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This study presents a hybrid multicriteria decision-making approach for evaluating stocks in the Saudi Stock Market. The objective is to provide investors and stakeholders with a robust evaluation methodology to inform their investment decisions. With a market value of USD 2.89 trillion dollars in September 2022, the Saudi Stock Market is of significant importance for the country's economy. However, navigating the complexities of stock market performance poses investment challenges. This study employs the best–worst method and the technique for order preference by similarity to identify an ideal solution to address these challenges. Utilizing data from the Saudi Stock Market (Tadawul), this study evaluates stock performance based on financial criteria, including return on equity, return on assets, net profit margin, and asset turnover. The findings reveal valuable insights, particularly in the banking sector, which exhibited the highest net profit margin ratios among sectors. The hybrid multicriteria decision-making-based approach enhances investment decisions. This research provides a foundation for future investigations, facilitating a deeper exploration and analysis of additional aspects of the Saudi Stock Market's performance. The developed methodology and findings have implications for investors and stakeholders, aiding their investment decisions and maximizing returns. [ABSTRACT FROM AUTHOR]

Purpose - Today, due to the breadth, diversity and multiplicity of investment projects, decision makers and investors are faced with the issue of choosing the most profitable project. The economic rate of return (ERR) index is one of the proper indices that has been presented to determine the profitability of the projects. However, the ERR index has important shortcomings that have led to serious limitations in its use. In this regard, this paper introduces a new measure called the reliable economic rate of return (RERR), which has originated from ERR measure, but it has resolved the drawbacks of ERR index. On the other hand, this paper proposes a new solution by considering the values of the cash flow in terms of fuzzy numbers. After calculating the fuzzy economic rate of return, the profitability potentiality degree of the investment projects can be determined as well as their reliability based on the net present value (NPV) method. Design/methodology/approach - This paper proves that if we equate the initial cash flow of investment projects with the sum of the negative values of the relevant cash flow stream, then the RERR value would be greater than '-1'. In this regard, this paper proposes a solution to modify the initial and final values of the investment cash flow stream, merely without changing middle values. Thereby, the NPV of the modified cash flow does not change. On the other hand, it is sometimes difficult to estimate the values of cash flows as a crisp number, which may lead to a wrong decision in accepting or rejecting projects. For this purpose, this paper considers the values of cash flow stream as fuzzy numbers and describes a solution for calculating the fuzzy RERR using the α-cut method and the RERR index. The proposed solution is compatible with the NPV method and also has fewer calculations than the other methods. This paper also proposes a method that calculates the profitability potentiality degree of projects and provides more comprehensive information to the decision makers by examining the intervals obtained from cutting the fuzzy values of the projects and presenting a new and reliable solution. Findings - Using the @RISK software, it was found that the estimation of fuzzy return rate using RERR index and α-cut method is very close to the simulation result. It confirms the appropriate accuracy of the proposed solution. Also, the results obtained from the software in determining the profitability of projects indicated that the proposed solution is more accurate than the methods of 'comparison of the expected intervals' and 'strict exceedance possibility'. It is also fully compatible with the NPV method. Research limitations/implications - In this research the market rate is assumed constant, while, in practice it can vary over the periods. Defining the market rate as an inconstant parameter, using the robust optimization approach and investigating the subject of this paper under other uncertainty environments are future study suggestions to both researchers and practitioners. Practical implications - One of the most important applications of this study is in risky projects wherein estimating the values of cash flow stream as a crisp number is difficult. The results of this paper help decision makers in reducing risk and determining the project profitability. It is worth mentioning that the solution proposed in this paper can be used for all projects with any cash flow stream value. Social implications - Failure to make the correct decision regarding the acceptance or rejection of the projects could have major negative consequences for the companies, organizations and even society. This paper helps decision makers, investors and organizations to determine the projects profitability that could benefit organizations and society. Originality/value - This paper proposes the RERR measure as a profitability index such with several favorable properties: (ⅰ) it exists and is unique, (ⅱ) it is NPV-consistent in accepting/rejecting decisions, (ⅲ) it provides values greater than '-1', (ⅳ) it takes into account all of the project's outflows which may be regarded by some practitioners as an appropriate indicator of the overall investment. Furthermore, this paper proposes an appropriate method for calculating the fuzzy RERR and a new method for determining the profitability potentiality degree of the investment projects based on the NPV method. [ABSTRACT FROM AUTHOR]

