Long-term return reversals-Value and growth or tax? UK evidence

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain long-term reversals than past performance. We find that value-growth characteristics generally provide better explanations for long-term stock returns than past performance. The evidence also shows that winners identified by capital gains dominate past performance winners in predicting reversals in the cross-sectional comparison. However, in the time-series analysis, when returns on capital gain winners are adjusted by the Fama and French (1996) risk factors, the predictive power of capital gain winners disappears. Our results show that capital gain winners are heavily featured as growth stocks. Return reversals in capital gain winners potentially reflect market price corrections for growth stocks. We conclude that investors’ incentives to delay paying capital gain taxes cannot fully rationalise long-term reversals in the UK market. Our results also imply that the long-term return pattern potentially reflects a mixture of investor rational and irrational behaviour.

Em busca de um índice alternativo à relação Book to Market para a construção de carteiras mais rentáveis

Muitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value.

salud financiera y riesgo en los estados financieros de la empresa avianca del sector aeronautico

La globalización y la competitividad como realidad de las empresas, implica que los gerentes preparen a sus empresas de la mejor manera para sobrevivir en este mundo tan inestable y cambiante. El primer paso consta de investigar y medir como se encuentra la empresa en cada uno de sus componentes, tales como recurso humano, mercadeo, logística, operación y por último y más importante las finanzas. El conocimiento de salud financiera y de los riesgos asociados a la actividad de las empresas, les permitirá a los gerentes tomar las decisiones correctas para ser rentables y perdurables en el mundo de los negocios inmerso en la globalización y competitividad. Esta apreciación es pertinente en Avianca S.A. esto teniendo en cuenta su progreso y evolución desde su primer vuelo el 5 de diciembre de 1919 comercial, hasta hoy cuando cotiza en la bolsa de Nueva York. Se realizó un análisis de tipo descriptivo, acompañado de la aplicación de ratios y nomenclaturas, dando lugar a establecer la salud financiera y los riesgos, no solo de Avianca sino también del sector aeronáutico. Como resultado se obtuvo que el sector aeronáutico sea financieramente saludable en el corto plazo, pero en el largo plazo su salud financiera se ve comprometida por los riegos asociados al sector y a la actividad desarrollada.

The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Islamic mutual funds' financial performance and international investment style: evidence from 20 countries

We pursue the first large-scale investigation of a strongly growing mutual fund type: Islamic funds. Based on an unexplored, survivorship bias-adjusted data set, we analyse the financial performance and investment style of 265 Islamic equity funds from 20 countries. As Islamic funds often have diverse investment regions, we develop a (conditional) three-level Carhart model to simultaneously control for exposure to different national, regional and global equity markets and investment styles. Consistent with recent evidence for conventional funds, we find Islamic funds to display superior learning in more developed Islamic financial markets. While Islamic funds from these markets are competitive to international equity benchmarks, funds from especially Western nations with less Islamic assets tend to significantly underperform. Islamic funds’ investment style is somewhat tilted towards growth stocks. Funds from predominantly Muslim economies also show a clear small cap preference. These results are consistent over time and robust to time varying market exposures and capital market restrictions.

Estratégias de investimentos para o Brasil baseadas em finanças comportamentais

Evidências de incompatibilidades entre a dinâmica do mercado de ações e os conceitos descritos pelos modelos de racionalidade plena têm estimulado o desenvolvimento de estudos a cerca do comportamento dos agentes econômicos, como forma de entender algumas anomalias presentes no processo de formação de preço dos ativos, dando origem aos estudos na área de Finanças Comportamentais. Este trabalho refere-se ao estudo de estratégias baseadas em Finanças Comportamentais aplicadas ao mercado de ações brasileiro.

