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We present new estimates of the internal rate of return to early childhood education. Utilizing the nationwide expansion of preschool education in Japan between 1960 and 1980, we initially assess the impact of preschool attendance on high school graduation and college enrollment for men. Subsequently, we compute the social rate of return to preschool attendance for men by drawing upon national wage statistics to project expected wage trajectories and referencing government documents to account for the social cost of preschools. Our findings indicate a social rate of return ranging from 5.7% to 8.1%, consistent with previous estimates in the literature. [ABSTRACT FROM AUTHOR]

One of the most attractive indexes to select the best investment decision is internal rate of return (IRR) measure, but it has some significant faults both in practice and theoretically. Multiple attempts have been made to resolve the IRR challenges, but none of them are perfect. This article presents the Modified Simple Average Internal Rate of Return criterion as a profitability index for calculating a unique rate of return for all various types of cash flow streams so that obtained results are consistent with the net present value method in accept/reject decisions. The presented method is simple to compute and is capable of resolving all known IRR defects including when the resulting rate is greater than −1. [ABSTRACT FROM AUTHOR]

Individualized case management services that identify and provide support for treatment, housing, and employment may improve opportunities for success for those housed in community residential facilities (CRFs) upon release, particularly when evaluated against the goals of reducing the length of stay in the CRF and reducing the rate of return to prison among a targeted parole population with severe mental health needs and moderate-to-high criminogenic risk. Following an experimental design with random assignment design, this study evaluated 349 participants who were eligible for specialized case management services while housed and released from a CRF between January 2018 and June 2019. Findings reveal that participants who received specialized service referrals significantly decreased their length of stay in the CRF compared to the control group. Successful program completion was further related to a reduced length of stay and a significant reduction in the likelihood of returning to prison. [ABSTRACT FROM AUTHOR]

This study investigated the extent to which the low-risk anomaly is present in a pooled sample of nine African frontier equity markets from March 2004 to July 2023. Portfolio-level analysis was used to investigate the total stock returns of equally weighted quintile portfolios sorted on historical volatility. The presence of a monotonic relationship between historical volatility and subsequent returns was evaluated using monotonicity tests, controlling for possible mediating variables. The results revealed evidence of a statistically significant low-volatility premium, except during bull markets. These findings imply that investors can expect to earn higher returns by allocating to stocks with lower historical volatility, but only during bear markets. These results hold for realistic portfolio construction constraints, such as (il)liquidity and high transaction costs. [ABSTRACT FROM AUTHOR]

The article focuses on the evaluation of different methodologies for assessing the return on investment (ROI) of higher education using data from the College Scorecard (CSC). It analyzes five distinct CSC-based systems that measure educational ROI by balancing college costs with graduates' earnings in various ways. It highlights how these methodologies differ in their approach to calculating ROI, such as the Price-to-Earnings Premium (PEP), median earnings benchmarks, and net present value.

A covariate-driven random coefficient generalized conditional heteroscedasticity (GARCH) time series model with the form of the buffered autoregression (BRC-GARCH-X) for modeling financial time series data is considered. As an extension of the classical two-regime threshold process, the buffered autoregression enjoys a more flexible regime-switching mechanism. Furthermore, the main feature of this model is that the threshold variable for regime-switching is formulated as a weighted average of important auxiliary variables. The estimator for regression parameters is obtained by the quasi-maximum exponential likelihood (QMEL) estimator and the corresponding asymptotic properties are established. Moreover, a mixed portmanteau test is developed for diagnostic checking. And a reasonable method for selecting search ranges for thresholds is also proposed and simulation studies are considered. As an application, we bring attention to some features of of stock returns of SP500 which shows that our model is feasible. [ABSTRACT FROM AUTHOR]

This study assesses the effect of USD-Rand exchange rate volatility on South African sectoral stock returns between 29 March 1996 and 28 July 2022. Using the quantile-on-quantile regression (QQR) technique, we uncover that, although each of the sectors exhibit important idiosyncrasies, there exists a single overarching relationship between exchange rate volatility and stock returns that persists across all sectors. We find that low levels of volatility in the exchange rate have a negative impact on stock returns. Conversely, high levels of exchange rate volatility have a positive impact on stock returns. The most important implication of the findings of this study is that investors should have a keen awareness of movements in both the exchange rate and stock markets. [ABSTRACT FROM AUTHOR]

