Security Returns Research Articles

Assessment and Rehabilitation Strategies for Sports-Related Musculoskeletal Injuries

This study provides a comprehensive analysis of assessment methods and rehabilitation techniques for sports activities-related musculoskeletal accidents. Understanding the complexity and variety of injuries incurred in sports, this paper synthesizes the modern-day evidence-based practices and protocols used to assess such injuries. Assessment processes embody a multidimensional exam, consisting of physical examination techniques, imaging modalities, and practical checks, aiming to diagnose the extent and nature of the harm precisely. Furthermore, the evaluation examines into rehabilitation strategies tailor-made to precise accidents, emphasizing the importance of a holistic approach that integrates therapeutic physical activities, manual therapy, neuromuscular re-schooling, and modern loading protocols. A minimum of 200 participants, comprising athletes with various types of musculoskeletal injuries, will be recruited to ensure diversity and generalizability of findings. Participants will be randomly assigned to intervention and control groups using computer-generated random numbers to ensure an unbiased allocation process. Stratification based on injury type and severity will be employed as a criteria, ensuring a balanced distribution of participants across different categories. Participants will undergo rehabilitation sessions three times per week for a duration of eight weeks, ensuring a structured and progressive approach to musculoskeletal injury recovery. Special attention is given to individualized rehabilitation plans that consider the athlete's sport-specific needs, biomechanics, and psychological aspects, facilitating the most beneficial restoration and secure return to play. The paper concludes by highlighting the ongoing advancements in generation and treatment modalities that similarly enhance the evaluation accuracy and efficacy of rehabilitation interventions for sports-related musculoskeletal injuries, emphasizing the importance of a comprehensive and customized method in the management of such injuries.

Nonlinear Factor Returns in the US Equity Market

We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and characteristics for the largest one thousand US stocks from 1964 to 2023 with a focus on average active returns over the last 20 years. Beyond simplicity in modeling the return-generating process, we find no reason to assume a linear relationship between characteristics and security returns. Allowance for nonlinearity leads to increases in information ratios for factor portfolios neutralized with respect to nonlinear exposure to the other factors.

Eleven sectors’ reaction to the political event 2023: evidence from Indonesia Stock Exchange

Research aims: This study analyzes the differences in market reaction towards eleven sectors in the Indonesia Stock Exchange (IDX) during the political event, i.e., the announcement of the Indonesian presidential and vice-presidential nominees in 2023.Design/Methodology/Approach: This study applied the event study method with indicators of abnormal return, trading volume activity, security return variability, and bid-ask spread. The hypothesis test was a non-parametric test by Wilcoxon Signed Rank Test with a window period of seven days of observation (-3, 0, +3).Research findings: The Wilcoxon Signed Rank Test results revealed a mixed reaction by eleven sectors in IDX to this political event, in which there was a difference and no difference in the reactions.Theoretical contribution/Originality: This study contributes to providing insight into the reaction of eleven different sectors in the IDX to the different announcements of the Indonesian presidential and vice-presidential nominees in 2023. Previous research usually focused on stock indices or only testing one particular sector. Hence, this study investigated eleven sectors in the capital market to compare the different reactions and to expand the results.Practitioner/Policy implication: Research on capital market reactions to political events provides important information for investors to make investment decisions based on investor sentiment that assesses the electability of prospective heads of state to advance the Indonesian economy.Research limitation/Implication: The scope of this study is the announcement of the Indonesian presidential and vice-presidential nominees in 2023; future researchers can continue research on capital market reactions to the Indonesian presidential election 2024 events and add relevant variables, such as foreign sales and foreign buys.

An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors

In the imprecise investment environment, there are many indeterminate factors impacting security returns. This paper introduces a portfolio optimization problem where cross-entropy is utilized to control portfolio risk within the framework of uncertainty theory and presents an uncertain bi-objective mean-entropy portfolio selection model. To be more realistic, some realistic factors such as minimum transaction lots, dividend factors and tax factors are also considered. By introducing a risk preference coefficient, the bi-objective model is converted into a single-objective model and some equivalents are discussed. Additionally, a hybrid intelligent algorithm integrating a genetic algorithm with uncertain estimation is designed to solve the proposed model. Finally, a case study is executed to confirm the practicability of the model and the performance of the algorithm, and an empirical analysis based on the proposed model and the uncertain mean–variance model is developed to illustrate the advantage of the uncertain mean-entropy model in practical investment.

