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1
Alawneh, Ateyah. "Dividends, Net Income After Taxes and Earnings Per Share and Their Impact on the Market Capitalization of Listed Companies Amman Stock Exchange During the Period 1978-2016." International Journal of Economics and Finance 10, no. 10 (September 25, 2018): 69. http://dx.doi.org/10.5539/ijef.v10n10p69.
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The study aims to measure the impact of dividends, net income after taxes and earring per share on the market capitalization of companies listed in Amman Stock Exchange during the period 1978-2016. The study using E-views program to analyze the data, as the analysis showed that there is statistically significant positive relationship between the dividends and the market capitalization. As well as, a positive relationship between the net income after taxes and the market capitalization of listed companies in Amman Stock Exchange. The study found that there is no statistically significant between earnings per share and market capitalization, and this means that investors are interested in dividends and net income after taxes in the demand on shares, but they do not care about earnings per share when they demand shares.
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Mueller, Simon C., Alex Bakhirev, Markus Böhm, Marina Schröer, Helmut Krcmar, and Isabell M. Welpe. "Measuring and mapping the emergence of the digital economy: a comparison of the market capitalization in selected countries." Digital Policy, Regulation and Governance 19, no. 5 (August 14, 2017): 367–82. http://dx.doi.org/10.1108/dprg-01-2017-0001.
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Purpose The purpose of this paper is to develop a method to quantify the digital economy using a representative measurement approach and use it to analyze the USA, Germany, the Republic of Korea and Sweden. Design/methodology/approach The research approach of this paper is based on a developed methodology to identify firms of the digital economy by measuring the market capitalization of selected countries in comparison over time using financial databases. Findings Comparing the market capitalization of the digital economy, the USA lead both in absolute as well as in relative terms. The 11 firms with the largest market capitalization are all American. For Germany, the results show that policy measures should be undertaken to ameliorate competitiveness in the field. Research limitations/implications This current measurement only includes public firms. An interesting avenue for future research would be to transfer the approach to investigate private firms. Originality/value Previous research has focused on comparing information and communication technologies adoption and infrastructure as well as innovation hubs between countries. The authors are not aware of any paper to date which has compared market capitalization in the digital economy between countries using a representative sample. This paper offers a research approach to measure and compare the digital economy between countries. The methodology could be applied to other countries which seek to benchmark their performance and derive policy measures to be able to compete with jurisdictions leading in the digital economy.
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Derevyanko, Olena. "Reputational aspects of enterprise capitalization." Socio-Economic Problems of the Modern Period of Ukraine, no. 6(140) (2019): 67–71. http://dx.doi.org/10.36818/2071-4653-2019-6-12.
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The article covers the problems of study of reputation as a fundamental factor of capital formation in modern conditions of activity of an enterprise. Following methods were used for the implementation of the research: system-structural and terminological analysis in order to systematize the conceptual apparatus of capitalization; scientific generalization – in the systematization of the diverse interpretations of «capitalization»; the cause-and-effect relationships to determine the reputation as a fundamental factor of capital investment in the enterprise and to provide details to the mechanisms that ensure capitalization growth in terms of reputation. The paper provides scientific arguments regarding the characterization of reputation as a linking element of intellectual and social capital that affects the quality and results of the capitalization processes. The article sets out specific mechanisms that ensure capitalization growth in terms of reputation and categorizes them as follows: securing (facilitating) the access to capital; reducing costs, primarily transaction and management ones, as a result of a company’s organizational and managerial innovations that simplify communication; increasing the productivity of assets; the effect of reducing competition in the market segments where the products of the enterprise are positioned; the effect of increasing competition among investors for the opportunity to invest in this enterprise; sustainable development with the reputation that is purposefully formed; the effect of «longevity» or life-cycle extension. The correlation between the results of capitalization and the reputation of the company in the context of the creation of Schumpeterian and reputational rent is proved. The feasibility of using the rate of return on invested (operating) capital as a formal measure of reputation in the context of capital formation at the enterprise is emphasized. Author’s position regarding the reasonably of management focus on quality business processes (the formation of trust as result of effective business processes) and the impact on the values of stakeholders (building trust as proof of relationship/identity of the company’s values and its corporate audiences), which are the powerful concepts in the growth of capitalization of the enterprises, is explained.
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Kaya, Halil Dincer. "Financial Crises, Income Levels and Access to Finance." Studies in Business and Economics 12, no. 2 (August 28, 2017): 112–24. http://dx.doi.org/10.1515/sbe-2017-0025.
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Abstract In this study, we examine the impact of the 2008 Global Crisis on “access to finance” in high-income OECD, high-income non-OECD, middle-income, and low-income countries. We use three measures of access to finance. These are “Number of bank branches per 100,000 adults”, “Value traded of top 10 traded companies to total value traded (%)”, and “Market capitalization outside of top 10 largest companies to total market capitalization (%)”. During the run-up to the crisis and immediately after the crisis, we do not find any significant change in any of the three “access to finance” measures. We find that, during the crisis, only middle-income countries were affected significantly. These countries were affected in only one of the measures which is “Value traded of top 10 traded companies to total value traded (%)”. This measure went up and this change is marginally significant. We conclude that the global crisis only affected “access to finance” in middle-income countries.
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Rohit, Babitha, Prakash Pinto, R. Sushmitha, and M. M. Munshi. "Competitive Advantage and Risk: Impact on Indian Stock Market." Shanlax International Journal of Arts, Science and Humanities 9, no. 1 (July 1, 2021): 75–79. http://dx.doi.org/10.34293/sijash.v9i1.3905.
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The current study examines the performance of top 40 companies based on market capitalization for the period of 5 years (2015-2019). Competitive advantage is measured using asset turnover ratio and profit margin and risk is measured using financial leverage. Book to market ratio is used as a measure of market performance of the firms. The results indicate that profit margin has the most significant impact on the market performance in the Indian stock market.
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Mądra-Sawicka, Magdalena, and Joanna Paliszkiewicz. "Information Sharing Strategies in the Social Media Era: The Perspective of Financial Performance and CSR in the Food Industry." Information 11, no. 10 (September 29, 2020): 463. http://dx.doi.org/10.3390/info11100463.
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This paper aims to identify financial measures that are related to Corporate Social Responsibility (CSR) involvement activities. The study concerns the food industry, in which clients, as well as stakeholders, increasingly appreciate socially responsible companies, which could be a crucial factor for future growth strategy. An analysis was made on a sample of 448 food companies from 50 countries in 2009–2020. As a financial measure for CSR assessment, we used profitability ratios, dividend payout ratio, price-to-earnings ratio and market capitalization. The results confirmed that CSR reporting was a crucial division that differentiated companies from the perspective of profitability, OE, market capitalization, and share price. The CSR practices that are realized and published in reports become an important signal for investors that the company has a good financial situation and is able to invest in CSR without reducing its performance.
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Areeba Khan, Imran Sharif Chaudhry, Sohail Saeed, and Muhammad Kamran Shahid. "A Tale of the Ticker; Stock Market Capacity Building Hegemony and Temporal Performance in the Emerging Economies." Journal of Accounting and Finance in Emerging Economies 6, no. 1 (March 31, 2020): 33–52. http://dx.doi.org/10.26710/jafee.v6i1.1060.
