Ali M. Parhizgari

Organizational effectiveness indicators to support service quality

To survive in increasingly competitive markets, customer focused organizations are challenged to create and sustain long term loyal and supportive customers. To ensure long term service quality, organizations need to have quality focused internal structures and processes in place to support those on the front line who make or break the organization’s reputation with their customers. This paper introduces nine scientifically developed measures of internal structures and processes that are associated with service quality. These measures are applicable to organizations in a variety of industries in both the public and private sectors and can serve to benchmark “best in class” practices. They were developed from ratings obtained from 8,924 employees from over 100 organizations. When organizations provide supportive structures and processes for their front line employees, these employees are better able to provide top quality products and services to their external customers.

Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach

We examine the long memory of real estate investment trust (REIT) volatility in the mature REIT markets of Australia, Japan, the UK and the US, and propose a modified fractionally integrated (FIGARCH) model for forecasting at daily and weekly frequencies. Long memory of volatility occurs when the effects of volatility shocks persist over extended periods of time. Our results suggest that the appearance of long memory in REIT return series is due to a lack of adjustment for temporal changes in the unconditional mean of volatility. Based on our long memory results, we empirically test a modified FIGARCH model and show that it performs better at weekly and daily forecast horizons. Forecasting REIT series volatility has important implications for risk evaluation, portfolio optimisation and derivatives pricing.

Global market place and causality

Financial markets in recent years have become linked as never before due to the development of low-cost computer and communication technology and the deregulations which have led to the lessening of the frictions and barriers to international capital flows. Trading takes place continuously around the clock due to telephone and satellite links, and we are moving very fast toward the integration of the world markets. The investor in the stock market has truly become global. For example, pension funds have been investing record sums in foreign stocks-an estimated

In search of momentum profits: are they illusory?

120 billion in 1992 as compared to only

The boom and the lean times in global REITs: the 2000‐2008 period

10 billion in 1977. Deregulation and restructuring have made the world capital markets more liquid and efficient. However, Black Monday provided an early preview that, while the integration of the markets increase the investors’ flexibility and potential for diversification, integration could as well lead to a chain reaction of the markets that could bring the worlds markets down together. There is an axiom of parallelism which indicates that prices in the NYSE, London, etc. normally move in the same direction. But the remaining questions are the following: Does any one of these centers lead the others? Do the leaders get affected equally by the followers? A priori, there exists a high expectation of correlation among these markets. But correlation does not imply causation. Various aspects of linkages between international financial markets have been the subject of several studies since the early 1970s. Relevant to the theme of this papeG the main thrust of these studies may be categorized in the areas of “international” market:

Major Currency ETFs and Their Associated Spot and Futures Rates

We test whether a Genetic Algorithm (GA) can find profitable investment strategies based on prior stock returns and earnings surprises. We add to the argument whether momentum investing profits are a statistical illusion. The performance of the optimized momentum portfolios is evaluated before and after trading costs, during different time periods, over two market states, and after adjusting for risk. The GA optimization improves the annual returns of the momentum strategies by 2% to 6%. After considering transaction costs, both price and earnings momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely in the ‘up’ markets for a portfolio long in prior winners only.

Contemporaneous ADR Pricing: Intraday Dynamics during Overlapping Trading Hours

Purpose – The purpose of this paper is to consider two global real estate periods (2000‐2006 and 2007‐2008) that will probably be recorded in history as the most significant periods in terms of a surge and then an eventual downturn in the real estate prices and returns. The paper aims to offer investment strategies in the real estate sector and pinpoint the optimum momentum strategies that provide the maximum returns in the real estate investment trusts (REITs) markets of seven countries.Design/methodology/approach – Within an iterative framework, a two‐step procedure was employed. The first step drew upon an established momentum approach. The second step, however, departed from it and employed an evolutionary (genetic) algorithm to optimize the investment strategies that could be pursued.Findings – The findings suggest that momentum effects have been present during the 2000‐2008 periods. However, in contrast with prior studies, momentum portfolio returns are statistically insignificant during the boom ye...

The Dynamics and Competitiveness of European-Asian Trade Flows

To find a substitute vehicle for a direct investment in currencies, we study the behaviors of six major currency exchange-traded funds (ETFs) and their respective spot and futures markets prior to and during the financial crisis of 2008. Our findings indicate that currency ETFs are near-perfect substitutes for a direct investment in currencies. We observe statistically significant differences in market behavior from the non-crisis subperiod to the crisis subperiod. Notwithstanding these differences, the price discovery of both the spot and the futures currency markets relative to their associated ETFs is overwhelming, consistent, and, to a large extent, similar. Under more stable conditions, the spot and the futures currency markets possess more dominant informational positions relative to their corresponding ETF markets.

Latin American Debt-Equity Swaps

ABSTRACT We contribute to the literature by identifying and accurately measuring the drivers of American depositary receipt (ADR) returns contemporaneously across various global time zones. We consider ADRs as two inherently distinct asset classes – stocks and currencies – bundled into one. Throughout, we use a relatively refined, focused, and synchronized minute-by-minute data set on ADRs and all other variables. ADRs from all countries with regular trading hours that overlap with those of the US are considered individually and in clusters. We analyze the interplay of several factors that influence ADRs pricing patterns. Further, we investigate whether such patterns vary by currency, ADR, industry, and emerging/developed market classifications. Our findings indicate that synchronized returns on underlying shares comprise 68.5–74% of the explained returns in ADRs. The remaining 31.5–26% of returns are generated by movements in currency rates. These results are robust across the several models and estimation methods employed. Our findings also show persistent small price discrepancies between ADRs and dollar-adjusted underlying shares on a minute-by-minute basis, implying possible arbitrage opportunities. However, we conclude that trading and ADR conversion costs render such opportunities unattractive.

Measures of organizational effectiveness: private and public sector performance

This paper links the trade flows between Europe and Asia with the prevailing exchange rates and determines, via a simple model and without resolving the complex battery of economic models (explanations) currently available, the one- or the bi-directional relationship(s) that may exist between these two terminal variables.