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Pattern, Source, Destination of Volatilities in Financial Market and Policy Lessons Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-11-18 Prabhas Kumar Rath
This paper studies patterns of volatilities and their spillovers across six major segments of Indian financial market applying univariate GARCH model and estimating the Diebold and Yilmaz (DY) volatility spillover index. The study found increasing integration of financial market segments over time and that equity, bank index and corporate bond segments are net contributors while money, gsec and forex
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Searching for Assets to Hedge Against Inflation in the U.S. Market Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-11-15 Thomas C. Chiang
This paper provides evidence regarding the relationship between asset returns and (expected) inflation in the U.S. market. Evidence indicates that inflation has a negative effect on stocks, REIT and bonds. However, its effect on housing and gold assets is positive. Evidence concludes both housing and gold tend to show a positive correlation with inflation. This study finds that inflation causes equity
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About Central Bank Digital Currencies (CBDCs) Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-11-07 Jack Clark Francis
A Central Bank Digital Currency (CBDC) is a country’s fiat currency that exists in a digital form. This digital currency becomes a liability on the balance sheet of a nation’s central bank when it ceases to be a liability on the balance sheet of one of the nation’s commercial banks and gets transferred to the central bank. Instead of printing paper money, the central bank can create CBDCs by opening
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COVID-19, Stock Liquidity, and Abnormal Returns Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-11-03 Praveena Musunuru, Mohammad Shameem Jawed
This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods
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Short- and Long-Run Effects of Forex Volatility on International Trade– A Case of Middle Eastern Country Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-10-30 Rasha Abdulkarim, Rajesh Mohnot, Abdulkarim Dahan
This research was aimed at understanding the effects of exchange rate volatility on UAE’s international trade. To examine the effects, 10 of the top trading partners of UAE were considered for this study. Additionally, in order to determine the volatilities of UAE’s top 10 trading partners’ currencies, the GARCH (1,1) model was used. After that the Autoregressive Distributed Lag (ARDL) bound testing
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The Effects of Personal Taxes and Default Risk on Bond Duration Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-10-04 Yan Alice Xie, Dan Han, Howard Qi
Using the structural approach to derive tax-adjusted duration for defaultable bonds under stochastic interest rate process, we thoroughly investigate the effects of personal taxes, default risk, and their interaction on bond duration. The simulation results show that default risk reduces duration, while personal taxes increase duration. Premium amortization and discount accretion further enhance the
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A Tale of Two Theories-Critically Synthesized to Enhance Understanding of Executive Remuneration Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-08-10 Philip Sinnadurai
This concept paper synthesizes two theories of executive remuneration. Soundly motivated, the two manifestations of agency theory of equity examine the market for managerial labor. The first theory models two families of determinants of Chief Executive Officer remuneration: economic factors and wealth expropriation. The second theory models equilibrium corporate governance quality by treating the Chief
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Capital Structure and Firm Value. The Role of Contextual Variables in this Relationship Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-08-08 Muhammad Alamgir, Ming-Chang Cheng
This study aims to identify the role of contextual variables, especially the interest rate, in affecting the relationship between a firm’s capital structure and firm value. This study investigates the capital structure of Pakistani-listed firms in light of rising interest rates, declining “Domestic credit to the private sector” and emerging Islamic banking in the country. The study uses GMM (Two-Step)
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Sources of the Value Premium Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-08-03 Peter Chinloy, Matthew Imes, Wendy Liu
The book-to-market ratio’s numerator adds assets and liabilities differing in risk. We propose a test for the value premium and its sources. Individual balance sheet holdings are divided by firm size. When associated risk premium coefficients are equal, an overall book-to-market is appropriate. Otherwise, there are different risks in assets and liabilities. For U.S. firms, for four decades since 1980
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Social Equity and Urban Housing Policy Failures: Evaluation for Rehabilitation and Housing Resettlement Plans and Policies in Indian Cities Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-08-03 Jayanandini G
Today’s Indian cities are confronted with a wide range of problems due to social equity and urban housing policy failures, including rising populations, shifting family structures, increasing numbers of people living in informal communities and slums, inadequate urban infrastructure, growing environmental concerns, and an increase in migration. India has a severe housing shortage. A significant chasm
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The Cost of Becoming Informed and Audit Fees Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-07-18 Kenneth W. Shaw, Lei Zhao
