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1
Rezaee, Zabihollah, Phil Malone, and Ghassem Homaifar. "An Assessment Of Event Study Methodologies Using Daily Stock Returns." Journal of Applied Business Research (JABR) 8, no. 1 (October 18, 2011): 78. http://dx.doi.org/10.19030/jabr.v8i1.6186.
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This paper examines Multinational Stock Price reactions to foreign currency translation, using three alternative residual methodologies. The results reveal that when a crude measure such as Mean Adjusted Return, which makes not explicit risk adjustments is used, the null hypothesis of zero abnormal return is rejected in three out of six events. However, market and risk adjusted residual returns reveal that the null hypothesis of zero abnormal return cannot be rejected.
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Kipp, Martin, and Christian Koziol. "Which is the Correct Discount Rate? Arithmetic Versus Geometric Mean." Credit and Capital Markets – Kredit und Kapital: Volume 53, Issue 3 53, no. 3 (September 1, 2020): 355–81. http://dx.doi.org/10.3790/ccm.53.3.355.
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The paper revisits the two major concepts for average historical returns, i. e., the arithmetic mean and the geometric mean, in order to clarify which approach must be used for which application. Conducting a rigorous derivation with a geometric Brownian motion, we can explain that the appropriate discount rate refers to the mean discrete return and, therefore, to the arithmetic mean rather than the often wrongly applied geometric mean. Likewise, the prominent CAPM relationship between the expected asset return and the expected market return is only valid for the arithmetic mean rather than the geometric mean. Using historical data for the German stock index, we illustrate that an inconsistent application can cause severe deviations from the meaningful ex-ante expected performance of an asset, the true discount rate, the true CAPM risk-adjusted return, and the intended performance scenarios of packaged retail and insurance-based investment products (PRIIPs) within the key information documents (KIDs).
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Brobert, Gustav. "The global REIT market: initial-day performance of IPOs." Journal of European Real Estate Research 9, no. 3 (November 7, 2016): 231–49. http://dx.doi.org/10.1108/jerer-03-2016-0015.
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Purpose This paper aims to investigate whether real estate investment trust (REIT) initial public offerings (IPOs) are exposed to abnormal initial-day performance. Previous studies have predominantly focused on REITs listed in the USA and Australia, only a few studies have utilised a multi-country approach and only one study has used a multi-region approach. This paper adds to the literature by, for a global sample, analysing variables proven important in explaining REIT IPO performance but never used in a global sample before by extending the investigation of initial-day return patterns for new REIT types and by offering the first insights from emerging REIT markets. Design/methodology/approach Initial-day raw and abnormal returns were calculated for a sample of 445 IPOs in 26 countries over the period from 1996 to 2014. The returns were partitioned according to a select set of themes and multiple regression analysis was used to isolate the relationship between the explanatory factors and underpricing. Findings For the sample as a whole, the mean initial-day raw return is 3.94 per cent and the mean market-adjusted initial-day return is 4.01 per cent. Even though the initial-day return for a REIT IPO typically is positive, negative mean returns are observed for a few countries and during certain years. Investors should note that for European markets, new property type exhibited a robust positive association with abnormal return, and underwriter reputation exhibited a robust negative relationship with abnormal return. Originality/value This paper fulfils the need to test important concepts on global REIT IPO markets.
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Fauzi, Fitriya, Dani Foo, and Abdul Basyith. "Islamic Bond Announcement: Is There Any Effect on Returns?" Global Business Review 18, no. 2 (March 16, 2017): 327–47. http://dx.doi.org/10.1177/0972150916668602.
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This article investigates the effect of Islamic debt announcement on stock returns. Using data from 80 Malaysian firms and 20 Indonesian firms, which span from 2000 to 2009, an event study analysis is employed in this study; hence, the data of the daily closing stock prices for 2 years prior and 1 year after the announcement date are required in order to calculate the abnormal return using the abnormal return benchmark (mean adjusted return, market adjusted return and market model return). The findings for the event study analysis, using three benchmarks, reveal that there is a negative and significant impact for both average abnormal returns (AAR) and cumulative average abnormal returns (CAAR) for Malaysia. In contrast to the findings for Malaysia, the impact of Islamic debt announcement, using three benchmarks, is positive and significant for both AAR and CAAR for Indonesia. The unit root test result for Malaysia indicates that the market is efficient in the context of weak form efficiency, which suggests that the price movements are unpredictable. In contrast to Malaysia, the unit root test result for Indonesia indicates that the market is inefficient in the context of weak form efficiency, which suggests that the price movements are predictable.
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Adnan, ATM, and Md Mahadi Hasan. "The Emergence of Covid-19 and Capital Market Reaction: An Emerging Market Scenario Analysis." Asian Academy of Management Journal of Accounting and Finance 17, no. 1 (June 30, 2021): 35–62. http://dx.doi.org/10.21315/aamjaf2021.17.1.2.
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This paper investigates the capital market reaction to the first detection of the COVID-19 in Bangladesh. Using a sample of 314 listed firms in Dhaka stock Exchange (DSE), this study employed the event study methodology (ESM) to find any abnormal return (AR) associated to the first COVID-19 detection announcement. Three different return models namely mean-adjusted return, market-adjusted return and market model have been used to calculate the abnormal return and test the statistical significance using both parametric crude dependence and standardised cross-sectional T test along with non-parametric generalised sign-test and Corrado rank-test. The findings suggest that, despite the perceived weak market efficiency, the announcement of the first COVID-19 detection has a significant negative impact on overall market return on the event day. Additionally, the result exhibits the indifferent market reaction of different industry segments such as manufacturing, service, financial, non-financial, pharmaceuticals and IT and telecommunication sectors. The results would be useful for investors, industrial and financial analysts in accessing volatile systemic risk and building an optimal portfolio to solve the pandemic dilemma effectively.
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Munusamy, Dharani. "Islamic calendar and stock market behaviour in India." International Journal of Social Economics 45, no. 11 (November 5, 2018): 1550–66. http://dx.doi.org/10.1108/ijse-09-2017-0404.
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Purpose The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the Islamic calendar. Further, the study estimates the risk-adjusted returns to test the performance of the indices during the Ramadan and non-Ramadan days. Finally, the study investigates the impact of Ramadan on the returns and the volatility of the stock market indices in India. Design/methodology/approach Initially, the study applies the Ordinary Least Square method to test the day-of-the-week and the month-of-the-year effect of the common and Shariah indices. Next, the study employs the risk-adjusted measurement to examine the underperformance and over-performance of the indices for both the periods. Finally, the study estimates the GARCH (1,1) and GJR-GARCH (1,1) models to observe the impact of Ramadan on the returns and the volatility of the Shariah indices in India. Findings The study finds that an average return of the indices during the Ramadan days are higher than non-Ramadan days. Further, the average returns of the Shariah indices are significantly higher on Wednesday than other days of the week. In addition, the highest and significant mean returns and mean risk-adjusted returns of the indices during the Ramadan days are observed. Finally, the study finds an evidence of the Ramadan effect on the returns and volatility of the indices in India. Originality/value The study observes evidence that the Ramadan effect influences the Shariah indices, but not the common indices in the stock market of the non-Muslim countries. It indicates that the Ramadan creates the positive mood and emotions in the investors buying and selling activities. The study suggests that investors can buy the shares before Ramadan period and sell them during the Ramadan days to get an abnormal return in the emerging markets.
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Posedel Šimović, Petra, and Azra Tafro. "Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model." Mathematics 9, no. 17 (August 25, 2021): 2038. http://dx.doi.org/10.3390/math9172038.
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Investors’ decisions on capital markets depend on their anticipation and preferences about risk, and volatility is one of the most common measures of risk. This paper proposes a method of estimating the market price of volatility risk by incorporating both conditional heteroscedasticity and nonlinear effects in market returns, while accounting for asymmetric shocks. We develop a model that allows dynamic risk premiums for the underlying asset and for the volatility of the asset under the physical measure. Specifically, a nonlinear in mean time series model combining the asymmetric autoregressive conditional heteroscedastic model with leverage (NGARCH) is adapted for modeling return dynamics. The local risk-neutral valuation relationship is used to model investors’ preferences of volatility risk. The transition probabilities governing the evolution of the price of the underlying asset are adjusted for investors’ attitude towards risk, presenting the asset returns as a function of the risk premium. Numerical studies on asset return data show the significance of market shocks and levels of asymmetry in pricing the volatility risk. Estimated premiums could be used in option pricing models, turning options markets into volatility trading markets, and in measuring reactions to market shocks.
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Korteweg, Arthur. "Risk Adjustment in Private Equity Returns." Annual Review of Financial Economics 11, no. 1 (December 26, 2019): 131–52. http://dx.doi.org/10.1146/annurev-financial-110118-123057.
