Development Of Investment Strategies Research Articles

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

Most discoveries in empirical finance are false, as a consequence of selection bias under multiple testing. Although many researchers are aware of this problem, the solutions proposed in the literature tend to be complex and hard to implement. In this article, the author reduces the problem of selection bias in the context of investment strategy development to two sub-problems: determining the number of essentially independent trials and determining the variance across those trials. The author explains what data researchers need to report to allow others to evaluate the effect that multiple testing has had on reported performance. He applies his method to a real case of strategy development and estimates the probability that a discovered strategy is false.

Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?

We examine the effects of international (US based) economic policy uncertainty, geopolitical risk and financial stress alike on the emerging stock markets. We consider 24 emerging markets to understand the receptivity of these markets to the various US based macroeconomic shocks. We use monthly data ranging from January 1997 to May 2018 and use the nonparametric causality-in-quantiles test as the methodological approach. We find that: (a) the impact of these shocks is heterogeneous across the markets in terms of causality and intensity. (b) the influence of EPU is mostly profound and significant as compared to other two shock indicators i.e. GPR and FS. (c) the causality-in-mean is more significant and stronger rather than the causality-in-variance. Lastly, (d) the predictability of EPU, GPR and FS is restricted in extreme upper tails. We believe these findings are relevant to the investors in EMs for the purpose of international portfolio diversification and developing investment strategies at times of turbulent economic conditions.

Investment expenditures in Ukrainian agricultural enterprises: prognosis and development of appropriate investment strategy

Increasing the level of innovation and investment support for agricultural enterprises is particularly relevant. This enables them to function effectively in a dynamic, open environment. Thus, the main purpose of the paper is to characterize the current state and sources of investment expenditures in agricultural enterprises in Ukraine, and to make predictions on the inflow of investments in the agricultural sector in the future. Basing of this prognosis the recommendation of the appropriate steps towards investment strategy development in farming firms was formulated. ARIMA forecasting method was used in the article to determine the future expenditures for investments in Ukrainian agricultural sector. It was observed that there has been an inflow of investments in the area of Ukrainian agriculture in recent years. Additionally it was forecasted that this growth will continue in the future. Different scenarios tested showed an increase from 11 to 30% in 2019. Additionally companies could attract and utilize the FDI funds, which unfortunately decreased during the period 2015-2017 in agricultural sector. It could be however expected that these trend will revert together with changing political and economic situation of Ukraine, and companies could use this resources for their development.

Strategic directions of innovative and investment development of production livestock product

The importance of development of the strategic directions of innovative and investment development of livestock production for the purpose of increasing its efficiency is considered. The concept of innovative potential as complex characteristic of the enterprise ability to innovative activity is considered. It is noted that innovative processes in agrarian and industrial complex are specific, depend on the action of nature and natural factors that needs to be considered while developing innovative products. As a methodical basis it is suggested to use indicators for assessment of innovative capacity of the enterprise and also an algorithm of the process of justification of the efficiency of the strategic directions of innovative and investment developmentof livestock production. The analysis is carried out and an assessment of the results of the actions realized in agrarian andindustrial complex of the Voronezh region in the sphere of innovative and investment development of livestock production is presented.On the basis of the conducted research of innovative activity of the agrarian enterprises of the Voronezh region it is noted that a prerequisite for formation of the strategic directions of innovative and investment development of livestock production is development of investment strategy, stages and the principles of investment strategy of the enterprise development.The conclusion is drawn that the use of flexible approach to formation of investment strategy and the strategic directions of innovative and investment development of livestock production will provide the increase in competitiveness of the agrarian enterprises.

