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MEASURING VALUATION UNCERTAINTY: A PCA APPROACH 衡量估值不确定性:pca方法
Applied Finance Letters Pub Date : 2023-04-26 DOI: 10.24135/afl.v12i1.605
John Garcia
{"title":"MEASURING VALUATION UNCERTAINTY: A PCA APPROACH","authors":"John Garcia","doi":"10.24135/afl.v12i1.605","DOIUrl":"https://doi.org/10.24135/afl.v12i1.605","url":null,"abstract":"Determining which companies are more difficult to value is a topic of significant interest in finance. Prior studies have employed many univariate proxies for valuation uncertainty to classify firms into high- and low-valuation uncertainty groups. In this study, I employ principal component analysis (PCA), a dimensionality reduction technique, using 11 valuation uncertainty proxies to extract the valuation uncertainty latent factor contained in the first principal component, which is proposed as a new measure of a firm’s valuation uncertainty, and show that it accurately captures a firm’s valuation uncertainty. I contend that using a PCA-derived valuation uncertainty index offers two benefits. First, integrating multiple valuation uncertainty proxies into a single metric improves our ability to quantify a firm’s valuation uncertainty. Second, it can assist in identifying the proxies that are most useful in measuring a firm’s valuation uncertainty.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42121204","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The January Anomaly and Anomalies in January 一月份的异常和一月份的异常
Applied Finance Letters Pub Date : 2023-03-20 DOI: 10.24135/afl.v12i1.615
Steven Kozlowski, Alex Lytle
{"title":"The January Anomaly and Anomalies in January","authors":"Steven Kozlowski, Alex Lytle","doi":"10.24135/afl.v12i1.615","DOIUrl":"https://doi.org/10.24135/afl.v12i1.615","url":null,"abstract":"Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to contribute to the overall effect, no significant change in anomaly performance occurs midyear, casting doubt on window-dressing as a primary driving force.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41517765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
MACRO FACTORS IN THE RETURNS ON CRYPTOCURRENCIES 影响加密货币回报的宏观因素
Applied Finance Letters Pub Date : 2023-02-06 DOI: 10.24135/afl.v11i.540
Kei Nakagawa, Ryuta Sakemoto
{"title":"MACRO FACTORS IN THE RETURNS ON CRYPTOCURRENCIES","authors":"Kei Nakagawa, Ryuta Sakemoto","doi":"10.24135/afl.v11i.540","DOIUrl":"https://doi.org/10.24135/afl.v11i.540","url":null,"abstract":"This study investigates the relationship between expected returns on cryptocurrencies and macroeconomic fundamentals. Investors employ a lot of macroeconomic indicators for their investment decision, and hence adopting a few macroeconomic indicators is not sufficient in capturing a change in economic states. Moreover, due to aggregation, macroeconomic indicators are not measured precisely. To overcome these problems, we employ a dynamic factor model and extract common factors from a large number of macroeconomic indicators. We find that the common factors are strongly linked to the cryptocurrency expected returns at a quarterly frequency, while we do not observe this relationship using macroeconomic indicators such as inflation and money supply. This suggests that macroeconomic information matters in a longer term, which contrasts with the previous literature that explores a short-term relationship. The cryptocurrency prices are not determined by macroeconomic fundamentals in a short-term period since speculators impact the prices. However, in a long-term period, the prices are more linked to macroeconomic fundamentals.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134916810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES 因子投资策略在样本中是否成功：来自漂亮指数的证据
Applied Finance Letters Pub Date : 2023-01-23 DOI: 10.24135/afl.v11i.604
Vaibhav Lalwani
{"title":"ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES","authors":"Vaibhav Lalwani","doi":"10.24135/afl.v11i.604","DOIUrl":"https://doi.org/10.24135/afl.v11i.604","url":null,"abstract":"Do factor investment strategies that have generated superior returns in the past continue to do so out-of-sample? To test this hypothesis, I check the performance of nine factor-based indices of the National Stock Exchange (NSE) of India. My results show that the performance of most indices falls considerably in the out-of-sample period, i.e. the period after the launch of an index. The results hold for absolute as well as excess and risk-adjusted returns. In additional tests, I find that none of the factor strategies generates significant alpha after controlling for standard factors such as size, value, and momentum.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49525802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
PAYOUT POLICY DURING MARKET-WIDE FINANCIAL CONSTRAINTS: EVIDENCE FROM THE COVID-19 DOWNTURN 市场范围内的金融约束期间的支付政策：新冠肺炎衰退的证据
Applied Finance Letters Pub Date : 2023-01-23 DOI: 10.24135/afl.v11i.597
