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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]

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]

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]

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]

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]

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]

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]

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]

Abstract: This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year time periods as well as over longer periods. We find statistically and economically significant performance persistence for time horizons of up to 36 months, although persistence is much more pronounced for the top and bottom performers. Thus, past performance of European mutual funds have explanatory power for future performance and investors can obtain useful evidence from past performance data. [Copyright &y& Elsevier]

Abstract: To put solar thermal energy back into the briefings of investors, executives and financial officers, SOLID has proven that financing of large scale solar thermal plants has controllable risks and strong return. [Copyright &y& Elsevier]

Abstract: Should investors diversify across emerging stock markets or across industries to achieve improvements in their risk–return tradeoffs especially during financial crisis periods? We examine the issue using individual firm data from a selection of emerging markets and including the period of the 1997 Asian financial crisis. We find that country effects were the dominant force behind the low co-movements among emerging stock market returns. There is evidence of increased industry effects beginning at the time of the Asian financial crisis, but this may have been a temporary phenomenon associated with contagion effects during the crisis. [Copyright &y& Elsevier]

Abstract: The size effect implies that small firms experience large returns. This paper examines the size effect pattern on the Romanian stock market. The observation period was divided into sub–periods: January 2003 – December 2007 before crisis and January 2008 – December 2010 during crisis. We found that the size effect does not occur either before the financial crisis, or during the crisis. In the first part of the paper a review of literature regarding the existence of the size effect on different markets is presented. It could have been observed that the size anomaly is present and robust through the years in most countries of the world. Further on, the paper presents the methodology and the data that were used, but also the empirical results that were obtained for each observation period. In the last part of the paper, the conclusions that resulted from the analyses are presented, along with their importance for the investors when choosing an investment strategy. [Copyright &y& Elsevier]

Abstract: Using monthly foreign flows data on Istanbul Stock Exchange (ISE) and employing a structural VAR model, we analyze the interaction between foreigners'' trading and emerging stock returns. In contrast to most of the available theory and repeated previous findings on other markets, foreign investors negative-feedback-trade with respect to past local returns in ISE, however only in rising markets and especially under macroeconomic instability. Net foreign flows forecast future market returns, but not individual stock returns. Price impacts are permanent, suggesting that foreigners'' trading incorporates information. Overall, results reject previous conclusions that foreigners are uninformed positive feedback traders: rather, they are a heterogeneous group dominated by sophisticated investors able to rationally adjust their trading style in line with the market''s prevailing characteristics. [Copyright &y& Elsevier]

Abstract: This paper examines the link between over-subscription and pre-listing information in fixed-price IPOs. We find a strong negative relation between investors'' opportunity cost of fund and over-subscription. Since investors are required to make upfront payment at the time of IPO applications, lengthy offer period increases investors'' opportunity cost of fund and thus reduces their interests in the IPOs. To increase over-subscription, firms should time their IPOs to coincide with periods of large positive initial returns and low volume of IPO activity. We find that over-subscription is negatively correlated with offer price but is not significantly related to issue size. [Copyright &y& Elsevier]

Abstract: Weak-form efficiency in the stock markets of the Gulf Cooperation Council is examined using daily, weekly, and monthly index data for the 10-year period 2000–2009. Various variance ratio test specifications with specific homo- and heteroscedasticity assumptions found evidence of nonlinear dependence for the daily data, supporting the evidence in favor of a rejection of the random walk. A correction procedure for thin and nonsynchronous trading was applied but failed to produce significantly different results. Following an ARCH based model building procedure, conditional heteroscedasticity models are applied to the log return series. Significant differences in forecasting performance cannot be detected. The random walk hypothesis is generally rejected for daily but differences appear across markets using weekly and monthly data. The increased involvement of foreign institutional investors may play a role in the increased serial correlation in stock returns in the most recent period. [Copyright &y& Elsevier]

Abstract: We document that within industry relative valuations implicit in analyst target prices do provide investors with valuable information although the implied absolute valuations themselves are much less informative. Importantly, our findings are not merely a small stock phenomenon but apply to the sample of S&P 500 stocks and do not rely on trading at the exact time of announcement. Using a large database of target price announcements from 1997 to 2004, we construct a simple strategy based on target price implied relative valuations and show that the resulting abnormal return is both economically and statistically significant and not easily explained by transaction costs alone. [ABSTRACT FROM AUTHOR]