Renewable energy technologies play a crucial role in solving global energy and environmental issues, and the pace of the energy transition directly depends on improving their efficiency. Presently, the development and implementation of renewable energy systems are ensured mainly through state funding, the possibilities of which are limited. The potential of attracting private investments depends directly on their impact on companies' profitability indicators, and the uncertainty regarding the return on investments is one of the main barriers affecting investors' decision-making. Based on a vector autoregressive model for analysing the stationary time series, the paper explores the impact of long-term investments and research and development costs in renewable energy technologies on the financial performance of ten of the largest companies operating in this field. The study's results showed that investments and spending on research and development positively affect such companies' profitability indicators as earnings before interest, taxes, depreciation and amortisation, earnings before interest and tax, net income, and return on investment. The obtained results can be used to substantiate the economic effectiveness of investments in developing and improving renewable energy technologies when forming the companies' financial policies to support them. [ABSTRACT FROM AUTHOR]

In 2014, FERC adopted a new theory of capital markets for the purpose of setting authorized returns-on-equity: that all observed dividends and interest rates were anomalous and therefore unreliable indicators of the returns necessary for investors to hold the stocks and bonds of transmission owners. The new theory, used to justify higher authorized ROEs, rejected evidence of fundamental conditions in capital markets and explicitly adopted arguments by investor-owned utilities regarding unreliable markets. After a judicial remand, FERC abandoned the new theory, but consumers in New England and the Midwest were arbitrarily charged hundreds of millions of dollars over several years due to unjust and unreasonable rates for transmission service. [ABSTRACT FROM AUTHOR]

In the traditional portfolio models, the return rates of risky assets are usually defined as random variables or fuzzy variables. However, when some events such as financial crises or wars occur that can cause instability in financial markets, the results of these assumptions are not always satisfactory. Therefore, some scholars try to use uncertain variables to express the return rates. In this paper, a two-factor uncertain portfolio problem under optimistic value criteria is studied, where we use the optimistic value instead of expected value to describe the investment return and study the impact of economic circumstance factor and corporation's specificity factor on the return rates. Firstly, a two-factor optimistic value-variance-entropy model with background risk is constructed, in which the total investment return consists of the risky asset return and the background asset return. Then, considering the investors with two kinds of risk preferences, a three-step method is applied to convert the bi-objective optimization model. Moreover, a moment estimation method is used to process the expert-estimated data on the return rates. Finally, a numerical simulation is presented for showing the applicability of our models and solution method. • We use optimistic value to represent the return rather than expected value. • The multiple factors and background risk are considered simultaneously. • Three-step method is used to convert the model into two single-objective models. [ABSTRACT FROM AUTHOR]

Numerous studies points out that the return rate distribution of portfolio is generally asymmetric. To quantify the asymmetry of return distribution, the third-order central moment is introduced to generate a larger payoff in addition to expected mean and variance. This study regards the return rate as asymmetric triangular fuzzy number and then constructs a tri-objective fuzzy portfolio model, including mean, variance and skewness, within the constraint of V-shape transaction cost. To effectively solve the tri-objective model, a novel algorithm named tolerantly complete layering method is designed. This method takes investors' tolerance for each objective into account, expands the feasible region, and can provides different optimal solutions. By a practical numerical example, we present the effectiveness of our model and method. Finally, compared with the method given by Chang (2009), it is pointed out that our method can generate diverse optimal solutions, which is more flexible to satisfy investors' subjective preference for each objective. [ABSTRACT FROM AUTHOR]

With the development of financial market, people invest their savings into different financial products to increase return. However, financial market is an extremely complex system, where investment opportunities and risk often coexist. For investors, it is necessary to take effective measures to avoid risk while obtaining considerable return. In recent decades, actively managing investment in the form of a portfolio is widely accepted by investors. In this paper, we propose a new three-objective Sortino ratio-expected shortfall-turnover rate (SR-ES-TR) portfolio optimization (PO) model. The Sortino ratio is used to measure the risk-adjusted rate of return. The expected shortfall is used to measure the tail risk of a portfolio. Portfolio liquidity risk is characterized by turnover rate. We constructed a portfolio of ten stocks and solved the SR-ES-TR model by the novel MOPSO-SODE algorithm. Compared with other four multi-objective algorithms, the better performance and validity in solving SR-ES-TR model by MOPSO-SODE algorithm have been verified. • Established a three-objective SR-ES-TR portfolio optimization model with liquidity ratio. • Designed a MOPSO-SODE algorithm based on the MOPSO framework. • Verified the effectiveness of the MOPSO-SODE algorithm in solving SR-ES-TR model. [ABSTRACT FROM AUTHOR]

