Hold Returns Research Articles

Effect of Underwriter’s Reputation on Performance of small business IPOs

The purpose of the study is to determine the impact of the underwriter’s reputation on shaping the short- and long-term IPO success of small businesses. The paper uses IPO data from 2012 to 2020, three reputable proxy and event-time methodologies to analyze the company’s performance through market-adjusted excess returns, cumulative abnormal returns and buy & hold returns. Similarly, to mitigate common predispositions, use the calendar-time methodology, Fama-French three-factor model and Carhart four-factor model with high and low reputational groups. The study revealed a significant positive impact of underwriters’ reputations on first-day returns and long-term performance. Overall, the results indicate that, in the longterm, IPOs of Indian small and medium-sized enterprises are over efficient with regard to reputation signals. On the contrary, the calendar-time method and multifactor model indicate the low long-term IPO effectiveness of the SME. According to the authors’ conclusion, this is the first study to assess the impact of underwriter reputation on business performance using several reputation indicators, the calendar time methodology, and the multi-factor model on the ICP’s Indian IPO platform.

Pre-clinical assessment of SLN360, a novel siRNA targeting LPA, developed to address elevated lipoprotein (a) in cardiovascular disease

Background and aimsThe LPA gene encodes apolipoprotein (a), a key component of Lp(a), a potent risk factor for cardiovascular disease with no specific pharmacotherapy. Here we describe the pharmacological data for SLN360, a GalNAc-conjugated siRNA targeting LPA, designed to address this unmet medical need. MethodsSLN360 was tested in vitro for LPA knockdown in primary hepatocytes. Healthy cynomolgus monkeys received single or multiple subcutaneous doses of the SLN360 sequence ranging from 0.1 to 9.0 mg/kg to determine the pharmacokinetic and pharmacodynamic effects. Liver mRNA and serum biomarker analyses were performed. ResultsIn vitro, the SLN360 sequence potently reduces LPA mRNA in primary cynomolgus and human hepatocytes, while no effect was observed on the expression of APOB or PLG. In vivo, SLN360 exposure peaks 2 h after subcutaneous injection with near full elimination by 24 h. Specific LPA mRNA reduction (up to 91% 2 weeks after dosing) was observed with only the 3 mg/kg group showing appreciable return to baseline (40%). No consistent dose- or time-dependent effect on the expression of APOB, PLG or a panel of sensitive markers of liver lipid accumulation was observed. Potent (up to 95%) and long lasting (≥9 weeks) serum Lp(a) reduction was observed, peaking in all active groups at day 21. The minimally effective dose was determined to be 0.3 mg/kg with an ED50 of 0.6 mg/kg. ConclusionsSLN360 induces a sustained reduction in serum Lp(a) levels in cynomolgus monkeys following subcutaneous dosing. SLN360 has potential to address the unmet need of Lp(a) reduction in cardiovascular diseases.

Digital Health Value Realization Through Active Change Efforts.