The average internal rate of return (AIRR) fixes many deficiencies associated with the traditional internal rate of return (IRR), including apparent inconsistency with net present value (NPV). The AIRR approach breaks down project NPV into scale (the capital invested) and economic efficiency (the AIRR), and maintains NPV consistency for accept/reject decisions. Here we examine extensions of the AIRR to risky capital asset projects, a domain where the IRR appears intractable. We show that one can uniquely break down a risky NPV into a risk-sensitive project scale and a risk-sensitive extended AIRR, representing risky project efficiency, so that consistency with NPV for accept/reject decisions is maintained in the certainty-equivalent sense, in direct analogy to the deterministic case. This novel breakdown gives managerial insight by helping determine a risky project's locus of uncertainty, be it the project scale, or economic efficiency, or both. In this way, risky features of competing projects can be explored in more detail, leading to insights substantiating the NPV ranking. We also show that under risk neutrality, the expected AIRR is equal to the AIRR of the expected cash flow, a property that notoriously fails for the stochastic IRR. [ABSTRACT FROM AUTHOR]

Celebrity endorsement is a common advertising strategy, yet, as well-known scandals show, it is not without risk. Studies at the marketing–finance interface investigate how negative publicity surrounding a celebrity endorser affects firm value, though without determining how such events might spill over to the sponsor firms' competitors and their stock prices. To address this research gap, the authors assess the impact of celebrity endorser scandals on competitor stock returns with an event study approach. The unique sample of 121 celebrity scandals over a 35-year period reveals a contagion effect, such that competitor firms experience negative stock returns on average, though not to the same extent. According to univariate and regression analyses, the more negative the event affects the sponsor company and the more homogeneous the industry, the stronger the negative spillover effect from a scandal. These findings show that a contagion effect is a likely scenario and offer recommendations for managers regarding how they should adapt their risk management processes and communicate with their boards and shareholders. [ABSTRACT FROM AUTHOR]

This study analyzes the impact of economic and spatial factors on the economic return on Korean road projects, using meta-regression models and Monte Carlo simulation. This paper finds that the internal rate of return (IRR) is negatively affected by the distance and land acquisition cost (LAC) in urban areas while it is positively related to the population density, ratio of manufacturing workforce to total workforce, and LAC in rural areas. In addition, net benefits can be generated if a road length is less than 5 km. Finally, the IRR tends to be highly sensitive to the population density. [ABSTRACT FROM AUTHOR]

The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotically normal. Our estimator is particularly fit for financial applications as vectors of stock returns are generally well approximated by heteroskedastic processes with elliptical (conditional) distributions and heavy tails. The superiority of our estimator with respect to Pearson's sample correlation in financial applications is illustrated using simulated data and real high-frequency stock returns. Using simple exponentially weighted moving averages, we extend our estimator to the case of time-varying correlations and compare it to the popular GARCH-DCC model. We show that the two approaches have comparable performances through simulations and a simple application. However, our estimator is extremely fast to compute, computationally robust, and straightforward to implement. [ABSTRACT FROM AUTHOR]

This paper examines the effects of the economic conditions – unemployment rate and unemployment change – on the rate of returns to schooling, as well as the effects on the gender difference in the returns to schooling during business cycles. Data from American Community Survey 2000–2017 shows that economic conditions have significant effects on the rate of return to schooling for both men and women, and the gender difference exists. Unemployment has positive effects on the rate of return to schooling for both men and women. The returns to schooling are expected to increase in recessions and decrease in expansions for both men and women. In addition, the effects are greater for men than for women. The female-male difference in the rate of return to schooling is expected to be smaller as unemployment rate goes up and greater as unemployment rate goes down. We also find men's returns to schooling are more sensitively responded to the economic conditions change than women's. [ABSTRACT FROM AUTHOR]

Consider a nonstandard compound renewal risk model with stochastic return on investments, where the price process of investment portfolio is modeled as an exponential Lévy process. In the presence of heavy tails and dependence structures among modeling components, we study the uniform asymptotics of the tail probability of stochastic discounted aggregate claims and the finite-time ruin probability for all time varying in a relevant finite or infinite interval. [ABSTRACT FROM AUTHOR]

We propose an indicator for detecting anomalous stock market valuation in real time such that market participants receive timely signals so as to be able to take stabilizing action. Unlike existing approaches, our anomaly indicator introduces three methodological novelties. First, we use an endogenous, purely data-driven, nonparametric trend identification method to separate long-term market movements from more short-term ones. Second, we apply SETAR models that allow for asymmetric expansions and contractions around the long-term trend and find systematic stock price cycles. Third, we implement these findings in our indicator and conduct real-time market forecasts, which have so far been neglected in the literature. Applications of our indicator using monthly S&P 500 stock data from 1970 to the end of 2022 show that short-term anomalous market movements can be identified in real time up to one year ahead. We predict all major anomalies, including the 1987 Bubble and the initial phase of the Financial Crisis that began in 2007. In total, our anomaly indicator identifies more than 80% of all – even minor – anomalous episodes. Thus, smoothing market exaggerations through early signaling seems possible. [ABSTRACT FROM AUTHOR]

