Portfolio Characteristics Research Articles

Stockholdings of first-time and more experienced investors

PurposeThe purpose of this paper is to examine whether socio-economic factors influence portfolio composition of individual investors investing in stocks for the first time and how these factors relate to stock portfolio performance.Design/methodology/approachThe study uses cross-sectional time-series analysis to examine a unique and detailed data set of Swedish stockholdings.FindingsThe results show that first-time investors do not hold diversified portfolios. They experience high market risk and, on average, underperform more experienced investors. Males have higher unsystematic risk in their portfolios than females and older investors have more diversified portfolios compared to younger investors.Research limitations/implicationsThe results show that individual investors should improve their insights by incorporating risk when investing in stocks.Practical implicationsGiven the results of this paper, the movement from defined benefit to defined contribution pension schemes in many countries raises the issue of the need to better understand and monitor the risks in stock portfolios.Originality/valueThis study provides insights into whether socio-economic factors influence portfolio composition, the extent to which socio-economic factors and portfolio characteristics relate to portfolio returns, and whether portfolio performance between first-time and more experienced investors differs.

Sustainable fuel portfolio optimization: Integrated fuzzy multi-objective programming and multi-criteria decision making

The chronic illness of transportation sector is its excessive dependence on petroleum products that necessitates immediate actions to mitigate negative externalities. Developing an environmentally benign, economically feasible, and socially acceptable fuel portfolio can generally, improve the sustainability of future transportation systems. This study aims to predict an optimal fuel portfolio based on different concerns for light-duty vehicles of Iran in the light of alternative fuels until 2025. Six potential fossil and renewable fuels including gasoline, diesel, compressed natural gas (CNG), liquid petroleum gas (LPG), a mixture of 85% ethanol and 15% gasoline (E85) and biodiesel, and one gasoline-electric hybrid technology competed through an integrated fuzzy multi-objective programming. Seven goals with environmental, cost, social and policy nature, as well as systematic constraints and fuel priority (obtained by the application of a multi-criteria decision making (MCDM) method) had to be met in the model. The solution of the model along with the sensitivity analysis of weights and aspiration levels indicated that with an acceptable possibility of achieving the goals, CNG had the greatest share in the optimal fuel portfolio followed by gasoline, LPG and diesel. Through the intended horizon, the fossil fuels’ share has declined such that 13.5% of the optimal portfolio was replaced by hybrid technology, biodiesel and E85 in 2025, and more importantly, carbon dioxide emission and fuel cost could be mitigated by 11% and 18%, respectively in the same year. Two scenarios focusing on environmental and cost goals were defined through assigning 70% and 80% of the weights to the related goals, respectively; the results revealed that the main characteristics of the optimal portfolio were stable. Likewise, the analysis of the aspiration and tolerance levels of the goals proved the stability of the model and revealed that these parameters play a sensitive role in the model and could affect the optimality and feasibility of the solutions.

Peering Under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions

This chapter delves deeply into an area of rules based portfolio construction which has largely been overlooked. We discuss the impact of screening and weighting decisions on portfolio characteristics and performance. We show how this occurs through the effect of screening and weighting decisions on the maximum effective multiplier of a portfolio. Furthermore, we demonstrate a closed form solution to the maximum effective multiplier under a certain set of conditions. Importantly, we highlight that screening and weighting decisions interact, and should therefore not be made independently. Ultimately, the performance and characteristics of a portfolio is linked to the combined effect of screening and weighting decisions through the maximum effective multiplier.

Knowledge construction about port performance evaluation: An international literature analysis

Purpose: This study aims at identifying and analyzing the characteristics of international scientific research that address the literature fragment referring to the Port Performance Evaluation to identify the existence of theoretical alignment of Performance Evaluation notion, as an area of knowledge, with practical area stage, the Port Performance Evaluation.Design/Methodology/Approach: The approach the problem, this paper makes use of qualitative research, since it analyzes the Bibliographical Portfolio characteristics related to the Performance Evaluation Port. The strategy adopted was action research where the authors through their analysis and interpretation made the selection of the Bibliographical Portfolio.Findings: From the analyzed literature fragment it was possible to identify some misalignment between what has been pointed out in the literature regarding the management practices in the port sector. This discrepancy refers to the management practices that are ignored by port managers, which implies the loss of opportunities and may even come to jeopardize the organization's performance.Research limitations/implications: The literature search was restricted to articles written in the English language, published in indexed scientific journals in the selected databases (ii) the restriction by the time limit of articles published after the year 2000; (iii) the generation of knowledge based on the characteristics selected by the researchers and (iv) the analysis of BP articles regarding the by the judgment and interpretation of this research authors. It is suggested for future work the expanding this research to other databases, other languages, other features, and continuity of this investigation with the development of "systemic analysis' and 'identifying research opportunities' stages through ProKnow-C.Originality/value: Although two similar works have been developed in the same area of research in 2015, the results achieved have contributed to the advancement of research Port Performance Evaluation, once extended the time horizon, the databases used for research and variables.