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This paper aims to examine stock market with a capacity building perspective for economic growth, focusing on the factors that enhance stock market capitalization in the long term. This study evaluates cross country series data of 26 emerging countries listed at MSCI index, through a period of 2006 to 2019. The data were collected through World Bank, Pakistan Stock Exchange and SECP database. Vector Error correction model and Multiple Regression analysis were applied on data to analyze the impact of assorted factors on stock market capitalization to GDP as a measure of long term capacity.
The findings suggest that political stability and corporate tax rate are two important factors that may have significant impact on stock market capitalization to GDP. This research is different from all past researches with respect to methodological, aeon and acclimatization perspective. Capacity building is a relatively new phenomenon adopted from complex adaptive ecosystems and most studies in this area are of theoretical nature. Moreover, the fact that this research has considered not only the long term but also short-term market capitalization perspective, adds to its overall value and originality.
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Wong, Tze Sun. "Stock Characteristics and Individual Herding." International Journal of Applied Behavioral Economics 9, no. 4 (October 2020): 58–73. http://dx.doi.org/10.4018/ijabe.2020100104.
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Individuals who invest stocks in a market with excess volatility generally end up selling or holding the stocks at losses. The purpose of this study was to examine individual herding as it related to three comprehensible stock characteristics, market capitalization, price-to-book ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange in 2016. Data were collected through subscription. Based on Lakonishok, Shleifer, and Vishny's measure, individual herding was significant. The three stock characteristics were separately and as a whole related to individual herding. The findings confirmed sell-herding higher than buy-herding, more serious herding in high market capitalization stocks, and broad industry herding. The findings also extended knowledge to comparable herding levels with 8 to 10 years ago, more linearity between log market capitalization and log odds of herd occurrence, and less herding in P/B ratio stocks with other independent variables controlled.
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Guo, Wenjing, Zhe Lin, Nian Cheng, and Xiangping Liu. "Psychometric Properties of the Chinese Perceived Responses to Capitalization Attempts Scale." Social Behavior and Personality: an international journal 46, no. 11 (November 6, 2018): 1801–13. http://dx.doi.org/10.2224/sbp.7234.
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Capitalization is an interpersonal process where one shares personal positive events with others and receives benefits beyond that event's effect. The response a capitalizer perceives from the recipient determines the success of this process. The Perceived Responses to Capitalization Attempts Scale (PRCAS) is an English-language measure used to assess a capitalizer's perception of a recipient's responses. We tested the factor structure, internal consistency reliability, and concurrent validity of the Chinese version of the PRCAS with a sample of 1,213 Chinese college students. Factor analyses replicated the 4-factor model of active–constructive response, passive–constructive response, active–destructive response, and passive–destructive response. All subscales possessed satisfactory internal consistency and evidence for concurrent validity with measures of feeling, flourishing, self-esteem, and mental health symptoms. We also assessed the test–retest stability of the PRCAS with a separate sample of 119 Chinese college students, and found that the subscales possessed low test–retest reliability. Therefore, the Chinese PRCAS possessed acceptable psychometric properties.
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Derk, Ngee. "STUDY OF CONNECTION BETWEEN STOCK MARKET AND ECONOMIC PERFORMANCE IN MALAYSIAN CONTEXT." Finance & Accounting Research Journal 2, no. 2 (June 22, 2020): 82–90. http://dx.doi.org/10.51594/farj.v2i2.107.
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The focus of the study is to test the stock market performance influence on the economic growth for time series for the period of 2002 to 2018 on quarterly basis. In this study, the performance measures included standard deviation which is measure of volatility, total value traded shared as measure of liquidity, turnover ratio as measure of liquidity, and stock market capitalization ratio as a measure of the size. The focus of the study is the Malaysian stock exchange market. The study utilized real GDP as an indicator of economic growth. The exchange rate and the interest rates are used as control variables. The study used Vector Autoregressive model and the Granger causality test are utilized for finding the directional relationship between the stock market and economic growth connection. Results states that variables are statistically insignificant and there is no meaningful relationship found.
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Petersen, Christian V. "The value relevance of goodwill and goodwill amortization in a Danish setting." Corporate Ownership and Control 4, no. 1 (2006): 227–41. http://dx.doi.org/10.22495/cocv4i1c1p5.
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Based on data from the Danish Stock Exchange, this paper examines the value relevance of purchased goodwill and explores how goodwill should be measured subsequent to initial recognition. Danish accounting legislation requires capitalization and amortization of purchased goodwill. As of 2005 Danish listed companies must comply with international financial reporting standards (IFRS) issued by the International Accounting Standards Boards (IASB). An exposure draft (ED 3: Business Combinations) is presently under consideration by the IASB. If this exposure draft is implemented, Danish listed companies must carry out impairment tests on goodwill. The value relevance is tested by examining the association between goodwill and goodwill amortization and share prices, incremental to other accounting variables.The overall findings suggest that investors perceive goodwill as an asset with a long economic life time. The results support the Danish Financial Statements Act that requires capitalization of all purchased goodwill. The findings brings into question if goodwill amortization provides useful information to investors. This suggests that impairment testing might be an alternative way to measure acquired goodwill assets in subsequent years
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Ben Bouheni, Faten, and Houssem Rachdi. "Bank Capital Adequacy Requirements And Risk-Taking Behavior In Tunisia: A Simultaneous Equations Framework." Journal of Applied Business Research (JABR) 31, no. 1 (December 16, 2014): 231. http://dx.doi.org/10.19030/jabr.v31i1.9003.
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We extend exiting literature on the efficiency of capital adequacy requirements in reducing risk-taking behaviour of Tunisian commercial banks using a new risk measure: the weighted-assets to total assets. To that end, using a simultaneous equations framework, we reached four main results. First, interaction between capitalization and risk level is negative and not significant, which means that an increase in capital is followed by a decrease in banking risk-taking. Second, Tunisian banks dispose of a weak institutional and regulatory level. Third, the larger the banks are, the more they manage their risk, since large banks have more experience in managing risk levels through diversification. Finally, we found a negative relationship between size and bank capitalization, indicating that the larger bank size is the lower risk level is.
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Yusuff, Mulkat Ajibola, and Fatimah Olabisi Olaniran-Akinyele. "Financial Deepening And Financial Performance Of Deposit Money Banks In Nigeria." Advances in Social Sciences Research Journal 6, no. 11 (November 17, 2019): 179–91. http://dx.doi.org/10.14738/assrj.611.7351.
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This study examines the effect of financial deepening on financial performance of Nigerian Deposit Money Banks using time-series data spanning 1990Q1-2017Q4. The financial performance is expressed by return on assets (ROA) and return on equity (ROE) with total bank liability, private sector credit and market capitalization as measure of financial deepening. The technique of analysis deployed is autoregressive distributed lag (ARDL) to co integration. The findings show that the effect of total bank liability is positive and significant. Market capitalization and private sector credit on the other hand exert negative and significant effect. The study concludes that financial deepening affect financial performance of Deposit Money Banks in Nigeria. It then recommends effective loan recovery strategy to mitigate the negative influence of private sector credit due to non-performing loans.
