Market Cycles Research Articles

Housing debt and elderly housing tenure choices

AbstractWe examine the impact of financial leverage, measured by the loan‐to‐value (LTV) ratios , on elderly homeowners' mobility and housing tenure choices. Using a 1999–2019 sample from the Panel Study of Income Dynamics (PSID), we find that a higher LTV ratio substantially increases an elderly homeowner's likelihood of exiting homeownership. In particular, elderly homeowners with an LTV ratio greater than 80% are more than four times likely to exit homeownership than their debt‐free counterparts. By distinguishing recent leverage changes either from house price movement or from equity extraction/injection, we further find that the impact of financial leverage is path‐dependent. Holding the LTV ratio constant, elderly homeowners are less likely to depart from homeownership if they recently extracted equity from their homes. In addition, we find both financial constraint and long‐term indebtedness are important in predicting the likelihood of elderly homeowners exiting homeownership. We further extend our analysis by exploring the effect of the housing market cycle and find the relationship between financial leverage and elderly tenure choices varies across different stages of the cycle. Our findings have several important implications. They not only point to a linkage between housing and mortgage/rental markets but also help to explain the limited size of the U.S. reverse mortgage market.

Low-risk investment strategy: sector bets or stock bets?

PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c) Does the low-risk effect prevail in long-only portfolios?Design/methodology/approachThe study is based on all the listed stocks on the National Stock Exchange (NSE) of India from December 1994 to September 2018. It classifies them into 11 Global Industry Classification Standard (GICS) sectors to construct stock-level and sector-level BAB (Betting Against Beta) and long-only low-risk portfolios. It follows the study of Asness et al. (2014) to construct various BAB portfolios. It applies Fama–French (FF) three-factor and Fama–French–Carhart (FFC) four-factor asset pricing models in addition to Capital Asset Pricing Model (CAPM) to examine the strength of BAB, sector-level BAB, stock-level BAB and long-only low-beta portfolios.FindingsBoth sector- and stock-level bets contribute to the return of the low-risk investing strategy, but the stock-level effect is dominant. Only betting on safe sectors or industries will not earn economically significant alpha. The low-risk effect is unique and not a value effect in disguise. Both long-short and long-only portfolios within sectors and industry groups deliver positive excess returns. Consumer staples, financial, materials and healthcare sectors mainly contribute to the returns of the low-risk effect in India. This study offers empirical evidence against the Samuelson (1998) micro-efficient market given the strong performance of the stock-level low-risk effect.Practical implicationsThe superior performance of the low-risk investment strategies at both stock and sector levels offers investors an opportunity to strategically invest in stocks from the right sectors and earn high risk-adjusted returns with lower drawdowns over an entire market cycle. Besides, it paves the way for stock exchanges and index manufacturers to launch sector-specific low-volatility indices for relevant sectors. Passive funds can launch index funds and exchange-traded funds by tracking these indices. Active fund managers can espouse sector-specific low-risk investment strategies based on the results of this and similar other studies.Originality/valueThe study is the first of its kind. It offers insights into the portfolio characteristics and performance of the long-short and the long-only variant of low-risk portfolios within sectors and industry groups. It decomposes the low-risk effect into sector-level and stock-level effects.

Construcción de soberanía alimentaria por la mujer rural en el municipio de Anorí – Antioquia

The desire of doing this research arises from the interest in analyzing the different characters involved and in-between food security and food sovereignty. It is focused on the custom practices of the territory mainly in production and marketing cycles. It discovered that autonomy is an articulating axis and, in this sense, it identifies the involvement of local women in the coffee growing area of Anorí Antioquia. It also reviews public policies that converge with this investigation. A documentary review was carried out with the intention of investigating women in rural areas, institutions, organizations and the state/country. For this reason, a documentary scan was carried out through multiple reports and investigations generated by different multilateral organizations at national and international level. I was crucial to have participated in the project known as “Mujeres rurales en la encrucijada entre la política y la paz” - Rural women at the crossroads between politics and peace". It constantly added documentary analysis and theoretical and conceptual construction. It aims to acknowledge production, marketing, purchase and consumption identified in visits to Anorí, highlighting the processes that come from the knowledge and autonomy that weave food sovereignty. We nurture this observation with women who without the need of belonging to any group or organization build food sovereignty from everyday life.