Auditing standards instruct external auditors to read public information to mitigate management’s information advantage in hiding earnings management and fraud. The transparency of this information, and thus the cost of becoming informed using public information, varies across firms. We argue this cost of becoming informed creates an opportunity for earnings management, increasing audit risk. This
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Can Financial Technology Reduce Reporting Lags? Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-07-12 Wu-Po Liu, Shih-Bin Wu, Kung-Hong Shih, Ken Y. Chen, Hua-Wei Huang
We investigate whether firms with greater financial technology (FinTech) application experience a difference in audit and financial reporting’s timeliness from other firms. We also examine the extent to which FinTech’s application relates to reporting lags. Using 32,196 US-listed firm-year observations from 2012 to 2021, we find that the Top 25 FinTech firms experience greater reporting audit and financial
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Family Ownership and Value of Takeover: Evidence from India Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-06-07 Jyoti Dixit, Poonam Singh
We examine how family-ownership influences takeover probability and takeover public announcement abnormal return of Indian publicly traded firms between 2003 and 2019. We find that family ownership has a significantly negative effect on target takeover probability at various levels of family ownership, viz. 20%, 40%, and 51%. Announcement period abnormal returns for target firms are positive at a lower
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Economic Policy Uncertainty, Short-Term Reversals, and Investor Sentiment Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-06-07 Andy C. W. Chui
This study finds that the predictability of economic policy uncertainty on short-term reversals is stronger among stocks exposed more to the volatility index (VIX) and economic policy uncertainty index (EPU). In addition, the predictability of VIX on short-term reversals is stronger among stocks exposed more to this index and the Aruoba–Diebold–Scotti business conditions index (ADS). Furthermore, the
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Technical Analysis in Investing Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-06-07 Gil Cohen
Technical analysis helps investors to better time their entry and exit from financial asset positions. This methodology relies solely on past information on financial assets price and volumes to predict a financial asset’s future price trend. Modern research has established that combined with other sentiment measures such as social media, it can outperform the standard buy and hold strategy. Moreover
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The Role of GHG Emissions and Energy Consumption Disclosures in Determining Performance-Based CEO Compensation — A Panel Data Approach Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-06-05 Chetna Rath, Malabika Deo
This paper aims to empirically examine whether the negative impact of greenhouse gas emissions and energy use disclosures alleviates or exacerbates the positive impact of an overall Environmental, Social and Governance (ESG) disclosure while determining the performance-based CEO pay. A total of 67 companies listed in the NSE Nifty 100 ESG index spanning six years from 2014 to 2019 have been taken as
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Investor Attention, Fee Structure, and Newly Issued Funds Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-05-31 Hong-Yi Chen, Hsuan-Chi Chen, Christine W. Lai, Pei-Ling Yang
This study examines the impact of investor attention on the fund inflows and survival of newly issued equity and bond funds. We employ the residual search volume index (RSVI) from Google Trends to directly measure investor attention to a mutual fund. We find that the RSVI is positively related to fund inflows for both new equity and bond funds. However, the RSVI is only positively related to the probability
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Re-Evaluating the Major Factors in the Low Origination Rate of the Reverse Mortgage Market Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-05-18 Wei-Han Liu
We reinvestigate the major factors in the low origination rate of home equity conversion mortgages (HECMs) in the United States from 2010 to 2017. We use panel data analysis to consider the variation in time and region and investigate the main determinants of the HECM origination rate. We examine five categories of variables: demographics, home equity, home debt level, retirement income, and taxes
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A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-03-11 Fu-Lai Lin
This study provides a comparative analysis of hedging determination for three alternative international equity index futures, namely FTSE 100, NIKKEI 225 and S&P 500 futures contracts. Both the conventional regression and the error correction modeling approaches are used to estimate the minimum-variance hedge ratios and to evaluate the hedging effectiveness. Comparisons of out-of-sample hedging performance
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Chief Financial Officer Turnover, Sarbanes–Oxley, and Market Reactions Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-01-05 Robert J. Parker, Yun-Chia Yan, Mai Dao, David Manry
We argue that forced CFO turnover has a complex relation with SOX reports of internal control problems. Sometimes forced turnover precedes an adverse SOX report whereas, in other cases, forced turnover follows the unfavorable SOX opinion. Further, financial markets are aware of this complex relation. Using a large sample collected over eight years, we find evidence to support our arguments. Regarding
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Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-12-07 J. Thomas Connelly, Christian C. P. Wolff
