ABSTRACT
This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order moments and portfolio characteristics. We used a wide range of asset classes, encompassing equites, fixed income securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and ∆CoVaRs with various copula functions. We found that NFTs exhibit beneficial investment and hedging attributes under all market conditions, including the Covid-19 pandemic. Our findings have important implications for investors, risk managers, and regulators. © 2023 Elsevier B.V.
ABSTRACT
Research background: The aim of the article is to compare Polish and US dividend companies with potential growth with dividend companies with potential value, including in the period of economic turbulence caused by the pandemic, and to identify macroeconomic determinants that affect changes in the level of share prices of dividend companies with potential value listed on the stock exchange in Poland and the US. An analysis of the literature and international studies conducted allows us to identify inflation, gross domestic product (GDP), interest rate levels, exchange rate changes, and market P/E and P/BV ratios, as well as the PMI index, as the most important macroeconomic factors. Purpose: The aim of the article was to present research on the impact of macroeconomic indicators on the prices of Polish and US shares of dividend companies, divided into shares with potential value and potential growth for the period 2016-2020. The research was enriched by analyzing the return rate on shares and the risk of the share prices of companies with potential value during the turbulence of the economy caused by the COVID-19 pandemic. Research methodology: The study was conducted using the Spearman rank correlation coefficient and significance test for the Spearman rank correlation coefficient. A non-parametric t-test was carried out to check whether the estimated correlation is statistically significant. Results: The research indicates that Polish and US dividend companies with potential value have lower average annual return rates than dividend companies with potential growth. Referring to the determinants of the share prices of US dividend companies with potential value, it was found that they are significantly determined by inflation and moderately determined by industrial production and GDP, as well as the P/BV ratio. Novelty: The added and application value are the recommendations regarding the attractiveness of investing in Polish dividend companies with potential value as compared to companies from the US market. © 2022 Bartłomiej Jabłoński et al.
ABSTRACT
This study empirically investigates whether and how the COVID-19 pandemic affects corporate financial asset holdings. We find that firms with higher pandemic exposure are less likely to hold financial assets. Mechanism analyses suggest that the return-chasing rationale dominates the precautionary motive concerning the pandemic effect on corporate financial asset holdings. Furthermore, firms prefer to liquidate highly liquid financial assets to fill the pandemic-induced liquidity shortage. This study contributes to the economic consequences of the COVID-19 pandemic regarding corporate portfolio choice, and sheds light on corporate resilience to crises.
ABSTRACT
Orientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades;which are increasingly scrutinised by investors. Research purpose: An ideal milieu might involve rewards for responsible firms and penalties for culprits, but in a profit-driven world, this is not always true. Investors demand profitability so some trade-off is required. Motivation for the study: Recent work to measure and optimise portfolio performance while observing corporate conscientiousness is promising: return/risk profiles comparable to those attained by unconstrained portfolios appear possible. Research approach/design and method: Portfolio optimisation using Lagrangian calculus. As ESG scores worsen, portfolio performance should be adversely affected, and we then apply – for the first time – these portfolio optimising developments to emerging market corporates. Main findings: ESG grades have improved over time, with both a statistically significant risk reduction and an increase in returns (the reverse for deteriorating ESG grades). As volatility increases, optimal ESG grades increase slowly as associated Sharpe ratios decrease. This could be due to an option-like reliance of inherent value upon underlying volatility. Practical/managerial implications: With better knowledge of trends, asset managers who take ESG metrics into account can confidently assert that ESG compliant portfolios can generate healthy risk adjusted returns (Sharpe ratios) and that these values are improving over time. Contribution/value-add: ESG compliant portfolios have become viable investments while adhering to sensible, responsible investment principles. ESG scores are improving globally, albeit at different rates.
ABSTRACT
This paper proposes to find how some specific constraints affect portfolio choice under two dynamic situations which are only considering risk and considering both risk and return respectively. Ten individual stocks from different industries and SPX 500 from 2001 to 2021 have been selected as the data. For example, the COVID-19 has brought a great negative impact on the aviation industry. By analyzing the data, I have found that the stock market has a strong resilience and ability to deal with external shocks. I have also chosen two models, namely Markowitz Model and Index Model under five constraints to examine the portfolio performance. These results indicate that some constraints have a negative impact on portfolio choice. For example, the portfolio under the benchmark has meant having no constraints being ones with the minimum risk. In other words, too many constraints make the risk higher. Additionally, the portfolio has its maximum return and risk if the broad index isn't in the portfolio. This means broad index can control the risk of the portfolio. From the results of the paper and the research direction, this paper has applications for stock investors during shocks and events which had broad impacts. © 2022 Owner/Author.
ABSTRACT
We survey a representative sample of U.S. households to study how exposure to the COVID-19 stock market crash affects expectations and planned behavior. Wealth shocks are associated with upward adjustments of expectations about retirement age, desired working hours, and household debt but have only small effects on expected spending. We provide correlational and experimental evidence that beliefs about the duration of the stock market recovery shape households' expectations about their own wealth and their planned investment decisions and labor market activity. Our findings shed light on the implications of household exposure to stock market crashes for expectation formation.
ABSTRACT
Although the nation was experiencing an economic downturn due to the COVID-19 pandemic outbreak, we nonetheless observed an increase in household equity share value relative to both domestic market capitalization and retail investors' trading volume. In this paper, we aim to interpret the reasons underlying this seemingly unexpected phenomenon. We investigate portfolio choices with stocks, bonds, and life annuities under an inverse S-shaped probability distortion function. The results indicate that people invest more heavily in risky assets and buy more annuities when reducing their savings in risk-free accounts, which is indeed consistent with the reality.