56 research outputs found
Diversification benefits from New Zealand real estate
No full textAlthough the benefits of further diversifying a portfolio of New Zealand financial assets with unsecuritised New Zealand real estate have been confirmed in previous studies, this paper examines the benefits of further diversifying a portfolio by including rural grazing
property. Modern portfolio theory is used to determine the benefits of including rural property, as well as the traditional property investment assets, in a diversified investment portfolio based on New Zealand investment assets. In addition, efficient sets generated
with and without real estate are compared and found significant return enhancement and risk reduction benefits of adding retail property and farm real estate to the mix. These benefits are robust even when real estate return variance is increased sixfold or when real estate returns are reduced by 20 per cent, suggesting that real estate can reasonably be expected to be a consistent part of risk efficient portfolios
Role of farm real estate in a globally diversified asset portfolio
No full textPurpose - The paper examines the benefits of further diversifying a global portfolio of
financial assets with New Zealand farm real estate (FRE).
Design/methodology/approach - We compare efficient sets generated with and without
farm real estate using portfolio theory.
Findings - The results show that given the predominantly negative correlation between
FRE and financial assets, the risk-return tradeoffs of portfolios of financial assets can be
improved significantly. The diversification benefits measured in terms of risk reduction,
return enhancement, and improvement in the Sharpe performance ratios are robust under a
number of FRE risk-return scenarios as well as under high and low inflationary periods.
Using 5- and 10-year rolling periods we also find that FRE is a consistent part of risk
efficient portfolios. Consistent with the results reported in Lee and Stevenson (2006) for
UK real estate the risk reduction benefits of diversifying with FRE are larger than the risk
enhancement benefits.
Practical implication - The results suggest that FRE takes on a consistent role of riskreducer
rather than a return-enhancer in a globally diversified portfolio. FRE appears to
deserve more serious consideration by investment practitioners that it has been accorded in
the past.
Originality/value – The study examines the role of direct real estate in a globally
diversified portfolio of financial assets
Does idiosyncratic risk matter? evidence from the Philippine stock market
No full textThis research examines if the three main empirical findings on idiosyncratic volatility (IV) in the US market also apply to small but open emerging markets such as the Philippines. Our results indicate that we cannot generalise the US findings for the Philippine stock market. First, contrary to
the US findings of Campbell, Lettau, Malkiel and Xu (2001), we do not find a trend in idiosyncratic volatility over our study period. Second, we find that average equal-weighted idiosyncratic volatility is negatively related to market returns, which is opposite to the findings of Goyal and Santa-Clara
(2003) for the US market. Third, we find no relation between IV and abnormal returns, contrary to the findings of Ang, Hodrick, Xing and Zhang (2006), and Brockman and Yan (2006) for the US market
Investor sentiment data for China
No full textMonthly data used and described in Cheema, Man and Szulczyk, “Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?" International Review of Finance, forthcoming, 2018. DOI: 10.1111/irfi.12202.
Suggestions: We find that investor sentiment index does not explain aggregate stock market returns in China. However, we suggest that it can be used to explain stock market anomalies, etc.
The following paper finds that negative MAX effect is stronger following high but not low sentiment periods: Cheema Muhammad A., Nartea Gilbert and Man Yime, "Maxing Out in China: Optimism or Attention? International Review of Finance, forthcoming, 2018
Should farmers invest in financial assets as a risk management strategy? Some evidence from New Zealand *
No full textThis study explores the potential for risk reduction by New Zealand farmers through the diversification of their farm asset portfolios to include financial investments such as ordinary industrial shares, government bonds and bank bills. Low correlations between rates of return on farm and these financial assets suggest that significant reduction of income variability might follow their inclusion in farmers' portfolios. Stochastic efficiency analysis is used to analyse alternative portfolios of ordinary shares, government bonds and bank bills and New Zealand farmland, using coefficients of absolute risk aversion derived from a negative exponential utility function. The results suggest that those farmers showing high degrees of risk aversion would gain utility by including financial assets in their portfolios. Deregulation of the New Zealand economy in the 1980s appeared to reduce the potential gains from diversification. Bonds rather than ordinary shares are the main contributors to portfolios which maximise utility for individuals classified as 'somewhat' risk averse. Copyright 2008 The Authors. Journal compilation 2008 Australian Agricultural and Resource Economics Society Inc. and Blackwell Publishing Asia Pty Ltd.
