Binam Ghimire
@rgu.ac.uk
Associate Professor, Accounting and Finance, Aberdeen Business School
Robert Gordon University
RESEARCH, TEACHING, or OTHER INTERESTS
Economics, Econometrics and Finance, Renewable Energy, Sustainability and the Environment, Modeling and Simulation, Pollution
Scopus Publications
Scholar Citations
Scholar h-index
Scholar i10-index
Scopus Publications
Binam Ghimire, Callum Reveley, Savva Shanaev, and Humnath Panta
Poznan University of Economics
This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling and applies it to investigate herding patterns in analyst target prices in 2008-2020 in the UK. Analysts robustly herd in their valuations, with results consistent across years, sectors, in panel fixed effect, quantile, instrumental variable regressions, and when controlled for optimism and conservatism. Herding becomes prominent for stocks followed by at least five analysts and towards the long sides of Fama-French sorts, reinforcing its non-spurious and behavioral nature. Analyst herd more strongly subject to low volatility and uncertainty.
Savva Shanaev and Binam Ghimire
Elsevier BV
Savva Shanaev and Binam Ghimire
Elsevier BV
Binam Ghimire, Savva Shanaev, and Zhibin Lin
Elsevier BV
Savva Shanaev and Binam Ghimire
Informa UK Limited
This study examines the dynamics of ten most notable stock market anomalies through 1926–2018 and assesses the joint impact of academic attention, post-publication decay, data-snooping bias, institutional trading, and time trend on their disappearance. It proposes new and simple measures of academic attention attracted by stock market anomalies using the number of articles published on the relevant topic available via Google Scholar or respective citation counts. The study finds that academic attention is the most dominant factor explaining the diminishing abnormal returns of anomaly-exploiting strategies. The approach developed by this study can also be useful in determining whether a stock return regularity is a behavioural anomaly or a systematic risk factor.
Savva Shanaev, Nikita Shimkus, Binam Ghimire, and Satish Sharma
Emerald
Purpose The purpose of this paper is to study LEGO sets as a potential alternative asset class. An exhaustive sample of 10,588 sets is used to generate inferences regarding long-term LEGO performance, its diversification benefits and return determinants. Design/methodology/approach LEGO set performance is studied in terms of equal- and value-weighted portfolios, sorts based on set characteristics and cross-sectional regressions. Findings Over 1966–2018, LEGO value-weighted index accounted for survivorship bias enjoys 1.20% inflation-adjusted return per annum, well below 5.54% for equities. However, the defensive properties of LEGO are considerable, as including 5%–25% of LEGO in a diversified portfolio is beneficial for investors with varying levels of risk aversion. LEGO secondary market is relatively internationalised, with investors from larger economies, countries with higher per capita incomes and less income inequality are shown to trade LEGO more actively. Practical implications LEGO investors derive non-pecuniary utility that is separable from their risk-return profile. LEGO is not exposed to any of the Fama-French factors, however, set-specific size and value effects are also well-pronounced on the LEGO market, with smaller sets and sets with lower price-to-piece ratio exhibiting higher yields. Older sets are also enjoying higher returns, demonstrating a liquidity effect. Originality/value This is the first study to investigate the investment properties of LEGO as an alternative asset class from micro- and macro-financial perspectives that overcomes many survivorship bias limitations prevalent in earlier research. LEGO trading is shown to be an important source of valuable data to enable original robustness checks for prominent theoretical concepts from asset pricing and behavioural finance literature.
Savva Shanaev, Satish Sharma, Binam Ghimire, and Arina Shuraeva
Elsevier BV
Savva Shanaev and Binam Ghimire
Elsevier BV
Janusz Brzeszczynski, Binam Ghimire, Tooraj Jamasb, and Graham McIntosh
International Association for Energy Economics (IAEE)
Energy and resource companies have a crucial role in achieving future sustainable economies. We investigate the performance of international Socially Responsible Investment (SRI) energy and resource companies on the stock market over a 10-year period (February 2005-January 2015). We select portfolios of established energy and resource stocks with substantial environmental and social responsibility activities. Our findings demonstrate that the annual average performance of the energy and resource SRI portfolio was superior to returns of different benchmark indices. The energy and resource SRI stock investments were also more profitable on the risk-adjusted basis. Additionally, we applied Fama-French and Carhart four factor models and found that the returns of our portfolios are more consistently explained by the market factor than by other factors. We also show that oil price has a statistically significant influence on the returns of the SRI energy and resource stocks. However, the performance of the energy and resource SRI portfolio was no longer superior when dividends were excluded from the calculation of total returns. Indeed, the performance of portfolios without dividends was poor compared to the benchmark indices in most sub-periods, in the sub-samples of bullish and bearish markets and in the full sample. This finding demonstrates the importance of dividends in the investment performance of the energy and resource SRI stocks.
RECENT SCHOLAR PUBLICATIONS
MOST CITED SCHOLAR PUBLICATIONS
Industry, Institute, or Organisation Collaboration
Qatar University