Omar A. Esqueda, Thomas O'Connor
{"title":"PAYOUT POLICY DURING MARKET-WIDE FINANCIAL CONSTRAINTS: EVIDENCE FROM THE COVID-19 DOWNTURN","authors":"Omar A. Esqueda, Thomas O'Connor","doi":"10.24135/afl.v11i.597","DOIUrl":"https://doi.org/10.24135/afl.v11i.597","url":null,"abstract":"Share repurchases are perceived as a flexible payout mechanism as it distributes free cash flow while mitigating the risk of underinvestment. It may be simpler to stop or trim share repurchases than dividend payments. We test the flexibility hypothesis of share repurchases using the Covid-19 economic crisis as a natural experiment where firms encounter a sudden cash-flow uncertainty. We employ a balanced panel of S&P 1500 firms from the period 2014 to 2021. Our results are consistent with the view that share repurchases offer more flexibility than dividends. Firms are likely to reduce share repurchases when they are cash constrained but still maintain dividend payouts. However, firms are also likely to trim dividends if the financial constraints persist.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43743999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CSR SPENDING IN INDIA: EXPLORING THE LINKAGES WITH BUSINESS GROUP AFFILIATION AND PRODUCT PORTFOLIO DIVERSIFICATION CSR在印度的支出：探索与企业集团联盟和产品组合多元化的联系
Applied Finance Letters Pub Date : 2023-01-23 DOI: 10.24135/afl.v11i.542
Srikanth Potharla, Hiranya Dissanayake, Balachandram Amirishetty
{"title":"CSR SPENDING IN INDIA: EXPLORING THE LINKAGES WITH BUSINESS GROUP AFFILIATION AND PRODUCT PORTFOLIO DIVERSIFICATION","authors":"Srikanth Potharla, Hiranya Dissanayake, Balachandram Amirishetty","doi":"10.24135/afl.v11i.542","DOIUrl":"https://doi.org/10.24135/afl.v11i.542","url":null,"abstract":"The present study aims to examine the influences of group affiliations status on the CSR spending of a firm and also to test how the group size and interaction of group size and product portfolio diversification influences the CSR spending. The sample of the present study covers 1,513 Indian firms coming under the ambit of CSR reporting, represented through the unbalanced panel data set of 4,459 firm-years from the year 2014 to 2019. The baseline model regresses CSR spending on the group affiliation status and set of controlling variables which are having the impact on CSR spending by using panel least squares regression model. The baseline model is extended to test the impact of group size and interaction of group size and product portfolio diversification on the CSR spending. Industry variations with regard to CSR spending are controlled by introducing industry fixed effects into the regression model.  The findings of the study reveal significant positive impact of group affiliation status on CSR spending. The results are also robust to the group size effect and the interaction effect of group size and product portfolio diversification. The findings are supporting stewardship theory and socio—emotional wealth creation view of the group affiliated firm which asserts that group affirms experience variety of stakeholder demands and social issues. Building social reputation through CSR activities will be helpful in handling such situations.  The findings also proved that larger group firms with wider product diversification are more encouraged towards CSR spending. This is the first study which tests the impact of group size and also the interaction of group size and product portfolio diversification on CSR spending. The study contributes to the literature on how the ownership style, especially, group affiliation status, influences the social engagement of a firm","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49485340","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
MEASURING THE EFFICIENCY OF INDEX FUNDS: EVIDENCE FROM INDIA 衡量指数基金的效率:来自印度的证据
Applied Finance Letters Pub Date : 2023-01-23 DOI: 10.24135/afl.v11i.593
S. Siddiqui, Dheeraj Daniel
{"title":"MEASURING THE EFFICIENCY OF INDEX FUNDS: EVIDENCE FROM INDIA","authors":"S. Siddiqui, Dheeraj Daniel","doi":"10.24135/afl.v11i.593","DOIUrl":"https://doi.org/10.24135/afl.v11i.593","url":null,"abstract":"The purpose of this study is to analyse the technical efficiency of Index funds using data envelopment analysis (DEA) and to assess the reasons of inefficiency. Based on secondary data collected from the annual reports of the Association of Mutual Funds in India, this study examined the efficiency performance of the top Index funds available to Indian investors from the year 2018 to 2022 using radial measurers (BCC) of data envelopment analysis. The results show that the average efficiency of Index funds was 83.04 percent during the study period, and the average efficiency of index funds was almost stable during the study period. Only 10 percent of the index funds operated efficiently during the study period. The least amount of slack was found in the input \"expense ratio\". This reiterates that investment risk is the cause of the funds' inefficiency and not the associated expenses.  This study is first of its kind that has assessed the of Indian index funds and therefore holds important insights for regulators, policy makers and practitioners.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43555608","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