This study evaluated the impact of using different contents and sources of Reclaimed Asphalt Pavement (RAP) on the bottom-up fatigue cracking of asphalt mixtures and the return on investment (ROI). Two RAP sources were used that primarily provided a significant difference in RAP binder Performance Grade (PG): Source A was a PG 76-22 while Source B was a PG 94-10. Bottom-up fatigue cracking was predicted using Level 1 of the AASHTOWare Pavement Mechanistic-Empirical Design (PMED) software. The ROI was then evaluated using FHWA RealCost. To increase the accuracies of the predictions, volumetric properties and blended binder properties were calculated based on the amount of RAP binder that actively blended with the virgin binder. The accuracies were also increased by determining the AASHTOWare PMED fatigue strength coefficients, $k_{\,f1}$ k f 1 , $k_{\,f2}$ k f 2 , and $k_{\,f3}$ k f 3 , using flexural bending beam fatigue tests rather than using the global defaults provided by this software. In conclusion, the ROI of the six RAP mixtures based on bottom-up fatigue cracking was found to be affected by both RAP content and RAP source, and because of the effect of RAP source, it could not be generalised that using either a higher or lower RAP content will always provide a higher ROI. [ABSTRACT FROM AUTHOR]

Higher education is often framed as a means to social mobility and increased earnings. However, the value of university education in the United States is coming under scrutiny in regard to its costs. This article examines a university education's return on investment (ROI) from attending different types of universities in the United States. Unlike previous research, this study focuses on the variation of university institutional characteristics and their impact on ROI. This study analysed data from the US Department of Education College Scorecard, focusing on institutional factors, such as public/private, student body characteristics, research intensity, student diversity and selectivity. The results confirm that highly selective universities have a greater ROI, public universities overall have a better ROI, Research 1 universities have the higher ROI and private Research 1 institutions have the highest ROI. Implications for educational administration and university selection criteria are discussed. [ABSTRACT FROM AUTHOR]

This study offers a comprehensive theoretical and empirical analysis of a fundamentals-based investment criterion (HSBC's Rating to Economic Profit – REP). By employing a large sample of US-listed firms over a 12-year time-period and conducting univariate, multivariate and portfolio analyses, we provide robust empirical results that support the ability of REP to explain contemporaneous stock market valuations, justify financial analysts' target prices, and predict one-year ahead stock returns. Through content analysis of selected financial analysts' equity research reports, we also provide some descriptive evidence of the usefulness of accrual accounting numbers over dividends for valuation purposes. To the best of our knowledge, this is the first academic study that offers a comprehensive analysis of REP as a value-based stock screening method that should be of interest to market-based accounting researchers, valuation educators, and capital market participants. [ABSTRACT FROM AUTHOR]

The basic design of most commonly used solar dryers displaying varying fundamental principles of heat and mass transfer were compared with recently commercialized and patented design of Solar Conduction Dryer. Bottle gourd of 100 kg by mass, having an initial moisture content of 80% from which 77.78 kg of water was required to be removed to get the desired moisture content of about 10%, was used as drying load. The performance of various solar dryers were analyzed on the basis of three criteria, namely, the annualized cost, the present worth of annual savings, and the present worth of cumulative savings. The economic analysis shows that the present cumulative worth of annual savings for drying bottle gourd over the dryers lifetime works out to be 42,294, 23,027, 55,451, 58,740, and 37,594 USD for the case of solar tunnel dryer, solar cabinet dryer, solar conduction dryer, corrugated solar conduction dryer and corrugated and electrically backed solar conduction dryer, respectively. The economic parameters of interest, such as the payback period and the internal rate of return of dryers were also estimated. The analysis shows that the corrugated solar conduction dryer (CSCD) gives the best performance as compared to the rest of the solar dryers when compared on the basis of economics and product quality attributes. [ABSTRACT FROM AUTHOR]

In this study, a real plot of abandoned agricultural land overgrown with forest in Russia has been surveyed. The amount of future CO2 sequestration by this forest for the next 20 years has been calculated by means of a mathematical model. The unprofitability of the 20-years climatic reforestation project on this land has been proved, based on the current price of carbon units in Russia and China, because Russia cannot enter the European carbon units' market. To improve profitability, it was proposed to combine the reforestation with timber harvesting, charcoal, natural fertilisers and forage production. Thus, the wood cut for maintenance is used partially for sale, partially for production of charcoal and partially left as a fertiliser on the cleared stripes, where meadow plants will be replaced with alfalfa, using technologies of zero soil treatment. The economic feasibility study has been performed based on the real capital and current expenses of the combined reforestation project. The positive Net Present Value and a very high Internal Rate of Return of the joint project, calculated by the methods of financial mathematics have indicated its economic viability and attractiveness for investors. [ABSTRACT FROM AUTHOR]