Endogenous Cycles in a Competitive Search Credit Market

Endogenous Cycles in a Competitive Search Credit Market

A Study on Marketing Challenges Faced by Mango Farmers in the Gadag District

"Agriculture is one of India's most important economic sectors, contributing to over half of the country's GDP. India's ability to produce a wide range of items is well-known around the world. Marketing of the self-grown agricultural produces by the farmers is considered a most tedious task with the presence of middlemen (Bhagawan). Competitors, Unavailability of nearby markets and improper are the major circumstances in marketing. Production, grading, transportation, pricing, transmitting information from the production area to the market and from the market to the production area, and finished items are part of the marketing cycle. The agricultural marketing process includes the manufacture of goods and commodities, as well as transportation to and from the consumer. The objective of this study was to gather data on the challenges and potential of mango production and marketing. As a result, it has been identified as a source of significant and essential information on mango production trends and their marketing challenges. As a result, developmental activities should focus on the identified gaps that might help small-holder farmers exploit opportunities and fill skills and knowledge gaps to better their livelihoods. The present study took part in the Hulkoti, Gadag district, Alphanso is the most common variety grown in Gadag, but other cultivars such as Mallika and Ratnagiri are also popular. The study threw some light on mango marketing challenges and issues by the farmers. Primary data was collected during the study with a sample size of 30 mango farmers. The outcomes of the study are the farmers need training and education on preservation, processing, packaging, financial and marketing assistance, and forward and backward linkages. Farmers required entrepreneurs to market their mangoes, Cold storage, and improved technologies in the production and storage of mangoes."

What Drives Consumers’ Purchase Decisions?: User-and Marketer-generated Content

Consumers have an increasingly active role in the marketing cycle, using social media channels to create, distribute, and consume digital content. In this context, this paper investigates the impact of user- and marketer-generated content on consumer purchase intentions and the approach to designing an effective social media marketing platform. Referencing a literature review of social media marketing and consumer purchase intentions, a case study of the social media-marketing platform, 0.8L, was undertaken using both qualitative and quantitative results through content analysis and a participatory survey. First, about 450 consumer reviews for ten sunscreen products posted on the 0.8L platform were compared with products’ marketer-generated content. Next, 55 subjects participated in a survey regarding purchase intentions toward moisturizing creams on the 0.8L platform. The results indicated that user-generated content (i.e., texts and photos) provided more personal experiences of the product usage process, whereas marketers focused on distinctive product photos and features. Moreover, customer reviews (particularly high volume and narrative format) had more impact on purchase decisions than marketer information in the online cosmetics market. Real users’ honest reviews (both positive and negative) were found to aid companies’ prompt and straightforward assessment of newly released products. In addition to the importance of customer-driven marketing practices, distinctive user experience design features of a competitive social media-marketing platform are identified to facilitate the creation and sharing of sincere customer reviews that resonate with potential buyers.

Stock Indices Breakdown during the Pandemic as the Most Dynamic Bear Market in History: Consequences for Individual Investors

The breakdown of stock indices is an obvious part of the financial market cycle. A common question about a bear market is the time and the depth of the downtrend, as well as the speed of the following recovery. As the COVID-19 pandemic spread globally, it induced huge price drops in a very short period, and an uptrend with new historical highs afterwards. The results of this research show that the pandemic breakdown was the fastest bear market in history; however, it does not confirm that future downtrends will be at the same or even greater speed. The consequences for individual investors have forced them to prepare for possible similar market behavior in the future, and to adjust their trading techniques and strategies to these conditions.

