WWW.THESIS.DISLIB.INFO
FREE ELECTRONIC LIBRARY - Online materials, documents
 
<< HOME
CONTACTS



Pages:     | 1 |   ...   | 24 | 25 || 27 |

«Equity Style Investing RONG, WU How to cite: Equity Style Investing, Durham theses, Durham University. RONG, WU (2013) Available at Durham E-Theses ...»

-- [ Page 26 ] --

First, it should make sense to extend the sample to the latest available data to test whether the basic findings are still hold. The sample data used in this research is till the end of 2004. Over the past 8 years global financial markets have undergone some fundamental changes.

As major financial markets collapsed during 2007-2008 due to credit crunch, several most influential large investment firms have had their share prices plummet as a result of such subprime bust29. While this

For example, Lehman Brothers reported a loss over $2.8 billion for the second

quarter of 2008. Its stock price had fallen over 62% till 24 June 2008. The global financial service firm eventually has to declare bankruptcy, which was the largest bankruptcy in U.S. history. Other firms like Merrill Lynch reported an $8.6 billion net loss on 17 January 2008, while on 15 January 2008 Citigroup reported a fourth quarter net loss of $9.83 billion, including $18.1 billion in pre-tax write downs on its subprime investment. Similarly, UBS shut down one of its hedge funds in 2007 due to loss of $123 million assets and also reported a $4.4 billion loss on fixed-income securities for the third quarter 2007.

research does not contain stocks in the financial service industry, the collective market behaviour of these global key players arguably would inevitably cause excess volatility of other assets in the stock market and therefore affecting the asset pricing dynamics. By extending the research sample to contain the most recent credit crunch period, one is able to test the sensitivity of the findings and more reliable test results should be yielded. While this research is mainly based on the U.K stock market, it is also interesting to cover other developed markets that have different institutional environment30.

Second, the style investing strategies discussed in this thesis often contains the structure of short selling. In market practice this process involves using of borrowed shares that are often from brokerage firms or institutional investors based on collateral. Short selling introduces costs. D’Avolio (2002) shows that the value-weighted cost to borrow stocks is 0.25% annually. In addition to the short selling cost, there exists general transaction cost in the market trading activity. Chan and Lakonishok (1997) argue that in the NYSE market the average round-trip transaction cost for small-cap and large-cap stocks are 3.31% and 0.90%, respectively. It is argued that academics generally underestimate the impact of such transaction cost in the empirical research (c.f. Sadka (2004), Lesmond et al. (2004), Hanna and Ready (2005)). Indeed, momentum effects are more pronounced in small size stocks with wider bid-ask spread, and such strategy requires frequent rebalancing that results in high turnover. This would suggest that it is important to incorporate the impact of various trading cost in the style investing strategies. Hence it makes sense to explore if the empirical findings still hold once possible trading costs are adjusted.

Third, the optimal style portfolio allocation examined in Chapter 5 is based on the assumption that investors face a single-period case to maximise their mean-variance objective. However the optimal choice Recent study of Chao et al. (2012) examines the equity style momentum strategies in major international markets. However, their work mainly focuses on the testing part, rather to explore the underlying reason for the profitability of such strategies.

based on multi-period is not covered yet. Indeed, instead of the single period case investors may also wish to maximise their utility following a multi-period investment scenario. It makes sense to conduct the study of such multi-period optimal style allocation problem and also compare the results with that derived from the single-period case.

Fourth, Chapter 5 uses the risk-adjusted returns in the study. It will be very interesting to conduct a similar research based on the excess returns to the market index. The optimal style investing based on such excess returns captures the gain from beating an index with low tracking errors and is therefore equivalent to an ‘active indexation’ strategy, and the optimal weights can be interpreted as ‘active weights’.

Since market index also exposes to the business cycle effect, it is interesting to compare if the underlying optimal style policy would change given the two research schemes. Additionally, in response to the concerns that Markowitz optimal framework often yields extreme long-short weights (c.f. Best and Graner (1991)) due to the imprecise estimation of stock return moments, it makes sense to follow the use of shrinkage to improve estimates of means (c.f. Jagannathan and Ma (2003)).

