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Rodriguez, Javier, i Herminio Romero. "Diversification and market risk exposure of single-listed versus dual-listed ADRs". Managerial Finance 42, nr 11 (14.11.2016): 1125–35. http://dx.doi.org/10.1108/mf-02-2016-0043.
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Purpose The purpose of this paper is to contrast market risk exposure and diversification of single-listed American depository receipts (“ADRs”) with those of dual-listed ADRs from the same geographical region during 2004-2012. Design/methodology/approach The study uses orthogonal returns in two-factor models to infer exposure to the US and ADRs’ home markets. Findings The authors found that both ADR types provide no diversification and are significantly exposed to US market risk. The authors also found that portfolios of both single- and dual-listed ADRs behave significantly differently than their home markets. Originality/value Only several academic papers discuss single-listed ADRs, and to the best of the knowledge, this study is the first to assess their diversification value.
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Rodríguez, Javier, i Wilfredo Toledo. "Chinese single-listed ADRs: returns and volatility". International Journal of Managerial Finance 11, nr 4 (7.09.2015): 480–502. http://dx.doi.org/10.1108/ijmf-07-2014-0103.
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Purpose – Single-listed American depositary receipts (ADRs) are traded in US markets, while their underlying share is not listed in the firm’s home market. The purpose of this paper is to empirically examine the factors affecting the returns and volatility of a sample of Chinese single-listed ADRs, in comparison with traditional Chinese ADRs. Design/methodology/approach – The methods used in this paper are similar to those used in the examination of traditional or dual-listed Chinese ADRs. However, motivated by the very nature of single-listed ADRs, the authors estimate a base model which includes factors from the two presumably most important markets for single-listed Chinese ADRs (i.e. the Chinese and US markets). In all of the estimations, the authors follow a two-step procedure. First, the authors estimate a GARCH(1,1) model with the mean equation modeled as an AR(p) process and from those models estimate GARCH (conditional) variances. Findings – In line with the evidence on traditional Chinese ADRs, the authors find that both the Chinese and the US markets are important predictors of single-listed ADR returns. The results are robust to variations in the model specifications. Originality/value – Single-listed ADR return behavior is still an under-researched topic. In this paper, the authors contribute to the literature on Chinese single-listed ADRs by empirically examining the determinants of their mean return and volatility.
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Tegtmeier, Lars. "Testing the Efficiency of Globally Listed Private Equity Markets". Journal of Risk and Financial Management 14, nr 7 (8.07.2021): 313. http://dx.doi.org/10.3390/jrfm14070313.
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This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December 2020. Autocorrelation tests, variance ratio tests, and a non-parametric runs test are employed. The results of the autocorrelation tests and the variance ratio tests tend to correspond for all indices, and they reject the random walk hypothesis for the returns of all LPE indices under investigation. In contrast, the runs test for direct weak-form market efficiency cannot reject the null hypothesis of a random walk process for almost all LPE indices under investigation. Furthermore, there is no evidence that the market efficiency of globally listed private equity markets has improved after the global financial crisis. Due to the fact that the rapidly growing asset class of LPE as a form of private equity is still relatively unknown, the implications of the results of our paper are relevant for investors, policy makers, and academics alike. In addition, the results provide valuable insights to better understand the emerging asset class of LPE.
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Chen, Jun, Alireza Tourani-Rad i Ronghua Yi. "Short sales and price discovery of Chinese cross-listed firms". International Journal of Managerial Finance 12, nr 4 (1.08.2016): 408–21. http://dx.doi.org/10.1108/ijmf-02-2015-0025.
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Purpose – The purpose of this paper is to investigate the impact of short selling and margin trading on the price discovery and price informativeness of cross-listed firms, using a sample of Chinese firms listed on the China and Hong Kong stock exchanges. Design/methodology/approach – The sample consists of 67 Chinese cross-listed firms on A-share and H-share markets out of which 18 firms are allowed to be sold short/ traded on margin since March 2010. Using pre- and post-event period, the authors compare and contrast various market microstructure variables. The contributions of the home (A-share) and overseas (H-share) markets to the incorporation of new information into prices are calculated following the permanent-transitory approach of Gonzalo and Granger (1995) as well as the adverse selection component of Lin et al. (1995). Findings – The findings indicate that for the group of Chinese cross-listed firms that are not allowed to be sold short or bought on margin, the home (A-share) market contributes more to the price discovery process over time. However, for the group of cross-listed firms that are eligible for short selling and margin trading, the authors observe no significant difference in the contribution of either A- or H-share markets to the price discovery. The contribution of home market for these firms is even lower around the announcement of major events. The authors further find that while the short sale activities appears to be informative, measured by the adverse selection (AS) component of spread, on the whole they have not led the A-share markets to be more informative. Research limitations/implications – The sample of cross-listed Chinese firms that are allowed to be sold short or bought on margin are rather limited. Hence, the results should be read with some caution. Practical implications – The removal of short selling constraints appears to improve the contribution of the respective markets to the process price discovery, in the case for larger cross-listed firms. Originality/value – The authors shed new lights on how the introduction of short selling and margin trading impacts on the price discovery of the Chinese cross-listed firms. A further contribution of the study is the use of high frequency data, while most of the previous studies on the Chinese markets use daily data.
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Yang, Ming Jing. "Risk-Return Dynamics of Cross-listed Stocks". Accounting and Finance Research 6, nr 4 (25.10.2017): 294. http://dx.doi.org/10.5430/afr.v6n4p294.
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Since US has been playing a leading role in global economy and technology, any major price changes in the American stock market may affect other stock markets worldwide. The American Depositary Receipts (ADRs), being the substitutes for the foreign securities, provide American investors with appealing investment opportunities to form international portfolios and to achieve the international diversification benefits. These stocks cross-listed on different exchanges not only assist corporations in raising capital abroad, but also provide a better channel for firms to search for price efficiency across the international capital markets. Consequently, the objective of this study is to examine the risk and return dynamics between ADRs and their underlying securities. The empirical results of this study indicate that the mean and volatility spillover effects and information transmission between ADRs and their underlying securities are bi-directional for the Taiwanese securities, but uni-directional (from the underlying securities to their ADRs) for the Chinese securities. Furthermore, while the international center hypothesis and the home bias hypothesis are both supported for the Taiwanese securities cross-listed in US stock markets, this study also provides evidence more in favor of the home bias hypothesis for the Chinese ADRs and their underlying securities.
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Sana Hsieh, Hui-Ching. "The causal relationships between stock returns, trading volume, and volatility". International Journal of Managerial Finance 10, nr 2 (1.04.2014): 218–40. http://dx.doi.org/10.1108/ijmf-10-2013-0103.
