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1 – 10 of 236Steven D. Silver and Marko Raseta
The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in…
Abstract
Purpose
The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in response to price shocks and investigate alternative rebalancing heuristics.
Design/methodology/approach
The authors use market data over 40 years to define market shocks. Portfolio rebalancing implements constrained Markowitz mean-variance (MV) heuristics.
Findings
Momentum rebalancing in portfolio management outperforms contrarian rebalancing in the study interval. Sensitivity analysis by decade, sector constraints and proportion of security holdings bought or sold continue to support momentum rebalancing.
Research limitations/implications
The results are consistent with under-responding to price shocks at consensus levels in financial markets. The theoretical background provides a basis for experimental lab studies of shocks of different magnitudes under conditions in which participants have information on the levels of other participants and a condition in which they can only observe their previous estimates.
Practical implications
Managing portfolios in the face of price disturbances of different magnitudes is informed by empirical studies and their implications for investor behavior.
Originality/value
This is the first study the authors can locate that uses market data with alternative rebalancing heuristics to estimate price returns from the respective heuristics over a time interval of 40 years. The authors support the results with sensitivity estimates and consider implications for the underlying agent heuristics in light of background studies.
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Although the effects of both news sentiment and expectations on price in financial markets have now been extensively demonstrated, the jointness that these predictors can have in…
Abstract
Purpose
Although the effects of both news sentiment and expectations on price in financial markets have now been extensively demonstrated, the jointness that these predictors can have in their effects on price has not been well-defined. Investigating causal ordering in their effects on price can further our understanding of both direct and indirect effects in their relationship to market price.
Design/methodology/approach
We use autoregressive distributed lag (ARDL) methodology to examine the relationship between agent expectations and news sentiment in predicting price in a financial market. The ARDL estimation is supplemented by Grainger causality testing.
Findings
In the ARDL models we implement, measures of expectations and news sentiment and their lags were confirmed to be significantly related to market price in separate estimates. Our results further indicate that in models of relationships between these predictors, news sentiment is a significant predictor of agent expectations, but agent expectations are not significant predictors of news sentiment. Granger-causality estimates confirmed the causal inferences from ARDL results.
Research limitations/implications
Taken together, the results extend our understanding of the dynamics of expectations and sentiment as exogenous information sources that relate to price in financial markets. They suggest that the extensively cited predictor of news sentiment can have both a direct effect on market price and an indirect effect on price through agent expectations.
Practical implications
Even traditional financial management firms now commonly track behavioral measures of expectations and market sentiment. More complete understanding of the relationship between these predictors of market price can further their representation in predictive models.
Originality/value
This article extends the frequently reported bivariate relationship of expectations and sentiment to market price to examine jointness in the relationship between these variables in predicting price. Inference from ARDL estimates is supported by Grainger-causality estimates.
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Steven D. Silver, Lisa Troyer and Bernard P. Cohen
We present an analysis of the effects of status on the information that members of an inter-organizational team contributed in decision-making meetings. Our analysis shows that…
Abstract
We present an analysis of the effects of status on the information that members of an inter-organizational team contributed in decision-making meetings. Our analysis shows that the amount and content of members' participation was systematically related to their status in the group. More specifically, team members who occupied managerial levels in their respective organizations contributed ideas and opinions (as well as other information types) at higher rates than those not holding such higher status positions in their organizations. This bias occurred even though team members agreed that abilities related to managerial level were not relevant to the decision-making task. What is particularly striking about these findings is that the members of this team had participated in team building training prior to embarking on the decision-making task, and reported a high concern for and commitment to equal participation in the decision-making task. Our results clearly demonstrate the ubiquitous effects of social status on participation in teams, even when: (1) the basis for status is not necessarily relevant to the group's objective, and (2) team members have explicit awareness of such status processes and are committed to overcoming them. These results along with the conceptual framework we elaborate suggest that team building training alone may not be sufficient to overcome the powerful and often detrimental effects of status processes on effective decision making. We discuss alternatives and supplements to team building training that may increase the advantages and effectiveness of teamwork in organizations.
The purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the…
Abstract
Purpose
The purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the Chinese market.
Design/methodology/approach
By using a GARCH model with a generalized error distribution (GED), this study specifies that the gold (or silver) return is a function of a set of economic and uncertainty variables, which include volatility from interest rate innovation, a change in economic policy uncertainty (EPU), a change in geopolitical risk (GPR) and volatility due to pandemic diseases, while controlling for stock market returns, inflation rates, economic growth and the Chinese currency value.
Findings
This study employs monthly data of gold and silver prices over the period from January 2002 to August 2021 to examine hedging behavior. Estimated results show that the gold return is positively correlated to the stock return and a rise in uncertainty from economic policy innovation, geopolitical risk, volatility due to US interest rate innovation as well as COVID-19 infection. This result suggests that gold cannot be used to hedge against a stock market decline, but can be used to hedge against uncertainty in general. However, the silver return only responds positively to a rise in uncertainty from the inflation rate and geopolitical risk. Evidence shows that silver returns are negatively correlated with stock returns, and display hedging characteristics. However, the evidence lacks statistically significance during the COVID-19 period, suggesting that the role of silver as a safe-haven asset against stock market turmoil is weak for this time period.