Bibliography Aarts, F. and T. Lehnert, 2005, On style momentum strategies, Applied Economics Letters, 12, 795-799.

Ahmed, Parvez, Larry Lockwood and Sudhir Nanda, 2002, Benefits of Multi-Style Rotation Strategies, Journal of Portfolio Management, v.28(3), 17‐29.

Ait-Sahalia, Y., M. Brandt, 2001, Variable selection for portfolio choice, Journal of Finance, 56, 1297-1351.

Alan Gregory, Richard D.F. Harris, Maria Michou, 2001, An Analysis of Contrarian Investment Strategies in the UK, Journal of Business Finance & Accounting, Volume 28, Issue 9-10, pages 1192–1228 Amenc, N., S. El Bied, and L. Martellini, 2003, Evidence of Predictability in Hedge Fund Returns and Multi-Style Multi-Class Style Allocation Decisions. Financial Analysts Journal Amihud, Y. and Mendelson, H., 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17(2), 223-249.





Ang, A. and G. Bekaert, 2004, How Regimes Affect Asset Allocation.

Financial Analysts Journal Vol. 60 (Issue 2): p86.

Antoniou, A., Galariotis, E.C., and Spyrou, S.I., 2005, Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange, European Financial Management, Vol.11, No 1, pp. 71-98.

Arnott, R.D., Kelso Jr., C.M., Kiscadden, S., Macedo, R., 1989, Forecasting factor returns: an intriguing possibility, Journal of Portfolio Management, 28–35.

Arshanapalli, B., T.D. Coggin and J. Doukas, 1998, Multifactor asset pricing analysis of international value investment strategies, The Journal of Portfolio Management 24, 10-23.

Arthur Rabatin, 1997, Adaptive Portfolio Trading Strategies for Forex Portfolios, BNP Working Papers Issue 4.

Asness Clifford S., 1997, The Interaction of Value and Momentum Strategies, Financial Analysts Journal, March/April 1997 Asness Clifford S., Liew, J., Stevens, R., 1997, Parallels between the cross-sectional predictability of stock returns and country returns.

Journal of Portfolio Management 23, 79–87.

Asness Clifford S., Porter, R. Burt and Stevens, Ross L., 2000, Predicting Stock Returns Using Industry-Relative Firm Characteristics, Available at SSRN: http://ssrn.com/abstract=213872 Avramov, Doron, 2002, Stock return predictability and model uncertainty, Journal of Financial Economics 64, 423–458 Avramov, Doron, and Tarun Chordia, 2006a, Asset Pricing Models and Financial Market Anomalies, The Review of Financial Studies 19, 1001-1040.

Avramov, Doron, and Tarun Chordia, 2006b, Predicting Stock Returns, Journal of Financial Economics 82, 387-415.

Ball, R. and P. Brown, 1968, An empirical evaluation of accounting numbers, Journal of Accounting Research 6, 159-178.

Ball, Ray, 1978, Anomalies in relationships between securities yields and yield-surrogates, Journal of Financial Economics 6, 103-126.

Banz, R., Breen, W.J., 1986, Sample-dependent results using accounting and market data: some evidence. Journal of Finance 41, 779-793.

Banz, Rolf W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics, 9, 3-18.

Barber Brad. M. and John D. Lyon, 1997, Firm-size, book-to-marketratio, and security returns: A holdout sample of financial firms, Journal of Finance 52, 875-883.

Barberis, N. and Thaler, R., 2003, A Survey of Behavioral Finance.

Handbook of the Economics of Finance, Constantinides. Harris and Stulz (eds.). Elsevier. Ch.18.

Barberis, N., 2000, Investing for the long run when returns are predictable, Journal of Finance 55, 225–264.