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Holder, Anthony D., Khondkar E. Karim, and Ashok Robin. "Was Dodd-Frank Justified in Exempting Small Firms from Section 404b Compliance?" Accounting Horizons 27, no. 1 (November 1, 2012): 1–22. http://dx.doi.org/10.2308/acch-50288.
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SYNOPSIS: In recognition of the high cost of compliance with its Section 404b—Auditor Certification of Internal Controls—the Sarbanes-Oxley Act of 2002 (SOX) provided temporary exemption to small firms (called non-accelerated filers, typically with market capitalization of less than $75 million). This temporary exemption was later made permanent by the Dodd-Frank Wall Street Reform and Consumer Protection Act (2010). Our study estimates the opportunity cost of this exemption, that is, the reporting quality gains that would have been achieved by non-accelerated filers if exemption were not granted. We do so by using a “difference in differences approach”: We compare the effect of SOX on the reporting quality of accelerated filers with the effect of SOX on non-accelerated filers (identifying the two groups using market capitalization thresholds). We measure reporting quality principally by using earnings management and accrual quality measures. We detect a significant deterioration in reporting quality for non-accelerated filers but not for accelerated filers. The result is invariant to whether we compare non-accelerated filers with all accelerated filers or only with small accelerated filers. Our findings suggest a significant opportunity cost for the exemption. Although the consideration of the cost of Section 404b compliance is outside the scope of our study, our result concerning the opportunity cost suggests that it may have been premature to grant permanent exemption to the non-accelerated filers. This result is especially important considering current discussions to grant Section 404b exemption to even larger firms (up to a market capitalization of $500 million).
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Bussoli, Candida, Danilo Conte, Graziana Letorri, and Marco Barone. "Does It Pay to Be Sustainable? Evidence from European Banks." International Journal of Business and Management 14, no. 1 (December 19, 2018): 128. http://dx.doi.org/10.5539/ijbm.v14n1p128.
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This paper aims to explore the relationship between the economic, environmental, social, and corporate governance component of Corporate Social Performance (CSP) and the Corporate Financial Performance (CFP) in the European banking sector. The empirical analyses, based on panel data, are performed on a sample of 70 listed European banks (EU28) over the period 2011-2015. The main results show a significant and positive relationship between the aggregated CSP measure and the average profitability of banks' assets and market capitalization. Furthermore, the social component positively affects the average return on assets and equity; the economic component is positively associated with the performance of prospective profitability and market capitalization; finally, the environmental component is positively associated with the ROAA. Sustainable banks, in line with the stakeholder Theory, through ethical and social policies, might increase their financial and economic performance.
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Islami, Imas Nurani, and William Rio. "Financial Ratio Analysis to Predict Financial Distress on Property and Real Estate Company listed in Indonesia Stock Exchange." JAAF (Journal of Applied Accounting and Finance) 2, no. 2 (January 21, 2019): 125. http://dx.doi.org/10.33021/jaaf.v2i2.550.
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This study aims to prove the ability of financial ratios in measuring financial distress. As is known that the start of the number of new companies that compete in order to achieve corporate goals, even more national companies that want to compete with foreign companies. On this basis, researchers attempt to prove the probability of occurring financial distress by using several financial ratios, especially large companies such as property and real estate firms. The financial ratios used in this study are current ratio, debt ratio, return on equity ratio, and capitalization ratio. With the type of research that is quantitative, the population that has been used in this study are property and real estate companies listed on the Indonesia Stock Exchange period 2012-2016. -. The sample obtained is a company that continuously publish its financial report within five years. According to the results of research that has been done, the ratio is able to measure the possibility of financial distress in property companies and real estate is the current ratio, debt ratio, and return on equity ratio. While the ratio is not able to measure the likelihood of occurrence of financial distress is capitalization ratio.
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Fisman, Raymond, and Eric Zitzewitz. "An Event Long-Short Index: Theory and Applications." American Economic Review: Insights 1, no. 3 (September 1, 2019): 357–72. http://dx.doi.org/10.1257/aeri.20180399.
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We propose a stock market-based measure to capture initial beliefs about an event’s effect on firm profits, which may be used to measure whether initial expectations are subsequently realized. Our “Event Long-Short Index” is the difference in market-capitalization-weighted returns of firms that outperform versus underperform the market on the event date. We use post-event index returns to measure whether initial beliefs are reinforced or attenuated. We apply our approach to the 2016 US presidential election and Brexit referendum to illustrate the index and its interpretation and to validate it, showing that it moves as expected following subsequent political and business news. (JEL D22, D72, D83, G14, L25)
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Alharthi, Majed. "A comparative study of efficiency and its determinants in Islamic, conventional, and socially responsible banks." Corporate Ownership and Control 13, no. 4 (2016): 470–82. http://dx.doi.org/10.22495/cocv13i4c3p6.
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This study empirically estimates efficiency and its determinants in 190 Islamic (IBs), conventional (CBs), and socially responsible banks (SRBs) in 22 countries during the period 2005-2012. The study first uses non-parametric approaches to estimate the efficiency measures (scale efficiency (SE), technical efficiency-constant returns to scale (CRS), and technical efficiency-variable returns to scale (VRS)) and second employs ordinary least squares, fixed effects, random effects, and TOBIT models to get the efficiency determinants. The findings indicate that the average efficiency is 0.966, 0.952, and 0.983 for the SE, CRS, and VRS, respectively. However, efficiency measures show that the SRBs are most efficient banks whereas, the least efficiency scores archived by Islamic banks. Islamic bank efficiency is positively correlated with size, loan intensity, ROA, inflation rates, market capitalization and financial crisis. However, conventional banks’ TE and CRS efficiency are positively and significantly correlated with size, ROA, and market capitalization, while their VRS efficiency is negatively and significantly related to capital ratio, age and GDP. In addition, SRBs’ efficiency is increased by size, capital ratio, loan intensity, ROA, foreign ownership, domestic ownership, inflation and financial crisis. Furthermore, the financial crisis affects the SE and CRS efficiency measures in Islamic banks while socially responsible banks SE efficiency measure is positively affected by the financial crisis, which means that socially responsible banks were stabled and resisted during the crisis period. Finally, there is no significant correlation between financial crisis and efficiency indictors in conventional banks during the period
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Kousenidis, Dimitrios V., Dimitrios I. Maditinos, and Željko Šević Šević. "The Premium/Discount Of Closed-End Funds As A Measure Of Investor Sentiment: Evidence From Greece." Journal of Applied Business Research (JABR) 27, no. 4 (June 20, 2011): 29. http://dx.doi.org/10.19030/jabr.v27i4.4655.
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<p>We examine the proposition that the premium/discount (PD) of Greek closed-end funds (CEFs) is an accurate proxy for the small-investor sentiment risk. We find that the average PD explains the returns of portfolios of large capitalization and low book-to-market ratio stocks. In this context, we are unable to confirm a link between the perceived PD anomaly and the small size effect. Moreover, we show that the explanatory power of the PD for portfolio returns depends on the form of the asset pricing model used in the regression analysis. Finally, in terms of predictive ability, we find evidence that the PD predicts the size and the book-to-market premiums but little evidence that the PD predicts individual portfolio returns.</p>
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Kamiru, John, and Carl B. McGowan, Jr. "The Relationship Between Stock Market Development And The Opacity Index." International Business & Economics Research Journal (IBER) 12, no. 9 (August 30, 2013): 1131. http://dx.doi.org/10.19030/iber.v12i9.8058.