Exploring the non-refoulment principle in the ECtHR jurisprudence

This research explores the applications of the non-refoulment principle under the European Court of Human Rights (ECtHR) jurisprudence. We have analyzed the trending and complex debate to argue whether it is legally possible for Türkiye to initiate repatriation processes for Syrians under Temporary Protection (SuTPs). Indeed, the World’s leading refugee hosting country, Türkiye, has implemented several ways to ensure a safe and secure return of SuTPs. Concomitantly, the increasing numbers of SuTPs who vacate Syria during holidays accelerated the narratives for their permanent return. Although the jus cogens norm of non-refoulment cannot be breached, it is still a concern by host countries to determine when it is legal to repatriate refugees after extensive hosting periods. In this research, we explore that there are nuances to the implementation of the non-refoulment principle in the ECtHR jurisprudence. International cooperation and convincing the international community are essential elements for triggering the repatriation programs. Hence, Türkiye should cooperate with other countries to establish a safe zone and to acknowledge the international community for the safety of returnees to eliminate the accusations of breaching the non-refoulment principle.

Mampukah Model Enam Faktor Fama and French menggungguli Model Tiga Faktor Fama and French dengan Proksi Indeks Kompas 100

accompanying risks, many researchers have attempted to find financial asset valuation models. One of the most popular ones today is the Fama and French model. The initial model introduced was the Fama and French 3-factor model, which encountered various failures in some emerging market capital markets. In response, Fama and French improved their model, transforming it into a 6-factor model by adding aspects of profitability, investment, and momentum. This adjustment aimed to capture the relationship between the returns of securities or portfolios formed with systematic risk. However, the Fama and French 6-factor model did not perform well in some emerging market capital markets. The objective of this research is to test the accuracy of the Fama and French 6-factor model in the Indonesian Capital Market from 2017 to 2021. The research method employed is multiple linear regression, forming portfolios based on the framework established by the Fama and French 6-factor model. The research findings indicate evidence that the Fama and French 6-factor model can explain the returns of the formed portfolios. Market risk, book-to-market ratio, and investment aspect significantly impact the performance of the formed portfolio returns.

Stock Transformation: Understanding the Impact of Stock Split on Company Performance in Indonesia Stock Exchange through Before and After Comparative Analysis

The study delves into the differences in stock price, trading volume activity, and security return variability of stock splits policy, which is a corporate action where companies increase the number of outstanding shares while reducing their nominal value. This quantitative study analyzed 66 companies listed on the Indonesia Stock Exchange that underwent a stock split between 2017-2022. This research employs the Wilcoxon Signed Rank Test through SPSS 28 to explore the transformation in stock prices, trading volume activity, and security return variability before and after stock splits. The study presents significant findings: (1) there are noticeable differences in stock prices before and after stock splits, (2) trading volume shows variations before and after the corporate event, and (3) there are notable disparities in security return variability before and after stock splits. This study provides valuable insights for investors, analysts, and corporate strategists by examining the complex dynamics of stock splits and their impact on stock prices, trading activity, and security returns

Internal Equity Annual Changes and Security Returns of Companies Listed in The Nairobi Securities Exchange.