In this paper, we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ownership firms, which we interpret to mean high family ownership firms follow a more rational dividend policy. This finding is consistent with the prediction that agency conflicts between the managers
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Do Mutual Funds Reward Downside Risk? Evidence from an Emerging Economy Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-12-02 Pankaj K. Agarwal, H. K. Pradhan
The increasing participation of retail investors — generally having limited risk bearing ability — in mutual funds, has surprisingly not motivated rigorous examination of downside risks-forward return relationship of these funds, which this study aims to accomplish. We use a survivorship-bias free database of returns and portfolio holdings of Indian equity mutual funds covering the period April 2008–November
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Nonlinear Effects of Temperature on Returns and Investor Optimism–Pessimism from Winner and Loser Stocks Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-11-16 Chai Liang Huang, Lai Ferry Sugianto, Mu Shu Yun
Contrary to findings from prior empirical studies, which show that temperature affects stock returns linearly, we find that the relation of temperature with stock returns is nonlinear. The results show that investors got higher returns under both extremely hot and cold temperatures than under comfortable temperatures. More specifically, we find that hot temperatures led to higher returns only for investors
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Stock Liquidity Risk and Cash Preservation Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-11-09 Shih-Kuo Yeh, Wan-Ru Yang, Ren-Raw Chen, Chung-Ying Yeh
This paper investigates the relationship among liquidity risk, cash-holdings, financial constraints, and capital-raising costs. Our results show that cash preservation has different impacts on the liquidity risk explained by different aspects. The liquidity risk is negatively related with cash holdings. More financial constraints increase the liquidity risk. The firms with low capital-raising costs
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Social Activism and Firm Valuation: An Examination of ‘Taking a Knee’ Protests and National Football League Sponsors Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-10-25 Vijay Sampath, Arthur J. O’Connor, Omer Topaloglu, Calvester Legister
We build upon social movement and investor attention theories to investigate the effect of “taking a knee” protests on the abnormal stock returns of NFL sponsoring companies. The study is conducted in two phases. Employing event study methodology in the first phase, we measured the abnormal returns and trading volumes of the companies during a four-year period from 2016 to 2020. While the results for
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Revenue Classification Shifting: Does CEO Gender Matter? Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-10-25 Wenjing Ouyang, Thanh Ngo, Hongxia Wang
Instead of managing bottom-line earnings, firms may use revenue classification shifting to inflate core earnings due to its less risky, less costly, but viable features. Female CEOs, being perceived more risk-averse and more ethical, may engage in either more or less revenue classification shifting than male CEOs. Using a sample of 36,427 US firm-year observations from 1993 to 2019, we find that female
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Analytical View of Pricing Weather and Freight Derivatives: 1950–2020 Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-10-22 G. V. Satya Sekhar
A weather derivative is financial instrument that companies or individuals use to hedge against the risk of weather-related losses. Freight derivatives value is derived from the future levels of freight rates, like a dry bulk-a category of cargo stowed in bulk, consisting of grain, cotton, coal, etc., carrying rates, and oil tanker rates. Numerous empirical studies exist on weather and freight derivatives
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CEO Overconfidence and CSR Engagement Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-10-15 Roger C. Y. Chen, Shih-Wei Hung, Yu-Chen Wei
This study explored the impact of CEO overconfidence on corporate social responsibility (CSR). We found that overconfident CEOs do not like to engage in CSR actives. Moreover, a firm with better CSR performance and overconfident CEOs could increase the probability of agency problems. This implied that overconfident CEO is engaged in CSR based on self-interest motivation to reduce operating performance
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The Role of Managerial Ability in Supply Chain Management Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-10-07 Yan Yan
This study investigates whether supplier firms’ managerial ability affects their strategic decisions in supply chain management. Previous research documents that suppliers could collaborate with or be exploited by powerful major customers. I expect that suppliers with high-ability managers are perceived to be with more favorable future prospects to fulfill contractual obligations and thus possess stronger
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The New Horizon of Banking Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-08-20 Joseph Jye-Cherng Lyu
Based on my more than 40 years of practical experience in banking and my forward-looking vision as a banker, I would share the five major development trends of banks with the distinguished guests under the theme of “The New Horizon of Banking”, including: (1) ESG as an essential embodiment of contemporary responsible finance; (2) the digital transformation of the banking industry as a long-term evolutionary
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Global Diversification and the Cost of Equity Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-08-10 Xiaowen Jiang, Ling Lin, Pradyot K. Sen
