Recent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range (R/S) analysis have not found…
Abstract
Recent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range (R/S) analysis have not found evidence of a mean reversion or ergodic process. Instead, evidence from these studies indicate either long term persistence in a nonperiodic cycle or short run Markovian dependence with no long term persistence. The purpose of this paper is to study the issue of long term dependence using rescaled range analysis. The empirical results obtained in this study support the persistent dependence/nonperiodic cycle results and suggest that the dependence arises from the general economic cycle.
This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.
Abstract
Purpose
This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.
Design/methodology/approach
The closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.
Findings
Although no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.
Originality/value
First, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.
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David Stowell and Alexander Katz
This case considers the buyout of Panera Bread from the perspective of a private equity fund. In early 2017, KLG Managing Director Tom Denning is considering a leveraged buyout of…
Abstract
This case considers the buyout of Panera Bread from the perspective of a private equity fund. In early 2017, KLG Managing Director Tom Denning is considering a leveraged buyout of Panera Bread, a rapidly growing fast-casual restaurant company. A surprising Bloomberg News story signals that the deal process is broadening and KLG will have to act quickly if it hopes to buy Panera Bread. Students assume the role of Tom Denning as he prepares an investment recommendation for KLG's investment committee. In doing so, students are required to consider a very large and expensive investment. Students are challenged to create an investment recommendation by performing due diligence, determining additional questions to ask, and pricing a buyout bid that incorporates an optimal capital structure and meets KLG's return requirements. The Panera Bread case is designed to give students insight into the private equity investment process.
Details
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Keywords
The purpose of this paper is to investigate the time series behavior of co‐movements among 11 European real estate securities markets, with each other as well as between…
Abstract
Purpose
The purpose of this paper is to investigate the time series behavior of co‐movements among 11 European real estate securities markets, with each other as well as between country‐averages, over the sample period from January 1999 to January 2010 by utilizing the asymmetric dynamic conditional correlation (ADCC) technique, long‐memory tests and multiple structural break methodology.
Design/methodology/approach
First the ADCC from the multivariate GJR‐GARCH model is used to estimate the pair‐wise conditional correlations between the 11 securitized real estate markets. Then, the 11 country‐average conditional correlation series is subject to a battery of four long‐memory tests to form an “on the balance of evidence” picture; the semi‐parametric Geweke and Porter‐Hudak procedure and Robinson test, as well as the non‐parametric Hurst‐Mandelbrot R/S and Lo's modified R/S tests. Finally, the Bai and Perron's multiple structural break methodology seeks to test whether the average conditional correlations are subject to regime switching via the detection of breaks in the co‐movements of real estate securities returns.
Findings
Low to moderate conditional correlations are found for these European real estate securities market and a higher level of correlation in the aftermath of the global financial crisis. The long‐memory correlation effect is present for nine European real estate securities markets. In addition, the conditional correlations are subject to regime switching with two structural breaks in four country‐average correlation series. Across the regimes, a higher level of correlation is linked to a higher level of volatility and a lower level of return, and this happened around the global financial crisis period.
Research limitations/implications
The findings that national real estate securities correlations exhibit time‐varying and asymmetric behavior can help investors understand how real estate securities will co‐move in different market scenarios (e.g. “crisis” and “non‐crisis” times). Moreover, the process of dynamic covariance analysis and forecasting (the ultimate objective in portfolio management) should not rely too much on short‐term autoregressive moving average models. Instead, a combination of some appropriate long‐range dependence models and regime‐switching specifications is needed.
Originality/value
This paper offers useful insights into the time series behavior of average dynamic conditional correlations in European public property markets.
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Rhett Moeller, Carly Bastiansen, Laura Gates and Mega Subramaniam
The maker movement is showing signs of gaining popularity as it matures. As information institutions, libraries find themselves admirably positioned to serve as hosts for formal…
Abstract
Purpose
The maker movement is showing signs of gaining popularity as it matures. As information institutions, libraries find themselves admirably positioned to serve as hosts for formal makerspaces that encourage turning ideas into reality. Though equipment for innovation is becoming more affordable and therefore more available for general use, many products do not include accessible design, which hinders the significant population of potential inventors who have disabilities. This chapter seeks to provide guidance to organizations that want to implement universally accessible makerspaces.
Methodology/approach
This chapter is the result of a semester-long project in which students at the University of Maryland worked with a local library seeking to build a new universally accessible makerspace. Article reviews, interviews, and solicitations for information from the field helped form the understanding and suggestions provided in this project.
Findings
Interaction with field experts led to specific suggestions for library staff on policy, equipment, and staffing.
Social implications
Accessible makerspaces make it possible for anyone to exercise creative endeavors by providing equipment and materials that encourage innovation regardless of ability.
Originality/value
Literature about universally accessible library-owned makerspaces is very scarce. This chapter serves to bring together writing and practice in both universal accessibility and makerspaces to provide a starting point for other institutions considering implementing similar services.
