Management Forecasts, Idiosyncratic Risk, and the Information Environment

Kitagawa, Norio; Okuda, Shin'ya

doi:10.1016/j.intacc.2016.10.002

Cited by 19 publications

(12 citation statements)

References 54 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The idiosyncratic risk of return is the same as abnormal returns. That is the difference between the realized return and the expected one.8 The RMSE (Root-Mean-Square Error) can be used as the standard deviation of residuals or as a measure of uncertainty(Kitagawa & Okuda, 2013).…”

mentioning

confidence: 99%

Effects of asymmetric information on market timing in the mutual fund industry

Tchamyou

Asongu

Nwachukwu

2018

IJMF

View full text Add to dashboard Cite

Purpose The purpose of this paper is to investigate the effects of information asymmetry (between the realized return and the expected return) on market timing in the mutual fund industry. Design/methodology/approach For the purpose, the authors use a panel of 1,488 active open-end mutual funds for the period 2004-2013. The authors use fund-specific time-dynamic betas. The information asymmetry is measured as the standard deviation of idiosyncratic risk. The data set is decomposed into five market fundamentals in order to emphasis the policy implications of the findings with respect to: equity, fixed income, allocation, alternative, and tax-preferred mutual funds. The empirical evidence is based on endogeneity-robust difference and system generalized method of moments. Findings The following findings are established. First, the information asymmetry broadly follows the same trend as volatility, with a higher sensitivity to market risk exposure. Second, fund managers tend to raise (cutback) their risk exposure in time of high (low) market liquidity. Third, there is evidence of convergence in equity funds. The authors may, therefore, infer that equity funds with lower market risk exposure are catching-up with their counterparts with higher exposure to fluctuation in market conditions. Originality/value The paper complements the sparse literature on market timing in the mutual fund industry with time-dynamic betas, information asymmetry and an endogeneity-robust empirical approach.

show abstract

mentioning

confidence: 99%

Effects of asymmetric information on market timing in the mutual fund industry

Tchamyou

Asongu

Nwachukwu

2018

IJMF

View full text Add to dashboard Cite

show abstract

“…The general idea lying behind this study is that «information from the social environment regard-ing the MAI, following forecasts errors and the risk of idiosyncratic situations can represent important sources of knowledge» (Kitagawa and Okuda, 2016, p. 487). Consequently, the value of idiosyncratic and non-idiosyncratic (potentially synergic) MAI trends have been taken into account here as well as in other studies focusing on consequences of forecasting errors (Ota, 2010;Kitagawa & Okuda, 2016). RBT studies on organizations' commitment (Helfat and Lieberman, 2002), timing (Zott, 2003), and managerial capabilities focused on different sources of knowledge creation (Teece, Pisano and Shuen, 1997).…”

Section: Theoretical Frameworkmentioning

confidence: 99%

The Hidden Turning Points of the Mediterranean Diet: A Tool for Health and Agro-Food Policies. Rating Out of Fifty Years, and 22 Countries

et al. 2019

View full text Add to dashboard Cite

The purpose of this study is to develop a method to identify the radical changes in the Mediterranean adequacy index (MAI) trend for monitoring and modifying food and prevention policies. The development of a statistical solver demonstrates that the evolution of the MAI over time (1961-2013) in the EU countries, the USA and Japan is at least bi-parted. In most countries, often two successive conflicting tendencies emerge, whose intersection is signaled by a turning point. The framework of the “knowledge-based view” can help determine whether or not the slopes of the new trend are idiosyncratic with WHO objectives to prevent chronic diseases. Sustainably fighting against the rise in coronary heart disease (CHD) requires to incentive both demand and supply of food products Mediterranean-intensive, revealing by solver use the MAI hidden turning-points . This study allows policymakers to improve their planning, prevention and monitoring capabilities through more exact projections concerning both Mediterranean food markets and emerging CHD risks.

show abstract

“…The above mentioned discussion of the literatures follows two approaches. The first approach estimates bank risk that was linked with market risks, association between uncertainty and financial intermediaries, the effects of these shocks to the economy of the country, and also time-dynamic uncertainty globalization in the financial institutions (Holod et al, 2017;Valencia, 2017;Asongu et al, 2017;Kitagawa & Okuda, 2016;Bekaert et al, 2013). Whereas, the second approach estimates the relationship between financial development, economic growth, and energy consumption by using the conventional unit root test, cointegration and causality tests (Rizwan-ul Hassan et al, 2017;Javid & Sharif, 2016;Komal & Abbas, 2015;Kakar et al, 2011;Abbasi & Riaz, 2016;Gokmenoglu et al, 2015;Shahbaz et al, 2008;Shahbaz & Rahman, 2012).…”

Section: South Asian Journal Of Management Sciencesmentioning

confidence: 99%

“…The findings of this research study showed that shocks in the financial institutions have a significant and adverse impact on the different outcomes of the economy and also that these shocks are key sources of the fluctuations in the business cycles since after the year 1980. Kitagawa and Okuda (2016) examined the forecasting in the management, idiosyncratic risk as well as environment of the information due to the fact that management forecast are considered to be a key source of the information in the stock market of Japan. The authors in this research study had utilized an error of management forecast as a proxy variable for the quality of disclosure as well as idiosyncratic risk.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Forecasting Uncertainty and Risk of Financial Development in Pakistan: Fan Chart Approach

Khan¹

2018

SAJMS

View full text Add to dashboard Cite

This study is conducted to forecast the components of financial development of Pakistan for the period of 2016 to 2025. These components include M2, DCP, DCPB, and MC. Originally, 36 years' time series data taken from 1980 to 2015. The present study is very much different in that it uses a newly developed technique that is Fan chart. It is used to forecast with given level of uncertainty. Risk information of upside and downside is another feature of fan chart approach. The results of M2 indicate that, downside risk at the start of forecasting in the year of 2016 initially, but after that it will start upside risk in the reaming period of 2017 to highest value in 2025. This shows that, chances of increase in value of M2 in the upcoming forecasted period. On the other side forecasted value of DCP will have an upside risk during the all period. Whereas, value of DCPB indicates a downside risk in the all forecasted period of 2016 to 2025. At the same time, value of MC has a downside risk in the all-time period. On the basis of these findings, it is recommended to policy makers to keep a diligent eye on risk uncertainty. Downside risk is an alarming situation in the coming years or the uncertainty around to the extent of that change. Upside risk should also be considered by the policy maker to make better decisions.

show abstract

Management Forecasts, Idiosyncratic Risk, and the Information Environment

Cited by 19 publications

References 54 publications

Effects of asymmetric information on market timing in the mutual fund industry

Effects of asymmetric information on market timing in the mutual fund industry

The Hidden Turning Points of the Mediterranean Diet: A Tool for Health and Agro-Food Policies. Rating Out of Fifty Years, and 22 Countries

Forecasting Uncertainty and Risk of Financial Development in Pakistan: Fan Chart Approach

Contact Info

Product

Resources

About