The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder.

Learning about Risk and Return: A Simple Model of Bubbles and Crashes

This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles and crashes as endogenous responses to the fundamentals driving asset prices. When agents are risk-averse they need to make forecasts of the conditional variance of a stock’s return. Recursive updating of both the conditional variance and the expected return implies several mechanisms through which learning impacts stock prices. Extended periods of excess volatility, bubbles and crashes arise with a frequency that depends on the extent to which past data is discounted. A central role is played by changes over time in agents’ estimates of risk.

Introducing spin-off stocks into the NSP’s risk parity strategy

Field lab: Nova Student Portfolio

The Effect of Dividend Yield to Stocks’ Performance on Bullish and Bearish Finnish Stock Market

This study examines the relationship between dividend yield and stock return over bullish and bearish Finnish stock market by testing for alpha and beta shifts across bull and bear markets. In addition, this study examines if various factors, such as a standard deviation of dividends, firm size and profitability have an effect on the size, of the firms’ dividends and systematic risk of the stocks. We divide stocks into five portfolios on the basis of their past average dividend yields and investigate if the highest yielding portfolios outperform the lowest yielding portfolios during the different market conditions. As a result, high yielding stocks were most stable during the examination period and offered downside protection on bear markets. However, a strategy of forming portfolios with past dividend yields led to negative alphas even in bull markets. Standard deviation of dividends, firm size and profitability were found to have no effect on the size of dividends and systematic risk of the stocks.

Margin requirements and volatility : evidence from Canadian stocks

Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.

Commercial real estate return distributions: a review of literature and empirical evidence

This paper review the literature on the distribution of commercial real estate returns. There is growing evidence that the assumption of normality in returns is not safe. Distributions are found to be peaked, fat-tailed and, tentatively, skewed. There is some evidence of compound distributions and non-linearity. Public traded real estate assets (such as property company or REIT shares) behave in a fashion more similar to other common stocks. However, as in equity markets, it would be unwise to assume normality uncritically. Empirical evidence for UK real estate markets is obtained by applying distribution fitting routines to IPD Monthly Index data for the aggregate index and selected sub-sectors. It is clear that normality is rejected in most cases. It is often argued that observed differences in real estate returns are a measurement issue resulting from appraiser behaviour. However, unsmoothing the series does not assist in modelling returns. A large proportion of returns are close to zero. This would be characteristic of a thinly-traded market where new information arrives infrequently. Analysis of quarterly data suggests that, over longer trading periods, return distributions may conform more closely to those found in other asset markets. These results have implications for the formulation and implementation of a multi-asset portfolio allocation strategy.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

Migratory Urge and Gill Na(+),K(+)-ATPase Activity of Hatchery-Reared Atlantic Salmon Smolts from the Dennys and Penobscot River Stocks, Maine

Hatchery-reared Atlantic salmon Salmo salar smolts produced from captive-reared Dennys River and sea-run Penobscot River broodstock are released into their source rivers in Maine. The adult return rate of Dennys smolts is comparatively low, and disparity in smolt quality between stocks resulting from genetic or broodstock rearing effects is plausible. Smolt behavior and physiology were assessed during sequential 14-d trials conducted in seminatural annular tanks with circular flow. "Migratory urge'' (downstream movement) was monitored remotely using passive integrated transponder tags, and gill Na(+),K(+)-ATPase activity was measured at the beginning and end of the trials to provide an index of smolt development. The migratory urge of both stocks was low in early April, increased 20-fold through late May, and declined by the end of June. The frequency and seasonal distribution of downstream movement were independent of stock. In March and April, initial gill Na(+),K(+)-ATPase activities of Penobscot River smolts were lower than those of Dennys River smolts. For these trials, however, Penobscot River smolts increased enzyme activity after exposure to the tank, whereas Dennys River smolts did not, resulting in similar activities between stocks at the end of all trials. There was no clear relationship between migratory urge and gill Na(+),K(+)-ATPase activity. Gill Na(+),K(+)-ATPase activity of both stocks increased in advance of migratory urge and then declined while migratory urge was increasing. Maximum movement was observed from 2 h after sunset through 1 h after sunrise but varied seasonally. Dennys River smolts were slightly more nocturnal than Penobscot River smolts. These data suggest that Dennys and Penobscot River stocks are not markedly different in either physiological or behavioral expression of smolting.

