Return Expectations Research Articles

Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment

Abstract We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data. Individuals’ beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform half of our respondents that, historically, the autocorrelation was close to zero, which causes them to update their perceived current autocorrelation and return expectations. The treatment shifts respondents’ equity purchases during the COVID-19 crash months later in the direction implied by the intervention. Our results provide causal evidence about the drivers of disagreement and trade in asset markets. (JEL D83, D84, G11, G12, G41, G50)

The Influence of Financial Literacy, Perception of Capital Capability, Return Expectation and Family Environment on the Intention to Invest in Shares of Students in the Capital Market

One of the most popular financial products among Indonesians, according to a survey by the Financial Services Authority (OJK), is capital market investment. The number of investors in the capital market has increased year by year, yet the growth rate is lowest in the stock sector. This study aims to examine the influence of financial literacy, perceptions of minimal capital, return expectations, and family environment on students' intention to invest in stocks in the capital market, based on the theory of planned behavior. This research employs a quantitative approach. The study was conducted on undergraduate accounting students at the Faculty of Economics and Business, Udayana University, from the year 2017-2023. Data were collected by distributing a questionnaire via Google Forms to accounting students at FEB UNUD. The population in this study was 1.203 people. The sample was selected using probability sampling with proportionate stratified random sampling, resulting in 300 respondents. Data analysis techniques included descriptive statistical techniques and multiple linear regression analysis using SPSS 25.0. The results of this study indicate that financial literacy, perceptions of minimal capital, return expectations, and family environment have a positive effect on students' intention to invest in stocks.

Maternal Investments in Children: The Role of Expected Effort and Returns

Abstract We investigate the importance of subjective expectations of returns to and effort costs of the two principal investments that mothers make in newborns: breastfeeding and stimulation. We find heterogeneity across mothers in rural Pakistan in expected effort costs and expected returns for outcomes in the cognitive, socio-emotional and health domains, and that this contributes to explaining heterogeneity in investments. We find no significant differences across women in preferences for child developmental outcomes. We simulate the impact of alternative policies on investments. Our findings highlight the relevance of interventions designed to address maternal depression and reduce perinatal fatigue alongside interventions that increase perceived returns to investments.

The Influence of Sharia Financial Literacy, Technological Advances, Return Expectations, and Minimum Capital on Generation Z's Interest in Investing in the Sharia Capital Market

The Influence of Sharia Financial Literacy, Technological Advances, Return Expectations, and Minimum Capital on Generation Z's Interest in Investing in the Sharia Capital Market

Case series: Surgical success and reproductive performance after correction of penile deviations in 10 bulls

Information regarding expected outcomes such as surgical complications and successful return to natural service after surgery to correct penile deviation of bulls is limited. There­fore, when examining a bull with a penile deviation, mak­ing evidence-based recommendations and managing client expectations for return to function is difficult for veterinar­ians. The objective of the study reported here is to provide documented outcomes of return to reproductive performance for bulls following surgery to correct penile deviation. Medi­cal records at 4 teaching hospitals from 2008 to 2022 were re­viewed. Surgical and reproductive outcomes of impotent bulls that underwent surgery to correct spiral or ventral deviation by either fascia graft or synthetic mesh were evaluated. Only 10 cases, from 3 teaching hospitals, had sufficient follow-up information regarding outcome after surgery to be evaluated. None of the bulls experienced surgical complications (e.g., infection, dehiscence, etc.). Surgery sufficiently corrected the deviation to achieve intromission in 6 of the 10 bulls. Five of these 6 bulls sired progeny. Overall, surgical correction of penile deviation in bulls appears to have a low risk for compli­cations, but the success of surgery in returning the bull to re­productive soundness is inconsistent, as only 5 of the 10 total cases sired progeny via natural service.