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This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for fund-level, deal-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source. The weight of evidence suggests that, relative to a similarly risky investment in the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the millennium, but net-of-fee returns have been zero or even negative since. Average leveraged buyout (BO) investments have generally earned positive risk-adjusted returns both before and after fees, compared with a levered stock portfolio. Based on an expanded set of risk factors from the literature, VC resembles a small-growth investment, while BO loads mostly on value. I also discuss the empirical evidence on liquidity and idiosyncratic volatility risks.
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Dharani, M. "Equanimity of Risk and Return Relationship between Shariah Index and General Index in India." Journal of Economics and Behavioral Studies 2, no. 5 (May 15, 2011): 213–22. http://dx.doi.org/10.22610/jebs.v2i5.239.
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The present study empirically examines the risk and return of the Nifty Shariah index and Nifty index during the period 2nd January 2007 to 31st December 2010. The sample period is further divided into bull market period and bear market period based on the movement of the both indices during the study period. The objective of the study is to analyse the performance of the Islamic index and common index and to test whether any significant difference between both indices in India. Based on the previous studies, the present paper employs Risk adjusted measurement such as Sharpe index, Treynor Index and Jensen alpha. The t- test is used to test the mean returns difference between both indices. The study found that Nifty Shariah has been underperformed during the sample and sub sample period. According to ttest, the mean difference between both indices has not been significant which reveals both are consistent. The risk adjusted returns for the both indices reveals that both were underperforming with respect to risk free rate of return. The study has also disclosed the low volatile nature of Nifty Shariah than Nifty index. Finally, the study concludes that Nifty Shariah and Nifty indices in India are performing in a similar manner.
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Rahmawati, Meita, and Iwan Efriandy. "Reaksi Investor Pasca Pengumuman Unsuspensi (Studi Pada Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2017)." JURNAL MANAJEMEN DAN BISNIS SRIWIJAYA 16, no. 4 (April 28, 2019): 265–73. http://dx.doi.org/10.29259/jmbs.v16i4.7671.
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Tujuan: Penelitian ini adalah menguji secara empiris reaksi investor pasca pengumuman unsuspensi saham dengan melihat abnormal return sebelum pengumuman suspensi dan setelah pengumuman unsuspensi.Metode: Penelitian ini merupakan studi peristiwa (event study), dengan menggunakan periode estimasi selama 100 hari dan periode jendela selama 6 hari yaitu 3 hari sebelum pengumuman suspensi, dan 3 hari pasca pengumuman unsuspensi. Hasil: Uji statistik menunjukkan bahwa pengumuman unsuspensi saham dengan melihat semua penyebab suspensi dan berdasarkan penyebab kenaikan harga saham yang signifikan, berpengaruh terhadap reaksi investor, yang ditunjukkan dari adanya perbedaan nilai rata-rata abnormal return saham yang signifikan secara statistik antara sebelum dan setelah pengumuman. Sedangkan untuk pengumuman unsuspensi saham akibat adanya informasi penundaan kewajiban emiten, tidak berpengaruh terhadap reaksi investor. Peneliti menggunakan model sesuaian rerata (mean-adjusted model), untuk mengestimasi return normal/return ekspektasian, penelitian selanjutnya dapat mempertimbangkan hal-hal berikut: menggunakan model pasar (market model), dan model sesuaian pasar (marked adjusted model), untuk mengestimasi return ekspektasian, memperbesar sampel dan memperpendek periode pengamatan.Kata Kunci: Studi Peristiwa, Unsuspensi, Reaksi Investor, Abnormal return
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Perera, Upeksha, Rohana Dissanayake, and Mangalika Jayasundara. "Assessing the Impact of S&P SL20 Index Construction on Listed Companies in Colombo Stock Exchange (CSE)." International Journal of Economics and Finance 8, no. 7 (June 23, 2016): 159. http://dx.doi.org/10.5539/ijef.v8n7p159.
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<p>A stock market index is designed to measure the performance of value of a set of stocks. The set of stock can be entire market of a particular country or a sector. Indices can be used not only to see how the stock market, for instance, has changed over time, but it allows easy comparison between stocks that represent different sectors or even different stocks. An index construction or rebalancing of existing index is a major market event that investor might know before the event take place. The index inclusion reflects a positive situation about the quality, risks and possible future return of the stock. This study examine whether any price and trading volume effects arise from S&P SL 20 index construction. S&P SL 20 index was launched in 26, June 2012, based on 20 blue chip companies in Sri Lanka. The current study employs the standard event study methodology to identify the abnormal returns associated with the launching of the S&P SL 20 index. Three normal return benchmarks, namely the market-adjusted model, mean-adjusted model and the market model have been used for the purpose of finding abnormal returns. Price series and volumes of stocks in S&P SL 20 list (after and before) were considered and those are retrieved from Colombo stock exchange.</p><p>The study finds that the abnormal returns following the launch of the S&P SL 20 index is statistically insignificant.</p>
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Demirer, Riza, Asli Yuksel, and Aydin Yuksel. "On the hedging benefits of REITs: The role of risk aversion and market states." Economics and Business Letters 10, no. 2 (May 31, 2021): 126–32. http://dx.doi.org/10.17811/ebl.10.2.2021.126-132.
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We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.
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Sajid Nazir, Mian, Hassan Younus, Ahmad Kaleem, and Zeshan Anwar. "Impact of political events on stock market returns: empirical evidence from Pakistan." Journal of Economic and Administrative Sciences 30, no. 1 (May 13, 2014): 60–78. http://dx.doi.org/10.1108/jeas-03-2013-0011.
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Purpose – The purpose of this paper is to investigate the relationship between uncertain political events and Pakistani Stock Markets from May 1999 to December 2011. Design/methodology/approach – Using the mean-adjusted return model and event study methodology and by comparing the market efficiency between the two government style, i.e. autocratic and democratic, the authors determined that how uncertain political events are affecting Pakistani Stock Markets. Findings – The empirical result shows that political events have an impact on the Karachi Stock Exchange (KSE) returns. Moreover, the paper derives from the results that the KSE is inefficient for a short span of time, after 15 days KSE absorbs the noisy information. The political situation in Pakistan was more stable in autocratic government structure than in democratic structure but it is difficult to state that the stock markets are more efficient in Autocracy because only few events took place during an autocratic regime and magnitude of events was not same in the autocratic and democratic government structure. Originality/value – This study is unique in its nature as it examines the effect of multiple political events on stock market returns in Pakistan simultaneously and is expected to contribute significantly in the capital market literature of Pakistan in particular.
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Singh, Jaspal, and Kiranpreet Kaur. "Examining the relevance of Graham's criteria in Indian stock market." Journal of Advances in Management Research 11, no. 3 (October 28, 2014): 273–89. http://dx.doi.org/10.1108/jamr-10-2013-0058.
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Purpose – The purpose of this paper is to examine the applicability of stock selection criteria of Benjamin Graham in Indian capital market to determine which rules specifically can help the investors to augment their return on investment. Design/methodology/approach – The independent sample t-test has been employed to examine the stock return differences among the companies which fulfill maximum number of the criteria and the companies fulfilling minimal number. The significance of the excess returns yielded by the criteria is assessed through one sample t-statistics. Further, the applicability of each and every criterion is examined using pooled OLS regression analysis. Findings – The mean market adjusted returns of the companies which fulfill maximum number of the criteria are significantly different from the companies which fulfill minimal number. The companies those are able to fulfill at least any five criteria, yield excess returns to the investors. However, regression analysis makes it evident that all the criteria are not applicable in present economic environment. Research limitations/implications – The study recommends that an investor should give due importance to variables mainly high earnings yield, discount to tangible book value and net current asset value, lower leverage and stability in earnings in order to screen value maximizing securities. Originality/value – This paper extends discussion on application of Graham's stock selection criteria in Indian stock market. The study also enriches the literature on value investing strategies by extending discussion on reasons for the applicability/inapplicability of the Graham's stock selection criteria.
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Hsieh, Heng-Hsing, and Kathleen Hodnett. "Cross-Sector Style Analysis Of Global Equities." International Business & Economics Research Journal (IBER) 10, no. 11 (July 17, 2012): 1. http://dx.doi.org/10.19030/iber.v10i11.7151.