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In recent years water has been the chief extraneous matter found in adulterated lard, but the results of the examination of the 2,918 samples (eight adulterated) reported upon…
Abstract
In recent years water has been the chief extraneous matter found in adulterated lard, but the results of the examination of the 2,918 samples (eight adulterated) reported upon during 1925, show cases of adulteration by substituting or adding vegetable oils and fats.
This study focuses upon the importance of group narrative work by ill and injured individuals who are participants/listeners/viewers in the reciprocity of testifying and…
Abstract
This study focuses upon the importance of group narrative work by ill and injured individuals who are participants/listeners/viewers in the reciprocity of testifying and witnessing one another’s stories. Their creative collaboration addresses a transformation of self that is engendered by illness and injury. An emphasis on narrative within a group setting offers tools to validate individual autonomy, build collective strength, and assist those in the group to gather momentum for the journeys that await each of them. The rationale and exercises described serve to complement and enhance traditional modes of healing.
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The library orientation session is an important marketing tool because it offers the first opportunity for library staff to connect with new clients (Craft and Ballard-Thrower…
Abstract
Purpose
The library orientation session is an important marketing tool because it offers the first opportunity for library staff to connect with new clients (Craft and Ballard-Thrower, 2011; Rhoades and Hartsell, 2008). This paper aims to explore library orientation practices in special libraries and information centers with the goal of surveying current practices and identifying guidance for successful orientation program design and delivery.
Design/methodology/approach
This study explored library orientation practices in special libraries and information services through an electronic survey. The survey questions were developed based on themes that emerged from case studies on library orientations from the academic library literature. These themes included reasons for library orientation program redesigns, the importance of partnerships in orientation design and delivery and the tools and techniques used in the delivery of orientation sessions.
Findings
The results revealed that library orientations are taking place in special libraries, but there is no consistent approach to library orientation delivery. Even within a single library, multiple approaches to library orientations are taken based on client availability, demand and information needs observations of library staff. Participants’ responses were analyzed to develop recommendations for special library orientations. These include developing partnerships (particularly with human resource departments), using technology strategically, considering the timing of orientations for new potential clients in relation to their start as new employees in the host organization, customizing library orientations based on client segment, engaging in ongoing outreach, and being flexible in design and delivery methods.
Research limitations/implications
This study represents a starting step in an exploration of library orientation practices in special libraries. The key limitation of this study was the low response rate leading to small sample size. A larger sample of special libraries would be needed to produce a quantitative analysis of the prevalence of practices with an acceptable degree of statistical significance. Alternately, smaller samples of special libraries organized by characteristics such as size or type (e.g. corporate libraries, law libraries and medical libraries) could be conducted to determine if distinctive trends exist within these special library types.
Practical implications
This study revealed information about key practices and challenges that can be used by special library practitioners seeking to implement or redesign a library orientation program in their library.
Originality/value
While academic and practitioner literature exists detailing library orientation activities in academic and school libraries, there are very few papers on special library orientations. This study fills a gap in the literature by investigating library orientation practices in special libraries and information centers.
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Daniel Pereira Alves de Abreu and Robert Aldo Iquiapaza
The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical…
Abstract
Purpose
The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical analysis.
Design/methodology/approach
Ibovespa, S&P500, Bitcoin and interbank deposit rate (IDR) indexes were respectively considered proxies for the national, international, cryptocurrency and fixed income stock markets. Forecasts were made out of the sample aiming at incorporating them in the BL model, using several portfolio weighting methods from June 13, 2013 to August 30, 2022.
Findings
The Sharpe, Treynor and Omega ratios point out that the proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally calculated counterparts, with emphasis on the risk parity portfolio. Nonetheless, the inclusion of the IDR leads to performance losses, especially in scenarios with lower risk tolerance. And finally, given the impact of turnover, the naive portfolio was also detected as a viable alternative.
Practical implications
The results obtained can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing.
Originality/value
The main contributions of the study are: performance analysis incorporating cryptocurrencies and international assets in an uncertain recent period; the use of a methodology to compute the views simulating the behavior of managers using technical analysis; and comparing the performance of portfolio management strategies based on the BL model, taking into account different levels of risk and uncertainty.
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Health care systems are evaluated by the triad of access, quality, and cost. This article presents evidence-based outcomes of multiple measures of concern with the United States…
Abstract
Health care systems are evaluated by the triad of access, quality, and cost. This article presents evidence-based outcomes of multiple measures of concern with the United States (U.S.) health care system and proposes a universal health care system as the solution of choice. One third of the U.S. population is either non-insured or underinsured. Lack of quality care is shown by several indicators. Cost concerns are noted in cross-national studies which emphasize that the U.S. spends twice as much for health care but with less access for its citizens to health care. The presidential election of Fall 2004 provides a “window of opportunity” for this policy to be enacted.