Cassava is a staple food in many countries, and this food source differs from other crops in that its processing generates a highly polluting and toxic residue (manipueira) that requires further treatment. The present study analyzed the economic feasibility of anaerobic digestion of manipueira for producing clean electricity through distributed generation (DG) while simultaneously eliminating toxic compounds. This eliminates the toxic residues. For this, an approach for the sizing of DG plants from manipueira biogas was presented, a non-trivial task which is not widespread in the literature. For two plants with different capacities, a deterministic economic analysis was carried out based on the criteria of Net Present Value, Internal Rate of Return, and Discounted Payback. Finally, the project risk was assessed through a sensitivity and stochastic analysis using Monte Carlo Simulation. The empirical verification was done on Brazilian data. When considering the NPV criterion, the results indicate a feasibility probability of 9.25% and 81.21% for scenarios 01 and 02, respectively. The results show that scale gains were important in reducing the impact of the investment and, at the same time, the larger scale of the project makes the cost of capital more relevant to the result. These findings show the need for subsidies for the investment, in addition to the promotion of specific credit lines that enable small-scale generation, or that can improve results in greater capacity. [ABSTRACT FROM AUTHOR]

This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based sentiment indicator positively predicts near-term returns and is inversely related to long-term returns in the cross-section. Simple trading strategies based on this sentiment indicator yield substantial abnormal returns. These results are consistent with the explanation that lack of synchronization induces rational arbitrageurs to exploit the mispricing before it is corrected. [ABSTRACT FROM AUTHOR]

The two-stage growth model (Danielson, 1998) empowers analysts to quantify the growth expectations supporting a firm's stock price. This article merges that two-stage growth model with the AIRR model developed by Magni (2010, 2013). The new model simplifies the calculation of the firm's expected competitive advantage period and the expected annual growth rate. The new model can be used to quantify expectations for both dividend and non-dividend paying firms and when the return on new investments or the required return on equity might not be constant in the future. [ABSTRACT FROM AUTHOR]

Predictive regression methods are widely used to examine the predictability of (excess) stock returns by lagged financial variables characterized by unknown degrees of persistence and endogeneity. We develop a new hybrid test for predictability in these circumstances based on simple regression t-statistics. Where the predictor is endogenous, the optimal, but infeasible, test for predictability is based on the t-statistic on the lagged predictor in the basic predictive regression augmented with the current period innovation driving the predictor. We propose a feasible version of this augmented test, designed for the case where the predictor is an endogenous near-unit root process, using a GLS-based estimate of the innovation used in the infeasible test regression. The limiting null distribution of this statistic depends on both the endogeneity correlation parameter and the local-to-unity parameter characterizing the predictor. A method for obtaining asymptotic critical values is discussed and response surfaces are provided. We compare the asymptotic power properties of the feasible augmented test with those of a (non augmented) t-test recently considered in Harvey et al. and show that the augmented test is more powerful in the strongly persistent predictor case. We then propose using a weighted combination of the augmented statistic and the t-statistic of Harvey et al., where the weights are obtained using the p-values from a unit root test on the predictor. We find this can further improve asymptotic power in cases where the predictor has persistence at or close to that of a unit root process. Our final hybrid testing procedure then embeds the weighted statistic within a switching-based procedure which makes use of a standard predictive regression t-test, compared with standard normal critical values, when there is evidence for the predictor being weakly persistent. Monte Carlo simulations suggest that overall our new hybrid test displays superior finite sample performance to comparable extant tests. [ABSTRACT FROM AUTHOR]

The attributes and dynamics of the profit rate distribution provide indispensable information on how the economy works. Edith Penrose, in The theory of the growth of the firm¸ took agency, managerial capabilities, heterogeneity and open-endedness as characteristic of the economy. Schumpeter had a similar view. Neoclassical theory, in contrast, envisages convergence to a standard rate of return, invoking inter-industry capital flows and diminishing returns as the main mechanism. I analysed the data on US manufacturing, 1987–2015. There was evidence of convergence, attributable to loss of supra-normal profits in two industries. The features of the distribution confirm Penrose's view. Neoclassical theory fares poorly: the data do not support 'a standard rate of return', and no plausible macro shock exists that could have produced the observed dispersion. The symmetry of the observed distribution indicates that neither market power nor intangible assets play major roles in determining the shape of the profit rate distribution; risk, however, is relevant if reformulated. Intersectoral capital flows were weak, and there was no evidence of diminishing returns. Penrose's conception of heterogeneous managerial capacity refers to a concept of economic power distinct from market power, corresponding to differential ex ante strength; differential profit outcomes represent ex post strength. [ABSTRACT FROM AUTHOR]

We compared the interim and final realized internal rate of return for liquidated buyout funds (238) and venture capital funds (233) in the U.S. from 1985 to 2019. The results revealed that buyout funds' interim performance tends to be underestimated, while that of venture capital funds can be underestimated or overestimated, depending on the period and associated global events. Further, we found that private equity funds' interim performance is affected by fund performance, investment stage, and stock market performance. These results were robust to other performance measures. Our findings will assist private equity investors, policy makers, and regulators to better evaluate interim performance reliability based on fair value estimates. [ABSTRACT FROM AUTHOR]