The conventional view in the standard finance textbooks is that organizational form does not matter for a firm’s cost of capital because firm diversification reduces only idiosyncratic risk and not systematic risk. In this study, we investigate the effect of global diversification on the ex-ante cost of equity implied by the residual income valuation model (Ohlson, Earnings, book value and dividends
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VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-08-03 Ehud I. Ronn
Financial markets serve numerous roles, amongst them of course is the uncoerced exchange of securities. In addition to that role, they serve a very useful function of conveying to market observers the information about the future, with the challenge being our ability to elicit and interpret that information. This paper addresses that latter function regarding the option markets which provide the value
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Rethinking Optimum Currency Area in East and South-East Asia: New Empirical Evidence Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-08-03 Chandan Sharma, Rupika Khanna
This paper evaluates the viability of a monetary union or optimum currency area (OCA) in East and South-East Asia. Previous studies have mainly focused on a single aspect of integration, which has led to contrary findings. We adopt several alternative approaches that cover fiscal, output, and price aspects to accomplish the objective. As the synchronization of business cycle is a key prerequisite for
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Active and Interdisciplinary Approach to Teach Corporate Finance Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-07-30 Cheng Few Lee
The primary purpose of this paper is to discuss how to use the active and interdisciplinary approaches to teach corporate finance. First, I describe the content and structure of the book entitled Corporate Finance and Strategy: An Active Learning Approach [Lee, CF, AC Lee, JC Lee and M Lee (2022). World Scientific]. Second, I discuss how the interdisciplinary approach is used to integrate corporate
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The Capitalized Generalized Autoregressive Conditional Heteroskedasticity Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-07-28 Katlego Kola, Tumellano Sebehela
The aim of this paper is to shed new light on hedging discrete volatilities, in particular when using the generalized autoregressive conditional heteroskedasticity (thereafter GARCH) model. Despite its elegance, GARCH does not account for (i) correlation coefficients of debt and equity, (ii) equity parameter, (iii) risk premium, (iv) interest rates, and (v) shocks-stock markets. The unaccounted listed
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Does the Firm with Well-Educational Level of Board Members Have Good Corporate Governance? Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-07-27 Shih-Wei Hung, Hsing-Chin Hsiao, Jan-Chung Wang
This study examined the degree to which the educational level of directors affects corporate governance and firm value in firms. From the results, it has been found that the educational levels of directors are negatively related to corporate governance performance. On the other hand, firms with higher-educated directors have lower block shareholders’ holdings, which implies that the ownership right
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A Cross-Tabulation to Know the Relationship between Financial Performance and Leverage on a Company’s Tax Reporting and Tax Compliance Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-06-29 Kadarisman Hidayat, Mokhamad Khifni, Sri Mangesti Rahayu, Muhammad Saifi
Purpose: Classify the characteristics of taxpayers in paying tax compliance based on financial performance, leverage, and tax reporting and analyze the relationship between financial performance and leverage on tax reporting and tax compliance companies. Design/method: This research was conducted at the Office of the Foreign Investment Tax Service in the Six Regional Offices of the DJP Jakarta, especially
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The Crucial Role for Money and Business Firms for Short-Term Economic Growth Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-05-18 Karl-Johan Bergström
Money and business firms are central to short-term nominal gross domestic product (GDP) growth (as opposed to nominal GDP as a flow). Money is defined as the activation of purchasing power of an item/items on a balance sheet, flowing from the buyer of a real, GDP-affecting, product to its seller. Starting from accounting identities such as the equation of exchange, a method is developed that connects
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Tax Avoidance and Corporate Investments Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-05-18 Mahmud Hossain, Gerald J. Lobo, Santanu Mitra
This study examines the association between firms’ tax avoidance and long-term investments. We find that tax avoidance firms make greater investment than nontax avoidance firms, and that the positive association between tax avoidance and investments holds both for firms that are financially constrained, and therefore ex-ante likely to underinvest, and for financially unconstrained firms that are ex-ante
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Competition Effects of a New Asset on a Similar Existing Asset in the Same Market: The iShares Versus the Closed-End Country Fund Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-05-11 Pei-Jung Tsai, Chia-Cheng Ho, Pei-Su Tsai
The study examines an old but unique event from a new perspective and provides important insights to the financial literature. The result suggests that the competition from the later-launched iShares funds can improve pricing efficiency but decrease liquidity of the corresponding existing country funds. Furthermore, these effects are more profound for emerging country funds than for developed country
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The Paradoxical Prices of Options Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-04-13 Gianluca Marcato, Tumellano Sebehela