Digital health has massive potential in health care but has been slow to evolve in comparison to other information-intensive industries, which have more readily taken advantage of new technology. One of the key barriers has been the complex relationship between the perceived return on investment for the investor and the resulting value to patients and caregivers. Those actors who pay for technologies do not always see an appreciable return for themselves, while those actors who must apply the technology to generate value are not always incentivized to do so. This misalignment across health system payers and administrators, clinicians and patients must be better understood and addressed to help accelerate digital health. This paper will examine this challenge through the clinician experience, using empirical case examples from Canada to illustrate opportunities for change. While many factors may influence digital health adoption, this paper specifically aims to explore the shifts in the balance of the perceived value of implementing digital health tools, vs. the efforts required to adopt them. It will explore two contrasting case examples: clinical adoption of EMRs in Canada from 2009 to 2015, and clinical adoption of virtual care technologies during the COVID-19 pandemic from 2020 to 2021. In 2006, Canada lagged peer countries significantly in the adoption of electronic medical records (EMR) in community-based care. Financial support and cooperation of multiple levels of government and clinical stakeholders were required to address the misaligned incentives, which led to significant uptake by care providers. The rapid adoption of virtual care in Canada in response to the pandemic provides another relevant example of the importance of alignment among the factors of clinical workflows, clinical appropriateness, technology integration and payment models. Experts have highlighted the need for standardization, regulation, and clear policy to ensure sustainable, high quality virtual care that complements in-person care. In both cases, the costs and effort of adopting new technologies outweighed direct clinician value, requiring change initiatives to catalyze progress. This imbalance could be unique to these examples in Canada, and may not be globally generalizable to the adoption of all digital health tools. However, how change efforts can be tailored to adjust to a rapidly evolving health care workforce, spanning diverse jurisdictions and stakeholder groups will be critical to the sustainability of virtual care adoption. Furthermore, what key elements must be considered to guide change initiatives for successful implementation, designed to influence change while adding value for patients, clinicians and Canada's health care systems? Using insights from successful change initiatives past and present, this paper aims to answer these questions to enable a smoother transition to digital health innovations of the future.

An Analysis of the Long-Run Performance IPOs and Effects in the Kenyan Stock Market

Listing of a company in the securities exchange has been observed to be followed by underpricing in the first day and long term period of underperformance in terms of pricing in the subsequent days. Consequently, there has been a considerable curiosity from stakeholders, investors and academics to comprehend the assessments of why companies go public and the issues surrounding the short and long-run performance of newly issued equities. Underpricing is necessary to induce uninformed investors to participate in IPO offering when faced with adverse selection from informed investors. This often leads to first day price not reflecting a fair value of the IPO. The objective of the study was to determine the long-run performance IPOs and effects in the Kenyan stock market for the period 2007-2014. A descriptive survey research design was employed in the study. The population of the study encompassed all the 64 listed companies at the NSE as at 2016. The study employed a non-probability purposive sampling technique. Data collected for this study was secondary data obtained from NSE website, NSE price lists and the Central Bank of Kenya website for the period 2007 to 2014. The data obtained was analyzed using Statistical Package for Social Science (SPSS). Mean Average Buy and Hold Returns (MABHR), Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) were used to calculate the performance of the stocks. T-statistic for CAR was computed to the test for its significance. T-test was conducted at 95% confidence level to find if MABHR and CAR were statistically significant after IPOs announcement.

Shareholder Activism Around the Globe: Hedge Funds vs. Other Professional Investors

Shareholder activism has sharply increased over the past decade and spread both across countries and among different types of investors. Today, 50% of all engagements occur outside North America, with non-hedge fund investors accounting for one-third of all engagements. We investigate the effects and drivers of hedge fund and non-hedge fund activism using an international dataset of 2,689 activist engagements across 44 countries between 2008 and 2019. Activist investments in North America, on average, yield the largest immediate positive stock market returns and buy-and-hold returns, followed by engagements in Europe and the Asia-Pacific region. In North America, short-term abnormal returns for hedge funds are at a similar level as those for non-hedge funds, but in Europe and the Asia-Pacific region, they are higher for non-hedge funds. However, globally, hedge funds achieve higher buy-and hold returns and are more successful than non-hedge funds in implementing change in target firms. Over time, our results suggest unfulfilled investor expectations, as announcement returns are increasing but (abnormal) buy-and-hold returns and the impact on performance measures of target firms are decreasing for both hedge funds and non-hedge funds.