Development of Investment Strategy Applying Corporate Social Responsibility

Purpose of the article: Due to globalization processes and technological development, companies are having more influence on global society than ever. Therefore, business misconduct causes enormous harm to stakeholders, whereas ethical behavior is becoming an important issue. The goal of the following study is to verify and measure a positive effect from investments in social activities on financial attractiveness of companies in the form of its stock portfolio value growth. Methodology/methods: In order to achieve the goal of the research, quantitative analysis is used by comparing performance of stock portfolio of companies having long-term investments in social activities with market index increment. The quantitative results are accompanied with the review of corporate social responsibility definition and some practical issues on governmental and corporation level. Scientific aim: The conducted research contributes both to the scientific discussion about development of appropriate investment strategy in companies applying CSR principles as well as to the discussion of related terminology used in the field. Findings: The research has shown that engagement in the CSR activities tends to have strong positive effect on companies’ financial results and investors’ financial performance. The research proves this fact by comparing value increment of CSR-portfolio (+35.99% gained from January 2015 to March 2017) with market index (+22.37% in the same period). Conclusions: Regardless the positive result achieved in the study the authors have determined several gaps in the research, which will be discussed in the further studies on the field.

The Effects of Corporate Venture Capital, Founder Incumbency, and Their Interaction on Entrepreneurial Firms’ R&D Investment Strategies

Corporate venture capital (CVC) investment has increasingly become an important source of entrepreneurial finance. Accordingly, while scholars have traditionally focused on understanding the main motivations behind CVC activity and its impact on the investing corporate firm, more recently, scholars have also started to emphasize the importance of understanding the impact of CVC investment on the investee venture. In particular, these recent studies commonly show that CVC investment has a positive effect on the venture’s innovation. While the positive link between CVC investment and the venture’s innovation output is well established in the literature, the organizational mechanisms through which this relationship unfolds within the venture remain relatively underexplored. In this study, we fill this gap in the literature by examining the effects of CVC ownership, founder incumbency, and the CVC investor–founder interaction on research and development (R&D) investment strategies in venture capital (VC)-financed, technology-based entrepreneurial ventures. In doing so, we aim to provide a novel explanation of the organizational mechanisms that lead to greater investment in research and development (R&D), especially with regard to the interaction between CVC investors and founder managers. We argue that CVC ownership and founder incumbency positively affect entrepreneurial firms’ R&D investment and, more importantly, that the CVC ownership effect is effectively amplified when the founder is an incumbent top manager because of goal congruence and knowledge spillover from the CVC firm. Our empirical analysis supports our hypotheses while addressing potential endogeneity concerns. Our results also support various mechanisms by utilizing the data on CVC investor’s board membership, CVC investor heterogeneity, the founder’s technological background, and the investee venture’s industry.The online appendix is available at https://doi.org/10.1287/orsc.2017.1133 .

DEFAULT RISK PREMIUM AND EQUITY RETURN OF NON-FINANCIAL COMPANIES OF PAKISTAN

The current study was aimed to examine the relationship between default risk premium and equity return by using sample of hundred companies from period between 2000 and 2015, listed at Karachi Stock Exchange. The firms are chosen on the basis of market capitalization. To examine the role of market premium, size premium, value premium and default premium in estimating the equity returns, the two pass regression was used. It was found that CAPM is valid model as market premium is priced but explanatory power is low. Similarly, the findings suggested that the CAPM model is not better than Fama and French model. Default risk premium is also significantly influencing equity returns. The study findings provided evidence about premium of default risk anomaly in Pakistani markets during the sample period. In default sorted portfolio the low default stocks earn lower than the high default stocks. This study has implications for decision markers in estimating cost of equity as well as weighted average cost of capital as it provides more information in comparison to CAPM. Moreover, information about premium of size, value and default anomaly may facilitate under developing investment strategies.

Risk-Based Tactical Asset Allocation Strategies toEnhance the Performance of Balanced and LifecycleFunds: Some International Evidence

The fund management industry provides numerous financial products to help investors accumulate wealth in preparation for their retirement. Typically, such financial products as balanced funds and lifecycle funds have been the most popular. Recently, because of the two major bear markets from 2000 to 2009, considerable interest has been shown in developing investment strategies that focus on risk rather than returns. In this article, the author proposes a glide path value-at-risk (VaR) approach that takes into account the time variation of risk and return. He shows that the glidepath VaR approach outperforms the terminal value of a 60/40 balanced fund by up to 35%. Furthermore, he proposes that lifecycle funds should not be “age based” but should be “risk based.” <b>TOPICS:</b>Retirement, VAR and use of alternative risk measures of trading risk