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In this paper, we investigate the relationship between stock market development and the Opacity Index for 2005/2006, 2007/2008, and 2009. The role of financial institutions in promoting economic growth and development is well established. The specific role of the stock market in economic growth and development is to provide capital to entrepreneurs and growing companies and to direct capital to companies that provide the highest rate of return. The Opacity Index is a measure of transparency for an economy and measures the degree of transparency in an economy. We find a statistically significant relationship between the Opacity Index and the ratio of stock market capitalization divided by GDP for a sample of 45 countries for which the Opacity Index is provided.
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LO, ANDREW W., and A. CRAIG MACKINLAY. "MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS." Macroeconomic Dynamics 1, no. 1 (January 1997): 102–34. http://dx.doi.org/10.1017/s1365100597002046.
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We construct portfolios of stocks and bonds that are maximally predictable with respect to a set of ex-ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources of predictability by using several asset groups — sector portfolios, market-capitalization portfolios, and stock/bond/utility portfolios — and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return horizon changes. Using three out-of-sample measures of predictability — forecast errors, Merton's market-timing measure, and the profitability of asset-allocation strategies based on maximizing predictability — we show that the predictability of the maximally predictable portfolio is genuine and economically significant.
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Susilandari, Caecilia Atmini. "PENGARUH HUMAN CAPITAL (LABOR INCOME) TERHADAP EXPECTED STOCK RETURNS." Jurnal Akuntansi 12, no. 1 (April 1, 2018): 58–79. http://dx.doi.org/10.25170/jara.v12i1.58.
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This research intended to analyse the use of premium as the proxy of human capital (labor income) in the industry level as one of the factors to measure the expected stock returns other than market, smb, hml, umdand liquidity variable that can be applied in Indonesia.The analysis coveres the human capital (labor income) in the industry level to cross section of stock return and the effect of human capital (labor income) to idiosyncratic risk in the asset pricing model. It usesincome percapita to measure the premium variabel in the period of 2001 – 2011 and 30 stocks portfolio chosen based on the biggest market capitalization value in six sector in the period of 2001 – 2011
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Paudel, Krishna P., Rex H. Caffey, Nirmala Devkota, and Larry M. Hall. "Opening a Public Recreation Area to Revitalize Coastal Communities and Preserve Natural Resources in Louisiana: The Case of Elmer's Island." Journal of Agricultural and Applied Economics 37, no. 2 (August 2005): 475–84. http://dx.doi.org/10.1017/s1074070800006945.
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The income capitalization approach is used, based on expenditure and nonmarket values collected from travel-cost and contingent valuation methodologies, to measure the feasibility of running a self-sustaining recreational site in coastal Louisiana. Through Internet and intercept surveys, a total of 2,696 respondents, 88% of them anglers, provided information on economic expenditures, destination preferences, and preferences for specific site amenities regarding Elmer's Island. The purchase and subsequent opening of the area to the public were found to be self-sustaining even when considering conservative economic estimates.
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Lesmana, Theresia. "Penilaian Kinerja Keuangan 5 Perusahaan Perbankan Terbesar Periode 2010-2012 Menggunakan DuPont System." Binus Business Review 4, no. 2 (November 29, 2013): 834–40. http://dx.doi.org/10.21512/bbr.v4i2.1399.
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Assessment of corporate performance can be viewed from financial aspect and nonfinancial aspect. This study attempted specifically to measure financial performance by using the DuPont system of financial analysis. DuPont system disaggregates performance into three components. They are Net Profit Margin (NPM), Return on Assets (ROA) and Return on Equity (ROE). Object of this study is five largest financial institutions based on market capitalization and go public. Those five financial institutions are Bank Republik Indonesia (Persero) Tbk (BBRI), Bank Central Asia Tbk (BBCA), Bank Mandiri (Persero) Tbk (BMRI), Bank Negara Indonesia (Persero) Tbk (BBNI) and Bank Danamon Indonesia Tbk (BDMN). The financial performance of five banks was measured for three periods, from 2010 until 2012. It was found that only Bank Negara Indonesia (Persero) Tbk is the best financial performance using DuPont System.
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Svanadze, Salome, and Magdalena Kowalewska. "The measurement of intellectual capital by market capitalization method: Empirical study of Polish listed companies." Online Journal of Applied Knowledge Management 5, no. 2 (May 20, 2017): 106–15. http://dx.doi.org/10.36965/ojakm.2017.5(2)106-115.
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Intellectual capital has become a fundamental source for enterprises, but its measurement and reporting remain a major challenge for managers and researchers. The purpose of this paper is to examine and report the differences in the Intellectual Capital (IC) Market Value (MV) to Book Value (BV) of the Polish WIG 20 indexed companies from Warsaw Stock Exchange. The data necessary to perform the calculations in accordance with the MV/PV method came from the financial statements for the period 2010-2014 of 20 Polish companies. The MV/BV method provides the means to measure intellectual capital in a precise and timely calculation and is particularly useful for the companies that are listed on the stock market. Results are presented and followed by discussion and implication for future research.
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Dutta, Nabamita, and Deepraj Mukherjee. "Cultural traits and stock market development: an empirical analysis." Journal of Entrepreneurship and Public Policy 4, no. 1 (April 13, 2015): 33–49. http://dx.doi.org/10.1108/jepp-01-2013-0003.
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Purpose – During recent times, the stock market has emerged as a major financial institution of an economy. Yet, cross-country differences, in size and role of stock market, persist. The purpose of this paper is to investigate the correlation between cultural traits and the development of the stock market in a country. Considering multiple dimensions of culture, identified in the literature by Hofstede (1980/2001) and World Value Survey, the authors construct the hypotheses: trust, a key cultural trait, should positively influence stock market development; uncertainty avoidance, Hofstede’s cultural dimension should negatively influence the development of the stock market; and individualism, an alternate cultural dimension of Hofstede’s measures, should be positively correlated with stock market development. The cross-country empirical analysis supports the hypotheses. The results hold for multiple measures of stock market development. Design/methodology/approach – This paper investigates the correlation between various cultural traits and the development of the stock market in a country. Specifically, the authors consider three different cultural trait measures. The authors consider a cross-sectional analysis of an extensive number of countries. While all explanatory variables of interest are considered over the period 2000-2007, the authors consider 2008 figures for the dependent variables of interest, financial development. Ordinary least squares is considered as the benchmark specification. Robust regression has been considered as part of robustness analysis. The authors mention throughout the paper that the results stress on significant association between the variables, only. Findings – The empirical results support the hypotheses. The first measure, trust, is positively associated with stock market development of a nation. Statistically, for one standard deviation rise in trust (1 SD=37.5), stock market capitalization will go up between 11 and 19 percentage points. Uncertainty avoidance, the second measure is negatively correlated and statistically, the impact is much greater. Finally, the third measure, individualism, is positively correlated with stock market development. Statistically, for one SD rise in individualism (SD=23.9), stock market capitalization will rise by 23 percentage points. Originality/value – Existing literature has stressed the role of cultural traits – trust, uncertainty avoidance, individualism – in the promotion of entrepreneurship, innovation and growth. Since most startups need to raise capital in order to implement their new ideas, cross-country heterogeneity in the strength of capital markets may lead to important differences in entrepreneurship and productivity growth across economies (Greenwood and Jovanovic, 1990; Jayaratne and Strahan, 1996; Levine, 1997; Beck et al., 2000; Guiso et al., 2004). Yet, the link between stock market development and cultural traits has not been established in the literature. This paper aims to fill this missing link.
