Research articles for the 2021-05-01

Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
Leung, Tim,Zhao, Theodore
We study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis. This is a multiscale noise-assisted approach that decomposes any time series into a number of intrinsic mode functions, along with the corresponding instantaneous amplitudes and instantaneous frequencies. The decomposition is adaptive to the time-varying volatility of each cryptocurrency price evolution. Different combinations of modes allow us to reconstruct the time series using components of different timescales. We then apply Hilbert spectral analysis to define and compute the instantaneous energy-frequency spectrum of each cryptocurrency to illustrate the properties of various timescales embedded in the original time series.

Boardroom Gender Diversity and Long-Term Firm Performance
Gupta, Parveen P.,Lam, Kevin C. K.,Sami, Heibatollah,Zhou, Haiyan
In this research study, we seek to examine whether US public companies with gender diverse boards report better long-term, non-financial and financial performance. Using observations from 2003 to 2012, we find that gender diversity on corporate boards has a more positive impact on a firm’s non-financial performance after controlling for the simultaneous effects of board characteristics. However, using the same model for financial performance, our findings are mixedâ€"a positive impact on accounting measure, no impact on market measures but mixed impact on Tobin’s Q. Our findings have policy implications for regulators globally seeking to mandate gender diversity in corporate boardrooms.

Chronological Return Ordering and the Cross-Section of International Stock Returns
Cakici, Nusret,Zaremba, Adam
Investors often focus their attention on recent information only, underestimating the relevance of information from the distant past. In consequence, the ordering of historical returns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. A value-weighted spread portfolio of global stocks that is formed on chronological return ordering earns 0.91% per month. The effect is distinctly robust and prevails among the biggest and most liquid companies. The mispricing is particularly strong in countries that are characterized by high individualism and shareholder protection. Furthermore, the return predictability is concentrated following down markets and periods of excessive volatility.

Pension Funds in Zimbabwe: A Guide for Contributors and Beneficiaries
Chivandire, Luckmore
Pensions is one of the most poignant subjects in Zimbabwe. A lot of people lost their lifetime savings between 2004 and 2009 without any recourse. As a result many Zimbabweans no longer trust pension funds at all. They view such institutions as instruments for milking their money. The issue has been exacerbated by the fact that little is being done to educate the general citizenry about this emotive topic. Financial literacy levels remain generally low. Consequently, pension fund trustees face a major challenge to ensure that people are adequately informed about various pension fund developments.Over the past few months, I have received various enquiries from members of the public who seek clarity on various pension issues. Some of the questions have been asked several times by different individuals, hence my decision to write this article. I have tried as much as possible to write in layman’s terms so that it becomes easy to understand. I have divided the article into some small sections.

Time Horizon, Saving Motive and Stock Market Participation
Bonaparte, Yosef
This paper shows that household’s saving motives influence key portfolio choice decision: stock market participation. We utilize a unique data set from the Survey of Consumer Finance (2019 and panel 2007-209), which report about 24 reasons for saving and group these intro 6 saving motive categories: durable, retirement, bequest, emergency, smooth and luxury. Our channel to identify how saving motives influence portfolio choice encompasses the time horizon, from the household’s view, about the planning time horizon to save. For instance, households place longer time horizon for bequest, retirement and consumption smoothing, while shorter time horizon for durable or luxury based saving motives. The longer the time horizon the greater: risk tolerance and stock market participation. Altogether, saving motive influences time horizon, which has implication on households’ portfolio choice.