A variação de ativos e retorno das ações no mercado de capitais brasileiro

A literatura de finanças tem encontrado diversas relações entre indicadores financeiros e o retorno de ações. Testamos a relação entre variação dos ativos totais e o retorno das ações para o mercado de capitais brasileiro. Foram realizadas regressões em painéis para testar se esta relação permanece válida mesmo em uma economia emergente como a do Brasil. Comparou-se a capacidade previsora da variação do ativo total com outros indicadores financeiros conhecidos na literatura

The effect of the business cycle on the performance of socially responsible equity mutual funds

The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (h i = 0.39, p <0.0001), and funds with growth objectives out-performed funds with other objectives (oi = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p <0.0001). During expansion/peaks, fund excess returns were explained by the market excess return over the risk-free rate, and fund objective. Funds with other objectives, such as balanced funds and income funds out-performed funds with growth objectives (oi = −0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p <0.0001). The SRI investor adds a third criterion to the risk and return trade-off of traditional portfolio theory. This constraint is social performance. The research suggests that managers of SRI equity mutual funds may diminish value by using social and ethical criteria to select stocks, but add value by superior stock selection. The result is that the performance of SRI mutual funds is very similar to that of the market. There was no difference in the value added among secular SRI, religious SRI, and vice screens.

Growth performance of Nigerian fish stocks

Parameters of the von Bertalanffy growth function are presented for 42 fish stocks belonging to 16 families, 22 genera and 27 species. The growth performance index, Phi '(= log K + 2logL sub( infinity )), was computed for each stock and was found to be highest in male Gymnarchus niloticus (Gymnarchidae) from Lake Chad and lowest in Chrysichthys auratus (Bagridae) from the Cross River. Mean Phi ' for major fish genera and families are also presented and was highest in brackishwater fishes, closely followed by freshwater and inshore marine water fishes.

Study of distribution, growth and reproduction polychaetes Nereidae in intertidal zone of Bandar Abbas and effect dominant species on white Indian shrimp brood stocks (Fenneropenaeus indicus)

Distribution of polychaetes worms Nereidae in intertidal zone of Bandar Abbass indicated that distribution rate of worms from the west to east for the reason status of seabed type, habitat and feeding substrate used to worms increased. Also investigation description that last-mentioned worms are belong to Nereididae family, Perinereis genus and species of Perinereis nuntia. By viewpoint seabed soil types experiments implement indicated Nereididae worms have higher survival with sandy clay loam soil texture. Statistical analysis showed positive relation coefficient correlation of Pearson between substrate type to frequency of worms and too substrate type with soil organic matter value (P<0.05). By viewpoint feeding also experiments with different feed treatment indicated that Nereid worms is Omnivore but in natural condition more utilized algae substrate special Entermorpha and survival rate had the worms last-mentioned in dietary treatments on this algae 93/3% different significant with other treatments (P<0.05). In this project pond-reared white Indian shrimp (Fenneropenaeus indicus) were used in four maturation and spawning trials lasting 60 days. one group of shrimps was fed a formulated pelleted special of broodstock diet only, a second group was fed squid meat diet; a third group of shrimps with mollusca (Solen vagina) meat diet and fourth group was fed polychaete worms Nereidae family, collected in intertidal zone of Bandar Abbass. Four types of dietary treatments (M1, M4) were given to separate batches that were run in three duplicate. Results of experiments demonstrate that more grew rate and maturation and spawning rate and we found that shrimps fed with polychaete worms have the best condition and then shrimps fed with solen. This is demonstrate furthermore environmental circumstance, endocrine hormone, types of feed important of maturation and spawning of shrimps and in polychaete worms used HUFA help to maturation ovarian in shrimp.

Genetic resources in wild and cultured stocks of the Asian mud crab, Scylla paramamosain