A Study on E-Commerce Warehousing Dynamics Navigating Order Fulfilment and Returns

The e-commerce over the past decade has experienced remarkable growth, reshaping shopping habits and challenging traditional supply chain methods. This surge in online shopping has compelled e-commerce firms to enhance their warehousing and order fulfilment strategies to meet rising consumer expectations for swift deliveries and hassle-free returns. Effective management of order fulfilment and reverse logistics has become essential for competitiveness in this industry. This study investigates e-commerce warehousing dynamics, emphasizing the optimization of order speed, delivery times, operational costs, and return management. Through industry reports, academic literature, and case studies, we identify best practices in five key areas: warehouse design and automation, demand forecasting, inventory control, order picking and packing processes, transportation strategies, last-mile delivery models, and reverse logistics for returns. Our research underscores the significance of highly automated warehouses equipped with advanced technologies such as robotics, automated storage and retrieval systems (ASRS), automated guided vehicles (AGVs), and intelligent software for material flow management. These innovations empower e-commerce firms to boost throughput, enhance operational flexibility, and adapt to changing demands effectively.

Investment Portfolio Optimization In Infrastructure Stocks Using The Mean-VaR Risk Tolerance Model

Infrastructure a crucial role in economic development and the achievement of Sustainable Development Goals (SDGs), with investment being a key activity supporting this. Investment involves the allocation of assets with the expectation of gaining profit with minimal risk, making the selection of optimal investment portfolios crucial for investors. Therefore, the aim of this research is to identify the optimal portfolio in infrastructure stocks using the Mean-VaR model. Through portfolio analysis, this study addresses two main issues: determining the optimal allocation for each infrastructure stock and formulating an optimal stock investment portfolio while minimizing risk and maximizing return. The methodology employed in this research is the Mean-VaR approach, which combines the advantages of Value at Risk (VaR) in risk measurement with consideration of return expectations. The findings indicate that eight infrastructure stocks meet the criteria for forming an optimal portfolio. The proportion of each stock in the optimal portfolio is as follows: ISAT (2.74%), TLKM (33.894%), JSMR (3.343%), BALI (0.102%), IPCC (5.044%), KEEN (14.792%), PTPW (25.863%), and AKRA (14.219%). The results of this study can serve as a foundation for better investment decision-making.

Insights into Gold Investing: Exploring Investor Behavior

A content analysis was conducted to examine factors influencing investor behavior when investing in gold and to look into possible reasons for selling gold. The results showed that investors' needs, return expectations, herding behavior, fear of financial collapse, higher appreciation rate, store of value, and liquidity all significantly impact gold investment decisions. The analysis also identified factors that may lead to selling gold in times of crisis, such as uncertainty caused by the Covid-19 pandemic, perception of gold as a safe haven during global financial instability, rise in the price of gold during crisis periods, its value as a hedging instrument, an essential investment source, protection against inflation, and also as a medium of exchange. An important motive for selling gold during these periods is to flee to safer assets. The research also revealed that although the demand for gold is usually higher in times of economic uncertainty and inflation, cash shortages do not significantly impact the decision to sell gold.

Cross-influence of Risk, Return, and Governance on Decision-Making in Hydropower Investments

The sustainable growth of an economy pivots on a robust financial system, particularly in the context of capital availability. This study analyzes the behavior of investors towards initial public offerings (IPOs), focusing on the hydropower development sector in Nepal. The research explores the multifaceted relationship between factors such as risk, return, and governance on investor behavior, considering elements like Idiosyncratic risk (IR), timing of issue (TIPO), Bandwagon effect (BE), expected return (ER), sectoral performance (SP), corporate governance (CG), pre-issue financial health (PFH), and marketability (MKT). Additionally, sociodemographic variables and their connection to investor behavior are examined. Employing a descriptive research design, the study involves a sample size of 392 individuals, selected through a convenient sampling method. The study's main finding documented that idiosyncratic risks, expected returns, and corporate governance stand out as crucial factors influencing investment decisions (P < 0.05). Notably, the regression analysis indicated the absence of a significant impact from market risks (P > 0.05), including the bandwagon effect and IPO timing, on investor behavior towards hydropower IPOs. This finding suggests that Nepalese investors prioritize returns and organizational governance over market risks, despite having significant concerns regarding idiosyncratic risk. The analysis also reveals significant associations between investor behavior and sociodemographic variables like age, education, occupation, and primary investment objectives (P < 0.05). This study offers valuable insights and implications for investors seeking to align investments with their goals. Hydropower developers should prioritize investor protection and transparency, while regulators must enhance disclosures, shareholder accountability, and project oversight.