The effect of Earnings Co-movement on Quarterly Earnings Response Coefficient

The effect of Earnings Co-movement on Quarterly Earnings Response Coefficient

Board Structure, Ownership and Performance of Indian IPOs: An Empirical Investigation

This paper is an attempt to explore the signaling effect of corporate governance mechanisms on IPOs of emerging market economy. Using a sample of 124 Indian IPOs for the period April 2009 to March 2015, the study tries to find out the impact of board characteristics and share ownership of different stakeholders on short and long term IPO performance. In Indian context, this paper makes the first attempt to highlight the impact of corporate governance mechanisms on long run IPO performance, measured by market adjusted buy and hold returns (BHR). The results of the analysis show that in Indian context, subscription rate, equity retention by executive and non-executive directors and promoter CEO have significant impact on IPO underpricing. Board size, promoter CEO and retained strategic investors ownership have significant impact on IPO long run performance. Overall the results show that corporate governance attributes play a limited role in explaining underpricing and long run IPO performance in Indian context. However, investors can use the corporate governance attributes as certificate mechanisms to select potentially high value IPOs for both short and long-term investments. The issuing firms can restructure their boards and ownership patterns to enhance the value of the firm, to get fair value of their IPOs and benefit their long-term shareholders.

Stocks, Bonds, Bills, and Inflation® (SBBI®): 2020 Summary Edition

This Stocks, Bonds, Bills, and Inflation® (SBBI®): 2020 Summary Edition enables investors to understand how to calculate, interpret, and use the US historical stock and bond data that the CFA Institute Research Foundation has made available to CFA Institute members. The data include the capital appreciation, income, and total returns of the major asset classes of the US economy: large-cap stocks, small-cap stocks, corporate bonds, government bonds of various maturities, and inflation. Most of the data start in 1926, and are presented in monthly, annual, decade, or longer period form. The raw data itself are mostly monthly but are not included in this summary volume. Rather, this summary volume includes illustrative data, methodology, formulae, and analysis that will help investors and analysts learn how to use market time series raw data, which is separately available.

The long-run performance of SME IPOs in India: empirical evidence from Indian stock market

PurposeThe purpose of this paper is to study the pattern of long-run performance of small and medium enterprises (SMEs) initial public offerings (IPOs) and examine the firm- and issue-related determinants of long-run performance of SME IPOs in India.Design/methodology/approachThe 3 6, 9 and 12 months share returns of Indian SME IPOs is studied using event time methodologies, i.e. buy and hold returns, cumulative abnormal returns and wealth relatives on a sample of 375 SME IPOs issued during February 2012 to May 2018. Additionally, ordinary least square regression has been used to investigate the determinants of long-run performance of SME IPOs on a reduced sample of 104 because of non-availability of price observations.FindingsThe findings reveal that Indian SME IPOs exhibit long-run overperformance contradicting the international evidences of underperformance, and this overperformance is significantly evident using buy and hold abnormal return (BHAR). Furthermore, based on the divergence of opinion hypothesis, fads theory and windows of opportunity hypothesis, the results reveal that on one hand, issue size and oversubscription negatively affect BHAR, while on the other hand, auditor reputation, underwriter reputation, hot market, underpricing, inverse of issue price, profits prior to listing positively affect long-run performance. However, firm age, firm size, debt equity ratio, volatility and long-run performance computed through BHAR lacks significant relationship.Research limitations/implicationsThe study relied on event time methodology of measuring aftermarket performance of one year because of the limited availability of price offerings. Hence, the study could be extended to analyze aftermarket returns over a period of three to five years to enable reaching the vivid conclusions. Calendar time methodology may also be used to compute abnormal returns.Practical implicationsThe results based on the study provides an implication to the investors by providing them an opportunity to bank higher long-run returns by engaging in active and timely trading strategies. Nevertheless, the results also show that investors should be cautioned while taking investment decisions.Originality/valueThe study contributes to rising body of international literature by analyzing the larger and recent sample of IPOs issued from 2012 to 2018 listed on SME exchange.

Valuation effects of cultural disparity on cross border mergers: The evidence from India

The object of this study is to explore the effect of cultural distance on both the long run and short run performance of cross border mergers and acquisitions undertaken by Indian acquiring firms. We utilize buy and hold returns (BHAR), cumulative abnormal returns (CAR) and cross-sectional regression analysis in our study. Adopting the traditional Hofstede measure of cultural distance and other pertinent variables, commonly used to measure cultural differences, we document a negative and statistically significant influence of cultural distance on Indian cross-border M&As and corroborate some of other findings reported in prior research. Also, we find that the BHAR is nevertheless higher when the acquisitions are friendly, paid for 100% cash, and the acquiring firm is large, older and belongs to a business group. The inclusion of the variable ‘business group’ along with industry relatedness and acquirer size provides valuable insights into the Indian cross border acquisition landscape, wherein business groups dominate to a great extent.