Abstract: This paper has three main contributions to the literature on investor herds. First, it extends investor herding studies to an emerging yet relatively sophisticated Taiwanese stock market at the sector level by using firm level data. Second, it employs different methodologies designed to test the existence of investor herds to better understand the sources of herd behavior. Third, it discusses the implications of different herding measures for investors exposed to systematic and unsystematic risks. We find that the linear model based on the cross-sectional standard deviation (CSSD) testing methodology yields no significant evidence of herding. However, the non-linear model proposed by and the state space based models of lead to consistent results indicating strong evidence of herd formation in all sectors. We also find that the herding effect is more prominent during periods of market losses. Our results suggest limited diversification opportunities for investors in this market, especially during periods of market losses when diversification is most needed. Further research is necessary to see whether similar findings hold for other emerging markets. [ABSTRACT FROM AUTHOR]

Abstract: We document the phenomenon of under-pricing initial public offerings (IPOs) for 47 Gulf firms that went public between 2001 and 2006. The IPOs had, on average, initial abnormal returns of 290 percent, far exceeding those documented for both developed and emerging markets. In aftermarket performance, we find that these IPOs provide investors with negative abnormal returns over a one-year period, which seems to be consistent with findings in other industrial and emerging markets. The empirical models fail, however, to provide us with a satisfactory explanation using the common independent variables employed in the literature. Nevertheless, it appears that country- and industry-specific characteristics, in addition to the timing of the offers, play a key role in explaining IPO behavior in the region. This paper''s empirical findings support the hypothesis that investors are initially over-optimistic about an IPO''s performance, but grow more pessimistic over time. [Copyright &y& Elsevier]

Abstract: This paper tests how effective global models are at pricing the cross section of emerging market (EM) stock returns over a recent post-liberalization period. We apply the tests of Kan et al. (2009). Our results show that conditional models and currency factors do perform better than unconditional models and single factor models and there are some differences in the models in the two subperiods of our data. The important implication of this paper for international investors is none of our results are significant when we allow for model misspecification and none of the alternative models specifically outperform the World CAPM. [Copyright &y& Elsevier]

Abstract: Unlike markets for storable commodities, electricity markets depend on the real-time balance of supply and demand. Although much of the present-day grid operate effectively without storage technologies, cost-effective ways of storing electrical energy can make the grid more efficient and reliable. This work addresses an economic comparison between emerging and traditional Electric Energy Storage (EES) technologies in a competitive electricity market. In order to achieve this goal, an appropriate Self-Scheduling (SS) approach must first be developed for each of them to determine their maximum potential of expected profit among multi-markets such as energy and ancillary service markets. Then, these technologies are economically analyzed using Internal Rate of Return (IRR) index. Finally, the amounts of needed financial supports are determined for choosing the emerging technologies when an investor would like to invest on EES technologies. Among available EES technologies, we consider NaS battery (Natrium Sulfur battery) and pumped-storage plants as emerging and traditional technologies, respectively. [Copyright &y& Elsevier]

Abstract: Low credit risk firms realize higher returns than high credit risk firms. This is puzzling because investors seem to pay a premium for bearing credit risk. The credit risk effect manifests itself due to the poor performance of low-rated stocks (which account for 4.2% of total market capitalization) during periods of financial distress. Around rating downgrades, low-rated firms experience considerable negative returns amid strong institutional selling, whereas returns do not differ across credit risk groups in stable or improving credit conditions. The evidence for the credit risk effect points towards mispricing generated by retail investors and sustained by illiquidity and short sell constraints. [Copyright &y& Elsevier]

