International Journal of Managerial Finance最新文献

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Impact of financial distress on investment-cash flow sensitivity: evidence from emerging economy 金融危机对投资现金流敏感性的影响:来自新兴经济体的证据
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-18 DOI: 10.1108/ijmf-03-2022-0102
Gaurav Gupta, Jitendra Mahakud
{"title":"Impact of financial distress on investment-cash flow sensitivity: evidence from emerging economy","authors":"Gaurav Gupta, Jitendra Mahakud","doi":"10.1108/ijmf-03-2022-0102","DOIUrl":"https://doi.org/10.1108/ijmf-03-2022-0102","url":null,"abstract":"PurposeThe purpose of this study is to examine the impact of financial distress (FD) on investment-cash flow sensitivity (ICFS) of Indian firms.Design/methodology/approachThe study uses the system generalized method of moments (GMM) technique to investigate the effect of FD on ICFS of Indian firms during the period from 2001 to 2019.FindingsUsing FD measures like Ohlson's bankruptcy method, Altman's Z-score model and financial-distress ratio, the researchers find that FD increases ICFS and negatively affects corporate investment. The researchers’ findings explain that FD increases restrictions on external financing, which makes cash flow more important for corporate investment. Additionally, the researchers find that the effects of FD on ICFS are weak (strong) for bigger and group affiliated (smaller and standalone) firms. The study’s findings are robust to several measures of FD, group affiliation and firm size.Practical implicationsFirst, the researchers find that FD affects the ICFS, therefore, financially distressed firms should have sufficient internal funds or external funds for investment. Second, lending agencies should also consider the firms' FD condition before providing funds to secure their money. Third, investors should be very careful while investing in a financially distressed firm as we find that financially distressed firms face a decline in their investment which might reduce firm profitability.Originality/valueThis study contributes to the existing literature by providing empirical evidence by analyzing the impact of FD on ICFS in the context of India. As per the authors’ knowledge, this is the first-ever attempt to examine the effect of FD on ICFS.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48610430","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
Stock price crash risk and the adoption of poison pills: evidence from Brazil 股价暴跌风险和采取毒丸:来自巴西的证据
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-18 DOI: 10.1108/ijmf-02-2022-0077
Yuri Gomes Paiva Azevedo, Lucas Allan Diniz Schwarz, Hellen Bomfim Gomes, Marcelo Augusto Ambrozini
{"title":"Stock price crash risk and the adoption of poison pills: evidence from Brazil","authors":"Yuri Gomes Paiva Azevedo, Lucas Allan Diniz Schwarz, Hellen Bomfim Gomes, Marcelo Augusto Ambrozini","doi":"10.1108/ijmf-02-2022-0077","DOIUrl":"https://doi.org/10.1108/ijmf-02-2022-0077","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The purpose of this paper is to examine the effect of stock price crash risk on the adoption of poison pills.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors estimate logit and probit regressions. Their sample includes 185 Brazilian public firms for the period 2010–2018. Following previous studies, the authors use the negative skewness of firm-specific weekly returns and the down-to-up volatility of firm-specific weekly returns as measures of firm's stock price crash risk. As proxies of poison pills, the authors employ the “conventional” poison pills in their baseline models and the “eternity” poison pills, which prevent the removal of poison pills from bylaws, in additional models.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The authors find that stock price crash risk measures are not associated with poison pill adoption. However, although stock price crash risk does not lead to poison pill adoption as a complementary corporate governance mechanism that protects firms against hostile takeover attempts, further results show that managers do not draw on stock price crash risk as a pretext to entrench themselves. Additional analyses also highlight that CEO power seems to play a role in moderating the relationship between stock price crash risk and eternity poison pill adoption.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The authors contribute to the literature on stock price crash risk, which calls for research in international contexts to better understand the effect of stock price crash risk on country-specific idiosyncratic features. The authors discuss a controversial anti-takeover mechanism that has been debated by Brazilian policymakers.</p><!--/ Abstract__block -->","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138515810","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
A multi-country study of factors and threshold values affecting sovereign debt-taking behavior 影响主权债务承担行为的因素和阈值的多国研究
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-13 DOI: 10.1108/ijmf-06-2021-0291
Reza Tahmoorespour, M. Ariff, K. Lee, Sharon Dharsini Anthony, Yaasmin Farzana Abdul Karim