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Purpose – The real estate markets in Asia have attracted significant investor attention as they have grown rapidly in recent years. Both local and foreign investors continue to display a strong appetite for Asian real estate investment projects. Given the different characteristics of listed real estate stocks, the purpose of this paper is to focus on the causal relations between the financial variables of these stocks. This financial analysis can help investors to understand the characteristics of listed real estate companies, provide implications for optimal asset allocation decisions, and also increase the predictability of portfolio returns. Design/methodology/approach – In this research, the paper investigates the contemporaneous and causal relations between stock returns, trading volume and volatility in a domestic market context and between different national markets for listed real estate companies in seven Asian economies. Findings – The paper finds that there are positive contemporaneous relations between trading volume and both returns and absolute returns. When the paper examines the causal relations between the financial variables, the evidence implies that current trading volume helps to explain the returns indirectly by leading return volatility; however, trading volume does not help to explain future returns directly. Extending the causality test to international markets, the listed real estate portfolios of the four Southeast Asian countries are found to be more closely correlated than those of the other three countries studied here. Among the four Southeast Asian countries, Singapore, the only developed country, is found to play an influential role, its current financial variables having predictive power for the other countries. Originality/value – This research provides global investors with a better understanding of the Asian listed real estate market, showing that trading volume contains important information regarding returns, that the characteristics of listed real estate companies are closer to those of the financial market than those of the real estate markets, and that the markets of the major economies have extensive influence over the smaller markets. Moreover, given the scarcity of research on the performance of Asian listed real estate companies themselves, this study improves the completeness of the academic literature.
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Galindo-Manrique, Alicia Fernanda, Esteban Pérez-Calderón i Martha del Pilar Rodríguez-García. "Eco-Efficiency and Stock Market Volatility: Emerging Markets Analysis". Administrative Sciences 11, nr 2 (6.04.2021): 36. http://dx.doi.org/10.3390/admsci11020036.
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Climate change, the accelerated industrialization of emerging countries, as well as the growing demand for transparency from stakeholders, are all factors that influence the environmental performance of companies. Thus, eco-efficient behavior can improve financial performance by increasing wealth generation and decreasing the volatility of listed financial assets. There is a lot of previous literature showing diverse results of the effect of eco-efficiency on corporate profitability, but this is not the case when we refer to risk. This study analyzes the relationship between eco-efficient behavior and the share price volatility of companies traded in emerging markets. For this purpose, a sample of 346 companies listed in 24 countries was studied for the period between 2010 and 2017. The results show a positive effect. Thus, the recommendation is that a clear commitment to eco-efficient investment can improve the environmental impact of companies, from the private, public, and institutional spheres.
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Turk, Brendan K., Charlie Shackleton i Kevin Whittington-Jones. "Prevalence of sustainability reporting practices of listed companies on established and emerging stock exchanges". South African Journal of Economic and Management Sciences 16, nr 1 (26.02.2013): 75–82. http://dx.doi.org/10.4102/sajems.v16i1.234.
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The business sector has a substantial role in addressing current environmental issues and concerns. Consequently, there is a growing adoption of corporate sustainability principles and practices across all market sectors. This study examined four developed and four emerging stock markets and the sustainability reporting practices of the top 20 and bottom 20 companies in each. The results illustrate that the developed market sector was more advanced in its corporate sustainability reporting, both in the proportion of companies issuing a sustainability report (approximately 60 per cent) and the proportion of company webpages dedicated to sustainability reporting. This difference was largely due to the effect of the top 20 companies. There was little difference between developed and developing markets when only the bottom 20 companies were considered, of which less than one-third provided sustainability reports. These results show that sustainability reporting is prevalent in both developed and developing markets, especially among market leading companies, but that overall, most developing markets have some catching up to do.
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Tutino, Marco. "Which metrics are relevant in European listed companies? Evidence from nineties". Corporate Ownership and Control 8, nr 2-5 (2011): 566–88. http://dx.doi.org/10.22495/cocv8i2c5p6.
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The paper investigates the relation between the Share Price and three performance indicators: Net Operating Profit expressed by EBIT, Cash Flow from Operation and Economic Value Added. The sample includes 42 listed industrial companies chosen in four European financial markets, such as United Kingdom, Germany, France and Italy, all listed in the period 1992-2001. The findings of this paper are consistent with the previous results in assessing the relevance of EVA in predicting future financial performance, but they ought to be interpreted with cautions due to two main limitations: (i) relatively small sample adopted, that is companies chosen are the highest in terms of Market Capitalisation within the markets they are listed in, but they might not be representative of the whole market; (ii) results, when tested for the presence of structural factors in each market might change in significance, due to some specific structural factors within each market. However, investigation of those factors in more depth is outside the scope of this paper.
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Bolek, Monika, Piotr Pietraszewski i Rafał Wolski. "Companies' growth vs. growth opportunity: Evidence from the regular and alternative stock markets in Poland". Acta Oeconomica 71, nr 2 (23.06.2021): 279–307. http://dx.doi.org/10.1556/032.2021.00014.
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AbstractThe article discusses the ability of potential growth measures calculated basing on market share prices to predict the future growth of the companies listed on the primary and alternative exchange markets in Poland. Analysing the Polish exchange market and dividing the sample of companies due to the markets they are listed – the Warsaw Stock Exchange Main Market or the NewConnect Alternative Market – brought conclusive results. Company growth measured as the growth of total assets, equity, sales and, what is the most important, earnings per share, is related to the growth opportunity measures and other factors taken into account in the tested models. The differences between the results for the two separate markets are evident and the relationship between growth opportunity measures and the future growth seems to be stronger for larger companies listed on the main market, while the NewConnect smaller companies’ growth is less predictable. We add to the theory of the growth prediction a modified approach by sampling companies according to the exchange they are listed that helps to solve the companies’ “growth puzzle” and supplement the growth theory in the field of factors affecting this process in different growth stages. The originality of the paper is reflected in the modified approach to the problem and distinguishing the stages of development of the company taking into account the Polish stock market.
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Pilvere-Javorska, Aija, i Irina Pilvere. "European Nordic Countries Stock Market Listed Companies’: Factor and Cluster Analysis Approach". Emerging Science Journal 4, nr 6 (1.12.2020): 443–53. http://dx.doi.org/10.28991/esj-2020-01244.
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Public financial markets are crucial in the access to the funding and as a platform for investments to the investors in today’s world. Nordic European Union countries such as Sweden, Finland and Denmark are considered to have advanced and well-developed stock markets, while neighboring three Baltic States have rather small stock market. Backbone of the stock market are there listed companies. In this analysis authors attempt to analyze 510 Nordic countries listed companies’ absolute value indicators using factor and cluster analysis and to compare results with similar analysis of the Baltic States. Factor and cluster analysis revealed the homogeneity of Nordic countries stock market listed companies’ absolute values, authors obtained three complex factors, explaining 89% of dispersion within the indicators, which in turn resulted in being able to obtain the portrait of Nordic States stock market listed company. Similar results were obtained for Baltic States listed companies, though on different scale. Authors have not seen as detailed analysis of Nordic Stock market on the level of listed companies financial statement analysis. Time period covered in this research of the financials are from 2004 to 2018. The analysis could be beneficial for other researchers focusing on the Nordic region stock market companies and also to the policy makers in the Baltic States, how the neighboring well-developed countries indicators could be interpreted and obtained results used for the enhancement of Baltic States stock market. Doi: 10.28991/esj-2020-01244 Full Text: PDF
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Farfan, Kurt Burneo, Gabriela Barriga Ampuero, Edmundo R. Lizarzaburu i Julio Cisneros. "Credit risk in emerging markets Peruvian listed company". Risk Governance and Control: Financial Markets and Institutions 7, nr 3 (2017): 55–64. http://dx.doi.org/10.22495/rgcv7i3p6.