Empirical Evaluation of the Risk and Cost Effects of Geographic Diversification in Central Illinois Grain Farms
No full textThe risk and cost effects of geographic diversification in central Illinois were deterministically simulated in representative grain farms, using tract-level yield data to estimate the relationship between correlation of yield and distance between tracts. The results indicate that the costs involved in transporting machines and equipment from tract to tract, far outweigh the derived risk (variance) reduction benefits. Survey results also showed that farmers appear to be aware of this unfavorable tradeoff. The results of the simulation also indicate that while geographic diversification may not be an attractive risk management strategy for the individual farmer, it holds promise for large institutional investors who do not have to deal with transporting machines and equipment between tracts.Made available in DSpace on 2014-12-17T20:54:30Z (GMT). No. of bitstreams: 1
9503283.pdf: 4895601 bytes, checksum: 4bb1ccbb8eb33cc0aceda96d8d3f460b (MD5)
Previous issue date: 1994Embargo set by: Seth Robbins for item 72349
Lift date: Forever
Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDsRestricted to the U of I community idenfinitely during batch ingest of legacy ETDsU of I Only168 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1994
The Size and Book-to-Market Effects and the Fama-French Three-Factor Model in Small Markets: Preliminary Findings from New Zealand
No full textThis study uses New Zealand stock market data from 1994-2002 to investigate size and book-to-market as determinants of returns in New Zealand share market, and the ability of the Fama-French three-factor model to explain the variation in stock returns. The results suggest a statistically significant size effect but a weak book-to-market effect. Additionally, the study also finds some improvement in explanatory power provided by the three-factor model relative to the conventional Capital Asset Pricing Model although not in the same magnitude as those reported in studies using relatively larger markets.
Government Size, the Composition of Public Spending and Economic Growth in Netherland
No full textThe performance of the fiscal policy is influenced significantly by the relationships and associations among the governmental size, the composition public and private spending and the economic growth of a country. The primary goal of this research study is to evaluate the impact of these factors and to evaluate the significance of these factors in the economic growth of the Netherlands. The economy of Netherlands is characterized as the 17th largest in the world and it presents stable and sustainable growth. In this altercation the researcher aimed to evaluate the significance of the governmental spending and size. For this purpose, the researcher used the data from 2004-2014 from the 12 provinces of Netherlands. The data was subjected to a unit root analysis so that the stationarity properties of the panel data can be evaluated. The unit root test results showed that the variables were stationary at I(0). In order to abstain from the endogeneity issues that can be present in such types of datasets the researcher used level and per capita variables as a robustness evaluation. The empirical framework was based upon the Cobb-Douglas production function and used the modern CES substitution elasticities to compute as the inputs of private capital and government spending in the production function. The nonlinear least-squares regression estimation method was used to evaluate the impact of the variables upon one another. The results indicate that the public investments and current governmental disbursements are conjoined in order to account for the inflexibility of the communal budget. Moreover, the governmental spending was found to be greater than 85 percent indicating that the provincial sectors are focused upon the stimulation of the economy
Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash
No full textThis paper examines time-varying price discovery of the Chinese stock index futures market during a stock market crash in 2015. We find that the index futures market plays a long-run leading role in terms of its higher static and dynamic generalised information share (GIS) than both the Shanghai and Shenzhen A share markets during the market turbulence. The expected trading volume in each market improves GIS of that market. The importance of trading activities by the majority of investors in increasing market efficiency during a crash is underscored. Government intervention on futures trading impairs price discovery in the futures market
Cross-sectional and time-series momentum returns and market states
No full textRecent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or DOWN. In fact, we find that the TS strategy underperforms the CS strategy when the market transitions to a different state. Our results also show that the difference in momentum returns between TS and CS strategies is related to both the net long and net short positions of the TS strategy
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