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Mohanadas, Nirmala Devi, Suganthi Ramasamy, and Abdullah Sallehhuddin Abdullah Salim. "Corporate Tax Avoidance of Malaysian Public Listed Companies: A Multi-Measure Analysis." GATR Accounting and Finance Review 6, no. 1 (June 29, 2021): 44–53. http://dx.doi.org/10.35609/afr.2021.6.1(1).
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Objective - Even with corporate tax avoidance being extensively studied, it is still lacking a single universal measurement. There is also a dearth of studies focusing on developing economies such as Malaysia. This study, therefore, analyses the correlations between effective tax rates (ETRs) and book-tax differences (BTDs), which are the most commonly used measures of corporate tax avoidance on Malaysian listed companies for ten years. Methodology/Technique - This study performs distribution, frequency, and correlation analyses on the ETRs and BTDs of the Top 300 companies listed in the Main Market of Bursa Malaysia based on market capitalization. The data used spans a ten-year period from 2010 to 2019. Findings - The results of the distribution, frequency, and correlation analyses show that both these measures are closely related gauges of corporate tax avoidance. Novelty - The results of this study provide further statistical proof that ETR and BTD measures of corporate tax avoidance are closely related. Its utilization of data from listed companies in Malaysia expands the current body of literature by addressing corporate tax avoidance practice in a developing economy. By concentrating on both ETR and BTD measures, this study's analysis is consistent with the broad continuum of corporate tax avoidance spectrum and significantly reduces the risk of warping its determination of tax avoidance level. Type of Paper - Empirical. Keywords: Cash ETR; corporate tax avoidance; GAAP ETR; permanent BDT; total BTD. JEL Classification: G30, H25, H26, M40. URI: http://gatrenterprise.com/GATRJournals/AFR/vol6.1_1.html DOI: https://doi.org/10.35609/afr.2021.6.1(1) Pages 44 – 53
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Khan, Mohammed Arshad, Preeti Roy, Saif Siddiqui, and Abdullah A. Alakkas. "Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks." Complexity 2021 (July 8, 2021): 1–14. http://dx.doi.org/10.1155/2021/8360778.
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Exposure of the banking system to the Global Financial Crisis attracted attention to the study of riskiness and spillover. This paper studies the pattern of systemic risk and size effect in the Indian banking sector. Based on market capitalization, three public sector banks and three from the private sector were taken. Data are taken from the year 2007 to 2020. The analysis is done through quantile- CoVaR (Conditional Value at Risk) and TENET (Tail-Event-Driven Network) measure. State variables like Indian market volatility and global risk measures negatively influence the Indian banks’ returns. Liquidity risk is a crucial aspect of private banks. Public banks experience public confidence even in the distress period. Large banks like HDFC and SBI bank offer the highest degree of systemic risk contribution. The role of private banks in transmitting systemic risk has been intensifying since 2015. Small-sized banks like PNB and BOB have become significant receivers and transmitters of risk.
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Mihaiu, Diana Marieta, Radu-Alexandru Șerban, Alin Opreana, Mihai Țichindelean, Vasile Brătian, and Liliana Barbu. "The Impact of Mergers and Acquisitions and Sustainability on Company Performance in the Pharmaceutical Sector." Sustainability 13, no. 12 (June 8, 2021): 6525. http://dx.doi.org/10.3390/su13126525.
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The primary goal of this study was to determine the impact of mergers and acquisitions (M&A) and the environmental, social, and governance (ESG) sustainability scores of companies. In this regard, efforts to measure and analyze the evolution of a company’s performance, taking into account financial and non-financial measures using a score function, are adapted to the pharmaceutical sector. The sample consisted of 100 leading pharmaceutical companies, ranked by stock market capitalization, who registered 30% (n = 492) of the total M&A transactions over the study period (2010–2020). There was a direct and positive link between the M&A process and the evolution of company performance. The ESG score, as an indicator for measuring sustainability, has a positive and direct impact on company performance, indicating that a high ESG score determines an increase in company performance. A similar impact is identified for companies involved in M&A processes, meaning that companies in the pharmaceutical sector tend to register a performance improvement.
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TSAI, YINLIN, and Johnny Tung. "The Factors Affect Company Performance in Renewable Energy Industry." International Journal for Innovation Education and Research 5, no. 6 (June 30, 2017): 188–204. http://dx.doi.org/10.31686/ijier.vol5.iss6.748.
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Concerns about global warming and climate change are generating interest in renewable energy measures with the purpose to minimize environmental impact. Promoting renewable energy production becomes indispensable since its represent a tiny fraction of energy consumed. The purpose of this study is to identify the performance determinants are divided in country specific advantages and firm specific advantages. Companies were selected from Bloomberg and filtered due to its information ava ilability from COMPUSTAT to construct a Panel Data structure. The results proved that both country level (shares of renewable and energy consumption) and firm level (market capitalization, employee growth rate and capital intensity) determinants were signi ficant in the renewable energy industry. Through the analysis, it’s possible to realize that return on assets it’s a performance measure with long term results, but unlike it, gross profit margin is variable that demonstrate short term results. We conclude that renewable energy industry has a great potential due to its results performed.
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Kim, Suyon, and Jaehong Lee. "Accounting Treatment of R&D for Environmentally Responsible Firms: Evidence from South Korea." Sustainability 12, no. 8 (April 22, 2020): 3418. http://dx.doi.org/10.3390/su12083418.
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The purpose of this paper is to investigate the relationship between corporate environmental responsibility (CER) and R&D accounting treatment. Using firms listed in the Korea Stock Exchange (KSE) market between the years 2014 and 2018, this study not only investigates this relationship but also expands upon CER activities in various aspects, such as environmental performance strategy, environmental performance organization, and environmental shareholders. Furthermore, the positive association between various CER activities and R&D capitalization is significant in a highly competitive market. This relationship is robust with an alternative measure of CER activities and firm-fixed effects. This result implies that firms participating in CER activities focus on sustainable commercial success, unlike other firms.
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Wan, Yinglin. "The Impact of Stock Index Futures on the Information Environment of Listed Firm: Evidence from Chinese Listed Firms." International Journal of Business and Management 13, no. 5 (April 18, 2018): 147. http://dx.doi.org/10.5539/ijbm.v13n5p147.