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The aim of this paper is to introduce the importance of the banking credit risk, the main elements that conform it and the main alternatives that are offered to access to a loan as well as a description of its measurement and management in the sector. There will be a general explanation of credit risk and the main parties involved in it. As the topic is developed it is going to be analyzed the lending process carried out by the banks as well as the quantitative and qualitative elements taken into account when taking a credit decision (The 5C’s of credit, credit scoring and models for quantification of losses for instance). Another thing to considerate is that Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. Also, the investors have the access for the information of a client and they are compensated for assuming credit risk by way of interest payments from the borrower or issuer of a debt obligation and the credit risk is a useful tool for the finance management. The Enterprise risk management in Peru changed in 2015 because the local regulator is in process to review the norm, including some aspects of corporate governance; these changes are not included in this research.
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Keshari, Aditya, Amit Gautam i Vishal Kumar Singh. "Integrated Spillover Effect of Cross-Listed Stock Markets on the Indian Equity Market". Purushartha - A Journal of Management Ethics and Spirituality 15, nr 01 (10.07.2022): 110–17. http://dx.doi.org/10.21844/16202115108.
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The increased integration due to cross-listing leads to the volatility spillover effect on the domestic market posing from the cross-listed global indices viz., Nifty 50 from India, Luxx 100 from Luxembourg, NASDAQ from the US, and FTSE_Aim 100 from the UK. Johansen Co-integration test is applied to check the level of integration, which is further checked by multivariate granger causality showing the causality pattern among the indices. GARCH (1,1) model is applied to examine the volatility spillover effect on the Indian Stock Market. The findings suggest that the series are co-integrated with one vector ‘v,’ which is confirmed by the Trace and Max-Eigen Test. The Multivariate Granger Causality test confirms the bivariate causal pattern between India and US markets, implying the dual effect. In contrast, the Luxembourg market is relatively exogenous, which gives investors an opportunity for portfolio diversification. ARCH term is significant in the GARCH (1,1) model showing that the past innovation in the time series leads to the present fluctuation in the Indian stock market. Also, the results show a significant spillover effect from the US and UK markets. Thus, this will assist the investors that by concentrating on the movement of these markets, they can take specific actions regarding portfolio management.
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Phala, Morungwa Lumka, Yaeesh Yasseen, Nirupa Padia i Waheeda Mohamed. "A comparative study on strategy disclosure between emerging markets and developed markets". Journal of Indian Business Research 11, nr 1 (7.03.2019): 2–22. http://dx.doi.org/10.1108/jibr-09-2017-0168.
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Purpose This study aims to compare the extent of voluntary strategy disclosure in the annual/integrated reports of listed companies in an emerging market with the extent of strategy disclosure in the annual/integrated reports of listed companies in a developed market. Design/methodology/approach A developed market sample that was made up of the top 50 companies on the New York Stock Exchange and the Australian Stock Exchange was compared to an emerging market sample that was made up of the top 50 companies on the Johannesburg Stock Exchange and the Bombay Stock Exchange. The comparison was conducted by scoring the amount of strategy disclosure reported in the annual/integrated reports of the companies for the years 2011, 2012 and 2013. Findings The emerging market companies had average to good strategy disclosures in their annual reports, whereas the annual reports of companies in the developed market showed low strategy disclosure. Originality/value This study expanded upon the limited research available on strategy disclosure by comparing the extent of strategy disclosures in two developmental markets (the developed and emerging market).
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Chelley-Steeley, Patricia, Brian Kluger, James Steeley i Paul Adams. "Trading Patterns and Market Integration in Overlapping Experimental Asset Markets". Journal of Financial and Quantitative Analysis 50, nr 6 (grudzień 2015): 1473–99. http://dx.doi.org/10.1017/s0022109015000563.
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AbstractThis paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads.
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Fernandez-Perez, Adrian, Bart Frijns i Alireza Tourani-Rad. "Understanding Causality: What came first the Chicken or the Egg?" Applied Finance Letters 4, nr 1and2 (30.11.2015): 2. http://dx.doi.org/10.24135/afl.v4i1and2.26.
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The question of association as opposed to causation is an important issue in many scientific fields, including finance. Much of the empirical research in finance deals with the question of causality or stated differently what came first: the chicken or the egg. We are interested, for example, to know the transmission channels through which shocks propagate themselves in financial markets (e.g., how volatility shocks in one stock market affect other markets); or to build superior forecasting models to find out price leadership among similar financial assets traded on different markets (e.g. is it the shares listed on the home market or the host market of a cross-listed firm that first reacts to a corporate event). Hence, being able to correctly infer the direction of causality among financial assets is crucial for accurately understanding relations among those assets. While in practice we can easily observe correlations among financial assets or markets, detecting causal relationship (in other words, who moves first and who reacts) is often not an easy task
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Kumar, Rakesh, i Raj S. Dhankar. "Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty". Vikalpa: The Journal for Decision Makers 34, nr 4 (październik 2009): 25–36. http://dx.doi.org/10.1177/0256090920090403.
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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets. With globalization and deregulation, the enormous opportunities of investment in South Asian stock markets have attracted the domestic and foreign institutional investors in general, and to reduce their portfolio risk by diversifying their funds across the markets in particular. The efforts are made in this study to examine the cross-correlation in stock returns of South Asian stock markets, their regional integration, and interdependence on global stock market. The study also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The study uses Bombay stock exchange listed index BSE 100 for India, Colombo stock exchange listed Milanka Price Index for Sri Lanka, Karachi stock exchange listed KSE 100 for Pakistan, Dhaka stock exchange listed DSE-General Index for Bangladesh, and S & P Global 1200 to represent the global market. It carries out a comprehensive analysis, tracing the autocorrelation in stock returns, cross correlations in stock returns under risk and uncertainty, interdependency among the South Asian stock markets, and that with the global stock market. The research methodology applied in the study includes application of Ljung-Box to examine the cross-correlation in stock returns, ARCH and its generalized models for the estimation of conditional and asymmetric volatilities, and Ljung-Box as a diagnostic testing of fitted models, and finally correlation to examine the interdependency of these markets in terms of stock returns and expected volatility. The results bring out the following: L-B statistics suggests the presence of autocorrelation in stock returns in all Asian stock markets; however, for the global market, autocorrelations are significant at 15 lags, and thereafter they are insignificant. The significant autocorrelations in stock returns report volatility clustering in stock returns, reject the EMH, and hold that current stock returns are significantly affected by returns being offered in the past. ARCH and its generalized models significantly explain the conditional volatility in all stock markets in question. The study rejects the relationship between stock returns and expected volatility; however, the relationship is significant with unexpected volatility. It brings out that investors adjust their risk premium for expected variations in stock prices, but they expect extra risk premium for unexpected variations. With their entry into the liberalization phase, South Asian stock markets have reported regional interdependence, and also interdependence with the global stock market.
