406 resultados para Empirical asset pricing

em Queensland University of Technology - ePrints Archive


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We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional market skewness is positive investors are willing to sacrifice 7.87% annually per unit of gamma (a standardized measure of coskewness risk) while they only demand a premium of 1.80% when the market is negatively skewed. A similar picture emerges from the coskewness factor of Harvey and Siddique (Harvey, C., Siddique, A., 2000a. Conditional skewness in asset pricing models tests. Journal of Finance 65, 1263–1295.) (a portfolio that is long stocks with small coskewness with the market and short high coskewness stocks) which earns 5.00% annually when the market is positively skewed but only 2.81% when the market is negatively skewed. The conditional two-moment CAPM and a conditional Fama and French (Fama, E., French, K., 1992. The cross-section of expected returns. Journal of Finance 47,427465.) three-factor model are rejected, but a model which includes coskewness is not rejected by the data. The model also passes a structural break test which many existing asset pricing models fail.

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This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.

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We investigate whether the two 2 zero cost portfolios, SMB and HML, have the ability to predict economic growth for markets investigated in this paper. Our findings show that there are only a limited number of cases when the coefficients are positive and significance is achieved in an even more limited number of cases. Our results are in stark contrast to Liew and Vassalou (2000) who find coefficients to be generally positive and of a similar magnitude. We go a step further and also employ the methodology of Lakonishok, Shleifer and Vishny (1994) and once again fail to support the risk-based hypothesis of Liew and Vassalou (2000). In sum, we argue that search for a robust economic explanation for firm size and book-to-market equity effects needs sustained effort as these two zero cost portfolios do not represent economically relevant risk.

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Fishers are faced with multiple risks, including unpredictability of future catch rates, prices and costs. While the latter are largely beyond the control of fisheries managers, effective fisheries management should reduce uncertainty about future catches. Different management instruments are likely to have different impacts on the risk perception of fishers, and this should manifest itself in their implicit discount rate. Assuming licence and quota values represent the net present value of the flow of expected future profits, then a proxy for the implicit discount rate of vessels in a fishery can be derived by the ratio of the average level of profits to the average licence/quota value. From this, an indication of the risk perception can be derived, assuming higher discount rates reflect higher levels of systematic risk. In this paper, we apply the capital asset pricing model (CAPM) to determine the risk premium implicit in the discount rates for a range of Australian fisheries, and compare this with the set of management instruments in place. We test the assumption that rights based management instruments lower perceptions of risk in fisheries. We find little evidence to support this assumption. although the analysis was based on only limited data.

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"Emphasises asset allocation while presenting the practical applications of investment theory. The authors concentrate on the intuition and insights that will be useful to students throughout their careers as new ideas and challenges emerge from the financial marketplace. It provides a good foundation to understand the basic types of securities and financial markets as well as how trading in those markets is conducted. The Portfolio Management section is discussed towards the end of the course and supported by a web-based portfolio simulation with a hypothetical $100,000 brokerage account to buy and sell stocks and mutual funds. Students get a chance to use real data found in the Wall Street Survivor simulation in conjunction with the chapters on investments. This site is powered by StockTrak, the leading provider of investment simulation services to the academic community. Principles of Investments includes increased attention to changes in market structure and trading technology. The theory is supported by a wide range of exercises, worksheets and problems."--publisher website Contents: Investments: background and issues -- Asset classes and financial markets -- Securities markets -- Managed funds and investment management -- Risk and return: past and prologue -- Efficient diversification -- Capital asset pricing and arbitrage pricing theory -- The efficient market hypothesis -- Bond prices and yields -- Managing bond portfolios -- Equity valuation -- Macroeconomic and industry analysis -- Financial statement analysis -- Investors and the investment process -- Hedge funds -- Portfolio performance evaluation.

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The momentum investment strategy, which buys recent winner stocks and sells recent loser stocks, earns returns that are simply too good to be explained by traditional finance theories. This thesis extends our understanding of the sources of momentum profits. The research shows that part of the seemingly anomalous returns can be explained by the market's reaction to public news, is affected by how delisting returns are calculated, and is biased by ignoring the time-varying risk of the trading strategy.

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Infrastructure organisations are operating in an increasingly challenging business environment as a result of globalisation, privatisation and deregulation. Under such circumstances, asset managers need to manage their infrastructure assets effectively in order to contribute to the overall performance of their organisation. In an external business environment that is constantly changing, extant literature on strategic management advocates a resourced--�]based view (RBV) approach that focuses on factors internal to the organisation such as resources and capabilities to sustain organisation performance. The aim of this study is to explore the core capabilities needed in the management of infrastructure assets. Using a multiple case study research strategy focusing on transport infrastructure, this research firstly examines the goals of infrastructure asset management and their alignment with broader corporate goals of an infrastructure organisation. It then examines the strategic infrastructure asset management processes that are needed to achieve these goals. The core capabilities that can support the strategic infrastructure asset management processes are then identified. This research produced a number of findings. First, it provided empirical evidence that asset management goals are being pursued with the aim of supporting the broader business goals of infrastructure organisations. Second, through synthesising the key asset management processes deemed necessary to achieve the asset management goals, a strategic infrastructure asset management model is proposed. Third, it identified five core capabilities namely stakeholder connectivity, cross-functional, relational, technology absorptive and integrated information management capability as central to executing the strategic infrastructure asset management processes well. These findings culminate in the development of a capability model to improve the performance of infrastructure assets.