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Value effect, size effect, mean reversal of long-term losers and the momentum of short-term winners are well-documented efficient market anomalies that exist in the cross-section of equity returns. Prior literature suggests that investing in stocks that have relatively higher beta, higher book-to-market ratio, lower market capitalization, higher prior 12-month returns and lower prior 36-month returns can reap above-average returns. Stocks possessing these investment styles are either riskier, or subject to investor overreaction. This paper undertakes to examine these anomalies across different sectors of the global equity market. The results of the univariate analysis show that market capitalization, book-to-market ratio and market beta are prominent factors that consistently explain the cross-section of global equity returns over the period from 01 January 1999 to 31 December 2009. Basic materials and oil and gas sector is the best performing sector while financials and technology sectors are the worst performing sectors on a risk-adjusted return basis over the examination period. Examination of the log cumulative style payoffs suggests that the value effect and mean reversals are particularly strong across sectors during turbulent times. The close resemblance of the cumulative payoffs to prior 12- and 36-month returns for the consumers goods and services and industrials sectors, as opposed to the widening gaps between the cumulative payoffs to prior 12- and 36-month returns for the technology sector, are possibly due to the relatively tighter competition and higher turnover rates for market leaders in the technology sector.
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Ortega, Xiaoli. "The Impact of Controlling for Risk on the Value Relevance of Earnings: Evidence from the U.S." International Journal of Business and Management 12, no. 9 (August 15, 2017): 38. http://dx.doi.org/10.5539/ijbm.v12n9p38.
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Prior research documents the relatively low explanatory power of the earnings-return association in traditional models that regress returns on levels and changes in earnings. However, these studies fail to consider the impact of variation in discount rates, or risk, as a possible cause of the low explanatory power. In this study, I investigate the impact of controlling for risk on the explanatory power of the earnings-return relation. I begin by estimating two related regression models of annual returns on earnings and changes in earnings drawn from prior research. Then, to examine whether controlling for risk affects the explanatory power of the regressions, I sort observations into portfolios formed on various risk proxies, including market beta, firm size, earnings/price ratio, two implied cost of equity capital proxies, and the combination of beta and firm size. I document higher average adjusted R2s that suggest a 30% increase in explanatory power, and larger average coefficient estimates of earnings, when I estimate the return-earnings regressions within risk portfolios than those of the Easton and Harris and Easton and Pae models. These findings suggest that controlling for cross-sectional variation in risk, a denominator effect, improves the explanatory power of the model.
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Marzuki, Muhammad Jufri, Graeme Newell, and Stanley McGreal. "The development and initial performance analysis of REITs in Ireland." Journal of Property Investment & Finance 38, no. 1 (November 8, 2019): 56–70. http://dx.doi.org/10.1108/jpif-08-2019-0114.
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Purpose The inception of REITs in Ireland in 2013 presented an additional property investment opportunity to Ireland’s commercial property investment landscape. Importantly, the Irish REIT market is an institutional apparatus with an objective to rejuvenate Ireland’s commercial property market. The purpose of this paper is to provide an empirical validation of the performance of Irish REITs over the period March 2015 to February 2019 across several investment measures such as risk-adjusted returns and diversification benefits. Design/methodology/approach Using monthly total returns in local currency, the risk-adjusted performance and portfolio diversification attributes of Irish REITs are assessed. The mean-variance framework is utilised to assess the potential added-value benefits of Irish REITs in a mixed-asset portfolio. Findings Irish REITs delivered the strongest average annual return performance, lower relative volatility vs the stock market and competitive overall risk-adjusted performance. The results affirm the characteristic of Irish REITs as a total return-focussed income-driven property investment asset class. The optimal asset allocation analysis shows that Irish REITs are an important ingredient in a mixed-asset investment framework, as their allocation could be scaled effectively across the portfolio risk-return spectrum. Practical implications Irish REITs are an emerging investment opportunity for investors seeking exposure in the strongly performing property market in Ireland in the post-Global Financial Crisis period. They are also regarded as an effective alternative conduit to private investment routes (i.e. direct property and non-listed property funds), with the added advantage of being more liquid and versatile than their private property investment counterparts. Importantly, Irish REITs fulfilled the purpose for which they were originally designed. The promising initial performance observed in this paper gives a useful context to what the future might hold for Irish REITs, given the strong interest for commercial property assets in Ireland from both local and cross-border property investors. Originality/value This paper is the first empirical research aimed at providing an initial empirical performance validation of Irish REITs as an effective route to commercial property exposure in Ireland. This research enables empirically validated, more informed and practical property investment decision making regarding the strategic role of Irish REITs in a portfolio.
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Rudnicki, Józef. "STOCK SPLITS AND LIQUIDITY FOR TWO MAJOR CAPITAL MARKETS FROM CENTRAL–EASTERN EUROPE." Business, Management and Education 10, no. 2 (December 20, 2012): 145–58. http://dx.doi.org/10.3846/bme.2012.11.
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In the stock market there occur some events that contradict the efficient market hypothesis therefore they are called anomalies. One of the mysterious corporate events which has attracted the attention of numerous researchers is a stock split. I perform the review of implications of splitting the stock for market liquidity of companies listed on the Warsaw Stock Exchange and the Vienna Stock Exchange. I use event study, in particular Market model method and Market adjusted return method, to inspect the behavior of abnormal changes in daily trading volume for stock splits performed between 2000 through 2011 over a short run and assuming a longer time interval. Moreover, I juxtapose the results for both stock exchanges to examine whether the stock split phenomenon for two major capital markets from this part of Europe can be better explained by means of existing theories on stock splits. The research is aimed at analyzing the implications of the split for market liquidity, i.e. whether there occurs an immediate effect following the split as well as whether this corporate event improves the level of market liquidity over long run. Furthermore, the goal of the paper is to investigate whether the investors can cash in on the stock split, more specifically, whether they can profit from lower transaction costs. I document a significant growth in the market liquidity of stock splitting firms over 36 months following the split for both capital markets what is indicative of lower transaction costs for investors. The 1–percent significant results are consistent with the liquidity hypothesis on stock splits.
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Forsyth, Peter A., and Kenneth R. Vetzal. "Dynamic mean variance asset allocation: Tests for robustness." International Journal of Financial Engineering 04, no. 02n03 (June 2017): 1750021. http://dx.doi.org/10.1142/s2424786317500219.
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We consider a portfolio consisting of a risk-free bond and an equity index which follows a jump diffusion process. Parameters for the inflation-adjusted return of the stock index and the risk-free bond are determined by examining 89 years of data. The optimal dynamic asset allocation strategy for a long-term pre-commitment mean variance (MV) investor is determined by numerically solving a Hamilton–Jacobi–Bellman partial integro-differential equation. The MV strategy is mathematically equivalent to minimizing the quadratic shortfall of the target terminal wealth. We incorporate realistic constraints on the strategy: discrete rebalancing (yearly), maximum leverage, and no trading if insolvent. Extensive synthetic market tests and resampled backtests of historical data indicate that the multi-period MV strategy achieves approximately the same expected terminal wealth as a constant weight strategy, but with much smaller variance and probability of shortfall.
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Chhetri, Shanti Devi, and Ravindra Prasad Baral. "Event Study of Effect of Merger Announcement on Stock Price in Nepal." Journal of Business and Management 5 (December 31, 2018): 64–73. http://dx.doi.org/10.3126/jbm.v5i0.27390.
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Events like merger and acquisition affect the value of merging firms and also generate a positive or negative wealth effect for shareholders of firms involved. The purpose of this study is to investigate whether a merger announcement has generated wealth effects for the shareholders of bidding and target firms as well as it has aimed to assess the impact on overall banking sector. Two models; mean adjusted model and market risk adjusted model has been used in the study employing the ‘event study’ methodology to examine whether there is presence of abnormal return associated with merger announcement. In this method, 50 days premerger and 30 days post merger period is assumed as estimation period and (-15 and +15) days are taken as the window period. Fifteen financial institutions which entered into merger between years 2010 to 2012 are selected as sample. The findings of this study demonstrated that surrounding the announcement of merger proposals, the premerger abnormal return of individual firms is not significant to zero i.e. return is not affected by the merger announcement. Similarly, the abnormal return of bidding and target firms is not significant which indicates there is no impact of merger announcements on shareholder wealth in Nepalese capital market. Finally, the abnormal return during the premerger and post merger period of individual firms as well as the overall banking sector shows the same result, there is no significant difference on return before and after the merger announcement.
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Chhabra, Sheena, Ravi Kiran, A. N. Sah, and Vikas Sharma. "Information and performance optimization: a study of Indian IPOs during 2005-2012." Program 51, no. 4 (November 7, 2017): 458–71. http://dx.doi.org/10.1108/prog-05-2017-0035.
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Purpose The purpose of this paper is to focus on examining the first day returns of initial public offerings (IPOs) and the role of information on their performance. The study tries to optimize the returns of the new issues during 2005-2012 with risk as a constraint. Design/methodology/approach The initial returns are measured through the market-adjusted excess return and the risk associated with the new issue is measured through underwriters’ reputation. The returns have been optimized through a mixed integer linear problem using the Maple software. Findings The previous studies show that various informational variables affect the listing day returns significantly. The results of the present study indicate that the mean of initial returns for IPOs during 2005-2012 is 18.03 and the mean risk for these issues is 0.46. The findings also suggest that the optimal returns are obtained in the pre-recession era (2005-2008) and the value for the same is 50.02 percent. Originality/value The current study contributes in the investment decisions for global investors as every investor wants to maximize his/her returns. The optimal returns with risk as a constraint will help the investors in improving their investment decision as a prudent investor does not aim solely at maximizing the expected return of an investment but is also interested in optimizing with the minimization of risk.