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Nnadi, Matthias, Nyema Wogboroma i Bariyima Kabel. "Determinants of dividend policy: Evidence from listed firms in the African stock exchanges". Panoeconomicus 60, nr 6 (2013): 725–41. http://dx.doi.org/10.2298/pan1306725n.
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The study demonstrates that much of the existing theoretical literature on dividend policy can be applied to the emerging capital markets of Africa. Using available financial data of listed firms in the 29 stock exchanges in Africa, the study finds similarities in the determinants of dividend policy in African firms with those in most developed economies. In particular, agency costs are found to be the most dominant determinant of dividend policy among African firms. The finding is non-synonymous with emerging capital markets which have a high concentration of private ownership and trading volumes. Agency cost theory may be important in both emerging and developed capital markets but the nature of the agency problem may be different in each case. Other factors such as level of market capitalization, age and growth of firms, as well as profitability also play key roles in the dividend policy of listed African firms.
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Agyei-Boapeah, Henry, Yuan Wang, Abongeh A. Tunyi, Michael Machokoto i Fan Zhang. "Intangible investments and voluntary delisting". International Journal of Accounting & Information Management 27, nr 2 (7.05.2019): 224–43. http://dx.doi.org/10.1108/ijaim-12-2017-0146.
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Purpose Drawing on a cost–benefit perspective, this paper aims to explore the relation between information asymmetry and the decision to delist from stock exchanges during periods of uncertainty. Specifically, it investigates the role of firms’ intangible investments and the availability of alternative sources of finance on the decision to delist from foreign stock markets. Design/methodology/approach The study takes advantage of a natural experiment in which cross-listed Chinese firms facing uncertainty in US markets because of widespread allegations of accounting fraud decide on whether to remain listed or voluntarily delist. The decision to delist is modelled as a function of the level of information asymmetry between firms and their stakeholders and the availability of alternative financing, while controlling for other drivers of firms’ delisting decision. The data used in the empirical analyses cover a hand-collected sample of 91 Chinese firms voluntarily delisting from US stock markets between 2010 and 2016. This sample is matched with an equal sample of Chinese firms, which remained listed in US stock markets during the same period. A probit regression model accounting for fixed effects is used. Findings There is a significant positive relationship between investments in intangible assets and firms’ decision to delist. Moreover, the positive intangibles−delisting nexus is accentuated by the availability of alternative sources of financing. Collectively, the results are consistent with the theoretical argument that the higher information asymmetry associated with intangible assets may increase the cost of staying listed on stock exchanges, particularly in periods of uncertainty (captured in this study by accounting fraud allegations targeting cross-listed firms). The results have important implications for corporate managers, capital market participants and policymakers. Practical implications Policymakers and standard setters must continue to work to improve the accounting regulations of intangible assets and to promote the adoption of global accounting standard across both emerging and advanced economies. Originality/value The study exploits a unique natural experimental setting to explore why cross-listed firms delist. The underlying theoretical framework to explain delisting is new. This framework captures the role of information asymmetry, uncertainty and alternative financing in explaining the cost and benefits of remaining listed on a foreign market.
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Lobo, Bruno F. S., i Luís M. P. Gomes. "Impact of M&A Announcements on Listed Firms in the Iberian Markets". Studies in Business and Economics 17, nr 3 (1.12.2022): 132–50. http://dx.doi.org/10.2478/sbe-2022-0051.
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Abstract Mergers and/or acquisitions (M&A) are important business operations for firms that wish to diversify, become stronger and more competitive. The main objective of this paper is to investigate the impact of M&A announcements on the abnormal stock returns of firms listed on the Portugal and Spain stock exchanges. The empirical work analyzed 29 trades in the PSI-20 and 25 trades in the IBEX-35, since the year 2000, using the event study methodology. Most of the research investigates corporate combinations that take place in international markets and among large firms. Therefore, a first contribution of this paper is to study the phenomenon in smaller markets and firms. The results suggest that the two markets react differently to announcements of M&A. Overall, the findings seem to show that in the Portuguese market the joint firms present average gains and that in the Spanish market the joint firms present average losses, bidders have sharper reactions and targets have higher losses. The study also indicates that the abnormal returns of the Portuguese firms (especially the bidders) and the Spanish bidding firms tended to stabilize around a week after the announcement date. This conclusion is another useful contribution of the paper for academics and decision makers of corporate restructuring.
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Kumar, Manoj, L. M. Bhole i Shahrokh M. Saudagaran. "Investment-Cash Flow Sensitivity and Access to Foreign Capital of Overseas Listed Indian Firms". Vikalpa: The Journal for Decision Makers 28, nr 1 (styczeń 2003): 47–60. http://dx.doi.org/10.1177/0256090920030104.
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Between May 1992 and June 2001, 72 Indian firms listed their 85 Depositary Receipt (DR) programmes on the foreign capital markets. Most Indian DR programmes are listed on the European exchanges rather than on the US exchanges. This paper studies firm-level financial data of foreign listed Indian firms to see whether the ‘improved access to external capital markets’ is an important consideration for Indian firms listing on the foreign markets. The results of the study can be interpreted in terms of informational disclosure requirements of the foreign markets (in our case the Global Depositary Receipts– GDR markets) where sample Indian firms have listed their securities. The firms listed on the US exchanges have to necessarily follow US GAAP in casting of their accounts and disclose more. Hence, US listing acts as a signal about the firm's level of transparency and disclosures which, in turn, reduces informational asymmetry between managers and external investors. Thus, listing of emerging markets' firms on the US exchanges improves their access to the external capital markets and hence reduces their investment-to-cash flow sensitivity. Also, till recently, two-way fungibility in the Indian DRs was not allowed. Foreign institutional investors (FIIs), investing in the Indian GDRs, are restricted from owning and trading in Indian shares listed on the Indian stock exchanges. Besides, Indian citizens were prohibited from owning and trading in Indian DRs listed on the foreign markets. These factors impede the free flow of information between the GDR markets and Indian markets. Thus, GDR listings by the Indian firms are rendered ineffective in removing the information asymmetry about the listing firms and in improving Indian firms' access to the external markets. The results of the study have the following implications: The policy makers should adopt a regulatory framework so that firms are encouraged to disclose more and thus become transparent. Managers should prefer listing firms' securities only on stringent and transparent foreign markets with listing requirements. The measures proposed will reduce the informational asymmetry for the Indian firms and hence improve their access to the external capital markets. But if these markets do not improve their transparency and disclosure levels, they will lose out to the US markets. Naturally, firms contemplating fresh listing on foreign markets will list their securities on the more transparent US markets to improve their access to the external capital markets. Corporate decision makers should realize that the listings on the US markets send strong signals about the firms' level of transparency and disclosures to the investing community. This signalling effect is rather less in case of listing on the GDR markets. This could be the reason for US exchanges becoming more successful in attracting foreign listings by the Indian firms compared to the London and the Luxembourg exchanges in recent years.
