Cross-listing effect of U.S. casino companies: Risk-adjusted performances

Koh, Yoon; Lee, Seoki

doi:10.1016/j.ijhm.2011.03.003

Cited by 3 publications

(2 citation statements)

References 22 publications

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“…In other words, VaR captures the tail end of the returns to the down side. In the paper of Koh and Lee (2011), the portfolio assessment is performed using other sets of performance measurement tools which are also known as the risk-adjusted performance measures.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance Analysis of Portfolio Optimisation Strategies: Evidence from the Exchange Market

Narsoo¹

2017

IJEF

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Portfolio allocation is embedded in many decisional tasks for ensuring best returns under the constraint of minimising risk. In this paper, we implement several strategies in order to generate a holistic assessment of portfolio evaluation. The study analyses the performance of an extended framework of the classical tangency and targeted portfolio strategies. The extension is essentially the use of the skewed student-t distribution for the individual assets" log-return. Our investigation is based on 15 currencies with US dollar as the base currency for the period spanning from 1999 to 2015. A comparative performance analysis between the portfolio optimization strategies is undertaken on the basis of various performance measures, namely the portfolio expected return, standard deviation, Beta coefficient, Sharpe Ratio, Jensen"s Alpha, Treynor ratio and Roy ratio. The portfolio VaR being perceived as one of the core metrics for risk management is also computed. It is actually proxied by 5 VaR estimates -the parametric Gaussian, the equally-weighted historical VaR, the bootstrapping historical VaR, the Monte-Carlo simulation VaR and the parametric GHD VaR. The results show that both tangency portfolios, with the Gaussian or the skewed student-t distribution perform best, particularly on the basis of highest Sharpe reward-to-variability ratio and lowest Value-at-Risk.

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Section: Literature Reviewmentioning

confidence: 99%

Performance Analysis of Portfolio Optimisation Strategies: Evidence from the Exchange Market

Narsoo¹

2017

IJEF

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“…The estimation reveals that cross‐listing Macao's casino stocks adversely affects their return volatility. The intended benefits from cross‐listing that are evident in other tourism jurisdictions are not achieved with Macao's casino stocks (Koh & Lee, ; Silva & Chavez, ). It is also found that smoking bans significantly decrease return volatility while helping to achieve the policy goal of improved health.…”

Section: Introductionmentioning

confidence: 99%

Institutional ownership and return volatility in the casino industry

Lin

Fung²,

Gu³

et al. 2017

Journal of Tourism Research

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Using a sample that covers all casino companies in Macao from March 2010 to June 2015, this paper investigates the impact of institutional investment on stock return volatility in the casino industry. The results suggest that higher institutional ownership is conducive to lower return volatility on Macao casino stocks. Such volatility also hinges on policy shifts, such as China's anti‐corruption campaign, in tourist source communities. In addition, the estimation reveals that both smoking bans and business size significantly decrease return volatility, whereas cross‐listing increases return volatility significantly.

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