Price extremes and asymmetric dependence structures in stock returns: the emerging market evidence

PurposeEquity research in experimental psychology reveals investors' overreactions to bad news events. This study of asymmetric price structures in equity markets investigates whether such behavior predicts stock returns in an emerging market of India.Design/methodology/approachThe research decomposes Bombay Stock Exchange (BSE) Sensex returns into Extremely Positive Returns (EPR) and Extremely Negative Returns (ENR) based on extreme values at first and then tests their lead–lag relations.FindingsThe empirical finding is consistent with the existing evidence of asymmetric news effects on stock returns in India. In precise, ENR robustly predicts one-month-ahead EPR for the sample period from January 1991 to March 2020. This predictive power persists even in the presence of popular valuation ratios and business cycle variables.Practical implicationsThe paper explains the rationale of extreme value modeling in price forecasting. Investors can find additional utility gains from market cycle information while predicting extreme returns in Indian stock market.Originality/valueThe paper is unique to understand business cycle effects in extreme return reversals in emerging markets.

What do foreign flows tell us about stock market movements in the presence of permanent and transitory shocks?

PurposeThere is no research on understanding the difference in the nature of volatility and what it entails for the underlying relationship between foreign institutional investors (FII) flows and stock market movements. The purpose of this paper is to explore how permanent and transitory shocks dominate the common movement between FII flows and the stock market returns. As emerging markets are a major destination of international portfolio investments, the author uses India as a perfect case study to this end.Design/methodology/approachThe paper uses the permanent-transitory as well as a trend-cycle decomposition approach to gain further insights into the common movement between foreign institutional investors (FII) flows and the stock market.FindingsWhen the author identifies innovations based on their degree of persistence, transitory shocks dominate stock returns, whereas permanent shocks explain movements in foreign institutional investors (FII) flows. Also, stock returns have a larger cyclical component compared to cycles in foreign flows. The authors find the sharp downward (upward) movement in the stock market (FII flows) cycle in the initial period of the COIVD-19 pandemic was quickly reversed and currently, the stock market (FII flows) is historically above (below) the long-term trend, hinting at a correction in months ahead. The authors find strikingly similar stock market cycles during the global financial crisis and COVID-19 period.Research limitations/implicationsEvidence suggests the presence of long stock market cycles – substantial and persistent deviations of actual price from its fundamental (trend) value determined by the shared relationship with foreign flows. This refutes the efficient market hypothesis and makes a case favoring diversification gains from investing in India. Further, transitory shocks dominate the forecast error of stock market movements. Thus, the Indian market provides profit opportunities to foreign investors who use a momentum-based strategy. The author also finds support for the positive feedback trading strategy used by foreign investors.Practical implicationsThere is a need for policymakers to account for the foreign undercurrents while formulating economic policies, given the findings that it is the permanent shocks that mostly explain movements in foreign institutional flows. Further, the author finds only stock markets error-correct in response to any short-term shocks to the shared long-term relationship, highlighting the disruptive (though transitory) role of FII flows.Originality/valueUnlike existing studies, the author models the relationship between stock market returns and foreign institutional investors (FII) flows by distinguishing between the permanent and transitory movements in these two variables. Ignoring this distinction, as done in existing literature, can affect the soundness of the estimated parameter that captures the nexus between these two variables. In addition, while it may be common to find that stock market returns and FII flows move together, the paper further contributes by decomposing each variable into a trend and a cycle using this shared relationship. The paper also contributes to understanding the impact of COVID-19 on this relationship.

Project development and marketing in the global oil and gas industry – a constellation of stakeholders co-creating strategic value for the industry

Project development and marketing on large oil and gas projects (LOGPs) by engineering-procurement-construction (EPC) contractors respond to massive capital investment (CAPEX) undertakings by oil and gas industry owners and takes on multi-lateral interactions carried out by a dozen of actors proactively participating in the EPC contractors’ business ecosystem created to remain competitive toward owner companies, which form of project marketing is different from a straight forward contractor – owner interaction found in the other branches of contracting industry. Most of such interactions are based on strategic trust among the relevant members built over decades of heavy win-win transactions.
 This study has found the actors that compose the project development and marketing cycle in LOGPs, explored dominant logics of EPC contractor’s project development and marketing, and analysed how primary actors in LOGP development and implementation co-create strategic values for both the respective corporations, and sustainable overall industry growth.