Demystifying the Management Structure Puzzle: an Empirical Investigation into the Drivers of REIT Internalization

Real estate investment trusts (REITs) have grown to become an important financial product in Asia, which today stands as the second largest REIT market in the world. Although existing literature has shown that externally managed REITs have underperformed their internally managed counterparts, the Asian REITs market has a strong preference for the external management model. This paper investigates the factors that drive REITs to internalize or deter them from internalizing their manager by studying the characteristics of 26 internalization subjects in Australia at their point of internalization. We compare their financial, corporate governance and portfolio characteristics to a control group. We find the MBR, the parent of the REIT manager, the asset size, and the geographic diversity of assets to be significant determinants of the probability of these REITs internalizing their manager. The low growth prospect faced by large Australian REITs that had a domestic investment focus motivates them to internalize their manager.

Personality Traits and Portfolio Tilts Towards Value and Size

We show that personality traits are related to an investor’s preferences for value versus growth stocks and for small capitalization stocks versus large capitalization stocks. We have detailed personality trait data and official register holdings of stocks for 710 individuals in Finland. The results show that more extravagant individuals tend towards large capitalization growth stocks; more impulsive people tend towards small capitalization growth stocks; more sentimental investors tend towards small capitalization value stocks; and more social investors tend towards small capitalization stocks with a tilt towards value. The results are consistent when looking at the portfolio characteristics across investors, over time, when using aggregate portfolios of investors with similar personality traits, and both widely held and non-widely held stocks.

Managing Complex Multinational Enterprises: Internal Network Structure and Expatriation Strategies

This thesis investigates expatriate staffing strategies in the multinational enterprise (MNE) at both subsidiary and aggregate MNE levels. This research focuses on the role of subsidiary portfolio characteristics that reflect the extent to which overseas subsidiaries are spatially, horizontally, and hierarchically differentiated. Based on the differentiated network view of the MNE, this research argues that the degrees of internal differentiation in the subsidiary portfolio determine the level of managerial complexity faced by headquarters and hence affect expatriate staffing decisions in their subsidiaries. By highlighting the role of subsidiary portfolio characteristics, this thesis provides important new insights into MNE management.

Decentralized strategic asset allocation with global constraints

Abstract Decentralized investment management can be defined as the practice of having multiple managers implement investment strategies across different asset categories. It has been common practice due the presence of alternative investments or other asset classes which require high levels of specialization. However, it suffers from limited control of total fund characteristics such as total return, risk and liquidity. We model the investment process as an optimization problem in which we seek to maximize the flexibility for individual managers, while satisfying a set of desired long-term total portfolio characteristics of the fund. This process will allow firms to enable decentralized investment decisions without sacrificing the performance at the total fund level. The proposed optimization problem has a potentially large number of constraints, limiting the number of strategies below a practical level. We suggest a procedure to reduce the number of constraints before calling the optimization and include numerical results that support the effectiveness of the procedure. Also, investigated in this paper is the robust version of the proposed optimization.

Revisiting Alliance Formation: The Effect of Alliance Portfolio Complexity and Termination

Building on alliance portfolio and alliance formation studies, I investigate how alliance portfolio characteristics – alliance portfolio complexity and alliance termination–accelerate or decelerate...

Ethical Investing has No Portfolio Performance Cost

We compare ethically constrained versus unconstrained investing with optimal portfolio methods that force well-behaved weights. In Sharpe ratio analysis, we find no evidence of a performance cost for sin-free, carbon-free, or Shariah portfolios even though, in the most exacting case, Shariah investing eliminates roughly 65% of the universe of common shares from security selection. We identify the optimal portfolio adjustments needed to prevent an ethical-portfolio performance cost. The US stock market is large enough − with respect to the number of publicly traded companies − that common shares in other sectors replicate the portfolio characteristics of sin-stocks for a negligible Sharpe-ratio loss. Adjustment for carbon-free investing increases the optimal number of common-shares for better diversification and increases the weight for bank stocks − which act as carbon substitutes. Carbon common shares have below average ex-ante return and, thus, their exclusion increases mean portfolio return to moderate the Sharpe-ratio loss. Shariah adjustment concentrates on fewer high portfolio-appeal common shares, which increases the Pharmaceutical sector-weight and, also, increases mean portfolio return to moderate the Sharpe ratio loss from higher portfolio return standard deviation.