Uncertainty-based flood resiliency evaluation of wastewater treatment plants

Wastewater treatment plants (WWTPs) have a significant role in urban systems’ serviceability. These infrastructures, especially in coastal regions, are vulnerable to flooding. To minimize vulnerability, a better understanding of flood risk must be realized. To quantify the extent of efforts for flood risk management, a unified index is needed for evaluating resiliency as a key concept in understanding vulnerability. Here, a framework is developed to evaluate the resiliency of WWTPs in coastal areas of New York City. An analysis of the current understanding of vulnerability is performed and a new perspective utilizing different components including resourcefulness, robustness, rapidity, and redundancy is presented to quantify resiliency using a multi-criteria decision-making (MCDM) technique. To investigate the effect of certain factors of WWTPs on resiliency, uncertainty analysis is also incorporated in developing the framework. As a result, rather than a single value, a range of variation for each WWTP's resiliency is obtained. Finally, improvement of WWTPs’ performance is investigated by allocating financial resources. The results show the significant value of quantifying and improving resiliency that could be used in development of investment strategies. Consideration of uncertainty in the analysis is of great worth to estimate the potential room for improvement of resiliency of individual WWTPs.

Studying the Major Shortcomings in Vocational Training Development Investment in Vietnam and Solutions

This article analyzes the outstanding shortcomings in the Vocational training development investment in Vietnam today, thereby making an overall suggestion of appropriate solutions to raise funds for investment and vocational training development investment efficiency. The solutions are expected to be useful and meaningful in terms of theory and practice to build vocational training development investment strategies in the coming days.

INNOVATIVE AND INVESTMENT ACTIVITY OF LOCAL AUTORITIEA AS A BASIS FOR THE DEVELOPMENT AGROINDUSTRIAL COMPLEX OF MUNICIPAL ECONOMY

In the article the author analyzes the principles of management of investment and innovative activity in the sphere of agriculture in the city of Krasnodar, as well as the evaluation of the development of investment strategies, adequate to the current state of socio-economic development of the territorial socio-economic system. Presented by the author’s vision of the main benefits of the investment and innovation in the agricultural sector of the economy of the city Krasnodar, both for investors and for the municipal system of agriculture in general. role was disclosed, the nature and importance of innovation and investment in the development of the agro-industrial complex of Krasnodar city municipal services.

Long-term Portfolio investment: New insight into Return and Risk

The article examines the influence of investment horizon increase on comparative advantages of main asset classes and on the principles of investment strategy development. Unlike in the traditional approach of portfolio management theory, the study shows that for long-term investments corporate bonds have the advantage over equity in terms of return-risk tradeoff. This fact argues in favor of the fixed-income oriented (including infrastructure bonds) investment strategies for pension funds and institutional investors. The article draws special attention to the importance of regular portfolio rebalancing for long-term investors. In this case the variation of returns decreases and the variation of risks increases with the holding period. Consequently, with horizon increase a long-term investor should allocate more assets in the low-risk financial instruments in order to keep a certain level of return-risk tradeoff. This argument becomes increasingly important for the purposes of pension savings management.

Using Value at Risk Strategies to Enhance the Performance of Balanced and Lifecycle Funds Some Australian Evidence

The funds management industry provides numerous financial products to help investors accumulate wealth in preparation for their retirement. Typically financial products such as balanced funds and lifecycle funds have been the most popular. Recently because of the two major bear markets from 2000 to 2010 there has been considerable interest in developing investment strategies that focus on risk rather than returns. In this paper we propose a glide path value at risk (VaR) approach that takes into account the time variation of risk and return. We show that the glide path VaR approach outperforms the terminal value of a 60/40 balanced fund by up to 35%. Furthermore, we propose that lifecycle funds should not be “age based” but should be “risk based”.

Practical Applications of Evaluating Trading Strategies

Warning! You are likely relying on false research to inform your investment choices, according to an article in The Journal of Portfolio Management’s 40th Anniversary Issue . Investors often rely on financial research when developing investment strategies, but this could be a huge mistake, warn Campbell Harvey and Yan Liu. In their article, Evaluating Trading Strategies , Harvey and Liu tell researchers they are finding seemingly successful trading strategies by chance. They tell investors they need to be a lot more skeptical of investment proposals. The article was awarded Best Article in The 16th Annual Bernstein Fabozzi/Jacobs Levy Awards . In a video interview, available online at http://bit.ly/1DgcZ2X, Cam refers to proposed guidelines for researchers and Wall Street’s surprising reaction to them. This report comprises excerpts from the video, which is intended to jump start the conversation. For a deeper understanding, read their article in The Journal of Portfolio Management’s 40th Anniversary Issue .