The effect of block ownership on future firm value and performance

This paper examines the performance of the investment decisions of block owners. The block ownership data is obtained from Dlugosz, Fahlenbrach, Gompers, and Metrick (2006). We find that firm valuation (measured by Tobin’s Q), operating performance (measured by changes in return on assets) and stock performance (measured by excess buy and hold returns) are positively and significantly related to the previous years’ level of block ownership both in terms of the size of the ownership and the number of blockholders. Our results are robust to endogeneity concerns. Regarding whether a specific blockholder is an “insider” or an “outsider” to the firm, we find that the ownership of “outside” blockholders is a key determinant in explaining future firm performance. Note though that this category makes up about two-thirds of the aggregate amount of blockholding in Dlugosz et al. (2006) database, and also includes all blockholders not classified in other categories. In general, we attribute the superior performance to the presence of more blockholders. We also find an inverse association between the volatility in blockownership and the ex-post firm performance measures.

Efficient virtual data center request embedding based on row-epitaxial and batched greedy algorithms

Data centers are becoming the main backbone of and centralized repository for all cloud-accessible services in on-demand cloud computing environments. In particular, virtual data centers (VDCs) facilitate the virtualization of all data center resources such as computing, memory, storage, and networking equipment as a single unit. It is necessary to use the data center efficiently to improve its profitability. The essential factor that significantly influences efficiency is the average number of VDC requests serviced by the infrastructure provider, and the optimal allocation of requests improves the acceptance rate. In existing VDC request embedding algorithms, data center performance factors such as resource utilization rate and energy consumption are not taken into consideration. This motivated us to design a strategy for improving the resource utilization rate without increasing the energy consumption. We propose novel VDC embedding methods based on row-epitaxial and batched greedy algorithms inspired by bioinformatics. These algorithms embed new requests into the VDC while reembedding previously allocated requests. Reembedding is done to consolidate the available resources in the VDC resource pool. The experimental testbed results show that our algorithms boost the data center objectives of high resource utilization (by improving the request acceptance rate), low energy consumption, and short VDC request scheduling delay, leading to an appreciable return on investment.

Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance

This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk Reward Indicator (SRRI), yields better Sharpe Ratios (SR) and Buy and Hold Returns (BHR) than passive investments. However, accounting for the Fama–French factors in the historical data reveals no significant alphas for the vast majority of the strategies. Further analyses conducted by running a simulation study based on a GJR(1,1)-model show no significant difference in mean returns, but significantly lower SRs for the volatility-based strategies. This evidence suggests that neither the higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis.

Flexible and Compact Spiral-Shaped Frequency Reconfigurable Antenna for Wireless Applications

ABSTRACTA flexible, spiral-shaped frequency reconfigurable antenna with a compact size (20 × 24 mm2) is presented. The proposed antenna has a low-profile planar structure and is able to operate at five different frequency bands, i.e., 4.19–4.48, 5.98–6.4, 3.42–4.0, 5.4–5.68, and 6.8–7.0 GHz. The multiband operation enables the antenna to cover aeronautical radio navigation, fixed satellite communication, WLAN, and WiMAX standards. A radiating element is backed by Rogers® 5880 substrate with a thickness of 0.508 mm and dielectric constant of 2.2. The spiral shape is achieved by introducing different strips. Frequency reconfiguration is achieved by the incorporation of a lumped element in a strip, so that the antenna can switch between different resonances. To validate the performance of the antenna, the prototype of the design was fabricated and tested. Good acquiescent is seen between simulated and measured results. The proposed antenna operates efficiently with appreciable return loss, directivity, bandwidth, and peak gain.