This study examined the effect of annual changes in internal equity on ordinary equity security returns in Kenyan public limited firms. Internal equity is the portion of a company's equity generated through retained earnings and the issuance of new shares to existing shareholders. The study was guided by the research philosophy of positivism, given that it relied on quantitative data and espoused the scientific approach to research. It adopted a causal or explanatory research design to check how the annual changes in public firms' internal equity impacted a firm's stock market value. A census study of 67 public companies was employed, of which 49 met data requirements. The study used secondary data from the company's financial statements for eleven years, from January 2012 to December 2022. The data collected was analyzed using descriptive and inferential statistics. The hypothesis that annual changes in internal debts had no significant effect on security returns was tested at a 95% confidence interval using the t-statistic and p-value. The study adopted panel data to carry out the research analysis. Panel regression analysis using the random effects model was undertaken after appropriate normality, model specification, homoscedasticity, linearity and autocorrelation diagnostic tests. Findings reveal significant variability in internal equity changes across sectors. Correlation analysis establishes a positive and significant association between internal equity changes and security returns. Panel regression analysis further confirms a strong and positive relationship, indicating that an increase in internal equity corresponds to higher returns on equity securities. The results emphasize the importance of internal equity in signalling a company's financial health and stability, impacting investor confidence and potentially leading to higher equity security returns. Investors are urged to conduct sector-specific analyses, considering variability in financial structures. The study contributes valuable insights to understanding internal equity's role in influencing financial well-being and security returns in the Kenyan business landscape.

APPLICATION OF ARTICLE 88 OF THE FUNDAMENTALS OF THE LEGISLATION OF THE RUSSIAN FEDERATION ON NOTARIES IN JUDICIAL PRACTICE

The article analyzes the practice of applying Article 88 of the Fundamentals of the Legislation of the Russian Federation on Notaries in its relationship with Article 327 of the Civil Code of the Russian Federation. The author consistently examines changes in the approaches of the courts in cases involving disputes over the return of funds and securities from a notary’s deposit. The special role of the notary in the obligations of subjects of civil turnover is highlighted.

A Wave of Indo-Pacific Strategies and Canada’s Positioning: Reckoning with Global Power Rebalancing and the Crisis of Hyperglobalization

The Indo-Pacific concept grew out of a movement to refocus and redefine the Asia-Pacific region to include the Indian Ocean and South Asia, largely as a result of China’s rise. Over the past 10 years, an increasing number of Indo-Pacific strategies have been officially released in the region and beyond. The first question this article tackles is the following: What are the key drivers behind the rise of Indo-Pacific strategies? We argue that Indo-Pacific strategies have become a fast-moving experimenting space for countries searching for adjustment strategies to at least two concurrent deep trends in a changing global order: the great recent shift in the balance of power most vividly characterized by an increasingly assertive China, and the peaking of the liberal globalization experiment and the return of economic security to the fore. We are also concerned with the comparative angle to this question. In particular, how do Indo-Pacific strategies vary among key countries? And finally, how does the Canadian strategy fit within the broader landscape of Indo-Pacific strategies? In answer to these questions, the article develops a typology of existing Indo-Pacific strategies and how they each insert themselves in the current transitionary stage. Finally, we turn to Canada’s own Indo-Pacific strategy and its key features and drivers, including a discussion of Canada’s approach vis-à-vis China. We argue that this represents a touchstone in how Canada is responding to great power shifts and the erosion of the liberal international order.

Виконання зобов’язання внесенням боргу на рахунок ЕСКРОУ як альтернатива його внесенню на депозит нотаріуса за законодавством України

Annotation. The article deals with the extension of the scope of an escrow account contract application in Ukraine. Amendments were made to Article 537 of the Civil Code of Ukraine, which introduced the possibility of fulfilling the obligation by the debtor by depositing cash or securities into the escrow account. The author analyzes the conditions envisaged by law under which the aforementioned mechanism is available for use. Based on the study of regulatory legal acts of the National Bank, the author establishes the algorithm of actions in case of its application, in particular, the procedure for the participation of a notary. The author analyzes and compares the legislative provisions on the procedure for returning funds to the person who deposited them in order to fulfill an obligation into the deposit of a notary and into the escrow account. In this context, the author analyzes the meaning of the term "depositor" in the legislation on the depository system and in the Procedure for Notarial Acts by Notaries of Ukraine, and draws conclusions about the differences in their meaning. It is found out that the return of monetary amounts and securities to the person who deposited them with a notary is allowed only with the consent of the creditor, which must be in writing. At the same time, termination of the escrow account contract is also permitted only upon receipt of the beneficiary’s written consent. The possibility of returning funds without his consent exists only if there is a relevant court decision. The author examines the peculiarities of an escrow account contract in the context of the beneficiary’s right to instruct the bank to transfer funds from the account to another person, as well as the period during which funds may be received from it as compared to a notary’s deposit. The author clarifies the procedure for protecting the rights and interests of a person who has been unreasonably denied a notarial act such as acceptance of a sum of money or securities from a debtor and crediting them to an escrow account. The author proposes to amend the Law of Ukraine "On the Notary Office" in accordance with the new wording of Article 537 of the Civil Code of Ukraine with an indication of such type of notarial acts as acceptance of a debt from a debtor with opening of an escrow account.