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Nathaphan, Sarayut, and Pornchai Chunhachinda. "Estimation Risk Modeling in Optimal Portfolio Selection: An Empirical Study from Emerging Markets." Economics Research International 2010 (September 16, 2010): 1–10. http://dx.doi.org/10.1155/2010/340181.
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Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or has a minimum level of risk given a level of expected return. However, the optimal portfolios do not seem to be as efficient as intended. Especially during financial crisis period, optimal portfolio is not an optimal investment as it does not yield maximum return given a specific level of risk, and vice versa. One possible explanation for an unimpressive performance of the seemingly efficient portfolio is incorrectness in parameter estimates called “estimation risk in parameter estimates”. Six different estimating strategies are employed to explore ex-post-portfolio performance when estimation risk is incorporated. These strategies are traditional Mean-Variance (EV), Adjusted Beta (AB) approach, Resampled Efficient Frontier (REF), Capital Asset Pricing Model (CAPM), Single Index Model (SIM), and Single Index Model incorporating shrinkage Bayesian factor namely, Bayesian Single Index Model (BSIM). Among the six alternative strategies, shrinkage estimators incorporating the single index model outperform other traditional portfolio selection strategies. Allowing for asset mispricing and applying Bayesian shrinkage adjusted factor to each asset's alpha, a single factor namely, excess market return is adequate in alleviating estimation uncertainty.
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Hatmanti, Aulia, and Bambang Sudibyo. "PENGARUH PELANTIKAN KABINET KERJA HASIL RESHUFFLE JILID II TERHADAP HARGA SAHAM LQ-45." Jurnal Economia 13, no. 1 (April 1, 2017): 1. http://dx.doi.org/10.21831/economia.v13i1.11797.
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Abstrak: Pengaruh Pelantikan Kabinet Kerja Hasil Reshuffle Jilid II terhadap Harga Saham LQ-45. Tujuan dari penelitian ini adalah untuk melihat pengaruh peristiwa politik-pelantikan Kabinet Kerja hasil reshuffle jilid II-terhadap harga saham yang terdaftar dalam kelompok saham LQ-45. Penelitian ini menggunakan metode studi peristiwa untuk melihat adanya reaksi pasar yang dapat dilihat dari adanya abnormal return pada saham. Abnormal return pada penelitian ini dihitung menggunakan mean-adjusted model. Berdasarkan hasil uji beda t-test satu sisi, terdapat abnormal return positif yang signifikan pada event day (t) dan t+3. Uji beda rata-rata menggunakan paired sample t-test yang dilakukan untuk melihat perbedaan rata-rata abnormal return pada 5 hari sebelum dan 5 hari sesudah peristiwa tidak menunjukkan adanya hasil yang signifikan. Berdasarkan hasil tersebut, dapat disimpulkan bahwa peristiwa politik berupa pelantikan Kabinet Kerja hasil reshuffle jilid II merupakan good news bagi investor. Kata kunci: studi peristiwa, abnormal return, LQ-45, peristiwa politik Abstract: The Impact of the Inauguration of 2nd Reshuffled Cabinet on LQ-45 Stock Prices. The purpose of this research is to observe the impact of the political event the inauguration of 2nd reshuffled cabinet-to LQ-45 group’s stock prices. This study used event study method to identify the market reaction that can be seen from the abnormal return on the stock prices. The abnormal return is calculated using mean-adjusted model. T-test indicates that there is a significant positive abnormal return on event day (t) and t+3. Besides, paired sample t-test was conducted to see the difference in the average abnormal return in 5 days before and five days after the events didn’t show any significant results. Based on these results, it can be concluded that the inauguration of 2nd reshuffled cabinet is good news for investors. Keywords: event study, abnormal return, LQ-45, political events
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Ulf, Herold, and Maurer Raimond. "Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches." ASTIN Bulletin 36, no. 01 (May 2006): 135–60. http://dx.doi.org/10.2143/ast.36.1.2014147.
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Estimation risk is known to have a huge impact on mean/variance optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. This issue has attracted new interest in the last years, and several approaches to incorporate estimation risk into portfolio selection have been developed only recently. In this article, we review these approaches as well as some older ones and compare them in an empirical out-of-sample study. The approaches can be classified along two criteria. First, we can differentiate heuristic approaches (restricting portfolio weights and employing simulation techniques) and those based on Bayesian statistics (shrinking the portfolios towards a pre-determined target). Second, the assumptions about the return-generating process differ, either assuming returns to be IID distributed or to be partly predictable. The central result of our empirical study is that all of the IID approaches, whether they account for estimation risk or not, are not superior to simple investment strategies like holding the market portfolio. A risk-adjusted outperformance is possible only if sample means are substituted with conditional expected return estimates. Furthermore, the Bayesian approaches reduce turnover and stabilize portfolio weights.
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Ulf, Herold, and Maurer Raimond. "Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches." ASTIN Bulletin 36, no. 1 (May 2006): 135–60. http://dx.doi.org/10.1017/s0515036100014434.
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Estimation risk is known to have a huge impact on mean/variance optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. This issue has attracted new interest in the last years, and several approaches to incorporate estimation risk into portfolio selection have been developed only recently. In this article, we review these approaches as well as some older ones and compare them in an empirical out-of-sample study. The approaches can be classified along two criteria. First, we can differentiate heuristic approaches (restricting portfolio weights and employing simulation techniques) and those based on Bayesian statistics (shrinking the portfolios towards a pre-determined target). Second, the assumptions about the return-generating process differ, either assuming returns to be IID distributed or to be partly predictable. The central result of our empirical study is that all of the IID approaches, whether they account for estimation risk or not, are not superior to simple investment strategies like holding the market portfolio. A risk-adjusted outperformance is possible only if sample means are substituted with conditional expected return estimates. Furthermore, the Bayesian approaches reduce turnover and stabilize portfolio weights.
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Prusak, Błażej, and Marcin Potrykus. "Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland." Risks 9, no. 3 (March 18, 2021): 56. http://dx.doi.org/10.3390/risks9030056.
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This study aims to check market reaction to filing for bankruptcy and restructuring proceedings and to verify the short-term effect of a price reversal in the Polish market in the years 2004–2019. The research was conducted by dividing the analysed companies according to the procedure (bankruptcy and restructuring) and market (the main market and the NewConnect market). The research methodology used in the study is the event analysis method (AR, CAR, AAR and CAAR rates were used in the research), with a few statistical tests (T-test, Generalized rank Z Test, Generalized rank T-Test, Patell or Standardized Residual Test, Kolari and Pynnönen adjusted Patell or Standardized Residual Test). It was found that share prices in the Polish share market react quickly to public information about filing an application for bankruptcy or restructuring. For all analysed companies, the mean rate of return on the event day was equal to −14%, and on the next day, it was −3%. Regardless of the type of share market and the form of proceedings, the reversal effect was not confirmed in the short term. It was found that cumulative above-average rates of return fall more strongly for companies listed on the less liquid Newconnect market (−23.6%), and when information on the filing for bankruptcy proceedings is provided (−28.5%), as opposed to the main market (−19.1%) and restructuring proceedings (−17%). The cumulative average rate of return for all analysed companies in the research period (−2, +10 days) was equal to −20.6%.
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Kolluri, Bharat, Susan Wahab, and Mahmoud Wahab. "Systematic Covariations and Emerging Asian Equity Markets’ Diversification Benefits to US Equity Investors." Review of Pacific Basin Financial Markets and Policies 23, no. 02 (June 2020): 2050009. http://dx.doi.org/10.1142/s0219091520500095.
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Unconditional and conditional correlations have played a central role in portfolio analysis, optimization, and performance measurement. However, recent studies show these two correlation measures are inappropriate for measuring both financial integration and, therefore, diversification benefits. We use an alternative correlation measure that we refer to by factor model-implied correlation estimated from the systematic (predictable) portion of returns of a multi-factor model with several global risk factors. Estimated implied correlations, covariances, variances, and in-sample (predicted) mean returns are used to calculate optimal US and Asian equities’ asset allocation weights in alternative Global equity portfolios varying by Asian equity market combined with US equities, as well as by whether: (i) implied or unconditional statistics are used; and (ii) portfolios are optimized by Sharpe’s ratio-maximization or variance-minimization. Risk-adjusted returns of alternative actively-managed Global equity portfolios are compared to US equities’ risk-adjusted returns. We find Global equity portfolios with asset allocation weights calculated using factor model-implied statistics uniformly yield higher risk-adjusted returns than US equities and Global equity portfolios with asset allocation weights calculated using unconditional portfolio statistics. In actively-managed Global equity portfolios with asset allocation weights calculated using implied statistics, India and Taiwan consistently rank as top contributors, while South Korea, Singapore, and Hong Kong consistently rank as bottom contributors to enhancing US equities’ risk-adjusted returns. While our analyses are dynamic, they use implied portfolio statistics estimated from historical returns’ distributions. Future studies can extend this research using conditional(out-of-sample) ex-ante estimates of systematic returns, covariances, variances, and correlations in examining emerging markets’ contributions to developed markets’ equities.