Purpose: verify which determinants influence the recognition of the Impairment Test (IT) loss recognition in Brazilian companies listed in B3. Methodology: The research was performed with 169 non-financial companies listed in B3, which may or may not have presented information of IT loss, in the analysis period from 2009 up to 2017. To test the hypotheses of this research, the logit model was applied. In order to avoid the outliers problem, which may affect the estimated coefficients, all variables were winsorized in 1% in each side of their distribution. The results, however, with and without winsorization were mantained in order to attest to the consistency of the findings. The standard errors were clusterized, so as to avoid autocorrelation problems in the model's residual data. Results: It was noticed that the Return on Equity, the Book-to-Market index, Management Change, Big Bath and Property Control were considered influential determinants on IT loss recognition in the companies listed in B3. Contributions of the Study: The study brings forth practical justifications for IT appliability, offering importante accounting information for managers, investors, accounting professional, policy and rule makers. From a theoretical point of view it contibutes to the literature on determinant factors for IT loss of actives. [ABSTRACT FROM AUTHOR]

This article aims to verify what the influence is of different disclosure activities on the concentration of more sophisticated investors in Brazilian companies. The study fills a gap regarding the influence that disclosure activities can have on the concentration of sophisticated investors in Brazilian firms, considering that this may occur due to their ability to maximize the usefulness of the information disclosed and the return on investments, with a reduction in the cost of allocated funds. This subject is relevant because it verifies not the clientless effect of disclosure, presented by the only study previously developed on the subject in the United States (Kalay, 2015), but rather the influence that disclosure activities (earnings forecasts, market communications, and investor relations [IR]) have on the most sophisticated investors' decisions to allocate funds in companies in the Brazilian market. As an impact on the area, it was noted that those companies that release market communications attract the investment of funds and the concentration of sophisticated investors much more than those that present better IR and release profit forecasts. We studied 89 publicly-traded companies whose reference forms were published in the period from 2011 to 2016. The number of institutional investors disclosed in the reference forms was used as a proxy to categorize them as more sophisticated. The different disclosure activities were represented by the disclosure of profit forecasts, the number of market communications, and the best IR. The best IR proxy was categorized using the companies awarded by IR Magazine Brazil that presented the best IR in the study period. The results of this study show that the most sophisticated investors concentrated in companies with better IR, in those that do not disclose profit forecasts, and in companies with a greater number of disclosed market communications. The disclosure of market communications is the disclosure activity that most influences the concentration of sophisticated investors in Brazilian companies that use more voluntary disclosure than discretionary disclosure to allocate their funds. [ABSTRACT FROM AUTHOR]

Building on the notion that bubbles are transient self-fulfilling prophecies created by positive feedback mechanisms, we construct the simplest continuous price process whose expected returns and volatility are functions of momentum only. The momentum itself is measured by a simple continuous moving average of past prices over a given time horizon. We introduce a simple dynamics of the time horizon used by the representative investor, which is motivated by the race of trend following agents to forerun their competitors. We provide the full set of solutions, which includes an explosive regime where the price and momentum explodes stochastically in finite time to infinity, transient price dynamics escaping to infinity and recurrent behaviors, where the momentum remains either strictly positive or undergoes instantaneous reflections at the origin. The proposed price generating process produces price dynamics that are in agreement with the main qualitative properties of empirical financial time series. Moreover, it produces realistic regime shifts between non bubble and bubble regimes. We construct a quasi-likelihood methodology to calibrate the model to empirical financial time series, which is applied to an Internet index and a 'brick and mortar' index, over the period of the dotcom bubble and its subsequent crash, from Jan. 1998 to Dec. 2002. The Wilks test of nested hypotheses shows a very strong skill in diagnosing the bubble of the Internet index and in disqualifying a bubble in the 'brick and mortar' index. [ABSTRACT FROM AUTHOR]

Investors' perception of past portfolio returns predicts their investment behavior, but does this relationship mediate by overconfidence? Taking into account different aspects of overconfidence, this paper examines whether overconfidence manifested as illusion of control, miscalibration and better-than-average mediates the association between perception of past portfolio returns and investment behavior. In a survey study with individual and institutional investors from Malaysia, the results indicate that perception of higher past portfolio returns increases investors' trading, percentage of risky share investment and the number of financial asset holding, through the mediating channel of better-than-average effect. While individual investors are influenced by this overconfidence mechanism, institutional investors are not sensitive. This finding has theoretical implication for overconfidence model, house money effect and naïve reinforcement learning. Practically, the results imply that individual investors should be careful about underlying overconfidence biases as it can lead to inefficient decisions. [ABSTRACT FROM AUTHOR]

