.
Findings
The authors present the findings of rich empirical data analysis of reference points and organizational ideology, develop a typology and propose three proposed relationships. This paper develops three propositions on how characteristics of reference points (number, temporality and specificity) and organizational identity (focus, discontinuity and distinctiveness) relate to strategic adaptation.
Originality/value
This study elucidates reference points that managers use when they make sense of performance feedback. This study further develops a typology of reference points and suggests propositions on how reference points and organizational identity relate to strategic adaptation. The novel linguistic approach to revealing reference points-in-use and the study of decision-making in its empirical context contribute to a better understanding of the micromechanims of decision-making that are central to behavioral strategy.
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Wanfeng Zhu, Petia Venkova Sice, Wenchun Zhang, Krystyna Krajewska and Zhangyang Zhao
The purpose of this paper is to bring into the public domain converging ways of thinking about reality and human systems, exploring parallels between the theory of Physical Vacuum…
Abstract
Purpose
The purpose of this paper is to bring into the public domain converging ways of thinking about reality and human systems, exploring parallels between the theory of Physical Vacuum and the concept of Qi in Medical Qigong science.
Design/methodology/approach
The approach adopted in this paper includes: review of the relevant literature; dialogues between the first two authors over an eight-month period; review of the findings and discussion of interpretations by all.
Findings
There is evidence for the existence of an ideal information field. This field is a real space-time torsion structure. Qi is a torsion field. It spreads with superluminal velocity and connects the whole Universe. Any entity is in a constant dynamic connection with everything else in the Universe.
Research limitations/implications
This paper offers limited discussion of the wider area of scientific discoveries.
Social implications
The findings may impact future interdisciplinary research, health/well-being practices and public policy.
Originality/value
There is no known to us publication interpreting the parallels between the theory of the Physical Vacuum and the concept of Qi.