Barberis, N., A. Shleifer, and R. Vishny, 1998, A Model of Investor Sentiment, Journal of Financial Economics, 49, 307-343.

Barberis, Nicholas, and Andrei Shleifer, 2003, Style Investing, Journal of Financial Economics 68, 161-199.

Barry, C.B., E. Goldreyer, L. Lockwood and M. Rodriguez, 2002,

Robustness of size and value effects in emerging equity markets:

1985-2000, Emerging Markets Review 3, 1-30.

Barry, Christopher B and Laura T Starks, 1984, Investment management and risk sharing with multiple managers, Journal of Finance 39, 477-491 Basu, S., 1977, Investment performance of common stocks in relation to their price-earings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663-682.

Basu, Sanjoy, 1983, The Relationship between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence, Journal of Financial Economics 12, 129-156.

Bauer, R. and R. Molenar. 2002, Is the Value Premium Predictable in Real Time? Working paper, Maastricht University.

Ben Bernanke and Mark Gertler, 1989, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, Vol. 79(1), 14-31 Berk, J. B., 1995, A critique of size-related anomalies, The Review of Financial Studies (1986-1998) 8(2), 275-286.

Berk, J., Green, R. and Naik, V., 1999, Optimal Investments, Growth Options, and Security Returns, Journal of Finance 54:1153 – 1607.

Berk, J.B.,1996, An Empirical Re-Examination of the Relation Between Firm Size and Return, Revised Working Paper, School of Business Administration, University of Washington, Oct. 1996.

Bernanke, B. S., 1990, On the Predictive Power of Interest Rates and Interest Rate Spreads, in New England Economic Review, Federal Reserve Bank of Boston, 51–68.

Bernstein, R., 1995, Style Investing. Wiley, New York.

Bhojraj, S. and B. Swaminathan, 2001, Macromomentum: Evidence of predictability in international equity markets, Cornell University.

Birch, R., 1995, Managing equity style exposure: a plan sponsor’s experience. In: Klein, R.A., Lederman, J.(Eds.), Equity Style Management. Irwin, Chicago, pp. 421–432.

Bird Ron., Whitaker J., 2003, The performance of value and momentum investment portfolios: Recent experience in the major European markets. Journal of Asset Management, vol. 4, no. 4, pp.

221-246 Black, Angela J., and David G. McMillan, 2006, Asymmetric risk premium in value and growth stocks, International Review of Financial Analysis, vol. 15, no. 3, pp. 237-246 Bolten, S. and R. Weigand, 1998, The generation of stock market cycles, The Financial Review 33, 77–84.

Bolten, S. and R. Weigand, 1998, The generation of stock market cycles, The Financial Review 33, 77–84.

Brandt, Michael W., 1999, Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach, Journal of Finance 54, 1609-1646.

Brandt, Michael W., 2010, Portfolio choice problems, in Y. Ait-Sahalia and L.P. Hansen (eds.), Handbook of Financial Econometrics, Volume 1: Tools and Techniques, North Holland, 2010, 269-336.

Brandt, Michael W., and Pedro Santa-Clara, 2006, Dynamic Portfolio Selection by Augmenting the Asset Space, Journal of Finance 61, 2187-2217.

Brandt, Michael W., Pedro Santa-Clara, and Rossen Valkanov, 2009, Parametric Portfolio Policies: Exploiting Characteristics in the CrossSection of Equity Returns, Review of Financial Studies 22, 3411-3447 Breen, William J., and Robert Korajczyk, 1995, On selection biases in book-to-market tests of asset pricing models, Working paper, Kellogg Graduate School of Management.

Brennan, M.. Chordia, T. and Subrahmanyam, A., 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49: 345-373.

Brennan, M.J., Schwartz, E.S., 1996, The use of treasury bill futures in strategic asset allocation programs. Unpublished working paper, University of California, Los Angeles.

Brennan, Michael J., Eduardo S. Schwartz, and Ronald Lagnado, 1997, Strategic asset allocation, Journal of Economic Dynamics and Control 21, 1377–1403.