Abstract The aim of this study is to analyze whether managers, practitioners and individual investors could obtain higher risk-adjusted returns by allocating their investments to funds that integrate specific levels of socially responsible (SR) criteria in their portfolios. This is achieved by comparing the performance of mutual funds according to their SR characteristics: environmental, governance, social, and sustainability attributes. For a large sample of 3920 equity SR mutual funds around the world, performance is measured using a multifactor model that incorporates relevant benchmarks according to the fund investment objectives, and using Carhart's (1997) methodology to measure mutual fund performance persistence. In general, fund performance is not significant, the average being negative and close to zero. Funds achieving relatively high levels of SR attributes in their portfolios seem to experience overall worse performances. This evidence is, however, mainly driven by the behavior of worst-performing funds. Moreover, investing in the previous best SR funds could lead investors to greater overall returns in most areas and levels of SR attributes considered. This evidence highlights the role of managers in enhancing the returns of a portfolio with a well-defined SR investment policy. Therefore, there is no incompatibility between pursuing higher ethical (and sustainable) values as well as greater financial performances from investments—provided managers have the skills necessary to choose the right SR funds. Highlights • We compare the performance of socially responsible (SR) funds. • Funds with high SR attributes experience overall worse performances. • Investing in the previous best SR funds leads to greater overall returns. • The evidence highlights managers' role for designing SR investment policies. • Ethical and sustainable values are compatible with greater performances. [ABSTRACT FROM AUTHOR]

Following the recent efforts made to achieve a predictable capital market, this study attempted to explore the interlocking relationships between the stock returns of companies listed on Tehran stock exchange (TSE). For that purpose, data concerning 36 industry classes between 2000 and 2013 were examined through clustering and association rule. Preparation and initial refining of data suggested that only 25 out of 36 industries met the requirement for 13-year membership at TSE. Finally, a total of 249,061 records were evaluated, and the results were presented in the form of several rules and recommendations for investors. The results suggested that there were no two-item rules (rules with one antecedent) within industries. The best rules entailed three and four items with a lift of more than two, confidence more than 81% and support more than 1%. [ABSTRACT FROM AUTHOR]

Abstract Using stock market returns of two stock exchanges in China, this paper employs MF-DCCA to investigate the non-linear cross-correlation between individual investor sentimentand Chinese stock market return. We find that there exists a power-law cross-correlation between individual investor sentiment and Chinese stock market return, and the cross-correlations are significantly multifractal. In addition, the cross-correlation between individual investor sentiment and Shenzhen Component Index (SZSE) return is more anti-persistent than that between individual investor sentiment and Shanghai Composite Index (SSEC) return, implying that individual investor sentiment has a stronger impact on small stocks. Besides, long-range correlations, fat-tailed distribution and extreme value all contribute to the multifractality for cross-correlation between individual investor sentiment and SSEC return, while long-range correlation is the main source of multifractality for the cross-correlation between individual investor sentiment and SZSE return. Highlights • Cross-correlation between investor sentiment and stock return is investigated. • Yu'ebao Sentiment Index and Shenzhen stock market return is more anti-persistent. • The sources of multifractal features are investigated. [ABSTRACT FROM AUTHOR]

Los mileniales alcanzaron la mayoría de edad en medio de una gran incertidumbre económica y mercados financieros volátiles. Enfrentan un conflicto entre el bajo riesgo que están dispuestos a asumir por sus inversiones y la necesidad de obtener alto retorno para financiar su jubilación. [ABSTRACT FROM AUTHOR]

Purpose - This study aims to use gray models to predict abnormal stock returns. Design/methodology/approach - Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model. Findings - Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models. Originality/value - The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market. [ABSTRACT FROM AUTHOR]

The downside risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean–Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, Athayde (2001) developed a new recursive minimization procedure that ensures the convergence to the solution. However, when a finite number of observations is available, the portfolio frontier presents some discontinuity and is not very smooth. In order to overcome that, Athayde (2003) proposed a mean kernel estimation of the returns, so as to create a smoother portfolio frontier. This technique provides an effect similar to the case in which continuous observations are available. In this paper, Athayde model is reformulated and clarified. Then, taking advantage on the robustness of the median, another nonparametric approach based on median kernel returns estimation is proposed in order to construct a portfolio frontier. A new version of Athayde’s algorithm will be exhibited. Finally, the properties of this improved portfolio frontier are studied and analysed on the French Stock Market. [ABSTRACT FROM AUTHOR]