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of multiple returns and consider two additional sources of information: first, the stock index associated with the market factor and, second, the realized covariance matrix calculated from high-frequency data. The proposed dynamic factor model with the leverage effect and realized measures is applied to 10 top stocks composing the exchange traded fund linked with the investment return of the S&P 500 index and the model is shown to have a stable advantage in portfolio performance. [ABSTRACT FROM AUTHOR]

This article investigates the impact of systematic extreme correlations on the cross-section returns in the Chinese stock market. First, it extends the proposed extreme downside correlation (EDC) to the extreme upside correlation (EUC), and employs them to measure systematic tail risk. We find the asymmetry of systematic extreme correlations that EDC is always greater than EUC in the Chinese stock market. Then, we calculate the average returns of portfolios sorted by extreme measures and find that systematic extreme measures have a negative relationship with the Chinese stock returns. After controlling other potential variables such as size, lagged return, higher moments and higher co-moments, these two extreme correlation measures still have significantly negative relationship with stock returns. The results suggest that EDC and EUC help explain the cross-section returns of the Chinese stocks and manage tail risk for investors. [ABSTRACT FROM AUTHOR]

Grounded on the shareholder theory, this study aims to relate the effects of management systems standards (MSSs) ISO 9001, ISO 14001 and/or ISO 45001 on firm financial performance (FFP) in terms of return on equity (ROE) and dividend per share yield (DY). With a balanced data sample between 2010 and 2019 composed of more than 10,000 observations, this paper performs a two-step system generalised-method-of-moments model to find a causal relationship between single, double and triple certifications, and ROE and DY. The results find no impact of single certifications on FFP. However, double certifications that include ISO 9001 promote ROE. Furthermore, all multiple certifications are found to promote DY. It is then argued that operating with multiple MSSs promotes shareholder wealth. Thus, this research adds to the continuing academic discourse on the connection between MSS certifications and FFP by presenting findings from a worldwide longitudinal dataset. Additionally, it adopts a shareholder-focused perspective and introduces DY as a relevant FFP metric in this line of research. [ABSTRACT FROM AUTHOR]

Higher education accreditation has spread internationally as a vehicle for quality assurance and improvement but is strongly influenced by accreditation practices in the United States. The organisational structure and processes of seven United States health professions accreditors were analysed to identify common characteristics that reflect general fitness for purpose and infrequent features that show potential to enhance the effectiveness of accreditation processes, increase engagement of and support by accredited institutions and programmes and provide greater transparency. [ABSTRACT FROM AUTHOR]

This article examines how university students assess the coordination of the courses their programmes contain and how course coordination affects how content they are with their studies. The study is based on survey data from more than 5700 students, collected through Lund University's Student Barometer. The survey examines the students' views on course coordination based on content, workload, administrative procedures and whether or not teachers of different courses provide coherent information. The analysis shows that the coordination of courses has a significant impact on how students experience their studies. The better the course coordination, the more satisfaction students will get from their studies; and the correlation remains stable when several other factors of importance for student satisfaction are included in the analysis. The conclusion of the study is thus that course coordination clearly contributes to explaining variations in students' appreciation of their university studies. [ABSTRACT FROM AUTHOR]

The zero-lower bound (ZLB) may constrain the ability of Federal Reserve (Fed) to influence financial markets and the economy. This note examines the effectiveness of the interest rate channel and the credit channel of conventional and unconventional monetary policy while accounting for business cycle fluctuations. We use intraday industry returns and a number of industry-specific and firm-specific indicators to capture the sensitivity of firms' demand to interest rates (interest rate channel) and firms' financial constraints (credit channel). Our results indicate a dramatic change in the effectiveness of the transmission channels across business cycles and across periods. We find that the interest rate channel operates equally well during recessions and expansions pre-ZLB, but that this channel has ceased to function during the ZLB regardless of the stage of the business cycle. In contrast, the credit channel operates only during recessions in the conventional period, while it has been remarkably effective during both recessions and expansions in the ZLB era.1 [ABSTRACT FROM AUTHOR]

The unprecedented outbreak of Corona Virus Disease 2019 (COVID-19) has resulted in extreme volatility in stock markets. This study mainly examines the predictive ability of the Internet concern about COVID-19 on stock index returns, based on the framework of GARCH type models. Instead of using the whole sample period, we divide the Internet concern about COVID-19 into high-concern and low-concern periods by breakpoint test method and then examine its predictive ability for stock returns in different periods, respectively. Using stock indexes of 10 countries and abnormal Google search volume of 'coronavirus' as study samples, the results reveal that (1) the Internet concern about COVID-19 has a negative impact on the stock index returns in the whole and high-concern periods, while its influence in the low-concern period is mixed; (2) the Internet concern about COVID-19 improves the prediction accuracy of stock index returns in the high-concern period, while seems to lose its powerful predictive ability in the whole and low-concern periods. [ABSTRACT FROM AUTHOR]