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Farinós, José E., Begoña Herrero i Miguel A. Latorre. "Market valuation and acquiring firm performance in the short and long term: Out-of-sample evidence from Spain". BRQ Business Research Quarterly 23, nr 1 (styczeń 2020): 234094442090104. http://dx.doi.org/10.1177/2340944420901048.
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We investigate bidder’s short- and long-term performance in periods of high and low valuation market in response to announcements of acquisitions carried out by Spanish listed firms over the period 1991–2016. We find that acquirers of unlisted targets fully react at the announcement date in high valuation periods, meanwhile the underreaction of listed target bidders at the moment of the announcement in low valuation markets is the result of return continuations. In addition, we find that the market reaction do not depend on recent merger history. Therefore, we provide evidence that bidder reaction to acquisitions is not consistent with the predictions of market sentiment (optimism) after controlling for the listing status of the target firm, not supporting, for a thinner market as the Spanish one, the evidence observed in US and UK markets. JEL CLASSIFICATION G14; G34; L33; D81
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Ahmad, Iftikhar, Izlin Ismail i Shahrin Saaid Shaharuddin. "Predictive Role of Ex Ante Strategic Firm Characteristics for Sustainable Initial Public Offering (IPO) Survival". Sustainability 13, nr 14 (19.07.2021): 8063. http://dx.doi.org/10.3390/su13148063.
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This study attempts to predict how long a newly listed corporation, usually termed initial public offering (IPO), will survive on the equity listing market. The three-fold contribution of this study comprises a hand-collected and substantially expanded dataset for listed IPOs (1990–2017) over a maximum tracking period of 31 years (1990–2020) to predict the IPO survival on emerging Malaysian capital market, the rationale and consequences for unifying the two listing boards (Main Board and Second Board) in 2009, and an investigation of the predictive role of ex ante strategic prospectus information as early warning signals for sustainable survival of Malaysian IPOs. We also make comparisons for the survival profile of IPOs listed on different listing equity boards. We use Cox proportional hazard (PH) model to estimate the empirical results because of the cohort research design of the study. Overall empirical results show that survival curves for IPOs listed on Main Board and Second Board were not statistically different. However, Second Board IPOs remained more vulnerable to hazard. The survival curves for IPOs listed on Main Market and ACE Market are statistically different. Empirical results reveal that high share premium, high listed capital, and longer firm age at listing date significantly increase the survival (reduce hazard) of IPOs listed on the Main Market and the Second Board. However, bigger firm size and elevated risk factors significantly reduce the survival (increase hazard) of the listed IPOs mentioned above. However, share premium is the only variable that has a negative and significant correlation with IPO survival on ACE Market. These results have implications for the regulators, prospective investors, and policymakers of emerging markets, where the IPO prospectus disclosures bridge the information asymmetry gap prevailing due to the nonexistence of public information prior to the IPO. Empirical findings of this study can be generalized to other developing and emerging markets where IPO prospectus substantially mitigates information asymmetry and ex ante strategic firm characteristics act as early warning signals in predicting IPO survival.
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Tajudeen, Aluko Bioye, i Olaleye Abel. "UNITIZATION AND SECURITIZATION OF PROPERTY INVESTMENT: IMPLICATIONS FOR FUTURE VALUATION". Journal of Business Economics and Management 6, nr 3 (30.09.2005): 125–34. http://dx.doi.org/10.3846/16111699.2005.9636101.
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Property investments are now mobile, being tradable securities or listed units (vehicles) comparable to stocks/ shares in the financial market. Hence, the need for valuation to be a counterpart to investment and security analysis. But, current valuation practice in the country has not placed property in a wider economy and the analytical techniques of other markets. The paper therefore demonstrates how current valuation techniques in the property market can meet the needs of investors for listed or tradeable property assets in the country. It also examines the implications on the valuation profession as well as the attendant consequences that are likely to be associated with the quest for change. The study utilizes data from both the Nigerian property and capital markets using simple descriptive, non‐statistical, techniques.
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Magner, Nicolás S., i Cinthia K. Roa. "Terrorism and Latin-American Stocks Markets". Revista Mexicana de Economía y Finanzas 14, PNEA (1.08.2019): 583–99. http://dx.doi.org/10.21919/remef.v14i0.424.
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This paper investigates the effects of major terrorist attacks of the last 20 years on a set of stocks listed at Latin-American stock markets. Utilizing the capital market model, we calculate abnormal returns during the day of the terror attacks for 115 stocks listed in 6 Latin-American countries. In this sense, we appreciate different reaction between countries, where Brazil, Peru, and Chile have a significant market reaction of terrorism. These results promote international diversification and the use of this loss to avoid significant capital losses. However, the results are limited by the validity of the capital market model. This paper has important implications for international investors and their investment risk management strategies. Despite the frequency of terrorist events, this is the first work that addresses a wide range of these in Latin American countries. The main conclusion is that there is a negative effect of terrorist events on Latin American markets, but this effect is mixed; there is a negative and significant impact of the US terrorist attacks and a weak and non-significant effect when the attacks occur outside the US.
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Wu, Yaoan, Dayu Wang, Jiatong Bao i Jinglong Qu. "The Role of Regional Formal Institution and Foreign Direct Investment in the Performance of Tourism Firms". International Journal of Business Management and Finance Research 5, nr 2 (15.07.2022): 46–66. http://dx.doi.org/10.53935/26415313.v5i2.224.
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Tourism, as one of the important pillar industries of China's economic development, has also made rapid development. At the same time, the number and the scale of tourism enterprises are also growing. This study collects the marketization index of each province in China, the actual level of foreign capital utilization in each province, and the return on total assets and return on equity of listed tourism companies. In addition, the evaluation of corporate social performance is collected by questionnaire with 500 responses. The results of the model show that the regional formal institution has a significant impact on the financial performance of tourism companies. The total index of marketization, the development of factor markets, the development of market-intermediate institutions and legal framework have significant positive effects on the ROA of tourism listed companies. Foreign direct investment has no significant impact on the performance of tourism listed companies; however, it has impact on their performance under the mediation of regional formal institutions. The total market index, the relationship between government and markets, the development of non-state enterprise sector, the development of factor markets the development of market-intermediate institutions and legal framework have moderating effects on the impact of FDI on ROA. Regional formal institution has a significant impact on consumer perception of social performance of tourism enterprises.