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We investigate the impact of stock index futures on the information environment of listed firms through the launch of Shanghai-Shenzhen 300 stock index futures (CSI 300 index) as natural experiment on April 16, 2010. We employ difference in difference analysis and apply the PIN indicator (the probability of informed trading) to measure information asymmetry. We found that the CSI 300 index significantly reduce the information asymmetry of CSI 300 companies. For the companies with higher market capitalization, higher turnover rate and higher institutional investor’s rate, the impact of stock index future on the corporate information environment is more significant. The results of this paper provide new evidence for evaluating the impacts of Chinese stock index futures.
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Sghaier, Asma, Mahmoud Sabra, Zouhayer Mighr, and Philippe Gilles. "Measuring Efficiency of Islamic and Conventional Banks in MENA Region." International Journal of Sustainable Economies Management 5, no. 1 (January 2016): 29–51. http://dx.doi.org/10.4018/ijsem.2016010103.
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This study aims to measure the performance and efficiency of Islamic and conventional banks in the MENA region and its determinants. The authors use for this purpose the Data Envelopment Analysis (DEA) method and the analysis of the Stochastic Frontier Analysis (SFA) method for calculating the technical efficiency scores. The results reveal similar trends for both types of performance measurement. The banks category analysis revealed that conventional banks are more efficient than Islamic banks. Despite technological changes experienced by the banking system in the MENA region, the efficiency analysis shows that the technical inefficiency results from the pure technical inefficiency. Finally, the effectiveness of banks in the MENA region is sensitive to variables such as the crisis, deposits, capitalization and including especially variables related to business lines.
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Raja, Khurram Parvez, and Alex Kostyuk. "Perspectives and obstacles of the shareholder activism implementation: A comparative analysis of civil and common law systems." Corporate Ownership and Control 13, no. 1 (2015): 520–33. http://dx.doi.org/10.22495/cocv13i1c5p1.
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The paper outlines shareholder activism development in common law and civil law countries and identifies features of these legal systems that create preconditions and obstacles for shareholder activism. Our findings show that tendencies of shareholder activism depend on the type of the legal system, but also vary within the countries that share the same legal system. Thus, we conclude that the type of legal system is not the chief determinant of shareholder activism. A comparative analysis of shareholder activism in Germany and Ukraine (civil law countries) and the USA and the UK (common law countries) shows that the system of domestic corporate regulation, development of the stock market, companies’ capitalization and corporate governance influence the development of shareholder activism in equal measure.
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Moldasheva, Gulnara. "Corporate governance practices in emerging markets: Evidence from Kazakhstan financial system." Corporate Ownership and Control 13, no. 1 (2015): 889–906. http://dx.doi.org/10.22495/cocv13i1c8p8.
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This research examines the influence of corporate governance practices on leverage and financial performance of firms in financial system of Kazakhstan. The research employs level data for financial institutions, listed on Kazakh Stock Exchange by using multivariate regression analysis under fixed effect model approach. Results of panel study showed that board size is significantly positively correlated with debt to equity ratio, and with the number of independent directors. Private investors’ shareholding is significantly negatively correlated with debt to equity ratio. CEO/Chair duality is significantly positively correlated with the debt to equity ratio. The size of form has also significant effect on the leverage level. Analysis of the banking sector showed a negative relationship between managerial ownership (MO) and both market value (Tobin’s Q) and performance (ROA and ROE). Moreover, there are statistically significant relationship between bank performance and stock market capitalization, scaled to GDP of country, and there is statistically significant negative relationship between Tobin’s Q and net interest income to total operating income as a proxy for income diversity. The findings also show higher risk-taking behavior (capital market indicators as risk measure, Z-score and the percentage of non-performing loans in total loans as NPL/L). There is a positive relation between MO and Z - scores, and negative relationship between MO and NPL. Moreover, there are significant relationship between banking risk and development of the financial markets which is proxy by private credit and stock market capitalization, both scaled by GDP of country, and, there is statistically significant negative relationship between debt intensity and risk.
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Louati, Salma, and Younes Boujelbene. "Banks’ stability-efficiency within dual banking system: a stochastic frontier analysis." International Journal of Islamic and Middle Eastern Finance and Management 8, no. 4 (November 16, 2015): 472–90. http://dx.doi.org/10.1108/imefm-12-2014-0121.
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Purpose – The purpose of this paper is to examine and compare the market power and the efficiency-stability of Islamic and conventional banks in the MENA zone and South East Asia during the 2005-2012 period. Design/methodology/approach – The author applied an empirical approach in two steps. First, the author estimates the Lerner indicator, which is a measure of competition. Then, this measure is regressed and other explanatory variables on the banking “stability-efficiency” are derived simultaneously from the estimation of a stability stochastic frontier. Findings – The author concludes that increased competition in the Islamic banking sector promotes the overall banking stability. Besides, whether there is a low or high competitiveness, the size of an Islamic bank is positively related to financial stability. However, large conventional banks operating in market with limited competitiveness become more involved in the risk behavior. The author concludes that capitalization has a positive effect on stability only in case of low competitiveness. Originality/value – The originality of this research lies in the application of the stochastic frontier approach (SFA) on the Z-score indicator. This methodology enables to take into account the differences between the current and the optimum stability that each bank can achieve, thus creating a new measure of financial stability called “efficiency-stability”.
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KIM, Jun Sik, Da-Hea KIM, and Sung Won SEO. "INDIVIDUAL MEAN-VARIANCE RELATION AND STOCK-LEVEL INVESTOR SENTIMENT." Journal of Business Economics and Management 18, no. 1 (February 5, 2017): 20–34. http://dx.doi.org/10.3846/16111699.2016.1252794.
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This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of a strong riskreturn trade-off among stocks with low retail concentration (e.g., large capitalization, high-priced, and growth stocks). Existing research only analyzes market-wide investor sentiment. However, we study the effect of stock-level investor sentiment on individual stock returns. Therefore, our findings suggest novel implications about the investment strategy that the stock-level investor sentiment is important when constructing portfolios based on variance.
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S.O., Adeusi, and Azeez B. A. . "Impact of Capital Market Development on the Nigerian Economy: A Post-SAP Analysis." Journal of Economics and Behavioral Studies 5, no. 1 (January 30, 2013): 1–7. http://dx.doi.org/10.22610/jebs.v5i1.374.
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This paper addresses the impact of capital market development on economic growth and development since the liberalization policy in 1986 to 2010 in Nigeria. It employs Ordinary Least Square (OLS) and Johansen CO-integration estimation techniques. Gross Domestic Product (GDP) was used as measure for economic growth while the capital market development are represented with Market Capitalization (MCAP), Total Value of Transaction (TVT), Total New Issues (TNI), All-Share Index (ALSI) and Total Listing on the NSE (TLT). The result of the study shows that capital market development has not impacted positively on Nigeria economic growth and development due to the relative small size of the market despite its development as a result of the liberalization policy. Thus, it recommends that policies that would encourage domestic as well as foreign investors to participate in the market should be formulated.
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Wang, Chia-Nan, Quoc-Chien Luu, Thi-Kim-Lien Nguyen, and Jen-Der Day. "Assessing Bank Performance Using Dynamic SBM Model." Mathematics 7, no. 1 (January 11, 2019): 73. http://dx.doi.org/10.3390/math7010073.