Human-AI collaboration to mitigate decision noise in financial underwriting: A study on FinTech innovation in a lending firm

Financial institutions have recognized the value of collaborating human expertise and AI to create high-performance augmented decision-support systems. Stakeholders at lending firms have increasingly acknowledged that plugging data into AI algorithms and eliminating the role of human underwriters by automation, with the expectation of immediate returns on investment from business process automation, is a flawed strategy. This research emphasizes the necessity of auditing the consistency of decisions (or professional judgment) made by human underwriters and monitoring the ability of data to capture the lending policies of a firm to lay a strong foundation for a legitimate system before investing millions in AI projects. The judgments made by experts in the past re-emerge in the future as outcomes or labels in the data used to train and evaluate algorithms. This paper presents Evidential Reasoning-eXplainer, a methodology to estimate probability mass as an extent of support for a given decision on a loan application by jointly assessing multiple independent and conflicting pieces of evidence. It quantifies variability in past decisions by comparing the subjective judgments of underwriters during manual financial underwriting with outcomes estimated from data. The consistency analysis improves decision quality by bridging the gap between past inconsistent decisions and desired ultimate-true decisions. A case study on a specialist lending firm demonstrates the strategic work plan adapted to configure underwriters and developers to capture the correct data and audit the quality of decisions.

Equity Return Expectations and Portfolios: Evidence from Large Asset Managers

Abstract Collecting large asset managers’ capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expectations of retail investors, asset managers’ equity premium expectations are countercyclical: they are high (low) when valuations are low (high). We find that asset managers’ portfolios reflect their heterogeneous expectations: allocation funds of asset managers with larger U.S. equity premium expectations invest significantly more in U.S. equities. The sensitivity of portfolios to expectations seems to be muted by investment mandates and is smaller than the one predicted by a standard portfolio choice model.

DISPLACED COMMERCIAL RISK AND ITS EFFECT ON ISLAMIC BANK CUSTOMER LOYALTY: AN ANALYSIS OF SUPPORTING FACTORS

The purpose of this study is to determine what factors encourage the emergence of Displaced Commercial Risk in Islamic banks and their effect on the loyalty of Islamic bank customers. Displaced Commercial Risk is a risk that occurs due to changes in the level of returns provided by banks to customers, resulting in indications that customers move some of their funds from Islamic banks to conventional banks. This study uses multiple linear regression analysis, by conducting reliability and validity tests, classical assumption tests and hypothesis testing. The sample of this research is Islamic Bank customers who have met the sample determination criteria of 150 respondents. The results showed that there are three factors driving the emergence of Displaced Commercial Risk in Islamic banks, namely the Return Rate, Islamic Bank Operations and Return Expectations. Of the three factors, the Expectation of Yield factor does not have a significant effect on the loyalty of Islamic Bank customers.

How congruent sentiment indices are to real investor beliefs?

ABSTRACT We use survey data to investigate the relationship between widely used sentiment indices and real investor beliefs. We find a strikingly low congruency between sentiment indices and investor expectations of future stock returns. More importantly, the sentiment indices are found to have poor abilities to capture investor overoptimism, attenuating the nexus between sentiment indices and mispricing which was employed extensively by previous literature. By cautiously examining the relations between sentiment indices (survey expectations) and model-based expected returns, we are keenly aware that sentiment indices and survey expectations probably correspond to distinct classes of sentimental investors.