The mud crab (Scylla spp.) aquaculture industry has expanded rapidly in recent years in many countries in the Indo - West Pacific (IWP) region as an alternative to marine shrimp culture because of significant disease outbreaks and associated failures of many shrimp culture industries in the region. Currently, practices used to produce and manage breeding crabs in hatcheries may compromise levels of genetic diversity, ultimately compromising growth rates, disease resistance and stock productivity. Therefore, to avoid “genetic pollution” and its harmful effects and to promote further development of mud crab aquaculture and fisheries in a sustainable way, a greater understanding of the genetic attributes of wild and cultured mud crab stocks is required. Application of these results can provide benefits for managing wild and cultured Asian mud crab populations for multiple purposes including for commercial production, recreation and conservation and to increase profitability and sustainability of newly emerging crab culture industries. Phylogeographic patterns and the genetic structure of Asian mud crab populations across the IWP were assessed to determine if they were concordant with those of other widespread taxa possessing pelagic larvae of relatively long duration. A 597 bp fragment of the mitochondrial DNA COI gene was amplified and screened for variation in a total of 297 individuals of S. paramamosain from six sampling sites across the species’ natural geographical distribution in the IWP and 36 unique haplotypes were identified. Haplotype diversities per site ranged from 0.516 to 0.879. Nucleotide diversity estimates among haplotypes were 0.11% – 0.48%. Maximum divergence observed among S. paramamosain samples was 1.533% and samples formed essentially a single monophyletic group as no obvious clades were related to geographical location of sites. A weak positive relationship was observed however, between genetic distance and geographical distance among sites. Microsatellite markers were then used to assess contemporary gene flow and population structure in Asian mud crab populations sampled across their natural distribution in the IWP. Eight microsatellite loci were screened in sampled S. paramamosain populations and all showed high allelic diversity at all loci in sampled populations. In total, 344 individuals were analysed, and 304 microsatellite alleles were found across the 8 loci. The mean number of alleles per locus at each site ranged from 20.75 to 28.25. Mean allelic richness per site varied from 17.2 to 18.9. All sites showed high levels of heterozygosity as average expected heterozygosities for all loci ranged from 0.917 – 0.953 while mean observed heterozygosity ranged from 0.916 – 0.959. Allele diversities were similar at all sites and across all loci. The results did not show any evidence for major differences in allele frequencies among sites and patterns of allele frequencies were very similar in all populations across all loci. Estimates of population differentiation (FST) were relatively low and most probably largely reflect intra – individual variation for very highly variable loci. Results from nDNA analysis showed evidence for only very limited population genetic structure among sampled S. paramamosain, and a positive and significant association for genetic and geographical distance among sample sites. Microsatellite markers were then employed to determine if adequate levels of genetic diversity has been captured in crab hatcheries for the breeding cycle. The results showed that all microsatellite loci were polymorphic in hatchery samples. Culture populations were in general, highly genetically depauperate, compared with comparable wild populations, with only 3 to 8 alleles recorded for the same loci set per population. In contrast, very high numbers of alleles per locus were found in reference wild S. paramamosain populations, which ranged from 18 to 46 alleles per locus per population. In general, this translates into a 3 to 10 fold decline in mean allelic richness per locus in all culture stocks compared with wild reference counterparts. Furthermore, most loci in all cultured S. paramamosain samples showed departures from HWE equilibrium. Allele frequencies were very different in culture samples from that present in comparable wild reference samples and this in particular, was reflected in a large decline in allele diversity per locus. The pattern observed was best explained by significant impacts of breeding practices employed in hatcheries rather than natural differentiation among wild populations used as the source of brood stock. Recognition of current problems and management strategies for the species both for the medium and long-term development of the new culture industry are discussed. The priority research to be undertaken over the medium term for S. paramamosain should be to close the life cycle fully to allow individuals to be bred on demand and their offspring equalised to control broodstock reproductive contributions. Establishing a broodstock register and pedigree mating system will be required before any selection program is implemented. This will ensure that sufficient genetic variation will be available to allow genetic gains to be sustainably achieved in a future stock improvement program. A fundamental starting point to improve hatchery practices will be to encourage farmers and hatchery managers to spawn more females in their hatcheries as it will increase background genetic diversity in culture stocks. Combining crablet cohorts from multiple hatcheries into a single cohort for supply to farmers or rotation of breeding females regularly in hatcheries will help to address immediate genetic diversity problems in culture stocks. Application of these results can provide benefits for managing wild and cultured Asian mud crab populations more efficiently. Over the long-term, application of data on genetic diversity in wild and cultured stocks of Asian mud crab will contribute to development of sustainable and productive culture industries in Vietnam and other countries in the IWP and can contribute towards conservation of wild genetic resources.

An exploratory study of the factors enhancing and inhibiting export growth in the Chilean wine industry

The objective of this exploratory study is to investigate the main drivers that enhance and inhibit the export performance of Chilean wineries. Based on survey data collected from Chilean wineries, the findings of this study suggest that the main constraints within the Chilean wineries in developing exports is the lack of financial resources, limited quantities of stocks for market expansion, management’s lack of knowledge and experience, and the high cost of travelling and participating in trade shows. The main drivers of wine export performance according to the respondents are high quality of the wines, well established network of international distributors, and marketing skills. The major inhibitors of developing wine exports are exchange rate variability, problems in selecting a reliable international distributor, and limited government support to promote wine exports. This study also shows that export managers of Chilean wineries have high educational levels and have international experience. The findings have important implications for export development efforts of both governments and managers.