Marriott Starwood merger: what did we learn from a financial standpoint?

PurposeThe purpose of this paper is to measure and observe stock market and investor reactions (benchmark adjusted cumulative abnormal returns (CARs)) to the announcement of Marriott’s acquisition of Starwood and related merger and acquisition (M&A) news and related activities over a two-year period.Design/methodology/approachEmpirical models and quantifications were developed and tested through event study analysis to test the Marriot-Starwood M&A news and related activities and to observe the abnormal stock return patterns. Several data sources were employed including Factiva by Dow Jones, Wall Street Newspaper, CRSP/COMPUSTAT merged files, and ValueLine Research.FindingsThis paper provides financial insights and outcomes of pre-, during, and post-Marriot-Starwood merger. While equity returns to Starwood were mostly flat, Marriott experienced negative returns around the acquisition announcement and anytime a news article appears following the announcement. However, performance proxies showed that Marriott’s shareholders gained superior buy and hold returns following the acquisition in the long run.Research limitations/implicationsShort-term event study methodology might be less than perfect in examining the stock returns to acquisitions. Therefore, future research is encouraged to test and observe Marriot-Starwood merger using longer time periods with predictive analysis to check the further usability of the results.Practical implicationsThe study’s findings practically signal that overreaction in the short term is followed by a correction with an improvement in returns and sales performance of Marriot. In the majority of the acquisitions, integration process is not planned until after the acquisition announcement or the deal completion.Originality/valueThis paper contributes to the existing literature by demonstrating the financial issues, challenges, and outcomes of the biggest merger in the history of the global lodging industry.

Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan

We compare and contrast the clientele effect, information content and the buy‐and‐ hold returns of options with weekly and monthly expiration periods (Weeklys and Monthlys) traded on the Taiwan Stock Exchange Capitalization‐weighted Stock Index (TAIEX). No significant clientele effect is discernible in either market. Furthermore, Weeklys has the wider bid‐ask spread and lower depth clearly implies greater information asymmetry than Monthlys. Unlike Weeklys, Monthlys are found to play a leading informational role in TAIEX returns. We further observe that both types of options have significantly negative returns.

International Real Estate Review

We investigate the long- and short-term interrelationships between equity and mortgage real estate investment trusts (REITs) by focusing on decomposed income and appreciation components. We find that the previously documented long-term cointegration relation between equity and mortgage REIT prices stems exclusively from their income components and subsequently, the appreciation components contribute nothing to such a long-term relationship. We also find that the previously documented short-term causal relation between equity and mortgage REIT returns is due to the causality that runs from the appreciation returns of equity REITs to those of mortgage REITs while their income returns do not lead to causality. Lastly, we show that the income returns of both equity and mortgage REITs are influenced by the same equity market factor while their appreciation returns are responsive to different macroeconomic factors, which explain the heterogeneous performance between them.

Electrically Small Microstrip Patch Antenna Loaded with Spiral Resonator for Wireless Applications

This paper focuses on a new dual turn spiral resonator (DTSR) loaded electrically small microstrip patch antenna. The proposed DTSR loaded antenna is mounted on Rogers RT/Duroid 5880 tm substrate and numerically analyzed with electromagnetic solver. The resonant frequency of the antenna gets lowered with improved magnetic permeability of dielectric materials through metamaterial loading. The DTSR loaded antenna resonates at 14.76 GHz compared to unloaded simple microstrip patch antenna resonating at 27.44 GHz. The proposed antenna also satisfies the condition of Chu limit for being electrically small antenna with appreciable return loss and gain of 7.17 dB and fractional bandwidth is 7.96%. This antenna can be used for satellite communications. The full wave simulated resonant frequency of DTSR is compared with frequency derived from equivalent circuit of model. It is observed that the analytically calculated resonant frequency is in close agreement with full wave numerically analyzed frequency. The negative permeability of the DTSR is also plotted to depict the metamaterial behavior.