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Abbate, Cosimo, i Alessandro Sapio. "Gazelles and muppets in the city: risk sharing and firm growth quantiles in a junior stock market". Industrial and Corporate Change 28, nr 6 (18.05.2019): 1405–27. http://dx.doi.org/10.1093/icc/dtz024.
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Abstract Financialization is persuading academics and policy-makers that the growth of SMEs can be unleashed by promoting their quotation on stock markets. Is it true? Answering can give clues on the functions that stock markets actually perform in the financialized world, from collecting finance for productive investments, to providing opportunities for value extraction; from a selection device to a risk-sharing mechanism. The associated effects may be amplified in segments catering to companies that do not satisfy the listing requirements of the official list, such as junior markets. In this article, we test hypotheses linking the shape of the firm growth rates distribution to the functions performed by a junior stock market, through quantile regressions. We use a sample of UK manufacturing companies listed on Alternative Investment Market (AIM), the junior segment of the London Stock Exchange, and comparably small and young unlisted companies. We find that the operating revenues and total assets of AIM-listed gazelles grow faster than for their unlisted peers, after controlling for lagged values of size, age, and growth. Yet, there is a loss reinforcing effect for companies listed on the AIM. After controlling for endogeneity by estimating instrumental variable quantile treatment effects, our findings dismiss the existence of a treatment effect of AIM and are consistent with the stock market attracting relatively risky companies.
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Jarrett, Jeffrey E., i Janne Schilling. "DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)". Journal of Business Economics and Management 9, nr 3 (30.09.2008): 189–98. http://dx.doi.org/10.3846/1611-1699.2008.9.189-198.
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In this article we test the random walk hypothesis in the German daily stock prices by means of a unit root test and the development of an ARIMA model for prediction. The results show that the time series of daily stock returns for a stratified random sample of German firms listed on the stock exchange of Frankfurt exhibit unit roots. Also, we find that one may predict changes in the returns to these listed stocks. These time series exhibit properties which are forecast able and provide the intelligent data analysts’ methods to better predict the directive of individual stock returns for listed German firms. The results of this study, though different from most other studies of other stock markets, indicate the Frankfurt stock market behaves in similar ways to North American, other European and Asian markets previously studied in the same manner.
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Yang, Chau-Chen, Cheng-Few Lee, Yi-Jung Chen i Ling Hu. "China-Concept Factor and Stock Returns in Taiwan". Review of Pacific Basin Financial Markets and Policies 11, nr 01 (marzec 2008): 99–122. http://dx.doi.org/10.1142/s0219091508001283.
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This study investigates whether there is a "China-concept factor", a common variation of stock returns, for firms that are listed in Taiwan stock markets and have real investments in China. We employ a methodology similar to that used by Lamont et al. (2001) in examining whether there is a financial-constraints factor. Listed firms in Taiwan stock markets for the period 1990–2004 are used to form portfolios of firms based on observable characteristics related to their real investments in China. We find that firms investing heavily in China have stock returns moving together over time, which suggests that firms investing in China are subject to common shocks. Firms investing heavily in China are found to exhibit higher average stock returns. There exists a China-concept factor for firms listed in Taiwan stock market and have real investments in China.
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Saad, Ahmed, i Mahmoud Elsayed. "Determinants of capital adequacy at the Egyptian investors compensation fund". Corporate Ownership and Control 13, nr 2 (2016): 31–38. http://dx.doi.org/10.22495/cocv13i2p3.
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The purpose of this study is to investigate the protection system of investors in the Egyptian stock markets, using a number of econometric techniques and hand-collected data of Egyptian Investor Protection Fund over the period from 2006 to 2014. We measure the capital adequacy through two variables, which may be a benchmark in it selves or can be compared to similar regimes at developed stock markets, these variables are: the fund reserves as a percentage of market capitalisations and fund reserves available to compensate owners of the market capitalisations, which in turn depend upon the number of customers accounts subject to compensations, number of the market portfolio owners, the value of the investor securities account at every compensation fund member, number of stock traders, number of listed shares and number of transactions. Overall, there is significant positive coefficient/relationship between market capitalisation, retained earnings and reserve. However, there is significant negative coefficient/relationship between Number of listed companies and fund reserves capital.
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Brodocianu, Mihaela, i Ovidiu Stoica. "Herding Behavior of Institutional Investors in Romania. An Empirical Analysis". Review of Economic and Business Studies 10, nr 2 (1.12.2017): 115–30. http://dx.doi.org/10.1515/rebs-2017-0057.
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AbstractDuring the last decades, institutional investors have been the main players, both in developed as well as in emerging stock markets. Thus, their investment behavior was analyzed at the national or international level, in order to assess if institutional investors herd, increase stock return volatility, affect market efficiency and liquidity, influence the corporate governance, or destabilize stock prices. This paper studies the behavior of the institutional investors on the Romanian stock market, a European frontier market that struggles to attain the status of emerging market. We examine if the disclosure level generates any herding behavior for institutional investors. In emerging markets, the lack of transparency affects the degree of investments in a listed company, as long as insider trading is pushed to the limit of the legal line. For this study, we used financial information from the companies listed on the Bucharest Stock Exchange for the period 2010-2014. The findings highlight that there is a certain herding behavior among institutional investors in Romania.
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Konno, Yukiko, i Yuki Itoh. "Why do listed companies delist themselves voluntarily?" Journal of Financial Management of Property and Construction 23, nr 2 (6.08.2018): 152–69. http://dx.doi.org/10.1108/jfmpc-02-2017-0006.
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Purpose This study aims to analyse, from a corporate finance and governance perspective, the reasons why managers decide to delist their companies from a stock exchange. On the basis of the five hypotheses of voluntary delisting, this study examines why listed companies delist themselves voluntarily in the construction and real estate sectors. Design/methodology/approach By using actual data to examine contractors and real estate companies listed on the Tokyo Stock Exchange between 2004 and 2014, this study analyses whether these companies delist themselves voluntarily. The pooled binary logit model is used as the statistical method. Findings In both the construction and real estate sectors, the concentration of shareholders has a significantly positive effect on voluntary delisting, thus supporting the transfer of wealth effect hypothesis. In construction, market capitalisation has a significantly negative effect on voluntary delisting, thus supporting the maintenance cost reduction hypothesis. In the real estate sector, the ratio of market capitalisation to total assets has a significantly negative effect on voluntary delisting, thus supporting the undervalue elimination hypothesis. Originality/value By comparing the construction and real estate sectors, this study reveals both unique and common reasons for voluntary delisting in each sector. It also offers valuable insights to managers, regulators setting standards in securities markets and investors.