The synchronized relationship between financial and fundamental prices has been topical for years now. It seems that option pricing theory has not been used to disentangle that relationship between two prices during merger and acquisition (M&A) activities. This paper uses Put-Call parity theorem to explore the divergence of financial and fundamental prices in any firm during the acquisition process
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Convolution Approach for Value at Risk Estimation Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-03-11 Yam Wing Siu
Formally, Value at risk (VaR) measures the worst expected loss over a given horizon under normal market conditions at a given confidence level. Very often, daily data are used to compute VaR and scale up to the required time horizon with the square root of time adjustment. This gives rise to an important question when we perform VaR estimation: whether the values of VaR (i.e., “loss”) should be interpreted
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Executive Compensation and Firm Performance Relationship Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-03-03 Umar Nawaz Kayani, Christopher Gan
The relationship between executive compensation and firm performance is well documented in the existing literature. However, in the case of Asia Pacific firms, the least attention is paid while investigating this relationship. This study examines the relationship between executive compensation and firm performance in the Asia Pacific firms throughout 2007–2019. We use the total salary paid to chief
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Analyst Recommendations: Evidence on Hedge Fund Activism and Managerial Ability Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-26 Yan Yan, Xiaohui Yang
This study investigates analysts’ attitudes toward the cooperation/conflict between hedge fund activists and target firm management by examining the impact of managerial ability on analyst recommendations around hedge fund activism. We find that analysts are more likely to reiterate recommendations and less likely to downgrade recommendations for target firms with high managerial skills following the
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Corporate Investment and Stock Return Momentum Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-26 Ki C. Han, Abu Jalal, Karen Simonyan
We investigate the link between corporate investment and the momentum effect in stock returns. We argue that the momentum effect in a firm’s stock returns tends to be generated as a result of a series of information exchanges between stock market investors and firm insiders regarding the firm’s investment opportunities. Our theoretical setup predicts that past winners (losers) are likely to increase
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Other Side of Voluntary Clawback Provisions in Executive Compensation Contracts: Evidence from the Investment Efficiency Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-12 Sohyung Kim, Cheol Lee, Santanu Mitra
This study examines how firm-initiated clawback provisions in executive compensation contracts affect firms’ investment efficiency. While existing the literature provides evidence on positive aspects of adopting clawback provisions, the potential impact of clawback adoption on firms’ long-term investment efficiency remains unexplored. Using three investment proxies (i.e., capital expenditure, new investment
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Corporate Tax Avoidance: Evidence from Vietnamese Firms Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-07 Ha Kieu Oanh, Christopher Gan
This paper examines the effect of corporate tax avoidance on firm value using a sample of Vietnamese nonfinancial listed firms for the period 2007 to 2018. Using fixed effect, ordinary least square and system generalized method of moment estimation, the results show a positive and statistically significant relationship between corporate tax avoidance and firm value. Our result demonstrates the bright
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Remittances Vis-à-Vis Bank Credit and Investment: Evidence From Fiji Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-07 Jakhongir Kakhkharov, Lan Archer, Matia Tuisawau, Akata Taito, Mitieli Cama, Parmendra Sharma
This study is among a very few to investigate the impact of international remittances on bank credit and household investment. Using Fiji as a case study and the most recent available data on Household Income and Expenditure Survey together with applying three distinct econometric techniques, we find that remittances significantly increase the likelihood that households receiving remittances obtain
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The Oil Futures and Options Markets in 2020: The “Message from Markets” Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-27 Ehud I. Ronn
This paper considers the response of the equity and oil markets to the onset of crisis conditions after February 15, 2020. Based on derivative markets for equities and WTI (West Texas Intermediate) crude-oil futures contracts, implied equity and oil volatilities quantify the depth of the crisis and contrast it with the previous ones. The estimated Black [(1976) Journal of Financial Economics, 3, 167–179]
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Identifying the News in Analysts’ Earnings Forecasts Revisions: An Alternative to the Random Walk Expectation Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-23 Ray Pfeiffer, Karen Teitel, Susan Wahab, Mahmoud Wahab
Previous research indicates that analysts’ forecasts are superior to time series models as measures of investors’ earnings expectations. Nevertheless, research also documents predictable patterns in analysts’ forecasts and forecast errors. If investors are aware of these patterns, analysts’ forecast revisions measured using the random walk expectation are an incomplete representation of changes in