The optimal investment ratios for a set of stocks and other financial products can be obtained by the conventional portfolio theory based on quantitative data such as returns and risks. However, quantitative data are sometimes unavailable, thus qualitative information provided by experts or decision makers should be used. Based on the foregoing, we propose new portfolio selection approaches based on such qualitative information which is represented herein as hesitant fuzzy elements. For general investors and risk investors, we develop two qualitative portfolio models based on the max-score rule and the score-deviation trade-off rule, respectively. Furthermore, the deviation and score trisection approaches are developed to distinguish the three types of risk investors, which also help to construct the corresponding qualitative portfolio models. In addition, we investigate the investment opportunities and efficient frontiers of these proposed qualitative portfolio models. Also, the specific portfolio selection processes are provided. Finally, an example of selecting the optimal portfolio of risk investment is provided. On the basis of the above study and example, we can conclude that the proposed qualitative portfolio models used for the three types of risk investors are effective. The given portfolio selection processes can be reasonably used in practical qualitative risk investment. [ABSTRACT FROM AUTHOR]

The article offers information on negative gearing in Australia. Topics discussed include the proposed changes to negative gearing and capital gains tax by the Labor Opposition, use of declared losses from a rental property by a taxpayer to reduce taxable income, and the factors causing the upward trend in negatively-geared landlords.

In this paper, we develop a portfolio optimization method to maximize the performance of a fixed income portfolio. To achieve this aim, we define a two-step optimization problem where we firstly manage the immunization risk and then we maximize the portfolio wealth in a reward-risk framework. In the first optimization step, we create funds of bonds with constant immunization measure over time, and we propose an innovative immunization measure for bond portfolio management that leads to a more flexible immunization approach and a better trade-off between reward and risk. In the second optimization step, maximizing two performance measures on these baskets of bonds we obtain portfolio strategies that consider different investors' profiles. An empirical application to the US fixed income market during 2002-2012 period is provided. Applying the portfolio optimization method to different bond classes, we compare the results with an equity index. This ex-post analysis indicates the benefits of the proposed portfolio strategy in outperforming the benchmark and proves that capital flows to safer markets during crisis periods. [ABSTRACT FROM AUTHOR]

Purpose - People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied to financial markets, the recognition heuristic predicts that investors acquire the stocks that they are aware of, thereby inflating the price of the most recognized stocks. This paper aims to study the profitability against the market of the most recognized stocks in Europe. Design/methodology/approach - In this paper, the authors perform a survey and use Google Trends to study the profitability against the market of the most recognized stocks in Europe. Findings - The authors conclude that a recognition heuristic portfolio yields poorer returns than a market portfolio. In contrast, from the data collected on Google Trends, weak evidence was found that strong increases in companies monthly search volumes may lead to abnormal returns in the followingmonth. Research limitations/implications - The applied investment strategy does not account for transaction costs, which may jeopardize its profitability given the fact that it is necessary to revise the portfolio on a monthly basis. Despite the results obtained, they are useful to understanding the performance of recognition heuristic strategies over a comprehensive time horizon and it would be interesting to depict its viability during different market conditions. This analysis could provide additional information about a preferable scenario for employing our strategies and ultimately, enhance the profitability of recognition heuristic strategies. Practical implications - Through the exhaustive analysis performed here on the recognition heuristic in the European stock market, it is possible to conclude that no evidence was found for the viability of exploring this type of strategy. In fact, the investors would always gain better returns when adopting a passive investment strategy. Therefore, it would be wise to assume that the European market presents at least a degree of efficiency where no investment would yield abnormal returns following the recognition heuristic. Originality/value - The main objective of this paper is to study the performance of the recognition heuristic in the financial markets and to contribute to the knowledge in this field. Although many authors have already studied this heuristic when applied to financial markets, there is a lack of consensus in the literature. [ABSTRACT FROM AUTHOR]

While the degree of cross shareholding among corporations, or between banks and companies (referred to as ‘insiders’ in this article) has been declining since the 1990s, the percentage of shareholding by institutional investors (‘outsiders’), or financial intermediaries, has been increasing in Japan. Studies show that both companies and investors are becoming more short-term oriented and are showing herd behaviour. With such a collective mentality, company–investor relations in Japan have experienced a vicious cycle and have thus lowered the market's rate of return. Meanwhile, conventional ‘insiders’ tend to hold shares in the longer-term, but lack engagement in investee companies’ corporate governance. Japan's Stewardship Code requests fund managers ‘engage’ more than ever in the governance of investees so that investor-company relations become longer-term and the risk of investors’ ‘exit’ decreases. However, the Code only covers the behaviours of ‘outsiders’ but not those of ‘insiders’, who still play certain roles among all shareholders. Due to its imperfect coverage, the expected effect of Japan's Stewardship Code in achieving stronger ‘engagement’ by investors should be limited. To cope with this issue, this article outlines a suggestion that a comprehensive rule covering all types of shareholders should be implemented in Japan. [ABSTRACT FROM PUBLISHER]