EX ANTE PREDICTABILITY OF STOCK RETURNS IN A FRONTIER MARKET 前沿市场股票收益的事前可预测性
Applied Finance Letters Pub Date : 2023-01-23 DOI: 10.24135/afl.v11i.534
K. Nguyen
{"title":"EX ANTE PREDICTABILITY OF STOCK RETURNS IN A FRONTIER MARKET","authors":"K. Nguyen","doi":"10.24135/afl.v11i.534","DOIUrl":"https://doi.org/10.24135/afl.v11i.534","url":null,"abstract":"This study reports results on the ex ante predictability of stock returns using real-time stock market data in Vietnam, a frontier market, from June 2008 to June 2021. Countries classified as a frontier market are often known for currency manipulation, financial market illiquidity, and political instability. Despite the enormous risk usually posed by these inefficiencies, potential profits are large and achievable for many investors. This study provides evidence on existing a strategy to form out-of-sample long portfolios that generate statistically significant and positive mean monthly returns even in the presence of transaction costs. I also justify the magnitude of these returns by showing that they exceed those of VnIndex and MSCI Vietnam Index. The results reject the hypothesis that the stock prices in Vietnamese market follow random walks, thus oppose the stock market efficiency hypothesis. Evidence found in this study provides a better understanding of informational efficiency in a frontier equity market setting. Specifically, there are several implications on portfolio selection strategies, stock price patterns, and trading behavior bias related to Vietnamese stock market can be drawn from this study.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42873392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
RESILIENCE TO CRUDE OIL: AUSTRALIAN EVIDENCE ON LITIGATION FUNDING 原油弹性：澳大利亚关于诉讼资金的证据
Applied Finance Letters Pub Date : 2022-12-14 DOI: 10.24135/afl.v11i.600
Amanjot Singh
{"title":"RESILIENCE TO CRUDE OIL: AUSTRALIAN EVIDENCE ON LITIGATION FUNDING","authors":"Amanjot Singh","doi":"10.24135/afl.v11i.600","DOIUrl":"https://doi.org/10.24135/afl.v11i.600","url":null,"abstract":"Using daily data from January 2011 to November 2020, this study examines the return shocks between crude oil and litigation funding in Australia. Based on Diebold and Yilmaz’s (2012) return spillover effects, we find evidence that litigation funding and the crude oil market share a lower degree of return shocks connectedness, relative to the overall stock market. Further, the oil price crashes (including the COVID-19-induced oil price crash) are also weakly correlated to the return shocks connectedness between litigation funding and the crude oil market. Our findings suggest that litigation funding is mainly immune from economic disruptions. These findings are of interest to policymakers, market participants, and crude oil investors in comprehending the spillover effects of crude oil on other sectors of the economy. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44427050","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
INFORMATIONAL EFFICIENCY OF THE US MARKETS FOR IMPLIED VOLATILITY BEFORE AND AFTER THE COVID-19 PANDEMIC 新冠肺炎大流行前后美国市场隐含波动的信息效率
Applied Finance Letters Pub Date : 2022-12-14 DOI: 10.24135/afl.v11i.544
P. Fousekis
{"title":"INFORMATIONAL EFFICIENCY OF THE US MARKETS FOR IMPLIED VOLATILITY BEFORE AND AFTER THE COVID-19 PANDEMIC","authors":"P. Fousekis","doi":"10.24135/afl.v11i.544","DOIUrl":"https://doi.org/10.24135/afl.v11i.544","url":null,"abstract":"The objective of this work is to assess informational efficiency in four US markets for implied volatility. This has been pursued using daily data over 2015 to 2021 and a composite index that accounts for three possible sources of inefficiency associated with long-range dependence, short-range dependence, and entropy. The dominant pattern of long-range dependence has been that of anti-persistence both before and during the pandemic. The same applies for short-range dependence, especially before the pandemic. The presence of anti-persistence is an indication of investors’ over-reaction to incoming information and implies that oscillatory trading strategies have been probably more successful that trend-following ones. During the Covid-19 pandemic, the entropy decreased in all cases suggesting that the four implied volatility series became more predictable; the intensity, however, of long-range and short-range dependence remained largely unaffected. As a result of these developments, the informational efficiency in at least two markets (those related to stock and to crude oil) fell.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41470044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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