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Modeling of Risk Measure Bonds Using the Beta Model Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-17 Fatma Hachicha, Ahmed Hachicha, Afif Masmoudi
Duration and convexity are important measures in fixed-income portfolio management. In this paper, we analyze this measure of the bonds by applying the beta model. The general usefulness of the beta probability distribution enhances its applicability in a wide range of reliability analyses, especially in the theory and practice of reliability management. We estimate the beta density function of the
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Corporate Governance, Product Market Competition and Announcement Returns of Spinoff Firms Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-13 Lee-Hsien Pan, Ying-Chou Lin, Meng-Jou Lu, I-Min Lin
Our paper investigates the relationship between corporate governance (internal corporate governance mechanism) and announcement returns of spinoff firms, and examines whether such relationship can be explained by product market competition (external corporate governance mechanism). Using a sample of 269 completed spinoffs between 1983 and 2009, we find a nonlinear U-shaped relationship between corporate
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The Condition of the Conditionality Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-11 Tumellano Sebehela
The interdependence of options is common among compound options. Moreover, this interconnectedness is synonymous with probability theory-how a set of axioms are treated. The conditionality, where one option value is dependent on another option, has spilled over to option pricing, especially exchange options. However, it seems that no study has explored whether that simultaneous occurrence of two options
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Impact of Noninterest Income on Bank Risk-Taking and Bank Lending Spread Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-11 Muhammad Jawad, Munazza Naz, Muhammad Aftab Shamsi
This study investigates the impact of diversification between traditional margin income and nontraditional income (noninterest-based income) on bank risk-taking and bank lending spread for banks operating in Pakistan. Bank risk is measured with the nonperforming loan ratio and bank Z-score. Data of this study is obtained from financial statements, which are an annual publication of State Bank of Pakistan
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Illiquid Assets and the Opacity Discount in Banks’ Valuation Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-10 Giulio Anselmi
The paper investigates the impact of fair value accounting for illiquid assets (so-called ‘Level 2’ and ‘Level 3’ assets by accounting rules) on banks’ valuation and focuses on the change in relative weight of Level 3 (the most opaque and illiquid assets) with respect to Level 2 assets. The boundary between Level 3 and Level 2 assets is blurred and less clear than the one between Level 1 and Level
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The Theory of Uncertaintism Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-08 Tumellano Sebehela
The stock jumps of the underlying assets underpinning the Margrabe options have been studied by Cheang and Chiarella [Cheang, GH and Chiarella C (2011). Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18(3), 245–276], Cheang and Garces [Cheang, GHL and Garces LPDM (2020). Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. Quantitative
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Investment, Financing, Dividend, and Production Policies: Review and Integration Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-03 Cheng Few Lee, Alice C. Lee
The main purposes of this paper are (i) to review investment, financing, dividend, and production policies in some detail; (ii) to discuss how these four policies are interrelated and integrate these four policies into a composite policy; (iii) to discuss the impacts of financing, dividend, and production policies on the beta coefficient; and (iv) to develop hypotheses to be used for empirical studies
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Investment, Financing, Dividend, and Production Policies: Review and Integration Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-03 Cheng Few Lee, Alice C. Lee
The main purposes of this paper are (i) to review investment, financing, dividend, and production policies in some detail; (ii) to discuss how these four policies are interrelated and integrate these four policies into a composite policy; (iii) to discuss the impacts of financing, dividend, and production policies on the beta coefficient; and (iv) to develop hypotheses to be used for empirical studies
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Restructuring Measurements Impact on Bank Risk After the Global Financial Crisis — Empirical Evidence from Vietnam Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-02 Tu T. T. Tran, Yen Thi Nguyen
Project 254 signed in November 2011 which is relating to “Restructuring the system of credit institutions in the period of 2011–2015” has been considered as a milestone in marking the Vietnamese government to prevent the influence of the financial crisis of 2008. This paper identifies hypotheses evaluating the impact of restructuring measurements on the risk of the Vietnamese’s commercial banks in
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Director Compensation in the Banking Industry Around the Dodd-Frank Act Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 Wikil Kwak, Xiaoyan Cheng, Burch Kealey
Directors’ monitoring and advising activities as agents were supposed to increase after the Dodd-Frank Act in 2010. The Dodd-Frank Act significantly increases the pressure on the board of directors to be more effective agents of the stockholders even after the Sarbanes-Oxley Act (2002) became effective. Director compensation, especially incentive-based compensation, is intended to align with the interests