Equity Factors Research Articles

Applicability of evidence from randomized controlled trials and systematic reviews to clinical practice: A conceptual review.

BackgroundThe value of randomized controlled trials is dependent on the applicability of their findings to clinical decision-making. The aim of this study is to determine a definition and principles for the applicability of evidence from randomized controlled trials and systematic reviews.MethodsThis narrative review searched studies from PubMed and Web of Science databases using Cochrane Collaboration’s Qualitative Evidence Syntheses guidance. Empirical studies were excluded. Based on the included studies, a definition for the concept and propositions for principles of applicability were formulated.ResultsA definition and 11 propositions are presented, 6 propositions having additional sub-propositions. Low risk of bias, ability to answer to specific questions, documentation of the details of how randomized controlled trials turned out, reporting of favourable and adverse outcomes, and systematic comparison of randomized controlled trials and clinical data were considered important. Biomedical randomized controlled trials have the widest applicability, while heterogeneity in study characteristics, human perception, behaviour, environmental, equity factors, and health economic issues lessen applicability. Obtaining applicable evidence is a gradual process. Methodological and substance expertise is necessary for assessing applicability.DiscussionA definition of applicability and requirements for applicable evidence from randomized controlled trials to real-world contexts are presented. Propositions are suggested for any assessment of applicability of findings from randomized controlled trials, systematic reviews and meta-analyses.LAY ABSTRACTClinicians’ need for knowledge about a specific patient (or group of patients) is the underlying principle for applicability. Consequently, randomized controlled trials and systematic reviews should document all essential factors needed for clinical decision-making. Documentation of the study protocol (inclusion and exclusion criteria of patients, description of content of interventions and the outcome measures) is not sufficient. The documentation must also cover what actually happened in the randomized controlled trial, i.e. the characteristics of patients, the adherence to the index and control interventions, and the amount of co-interventions. Clinical registers using uniform documentation with randomized controlled trials increase the applicability of the research findings to clinical practice. The broadest applicability of findings comes from randomized controlled trials that assess the effectiveness of a single biological intervention for a well-defined disease using a valid biological outcome measure. Heterogeneity in study characteristics (patients, interventions and outcomes), and the presence of human perception (diagnosis, interventions and outcomes based on patient perception), and behaviour, environmental and equity factors, lessen the applicability of evidence. Randomized controlled trials must also report probabilities for favourable and adverse outcomes in order to increase the applicability of evidence.

Does Inequality Stay in the Shadow? The Cross-national Effects of Educational Equity on Private Tutoring and Student Achievement

By using multiple regression and hierarchical linear modeling, this study investigates shadow education across and within national educational systems in order to estimate the effect of educational equity on the relationship between private tutoring and student achievement. Data are from the Programme for International Student Assessment (PISA) 2012 and supplemented by World Bank data. Results indicate students’ participation in three types of private tutoring (commercial company, personal, and family tutoring) are negatively related to student achievement in the cross-national sample. Evidence suggests, however, that private tutoring may differently associate with student achievement depending on student- and nation-level educational equity factors and contexts. Finally, the validity of private tutoring as a measure of shadow education is deconstructed given these results.

On the Performance of Volatility-Managed Equity Factors - International and Further Evidence

On the Performance of Volatility-Managed Equity Factors - International and Further Evidence

Influence of shareholder equity on trade credit demand: The study of non-financial firms in Pakistan

Relevance. Most small-sized firms have little or no access to credit markets, which is why they prefer equity financing and usually pay higher dividends on this equity. When paying higher dividends, these small-sized debt-free firms continue to build a reputation in the markets. Research objective. The analysis focuses on the trade payables that impact shareholder equity. In Pakistan, most of the businesses are small and middle-sized. Most of the Pakistani SMEs have a low capital structure and these enterprises depend on their daily business needs, so equity financing is their primary source of funding. Data and Methods. The data source for our study is the financial statements of non-financial firms (in total, 156 firms) from the balance Sheet Analysis (BSA) and the Financial Statement Analysis (FSA) published by The State Bank of Pakistan (SBP). The financial statements also provide the data listed by the Pakistan Stock Exchange (PSX). The data cover the period from 2001 to 2017. This study primarily relies on the panel data model. The study applied the methods of descriptive analysis, correlation matrix, common regression model, fixed effect model, random effect model and then the Hausman test was performed to choose the best model. Results. The results of the study indicate a positive and significant relationship between shareholder equity and trade credit demand. Conclusion. Many investors require trade credit as a suitable tool for the growth of shareholders of the company. It is also used in many types of business schemes as the shareholder equity factor plays a role in profit generation through the use of trade credit transactions.