We quantify a production-based asset pricing model with fixed and variable capitals based on the GMM structural estimation. The estimation results match the stylized characteristics of the U.S. stock market return and help enlighten the equity premium puzzle. In addition, the model performance is reliable throughout the business cycle. [ABSTRACT FROM AUTHOR]

This paper investigates the mediation effect of trading volume to explore the relationship between investor sentiment, measured as a volatility forecast (VIX), and the return of tech companies based on the mediation analysis. This paper focuses on Tesla, a list of the 30 largest technology companies and the MSCI World Index. It implements this mediation analysis by using an ARMA-EGARCH model for the time series of Tesla stock and the MSCI World Index returns and a Fixed-Effects regression model for stock returns of the list of 30 technology companies. Estimation results show that trading volume mediates the relationship between investor sentiment and stock returns. The mediating effect found in the case of Tesla and the MSCI World Index is much more present than regarding the list of companies. Furthermore, to obtain an all-encompassing analysis and create less dependence on proxy selection, additional mediation analyses are incorporated that include the 10-year Treasury yields, prices of the Swiss franc currency and the Baker-Wurgler index as investor sentiment proxies. The results show that the mediating effect of the trading volume is present also for these proxies providing more evidence that such a mediating effect is the underlying mechanism in stock markets. [ABSTRACT FROM AUTHOR]

In this study, we set out to construct a daily frequency climate risk index with the aim to explore the impacts of climate risk on the stock markets of advanced and emerging countries and green stocks. We adopt an approach similar to the Sharpe ratio to demonstrate the pricing of climate risk into stocks and therefore reexamine the (in)efficiency of these markets. We specify an econometric model to evaluate the predictive content of the climate risk index for stock returns. We find compelling evidence of market efficiency when climate risk is priced into the stocks and market inefficiency otherwise. Results from the predictability analyses indicate that about 85% of advanced stock markets, 17% of emerging stock markets, and 100% of green stocks have the capacity to protect investors against climate risk. Forecast evaluations reveal that the climate risk index is a good predictor of the stock returns only after controlling for the macroeconomic environment. We explore several robustness checks and highlight both investment and policy implications. [ABSTRACT FROM AUTHOR]

The attractiveness of the equities of the Islamic faith-compliant companies as a hedge or possible diversifier has been underscored; however, there is a lack of empirical research on their safe-haven and hedge attributes against changes in the level of cryptocurrency environmental attention (ICEA). We examine whether various distributions of the ICEA possess a significant predictive power on various quantiles of Islamic sectoral stock returns by employing weekly data on the ICEA and Shariah-compliant stocks from 10 sectors of economic activity and base their multi-scale analysis on the complete ensemble empirical mode decomposition (CEEMDAN) approach. We present the asymmetric causality-in-means and quantile-on-quantile regression between the ICEA and Islamic stocks. The empirical results show a significant predictive power of the ICEA on various quantiles of Islamic sectoral stocks in the medium- and long term. We find that the safe-haven and hedging attributes of investments in Islamic stocks are sector-dependent across the medium- and long-term scales. Hence, our findings emphasize that based on market states, possible safe-haven attributes, diversification opportunities, and hedges for cross-sectoral investments with Islamic stocks are viable along various investment horizons for diverse levels of cryptocurrency environmental attention. These findings provide original valuable insights for portfolio management and improving financial stability. [ABSTRACT FROM AUTHOR]

We propose an industry volatility spillover index and find that this new predictor has an impressive in-sample and out-of-sample predictability of aggregate stock returns. A one-standard-deviation increase in this index leads to a 4.14% increase in the expected excess return over the next month. Furthermore, a mean-variance investor can realize sizable economic gains by using this spillover index in his/her asset allocation. The forecasting power of the spillover index remains significant after controlling for popular economic variables and newly proposed predictors. Due to the absence of learning, the spillover index shows increasing predictive ability over the recent period. The economic origins of the spillover index's success stem from both the cash flow and discount rate channels, as well as significant association with investor sentiment and tail risk. The return predictability of this index is pervasive across characteristic-sorted portfolios and is particularly strong for large-cap or difficult-to-value stocks. [ABSTRACT FROM AUTHOR]

Payout policy constitutes one of the most important corporate financial decisions since dividends are essential factors in determining a firm's value. A dividend announcement generates a market signal which translates into changes in stock returns, impacting short-term price fluctuations and producing abnormal returns. The sample consists of 394 companies listed on the S&P500 index, from which 1574 dividend announcements and 7222 news items are derived during the years 2022–2023. News pieces are obtained from 58 specialized sources, and ChatGPT is used to automate the sentiment extracted from them. Using sentiment analysis, this paper shows the key role played by sentiments derived from financial news posted just after dividend announcements in predicting market reaction and helping investors to select optimal investment strategies. This paper contributes to the current literature, highlighting the influence that sentiments have on determining stock market returns. [ABSTRACT FROM AUTHOR]