In this paper, we deal with the portfolio selection problem from the point of view of different non-satiable investors: namely, risk-averse, risk-seeking, neither risk-averse nor risk-seeking. In particular, using a well-known ordering classification, we first identify different definitions of return according to the investors' preferences. The new definitions of return are based on the conditional expected value between the random wealth assessed at different times. Secondly, we propose an estimator of the conditional expected value between random variables, and we prove that it is consistent. Using the new estimator of the conditional expected value, we are able to forecast the investors' behaviour by comparing the wealth sample path obtained by taking their different preferences into account. We then examine three alternative performance measures based on dynamic and static definitions of risk applied to the new return definitions. Finally, we compare the ex-post wealth obtained by optimizing the performance measures on the US stock market during the decade 2004-2014. [ABSTRACT FROM AUTHOR]

Utilizing a sample of U.S. publicly traded foodservice retailers, this study examines the impact of advertising, goodwill, and intangible assets on investor holding period returns. The results show that neither advertising nor intangible assets have a positive and significant impact on holding period returns. Goodwill, however, does have a positive and significant impact on holding period returns. Foodservice retailers may therefore want to question the effectiveness of growth strategies based on a firm’s own investments in either advertising or intangible assets. Instead, building a foodservice retailing business through mergers and acquisitions may prove a better use of company resources. [ABSTRACT FROM AUTHOR]

In this paper, we advocate the provincial TV audience rating as the novel proxy for the provincial investor sentiment (PIS) and investigate its relation with stock returns. The empirical results firstly show that the PIS is positively related to stock returns. Secondly, we provide direct evidence on the existence of home bias in China by observing that the provincial correlation coefficient is significantly larger than the cross-provincial correlation coefficient. Finally, the PIS can explain a large proportion of provincial comovement. To sum up, all these findings support the role of the non-traditional information sources in understanding the “anomalies” in stock market. [ABSTRACT FROM AUTHOR]

The Indonesia Stock Exchange (IDX) Composite is an index of all stocks that are traded on the IDX. It is known as a tool used by investors and financial managers to depict market and to compare the return on specific investments. Recently, IDX Composite rate is very fluctuated resulting in difficulty to predict the trend of series data. A lot of time series-based model had been developed to make future predictions of IDX Composite. Neural Networks, one of the most popular approaches in financial worlds due to its parsimonious data requirements and can produce a more accurate model especially nonlinear, was used in this study. The study aims to investigate the suitable model and forecast future of IDX Composite using Feed Forward Neural Networks (FFNN). The IDX Composite series from January 2011 to July 2016 was used to construct the model of FFNN. The study found that FFNN architecture with three inputs and four hidden neurons showed the best forecast accuracy measured by RMSE and MAE. The selected model was then used to predict 12 months ahead of IDX Composite along with their confidence interval. The capital gain of IDX Composite forecasting was calculated to compute the profit with an assumption the investment was 1 million (IDR). The results indicated that if the investors sold the shares in next 12 months, there would be significant profit or capital gain obtained on August and September 2016. While selling the share on remaining periods would yield a noticeable loss or capital loss. [ABSTRACT FROM AUTHOR]

Expectations about future economic activity should theoretically affect the demand for inventory holdings and therefore commodity spot and futures prices. Consistent with these predictions, we find that news related to future GDP growth is a significant factor that is priced in the cross section of commodity futures sorted by percentage net basis. The latter is highly correlated with inventories. In particular, it establishes that commodity futures with high inventory levels provide a hedge against risk associated with future GDP growth so that investors are willing to accept lower return. By contrast, those commodity futures with low inventory levels are inversely related to the GDP-related factor so that investors require a higher return. Such results suggest that commodity futures excess returns are a compensation for risk. [ABSTRACT FROM AUTHOR]