Historical Returns of the Market Portfolio

Using a newly constructed unique dataset, this study is the first to document returns of the market portfolio for a long period and with a high level of detail. Our market portfolio basically contains all assets in which financial investors have invested. We analyze nominal, real, and excess return and risk characteristics of this global multi-asset market portfolio and the asset categories over the period 1960 to 2015. The global market portfolio realizes a compounded real return of 4.38% with a standard deviation of 11.6% from 1960 until 2015. In the inflationary period from 1960 to 1979, the compounded real return of the GMP is 2.27%, while this is 5.57% in the disinflationary period from 1980 to 2015. The reward for the average investor is a compounded return of 3.24%-points above the saver’s. We also compare the performance of an investor who holds the market portfolio with an investor who uses simple heuristics for the portfolio allocation. Our results suggest that the market portfolio is close to the mean-variance frontier, but our heuristic allocations achieve a significantly higher reward for risk.

Alliance portfolios and firm performance: the moderating role of firms’ strategic positioning

PurposeThe purpose of this paper is to fill the theoretical void in the discussion of effects of alliance portfolios on firm performance by studying the moderating role of a firm’s strategic positioning.Design/methodology/approachA fixed effects, autoregressive panel model on a comprehensive, longitudinal sample of large and medium-sized publicly traded companies in the USA.FindingsThe effect of alliance portfolios on firm performance is conditional on the firm’s strategic positioning.Research limitations/implicationsThe results may not be applicable to firms outside the USA or small firms.Practical implicationsExecutives should craft their alliance portfolios while considering the strategic positioning of their firms.Originality/valueThis paper presents the first study of alliance portfolios that uses a comprehensive, multi-industry sample while considering firms’ strategic positioning. The paper is the first to jointly study characteristics of alliance portfolios and firm strategies.

Current Account Deficits During Heightened Risk: Menacing or Mitigating?*

Large current account deficits, and the corresponding reliance on capital flows from abroad, can increase a country's vulnerability to periods of heightened risk. We develop a framework to evaluate such vulnerabilities and clarify which characteristics of a country's international investment portfolio determine whether a current account deficit is ?menacing’ or ?mitigating’. Financial factors, namely international investment income and valuation changes on international investments, are critical. Our framework explores how domestic and global risk shocks affect these factors. An application to 10 OECD economies shows that a substantial degree of international risk sharing can occur through current accounts and international portfolios.

Opportunity is in the eye of beholder

As the literature on organizational alliances has begun to shift from analyzing individual dyads to strategic alliance portfolios, the essential drivers of firms’ alliance portfolio characteristics remain largely unexplored and poorly understood. In particular, existing studies do not provide a clear understanding of how contextual factors determine essential characteristics of a firm’s strategic alliance portfolio—particularly with respect to the diversity of the portfolio. Treating firms’ alliance portfolios as bundles of search activities, we apply the behavioral strategy lens to explain the observed changes in strategic alliance portfolios’ diversity driven by factors of the external (environmental jolts) and internal (relative performance) environments. We test our proposed theoretical framework by tracing the evolution of telecommunication industry firms’ alliance portfolios before and after the 1996 Telecommunications Act and the 2000 market crash.

Environmental variability indicates a climate‐adaptive center under threat in northern Mozambique coral reefs