The objective of this study is to explore whether four categories of investors overreact or underreact to specific black swan events in the Vietnam Stock Exchange (HSX) and whether their trading patterns can predict stock returns. We find evidence of the short-term overreaction/underreaction on the HSX. In particular, the study's findings indicate that domestic institutions and securities dealers tend to exhibit overreaction shortly after domestic black swan events, such as tensions in the East Sea and the arrest of a big manipulator, but exhibit underreaction shortly after international events, such as the Covid-19 pandemic and the Ukraine-Russia War. Conversely, foreign institutions tend to exhibit overreaction shortly after international events but exhibit underreaction shortly after domestic events. The outcome of this behaviour is that domestic institutions and securities dealers purchased the most and earned the highest return in the post-120-day period following the domestic black swan events, whereas foreign institutions gained the highest return in the post-120-day period following the global black swan events. Moreover, individual investors underreacted in all events and experienced negative returns over the window(+1, + 120). The findings also suggest that small firms tend to have greater price reversals than large firms. Finally, the study provides evidence of information leakage on the HSX. [ABSTRACT FROM AUTHOR]

This article shows that out-of-sample tests are susceptible to look-ahead bias not only to multiple testing problem that is emphasized in the literature. A forecaster often constructs a well-performing model without trial and error but with an intuition that is derived from observed empirical patterns in the test sample. Such an intuition, however, is unavailable in the beginning of the test sample. Therefore, the reported forecasting performance in an out-of-sample test is possibly exaggerated, although a forecaster simply utilizes her expertise without any intended p-hacking or fishing. A stylized forecasting model with an example of stock market return predictability quantitatively demonstrates this unintended look-ahead bias in out-of-sample tests. [ABSTRACT FROM AUTHOR]

This study examines the relationship between labor unions and firms' decisions to violate debt covenants. We find that firms with high unionization rates are more likely to violate debt covenants than firms with low unionization rates. This relationship is stronger for firms with larger cash reserves. Our analysis also reveals that debt covenant violations lead to a lower probability of a strike. Additionally, we find that high-unionization firms are in better financial condition prior to covenant violations than low-unionization firms. Our study confirms the existing literature by showing that long-term abnormal stock returns after covenant violations are significantly positive. However, our results also show that high-unionization firms experience smaller stock returns compared to low-unionization firms. Furthermore, we provide evidence that high-unionization firms tend to manipulate earnings downward before covenant violations. These findings suggest that firms may strategically violate debt covenants to gain bargaining flexibility and force labor unions to make concessions in subsequent negotiations. [ABSTRACT FROM AUTHOR]

Indonesia is a net salt importer with plans to eliminate salt import dependency through the industry's development and collaboration with higher education institutions. Considering net present value (NPV), internal rate of return (IRR), benefit–cost ratio (B/C ratio), and return on investment (ROI), this case study analyzes the economic feasibility of developing a mini salt production plant. All the economic indices suggest that the project is feasible, specifically NPV, IRR, net B/C ratio, and ROI are IDR 5.3 billion, 42.83%, 1.61, and 395% respectively over 10 years. Thus, the project is economically feasible and can help eliminate import dependency and the higher educational institution's outstanding contribution. [ABSTRACT FROM AUTHOR]

How do investors' risk preferences influence the relationships between investors' online channel use intensity and both their trading behaviors and performance? This study answers this important question even as investors are increasingly rely on the Internet for their trading activities. We leverage rare and unique micro-level historical dataset from more than 7,000 investor accounts over a 44-month period between 2010 and 2013 at a large brokerage firm in China. The dataset and analyses enable us to provide new insights into how investors' online channel use intensity and risk preferences jointly influence their trading behaviors and performance, even though some other aspects of financial markets have changed considerably over the years. The findings reveal that although online channel use intensity is associated with increased trading volume, trading frequency, and investment returns, these effects differ across investors with different risk preferences. We find that while online channel use intensity has strong positive effects on transaction frequency for both risk-seeking and risk-averse investors, it has a much lower effect on trading volume for risk-averse investors than for risk-seeking investors. We further find that risk-averse investors with higher online channel use intensity outperform investors with other risk preferences in terms of investment performance. This paper contributes to the emerging literature at the intersection of information systems and behavioral finance by revealing the moderating role of risk preferences in the relationships between investors' online trading channel use intensity and both their trading behaviors and outcomes. We discuss the implications for research and practice. [ABSTRACT FROM AUTHOR]

Using the augmented Dickey-Fuller test to verify the existence of a unit root in an autoregressive process often requires the correctly specified intercept, since the test statistics can be distinctive under different model specifications and lead to contradictory results at times. In this article, we develop a unified inference that not only unifies the specifications of the intercept but also accommodates different degrees of persistence of the underlying process and heteroscedastic errors. A simulation study shows that the resulting unified unit root test exhibits excellent size control and reasonably good power. In an empirical application, we implement the proposed test to re-examine the presence of unit roots within eleven widely used variables in stock return predictability. [ABSTRACT FROM AUTHOR]