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Trisnowati, Yanuar, and Arianto Muditomo. "COVID-19 and Stock Market Reaction in Indonesia." Journal of Accounting and Investment 22, no. 1 (January 1, 2021): 23–36. http://dx.doi.org/10.18196/jai.v22i1.8859.
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Research aims: COVID-19 Pandemic happens all over the world. Pandemic impact hits almost all elements of life, one of the affected real sectors is finance especially the stock market. This research is aimed to present the reaction of the equity market in Indonesia towards the COVID-19 pandemicDesign/Methodology/Approach: The research method that is used is the study to examine market reaction towards the pandemic and abnormal return around the occurrence by using two methods; mean-adjusted abnormal return and market model.Research findings: From the research conducted over the 10 indicators of the stock market index in Indonesia, it is concluded that 8 industrial sectors that have tenacious reaction toward the COVID-19 pandemic hit in Indonesia, where it is also found that the agriculture sector; basic and chemical industry; miscellaneous, consumer goods; property and real estate; transport and infrastructure; finance; trade, service, and investment, give stronger reactions compared with mining and manufacture.Theoretical contribution/Originality: Researches about the stock market reaction to the non-economy phenomenon have already been carried out, but the research that is specifically done to study sectoral index reaction towards the non-economy occurrences is still wide open to doing for deeper research.Practitioner/Policy implication: This research can be important information for investors to understand the behavior of stock market efficiency in Indonesia in making decisions of investmentResearch limitation/Implication: Non-economy event that becomes the subject of research is the COVID-19 pandemic that appeared and escalated fast all over the world. The researcher conducted the research and presented it as quickly as possible since the time is limited. It is meant to show a systematic and scientific thinking framework in addressing the non-economy events, but still in the context of reliability on the result of research to the same topic about the COVID-19 effect in other countries.
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Reddy, Krishna, Muhammad Qamar, and Noel Yahanpath. "Do mergers and acquisitions create value?" Studies in Economics and Finance 36, no. 2 (June 24, 2019): 240–64. http://dx.doi.org/10.1108/sef-01-2018-0027.
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Purpose The purpose of this paper is to study whether mergers and acquisitions (M&As) create value in Indian and Chinese markets. Design/methodology/approach The authors study abnormal returns (AR) created by the acquiring firms in Indian and Chinese markets relating to M&A announcements, using the following three different statistical methods: i.e. mean, market and ordinary least squares adjusted return models. Findings On average, M&A announcements do not create value for the firms in Chinese and Indian economies. For the mean model, M&As create value for Chinese firms, whereas for the Indian firms no such value is created for the same event windows. The regression results showed that debt has a positive impact on the AR and cumulative average abnormal returns at 1, 5 and 10 per cent significance levels, respectively. Research limitations/implications This study suggests increasing the sample size and period and using the instrumental variables regression to ensure the estimator’s impartiality, consistency and efficiency. With the investigative period surrounding a financial crisis, the estimators may have omitted bias. Originality/value Multiple methods used in this paper made it possible to capture the level of method variance in the AR, which is unusual in the Chinese and Indian context. Hence, the current study provides local knowledge and further strengthens the literature about M&As. The authors also regress AR with firm-specific factors, the consideration of which is scarce in the previous literature. Furthermore, much of what the authors know about M&A is relevant to developed economies.
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Marzuki, Muhammad Jufri, and Graeme Newell. "The evolution of Belgium REITs." Journal of Property Investment & Finance 37, no. 4 (July 1, 2019): 345–62. http://dx.doi.org/10.1108/jpif-03-2019-0029.
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PurposeThe Belgium Real Estate Investment Trust (REIT) market was created primarily to facilitate a transparent, professionally managed and fiscally efficient market, providing access to the European property markets. Being the 2nd oldest REIT market in Europe, it has undergone many evolutionary changes over the years that add to its considerable stature as a sophisticated investment opportunity. This includes an increased recent focus on the social infrastructure property sectors such as healthcare, care facilities and nursing homes, consistent with the evolving investment mandates requiring stronger integration of environmental, social and governance (ESG) aspects in the investment strategy formulation. The purpose of this paper is to highlight the strategic transformation of Belgium REITs and empirically assess their performance attributes over 1995–2018. Sub-period performance dynamics of Belgium REITs in the pre-global financial crises (GFC) (1995–2007) and post-GFC (2009–2018) contexts are provided.Design/methodology/approachIn total, 23-year monthly total returns over 1995–2018 were used to analyse the risk-adjusted performance and portfolio diversification potential of Belgium REITs. The traditional mean-variance portfolio optimisation model using theex-postreturns, risk and correlation coefficient of Belgium REITs and other financial assets was developed to determine the added-value benefits of Belgium REITs in a diversified investment framework. The analysis was further extended to cover the sub-periods of pre-GFC (1995–2007) and post-GFC (2009–2018).FindingsThe results of the analysis provide a strong investment case for Belgium REITs, as they are able to deliver a discernible premium in the total return performance, superior risk-adjusted returns and strong diversification benefits with the stock market in a long-term investment horizon. Broadly consistent results are similarly observed in the sub-period analysis over varying market conditions. Importantly, the role of Belgium REITs in a diversified investment framework was also empirically validated, as they enhanced the mixed-asset portfolio performance comprised of the traditional asset classes of stocks and bonds across a broad portfolio risk-return spectrum. Dividend yield was also found to be a key component of the financial performance of Belgium REITs.Practical implicationsThe Belgium REIT market has evolved to become the 5th largest market in Europe by the capitalisation volume. This is mainly due to the robust regulatory support and innovations since its debut which have resulted in a polished framework that is both supportive and attractive to financial players and investors. The broad direct consequence of this paper is to highlight the performance attributes of Belgium REITs, adding clarity to the ongoing discussion regarding the viability of European REITs as a liquid and tax transparent route for institutional investors to obtain their property exposure. The strong dividend yield and ESG/social infrastructure focus of Belgium REITs sees Belgium REITs well-placed going forward to meet the evolving investment mandates from major investors.Originality/valueThis paper is the first empirical investigation that elucidates the risk-adjusted performance and role of Belgium REITs as an important property investment opportunity. It equips investors and practitioners with an independent and comprehensive empirical validation of the strategic role of Belgium REITs in a portfolio. Well-informed and practical property investment decision making regarding the use of Belgium REITs for access to the property asset class is the main outcome of this paper.
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Murtini, Umi. "KINERJA SURAT BERHARGA SETELAH INITIAL PUBLIC OFFERING." Jurnal Riset Akuntansi dan Keuangan 1, no. 2 (August 1, 2005): 135. http://dx.doi.org/10.21460/jrak.2005.12.118.
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This study observes the pedormance of stock, shortierm and long-term in Jakarta Stock Exchange (BEJ). Sample data taken from firm that hove done IPO since the January 1990 untit December 2003, amount sample that used as much 255 firms. The daily abnormal return used as proxy perlormance by using Market-Adjusted Return Abnormal Model (Aggwwal $993). Short-term pedormance is based on a share performance atter, one day,' one month, 2 month and 3 month, Long-term perfonnance is b,osed on performance during 24 month. The result tests of one sampte t-test indicate that in short-term, cnerage abnormal return ore positive equal to i,8, 83 %. This result consistent with the previous research that performance in short-term experience, of the under pricing, Abnormal relurn that resuked in long term are arcrage negative equal to 21, 44%. This study Jinds the consistent phenomenon underperformance on a long term. And then the results of paired comparisont-test indicate that the short-term performance,is better lhqnlong-range performance, at level I %o.signtficance.Keywords: t Initiol Pubtic Offering, Performace of IPO, Abnormitl'Return, Underpricing and Underperform)
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Ozmel, Umit, Deniz Yavuz, Tim Trombley, and Ranjay Gulati. "Interfirm Ties Between Ventures and Limited Partners of Venture Capital Funds: Performance Effects in Financial Markets." Organization Science 31, no. 3 (May 2020): 698–719. http://dx.doi.org/10.1287/orsc.2019.1325.