What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?

We construct a parsimonious set of equity factors by sorting stocks according to the sociodemographic characteristics of the individual investors who own them. The analysis uses administrative data on the stockholdings of Norwegian investors in 1997-2018. Consistent with financial theory, a mature-minus-young factor, a high wealth-minus-low wealth factor, and the market factor price stock returns. Our three factors span size, value, investment, profitability, and momentum, and perform well in out-of-sample bootstrap tests. The tilts of investor portfolios toward the new factors are driven by wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience. Our results are consistent with hedging and sentiment jointly driving portfolio decisions and equity premia.

Research to Explore the Components of University Brand Equity from the Student Perspectives: A Study in Hanoi City, Vietnam

This paper researches, synthesizes and gives the university brand equity components and factors from students'perspectives in Hanoi city. University brand value from a student perspective in Hanoi city includes fourelements: Brand Awareness (BA), Brand Impression (BI), Perceived Quality (PQ), and Brand Loyalty (BL). Polling 350 students collected analytical data through questionnaires designed to match students' unique characteristics at universities in Hanoi. The research results contribute to the scientific basis for university leaders in building and developing brands todraw more students in the future.

Women’s Social Empowerment and Gender Differences in Adults’ Cognitive Competences

Female social empowerment has the potential to enhance women’s cognitive abilities. Our previous work investigating the role of gender equity in education and improved living conditions during early adulthood suggest that European women gain more from societal improvements over time than their male counterparts. This study extends this work by investigating the association between women’s social empowerment during childhood and gender differences in adults’ cognition for more than 30 OECD countries. We analyze established cognitive competence measures in literacy and numeracy with mixed effect models using the national survey data PIAAC collected within three rounds in 2011, 2014, and 2017. Our preliminary findings suggest that gender equity factors associated with women’s empowerment, are more beneficial for women’s cognitive key competences than men’s. High cognitive competences are particularly relevant at advanced age to enable an independent life and long economic activity.

Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction

The authors propose a general framework referred to as Black–Litterman–Bayes (BLB) for constructing optimal portfolios for factor-based investing. In the spirit of the classical Black–Litterman model, the framework allows for the incorporation of investor views and priors on factor risk premiums, including data-driven and benchmark priors. Computationally efficient closed-form formulas are provided for the (posterior) expected returns and return covariance matrix that result from integrating factor views into an arbitrage pricing theory multi-factor model. In a step-by-step procedure, the authors show how to build the prior and incorporate the factor views, demonstrating in a realistic empirical example and using a number of well-known cross-sectional US equity factors, that the BLB approach can add value to mean–variance-optimal multi-factor risk premium portfolios. TOPICS:Factor-based models, factors, risk premia, portfolio construction, portfolio theory Key Findings ▪ The authors propose a general framework referred to as Black–Litterman–Bayes (BLB) for constructing optimal portfolios for factor-based investing. ▪ The framework allows for the incorporation of investor views and priors on factor risk premiums, including data-driven and benchmark priors. ▪ The authors provide computationally efficient closed-form formulas for the (posterior) expected returns and return covariance matrix. ▪ In a realistic empirical example, using a number of well-known cross-sectional US equity factors, they demonstrate that the BLB approach can add value to mean–variance-optimal multi-factor risk premium portfolios.

