Islamic Index vs Conventional Index: Is There Any Portfolio Diversification Benefit Between KMI 30, KSE 30 and KSE 100?

AbstractThe existing literature on the return to wine is mixed. Some studies have found wine to be an unattractive investment option and others have found wine to be an investment class that provides excess risk adjusted returns. However, provided the return to wine does not have a strong positive correlation with standard financial assets, even if the return to wine is low, it is possible that including wine in an investment portfolio will provide a diversification benefit. Here the repeat sales regression methodology is used to estimate the return to Australian wine, and the return is shown to be lower than for standard financial assets. Several measures are then used to show that despite the return to Australian wine being lower than the return to standard financial assets, wine does provide a modest diversification benefit. (JEL Classification: G11, G12)

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Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of price index

China Finance Review International ◽

10.1108/cfri-03-2016-0009 ◽

2017 ◽

Vol 7 (3) ◽

pp. 323-342

Author(s):

Fang Wang ◽

Xu Zheng

Keyword(s):

Regression Model ◽

Price Index ◽

Portfolio Diversification ◽

Hedonic Regression ◽

Oil Painting ◽

Content Type ◽

Oil Paintings ◽

Auction Houses ◽

Capm Model ◽

Diversification Benefit

Purpose The purpose of this paper is to construct a price index for Chinese oil paintings and analyze the financial performance of investing in Chinese oil paintings and its potential for portfolio diversification in Chinese financial markets. Design/methodology/approach A hedonic regression model is applied to construct a semiannual price index for Chinese oil paintings from 2000 to 2014. The CAPM model, downside β and standard portfolio optimization are used for analyzing portfolio diversification. Findings The hedonic regression shows that the majority of hedonic variables, such as dimension, artist’s reputation, living status, medium and auction houses, are statistically significant in estimation. Not only the return from oil painting investments is higher than other equities, but also the β coefficient of the CAPM model and downside β indicate that Chinese oil painting may be a good hedging instrument against stock market risk. Furthermore, the portfolio optimizations under standard assumptions suggest that oil paintings as an alternative investment provide diversification benefit. Originality/value This paper provides a new and comprehensive analysis of characteristics and risks of investing in the Chinese oil paintings.

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A Note on the Benefits of Aggregate Evaluation of Budget Proposals

Journal of Management Accounting Research ◽

10.2308/jmar-50559 ◽

2013 ◽

Vol 26 (1) ◽

pp. 145-164 ◽

Cited By ~ 3

Author(s):

Steven T. Schwartz ◽

Austin Sudbury ◽

Richard A. Young

Keyword(s):

Potential Benefit ◽

Management Control ◽

Comparative Statics ◽

Portfolio Diversification ◽

Control Problems ◽

Ex Ante ◽

Low Levels ◽

Individual Evaluation ◽

The Individual ◽

Diversification Benefit

ABSTRACT Budgeting admits significant management control problems due to information asymmetries within organizations. We extend the Antle, Bogetoft and Stark (1999) principal agent analysis of budgeting, performing comparative statics on the potential benefit of bundling projects. Bundling projects confers a type of diversification benefit similar to portfolio diversification. We find this benefit is maximized at intermediate levels of profitability. The rationale for this finding is that at high levels of profitability the control problem is trivial and at low levels of profitability individual evaluation is necessary to screen for only the most profitable projects. For similar reasons bundling is most beneficial at intermediate levels of slack potential. We further find that when bundling is strictly beneficial to the principal its benefit is decreasing in the correlation between the projects' profitability. The intuition for this finding is (positive) correlation diminishes the diversification benefit found with aggregation. Finally, we sketch a setting with heterogeneous projects that differ with respect to ex ante profitability. We demonstrate that the benefit of aggregation is decreasing in project heterogeneity. The intuition is that when projects are sufficiently heterogeneous the ability to tailor the contracts to the individual projects dominates the diversification benefits.

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