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We argue that strong indirect ties are conducive to the transfer of private information, which provides an advantage in identifying profitable investment opportunities. In our context, a strong indirect tie is generated between an investor and a focal firm if the investor was a limited partner of the focal firm’s lead venture capital fund. We suggest that an investor can access private information on the focal firm’s underlying value through its strong indirect tie to the focal firm via the focal firm’s lead venture capitalist. Supporting our theory, we show that after the focal firm’s initial public offering, the investor with a strong indirect tie to the focal firm receives high risk-adjusted return when the investor chooses to invest in the focal firm’s stock in the stock exchange market. We also show that the investor’s private information attained through its strong indirect tie to the focal firm is more valuable (i) when there is higher exogenous market uncertainty and (ii) when the investor faces higher information asymmetry.
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Mandiratta, Priya, and GS Bhalla. "Underpricing in Privatized Public Offerings: The Indian Experience." Think India 22, no. 2 (October 31, 2019): 561–69. http://dx.doi.org/10.26643/think-india.v22i2.8799.
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Underpricing of IPOs is the sale of shares at low prices and it is a well-documented fact of empirical equity market research. Present study aims to examine the same by estimating the magnitude of underpricing in disinvestment oriented IPOs and FPOs. Along with this, it also aims to compare the degree of underpricing across IPOs and subsequent stages of FPOs. Total number of IPO and FPO cases to be analyzed are 46 (8 IPO, 25 FPO-I, 10 FPO-II, 3 FPO-III) which have been introduced during 2003-2017 by Govt-owned enterprises in India. Market adjusted excess return methodology has been used to compute underpricing. Results depict that underpricing do exists in privatized public offerings. The study also witness the reduced underpricing levels from IPO to third stage of FPO which indicate towards high cost of raising equity at IPO and gets reduced at subsequent stages of FPOs. Based on the findings, the research recommends that divestment activity should spread over different stages of offerings i.e. IPOs and FPOs. This research contributes to the literature by estimating and comparing the magnitude of underpricing in “privatized” public offerings and provides the Governmental institutions and investors with the base and information to make appropriate decisions.
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White, H. D., A. M. Ahmad, B. H. Durham, S. Chandran, A. Patwala, W. D. Fraser, and J. P. Vora. "Effect of Active Acromegaly and Its Treatment on Parathyroid Circadian Rhythmicity and Parathyroid Target-Organ Sensitivity." Journal of Clinical Endocrinology & Metabolism 91, no. 3 (March 1, 2006): 913–19. http://dx.doi.org/10.1210/jc.2005-1602.
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Abstract Context: Patients with active acromegaly have increased bone turnover and skeletal abnormalities. Biochemical cure of acromegaly may represent a functional GH-deficient state and result in cortical bone loss. Reduced PTH target-organ sensitivity occurs in adult GH deficiency and may underlie the associated development of osteoporosis. Objective: We examined the effect of active and treated acromegaly on PTH concentration and target-organ sensitivity. Patients: Ten active acromegalic subjects (GH nadir > 0.3 μg/liter after 75-g oral glucose load and IGF-I above age-related reference range) and 10 matched controls participated in the study. Design: Half-hourly blood and 3-h urine samples were collected on patients and controls for 24 h. Samples were analyzed for PTH, calcium (Ca), nephrogenous cAMP (NcAMP, a marker of PTH renal activity), β C-telopeptide (bone resorption marker), and procollagen type-I amino-terminal propeptide (bone formation marker). Serum calcium was adjusted for albumin (ACa). Eight acromegalic subjects who achieved biochemical cure (GH nadir < 0.3 μg/liter after 75-g oral glucose load and IGF-I within reference range) after standard surgical and/or medical treatment reattended and the protocol repeated. Results: Active acromegalic subjects had higher 24-h mean PTH, NcAMP, ACa, urine Ca, β C-telopeptide, and procollagen type I amino-terminal propeptide (P < 0.05), compared with controls. Twenty-four-hour mean PTH increased (P < 0.001) in the acromegalic subjects after treatment, whereas NcAMP and ACa decreased (P < 0.05). Conclusion: Increased bone turnover associated with active acromegaly may result from increased PTH concentration and action. Biochemical cure of acromegaly results in reduced PTH target-organ sensitivity indicated by increased PTH with decreased NcAMP and ACa concentrations. PTH target-organ sensitivity does not appear to return to normal after successful treatment of acromegaly in the short term and may reflect functional GH deficiency.
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Andriansyah, Novi, Mohamad Rizan, and Harya Kuncara Wiralaga. "PENGARUH FAKTOR EKONOMI MAKRO, STRATEGI PERLUASAN MARKET SHARE DAN KARAKTERISTIK BANK TERHADAP PROFITABILITAS PT. BANK PEMBANGUNAN DAERAH JAWA BARAT DAN BANTEN, TBK." JURNAL DINAMIKA MANAJEMEN DAN BISNIS 1, no. 1 (September 1, 2017): 65–86. http://dx.doi.org/10.21009/jdmb.01.1.3.
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Abstrak : Penelitian ini dilakukan untuk menguji pengaruh faktor ekonomi makro yang diproksi dengan tingkat inflasi dan pertumbuhan GDP, strategi perluasan market share yang diukur dengan penambahan jaringan kantor untuk meningkatkan penghimpunan Dana Pihak Ketiga (DPK) dan penyaluran kredit serta karakteristik bank yang diukur dengan LDR, CAR, NPL, BOPO, SIZE terhadap Profitabilitas yang diproksi dengan Return On Asset (ROA) Bank BJB. Data yang digunakan dalam penelitian ini diperoleh dari Laporan Keuangan publikasi Bank BJB selama periode triwulan I tahun 2005 sampai dengan triwulan IV tahun 2013, serta laporan publikasi Statistik Perbankan Indonesia melalui website. Teknik analisis data yang digunakan dalam penelitian ini adalah analisis regresi linier berganda dimana sebelumnya data telah diuji dengan pengujian asumsi klasik yang meliputi uji normalitas, uji heteroskedastisitas, uji autokorelasi dan uji multikolinieritas. Selama periode penelitian menunjukan bahwa data penelitian berdistribusi normal. Kemudian berdasarkan hasil uji normalitas, uji heteroskedastisitas, uji autokorelasi dan uji multikolinieritas tidak ditemukan variabel yang menyimpang dari asumsi klasik. Hal ini menunjukkan bahwa data yang tersedia telah memenuhi syarat untuk menggunakan model persamaan regresi linier berganda. Hasil penelitian ini menunjukkan bahwa variabel tingkat inflasi dan pertumbuhan GDP tidak menunjukkan pengaruh signifikan terhadap profitabilitas (ROA) Bank BJB. Begitu juga dengan variabel market share, LDR, CAR, NPL, maupun Size tidak berpengaruh signifikan terhadap profitabilitas (ROA) Bank BJB. Sedangkan variabel BOPO berpengaruh negatif signifikan terhadap profitabilitas (ROA) Bank BJB. Nilai koefisien determinasi (R2 adjusted) sebesar 0.6798 artinya bahwa variasi variabel-variabel eksogen/ independen mampu menjelaskan profitabilitas (ROA) sebesar 67.98 persen, sisanya oleh variabel lain di luar model.
Kata kunci : Faktor Ekonomi Makro, Market Share, Karakteristik Bank, Profitabilitas, Regresi Linier Berganda.
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BinMahfouz, Saeed, and M. Kabir Hassan. "Sustainable and socially responsible investing." Humanomics 29, no. 3 (August 23, 2013): 164–86. http://dx.doi.org/10.1108/h-07-2013-0043.
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PurposeThere is a great deal of research that has been done to investigate the investment characteristics of conventional socially responsible investment portfolios compared to their broader conventional counterparts. However, the impact of incorporating sustainability criteria into the traditional Sharia screening process has not so far been investigated. Therefore, the study aims to give empirical evidence as to whether or not incorporating sustainability socially responsible criteria in the traditional Sharia screening process has a significant impact on the investment characteristics of the Islamic investment portfolio.Design/methodology/approachThe paper examines the investment characteristics of four groups of investment portfolios mainly, Dow Jones Global Index, Dow Jones Sustainability World Index, Dow Jones Islamic Market World Index and Dow Jones Islamic Market Sustainability Index. To improve the robustness of the study, the analysis was carried out at different levels. First, absolute mean return and t‐test were used to examine whether the difference between the different groups of investments is statistically significant or not. Second, risk adjusted equilibrium models, both single‐index and Fama and French multi‐index, were employed. This is to control for different risk exposure and investment style bias associated with different investment portfolios examined.FindingsThe paper finds that neither the Sharia nor the sustainability screening process seems to have an adverse impact on the performance and systematic risk of the investment portfolios compared to their unrestricted conventional counterparts. Therefore, Muslim as well as socially responsible investors can choose investments that are consistent with their value systems and beliefs without being forced to sacrifice performance or expose to higher systematic risk.Originality/valueThe study contributes to the existing literature by giving new evidence on the impact of incorporating sustainability criteria into the traditional Sharia screening process that has not so far been investigated.