The Lymphoma Diagnostic Pathway (LDP) was developed based upon clinical best practice guidelines and implemented in large urban centers where lymphoma treatment is provided in Alberta, Canada. A return-on-investment analysis of the implementation of this care pathway was conducted to inform future sustainability and expansion. A cohort design with propensity score matching and difference-in-difference estimation methods were used comparing both cost and return (reduced health service utilization) between patients who were diagnosed within the LDP and those who were diagnosed outside the LDP. LDP resulted in $1800 avoided HSU costs per patient. The LDP has been found to be cost-saving with an ROI of 5.3 (ranging from 3.95–8.97) – for every $1 invested, LDP resulted in a $5.30 return for the health system due to capacity improvements in ED, inpatient, outpatient, and a reduction in GP service utilization. Further study of implementation including patient/provider satisfaction and uptake is recommended. [ABSTRACT FROM AUTHOR]

The real rate of return to capital plays a vital part in the economy in evaluating the contribution of capital investment to the economic growth. As it is also a key variable in estimating the economic opportunity cost of capital for use as the economic discount rate in investment decision-making. The objective of this study is to estimate the economic real rates of return to reproducible and remunerative capital of the EAC economies. The results indicate that the real rates of return to reproducible capital over the period 1999–2016 have averaged 10.70% in Kenya and Rwanda, while it averaged 12.05% and 9.86% in Tanzania and Uganda, respectively. With regard to the marginal rates of return to remunerative capital, the results suggest that EAC countries have averaged 16.28%, 16.21%, 15.07% and 14.49% in Tanzania, Rwanda, Kenya and Uganda, respectively, over the same period. [ABSTRACT FROM AUTHOR]

Tahiti limes were an important fruit tree crop in South Florida until the late 1990s. Several factors contributed to the demise of the Florida lime industry, namely the impact of hurricane Andrew in 1992 and the arrival of Citrus Canker (CC) in 1995. The Florida lime industry was then eradicated in the early 2000s to protect the main commercial citrus industry from CC. This article focuses on the financial viability of reintroducing Tahiti lime production in South Florida. A total of 20 Tahiti lime scion/rootstock combinations were evaluated under endemic CC and Citrus Greening (CG) conditions. We created a deterministic and a stochastic budget to evaluate the feasibility of reintroducing Tahiti limes in South Florida that incorporated yields from experimental plots. We also implemented a financial analysis, that included net present value (NPV) and internal rate of return (IRR) estimations, for a 20-year period with the Tahiti lime/citrus macrophylla (TL/CM), the best performing scion/rootstock combination. Our findings indicated that Tahiti lime production in South Florida was not financially feasible; we obtained a negative NPV from both the deterministic and stochastic budgets. We conclude with a discussion of potential scenarios for the Tahiti lime industry in the US and on lessons for other crops that face similar production challenges. [ABSTRACT FROM AUTHOR]

Research in multiple internal rate of return (MROR) has mainly focused on three areas: uniqueness, conditions where MROR occur, and solutions to MROR. In an attempt to solve for MROR, researchers have assumed that the occurrence of MROR is prevalent and thus a solution is direly needed. This article examines the probability that positive MROR would occur when variation is incorporated into the cash flow and the probability of getting positive MROR when multiple sign-change cash flow is generated. Results show that the probability of positive MROR occurring in multiple sign-change cash flows is relatively low and potentially a rare event. [ABSTRACT FROM PUBLISHER]

In Capital in the Twenty-First Century, Thomas Piketty (2014) explains growing income inequality via the difference between the rate of return on capital and the growth rate of the economy: the "r > g" inequality. Even if it is true that r > g leads to increasing inequality, nearly every school of economic thought predicts that r will fall as the economy grows. Thus, for Capital (2014) to be a comprehensive theory of inequality, a more adequate theory of r is required. I term this the "Piketty Problem." I offer a solution to this problem from an institutionalist perspective. [ABSTRACT FROM AUTHOR]

This article analyses the stock returns of Chinese pharmaceutical and healthcare companies in response to the announcements of medical reform and Covid-19 vaccines, which are underexplored in the literature. Medical reform in China removes all drug markups of public hospitals; we find that the announcement of medical reform might not negatively impact the overall stock returns but only negatively impact young firms and small firms. Meanwhile, Covid-19 vaccines are deemed to be important weapons against the virus; we find that the announcements of Covid-19 vaccine approvals positively impacted the overall stock returns but did not benefit young firms and small firms. Our results imply that investors of the pharmaceutical and healthcare industries generally favour old firms and large firms when important medical news emerges. [ABSTRACT FROM AUTHOR]