It can be argued that a cheaply priced IPO would attract more potential buyers, especially small or retail investors as they are commonly known in Malaysia, which could result in more speculative trading activities due to its "cheap" perception. A fixed-price IPO serves a unique situation in which the price of an IPO is fixed prior to its offering to potential buyers, and it gives the opportunity to test whether or not a cheaply priced IPO can attract more potential buyers which can result in more speculative trading activities, hence higher initial return and price spread. This study examines a sample of 104 Malaysian fixed-price IPOs from January 2009 to December 2014, where I test the relationship between cheaply priced IPOs and their initial returns and also their price spreads during the first day of trading. I hypothesize that a cheaply priced IPO will attract more potential investors (especially the small or retail investors) that will result in a more speculative trading activity that will later push the IPO price higher in the secondary market. A speculative trading activity will also result in a higher price spread, which refers to the difference between the highest and the lowest price. The same situation occurs with regard to trading board, where investors (especially retail investors) are usually more attracted to cheaply priced IPOs, which are associated with IPOs listed on the ACE Market of Bursa Malaysia which caters for small, young and technology companies. As noted by Lowry et al. (2010), IPOs of small, young and technology firms are more difficult to value due to higher information asymmetry between the issuer and the investors, and thus we would expect higher price spread in these IPOs. In general, the results show that IPOs with low offer price and IPOs listed on the ACE Market have higher initial returns and higher price spreads compared to IPOs with high offer price and IPOs listed on the Main Market. The result of this study implies that investors can benefit significantly from investing in IPOs with low offer price. Investors can also benefit from investing in IPOs listed on the ACE Market, which is associated with low-priced IPOs. The implication to the regulatory bodies of Bursa Malaysia is that they should pay closer attention to IPOs with low offer price, and IPOs listed on the ACE Market because these IPOs are subject to speculative trading activities. [ABSTRACT FROM AUTHOR]

Nowadays investing in Real Estates is one of the main investing alternatives. It has spread fast in all the international markets, and has evolved in other indirect tools of investing, based on the investors' demands and a country's economic situation. Investing in Real Estates has become an attractive alternative because it offers protection from Inflation and also diversification. Therefore, the increase in these assets' prices, and the increase in Inflation at the same time, provides the investor with high rate of returns from his portfolio. Even the periodic income from the rent, reflects the changes in Inflation. As a result, reviewing the literature, we conclude that Real Estates are protective in inflationist periods. The income from Real Estates tends to increase faster in inflationist environments, allowing the investor to keep real rates of returns. Real Estates have always behaved different from bonds, options and stocks. Real Estates have their particular life cycle, which is distinguished by the boom and bust periods, in particular The Commercial Real Estate in the 80' and The Residential Real Estate in the 2008 crisis. Usually Real Estates have a low correlation with other classes of assets. This makes investors invest more in Real Estates, and now it is normal for an investor with passive or active strategy to own more than one Real Estate for profit intentions. This topic has been chosen in order to understand in details the relationship between Real Estates and Inflation in Albania. To explain this relationship, it has been used the model of a linear regression. It has been identified The House Price Index (a representative of Real Estates in Albania) as a dependent variable and Inflation as an independent variable. From this model, we conclude that there is a positive and linear relationship between The Price Index and Inflation. In conclusion, if the economy has Inflation and the GDP Deflator increases by 1 %, then The House Price Index increases by 1.39, meaning that The Index covers the increase in Inflation and there will be a real increase in the market by 0.39. [ABSTRACT FROM AUTHOR]

We investigate an iterative, data-driven approximation to a problem where the investor seeks to maximize the expected return of her portfolio subject to a quantile constraint, given historical realizations of the stock returns. The approach, which was developed independently from Calafiore (SIAM J Optim 20:3427-3464 ) but uses a similar idea, involves solving a series of linear programming problems and thus can be solved quickly for problems of large scale. We compare its performance to that of methods commonly used in the finance literature, such as fitting a Gaussian distribution to the returns (Keisler, Decision Anal 1:177-189 ; Rachev et al. Advanced stochastic models, risk assessment and portfolio optimization: the ideal risk, uncertainty and performance measures, Wiley, New York ). We also analyze the resulting efficient frontier and extend our approach to the case where portfolio risk is measured by the inter-quartile range of its return. Our main contribution is in the detail of the implementation, i.e., the choice of the constraints to be generated in the master problem, as well as the numerical simulations and empirical tests, and the application to the inter-quartile range as a risk measure. [ABSTRACT FROM AUTHOR]