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Wieser, Simon, Beatrice Brunner, Christina Tzogiou, Rafael Plessow, Michael B. Zimmermann, Jessica Farebrother, Sajid Soofi, Zaid Bhatti, Imran Ahmed, and Zulfiqar A. Bhutta. "Reducing micronutrient deficiencies in Pakistani children: are subsidies on fortified complementary foods cost-effective?" Public Health Nutrition 21, no. 15 (July 18, 2018): 2893–906. http://dx.doi.org/10.1017/s1368980018001660.
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AbstractObjectiveTo estimate the cost-effectiveness of price subsidies on fortified packaged complementary foods (FPCF) in reducing iodine deficiency, iron-deficiency anaemia and vitamin A deficiency in Pakistani children.DesignThe study proceeded in three steps: (i) we determined the current lifetime costs of the three micronutrient deficiencies with a health economic model; (ii) we assessed the price sensitivity of demand for FPCF with a market survey in two Pakistani districts; (iii) we combined the findings of the first two steps with the results of a systematic review on the effectiveness of FPCF in reducing micronutrient deficiencies. The cost-effectiveness was estimated by comparing the net social cost of price subsidies with the disability-adjusted life years (DALY) averted.SettingDistricts of Faisalabad and Hyderabad in Pakistan.SubjectsHouseholds with 6–23-month-old children stratified by socio-economic strata.ResultsThe lifetime social costs of iodine deficiency, iron-deficiency anaemia and vitamin A deficiency in 6–23-month-old children amounted to production losses of $US 209 million and 175 000 DALY. Poor households incurred the highest costs, yet even wealthier households suffered substantial losses. Wealthier households were more likely to buy FPCF. The net cost per DALY of the interventions ranged from a return per DALY averted of $US 783 to $US 65. Interventions targeted at poorer households were most cost-effective.ConclusionsPrice subsidies on FPCF might be a cost-effective way to reduce the societal costs of micronutrient deficiencies in 6–23-month-old children in Pakistan. Interventions targeting poorer households are especially cost-effective.
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McGowan, Carl, and Deane Rifon. "A Test For A Multi-Risk Premia International Asset Pricing Model: An Arbitrage Pricing Theory Application." Journal of Applied Business Research (JABR) 4, no. 2 (October 27, 2011): 53. http://dx.doi.org/10.19030/jabr.v4i2.6433.
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IN this paper, the authors examine the existence of a multi-risk premia international asset pricing model using an Arbitrage Pricing Theory approach. An international asset pricing model is developed and tested using foreign exchange rate adjusted market indices for twenty-five countries stock markets for the period January 1964 to December 1980. The authors find evidence that indicates three risk premia exist for pricing mean returns on international assets. A model not adjusted for foreign exchange rate changes does not perform as well as an adjusted model.
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Heymans, Andreas G., and Chris Van Heerden. "A Risk-Adjusted Evaluation Of The JSE Top 40 As An International Investment Option." Journal of Applied Business Research (JABR) 30, no. 6 (October 21, 2014): 1639. http://dx.doi.org/10.19030/jabr.v30i6.8880.
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In response to the wealth destruction caused by the 2007/2008 global financial crisis, many developed economies have lowered their interest rates to improve their balance sheets (SARB, 2008-2012). However, in order for investors to sustain expected returns they will have to deviate from the traditional approach of investing in government bonds and consider investing in emerging markets, which are considered as potential drivers of global growth (Deloitte Consulting LLP, 2012). The goal of this paper is to establish the importance of considering South Africa as an emerging market investment opportunity, but also to acknowledge its ability of outperforming several other common emerging markets during the post-financial crisis period. This was done by means of a novel approach to the Omega ratio. The results from this paper confirms this, illustrating that the performance of the JSE Top 40 will compensate for the additional political risk that emerging market investments possess (Anshuman, 2010).
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Raza, Hassan, Arshad Hasan, and Abdul Rashid. "The Impact of Downside Risk on Expected Return: Evidence from Emerging Economies." Lahore Journal of Business 8, no. 1 (September 1, 2019): 91–106. http://dx.doi.org/10.35536/ljb.2019.v8.i1.a5.
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This paper investigates the comparative relationship between the downside risk adjusted CAPM and traditional CAPM. The premise of the traditional CAPM is that the expected return is based on the incidence of systematic risk (beta), which has been assumed to be homogenous for both the developed, and the emerging stock markets. However, empirical results are not aligned with this assumption, as the basic risk and return relationship happens to be negative, and insignificant in the case of emerging markets. This may be due to the emerging stock markets’ distinct characteristics (i.e. high volatility, low liquidity, and less availability of historical data). To deal with the said issue, extent literature supports the use of the semi-variance methodology (SV-M) for emerging markets, instead of the mean-variance (M-V) method. Therefore, this study referred to the Fama and Macbeth (1973) methodology that was applied over monthly data ranging from June, 2000 to June, 2018. Results indicate that there is a positive relationship between the risks (downside and traditional beta) and the expected return. Moreover, results also reveal that downside risk has more significance and explanatory power as compared to the traditional beta. Hence, as per the above findings, the study suggests using the semi-variance methodology for the calculation of the expected returns in emerging economies. However, the significance of the residuals, and beta square terms in both methodologies clearly indicate that there is a need to adjust and incorporate more risk factors, as well as an element of non-linearity while arriving at a probable risk and return relationship.
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Castro, F. Henrique, and Claudia Yoshinaga. "Underreaction to open market share repurchases,." Revista Contabilidade & Finanças 30, no. 80 (August 2019): 172–85. http://dx.doi.org/10.1590/1808-057x201806230.
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ABSTRACT This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with shares that announce repurchases generates abnormal returns in the long run. Our results show that repurchase announcements in the open market signal stock underpricing, and abnormal returns can be earned using this strategy. Results are inconsistent with the semi-strong form of the efficient markets hypothesis, which states that one cannot earn abnormal returns with publicly available information. We obtained abnormal returns using the capital asset pricing model (CAPM) and Fama and French three-factor model. Additionally, we divided the sample in growth and value firms. We found that the average abnormal return for firms that announce repurchase programs ranges from 5.4% to 7.9% for up to a 3-year period after the announcement. For value companies (more likely to repurchase stocks due to undervaluation), abnormal returns can reach up to 11.5% per year.
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Wirawan, Ganda Hengky, and Erman Sumirat. "Performance Analysis of Investment Portfolio Strategy Using Warren Buffett, Benjamin Graham, and Peter Lynch Method in Indonesia Stock Exchange." European Journal of Business and Management Research 6, no. 4 (August 31, 2021): 394–401. http://dx.doi.org/10.24018/ejbmr.2021.6.4.1040.
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Warren Buffett, Benjamin Graham, and Peter Lynch are three (3) famous investors’ gurus in the world that have already proved that they can outperform the market by value investing method. Method that they are using are based on fundamental analysis and they screen the company’s stock based on several key financial ratios and criteria that they found important in analyzing the company. In this project, Author conducted research and study to find out the applicability of the screening method made by the gurus in Indonesia Stock Exchange (IDX) using equally weighted method, back testing it in May 2012 until December 2020 periods, and evaluate the performance of each type of portfolios made using Sharpe ratio, Treynor ratio, and Jensen’s alpha. The result of this project is all type of these portfolios are having positive risk adjusted returns. Peter Lynch type of portfolio is having the highest annualized return 24.04 % or 613 % cumulative return, while Warren Buffett and Benjamin Graham are having annualized returns 9.42 % (or cumulative return 216.48%) and 8.3 % (or cumulative return 198.27%) respectively. Moreover, Author found that those three types of portfolios are having beta (β) nearly the same with one (1) means that the portfolios are having same risk with its systematic (market) risk.
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Padmanabhan, P. A. "Do Demerger Announcements Impact Shareholders Wealth? An Empirical Analysis Using Event Study." Vision: The Journal of Business Perspective 22, no. 1 (February 4, 2018): 22–31. http://dx.doi.org/10.1177/0972262917750233.
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Corporate restructuring has been on an increasing trend in India over the past two decades, and demergers are emerging as one of the important forms of corporate restructuring. While there is extensive literature on demergers abroad, there is limited literature on demergers in the Indian context. In this study, the impact of demerger announcements on shareholders’ wealth is analysed using event study. Demerger announcements made by 63 companies spread over 11 years from 2003 to 2014 are taken up for the study. Two different models, namely, mean-adjusted returns model and market model, are applied. Log returns are used in the study. The efficiency of the Indian stock market is also tested in the study. The results show positive abnormal returns during the event window under both mean-adjusted returns model and market model. The results also indicate that the Indian stock market exhibits semi-strong form efficiency.