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Thesmar, David, i Mathias Thoenig. "Contrasting Trends in Firm Volatility". American Economic Journal: Macroeconomics 3, nr 4 (1.10.2011): 143–80. http://dx.doi.org/10.1257/mac.3.4.143.
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Over the past decades, the real and financial volatility of listed firms has increased, while the volatility of private firms has decreased. We first provide panel data evidence that, at the firm level, sales and employment volatility are impacted by changes in the degree of ownership concentration. We then construct a model with private and listed firms where risk-taking is a choice variable at the firm-level. Due to general equilibrium feedback, we find that both an increase in stock market participation and integration in international capital markets generate opposite trends in volatility for private and listed firms. (JEL G15, G32, L25)
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Alfonso Perez, Gerardo “Gerry”. "Company Size Effect in the Stock Market of Thailand". International Journal of Financial Research 8, nr 3 (12.06.2017): 105. http://dx.doi.org/10.5430/ijfr.v8n3p105.
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The outperformance of small capitalization companies over large capitalization companies is a well-known occurrence in developed markets (Gorn, 1962), (Jacobs, 1989) with (Banz, 1981) numerically showing that this effect on stocks in the New York Stock Exchange. This phenomenon is based on the idea that some company specific characteristics can have a statistically significant impact on stock performance. The existence, or otherwise of this effect in emerging markets has received less attention. Given the very different characteristics of emerging markets compared to mature markets like the US is not immediately evident that the same conclusions can be extrapolated. One of the immediate clear differences between emerging and mature markets is the depth with markets like the US having a large amount of listed companies as well as large average trading volumes. In fact, when this analysis has been repeated in some emerging markets, such as Sri Lanka, the results seem to indicate that there is no statistically appreciable difference between the return of small and large capitalization stocks (Macn, 2013). It should be noted that in the case of the Sri Lanka case there were only, at the time of the article, 25 listed companies, of which only 12 were included in the analysis. The specific case of the stock market of Thailand is analyzed in this paper. The results of this article seem to point towards the existence of a size effect, affecting stock performance, in the Thai stock market. Some articles covering emerging market as a whole as pointed towards the opposite results. Given the substantial differences among emerging markets countries it is perhaps a better approach to follow an individualized analysis, country per country, rather than treat it as a homogenous group.
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Mwambuli, Erick Lusekelo. "Does Corporate Capital Structure influence Corporate Financial Performance in Developing Economies? Evidence from East African Stock Markets". International Finance and Banking 3, nr 1 (10.05.2016): 97. http://dx.doi.org/10.5296/ifb.v3i1.9357.
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This paper examines the statistically significant influence which capital structure has had on corporate financial performance of listed non-financial companies in East African stock markets. It used panel data of 272 observations including 34 East African non-financial listed firms listed in East African stock markets such as Dar Es Salaam Stock Market (DSE), Nairobi Securities Exchange (NSE) and Uganda Securities Exchange (USE) for a period of 8 years {i.e. 2006-2013}.Using the Panel Corrected Standard Errors (PCSEs) and Fixed Effect (FE),the study formulated two (2) econometric models with return on assets (ROA) and return on equity (ROE) as dependent variables and measures of corporate financial performance respectively, three (3) independent variables such as short term debt ratio (STDR),long term debt ratio (LTDR) and total debt ratio (TDR) as a measure of capital structure, furthermore the study used size of the firm (SIZ) as a control variable in order to control the differences in firm’s operating environment. The result indicate that capital structure has a negative and statistically significant influence on East African listed firm’s financial performance at 5% significance level. These results show that in average profitable listed firms in East African prefers to use internal source of financing in their capital structure as compared to external source of financing {like Debts-STDR,LTDR and TDR} and this results are supporting pecking order theory. Lastly the study recommends to corporate financial managers of East African non-financial listed firms should reduce financing their operations and growth by debt (STDR,LTDR and TDR) on their capital structure in order to enhance their corporate financial performance, regulatory authorities in East African region such as East African member states securities regulatory authority (EASRA) to formulate policies that will improving of financial markets in the region in order to reduce the cost of debt, further research could examine the influence {if any} of capital structure on sector wise (as per industry-like Manufacturing firms) for East African non-financial listed firms, take into account more control variables which are likely to influence financial performance such as macroeconomic variables (like gross domestic product - GDP) and consider other capital structure theories like ,market timing theory, agency theory which were not considered in our study.
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Aliu, Florin, Adriana Knápková, Hoang Khang Tran i Bashkim Nurboja. "Modeling the Equilibrium Price of the Companies Listed in the Prague Stock Exchange". Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 68, nr 4 (2020): 731–39. http://dx.doi.org/10.11118/actaun202068040731.
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Valuation provides proper evidence on the financial situation of the firms. Incorrect valuation delivers wrong signals for the market participants and stands on the concepts of markets with information asymmetry. The study measures the estimated intrinsic value of the selected companies listed in the Prague Stock Exchange. Moreover, the results of the work observe influencing factors that deviate stock prices of the companies listed in the Prague Stock Exchange (PSE) from their estimated intrinsic value. Valuation techniques and Monte Carlo Simulation were employed to detain the estimated intrinsic of the selected companies from the Prague Stock Exchange. The estimated results indicate that Czech listed companies deviate from the intrinsic value in the range of 58% while international companies in the range of 301%. However, the average deviation within market prices and intrinsic value of the companies listed in the PSE was 179%.
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Bolek, Monika, Anna Pluskota i Rafał Wolski. "Liquidity – Profitability Trade-Off on the Example of Companies Listed on Main and Alternative New Connect Markets on Warsaw Stock Exchange". Finanse i Prawo Finansowe 4, nr 28 (31.12.2020): 27–44. http://dx.doi.org/10.18778/2391-6478.4.28.02.
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The goal of this paper is related to the liquidity and profitability relationship analysis and their maxima assessment in the companies listed in the main and alternative markets of Warsaw Stock Exchange. The trade-off between maximum profitability and liquidity is the result of value maximization and bankruptcy prevention strategies and this approach is expected to be similar in all listed companies due to investors’ expectation. It has been found that there is no difference in management goals in the markets taken into consideration and companies in both research samples maximize profitability within a conservative approach to the liquidity. The maximum liquidity, on the other hand, is determined with a similar level of profitability as measured by ROE on the main market of WSE and NewConnect.
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Chelley-Steeley, Patricia Lorraine, i James M. Steeley. "Price discovery for Chinese shares cross-listed in multiple markets". Applied Financial Economics 22, nr 19 (27.04.2012): 1587–601. http://dx.doi.org/10.1080/09603107.2012.667548.
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Azmi, Nurul Afiqah, Muhammad Najib Razali i Rosli Said. "Benchmarking developed property portfolio markets in Malaysian-listed property companies". Pacific Rim Property Research Journal 24, nr 2 (16.04.2018): 107–37. http://dx.doi.org/10.1080/14445921.2018.1461767.