Purpose -- The purpose of this paper is to compare and contrast the effect of individual and institutional sentiments on the US stock returns during a prolonged bull phase of ten years in the 1990s compared to shorter boom and bust cycles of the 2000s. The study is focussed on a set of stocks that are prone to sentiments and speculations. Design/methodology/approach -- To compare the dynamic interaction of individual and institutional sentiments and stock returns, the authors use the vector autoregression (VAR) approach. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series because it does not impose a priori restriction on the structure of the system. Using impulse response function, the authors determine how stock returns respond over time to a shock in institutional and individual sentiments. Findings -- The authors find that sentiments of individual investors can affect returns mostly when there is a prolonged upward trend in stock prices, while sentiments of institutional investors can impact the returns when stock market is more volatile. Originality/value -- This paper compares the effect of noise traders and rational investors' sentiment on stock returns during the persistent period of positive abnormal returns of the 1990s and the more volatile stock returns of the 2000s. [ABSTRACT FROM AUTHOR]

Housing demands are partially driven by participant's sentiment, but the literature on housing economics rarely acknowledges that fact. This paper aims to investigate the role of market sentiment in housing market. A sentiment index is developed to capture the aggregate investor behavior and thus market scenario. In empirical application, using elaborate transaction records during 1991–2011 (more than two million registrations) in Hong Kong, the sentiment index is established. Generally, investors in housing market are more likely to be sentiment-influenced. In trading process, a delaying effect on the expected waiting time (duration) from buy to sell is found. Furthermore, market sentiment quantified by sentiment index is an efficient predictor of price level, return rate of price and trading volume. Meanwhile, sentiment remarks the significant role in long-run development of housing market. The approach and implications of this study may serve as a reference for the relevant authorities to stabilize and improve the environment of housing market. [ABSTRACT FROM AUTHOR]

Despite years of study, the impact of firm-level governance on stock returns is not clear, especially in non-U.S. markets. We investigate the returns of governance-based trading strategies in Asia, using bias-free return data and CLSA governance ratings. We argue that poor governance should be associated with higher market risk. We find that a portfolio of poorly governed firms has a higher market beta, higher expected return and higher realized return, compared with a good governance portfolio. In contrast to some earlier studies, we find no abnormal returns after adjusting for risk and country effects. Only investors who can predict in advance which firms will improve their governance can earn abnormal returns. [ABSTRACT FROM AUTHOR]

Abstract: In this paper we test for predictability of excess stock returns for 18 emerging markets. Using a range of macroeconomic and institutional factors, through a principal component analysis, we find some evidence of in-sample predictability for 15 countries. In-sample predictability is corroborated by out-of-sample tests. Using a mean-variance investor framework, we show that investors in most of these emerging markets can make significant profits from dynamic trading strategies. Finally, we show that investors in most countries where short-selling is prohibited could make significant gains if limited borrowing and short-selling were allowed. [Copyright &y& Elsevier]

Using a simulated stock investment system we examined the relationship between investors' emotions and their investment returns, and the moderating effect of personality and situation in a stock market. Participants were undergraduate students from 6 universities. The results showed that: (a) investors' positive emotions were positively correlated with investment returns in a market with a unilaterally rising price, and the moderating effect of extraversion was significant; (b) investors' negative emotions were negatively correlated with investment returns in a market with a unilaterally falling price, and the moderating effect of neuroticism was significant. [ABSTRACT FROM AUTHOR]

In this paper we study priming of identity within the context of inherent vs. contextual financial decision making. We use a sample of individual trading accounts in equity-style funds taken from one fund family to test the hypothesis that trading styles are inherent vs. contextual. Our sample contains investors who invest either in a growth fund, a value fund, or both. We document behavioral differences between growth fund investors and value fund investors. We find that their trades depend on past returns in different ways: growth fund investors tend towards momentum trading and value fund investors tend towards contrarian trading. These differences may be due to inherent clientele characteristics, including beliefs about market prices, specific personality traits and cognitive strategies that cause them to self-select into one or the other style. We use a sample of investors that trade in both types of funds to test this proposition. Consistent with the contextual hypothesis, we find that investors who hold both types of funds trade growth fund shares differently than value fund shares. [ABSTRACT FROM AUTHOR]

We study the effects of corruption on the capital structures of firms in 72 countries. Using the Corruption Perception Index, we show that corruption increases the costs of debt and equity. Interestingly, as the level of corruption decreases, these costs become more sensitive to changes in corruption. Similarly, the capital structure adjustment speeds exhibit a non-linear dynamic. These results indicate that for the most corrupt countries, it is necessary to engage in corruption reduction efforts to get past a minimum threshold before they can affect the behaviors of firms. Additionally, the least corrupt countries need to remain vigilant against increases in corruption. [ABSTRACT FROM AUTHOR]