Rimagined upcycling

Learning outcomes Upon completion of the case study, the students will be able to apply business upscaling strategies to an upcycling social enterprise that is embracing a circular economy approach by using the Ansoff growth matrix; to analyze strategies for transition to circularity using the butterfly diagram tool for both business and personal use; to indulge in upcycling exercises for a used product of their choice, not only unleashing their creative potential but also contributing to an idea that might get them to win a contest; to analyze different operational problems and efficiency opportunities that arise when a company takes on social and environmental causes as a business opportunity; and to strategize how a social enterprise can be sustained and made for-profit by applying business strategies. Case overview/synopsis This case study covers the concepts of upcycling under the gamut of circular economy, a concept that has become more of a strategy to sustain and survive in today’s world. This case is about Rimagined, an upcycling company that could be a model for circular ideas and upcycling of stuff. This case study narrates the growth and the challenges faced in upcycling and encourages students to ideate a new design for any upcycling item of their choice. This case will also make students strategize the expansion plan for Rimagined. Shailaja Rangarajan is the protagonist of this case study who started this social enterprise to make a difference and do her bit. Sustaining a social enterprise requires business acumen and risk-bearing capacities like any other business. Rangarajan was facing the dilemma of expansion and was trying out several feasible options. Rimagined had been unable to attract investors because their expectations of quick returns could not be immediately fulfilled. Investors focused more on waste management as an industry and not on upcycling as a separate area of work. Complexity academic level This case study is suitable for students of MBA or executive MBA level. Specifically, this case study can be used in business strategies and circular economy courses. Supplementary materials Teaching notes are available for educators only. Subject code CSS 4: Environmental management.

Energy Storage Deployment and Benefits in the Chinese Electricity Market Considering Renewable Energy Uncertainty and Energy Storage Life Cycle Costs

The construction and development of energy storage are crucial areas in the reform of China’s power system. However, one of the key issues hindering energy storage investments is the ambiguity of revenue sources and the inaccurate estimation of returns. In order to facilitate investors’ understanding of revenue sources and returns on investment of energy storage in the existing electricity market, this study has established multiple relevant revenue quantification models. The research methodology employed in this paper consists of three main components: Firstly, we established a revenue model and a cost model for energy storage participation in the electricity market. These models focus on arbitrage revenue, subsidy revenue, auxiliary services revenue, investment cost, operational and maintenance cost, and auxiliary service cost of energy storage. Subsequently, we utilized an enhanced Grey Wolf Optimizer algorithm to solve the optimization problem and maximize revenue, thus obtaining the optimal capacity and revenue scale of energy storage in the electricity market. Finally, we compared the whole-lifecycle ROI of different energy storage options in various scenarios. The evaluation results demonstrate that the difference between peak and off-peak loads impacts the investment demand and charging/discharging depth of energy storage. In addition, the discrepancy between peak and off-peak prices affects the arbitrage return of energy storage. These two factors can serve as criteria for energy storage investors to assess their return expectations. When solely considering economic returns and disregarding technical factors, pumped storage energy storage emerges as the most suitable mechanical energy storage option requiring investment. The main contribution of this study lies in the estimation of the lifecycle investment returns for various energy storage technologies in the Chinese electricity market, thus providing valuable insights for the investment and operational practices of market participants.

Splitanje globalne sistemske promene diplomatskom moći - koraci Evopske unije

This research seeks to provide a viable understanding of the main specificities of incongruences of reality with the theoretical assumptions on the working of the international by developing the concept of diplomatic power. The relational theoretical perspective on diplomacy as the peaceful search for the consent on just and commonised sharing of life, time, and planet affords the conceptualisation of diplomatic power as the non-episodic offering to others what they need, when, how, and for as long as they need it free from conditions and expectations of returns. The inquiry focuses on how diplomatic power is weaving out of several relational threads of relationships, the one of mutuality transcending the hegemonic "complex interdependence". In this futuring process, the unfolding of diplomacy transforms the global relations system, prefigurating its emergent participatory democratic structures. The People's Republic of China mobilised offerings to others of what they need conditionality free or nonrewarding for their conduct favourable to its interests have been the challenge to the European Union and the United States of America. Comparing their efforts, backed by the Group of 7, to counter China's diplomatic power has proved impotent even when they combined their diplomatic power. Yet, the enlarged supply of options empowers long-marginalized states. The conflictual dynamics driven by the European Union and the United States of America competing with the People's Republic of China is undermining the possibility of mutuality as a new relational pattern to order the world safe for just humanity on a secure planet.