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Global economic growth has led banks to expand their operations all over the world. The purpose of this research was to understand the efficiency of 18 large bank from all over the world during the period from 2013 to 2017. The performance was estimated by a dynamic slacks-based measure (SBM) model in data envelopment analysis (DEA). This model could be solved using inputs, outputs, and links. The banks variables were considered as follows: Assets, capitalization, and liabilities as inputs; revenue as output; and net interest income as a good link. The final empirical results exhibit the efficiency for each term, and the overall score. The data analysis recommends a feasible solution to refine inefficient terms based on the projections (slacks). This study visually observed the proficiency of the banking industry to equip enterprises with the best choice for their finances.
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Chaibi, Hasna. "Determinants of Problem Loans: Non-performing Loans vs. Loan Quality Deterioration." International Business Research 9, no. 10 (August 30, 2016): 86. http://dx.doi.org/10.5539/ibr.v9n10p86.
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<p class="1main-text">The growing literature on credit risk determinants provides results that are based on the set of bad loans present in the bank's assets especially non-performing loans. Besides this classic proxy, the present paper examines the determinants of loan quality deterioration by using a qualitative measure. Actually, we take advantage of a detailed dataset containing information on the quality of loans contracted by banks to different Tunisian firms. The study aims to detect if credit risk determinants are different through quantitative and qualitative proxies. We take into account bank-specific indicators that are likely to affect banking credit risk. Overall, the results show that cost inefficiency, bank profitability is common determinants of the credit risk level and the loan quality deterioration, that are differently influenced by bank size and capitalization.</p>
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Hsieh, Heng-Hsing, Kathleen Hodnett, and Paul Van Rensburg. "Fundamental Indexation For Global Equities: Does Firm Size Matter?" Journal of Applied Business Research (JABR) 28, no. 1 (July 17, 2012): 105. http://dx.doi.org/10.19030/jabr.v28i1.7154.
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Market capitalization is often used as the weighting methodology for broad market indexes to reflect the performances of large established firms in the market. The market capitalization of a firm is a price-sensitive measure of firm size that self-adjusts to reflect the firms intrinsic value in an efficient capital market. In the presence of investor overreaction, the price-sensitive cap-weighted indexes cease to be mean-variance efficient in that they overweigh overvalued assets and under weigh undervalued assets. Fundamental indexation, proposed by Arnott, Hsu and Moore (2005), argue that fundamental values of a firm such as book value, revenues and earnings are price-insensitive, and hence are not subject to the systematic overshooting of asset prices through noise trading. The aim of this paper is to test whether fundamental-weighted indexes are more mean-variance efficient proxies for large established firms in the global equity market compared to cap-weighted indexes over an extensive 18-year period from 1991 to 2008. Test results show that fundamental-weighted indexes outperform cap-weighted indexes over two sub-periods as well as the overall examination period, during an expansionary market and in turbulent times. A strong negative relationship between the degree of index concentration and the index performance is detected for cap-weighted indexes while no such relationship is detected for the fundamental-weighted indexes. Our results suggest that price-insensitive fundamental-weighted indexes are more mean-variance efficient proxies for the performances of large firms for global equities relative to cap-weighted indexes. By removing the price-element in measuring firm size, the small firm anomaly is not present in fundamental-weighted indexes.
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Hatem, Ben Said. "A Study of A Causality Relationship between Profitability and Firm Value: A Comparison between European Countries." International Finance and Banking 4, no. 1 (April 10, 2017): 108. http://dx.doi.org/10.5296/ifb.v4i1.9294.
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The aim of our paper is to test for a causality interdependence between profitability and firm value. To this end, we examined a sample of two European countries: Italy and Poland. Our samples contain 200 firms from each country studied over a period of 4 years from 2007 to 2010. As a measure of firm performance, we use two ratios; return on assets and return on equity. Regarding firm value, we used two ratios; Tobin’s Q calculated as long-term debt increased by short-term debt divided by total assets, and Market To Book ratio calculated as market capitalization divided by shareholder’s equity. The descriptive statistics show that Italian firms have higher market values. We obtained mean values of 1,123 and 2,0698 of Tobin’s Q and MTB, respectively. However, firms of Poland are more profitable than firms of Italy. Using a data panel method, we concluded that for firms of Italy, there is a causality relationship between profitability, approximated by return on assets and return on equity and firm value, measured by Tobin’s Q. For firms of Poland, a causality relationship is also found.
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Eklund, Carita Mirjami. "Why do some SME's become high-growth firms? The role of employee competences." Journal of Intellectual Capital 21, no. 5 (May 31, 2020): 691–707. http://dx.doi.org/10.1108/jic-07-2019-0188.
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PurposeHigh-growth firms generate a large share of new jobs and are thus the key drivers of innovation and industry dynamics. As the employees' education supports innovation and productivity, this article hypothesizes that employee competences explain high growth.Design/methodology/approachThe study approaches this by examining intangible capital and specialized knowledge to evaluate how these characteristics support the probability of becoming a high-growth firm. The estimation uses linked employer–employee data from Danish registers from 2005 to 2013.FindingsAs the authors measure high growth with the size-neutral Birch index, they can examine the determinants of high growth across different firm size classes. The findings imply that intangible capital relates positively to the firm's high growth.Originality/valuePrevious research on high-growth firms is concentrated on the owners’ education. This article broadens to the high education of all employees and accounts for the employees’ occupation and capitalization of knowledge with intangible capital.
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Tsaurai, Kunofiwa. "The nexus between stock market development and economic growth." Corporate Ownership and Control 14, no. 1 (2016): 269–77. http://dx.doi.org/10.22495/cocv14i1c1p10.
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The study investigated the relationship between stock market development and economic growth in Belgium using ARDL approach with annual time series data from 1988 to 2012. Real GDP per capita was used as a proxy for economic growth and stock market capitalization as a ratio of GDP as an approximate measure of stock market development. The relationship between stock market development and economic growth falls into four categories which are (1) stock market-led economic growth, (2) economic growth-led stock market development, (3) feedback effect and (4) neutrality hypothesis where the relationship between the two variables does not exist. Despite the existence of these four views on the relationship between stock market and economic growth, it appears from the literature review done by the author that majority of the empirical evidence support the stock market-led economic growth view. The fact that the topic on the directional causality between stock market and economic growth is still inconclusive is the major motivating factor why the author chose to investigate the relationship between the two variables in Belgium. The study observed that there exist an insignificant long run causality running from stock market development towards economic growth in Belgium. This relationship was not detected in the short run. Moreover, the reverse causality from real GDP per capita to stock market capitalization both in the long and short run was not detected in Belgium. These results are at variance with the majority of the empirical findings reviewed earlier on. It could possibly be that certain conditions that are necessary to enable stock market to significantly positively influence economic growth were not in place in Belgium. Therefore, the study urges the Belgium authorities to put in place the right environment, policies and programmes that enable the stock market to play its role of stimulating economic growth.
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Bibi, Nazish, and Shehla Amjad. "The Relationship between Liquidity and Firms’ Profitability: A Case Study of Karachi Stock Exchange." Asian Journal of Finance & Accounting 9, no. 1 (February 8, 2017): 54. http://dx.doi.org/10.5296/ajfa.v9i1.10600.
