Purpose: Recent literature suggests that sin firms (firms in tobacco, gambling and alcohol industries) have lower institutional ownership, fewer analysts following, higher abnormal returns and higher financial reporting quality. This study aims to investigate empirically how sin firms engage in...

Copulas provide investors with tools to model the dependence structure of financial products. The choice of copulas plays an important role in successful copula applications. This paper discusses the copula selection problem for the so-called 'D-vine' decomposition from a perspective of the...

The performance of dichotomous and polytomous IRT models in equating testlet-based tests was compared in this study.To clarify the conditions under which dichotomous and polytomous item response models produce differing results, the DIMTEST program was used for testing essential...

Urban national parks were designed in the 1970s to bring nature and recreational opportunities to socio-economically disadvantaged communities in the USA. Using the theoretical frame of environmental justice, this paper discusses findings of a recent survey of visitors to Los Angeles' Santa...

Capital acquisition is one of the most challenging and important issues facing small firms. This paper examines issues related to the acquisition of capital by niche agricultural producers. Niche agricultural producers face greater capital acquisition challenges than traditional small firms...

This paper illustrates application of Bayesian inference to quantile regression. Bayesian inference regards unknown parameters as random variables, and we describe an MCMC algorithm to estimate the posterior densities of quantile regression parameters. Parameter uncertainty is taken into account...

This paper discusses the application of an index tracking technique to mutual fund replication problems. By using a tracking error (TE) minimization method and two tactical rebalancing strategies (i.e. the calendar based strategy and the tolerance triggered strategy), a multi-period fund...

In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the...

This paper proposes a clustering asset allocation scheme which provides better risk-adjusted portfolio performance than those obtained from traditional asset allocation approaches such as the equal weight strategy and the Markowitz minimum variance allocation. The clustering criterion used,...