1,720,990 research outputs found
Evaluating asset pricing anomalies: evidence from Latin America
No full textWe analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically significant. Expanding the holding periods for long-short anomaly portfolios points out to the same direction. Anomalies are seldom significant when testing for statistical significance and tend to be more prevalent in small rather than in large stocks. However, their presence is not widespread. Thus, many anomalies in the extant literature do not survive out-of-sample scrutiny in this region.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650
Profitability and money propagation in communities of bank clients : a visual analytics approach
No full textWe analyze financial transactions of corporate bank clients not only at the level of particular customers, but also at the level of communities of customers and a system as a whole. We first build a structure of communities using the Louvain method, which in turn allows us to estimate the profitability of each community. Then, we visualize the community structure and transaction propagation in a custom-made visual analytic platform. The detection and visualization of communities proved to be extremely valuable in the study of money propagation because it revealed a critical structure and the behavior of the clients.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-3547-5247https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=56428901100https://www.scopus.com/authid/detail.uri?authorId=57210314284https://www.scopus.com/authid/detail.uri?authorId=5751097260
Firm profitability and expected stock returns : evidence from Latin America
No full textDespite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability on stock returns is pervasive in univariate and bivariate sorts, panel regressions, across sub-regional markets, and among small and large stocks. A five-factor model that includes market, size, distress, profitability, and investment factors prices profitability portfolios better than other popular factor models. Five-factor alphas of profitability portfolios tend to be lower and less statistically significant, both individually and collectively, than alphas from other three widely-used pricing models.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650
Profitability of momentum strategies in Latin America
No full textThis article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum strategy based on historical returns obtains positive and significant alphas only when controlling for market, size, and value factors. Nonetheless, when we control for country effects or expand the set of risk factors, abnormal returns to absolute strength momentum are also insignificant. In all, after accounting for risk, stock investors in the region were not able to profit from return continuation.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650
Deviations from fundamental value and future closed-end country fund returns
Full text linkPurpose. This article examines whether deviations from fundamental value or closed-end country fund's discounts or premiums forecast future share price returns or net asset returns. Design/methodology/approach. The main empirical (econometric) tool is a vector autoregressive (VAR) model. The authors model share price returns and net asset returns as a function of their lagged values, the discounts or premiums, and a control variable for local market returns. The authors also conduct Dickey Fuller and Granger causality tests as well as impulse response functions. Findings. It was found that deviations from fundamental value do predict share price returns. This predictability is contrary to weak-form market efficiency. Premiums or discounts predict net asset returns but weakly. Originality/value. The findings point to the idea that the closed-end fund market is somewhat predictable and inefficient (in its weak form) since the market appears to be able to anticipate a fund's future returns using information contained in the premiums (or discounts). In particular, the market has the ability to anticipate future behaviour because growing premiums forecast declining share price returns for one or two periods ahead.Propósito: Este artículo examina si las desviaciones del valor fundamental o los descuentos o primas de los fondos nacionales de tipo cerrado pronostican los rendimientos futuros del precio de las acciones o los rendimientos netos de los activos. Diseño/metodología/enfoque: La principal herramienta empírica (econométrica) es un modelo vectorial autorregresivo (VAR). Los autores modelan los rendimientos de los precios de las acciones y los rendimientos de los activos netos en función de sus valores rezagados, los descuentos o primas y una variable de control para los rendimientos del mercado local. Los autores también realizan pruebas de causalidad de Dickey Fuller y Granger, así como funciones de respuesta al impulso. Hallazgos: Se encontró que las desviaciones del valor fundamental predicen la rentabilidad del precio de las acciones. Esta previsibilidad es contraria a la eficiencia del mercado de forma débil. Las primas o los descuentos predicen los rendimientos netos de los activos, pero débilmente. Originalidad/valor: Los hallazgos apuntan a la idea de que el mercado de fondos cerrados es algo predecible e ineficiente (en su forma débil), ya que el mercado parece ser capaz de anticipar los rendimientos futuros de un fondo utilizando la información contenida en las primas (o descuentos). En particular, el mercado tiene la capacidad de anticipar el comportamiento futuro porque las primas crecientes pronostican rendimientos decrecientes del precio de las acciones para uno o dos períodos futuros
Industry momentum in Latin America
No full textWe examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the segment of small and large industries also points us to a lack of return continuation across industries. Employing idiosyncratic returns instead of total returns to differentiate between winner and loser industries confirms that industry momentum does not hold in the region. Furthermore, momentum for individual industries is also absent. Overall, obtaining profits from persistent return differences between or within industries would have been very difficult in our sample period.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650
Organizational learning, quality and safety culture in patient care: comparing Colombia and the Kingdom of Saudi Arabia
No full textPurpose
The purpose of this study is to determine the interactions between factors such as organizational learning, feedback about errors, punitive response to errors and communication quality in hospitals in the Kingdom of Saudi Arabia and Colombia when adopting a culture of quality and safety (CQS) in patient care.
Design/methodology/approach
Based on a literature review, a self-administered questionnaire was developed and used to collect data from 417 Saudi respondents affiliated with hospitals and 483 Colombian respondents at the beginning of the pandemic. Structural equation modeling is used in this study to test the hypothesized relationships.
Findings
The results show a solid and significant predictive relationship between feedback about errors and the CQS in both countries (Colombia: b = 0.55, p 0.05; KSA: b = 0.05, p > 0.05).
Practical implications
This study demonstrates the importance of organizational learning in fostering a CQS in the health-care sector in the Kingdom of Saudi Arabia and Colombia. Recent unprecedented policy actions motivated by the COVID-19 pandemic, such as social distancing, lockdowns and safety practices enforcement, have further highlighted this concern. Moreover, attention to the dimensions addressed in this study is required for accreditation purposes in organizations seeking to promote a CQS. Overall, this research highlights the vital role of safety and quality practices among health-care organizations, which has significant policy implications, especially in the current period of high uncertainty.
Originality/value
This paper contributes to the theory and practice in the health-care sector by extending the current knowledge of the impact of the quality of communications, non-punitive response to errors and feedback about errors in organizational learning and safety culture, and by presenting a novel, quantitative methodology seldom used for these topics.https://orcid.org/0000-0003-2584-2928https://orcid.org/0000-0003-4007-0508https://orcid.org/0000-0002-8489-0818https://www.scopus.com/authid/detail.uri?authorId=35243462500https://www.scopus.com/authid/detail.uri?authorId=58136646600https://www.scopus.com/authid/detail.uri?authorId=57209661332https://www.scopus.com/authid/detail.uri?authorId=3705714010
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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