Liderazgo Directivo en Escuelas que Superan las Barreras del Contexto

Los directivos escolares son factores clave en el logro de buenas escuelas y esto es especialmente relevante en contextos de desigualdad como América Latina en general y Argentina en particular. El objetivo de investigación es comprender de qué manera el liderazgo directivo escolar opera como factor de equidad y eficacia en escuelas. Se adopta un enfoque cualitativo, de estudio de casos múltiples, centrado en las prácticas de directivos de cuatro escuelas secundarias públicas de la Ciudad de Buenos Aires. Para la selección de escuelas se toman los resultados del Índice de Equidad y Calidad de la Educación Porteña (IECEP) elaborado por el Ministerio de Educación de la Ciudad de Buenos Aires para sus escuelas secundarias y como indicador de vulnerabilidad educativa se considera el nivel educativo de la madre promedio por escuela, calculado por el mismo organismo. Los resultados aportan concepciones y prácticas del liderazgo directivo, que consisten en sostener una visión crítica y reflexiva sobre los problemas de desigualdad, construir un proyecto compartido con sentido de comunidad, mantener altas expectativas y compromiso pedagógico y promover estrategias equitativas y de inclusión. Los hallazgos son consistentes con la literatura de investigación sobre liderazgo pedagógico, inclusivo y distribuido. Las conclusiones realizan un aporte para las políticas educativas de desarrollo del liderazgo directivo, destinadas al logro de sistemas educativos de mayor calidad y más justos.

Equity Factors and Firms’ Perceived Cost of Capital

Using data from a decade of surveys of corporate managers, I find evidence that firms with higher expected stock returns have a higher perceived cost of equity and use higher discount rates in capital budgeting. Variation in expected stock returns, as measured by exposure to equity risk factors, is reflected in the perceived cost of equity with implied risk premia close to those observed in financial markets. The equity risk factors are also reflected in hurdle premia and explain up to 26% of the cross-sectional variation in the hurdle rates. The results support the hypothesis that discount rates in financial markets influence corporate discount rates and thereby corporate investment.

Dynamics of Equity Factor Returns and Asset Pricing

AbstractIn empirical equity asset pricing, the stochastic discount factor (SDF) is implicitly modeled as a linear function of equity factors and is influenced by the empirical properties of the factor returns. We investigate the pricing error introduced by a misspecified SDF which ignores each of the following established empirical phenomena: autocorrelation, dynamics of covariances, dynamics of correlations, and heavy tails for the conditional factor return distribution. We consider near-linear SDFs and nonlinear specifications characterized by a high degree of risk aversion. We find that assuming constant covariances or constant correlations can significantly overprice certain equity portfolios at all risk-aversion levels and that ignoring fat tails can lead to large pricing errors for some derivative assets for highly nonlinear SDFs.

Identifying outliers in asset pricing data with a new weighted forward search estimator

ABSTRACT The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is tested using both simulated and empirical asset pricing data. The impact of outliers on the estimation of asset pricing models is assessed under different scenarios, and the results are evaluated with associated statistical tests based on this new approach. Our proposal generates an alternative procedure for robust estimation of portfolio betas, allowing for the comparison between concurrent asset pricing models. The algorithm, which is both efficient and robust to outliers, is used to provide robust estimates of the models’ parameters in a comparison with traditional econometric estimation methods usually used in the literature. In particular, the precision of the alphas is highly increased when the Forward Search (FS) method is used. We use Monte Carlo simulations, and also the well-known dataset of equity factor returns provided by Prof. Kenneth French, consisting of the 25 Fama-French portfolios on the United States of America equity market using single and three-factor models, on monthly and annual basis. Our results indicate that the marginal rejection of the Fama-French three-factor model is influenced by the presence of outliers in the portfolios, when using monthly returns. In annual data, the use of robust methods increases the rejection level of null alphas in the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor model, with more efficient estimates in the absence of outliers and consistent alphas when outliers are present.