Genes and growth performance in crustacean species : a review of relevant genomic studies in crustaceans and other taxa

Global aquaculture has expanded rapidly to address the increasing demand for aquatic protein needs and an uncertain future for wild fisheries. To date, however, most farmed aquatic stocks are essentially wild and little is known about their genomes or the genes that affect important economic traits in culture. Biologists have recognized that recent technological advances including next generation sequencing (NGS) have opened up the possibility of generating genome wide sequence data sets rapidly from non-model organisms at a reasonable cost. In an era when virtually any study organism can 'go genomic', understanding gene function and genetic effects on expressed quantitative trait locus phenotypes will be fundamental to future knowledge development. Many factors can influence the individual growth rate in target species but of particular importance in agriculture and aquaculture will be the identification and characterization of the specific gene loci that contribute important phenotypic variation to growth because the information can be applied to speed up genetic improvement programmes and to increase productivity via marker-assisted selection (MAS). While currently there is only limited genomic information available for any crustacean species, a number of putative candidate genes have been identified or implicated in growth and muscle development in some species. In an effort to stimulate increased research on the identification of growth-related genes in crustacean species, here we review the available information on: (i) associations between genes and growth reported in crustaceans, (ii) growth-related genes involved with moulting, (iii) muscle development and degradation genes involved in moulting, and; (iv) correlations between DNA sequences that have confirmed growth trait effects in farmed animal species used in terrestrial agriculture and related sequences in crustacean species. The information in concert can provide a foundation for increasing the rate at which knowledge about key genes affecting growth traits in crustacean species is gained.

Survival and Growth of Damara, Dorper, Dorset, Rambouillet, South African Meat Merino First Cross Lambs in Semi Arid Queensland

The recent introduction to Australia of superior sheep meat breeds from South Africa provides a basis for improving the quality and amount of sheep meat grown in Queensland’s semi arid area. Alternatively suitable breeds from existing Australian stocks of dual purpose and traditional terminal meat sheep may bring the desired attributes required by the market place. There has been no critical assessment of sheep meat breeds suitably adapted to the rangeland environment of western Queensland. Animal production for a consuming world : proceedings of 9th Congress of the Asian-Australasian Association of Animal Production Societies [AAAP] and 23rd Biennial Conference of the Australian Society of Animal Production [ASAP] and 17th Annual Symposium of the University of Sydney, Dairy Research Foundation, [DRF]. 2-7 July 2000, Sydney, Australia.

Integrating different approaches in the definition of biological stocks: A northern Australian multi-jurisdictional fisheries example using grey mackerel, Scomberomorus semifasciatus

A holistic approach to stock structure studies utilises multiple different techniques on the same individuals sampled from selected populations and combines results across spatial and temporal scales to produce a weight of evidence conclusion. It is the most powerful and reliable source of information to use in formulating resource management and monitoring plans. Few examples of the use of a holistic approach in stock structure studies exist, although more recently this is changing. Using such an approach makes integration of results from each technique challenging. An integrated stock definition (ISD) approach for holistic stock structure studies was developed in this study to aid in the appropriate interpretation of stock structure results to guide the determination of fishery management units. The ISD approach is applied herein to a study of the northern Australian endemic grey mackerel, Scomberomorus semifasciatus (Scombridae). Analyses of genetic (mitochondrial DNA and microsatellites), parasite, otolith stable isotope, and growth data are synthesised to determine the stock structure of S. semifasciatus across northern Australia. Integration of the results from all techniques identified at least six S. semifasciatus stocks for management purposes. Further, the use of the ISD approach provided a simple basis for integrating multiple techniques and for their interpretation. The use of this holistic approach was a powerful tool in providing greater certainty about the appropriate management units for S. semifasciatus. Future stock structure studies investigating spatial management questions in the fisheries context should adopt a holistic approach and apply the ISD approach for a more accurate definition of biological stocks to improve fisheries management.