Spectral analysis of the dry bulk shipping market by utilizing the system dynamics approach

PurposeThis research analyzes the cycle of the dry bulk shipping market (DBSM) as a representative of spot and period charter rates in dry bulk shipping to develop strategies for investment timing (i.e. asset play) and fleet trading (chartering strategy).Design/methodology/approachSpectral analysis is a numerical approach to extract significant cyclicality, which may be utilized to develop trading strategies. Instead of working with a single dataset (univariate), a system approach can be utilized to observe a significant shipping market cycle in its multi-variate circumstance. In this paper, a system dynamics design is employed to extract cyclicality in the DBSM in its particular industrial environment. The system dynamic design has competitive forecasting accuracy relative to univariate time series models and artificial neural networks (ANNs) in terms of forecasting outcomes.FindingsThe results show that the system dynamic design has a better forecasting performance according to three evaluation metrics, mean absolute scale error (MASE), root mean square error (RMSE) and mean absolute percentage error (MAPE).Originality/valueCyclical analysis is a significantly useful instrument for shipping asset management, particularly in market entry–exit operations. This paper investigated the cyclical nature of the dry bulk shipping business and estimated significant business cycle periodicity at around 4.5-year frequency (i.e. the Kitchin cycle).

A mixed-integer linear programming approach for circular economy-led closed-loop supply chains in green reverse logistics network design under uncertainty

Purpose To maximize the network total profit by calculating the difference between costs and revenue (first objective function). To maximize the positive impact on the environment by integrating GSCM factors in RL (second objective function). To calculate the efficiency of disassembly centers by SDEA method, which are selected as suppliers and maximize the total efficiency (third objective function). To evaluate the resources and total efficiency of the proposed model to facilitate the allocation resource process, to increase resource efficiency and to improve the efficiency of disassembly centers by Inverse DEA. Design/methodology/approach The design of a closed-loop logistics network for after-sales service for mobile phones and digital cameras has been developed by the mixed-integer linear programming method (MILP). Development of MILP method has been performed by simultaneously considering three main objectives including: total network profit, green supply chain factors (environmental sustainability) and maximizing the efficiency of disassembly centers. The proposed model of study is a six-level, multi-objective, single-period and multi-product that focuses on electrical waste. The efficiency of product return centers is calculated by SDEA method and the most efficient centers are selected. Findings The results of using the model in a case mining showed that, due to the use of green factors in network design, environmental pollution and undesirable disposal of some electronic waste were reduced. Also, with the reduction of waste disposal, valuable materials entered the market cycle and the network profit increased. Originality/value (1) Design a closed-loop reverse logistics network for after-sales services; (2) Introduce a multi-objective multi-echelon mixed integer linear programming model; (3) Sensitivity analysis use Inverse-DEA method to increase the efficiency of inefficient units; (4) Use the GSC factors and DEA method in reverse logistics network.

There Is No Immersion: Critical Intervention through Hypermediacy in Metagames

In 2020, Draw Me a Pixel released There Is No Game, a game that playfully engages with the concept of the metagame and its varied meanings to examine the relationship between developers, games, and their audiences. The game has much in common with other metagames released during the boom and bust cycle of the indie game market in terms of its themes and playful attitude toward its players. Like many of these games, it features an antagonistic narrator, who, upon launching the game, announces that there is no game. The concept of a game resistant to play has become a recurring theme in many metagames that critique industry pressures, trends, and players’ playful resistance to designed experiences. This article examines There Is No Game’s use of hypermediacy (as a feature of both its narrative and design) to deliver its critique of the industry, while offering insight into its own development. More than simply breaking the fourth-wall, hypermediacy becomes the instigator for critical reflection and is used to highlight the challenges faced by indie developers and the material conditions in which games are made. Yet, unlike its predecessors that share this critique, There Is No Game offers an optimistic perspective on the future of the industry.