Abstract: Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predicts that idiosyncratic risk should be priced when investors hold sub-optimally diversified portfolios, and cross-sectional stock returns should be positively related to their idiosyncratic risk. However, the literature generally finds a negative relationship between returns and idiosyncratic risk, which is more consistent with Miller''s [1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168] analysis of asset pricing under short-sale constraints. We examine the cross-sectional effects of idiosyncratic risk while explicitly recognizing the confounding effects that dispersion of beliefs and short-sale constraints produce in the Merton framework. We find strong support for Merton''s [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] model among stocks that have low levels of investor recognition and for which short selling is limited. For these stocks, the relation between idiosyncratic risk and expected returns is positive, as predicted by Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510]. [Copyright &y& Elsevier]

Abstract: In strategy of investment, an important thing for investors is to correctly predict firm’s revenue growth rate (RGR), which is an effective evaluation indicator for them to see how big the potential power of future development is and measure how about the growth of future development for a target firm that may be selected to investment portfolios. However, conventional methods of forecasting RGR have some shortcomings such as statistical methods based on strict assumptions of linearity and/or normality limit applications in real world. Additionally, due to rapid changing of information technology (IT) today, some techniques (i.e. rough sets and data mining tools) have become important research trends to both practitioners and academicians. With these reasons above, a new procedure, using the feature selection method and rough sets classifier, is proposed to extract decision rules and improve accuracy rate for classifying RGR. In empirical study, an actual RGR dataset collected from publicly traded company of stock markets is employed to illustrate the proposed procedure. The experimental results of RGR dataset analyses indicate that the proposed procedure surpasses the listing methods in terms of both higher accuracy and fewer attributes, and the output of proposed procedure is to generate a set of easily understandable decision rules that are readily applied in knowledge-based investment systems by investors. [Copyright &y& Elsevier]

Abstract: Lowering psychological pressure of investors and increasing the futures trading profit are the main purposes of this paper. First of all, this study aims to transfer profit curve (PC) generated by a non-AI-based trading strategy into technical indices, and enable clustering of high-low points of PC to display high–low point signals through some AI-based methods such as Grey Clustering, SOM and K-mean. Next, it attempts to close the transaction with high-point signal, and then open a position at low-point one, thus constructing three groups of profit refiners: GCR (Grey Clustering Refiner), SOMR (SOM Refiner) and KMR (K-Mean Refiner). Finally, the features of these refiners are analyzed to evaluate the test results using some performance indices. SOMR could improve the profit to the greatest possible extent, followed by GCR and KMR; on the other hand, KMR could lower psychological pressure, followed by SOMR and GCR. As a whole, three groups of refiners can really improve the profit and alleviate psychological burden of investors. [Copyright &y& Elsevier]

Abstract: Anecdotal evidence suggests and recent theoretical models argue that past stock returns affect subsequent stock trading volume. We study 3,000 individual investors over a 51 month period to test this apparent link between past returns and volume using several different panel regression models (linear panel regressions, negative binomial panel regressions, Tobit panel regressions). We find that both past market returns as well as past portfolio returns affect trading activity of individual investors (as measured by stock portfolio turnover, the number of stock transactions, and the propensity to trade stocks in a given month). After high portfolio returns, investors buy high risk stocks and reduce the number of stocks in their portfolio. High past market returns do not lead to higher risk taking or underdiversification. We argue that the only explanations for our findings are overconfidence theories based on biased self-attribution and differences of opinion explanations for high levels of trading activity. [Copyright &y& Elsevier]

Abstract: As part of their model to explain short-term positive and long-term negative auto-correlation in stock returns, Barberis, Shleifer, and Vishny [1998. A model of investor sentiment. Journal of Finance 49, 307–345] suggest that investors may extrapolate trends in earnings performance. I test this portion of their model by examining investor trading patterns in firms that experience consecutive same-sign earnings surprises. Consistent with their model, after controlling for regularities in trading activity, I find that the net buying of small investors increases with the number of consecutive positive earnings surprises. I further find that purchasing activity of small investors subsequent to consecutive positive surprises is significantly negatively correlated with returns throughout the remainder of the year. These results suggest that such investors are not simply rationally updating after public news announcements. My results are robust to controlling for auto-correlation in earnings surprises. [Copyright &y& Elsevier]