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Purpose – The purpose of this paper is to develop a conceptual framework that can be used to identify capabilities needed in the management of infrastructure assets. Design/methodology/approach – This paper utilises a qualitative approach to analyse secondary data in order to develop a conceptual framework that identifies capabilities for strategic infrastructure asset management. Findings – In an external business environment that is undergoing rapid change, it is more appropriate to focus on factors internal to the organisation such as resources and capabilities as a basis to develop competitive advantage. However, there is currently very little understanding of the internal capabilities that are appropriate for infrastructure asset management. Therefore, a conceptual framework is needful to guide infrastructure organisations in the identification of capabilities. Research limitations/implications – This is a conceptual paper and future empirical research should be conducted to validate the propositions made in the paper. Practical implications – The paper clearly argues the need for infrastructure organisations to adopt a systematic approach to identifying the capabilities needed in the management of strategic infrastructure assets. The discussion on the impact of essential capabilities is useful in providing the impetus for managers who operate in a deregulated infrastructure business landscape to review their existing strategies. Originality/value – The paper provides a new perspective on how asset managers can create value for their organisations by investing in the relevant capabilities.

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The concept of asset management is not a new but an evolving idea that has been attracting attention of many organisations operating and/or owning some kind of infrastructure assets. The term asset management have been used widely with fundamental differences in interpretation and usage. Regardless of the context of the usage of the term, asset management implies the process of optimising return by scrutinising performance and making key strategic decisions throughout all phases of an assets lifecycle (Sarfi and Tao, 2004). Hence, asset management is a philosophy and discipline through which organisations are enabled to more effectively deploy their resources to provide higher levels of customer service and reliability while balancing financial objectives. In Australia, asset management made its way into the public works in 1993 when the Australian Accounting Standard Board issued the Australian Accounting Standard 27 – AAS27. Standard AAS27 required government agencies to capitalise and depreciate assets rather than expense them against earnings. This development has indirectly forced organisations managing infrastructure assets to consider the useful life and cost effectiveness of asset investments. The Australian State Treasuries and the Australian National Audit Office was the first organisation to formalise the concepts and principles of asset management in Australia in which they defined asset management as “ a systematic, structured process covering the whole life of an asset”(Australian National Audit Office, 1996). This initiative led other Government bodies and industry sectors to develop, refine and apply the concept of asset management in the management of their respective infrastructure assets. Hence, it can be argued that the concept of asset management has emerged as a separate and recognised field of management during the late 1990s. In comparison to other disciplines such as construction, facilities, maintenance, project management, economics, finance, to name a few, asset management is a relatively new discipline and is clearly a contemporary topic. The primary contributors to the literature in asset management are largely government organisations and industry practitioners. These contributions take the form of guidelines and reports on the best practice of asset management. More recently, some of these best practices have been made to become a standard such as the PAS 55 (IAM, 2004, IAM, 2008b) in UK. As such, current literature in this field tends to lack well-grounded theories. To-date, while receiving relatively more interest and attention from empirical researchers, the advancement of this field, particularly in terms of the volume of academic and theoretical development is at best moderate. A plausible reason for the lack of advancement is that many researchers and practitioners are still unaware of, or unimpressed by, the contribution that asset management can make to the performance of infrastructure asset. This paper seeks to explore the practices of organisations that manage infrastructure assets to develop a framework of strategic infrastructure asset management processes. It will begin by examining the development of asset management. This is followed by the discussion on the method to be adopted for this paper. Next, is the discussion of the result form case studies. It first describes the goals of infrastructure asset management and how they can support the broader business goals. Following this, a set of core processes that can support the achievement of business goals are provided. These core processes are synthesised based on the practices of asset managers in the case study organisations.

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Purpose Maintenance management is a core process in infrastructure asset management. Infrastructure organisations must constantly strive to ensure the effectiveness of this process in order to obtain the greatest lifetime value from their infrastructure assets. This paper aims to investigate how infrastructure organisations can enhance the effectiveness of their maintenance management process. Approach This study utilised multiple case studies as the research approach. The case organisations were asked to identify the challenges faced in the maintenance process and the approaches they have adopted to overcome these challenges. Analysis of these findings, together with deductive reasoning, leads to the development of the proposed capability needed for effective maintenance management process. Findings The case studies reveal that maintenance management process is a core process in ensuring that infrastructure assets are optimally and functionally available to support business operations. However, the main challenge is the lack of skilled and experienced personnel to understand and anticipate maintenance requirement. A second challenge is the reduced window of time available to carry out inspection and maintenance works. To overcome these challenges, the case organisations have invested in technologies. However, technologies available to facilitate this process are complex and constantly changing. Consequently, there is a need for infrastructure organizations to develop their technological absorptive capability, i.e. the ability to embrace and capitalize on new technologies to enhance their maintenance management process. Originality/Value This paper is original in that it provides empirical evidence to identify technological absorptive capability as core to improving the maintenance management process. The findings are valuable because it sheds light on where infrastructure organisation, regardless of whether they are privately or publicly owned, should channel their scarce resources. The development of the core capability will ensure that the maintenance process can contribute value to their organisation.