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Multiple objectives in portfolio construction 投资组合构建中的多个目标
American J. of Finance and Accounting Pub Date : 2009-06-23 DOI: 10.1504/AJFA.2009.026483
Panagiotis Xidonas, G. Mavrotas, D. Askounis, J. Psarras
{"title":"Multiple objectives in portfolio construction","authors":"Panagiotis Xidonas, G. Mavrotas, D. Askounis, J. Psarras","doi":"10.1504/AJFA.2009.026483","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026483","url":null,"abstract":"In this article we attempt to expand the limited framework of single-objective optimisation and broaden Markowitz's market standard, within which the problem of portfolio selection is conventionally addressed. The decision maker's Investment Policy Statement (IPS) is formulated through a multiobjective mixed-integer linear programming model. The model is then solved through the augmented e-constrained (AUGMECON) method, a novel a posteriori Multiobjective Mathematical Programming (MMP) technique. Our purpose for transforming the traditional two-dimension portfolio selection problem into a mixed-integer multiobjective optimisation problem in space is twofold: 1) to incorporate three objective functions in the decision process beyond the mean-variance approach, i.e., an additional measure of return, the portfolio's relative dividend yield, 2) to model even the most complex preferences that the investor may express, regarding specific cardinal constraints. The proposed model is tested through an illustrative application in the Athens Stock Exchange (ASE).","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125511155","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: 2
Effects of political crises on cointegration between ASEAN-5 stock markets and the US stock market 政治危机对东盟五国股市与美国股市协整的影响
American J. of Finance and Accounting Pub Date : 2009-06-23 DOI: 10.1504/AJFA.2009.026487
Reza Tajaddini, Zamri Ahmad, T. A. Masron
{"title":"Effects of political crises on cointegration between ASEAN-5 stock markets and the US stock market","authors":"Reza Tajaddini, Zamri Ahmad, T. A. Masron","doi":"10.1504/AJFA.2009.026487","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026487","url":null,"abstract":"This study examines the level of cointegration of ASEAN-5 stock markets and the developed stock market of the USA. It also seeks to find out the effects of crises with a political nature on this cointegration. Five stock indices – SES, KLCI, STE, PSE and JSX – and the stock index of the NYSE were selected to represent the ASEAN-5 stock markets and the US stock market, respectively. Two political crises, namely September 11, 2001 and the 2003 US invasion of Iraq, were selected as the crises benchmarks of the study. Data cover a nearly ten-year period, after the Asian financial crisis to the end of 2007. In order to examine the effects of crises on stock markets, each series was divided into two periods of precrisis and postcrisis. The findings reveal that all ASEAN-5 stock markets, except Singapore, which is considered the most efficient stock market among the five, are highly sensitive to political crises which happen in the USA. The results also suggest that, in recent years, all ASEAN-5 stock markets have tended to be more efficient in their relationships with the US stock market.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121580334","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
Demand for international reserves: evidence from East Asia 国际储备需求:来自东亚的证据
American J. of Finance and Accounting Pub Date : 2009-06-23 DOI: 10.1504/AJFA.2009.026485
Eliza Nor, M. Azali, S. Law
{"title":"Demand for international reserves: evidence from East Asia","authors":"Eliza Nor, M. Azali, S. Law","doi":"10.1504/AJFA.2009.026485","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026485","url":null,"abstract":"This paper examines the demand for international reserves in nine East Asian economies during the period 1970-2005 using panel cointegration and Fully Modified Ordinary Least Squares (FMOLS). The panel cointegration tests find the existence of a long-run relationship between the demand for international reserves and its determinants. The panel group FMOLS results indicate that current account balance and total external debt are statistically significant and exert a positive and negative impact, respectively, on the demand for international reserves in East Asia.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132460506","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: 2
The impact of off-balance sheet items on banks' total factor productivity: empirical evidence from the Chinese banking sector 表外项目对银行全要素生产率的影响:来自中国银行业的经验证据
American J. of Finance and Accounting Pub Date : 2009-06-18 DOI: 10.1504/AJFA.2009.026482
F. Sufian