Illiquidity shocks and the comovement between stocks:new evidence using smooth transition

This paper extends the smooth transition conditional correlation model by studying for the first time the impact that illiquidity shocks have on stock market return comovement. We show that firms that experience shocks that increase illiquidity are less liquid than firms that experience shocks that decrease illiquidity. Shocks that increase illiquidity have no statistical impact on comovement. However, shocks that reduce illiquidity lead to a fall in comovement, a pattern that becomes stronger as the illiquidity of the firm increases. This discovery is consistent with increased transparency and an improvement in price efficiency. We find that a small number of firms experience a double illiquidity shock. For these firms, at the first shock, a rise in illiquidity reduces comovement while a fall in illiquidity raises comovement. The second shock partly reverses these changes as a rise in illiquidity is associated with a rise in comovement and a fall in illiquidity is associated with a fall in comovement. These results have important implications for portfolio construction and also for the measurement and evolution of market beta and the cost of capital as it suggests that investors can achieve higher returns for the same amount of market risk because of the greater diversification benefits that exist. We also find that illiquidity, friction, firm size and the pre-shock correlation are all associated with the magnitude of the correlation change. © 2013 Elsevier B.V.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Buyback and return policies for a book publishing firm = Egy könyvkiadó vállalat visszavásárlási stratégiája

A dolgozat célja egy vállalati gyakorlatból származó eset elemzése. Egy könyvkiadót tekintünk. A kiadó kapcsolatban van kis- és nagykereskedőkkel, valamint a fogyasztók egy csoportjával is vannak kapcsolatai. A könyvkiadók projekt rendszerben működnek. A kiadó azzal a problémával szembesül, hogy hogyan ossza el egy frissen kiadott és nyomtatott könyv példányszámait a kis- és nagykereskedők között, valamint mekkora példányszámot tároljon maga a fogyasztók közvetlen kielégítésére. A kiadóról feltételezzük, hogy visszavásárlási szerződése van a kereskedőkkel. A könyv iránti kereslet nem ismert, de becsülhető. A kis- és nagykereskedők maximalizálják a nyereségüket. = The aim of the paper is to analyze a practical real world problem. A publishing house is given. The publishing firm has contacts to a number of wholesaler / retailer enterprises and direct contact to customers to satisfy the market demand. The book publishers work in a project industry. The publisher faces with the problem how to allocate the stocks of a given, newly published book to the wholesaler and retailer, and to hold some copies to satisfy the customers direct from the publisher. The publisher has a buyback option. The distribution of the demand is unknown, but it can be estimated. The wholesaler / retailer maximize the profits. The problem can be modeled as a one-warehouse and N-retailer supply chain with not identical demand distribution. The model can be transformed in a game theory problem. It is assumed that the demand distribution follows a Poisson distribution.

The Consequences of REIT Index Membership for Return Patterns

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock returns and the performance of the underlying real estate, consistent with improved pricing efficiency. REIT investors appear to be able to enjoy the benefits of improved visibility and liquidity associated with index membership as well as the exposure to underlying real estate markets and the related benefits of diversification.

Carbon Stocks and Isotopic Composition of the Organic Matter in Soils Covered by Native Vegetation and Pasture in Sorocaba, SP, Brazil

Land cover change constitutes one of main way of alteration of soil organic matter in both quantitative and qualitative terms. The goal of this study was to compare the carbon stock and the isotopic signature of the organic matter in the soil of areas with different land use,covered with forest and grass (pasture). The study area is located at Sorocaba, SP, Brazil. Using un-deformed soil samples, we measured the carbon content and bulk density. The isotopic signature of soil carbon was determined through the analysis of isotopic ratio (12)C/(13)C. The pasture soil stocks 48% less carbon than the soil covered by natural forest. The isotopic signature indicated that 42.2% of organic matter of the soil covered by pasture is originated from grasses. This characterizes a highly degradation of organic matter in the environment, both quantitatively and qualitatively. Hence, some guidelines of recuperation are described in order to restore the soil organic matter, structure and porosity.

Effect of sugarcane harvesting systems on soil carbon stocks in Brazil: an examination of existing data

Agricultural management practices that promote net carbon (C) accumulation in the soil have been considered as an important potential mitigation option to combat global warming. The change in the sugarcane harvesting system, to one which incorporates C into the soil from crop residues, is the focus of this work. The main objective was to assess and discuss the changes in soil organic C stocks caused by the conversion of burnt to unburnt sugarcane harvesting systems in Brazil, when considering the main soils and climates associated with this crop. For this purpose, a dataset was obtained from a literature review of soils under sugarcane in Brazil. Although not necessarily from experimental studies, only paired comparisons were examined, and for each site the dominant soil type, topography and climate were similar. The results show a mean annual C accumulation rate of 1.5 Mg ha-1 year-1 for the surface to 30-cm depth (0.73 and 2.04 Mg ha-1 year-1 for sandy and clay soils, respectively) caused by the conversion from a burnt to an unburnt sugarcane harvesting system. The findings suggest that soil should be included in future studies related to life cycle assessment and C footprint of Brazilian sugarcane ethanol.