{"title":"A multi-country study of factors and threshold values affecting sovereign debt-taking behavior","authors":"Reza Tahmoorespour, M. Ariff, K. Lee, Sharon Dharsini Anthony, Yaasmin Farzana Abdul Karim","doi":"10.1108/ijmf-06-2021-0291","DOIUrl":"https://doi.org/10.1108/ijmf-06-2021-0291","url":null,"abstract":"PurposeThis manuscript reports evidence on how debt-taking decisions of top management in a multi-country setting do affect credit rating scores assigned by credit rating agencies (CRAs) as global monitors of creditworthiness of borrowers. This aspect has been long ignored by researchers in the literature. The purpose of this paper is twofold. A test model is specified first using theories to connect debt-taking behavior to credit rating scores. Once that model helps to identify a number of statistically significant factors, the next step helps to identify threshold values at which the variables driving debt-taking behavior would worsen the credit rating scores as turning points of the thresholds.Design/methodology/approachThe study identifies factors driving creditworthiness scores due to debt-taking behavior of countries and develops a correct research design to identify a model that explains (1) credit rating scores and the factors driving the scores and runs (2) panel-type regressions to test model fit. Having found factors driving debt-taking behavior by observed units, the next step identifies threshold values of factors at which point further debt-taking is likely to worsen credit rating risk of the observed units. This is a robustness test of the methodology used. The observed units are 20 countries with data series across 14 years.FindingsFirst, new findings suggest there are about six major factors associated with debt-taking behavior and credit rating changes. Second, the model developed in this study is able to account for substantial variability while the identified factors are statistically significant within the normal p-values for acceptance of hypotheses. Finally, the threshold values of factors identified are likely to be useful for managerial decisions to judge the levels at which further debt-taking would worsen the credit rating scores of the observed units.Research limitations/implicationsThe observed units are from 20 countries over 14 years of annual data available on credit rating scores (privately obtained from Standard and Poor [S&P]). The sample represents major economies but did not include emerging countries. In that regard, it will be worthwhile to explore the debt-taking behavior of emerging economies in a future study using the methodology verified in this study.Practical implicationsThe findings help add few useful guidelines for top management decisions. (1) There are actually factors that are associated with debt-taking behavior, so the authors now know these factors as guides for managerial actions. (2) The authors are free to state that the credit rating changes occur on objective changes in the factors found as significantly related to the debt-taking behavior. (3) The threshold values of key factors are known, so top management could use these threshold values of named factors to monitor if a debt-taking decision is going to push the credit rating to a worse score.Social implicationsThere are society-wide i","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41691176","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
Guest editorial: Green and sustainable corporate finance: past, present and future 嘉宾评论:绿色和可持续的企业融资:过去、现在和未来
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-12 DOI: 10.1108/ijmf-08-2022-636
A. Tiwari
{"title":"Guest editorial: Green and sustainable corporate finance: past, present and future","authors":"A. Tiwari","doi":"10.1108/ijmf-08-2022-636","DOIUrl":"https://doi.org/10.1108/ijmf-08-2022-636","url":null,"abstract":"","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46293885","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
IFRS experience and earnings quality in the GCC region 国际财务报告准则在海湾合作委员会地区的经验和盈余质量
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-05 DOI: 10.1108/ijmf-09-2021-0410
Nasser S. Kh. Al-Enzy, R. Monem, S. Nahar
{"title":"IFRS experience and earnings quality in the GCC region","authors":"Nasser S. Kh. Al-Enzy, R. Monem, S. Nahar","doi":"10.1108/ijmf-09-2021-0410","DOIUrl":"https://doi.org/10.1108/ijmf-09-2021-0410","url":null,"abstract":"PurposeThis paper aims to examine the association between the adoption experience of the International Financial Reporting Standards (IFRS) and the quality of reported earnings in the Gulf Cooperation Council (GCC) region – a region that exhibits several features of emerging economies.Design/methodology/approachThe authors analyse a hand-collected dataset of 222 firms across 4 countries in the GCC region over the period 2012–2017 and measure “IFRS experience” as the number of years since a country has mandatorily adopted the IFRS. In measuring earnings quality, the authors focus on two properties of reported earnings: persistence and accruals quality and employ multivariate regression models based on two-way cluster-robust standard errors and fixed-effects.FindingsThis study’s findings suggest that earnings persistence is decreasing, and discretionary accruals are increasing in IFRS experience in the GCC region over the period 2012–2017. The authors conclude that reported earnings quality has declined following IFRS adoption in this sample.Research limitations/implicationsThe authors contribute to the IFRS literature in the GCC region, which is in its infancy.Practical implicationsThis study’s findings have important policy implications for countries that are about to adopt or are in the early implementation stage of IFRS and suggest that strong enforcement of accounting standards along with improvement in the institutional environments might be needed for improving financial reporting quality.Originality/valueThe authors provide the first cross-country evidence on the relation between IFRS adoption in the GCC region and earnings quality. Moreover, unlike most prior studies, the authors employ a continuous measure that is superior to a binary measure in capturing the effect of IFRS adoption.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48780470","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 best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio 等风险贡献的最佳拟合模型:来自环保投资组合的证据