{"title":"The impact of off-balance sheet items on banks' total factor productivity: empirical evidence from the Chinese banking sector","authors":"F. Sufian","doi":"10.1504/AJFA.2009.026482","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026482","url":null,"abstract":"By employing the Malmquist Productivity Index (MPI) method, this paper attempts to examine the impact of Off-Balance Sheet (OBS) items on Chinese banks' total factor productivity. The results suggest that state-owned, joint stock and city commercial banks have exhibited lower Total Factor Productivity Change (TFPCH) levels with the inclusion of off-balance sheet items. We find that state-owned and city commercial banks have exhibited lower TFPCH due to Technological Change (TECHCH), while joint stock commercial banks have exhibited lower TFPCH due to Technical Efficiency Change (EFFCH). The empirical findings suggest that the inclusion of off-balance sheet items has resulted in higher EFFCH levels for both state-owned and city commercial banks due to higher Scale Efficiency Change (SECH), while joint stock commercial banks have exhibited lower EFFCH due to Pure Technical Efficiency Change (PEFFCH).","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130640600","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: 12
The effect of the prolonged bull market on the market response to large and small stock distributions 长时间牛市对大盘反应的影响对大盘和小盘股分布的影响
American J. of Finance and Accounting Pub Date : 2009-06-18 DOI: 10.1504/AJFA.2009.026486
D. Crawford, Diana R. Franz, Gerald J. Lobo
{"title":"The effect of the prolonged bull market on the market response to large and small stock distributions","authors":"D. Crawford, Diana R. Franz, Gerald J. Lobo","doi":"10.1504/AJFA.2009.026486","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026486","url":null,"abstract":"A widely cited finding from Grinblatt et al. (1984) (hereafter GMT) is that the market response to the announcement of a small stock distribution is greater than the response to a large one. However, the GMT result is not found for distributions declared from the early 1980s through the end of the 1990s. We examine whether the bull market of 1982 through 2000 may have contributed to the attenuation of the GMT result. We hypothesise that the bull market affected the value and credibility of signals from management. These changes in the quality of the signals changed the association between the predistribution share price and the market's response to the distribution, which altered the GMT result. The evidence is consistent with our hypothesis.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124837206","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
Technical efficiency and its determinants in the Indian domestic banking industry: an application of DEA and Tobit analysis 印度国内银行业的技术效率及其决定因素:DEA和Tobit分析的应用
American J. of Finance and Accounting Pub Date : 2009-06-18 DOI: 10.1504/AJFA.2009.026484
Sunil Kumar, Rachita Gulati
{"title":"Technical efficiency and its determinants in the Indian domestic banking industry: an application of DEA and Tobit analysis","authors":"Sunil Kumar, Rachita Gulati","doi":"10.1504/AJFA.2009.026484","DOIUrl":"https://doi.org/10.1504/AJFA.2009.026484","url":null,"abstract":"Using cross-sectional data for 51 banks, this paper not only endeavours to measure the extent of technical efficiency in the Indian domestic banking industry, but also explores the most influential factors explaining its variations across banks. The empirical results show that: only 9 of the 51 banks operating in the financial year 2006-2007 are found to be efficient and, thus, define the efficient frontier of the Indian domestic banking industry; the technical efficiency scores range from 0.505 to 1, with an average of 0.792; de novo private sector banks dominate in the formation of the efficient frontier; managerial inefficiency is the main source of Overall Technical Inefficiency (OTIE) in the Indian domestic banking industry; the efficiency differences between public and private sector banks are not statistically significant; significant differences between large and medium banks appear with regard to Scale Efficiency (SE); exposure to off-balance sheet activities and profitability are the most influential determinants of Overall Technical Efficiency (OTE).","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126045428","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: 21
Wealth effects of Canadian financial services takeovers: consolidation, diversification and foreign evidence 加拿大金融服务业收购的财富效应:整合、多元化和国外证据
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.019952
Alex Ng