Abstract: Portfolio selection is a resource allocation problem in a finance market. The investor’s asset optimization requires the distribution of a set of capital (resources) among a set of entities (assets) with the trade-off between risk and return. The ANN with nonlinear capability is proven to solve a large-scale complex problem effectively. It is suitable to solve NP-hard resource allocation problem. However, the traditional ANN model cannot guarantee the summation of produced investment weight always preserves 100% in output layer. This article introduces a resource allocation neural network model to optimize investment weight of portfolio. This model will dynamically adjust the investment weight as a basis of 100% of summing all of asset weights in the portfolio. The experimental results demonstrate the feasibility of optimal investment weights and superiority of ROI of buy-and-hold trading strategy compared with benchmark Taiwan Stock Exchange (TSE). [Copyright &y& Elsevier]

Abstract: Recently, researchers have gone a step further from just documenting biases of individual investors. More and more studies analyze how experience affects decisions and whether biases are eliminated by trading experience and learning. A necessary condition to learn is that investors actually know what happened in the past and that the views of the past are not biased. We contribute to the above mentioned literature by showing why learning and experience go hand in hand. Inexperienced investors are not able to give a reasonable self-assessment of their own past realized stock portfolio performance which impedes investors'' learning ability. Based on the answers of 215 online broker investors to an Internet questionnaire, we analyze whether investors are able to correctly estimate their own realized stock portfolio performance. We show that investors are hardly able to give a correct estimate of their own past realized stock portfolio performance and that experienced investors are better able to do so. In general, we can conclude that we find evidence that investor experience lessens the simple mathematical error of estimating portfolio returns, but seems not to influence their “behavioral” mistakes pertaining to how good (in absolute sense or relative to other investors) they are. [Copyright &y& Elsevier]

Abstract: This paper shows that the diversification choices of individual investors influence stock returns. A zero-cost portfolio that takes a long (short) position in stocks with the least (most) diversified individual investor clientele generates an annual, risk-adjusted return of 5–9%. This spread reflects the combined effects of sentiment-induced mispricing, narrow risk framing, and asymmetric information, where the sentiment effect is the strongest. Furthermore, the influence on returns is stronger among smaller, low institutionally owned, and hard-to-arbitrage stocks. These results are robust to concerns about relatively short sample size, improper factor model specification, slow information diffusion, and high transactions costs. [Copyright &y& Elsevier]

Abstract: We study a game between a group of rich country investors and a group of developing countries. Countries adopt policy reform to raise the return to and try to attract foreign investment. We focus on the interaction between investors’ incentives to acquire country-specific information on the incidence of reform and countries’ incentives to undertake reform. Uninformed investors may still invest in the region based on a costless signal of the regional average return. In this case, reform is a regional public good. We show that equilibria exist with no investment and no reform, with partial reform and blanket investment by uninformed investors, and with partial reform and targeted investment by informed investors. However, it is almost impossible to sustain complete reform as an equilibrium. [Copyright &y& Elsevier]

Abstract: According to behavioral finance''s study, investors'' behavioral biases will be reflected in the distribution of return rates. This article constructs a numerical simulation scheme to study the return rate distributions under the influences of overconfidence and regret aversion and shows that, compared with the normal distribution under the Efficient Market Hypothesis, the simulated distributions have higher peaks and fatter tails, and they are skewed to the left with the left tails thicker than the right ones. Moreover, the height of peaks and the thickness of tails will decrease as the time horizons for the returns become longer. Further numerical experiments illustrate that, forthe simulated distributions, when the time lag of reaction increases, the kurtosis of the simulated distribution has an obvious increase, and the left tail tends to decrease; when under-reaction aggravates, the kurtosis and the thickness exhibit a concurrent increase; when the degree of over-reaction becomes large, the right tail has an obvious increase; the right tail is insensitive, whereas the thickness of the left tail tends to decrease with the increase of the disposition effect. [Copyright &y& Elsevier]

Abstract: This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the investor’s return at a given threshold confidence level; by another chance criterion, the objective is to maximize the credibility of achieving a specified return level subject to the constraints. To provide a general method to solve the new models, a hybrid intelligent algorithm integrating fuzzy simulation and genetic algorithm is designed in the paper. Two numerical examples with security returns taking different types of membership function are also given to illustrate the modelling idea of the paper and to demonstrate the effectiveness of the proposed algorithm. [Copyright &y& Elsevier]