The Great Recession and real estate cycles – challenges, opportunities, and lessons learned

PurposeThe purpose of this paper is twofold: the authors initially survey a sample of literature published after the Great Recession that address macroeconomic and commercial real estate forecasting methods related to the Great Recession and compare significant lessons learned, or lack thereof. The authors then seek to identify new models to improve the predictability of commercial real estate early warning signals regarding cyclical turning points which result in negative appreciation rates.Design/methodology/approachThe authors develop a probit model to estimate quarterly probabilities of negative office appreciation returns using an alternative methodology to Tsolaco et al. (2014). The authors’ alternative method incorporates generally publicly available macroeconomic and real estate variables such as gross domestic product, office-related employment sectors, cap rate spreads, and commercial mortgage flow of funds into a probit model in order to estimate the probability of future quarterly negative office appreciation rates.FindingsThe authors’ models demonstrate the predictive power of macroeconomic variables typically associated with office demand. The probit model specification shows probabilities of negative office appreciations rates greater than 50 percent either as the quarterly office returns become negative, or in some cases several quarters before office returns become negative, for both the Great Recession and the recession occurring in the early 1990s. The models fail to show probabilities greater than 50 percent of negative office returns until after they occur for the recession in 2001. While this indicates need for further improvement in early warning models, the models do predict the more severe periods of negative office returns in advance, indicating the findings useful to real estate investors to monitor the changes in economic and real estate data identified as statistically significant in the results.Practical implicationsThe Great Recession is a unique laboratory of significant contractions, recessions, and recoveries that challenge pre-recessionary real estate cycle models. The models provide guidance on which historical economic indicators are important to track, and gives a framework with which to calculate the probability that office prices are likely to decline. Because the models use macroeconomic indicators that are publicly available from at least one quarter in the past, the models or variations of them may provide real estate professionals with some indication of an impending decrease in office prices, even if that indication comes only one quarter in advance. Armed with this information, property owners, investors, and brokers can make more informed decisions on whether to buy or sell, and how sensitive their real estate transactions may be to timing.Originality/valueThe authors introduce several new models that examine the ability of historical macroeconomic indicators to provide early warning signals and identify turning points in real estate valuations, specifically negative office appreciation rates caused by the Great Recession. Using data from at least one quarter in the past, all the data in the models are publicly available (excluding National Council of Real Estate Investment Fiduciaries data) at the observed return quarter being predicted, which gives practitioners rational insights that can provide at least one source of guidance about the likelihood of an impending decrease in office prices.

OPTIMIZACIÓN DE INDICADORES DE RENTABILIDAD MEDIANTE EL MODELO DE DEPRECIACIÓN ÁURICA EN NICARAGUA

La implementación de medidas fiscales tiende a disminuir el impacto de la carga tributaria sobre las actividades económicas empresariales. Por años se ha utilizado la depreciación como escudo fiscal, así que se planteó un nuevo modelo denominado Depreciación Áurica. Este planteamiento del modelo consistió en ponderar valores más altos en los primeros años de un activo con respecto a la sucesión de Fibonacci, para que sirviera a la mejora de los indicadores de rentabilidad: tasa interna de retorno (TIR) e índice de rentabilidad (IR). Se comparó este nuevo modelo con el de línea recta y depreciación acelerada (por suma de dígitos), a través del planteamiento de un escenario para la empresa con una anualidad mínima requerida para cumplir la premisa de rentabilidad; se disminuyó esta anualidad con la carga impositiva del 30% no sin antes aplicar tres métodos de depreciación. Al final, la TIR promedio y el IR corregido por impuestos, resultaron ser mayores con la aplicación del modelo áurico a tasas planificadas superiores al 16%, pues a menores tasas no se permitió una rentabilidad apreciable por ningún método. Este modelo tiene, pues, la finalidad de servir como incentivo para la creación y formalización de nuevas empresas, le permite capitalización y supervivencia, y garantiza a la administración tributaria la recaudación de impuestos a largo plazo.