Uncertain mean-CVaR model for portfolio selection with transaction cost and investors’ preferences

Portfolio selection is a common practice among investors, scholars often rely on probability statistics to construct portfolios based on the Markowitz mean–variance model. However, due to the complexity of the stock market and the limitations of historical data, it may not be possible to fully predict the future market. In such situations, it is necessary to incorporate expert knowledge and judgments to obtain estimates of security return rates. This paper proposes a class of portfolio models suitable for uncertain environments. We employ the uncertainty theory and Arbitrage Pricing Theory (APT) to measure tail risk and construct a new uncertain mean-Conditional Value-at-Risk (CVaR) model. Additionally, to better match investors’ preferences, this paper takes into account transaction costs and liquidity needs. To solve this problem, we design a hybrid algorithm that incorporates these factors. Finally, we present a numerical experiment to illustrate the performance of the proposed model. In summary, our study offers a novel approach to portfolio selection that considers uncertainty theory, tail risk, and investors’ preferences. The results demonstrate that the proposed uncertain mean-CVaR model with hybrid algorithm optimization can improve portfolio performance in uncertain market conditions.

Capital Asset Pricing Model: A Brief Review on Advantages, Disadvantages and Alternatives

CAPM, or capital asset pricing model, is an important tool for determining the expected returns of individual securities or portfolios and for systematic analysis. It is a strong support for the price theory of modern financial markets and is of great importance to the financial markets of various countries. This paper first introduces CAPM briefly, and then analyzes the advantages and disadvantages of the model one by one and analyzes its effect on the financial market with a practical case study. A number of studies have shown that because its hypothesis does not conform to the actual market, the alternative model of CAPM is introduced, and it is found that whether these models used in finance are applic-ble or not has a great relationship with the data, so the CAPM model and its alternative models are worth further study in pricing.

An Empirical Study on the Logarithmic Return of Securities

Objective: Previous studies have shown that the distribution of security returns has the characteristics of peak and fat tail, and it is not realistic to use logarithmic normal distribution to describe security returns. This paper mainly studies the specific form of security returns distribution and conducts empirical research. Methods: We first assume that the security returns follow a logarithmic t-distribution. Then, the maximum likelihood estimation and moment estimation are used to explore the degree of freedom of the distribution. Finally, the goodness of fit test is used to conduct an empirical analysis about Shanghai Securities Composite Index. Results: The specific expression formulas for the estimator of the degree of freedom are obtained. Empirical testing shows that the security returns follow a logarithmic t-distribution. Conclusion: The probability distribution of security returns is unrealistic to assume that the security returns follow the logarithmic normal distribution. It is more practical to use the logarithmic t-distribution to characterize the distribution of security returns. Our results provide theoretical assistance for exploring the pricing of financial derivatives.

Social contagion and the survival of diverse investment styles

We examine the contagion of investment ideas in a multiperiod setting in which investors are more likely to transmit their ideas to other investors after experiencing higher payoffs in one of two investment styles with different return distributions. We show that heterogeneous investment styles are able to coexist in the long run, implying a greater diversity than predicted by traditional theory. We characterize the survival and popularity of styles in relation to the distribution of security returns. In addition, we demonstrate that psychological effects such as conformist preference can lead to oscillations and bubbles in the choice of style. These results remain robust under a wide class of replication rules and endogenous returns. They offer empirically testable predictions, and provide new insights into the persistence of the wide range of investment strategies used by individual investors, hedge funds, and other professional portfolio managers.