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-07-04 DOI: 10.1108/ijmf-09-2021-0435
Bayu Adi Nugroho
{"title":"The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio","authors":"Bayu Adi Nugroho","doi":"10.1108/ijmf-09-2021-0435","DOIUrl":"https://doi.org/10.1108/ijmf-09-2021-0435","url":null,"abstract":"PurposeThis research aims to select the best-fitting model(s) of equal risk contribution portfolios (ERC). ERC is a robust estimation in the absence of reasonable expectations about future returns.Design/methodology/approachThe portfolio consists of five environmental-friendly exchange-traded funds (ETFs). It applies equal risk optimization, beneficial when the assets are firmly linked, such as the ETFs. This paper operationalizes 20 covariance models in portfolio construction, and a portfolio with classic covariance is the benchmark to beat. To select the best-fitting model(s), the paper applies statistical inferences of the model confidence set. This research also constructs the newly-developed minimum connectedness optimization method and utilizes maximum drawdown as the primary evaluation tool.FindingsThe outbreak of COVID-19 hugely impacts the portfolio drawdown. The results also show that the classic covariance is hard to beat, partly explained by estimation error and model misspecification. This paper suggests that equal risk contribution can benefit from copula-based covariance. It consistently and significantly outperforms the other models in various robustness tests.Practical implicationsIn the absence of substantial predictions about future returns and the existence of strongly linked assets, selecting appropriate portfolio components by risk contribution is a sound choice.Originality/valueThis is the first paper to select the best-fitting model(s) of ERC portfolio during the COVID-19.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47952719","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
Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets 重新审视新冠肺炎时期的金融市场相互依存关系:对绿色债券、加密货币、大宗商品和其他金融市场的研究
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-06-28 DOI: 10.1108/ijmf-04-2022-0165
Amar Rao, Mansi Gupta, G. Sharma, Mandeep Mahendru, Anirudh Agrawal
{"title":"Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets","authors":"Amar Rao, Mansi Gupta, G. Sharma, Mandeep Mahendru, Anirudh Agrawal","doi":"10.1108/ijmf-04-2022-0165","DOIUrl":"https://doi.org/10.1108/ijmf-04-2022-0165","url":null,"abstract":"PurposeThe purpose of the present study is to contribute to the existing literature by examining the nexus and the connectedness between classes S&P Green Bond Index, S&P GSCI Crude Oil Index, S&P GSCI Gold, MSCI Emerging Markets Index, MSCI World Index and Bitcoin, during the pre-and post-Covid period beginning from August 2011 to July 2021 (10 years).Design/methodology/approachThe study employs time-varying parameter vector autoregression and Quantile regression methods to understand the impact of events on traditional and upcoming asset classes. To further understand the connectedness of assets under consideration, the study used Geo-Political Risk Index (GPR) and Global Economic Policy and Uncertainty index (GPEU).FindingsFindings show that these markets are strongly linked, which will only expand in the post-pandemic future. Before the pandemic, the MSCI World and Emerging Markets indices contributed the most shocks to the remaining market variables. Green bond index shows a greater correlation and shock transmission with gold. Bitcoin can no longer be used as a good hedging instrument, validating the fact that the 21st-century technology assets. The results further opine that under extreme economic consequences with high GPR and GPEU, even gold cannot be considered a safe investment asset.Originality/valueFinancial markets and the players who administer and communicate their investment logics are heavily reliant on conventional asset classes such as oil, gas, coal, nuclear and allied groupings, but these emerging asset classes are attempting to diversify.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47550553","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: 17
Robust market timing tests of Canadian hybrid mutual funds 加拿大混合共同基金的稳健市场时机测试
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-06-23 DOI: 10.1108/ijmf-01-2022-0040
Mohamed A. Ayadi, A. Chaibi, L. Kryzanowski