Speculative Trading and Bubbles: Evidence from the Art Market

We argue that extrapolative expectations drive boom–bust cycles in the postwar art market. Price run-ups coincide with increases in demand fundamentals but are followed by predictable busts. Predictable changes account for about half of the variance of five-year price changes. High prices coincide with many attributes of speculative bubbles: trading volume, the share of short-term trades, the share of postwar art, and volatility are all higher during booms. In addition, short-term transactions underperform long-term transactions. Survey evidence further confirms the link between beliefs, prices, and volume dynamics as in models in which extrapolative beliefs fuel speculative bubbles. This paper was accepted by Tyler Shumway, finance.

Pairs trading: is it applicable to exchange-traded funds?

Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading framework with a set of pre-conditions for pair eligibility and apply it to different asset classes. The performance analysis of a portfolio of 45 pairs is considered for the period of January 2007 to January 2021, which covers the period of a full market cycle of adjacent bull and bear periods; it is studied and benchmarked against the S&P500 index, which is considered as a proxy for the general market. We find an average annual return of 15% with an average Sharpe ratio of 1.43 after considering the transaction costs; we observe that this performance does not vary significantly with a change in the transaction cost levels and does not pass below the risk-free return levels with changing market conditions. Further, the strategy is observed to perform better during bear market conditions. Considering the highly liquid trading environment of the strategy, our findings raise a call for a discussion on the semi-strong form market efficiency.

Housing Markets and Resource Sector Fluctuations: A Cross-Border Comparative Analysis

Recent research has sought to better understand resource and housing market cycles longitudinally and define clear phases in order to understand interactions between the two over time. This is a necessary step forward in housing market knowledge for this under researched area, particularly in an economically unique context. This paper expands knowledge by undertaking a comparative study of town housing markets in Queensland’s coal mining Bowen Basin and Sweden’s northern municipalities—specifically Gallivare and Kiruna—where a long history of iron ore mining exists. This paper analyses these housing markets using longitudinal data spanning two decades, which includes two resources cycles in two geographically disparate locations. The results indicate that the housing market in Queensland, Australia, is far more volatile than the housing market in the Swedish municipalities. The regional housing market in Sweden’s municipalities tend to be less dependent on resource price and output from mines than their Australian counterparts. Part of the explanation for this is that the Swedish towns examined are less of the traditional mining town known from previous studies, and more a town with mining. Developing and improving understanding of markets over the duration of a cycle is important. Particular value is apparent in the comparison and contrasting of two separate resource regions encompassing resource reliant communities in two different countries. Importantly, the linkage of research regions through resource relationships leads to groundbreaking research which will have practical benefit to multiple economies, housing markets and for policy-makers alike.