Mean-CVaR Portfolio Optimization Models based on Chance Theory

The indeterminacy of financial markets leads investors to face different types of security returns. Usually, security returns are assumed to be random variables when sufficient transaction data are available. If data are missing, they can be regarded as uncertain variables. However, uncertainty and randomness coexist. In this situation, chance theory is the main tool to deal with this complex phenomenon. This paper investigates the conditional value at risk (CVaR) of uncertain random variables and its application to portfolio selection. First, we define the CVaR of uncertain random variables and discuss some of its mathematical properties. Then, we propose an uncertain random simulation to approximate the CVaR. Next, we define the inverse function of the CVaR of uncertain random variables, as well as a computational procedure. As an application in finance, we establish uncertain random mean-CVaR portfolio selection models. We also perform a numerical example to illustrate the applicability of the proposed models. Finally, we numerically compare the mean-CVaR models with the mean-variance models with respect to the optimal investment strategy.

Portfolio optimization: A multi-period model with dynamic risk preference and minimum lots of transaction

Sufficient description of stock returns is essential to generate an efficient model of portfolio optimization. Security returns are considered to be random variables where there exist sufficient data of historical returns. Nonetheless, uncertain variables may be applied to increase the effectiveness of security returns. The following research entails an optimization objective problem focusing on minimum lots of transaction in uncertain environments of dynamic trading. Also, the changing risk preference of the investor over the horizon of investment has been factored in the model. An average- Value at Risk (VaR) framework has been used to maximize wealth creation using genetic algorithms.

Market Reactions to Emergency Community Activity Restrictions Policy

This research uses the event study method to test the reaction of capital markets before and after the announcement of the Emergency Community Activity Restrictions (PPKM) policy. The observation period includes 7 days before and 7 days after the event. By using purposive sampling method, the research sample amounts to 29 stocks of the hotel, restaurant, and tourism companies listed on the Indonesia Stock Exchange. The hypothesis is tested with Paired Samples T-Test for those with normal distribution and Wilcoxon Signed Ranks Test for those with no normal distribution. The results showed that there was a difference in average trading volume activity. While average abnormal return and average security return variability did not have significant differences around the announcement. This research implies that stock investors need to consider information about government policies or other non-economic events to appropriately sort out relevant information to sell or maintain stocks under the risks and returns expected by investors.
 Keywords: Abnormal Return, Trading Volume Activity, Security Return Variability, The Emergency PPKM Policy, Event Study

Return–volume nexus in financial markets: A survey of research

This paper provides a systematic review of the return–volume literature, broadly defined to include theoretical and empirical research relating to the intramarket and cross-market interlinkages between security return and trading volume characteristics in four financial markets, namely, the stock, bond, foreign exchange, and futures markets. Viewed through this lens, this paper attempts to review previous empirical research within a unified theoretical framework that relates the interlinkages between return and volume characteristics in various financial markets. Overall, this paper marks several interesting areas of debate and controversy based on several controversial theories and empirical findings in the literature, suggesting directions for future research.

Multiple Risks and Uncertain Portfolio Management

This paper studies comparative static effects under uncertainty when investors face a portfolio decision problem with both an endogenous risk and a background risk. Since the security market is complex, there exists situation where security return and background asset return are given by experts’ estimates when they cannot be reflected by historical data. Focusing on such a situation, an uncertain mean-chance model with background risk for optimal portfolio selection is developed, in which the use of chance of portfolio return failing to reach the threshold can help investors easily determine their tolerance toward risk and thus facilitate a decision making. Then we analyze the solution of the programming problem under different threshold return level, i.e., how different degrees of threshold return will affect allocation between risky asset and risk-free asset. Furthermore, we discuss the effects of changes in mean and standard deviation of risky asset and background asset on investment decisions when security return and background asset return follow normal uncertainty distributions. Finally, a real portfolio selection example is given as illustration.