{"title":"Robust market timing tests of Canadian hybrid mutual funds","authors":"Mohamed A. Ayadi, A. Chaibi, L. Kryzanowski","doi":"10.1108/ijmf-01-2022-0040","DOIUrl":"https://doi.org/10.1108/ijmf-01-2022-0040","url":null,"abstract":"PurposePrior research has documented inconclusive and/or mixed empirical evidence on the timing performance of hybrid funds. Their performance inferences generally do not efficiently control for fixed-income exposure, conditioning information, and cross-correlations in fund returns. This study examines the stock and bond timing performances of hybrid funds while controlling and accounting for these important issues. It also discusses the inferential implications of using alternative bootstrap resampling approaches.Design/methodology/approachWe examine the stock and bond timing performances of hybrid funds using (un)conditional multi-factor benchmark models with robust estimation inferences. We also rely on the block bootstrap method to account for cross-correlations in fund returns and to separate the effects of luck or sampling variation from manager skill.FindingsWe find that the timing performance of portfolios of funds is neutral and sensitive to controlling for fixed-income exposures and choice of the timing measurement model. The block-bootstrap analyses of funds in the tails of the distributions of stock timing performances suggest that sampling variation explains the underperformance of extreme left tail funds and confirms the good and bad luck in the bond timing management of tail funds. We report inference changes based on whether the Kosowski et al. or the Fama and French bootstrap approach is used.Originality/valueThis study provides extensive and robust evidence on the stock and bond timing performances of hybrid funds and their sensitivity based on (un)conditional linear multi-factor benchmark models. It examines the timing performances in the extreme tails funds using the block bootstrap method to efficiently identify (un)skilled fund managers. It also highlights the sensitivity of inferences to the choice of testing methodology.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46991131","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
The influence of corporate governance on the performance of family-controlled firms: exploring the effects of legal jurisdiction 公司治理对家族企业绩效的影响——法律管辖权效应探析
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-06-22 DOI: 10.1108/ijmf-12-2021-0598
Ella Guangxin Xu, Joey (Wenling) Yang, Y. Shan, Chris Graves
{"title":"The influence of corporate governance on the performance of family-controlled firms: exploring the effects of legal jurisdiction","authors":"Ella Guangxin Xu, Joey (Wenling) Yang, Y. Shan, Chris Graves","doi":"10.1108/ijmf-12-2021-0598","DOIUrl":"https://doi.org/10.1108/ijmf-12-2021-0598","url":null,"abstract":"PurposeThis study investigates effects of corporate governance on the financial performance of family-controlled firms and how these effects differ between common law and civil law jurisdictions.Design/methodology/approachThis study applies a number of corporate governance measures to the largest 243 publicly listed family-controlled businesses worldwide from 2009 to 2018. The corporate governance measures include board independence, board gender diversity, corporate governance index (CGI) and the percentage of family ownership.FindingsThe empirical evidence indicates that board independence improves financial performance; this positive effect is more pronounced in common law than civil law jurisdictions. Board gender diversity has a negative impact on financial performance under common law but a positive impact in civil law jurisdictions. Moreover, the CGI and family ownership structure are positively associated with financial performance, and no difference is found between the two jurisdiction types. In addition, family ownership negatively moderates CGI in civil law countries only.Originality/valueThis study provides new insight on the relevance of considering jurisdictional differences when examining the effect of corporate governance on performance. The study also addresses important concerns in family business research relating to unobserved heterogeneity and endogeneity. Implications of these for research and practice are discussed in the paper.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48117959","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
Portfolio weights concentration: optimal strategies and equilibrium implications 投资组合权重集中:最优策略和均衡含义
IF 1.7
International Journal of Managerial Finance Pub Date : 2022-05-31 DOI: 10.1108/ijmf-03-2022-0098
Paskalis Glabadanidis
{"title":"Portfolio weights concentration: optimal strategies and equilibrium implications","authors":"Paskalis Glabadanidis","doi":"10.1108/ijmf-03-2022-0098","DOIUrl":"https://doi.org/10.1108/ijmf-03-2022-0098","url":null,"abstract":"PurposeThe purpose of this article is to help investors build less-concentrated portfolios as well as to construct optimal return-concentration portfolios.Design/methodology/approachAn alternative portfolio objective is proposed where investors care about the level of concentration of their portfolio weights. Minimizing the concentration of portfolio weights leads to the well-known equal-weight portfolio as the optimal choice. Maximizing the trade-off between the portfolio's expected return and the weight concentration produces a novel portfolio with weights proportional to the expected return of each security.FindingsAn empirical application with 30 industry portfolios and 1,000 individual stocks finds that both proposed strategies perform well out-of-sample both in terms of the proposed concentration measure but also in terms of more traditional risk-based measures like Sharpe ratios, abnormal returns and market betas.Originality/valueThe optimal risk-concentration portfolio proposed in this paper is a novel result. The portfolio generalizes prior practitioner intuition on focusing on securities with the highest expected returns and the concept of diversification.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48652369","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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