Influencing Factors of Equity Financing Efficiency of the Listed Companies in Strategic Emerging Industry Based on Baidu Index

In order to further improve the equity financing efficiency of listed companies in strategic emerging industries, this paper selects relevant data of 208 listed companies in strategic emerging industries from 2014 to 2018, and calculates the changes in scale efficiency, pure technical efficiency and total factor productivity through the Data envelopment analysis (DEA)-Malmquist model. Taking the three as representative variables of equity financing efficiency, at the same time, using the Tobit model to analyze the annual growth rate of selected 11 variables including asset-liability ratio, accounts receivable turnover rate and sub-industry network attention, and find out which variables that have a significant impact. The research results show that among the relevant annual growth rate variables, the degree of attention of sub-industry networks has a significant impact on the changes in the scale efficiency of equity financing of listed companies in strategic emerging industries, the changes in pure technical efficiency, and the changes in total factor productivity, among which the changes in scale efficiency The impact of is negative, but asset-liability ratio, return on assets, total assets, intangible assets, daily return volatility and top three executive compensation have no significant impact on the three; accounts receivable turnover rate, net profit. The growth rate only has a significant positive effect on the changes in the scale and efficiency of equity financing of listed companies in strategic emerging industries and the changes in total factor productivity, while the concentration of equity only has a significant negative effect on both; the two variables of comprehensive leverage and return on assets. The former only has a significant negative impact on changes in total factor productivity, while the latter only has a significant positive impact on changes in pure technical efficiency. The conclusion is: in addition to the common financial indicators and non-financial indicators, the big data indicators of Baidu Index have a prominent role in the factors affecting the equity financing efficiency of listed companies in strategic emerging industries.

Factors Determining Brand Equity for Retail Stores: A Market Segmentation Approach

The present study aims to analyze factors of brand equity in the retail stores in Vietnam; to recognize sub-dimensions connected with the forms of brand equity and thereby study the extent of the relationship among bases of market segmentation and brand equity. The present research made a collection of data by conducting a preliminary study. Responses were collected from the customers through a structured questionnaire to buy goods and services from the retail store in Vietnam. The sample size selected for the study was 196. The study applied various statistical tools, namely, Cronbach's Alpha for reliability checking, correlation and regression statistics with the support of SPSS Software. The brand association is treated as a vital determinant of brand equity that significantly influences the bases of market segmentation. Further, the study also recognized the fact that the majority of consumers who prefer to buy from retail stores are young and in the age-group of 18-24 years. The present study made an initial attempt to study the relationship among bases of market segmentation with the factors related to brand equity; thereby to offer a novel conceptual framework designed for retail stores in Vietnam for brand positioning.

Short Interest, Crowding and Liquidity Crises

We use the Short Interest strategy – buying low short interest stocks and shorting high short interest stocks – as a “barometer” for liquidity shocks impacting sophisticated equity investors: we explain why the strategy should exhibit V-shaped draw-downs when short-sellers are affected by liquidity shocks. We show that this was the case during both the 2007 Quant Crisis and the COVID-19 induced 2020 Quant Deleverage, that we document in this paper. We then use daily short interest data to infer near real-time crowding indicators for various quantitative equity long-short strategies. We find that sophisticated investors have continued to crowd in some of the well-known equity factors. We show that crowding is associated with an exposure to broader liquidity shocks on short sellers: when such liquidity shocks occur, crowded strategies tend to under-perform.

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

Prior research and empirical investment results have shown that portfolio construction choices related to rebalance schedules may have non-trivial impacts on realized performance. We construct long-only indices that provide exposures to popular U.S. equity factors (value, size, momentum, quality, and low volatility) and vary their rebalance schedules to isolate the effects of “rebalance timing luck.” Our constructed indices exhibit high levels of rebalance timing luck, often exceeding 100 basis points annualized, with total impact dependent upon the frequency of rebalancing, portfolio concentration, and the nature of the underlying strategy. As a case study, we replicate popular factor-based index funds and similarly find meaningful performance impacts due to rebalance timing luck. For example, a strategy replicating the S&P Enhanced Value index saw calendar year return differentials above 40% strictly due to the rebalance schedule implemented. Our results suggest substantial problems for analyzing any investment when the strategy, its peer group, or its benchmark is susceptible to performance impacts driven by the choice of rebalance schedule.