Application of A Linear Gaussian State Space Model and The Kalman Filter in Estimating Expectations of The Natural Logarithmic Monthly Returns of Shiba Cryptocurrency

Application of A Linear Gaussian State Space Model and The Kalman Filter in Estimating Expectations of The Natural Logarithmic Monthly Returns of Shiba Cryptocurrency

Optimum Portfolio Construction Using Single Index Model: An Empirical Study of Nepal Stock Exchange

Purpose: The purpose of this paper is to construct the optimum portfolio of eight sectors listed in NEPSE applying the Sharpe’s single index model.
 Design/Methodology/Approach: Adopting the judgement sampling method, eight sectors were selected for the study. The study period was taken from august 2018 to august 2021 for the three years period as this time frame is the recent bull period. During this period the market index increased from around 1100 to an all-time high index 3200. To construct the optimum portfolio, daily returns of the market and sectors were used. Cut off rate (C*) was calculated in order to form the optimum portfolio using daily basis data. Those sectors whose excess return to beta ratio is higher than cut off rate were included in the optimum portfolio.
 Findings: The study revealed five sectors- non-life insurance, hydro power, finance, microfinance, and development bank-form the optimum portfolio. In terms of ratio of investment in the optimum portfolio, the proportion of investment is found higher in the finance sector (36.6%) and lower in the development bank sector (11%). Furthermore, in terms of unsystematic risk, non-life insurance (3.681) and hydro power sector (3.508) are found as risky sectors compared to other sectors. This study exclusively used the bull period data to form the optimum portfolio applying the Sharpe’s single index model in a daily basis data.
 Implications: The finding can help the investors to make informed decisions aligned with their risk tolerance, return expectation and overall investment objectives.

Dynamics of the Inflation-Hedging Capabilities of Real Estate Investment Portfolios in the Nigerian Property Market

There has been a wide belief that real estate is a source of good investment portfolios because it has a hedge against inflation. Considering this notion, the present research examined the dynamics of the inflation-hedging capabilities of real estate investment in Nigeria’s three foremost property markets, Abuja (Maitama and Central Business District), Lagos (Lekki and Victoria Island), and Port Harcourt (Rumu Ibekwe and Aba Road). To achieve this aim, this study was carried out by exploring the returns on different types of commercial properties in the chosen location and investigating the effect of inflation on such returns in order to come up with the hedging capabilities of the assets. Out of the four property prime locations in Nigeria’s market, these selected study sites were purposely selected for investigation because they comprise the most desirable and preferred properties regarding location, standards, aesthetics, and value. From the data collected, a mean return, coefficient of variation, and ordinary least square regression analysis were completed. In terms of the coefficient of variation (CV), the findings reveal that the duplex in Port Harcourt exhibits the most performed investment, with a value of 0.33, compared to other locations. However, in terms of the expected return (ER), the duplex outperformed other property types in the different locations, with a return of 39.56%. Results also show that inflation has an adverse effect on the returns of the office space for the three locations considered, with the expected returns below 1%. The block of flats in Abuja has a complete defence against the three components of inflation, with a coefficient beta of 0.5633, 0.6586, and 0.8440, respectively. Thus, investors should consider inflation and other investment attributes when making decisions among arrays of investments. This will help guard against the widespread perception that real estate has a hedge against inflation. This paper adds to the existing literature on inflation hedging by investigating the effect of inflation on the real estate investment returns of commercial properties.

Integrated prediction of green bond return under the dual risks of climate change and energy crisis

Prediction of bond return is a classic problem in financial area, providing an important basis for portfolio construction and risk management. The sustainable investment attribute of green bonds has been favored by investors, so that green bonds have become an important component for major asset allocation. However, due to the specific investment focus of green bonds, investors’ return expectations are influenced not only by traditional corporate bond factors, but also by related factors such as climate change and energy transition. Against the backdrop of increasingly severe climate risks and the global energy crisis, this paper analyses the volatility characteristics of China’s green bonds at multiple time scales, and introduces exogenous variables such as returns of the alternative financial assets, climate risks and returns of energy markets for prediction. Based on the LSTM model, the volatility of green bond yield at different time scales is separately predicted using optimal exogenous variable before integration. It is found that the new integrated prediction model can significantly improve the forecasting performance compared to traditional single LSTM models and simple decomposition-integrated models. Further, both climate risks and energy markets variables have a significant improvement effect on predicting green bond in low-frequency item, while energy markets variables also have a better predictive effect on trend items. Building on the use of only LSTM model, it could be further enhanced by integrating more algorithms to select the best single model for each component, further improve the prediction accuracy and provide a more effective quantitative tool for investment decision-making and risk management in related fields.