Brinson, Gary P., Hood L. Randolph, Beebower Gilbert L,1986, Determinants of Portfolio Performance, Financial Analyst Journal, Vol.

42, No. 4, pp. 39-44 Brown, S. J., and W. N. Goetzmann, 1997, Mutual fund styles.

Journal of Financial Economics 43, 373-399.

Campbell, John Y, 1996, Consumption and the Stock Market:

Interpreting International Experience, Economic Policy Review 3, 251Campbell, John Y. and Ludger Hentschel, 1990, No news is good news:

An asymmetric model of changing volatility in stock returns, Unpublished manuscript (Princeton University, Princeton, NJ).

Campbell, John Y. and Luis M. Viceira, 2005, The Term Structure of the Risk: Return Trade-Off, Financial Analysts Journal, Vol. 61, No. 1, pp. 34-44 Campbell, John Y. and Robert J. Shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 175-228.

Campbell, John Y. and Robert J. Shiller, 1991, Yield spreads and interest rate movements: A bird’s eye view, Review of Economic Studies 58, 479-494.

Campbell, John Y. and T. O. Vuolteenaho, 2004, Bad Beta, Good Beta.

American Economic Review 94:1249–75.

Campbell, John Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373-399.

Campbell, John Y., 1991, A Variance Decomposition for Stock Returns, Economic Journal, Vol. 101, No. 405, pp. 157-179.

Campbell, John Y, and John Ammer., 1993, What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, Journal of Finance, Vol. 48. No.1, pp.3-37.

Capaul, Carlo, Ian Rowley, and William F. Sharpe, 1993, International value and growth stock returns, Financial Analyst Journal, 27-36.

Carhart, M., 1997, On persistence of mutual fund performance.

Journal of Finance 52, 57-82.

Chan KC, Chen N-F, Hsieh DA, 1985, An Exploratory Investigation of the Firm Size Effect, Journal of Financial Economics, 14(3):451–471.



Pages:     | 1 |   ...   | 24 | 25 || 27 |


Similar works:

«James K. Polk: A Clear and Unquestionable Destiny ( Biographies in American Foreign Policy #6) Thomas M. Leonard whilst he used to be elected President in 1845, James K. Polk used to be simply forty nine years old-at that point the youngest president ever to be elected. He confronted a conflicted country at the verge of great territorial expansion. James K. Polk's 4 years in workplace marked the best interval of territorial acquisition within the heritage of the country-what big apple...»

«375 V I S I O N S OF A M E R I C A N M A N A G E M E N T IN P O S T W A R FRANCE LUC BOLTANSKI Historical studies of Franco-American relations in the years following World War II, whether French or American, whether scholarly reports or personal accounts, have until now mainly dealt with diplomatic, military and financial relations. ~Always politically colored and controversial, the French debate on Americanization, especially in the mid 1960s when France left the Atlantic Alliance and de...»

«DRAFT – Not for Dissemination WIS-6: A Review of Advice Models and the Demographic Determinants of Using Financial Advisors and Counselors The research reported herein was performed pursuant to a grant from the U.S. Social Security Administration (SSA) funded as part of the Financial Literacy Research Consortium. The opinions and conclusions expressed are solely those of the author(s) and do not represent the opinions or policy of SSA, any agency of the Federal Government, or the Center for...»

«NEPAL Nepal, with a population of approximately 29 million, is a federal democratic republic. The political system is based on the Interim Constitution of Nepal 2063 (of 2007), with a prime minister as the chief executive, and the 601-member Constituent Assembly (CA), which is responsible for drafting a new constitution. After failing to deliver a new constitution on May 28, as required by the interim constitution, the CA extended its deadline for one additional year. Prime Minister Madhav...»