AbstractA priority for modern conservation is finding and managing regions with environmental and biodiversity portfolio characteristics that will promote adaptation and the persistence of species during times of rapid climate change. The latitudinal edges of high‐diversity biomes are likely to provide a mixture of environmental gradients and biological diversity that meet the portfolio criteria needed for adaptive systems. Northern Mozambique and the Quirimbas Islands represent the edge of a coral reef diversity center with limited potential to expand because of geologic and oceanographic limits on the southern edges. This region does, however, have the potential to be its own discrete adaptive center if it contains climate refugia and there are environmental gradients that promote acclimatization, ecological reorganization, and natural selection. Consequently, to evaluate this potential we tested for strong regional environmental spatial heterogeneity that might indicate a climate‐adaptive center. Additionally, we evaluated human influences and environmental and demographic data on finfish, coral, and sea urchins in 66 reefs across ~4° of latitude to evaluate ecological changes and human threats. A number of clear gradients in environmental and human influences were observed. For example, temperature increased and became more centralized and right‐skewed, while water quality decreased to the south. Coral communities susceptible to thermal stress were found in the north where dispersed temperatures indicated a location with either tolerance to or refugium from recent thermal disturbances. Nevertheless, high coral diversity was found in southern deep‐water channels. Further, spatial patterns for corals and fish differed indicating complex geographic‐fishing‐biodiversity gradients. Consequently, environmental conditions for an adaptive portfolio exist and include refugia for preserving climate‐sensitive and for numbers of coral taxa. Fishing and urban threats were observable as reduced fish biomass, diversity, and body sizes but higher biomass of sea urchins. We observed that many remote and protected areas had fish biomass values lower than expected or near maximum sustainable yields. This indicates low compliance and widespread migratory fishing, which is reducing fish diversity below maximum levels. Recommendations to sustain this adaptive center are to maintain fish biomass >500 kg/ha by increasing fisheries restrictions and compliance.

Two-Asset Portfolio with Triangular Fuzzy Present Values – An Alternative Approach

The main purpose of this article is to present characteristics of a two-asset portfolio in case of present values of assets being given by a triangular fuzzy number. Fuzzy expected discounting factor for a portfolio and imprecision risk assessments for the imprecision burdening a portfolio were appointed throughout the paper. Thanks to this, the influence of portfolio diversification on an imprecision risk was analyzed and some interesting conclusions were stated.

Technology Portfolios

Although people today regularly use a wide range of digital technologies for communication, information management and entertainment purposes, academic research has no conceptual way to describe this collection. This research seeks to answer 2 questions: 1) How well does the ?portfolio? concept describe the collection of technologies that individuals routinely use?, and 2) How do individuals manage technology portfolios over time? To answer these questions, data was gathered data using a multi-method qualitative design from technically-adept participants. Each participant had assembled a collection of technologies. We compared their technology selection and usage against five characteristics of a financial portfolio (purposeful, diverse, dynamic, balanced and holistic) and found many similarities and some differences. Using inductive analysis, a technology portfolio lifecycle containing five processes (Scan, Research, Trial, Use, and Retire) was developed. The paper concludes with a call to researchers to further develop the technology portfolio concept and to vendors and organizations to consider the ways that technologies are researched, trialed and integrated into a portfolio to increase chances for successful change.

Measuring Tax-Sensitive Institutional Investor Ownership

ABSTRACTWe classify all institutional investors that file Form 13-F over the period 1995–2013 as either “tax-sensitive” or “tax-insensitive” based on their trading behavior and portfolio characteristics. We examine tests of the effects of investor tax-sensitivity on portfolio rebalancing, price pressure, and fund performance, and compare our measure of tax-sensitive institutional investor ownership to three measures used in prior studies. We show that our measure of tax-sensitive investors dominates other measures in the portfolio rebalancing and price pressure tests. In the fund performance test, our measure of tax-sensitivity is the only one that finds that tax-sensitive investors have significantly lower returns on their portfolio stocks, which is a new result in the literature.JEL Classifications: G11; G20; H24.

Institutional Investors Connectedness and Firm Value

This paper investigates the role of institutional investor centrality, measured by the number of co-ownership ties, in firm value. Using US data over the period 2001-2013, we document that block-holdings from more central institutional investors enhance firm value more than those held by other investors. We do not find evidence that this increase in value is due to monitoring, advisory, or information cost effects. Our findings are consistent with the view that central institutional investors provide a certification of firm value. We also show that institutional centrality displays an effect over and beyond investor portfolio characteristics. The documented effects are robust to alternative specifications of network centrality and to endogeneity concerns.

Leveraging firm innovation performance through alliance portfolios in emerging economies: the role of absorptive capacity

Firms are increasingly engaging in alliance portfolios/networks – AP/Nets - to leverage their innovation performance –IP - and thus boost their competitiveness. Most studies, with a few exceptions especially from emerging countries, found a positive relationship between AP/Net and IP, depending on portfolio characteristics and firm absorptive capacity – AC. This article undertakes an empirical investigation of the AP/Net – IP relationship and AC´s potentially moderating role in this relationship in an emerging country: Brazil. Statistical testing of hypotheses regarding these relationships, and AC´s role, corroborated the exceptions. However, it confirmed how important it is that firms in an emerging country ensure a high level of AC to mitigate the negative effects of AP/Net diversity on IP. Some managerial and policy implications were also formulated.