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The purpose of this paper is to investigate the relationship between firm’s liquidity and profitability; and to find out the effects of different components of liquidity on firms’ profitability.The relationship between liquidity and firms’ profitability is empirically examined by collecting the data of 50 listed firms of Karachi Stock Exchange, Pakistan. Panel data has been collected from secondary sources for the year 2007 to 2011 .Net operating income and Return on assets are used measure of firm’s profitability. Liquidity of the firm is measured by using cash gap in days and current ratio. Firm size measured by net sales, total assets and market capitalization .The study applies regression analysis to determine factors affecting profitability. Incremental tests are carried out to see the importance of individual variables in the model.The results of correlation and regression analysis showed that there is a significant negative relationship between cash gap and return on assets while current ratio has significant positive relationship with profitability. Results further indicate that log of sales and log of total assets has positive significant relationship with profitability. The findings of this study are based on firms listed on the Karachi Stock Exchange (KSE). Hence, the results cannot be generalizable to those firms which are not listed on Karachi stock exchange. The sample of the study comprises only the merchandising and manufacturing firms. Banks are excluded due to their nature of work.
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Song, Quanrui, Jianxu Liu, and Songsak Sriboonchitta. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas." Mathematics 7, no. 3 (March 18, 2019): 274. http://dx.doi.org/10.3390/math7030274.
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Multivariate copulas have been widely used to handle risk in the financial market. This paper aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure and compare the financial risks of the emerging economy, developed economy, and global economy. In this paper, we used data from three groups (BRICS, which stands for emerging markets, specifically, those of Brazil, Russia, India, China, and South Africa; G7, which refers to developed countries; and G20, which represents the global market), separated into three periods (pre-crisis, crisis, and post-crisis) and weighed Value at Risk (VaR) and Expected Shortfall (ES) (based on their market capitalization) to compare among three copulas, C-Vine, D-Vine, and Factor copulas. Also, real financial data demonstrated that Factor copulas have stronger stability and perform better than the other two copulas in high-dimensional data. Moreover, we showed that BRICS has the highest risk and G20 has the lowest risk of the three groups.
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Maciel, Leandro Dos Santos, and Rosangela Ballini. "On the predictability of high and low prices: The case of Bitcoin." Brazilian Review of Finance 17, no. 3 (October 15, 2019): 66. http://dx.doi.org/10.12660/rbfin.v17n1.2019.77578.
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<p>Bitcoin has attracted the attention of investors lately due to its significant market capitalization and high volatility. This work considers the modeling and forecasting of daily high and low Bitcoin prices using a fractionally cointegrated vector autoregressive (FCVAR) model. As a flexible framework, FCVAR is able to account for two fundamental patterns of high and low financial prices: their cointegrating relationship and the long memory of their difference (i.e., the range), which is a measure of realized volatility. The analysis comprises the period from January 2012 to February 2018. Empirical findings indicate a significant cointegration relationship between daily high and low Bitcoin prices, which are integrated on an order close to the unity, and the evidence of long memory for the range. Results also indicate that high and low Bitcoin prices are predictable, and the fractionally cointegrated approach appears as a potential forecasting tool for<br />cryptocurrencies market practitioners.</p>
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Kim, Heonsoo, Byung-Uk Chong, and In-Deok Hwang. "Volatility of Corporate Debt Financing and Cross-Section of Stock Returns : Empirical Analysis of Financial Constraint Puzzle in Korea." Journal of Derivatives and Quantitative Studies 25, no. 1 (February 28, 2017): 97–138. http://dx.doi.org/10.1108/jdqs-01-2017-b0004.
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This paper investigates the effects of the volatility of debt financing on cross-sectional variation of stock returns. Through the empirical analysis of listed firms in Korea for the 2005-2016 estimation period, this paper provides persistent and significant evidence that the volatility of debt financing has negative impacts on stock returns while controlling for market factor and firm characteristics such as size factor (firm size, market capitalization), value factor (book-to-market ratio), and momentum factor. While using both monthly average of stock returns and Fama-French-Carhart 4-factor risk-adjusted stock returns as dependent variables, the estimations of Fama-MacBeth cross-sectional regressions produce negative and statistically significant coefficient on the volatility of debt financing. The findings of this paper makes an academic contribution by providing the evidence that the volatility of debt financing, as a measure of financial constraint, plays a role as an anomaly factor for “financial constraint pricing puzzle” in Korean stock market.
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Khan, Muhammad Atif, Muhammad Asif Khan, and Idrees Liaqat. "Role of Corporate Governance in Shareholders Value Creation." International Journal of Strategic Decision Sciences 8, no. 2 (April 2017): 70–82. http://dx.doi.org/10.4018/ijsds.2017040105.
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The mechanism of governing corporate affairs in line with strategic goal of shareholders' value creation (SVC) has been pivotal debate among academic and institutional scholars over last few decades. Most of the studies in developing countries including Pakistan, have considered more conventional measures, like firm financial performance to examine the impact of corporate governance (CG). Theoretically, firm financial performance optimization has little role in maximizing SVC, that rarely streams to shareholders' exchequer. Therefore, the study is unique in its nature that identifies market capitalization, the most appropriate measure of value creation for shareholders over long run. The authors gathered panel and longitudinal data pertaining to PSX-100 listed firm over the period of 10 years ranging from 2006-15, which is analyzed using multivariate regression. Hausman and Likelihood tests guide the process of appropriate econometrics model selection. Empirical findings reveal that CG dimensions such as audit committee independence (ACI), managerial ownership (MO) and ownership concentration (OC) have positive impact on SVC, except board size (BS) and board independence (BI). The study offers valuable policy recommendations to make CG practices more effective, however, application of the model proposition at macro and micro level can be a substantial extension to literature incorporating some controlling dimensions.
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Lemonakis, Christos, Alexandros Garefalakis, Xanthos Georgios, and Hara Haritaki. "A study of the banks’ efficiency in crisis: Empirical evidence from Eastern Europe, Balkans and Turkey." Journal of Governance and Regulation 7, no. 3 (August 10, 2018): 8–12. http://dx.doi.org/10.22495/jgr_v7_i3_p1.
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This study focuses on the efficiency measures of banking institutions from sixteen Eastern European countries, the Balkans and Turkey. Authors use a two-step approach to study the efficiency of banks at the regional level during the critical period 2007-2011. First, the study examines whether banks are actively operating differently at a regional level during the under-review period to focus on the development of the crisis. Secondly, authors use the performance measure (Technical Efficiency -TM) that was obtained from the analysis using basic banking accounting characteristics such as capital ratios, assets quality, leverage, liquidity, and operations financial ratio as independent variables. Authors also use Global Governance Indicators to describe the ability of the respective governments to formulate effectively and properly policies related to Political Stability and the Rule of Law. Their results suggest that bank accountant and managers of all regions should focus upon profit efficiency, proper capitalization, in order to increase their banks’ profitability. In all regions, there is a need for a benchmark in lowering Banks’ operating expenses, in order for them to become more efficient. Finally, credit expansion in Eastern Europe and Balkans countries needs to be under a cautious umbrella in order banks should take the momentum for reaching their more efficient operational levels.