Research limitations/implications
More general nonlinear specifications can be developed. The tests may include different measures of uncertainty that interact with each other or with the lagged error terms. An implication of the model is that gold can be used to hedge against a broad range of uncertainties for economic policy change, political risk and/or a pandemic. However, the use of gold as an asset to hedge against a stock downturn in Chinese market should be done with caution.
Practical implications
This study has important policy implications as regards a choice in assets in formatting a portfolio to hedge against uncertainty. Specifically, this study presents empirical evidence on gold and silver return behavior and finds that gold returns respond positively to heightened uncertainty. Thus, gold is a good asset to hedge against uncertainty arising from policy innovations and infectious disease uncertainty.
Social implications
This paper provides insightful information on the choice of assets toward hedging against risk in the uncertainty market conditions. It provides information to investors and policy makers to use gold price movements as a signal for detecting the arrival of uncertainty. This study also provides information for demanding a risk premium for infectious disease.
Originality/value
This study empirically analyzes and verifies the role that gold serves as a safe haven asset to hedge against uncertainty in the Chinese market. This paper contributes to the literature by presenting evidence of risk/uncertainty premiums for holding gold against various sources of uncertainty such as economic policy uncertainty, geopolitical risk and equity market volatility due to US interest rate innovation and/or COVID-19. This study finds evidence that supports the use of a nonlinear specification, which demonstrates the interaction of uncertainty with the lagged change of infectious disease and helps to explain the gold/silver return behavior. Further, evidence shows that the gold return is positively correlated to the stock return. This finding contrasts with evidence in the US market. However, silver returns are negatively correlated with stock returns, but this correlation becomes insignificant during the period of COVID-19.
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Chris Rhomberg and Steven Lopez
After decades of declining strike rates in the industrialized world, recent years have seen a surge of militant walkouts in the global South, political strikes in Europe, and…
Abstract
After decades of declining strike rates in the industrialized world, recent years have seen a surge of militant walkouts in the global South, political strikes in Europe, and unconventional strikes in nonunion sectors in the United States. This new diversity of strike action calls for a new theoretical framework. In this paper, we review the historical strengths and limits of traditions of strike theory in the United States. Building on the emerging power resources approach, we propose a model based on a multidimensional view of associational power, power resources, and arenas of conflict in the economy, state, and civil society. We demonstrate the utility of our approach via a case analysis of strikes in the “Fight for $15” campaign in the United States.
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Investigates the differences in protocols between arbitral tribunals and courts, with particular emphasis on US, Greek and English law. Gives examples of each country and its way…
Abstract
Investigates the differences in protocols between arbitral tribunals and courts, with particular emphasis on US, Greek and English law. Gives examples of each country and its way of using the law in specific circumstances, and shows the variations therein. Sums up that arbitration is much the better way to gok as it avoids delays and expenses, plus the vexation/frustration of normal litigation. Concludes that the US and Greek constitutions and common law tradition in England appear to allow involved parties to choose their own judge, who can thus be an arbitrator. Discusses e‐commerce and speculates on this for the future.
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Competition is a prominent topic of discussion among academics and practitioners; yet the relevant literatures in management and psychology lack a consistent definition to…
Abstract
Competition is a prominent topic of discussion among academics and practitioners; yet the relevant literatures in management and psychology lack a consistent definition to describe this phenomenon. Consequently, much of the mixed results concerning competition's impact on attitudes and performance might be due to conceptual differences about the construct. A survey administered in a laboratory setting demonstrated individuals perceive different types of competition, and these different types had different impacts on attitudes and behavior. One type of competition identified here, the opportunity for informal competition, draws from a vast literature in social psychology—using social comparisons to evaluate performance. These results support broadening the definition of competition and expanding future research investigation efforts. Informal social competition can potentially benefit efforts to effectively direct and enhance motivation.
There is very likely a place in your library that is far outside your control as a collection development librarian. From all appearances, the materials in this place are…
Abstract
There is very likely a place in your library that is far outside your control as a collection development librarian. From all appearances, the materials in this place are relatively unused, contain a great deal of obsolete or ephemeral material in need of weeding, and worst of all are probably growing in such an unchecked manner that they may outnumber the volumes in your monograph collection. The librarians that work there may even seem a little different—discussing agencies of the federal government with startling familiarity and incomprehensible glee. This place, of course, is your government publications department.
Noah Askin and Joeri Mol
Since the arrival of mass production, commodification has been plaguing markets – none more so than that for music. By separating production and consumption in space and time…
Abstract
Since the arrival of mass production, commodification has been plaguing markets – none more so than that for music. By separating production and consumption in space and time, commodification challenges the very conditions underlying economic exchange. This chapter explores authenticity as the institutional response to the commodification of music, rekindling the relationship between isolated market participants in the increasingly digitized world of music. Building upon the “Production of Culture” perspective, we unpack the commodification of music across five different institutional realms – (1) production, (2) consumption, (3) selection, (4) appropriation, and (5) classification – and provide a thoroughly relational account of authenticity as an institutional practice.
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