{"title":"Wealth effects of Canadian financial services takeovers: consolidation, diversification and foreign evidence","authors":"Alex Ng","doi":"10.1504/AJFA.2008.019952","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019952","url":null,"abstract":"This study analyses the wealth effects related to Merger and Acquisition (M&A) announcements in the Canadian financial services industry. This study more broadly portrays the Canadian M&A experience in examining a sample of 161 M&A deals from 1997 to 2000. Overall, M&A is related to significant and negative abnormal returns. Results show that the market neither rewards nor punishes consolidation M&A with nonsignificant abnormal returns. Diversification through M&A is related to a loss in shareholder wealth. The exception is for bank and investment acquisitions. The market punishes foreign M&A with negative abnormal returns, consistent with the literature on high-information costs and regulations. Moreover, acquisitions paid with stock and privately owned targets are negatively related to wealth. The findings imply that financial industry restructuring through M&A in response to deregulation does not create wealth gains.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132761919","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
Effect of institutional factors on stock market development in Asia 制度因素对亚洲股票市场发展的影响
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.019947
Azmat Gani, Christopher Ngassam
{"title":"Effect of institutional factors on stock market development in Asia","authors":"Azmat Gani, Christopher Ngassam","doi":"10.1504/AJFA.2008.019947","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019947","url":null,"abstract":"This paper examines the links between institutional factors and stock market development in a sample of eight Asian countries with developing as well as mature stock markets. Five indicators of institutional quality are chosen: government effectiveness, rule of law, regulatory quality, control of corruption and political stability, together with some control variables. Our estimation procedure, utilising three different estimation methods, including the fixed effects model correcting for AR (1) errors, produced consistent results. The results obtained here provide strong evidence that economic growth, diffusion of technology, rule of law and political stability positively aid Asia's stock market expansion. On the other hand, poor regulatory quality and government effectiveness seem to be working against Asia's stock market development. Our results support the proposition that institutional quality is an integral part of enhancing the development of stock markets in a country. Thus, institutional quality matters for stock market development.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128849789","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: 20
An examination of technical, pure technical and scale efficiencies in GCC banking 审查海湾合作委员会银行业务的技术、纯技术和规模效率
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.01995
Saeed Al-Muharrami
{"title":"An examination of technical, pure technical and scale efficiencies in GCC banking","authors":"Saeed Al-Muharrami","doi":"10.1504/AJFA.2008.01995","DOIUrl":"https://doi.org/10.1504/AJFA.2008.01995","url":null,"abstract":"The paper uses DEA techniques to estimate technical, pure technical, and scale efficiency, using an input orientation for Gulf Cooperation Council (GCC) banks for the period 1993–2002. The paper highlighted several interesting findings regarding the GCC banking market. First, smaller banks exhibited superior performance in terms of overall technical efficiency than did larger ones. Second, big banks proved to be more successful in adopting the best available technology, while medium banks proved to be more successful in choosing optimal levels of output. Third, Islamic banks were more successful in both the adoption of the best available technology and choosing optimal levels of output. Fourth, banks in Bahrain, Qatar, Oman, UAE, Kuwait and Saudi Arabia ranked first to sixth, respectively, in terms of technical efficiency.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129687663","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: 37
Valuation models and their efficacy in predicting stock prices 估值模型及其在股票价格预测中的有效性
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.019949
R. Rahgozar
{"title":"Valuation models and their efficacy in predicting stock prices","authors":"R. Rahgozar","doi":"10.1504/AJFA.2008.019949","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019949","url":null,"abstract":"Using several valuation models, this study estimates stocks prices of all companies included in the Dow Jones Industrial, Transportation, and Utility Indexes over several time periods. The estimated values are then compared with actual stock prices to test the accuracy of the models used in the valuation process. The test results show that the estimated stock prices using discounted cash flow, market-value-added, and multiplier methods differ greatly from their actual prices, indicating that valuation have limited application value. The weak performance of valuation models may lead investors and students to become cynical about the valuation theory and discount or discard the fundamental idea behind the intrinsic value calculation.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"294 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133593612","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: 5
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