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Alqahtani, Faisal, and Zakaria Boulanouar. "Long-run market performance of initial public offerings in Saudi Arabia: Does sharia-compliant status matter?" Corporate Ownership and Control 14, no. 3 (2017): 293–98. http://dx.doi.org/10.22495/cocv14i3c2art3.
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This research presents a comprehensive analysis of initial public offerings (IPOs) in Saudi Arabia, using a sample of 72 IPOs examined during the period between 2004 and September 2010. To compute the market performance of the IPOs, we split the sample into two sub-samples: sharia-compliant and non-sharia-compliant and we use two methods of calculations which are buy and hold abnormal returns (BHAR) and cumulative abnormal returns (CAR). In contrast to the majority of reported outcomes worldwide, our results show that based on one-year after-market performance, on average, underperformance does not exist in the Saudi market. The regression analysis shows that the factors driving long-run market performance include initial return and ownership structure, firm level risk, age and sharia-compliant status. The highlight of this paper, however, underscored using T-test for equality of means that was performed on the two sub-samples aftermarket adjusted returns is that Sharia-compliant status significantly alters the level of one-year market performance. This result supports our hypothesis that sharia-compliant firms will enjoy superior non-negative returns compared to non-sharia compliant firms, and supports the over-reaction hypothesis. Based on this result, we introduce a new factor which we call non-sharia-compliant underperformance.
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Dieu Dang, Huong. "KiwiSaver fund performance and asset allocation policy." Pacific Accounting Review 31, no. 2 (April 1, 2019): 232–57. http://dx.doi.org/10.1108/par-06-2018-0044.
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Purpose This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds. Design/methodology/approach Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation. Findings On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness. Originality/value This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.
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Vega, Jose G., Jan Smolarski, and Haiyan Zhou. "Sarbanes-Oxley: changes in risk premium and return volatility." Asian Review of Accounting 23, no. 1 (May 5, 2015): 86–106. http://dx.doi.org/10.1108/ara-01-2014-0018.
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Purpose – The purpose of this paper is to examine if the enactment of Sarbanes-Oxley (SOX) resulted in lower risk premium and return volatility in the US stock markets. The paper examines the two components of excess return (total risk premium) separately: the amount of volatility (risk) and the unit price of risk (risk premium). Design/methodology/approach – The authors use a Component Generalized Autoregressive Conditional Heteroskedasticity approach to estimate the permanent and transitory component of share price volatility. The authors then use the predicted volatility to measure the unit price of risk and its changes due to the enactment of the SOX Act. Findings – The results regarding excess returns indicate that the implementation of SOX had a positive effect on the market. A positive effect means a steady decrease in required excess rates of returns due to the implementation of SOX. The years leading up to the implementation of SOX are characterized by significant sources of uncertainty. Around the implementation of SOX, the authors observe a long-term reduction in return volatility (risk), and a temporary reduction in the unit price of risk. Subsequent to the implementation, investors gained confidence in the effectiveness of internal controls over the financial reporting process, which helped in reducing the information risk and, therefore, the risk premium. Research limitations/implications – The authors find that total risk premium decreased over extended periods. The authors conclude that the enactment of SOX helped in reducing the uncertainty in the US capital market resulting in a reduction of total risk premiums and hence the cost of capital. Practical implications – The results have implications for policy makers, investors and researchers in general and those in the US markets in particular. The results are important because it allows policy makers and regulators to improve on how they design and implement accounting, market and finance regulations and reforms. Social implications – The study shows how financial markets react to regulations and the authors also provide information on investors’ reaction as firms adjust to changing regulations. The results of the study allows regulators to potentially use a more refined or targeted approach when introducing new regulations. It also allows investors to make informed investment decisions as they relate to risk premium requirements, which in turn may allow investors to allocate capital more efficiently. Originality/value – There are many studies concerning the enactment of SOX but few, if any, existing studies examine the original intent of SOX: to calm the US equity markets and restore market confidence from a return volatility perspective. The results have implications for policy makers, investors and researchers in general and those in the US markets in particular. The results are important because it allows policy makers and regulators to improve on how they design and implement accounting, market and finance regulations and reforms.
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Al-Shattarat, Wasim K., Jamal A. Al-Khasawneh, and Husni K. Al-Shattarat. "Market Reaction To Changes In Dividend Payments Policy In Jordan." Journal of Applied Business Research (JABR) 28, no. 6 (October 25, 2012): 1193. http://dx.doi.org/10.19030/jabr.v28i6.7335.
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The purpose of this paper is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2001 to 2006. The sample consists of 215 observations. The Event Study Methodology (ESM) is employed to examine the market reaction to dividend change announcements. The nave model is used to classify the sample under four sub samples; Dividend Increase, Dividend Decrease, Dividend No Change and No Dividend No Change. The market model, mean adjusted model, market adjusted model, market model adjusted with Scholes and Williams and market model adjusted with Fowler and Rorke models are used to generate the expected returns. Also, the t-test, ZD test and Corrados non-parametric test are used to examine the significance of the mean and cumulative abnormal returns. Overall, the results show that the market reacts positively to dividend increase, dividend decrease and dividend no change announcements. In addition, the results indicate that there is no significant market reaction to dividend no change sample with zero distributions. This result indicated that there is little value-relevance to dividend change announcements. The interpretation of the positive market reaction is related to dividend release announcements rather than dividend changes. Therefore, there is some support to the signalling hypothesis to dividend release. Furthermore, applying thin trading models and non-parametric tests leads to the same conclusion.
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Noda, Rafael Falcão, Roy Martelanc, and José Roberto Securato. "Eficiência da Carteira de Mercado no Plano Média-Variância." Brazilian Review of Finance 12, no. 1 (June 10, 2014): 67. http://dx.doi.org/10.12660/rbfin.v12n1.2014.12343.
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The objective of this study is to answer the criticism to the CAPM based on findings that the market portfolio is far from the efficient frontier. We run a numeric optimization model, based on Brazilian stock market data from 2003 to 2012. For each asset, we obtain adjusted returns and standard deviations such that (i) the efficient frontier intersects with the market portfolio and (ii) the distance between the adjusted parameters and the sample parameters is minimized. We conclude that the adjusted parameters are not significantly different from the sample parameters, in line with the results of Levy and Roll (2010) for the USA stock market. Such results suggest that the imprecisions in the implementation of the CAPM stem mostly from parameter estimation errors and that other explanatory factors for returns may have low relevance. Therefore, our results contradict the above-mentioned criticisms to the CAPM in Brazil.
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Forero-Laverde, German. "Stock market co-movement, domestic economic policy and the macroeconomic trilemma: the case of the UK (1922–2016)." Financial History Review 26, no. 3 (July 16, 2019): 295–320. http://dx.doi.org/10.1017/s096856501900009x.
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This article explores the global cycle hypothesis by testing whether the US stock market serves as an explanatory variable for the evolution of expansions and contractions in the UK stock market from 1922 until 2016. Alternatively, it tests an index that groups the stock markets of advanced economies to identify whether this driving force is international. Second, regarding co-movement with the US, the article explores whether its time-varying nature is contingent on the domestic and international economic policy regimes. I find evidence that there is a strong and contemporaneous co-movement between the US and UK stock markets. Additionally, through a VAR model, I identify that the movements in the UK stock market cause, in the Granger sense, changes in the index for advanced economies up to two years later. Furthermore, in the short-run co-movement between the US and UK stock markets is contingent on the macroeconomic trilemma while, in the long run, both domestic and international policy regimes affect the relationship. A final contribution is the design of a new methodology for describing the evolution of financial time series as risk-adjusted above or below average returns to different time horizons: the Local Bull Bear Indicators (LBBIs).
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Jiang, Zhenlong, Ran Ji, and Kuo-Chu Chang. "A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment." Journal of Risk and Financial Management 13, no. 7 (July 16, 2020): 155. http://dx.doi.org/10.3390/jrfm13070155.
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We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically according to market trend movements predicted by machine learning models. We employ Gini’s Mean Difference (GMD) to specify the risk of a portfolio and use a set of technical indicators generated from a market index (e.g., S&P 500 index) to feed the machine learning models to predict market movements. Using a rolling-horizon approach, we conduct a series of computational tests with real financial data to evaluate the performance of the machine learning integrated portfolio rebalance framework. The empirical results show that the XGBoost model provides the best prediction of market movement, while the proposed portfolio rebalance strategy generates portfolios with superior out-of-sample performances in terms of average returns, time-series cumulative returns, and annualized returns compared to the benchmarks.