Теоретические аспекты разработки инвестиционной стратегии предприятия

Теоретические аспекты разработки инвестиционной стратегии предприятия

Supplier development investment strategies: a game theoretic evaluation

Supplier development is a critical competitive endeavor for organizations and their supply chains. Investigation into this area has increased over the past few years, yet further understanding of suppler development is needed. Specifically, recent supplier development investment practices have shown a shift from standalone actions by organization or supplier to joint actions between organization and suppliers. Faced with this phenomenon, the goal of this paper is to develop a theoretic model based on the Cobb–Douglas production function. The study focuses on determining optimal supplier development investment strategies with respect to joint actions that increase supplier production capability for the benefit of both the focal organization and its suppliers. The supplier development investment strategies mainly refer to joint actions between an organization and multiple suppliers through capital resources (tangible) investments, knowledge (intangible) investments, and sharing cost of capital resources (tangible) investments. Using various game theoretic models, we reveal how supplier development investment strategies and profits of all the members are affected by various buyer-supplier relationships and investment returns to scale reasons. Whether the focal organization (buyer) has any incentives to share cost of capital resources (tangible) investments is also investigated. Our first finding is that supplier development investment activities motivation is derived from increases in supply volume for the “increasing returns to scale” situation, and derives from increasing the organization and suppliers’ marginal profit in the “decreasing returns to scale” situation. Secondly, the cooperative relationship is more economically beneficial to the supply chain, but it also requires more capital resources and knowledge expenditures (investments) than a non-cooperative relationship. Thirdly, through numerical analysis it is found that the cooperative relationship can not obtain Pareto efficiency for all the members of the supply chain when using the Nash bargaining model. Additional gaming insights and implications are also provided from parametric analysis. Opportunities for further research are also presented.

Realized volatility and absolute return volatility: a comparison indicating market risk.

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Trading Strategy for Stock Index Futures Based on Disposition Effect

Grinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of developing investment strategies for stock index futures using the positive relation. Probing the trading data of futures on KOSPI200 during the period of 1995~2013, several interesting results are obtained. First, the strategy of building long positions when the unrealized capital gain is greater than zero produces positive profit which is statistically significant. Second, the profitability of this strategy during December is significantly positive while the profitability during January is insignificant. Third, the strategy generates positive profit during the second half year while the profitability of the first half year is insignificant. These results imply that it is possible to develop investment strategy by extracting some information from the unrealized capital gains.

Analysis of Extension Needs of Commercial Farmers in North-West Province, South Africa

The study examines extension needs of commercial farmers in the North West province. Commercial farming is one of the most important rural development investment strategies that can have both direct and indirect impact on poverty and food security. The sampling frame of the study consists of 88 farmers which is the study population and a sample of 32 farmers was selected for the study. Data was collected using a structured questionnaire which was subject to analysis using SPSS. Frequency counts and percentages were used to describe demographic characteristics, multiple regression analysis was used to determine the relationship between information needs and socio-economic characteristics of commercial farmers. The results of multiple regression analysis show that the significant determinants of commercial farmers information needs were attitude to public extension (t = 2.84,); marital status (t = -4.00); educational level (t = 2.107) membership of farmers groups (t = 2.168,) and extension contacts (t = 1.78).

Firm characteristics that drive the momentum pattern in the UK stock market

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are previous winners who keep performing well (WW) and past losers who consistently perform poorly (LL). This study illustrates that WW and LL firms may exhibit market-based characteristics similar to those of young, low-priced, small capitalisation companies, but that there are significant differences. Accounting and fundamental signals (e.g. profitability, value/growth) tend to distinguish winners from losers. Based on firm characteristics, we further develop investment strategies that can outperform significantly the profitability of the momentum strategy.