Abstract: We use a panel of more than 100,000 investor accounts in US stocks over the period 1991–1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst-based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors hypothesis and the uncertainty/asymmetric information hypothesis. We find evidence that supports the sidelined-investors hypothesis. We show that the dispersion of opinion of the investors in a stock is positively related to the contemporaneous returns and trading volume of the stock and negatively related to its future returns. Moreover, dispersion of opinion aggregates across many stocks, providing additional explanatory power in a standard asset pricing model. We also show that dispersion of opinion among retail investors Granger-causes dispersion of opinion among analysts. [Copyright &y& Elsevier]

This paper looks at the investment allocation process employed by portfolio investors in emerging markets. In particular, it examines the first of a two-stage decision process: first, investors create a sub-set of investable countries to be analyzed later in further detail; second, they weigh expected returns versus risk and subsequently allocate their funds. This study hypothesizes that the determination of whether a country is investable or not is influenced by a number of factors, especially related to size, quality of “housekeeping” (macro-policies, political economy, local financial markets, corporate governance, etc.) and efficiency of “plumbing” (legal and regulatory framework, custody, clearing and settlement, taxes, etc.). By interviewing many types of these investors in both the United States and the United Kingdom, we delve into their decision-making processes as well as attempt to uncover the factors they indicate matter most in defining the investable universe. We determine the relative importance of such housekeeping and plumbing factors while highlighting the role of external issues, such as index benchmarking and U.S. foreign policy. We recognize from the outset that the most profound effects on investment flows, or the required minimum expected returns, arise from improvements or deteriorations in macro-policies. However, at the margin, improvements can be made in country policies that will, for a given macro-situation, improve the ability of a country to attract international investment flows. [Copyright &y& Elsevier]

• A cloud theory-based multi-objective portfolio selection model is proposed. • The crisp numerical characteristics of the cloud model theory are defined. • The acceptance and rejection functions with variable risk appetite are constructed. • A compromise programming approach is utilized to aggregate the objectives. • Several schemes as per investors' preferences regarding all objectives are devised. This study proposes a cloud theory-based multi-objective portfolio selection model with variable risk appetite, which incorporates four objectives of mean, variance, skewness, and liquidity constrained by several realistic constraints. Cloud model theory is employed to characterize the return rates and liquidity of assets due to the superiority of simultaneously capturing the ambiguity and randomness of information. The crisp numerical characteristics of the cloud model are defined to obtain the crisp form of the proposed model. To highlight and portray the investors' risk (averse-neutral-seeking) appetites, the generalized acceptance and rejection functions are modeled by using the extreme values of each objective and introducing a variable risk appetite parameter. Thus the corresponding model is transformed with the objective functions of maximizing acceptance and minimizing rejection, which is solved through the compromise programming approach. The extended model provides investors with an opportunity to adjust risk parameters according to current market status. Moreover, the preference ratio vector is introduced when optimizing, which provides investors with overall control over the preferences regarding all objectives, so that investors can derive optimal portfolios well compatible with their expectations through customized weighting schemes. A real-world empirical application is presented to demonstrate the effectiveness of the proposed model [ABSTRACT FROM AUTHOR]

A NUMBER OF FACTORS ARE MAKING ROMANIA EMERGE AS AN ATTRACTIVE AND ALTERNATIVE LOCATION FOR RENEWABLE ENERGY INVESTORS WHO ARE INCREASINGLY CONCERNED ABOUT LOWER RETURNS FROM MORE ESTABLISHED MARKETS IN THE WESTERN EUROPEAN COUNTRIES: INCREASING DEMAND; LOW PENETRATION OF RENEWABLES; A GOVERNMENT MANDATE SPECIFYING THAT A CERTAIN PORTION OF ELECTRICITY MUST COME FROM CLEAN SOURCES BY 2010; NOT TO MENTION GOOD DIRECT INCENTIVES FOR WIND DEVELOPMENT. [Copyright &y& Elsevier]