«SUMMARY | APRIL 2 WORKING PAPER No. 030 | May 2015 Religion, Land and Politics: Shrines and Literacy in Punjab, Pakistan Adeel Malik and Rinchan Ali Mirza THE PAKISTAN STRATEGY SUPPORT PROGRAM (PSSP) WOKRING PAPERS SUMMARY | APRIL 2 ABOUT PSSP The Pakistan Strategy Support Program (PSSP) is an initiative to strengthen evidence-based policymaking in Pakistan in the areas of rural and agricultural development. Funded by the United States Agency for International Development (USAID) and...»

«ASSESSING THE FDI RESPONSE TO TAX REFORM AND TAX-PLANNING W. Steven Clark Session 1.4.: Tax policy This paper is distributed as part of the official conference documentation and serves as background material for the relevant session in the programme at the Global Forum on International Investment. The views expressed in this paper do not necessarily represent those of the OECD or its member governments. OECD Global Forum on International Investment OECD Investment Division...»

«Social Policy & Administration issn 0144–5596 DOI: 10.1111/j.1467-9515.2012.00852.x Vol. 46, No. 5, October 2012, pp. 483–508 The Higher Education White Paper: The Good, the Bad, the Unspeakable – and the Next White Paper1 483.508 spol_852 Nicholas Barr Abstract This article argues that reforms of higher education finance for undergraduates in England introduced by the Blair government in 2006 provided a progressive strategy for achieving the central objectives of higher education of...»

«APPENDIX A Sefton Council Local Council Tax Reduction Scheme Exceptional Hardship Fund Policy and Procedures APPENDIX A Local Council Tax Reduction Scheme –Exceptional Hardship Fund Policy Contents 1. Background summary 2. Exceptional Hardship Fund and Equalities 3. Purpose of this policy 4. The Exceptional Hardship Fund Process 5. Awarding an Exceptional Hardship Fund Payment 6. Publicity 7. Making a claim 8. Change of circumstances 9. Duties of customer and their household 10. Amount and...»

«WPS7032 Public Disclosure Authorized Policy Research Working Paper 7032 Public Disclosure Authorized Infrastructure Gap in South Asia Infrastructure Needs, Prioritization, and Financing Luis Andrés Dan Biller Public Disclosure Authorized Matías Herrera Dappe Public Disclosure Authorized South Asia Region Sustainable Development Department September 2014 Policy Research Working Paper 7032 Abstract If the South Asia region hopes to meet its development infrastructure gap. If investments are...»

«29th Annual AESOP 2015 Congress | July 13–16, 2015 | Prague, Czech Republic UNRAVELLING THE FLEMISH MOBILITY ORGWARE Analysing the role and relations of governmental institutions from the view of actor-networks in the transition to a sustainable mobility Suzanne Van Brussel1 and Luuk Boelens2 Ghent University, Centre for Mobility and Spatial Planning, suzanne.vanbrussel@ugent.be Ghent University, Centre for Mobility and Spatial Planning, luuk.boelens@ugent.be Keywords: Governance, Sustainable...»

«Theater of Identity: The Buddha of Suburbia Radek Glabazňa Silesian University in Opava, Czech Republic Abstract This essay studies the issues of subjectivity and identity in The Buddha of Suburbia, the debut novel by the British Asian writer Hanif Kureishi. The categories of subjectivity and identity are analyzed as power effects of the predominant discourses of ethnicity, race, class and gender. The analysis is primarily focused on the novel’s main character Karim Amir, whose life...»

«LIONEL COLLECTORS CLUB OF AMERICA POLICY MANUAL This manual contains the job descriptions of each of the elected positions within the club as well as two of its standing committees. Persons seeking to run for any of these positions or serve on one of the committees should avail themselves of this information prior to consenting to run or serve.TABLE OF CONTENTS Page. Responsibilities of the President 2. Responsibilities of the President Elect 5. Responsibilities of the Secretary 7....»





 
<<  HOME   |    CONTACTS
2017 www.thesis.dislib.info - Online materials, documents

Materials of this site are available for review, all rights belong to their respective owners.
If you do not agree with the fact that your material is placed on this site, please, email us, we will within 1-2 business days delete him.