The price-rent dynamics and linkage of urban housing: evidence from Singapore

PurposeThe aim of this paper is to examine dynamic linkages between price and rent and between property types. Intuition suggests that housing market segments experience different market cycles in response to macroeconomic shocks. However, they may be dynamically interlinked in urban areas because of substitutability. The linkage may even change, if preference weakens for multiple occupancies. A sudden reduction in apartment demand may create repercussions to other housing segments. Past analyses, despite their contributions, are static and do not consider possible linkages between property types. To fill this void, this paper investigates the price-rent dynamics for urban homes by adopting the case of Singapore.Design/methodology/approachThis paper applies a methodology from Phillips et al. (2015) to Singaporean housing (price and rent) data. Phillips et al. (2015) recently proposed a test for an explosive root in time series data and has spurred several empirical applications in the bubble literature.FindingsThis paper finds for Singapore that the markets were subjected to explosive growth (where rents grew at a higher rate than prices did) during the Global Financial Crisis. Also, the results suggest that rent drives price and that non-landed housing (offices in central areas) leads to other residential housing (non-residential housing) in both price and rent.Practical implicationsOverall, the present findings suggest that rent drives price, while property types are interlinked. Non-landed homes and offices in central areas are the sources of repercussions. Under normal circumstances, rental shocks may be propagated positively from nonlanded housing (central offices) to the other residential (non-residential) property types as the present findings suggest, which enables us to infer that a decrease in non-landed housing (central offices) rent may lead to an increase in rent on other property types because pandemic shocks only shift demand fromone property type to another, unlike typical macroeconomic shocks.Originality/valueUrban homes are faced with uncertainty arising from the COVID-19 outbreak for which city residents have a stronger incentive to exile to suburbs. Urban life may no longer be attractive because of social distancing and work from home policy. This has implications for urban home demands that are closely linked to urban house price and rent. In the present study, the paper set out to investigate the price-rent and property-type dynamics for urban homes in Singapore.

Practical Applications of The Free Boundary of the American Put

Has one of the most vexing problems of mathematical finance been solved? In <b><i>The Free Boundary of the American Put</i></b>, from the Winter 2020 issue of <i>The Journal of Derivatives</i>, author Thomas Little (of Hard Analytics in Houston) says he has done exactly that, presenting an analytic formula to determine the early expiry boundary curve for American put options more quickly and accurately than has been possible in the past. Unlike European-style put options, which may be exercised only on or near their expiration dates, American puts may be exercised at any time prior to expiration. Most American puts are, in fact, held until expiration, but traders may exercise a put early for any of a number of reasons. If the early expiry boundary curve could be accurately calculated, thus determining the critical asset price at or below which a put should be exercised to avoid arbitrage, traders could more confidently make early expiry decisions and time their trades. Little says that his formula provides that curve accurately along the full time line of the option. The next step will be to back test a portfolio of American put options during several market cycles to see whether the use of Little’s formula would have produced better outcomes than those achieved with current practices. <b>TOPICS:</b>Options, fundamental equity analysis, statistical methods

PROJECT MANAGEMENT IN THE GLOBAL OIL AND GAS INDUSTRY BY CO-CREATING STRATEGIC VALUE FOR THE INDUSTRY

Project development and marketing on large oil and gas projects (LOGPs) by engineering-procurement-construction (EPC) contractors respond to massive capital investment (CAPEX) undertakings by oil and gas industry owners and takes on multi-lateral interactions carried out by a dozen actors proactively participating in the EPC contractors’ business ecosystem created to remain competitive toward owner companies, which form of project marketing is different from a straight forward contractor – owner interaction found in the other branches of contracting industry. Most of such interactions are based on strategic trust among the relevant members built over decades of heavy win-win transactions. This study has found the actors that compose the project development and marketing cycle in LOGPs, explored dominant logics of EPC contractor’s project development and marketing, and analysed how primary actors in LOGP development and implementation co-create strategic values for both the respective corporations and sustainable overall industry growth. The business ecosystem theory posits that a business ecosystem is an economic community supported by interacting organizations; the company holding a leadership role is valued by the community because it enables members to move toward shared visions to align their investments – this refers to the platform services theory and to find mutually supportive roles.

Labor Market Indicator for Colombia

Although the unemployment rate is traditionally used to diagnose the current state of the labor market, this indicator does not reflect the existence of asymmetries, mobility costs, and rigidities which impede labor to freely flow over the business cycle. Thus, to get a better portrait of the momentum, we construct the Labor Market Indicator (LMI) focusing on the cyclical similarities of eighteen time series from the Colombian household, industrial, and opinion surveys between 2001 and 2019. Our indicator summarizes the growth cycle of the labor market and its evolution is closely related to the output and unemployment GAP. This indicator is useful for policy analysis as it is useful to forecast headline inflation, it also complements the diagnosis of the current momentum of the labor market, the general economic activity, and the characterization of economic phases and turning points.