문화예술관광 체험이 브랜드 자산과 태도, 충성도에 미치는 영향

The purpose of this study is to investigate the influence of cultural and artistic tourism experiences on brand equity, attitude and loyalty. This is because it is possible to promote and market culture and art tourism in Jeollabuk-do and to seek ways to expand tourist attraction, and to enhance the image of culture and art tourism and Jeollabuk-do. First, in order to understand the effect of cultural and artistic tourism experience on brand assets (images), a regression analysis was conducted by analyzing each item of culture and arts tourism. It was found to have a significant effect on (image). Second, in order to understand the influence of cultural art tourism experience on brand assets (cognition), a regression analysis was conducted by analyzing each item of culture and art tourism. As a result, it was found that entertainment, educational, and deviant factors had a significant influence among the factors of cultural art tourism experience, and education seemed to be the most affected. Third, a regression analysis was conducted by analyzing each item of culture and art tourism to understand the effect of cultural art tourism experience on brand assets (perceptual quality). As a result, it was found that entertainment, educational, deviant, and psychological factors all had a significant influence among the factors of cultural art tourism experience. Fourth, in order to understand the influence of cultural and artistic tourism experiences on attitudes, a regression analysis was conducted by analyzing each item of culture and arts tourism. As a result, it was found that entertainment, educational, and psychological factors among the factors of cultural art tourism experience had a significant effect, but the deviant factor did not have a significant effect. Fifth, in order to understand the influence of cultural and artistic tourism experiences on loyalty, a regression analysis was conducted by analyzing each item of culture and arts tourism. As a result, it was found that educational and psychological factors had a significant influence among the factors of cultural art tourism experience, but entertainment and deviant factors did not have a significant effect. Sixth, in order to understand the influence of brand equity on attitudes, regression analysis was conducted by analyzing each item of brand equity. As a result, among the factors of brand equity, image, perception, and perceived quality all had a significant effect, while entertainment and deviant factors did not have a significant effect.

Model selection in factor-augmented regressions with estimated factors

This paper proposes two consistent model selection procedures for factor-augmented regressions (FAR) in finite samples. We first demonstrate that the usual cross-validation is inconsistent, but that a generalization, leave-d-out cross-validation, is consistent. The second proposed criterion is a generalization of the bootstrap approximation of the squared error of prediction to FARs. The paper provides the validity results and documents their finite sample performance through simulations. An illustrative empirical application that analyzes the relationship between the equity premium and factors extracted from a large panel of U.S. macroeconomic data is conducted.

When Equity Factors Drop Their Shorts

Although factor premiums originate in both long and short legs of factor portfolios, we found that (1) most added value comes from the long legs, (2) the long legs offer more diversification than the short legs, and (3) the performance of the short legs is generally subsumed by that of the long legs. These results are robust over size, time, and markets and cannot be attributed to differences in tail risk. We also found that the claim that the value and low-risk factors are subsumed by the new (post-2015) Fama–French factors does not hold for the long legs of these factors.

Interpreting the Change of the Age and Experience Coefficient in Motor Third-Party Liability Insurance

The article highlights the influence of the equity factor in the insurance industry on the example of the age and driving experience coefficient development in the motor third-party liability insurance (MTPL). The aim of the research is to study risk level variation in the car insurance industry depending on the age and experience of a driver. The authors consider the Automated Information System (AIS) data of MTPL as a methodological basis of the article. The results show that the risk level depends on each of the parameters, in particular, risk levels for older drivers are lower by comparison with younger drivers with the same level of driving experience. On this basis, the authors design a two-dimensional table to assess risk levels where the risk level between separate cells differ in five times. The study presents and analyses the actuarial calculations which served as a foundation for the MTPL policy change in 2018* 1. The article provides recommendations on improving MTPL tariffing within the modern model framework and motor tariff liberalization. The study allowed the authors to verify theoretical assumptions and find direct mathematical relations between the age and experience coefficient and its constituent data. The authors concluded that it is reasonable to introduce additional categories of drivers taking into consideration demographic changes and retirement age increase. The results of the research may improve MTPL affordability and have practical utility for motor insurers in transition to individual tariffs. They also can help to address discussions and approaches to estimate a coefficient of age and experience (CAE) set by Article 9 of the Federal law of 25.04.2002 No. 40-FZ “About obligatory insurance of civil liability of owners of vehicles”.