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Dasilas, Koulakiotis, i Tolikas Molyneux. "The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities". Journal of International Business and Economy 10, nr 1 (1.07.2009): 89–105. http://dx.doi.org/10.51240/jibe.2009.1.5.
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This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.
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Senteney, Michael H., David L. Senteney i Mohammad S. Bazaz. "Equity Market Response to Form 20-F Disclosures for ADR Firms". International Journal of Economics and Finance 9, nr 3 (22.02.2017): 233. http://dx.doi.org/10.5539/ijef.v9n3p233.
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Non-U.S. companies may list securities in U.S. stock exchanges, provided that they file a set of audited financial statements as well as comply with extensive SEC disclosure requirements. We speculate that non-U.S. firms who choose to be listed in the major U.S. exchanges will comply with the supplemental disclosure requirements in order to have the supplemental disclosures impounded in the home country equity share price via the ADR share price in the manner described by Fishman and Hagerty (1989). We investigate the information content of non-U.S. firm’s earnings released vis-à-vis the SEC Form 20-F filings in both ADR and home country equity share markets. We employed models of the ADR and equity security share earnings release date abnormal returns controlling for the incremental firm-specific SEC Form 20-F disclosures required of exchange listed ADRs. Our results suggest that both ADR and home country equity share markets exhibit abnormal returns associated with the earnings release date. Particularly noteworthy, however, is the association between magnitudes of U.S. GAAP earnings and magnitudes of SEC Form 20-F filing date. Abnormal returns are significantly larger than the association between magnitudes of reported earnings and earnings report date abnormal returns in both the ADR and home country equity share markets. Our results seemingly suggest that the U.S. ADR share market’s response dominates the cross-market information flow, driving the home country equity share market response in a manner consistent with the notion that U.S. GAAP conveys price relevant information beyond reported earnings for non-U.S. firms.
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Óladóttir, Ásta Dís, Friðrik Árni Friðriksson, Gylfi Magnússon i Valur Þráinsson. "Að þjóna sömu herrum en keppa þó: Sameiginlegt eignarhald á íslenskum hlutabréfamarkaði". Veftímaritið Stjórnmál og stjórnsýsla 13, nr 1 (16.06.2017): 27. http://dx.doi.org/10.13177/irpa.a.2017.13.1.2.
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The article analyses common or horizontal ownership of shares on the Icelandic Stock Exchange. We compare this to common ownership of listed shares in the U.S. The situation in Iceland has not been subject to much formal research despite clear signs of concentrated ownership. We look at three Icelandic markets where two or three competing firms all have their shares listed on the stock exchange. The markets are for insurance, telecommunications and real estate. We also look at the holdings of shares by Icelandic pension funds at four points in time, the years 2003, 2007, 2014 and 2016. Although the stock market has changed considerably in many respects within that timeframe, making direct comparison difficult, we conclude that common ownership was far less prevalent before the crash, both among pension funds and all shareholders. At mid-year 2016, the pension funds dominated holdings of shares in most listed companies in Iceland. The largest pension funds each held shares in almost all listed companies. In the three markets that we analyse the pension funds held over 45% of the shares in real estate companies, 35% in insurance and 50% in telecommunications. We do not analyse the consequences of this concentrated and common ownership on competition and prices. That remains a subject for further study. Based on the results from research into the effects of common ownership in the U.S. this development should though clearly be a cause for concern.
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Óladóttir, Ásta Dís, Friðrik Árni Friðriksson, Gylfi Magnússon i Valur Þráinsson. "Að þjóna sömu herrum en keppa þó: Sameiginlegt eignarhald á íslenskum hlutabréfamarkaði". Veftímaritið Stjórnmál og stjórnsýsla 13, nr 1 (15.06.2017): 27. http://dx.doi.org/10.13177/irpa.a.217.13.1.2.
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The article analyses common or horizontal ownership of shares on the Icelandic Stock Exchange. We compare this to common ownership of listed shares in the U.S. The situation in Iceland has not been subject to much formal research despite clear signs of concentrated ownership. We look at three Icelandic markets where two or three competing firms all have their shares listed on the stock exchange. The markets are for insurance, telecommunications and real estate. We also look at the holdings of shares by Icelandic pension funds at four points in time, the years 2003, 2007, 2014 and 2016. Although the stock market has changed considerably in many respects within that timeframe, making direct comparison difficult, we conclude that common ownership was far less prevalent before the crash, both among pension funds and all shareholders. At mid-year 2016, the pension funds dominated holdings of shares in most listed companies in Iceland. The largest pension funds each held shares in almost all listed companies. In the three markets that we analyse the pension funds held over 45% of the shares in real estate companies, 35% in insurance and 50% in telecommunications. We do not analyse the consequences of this concentrated and common ownership on competition and prices. That remains a subject for further study. Based on the results from research into the effects of common ownership in the U.S. this development should though clearly be a cause for concern.
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Zhong, Ke, Fang Wang i Lihui Zhou. "Deferred revenue changes as a leading indicator for future financial performance". Asian Review of Accounting 25, nr 4 (4.12.2017): 549–68. http://dx.doi.org/10.1108/ara-11-2015-0118.
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Purpose The purpose of this paper is to investigate whether deferred revenue changes can serve as a leading indicator for firms listed on China’s stock markets, and whether China’s market participants can appropriately incorporate future performance implications of deferred revenue changes. Design/methodology/approach Empirical/archival/regression analysis. Findings The authors find that deferred revenue changes are positively associated with the next two years’ sales growth, gross profit margin, profit margin, and return on assets, suggesting that deferred revenue changes can serve as a valid leading indicator for future financial performance. The authors also find that Chinese investors tend to underweight future performance implications of deferred revenue changes. Originality/value To the authors’ knowledge, this study is among the first research to examine deferred revenue changes as a leading fundamental indicator and market underreaction to reported accounting information for firms listed on China’s stock markets.
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Fu, Lei, i Qian Wang. "Driving factors of merger momentum in China: empirical evidence from listed companies". China Finance Review International 9, nr 2 (20.05.2019): 235–53. http://dx.doi.org/10.1108/cfri-06-2017-0153.
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Purpose The purpose of this paper is to study merger momentum and its driving factors in China by sampling 376 listed bidders from 2008 to 2013. Design/methodology/approach The empirical model captures the dependency of market reaction on recent merger and stock market states. The independent variables are designed from two dimensions, i.e. at the level of market-wide as an integral and bidder-specific as individuals. Furthermore, both the market and bidding firms contain merger momentum and market momentum, respectively. Findings The empirical results show that there is merger momentum in the market. Particularly, merger momentum is significant both in short run and long run for the mergers with cash payment, which supports the synergy effect. It also implicates the mergers with stock driven by investor sentiment. Besides, investors’ over-optimism is significant in the bull markets while managerial hubris is found in the bear markets. Research limitations/implications The driving factors for merger momentum in China are complex. Three impacts with different effects interact with one another. They are investor sentiment and managerial hubris with negative effects resulting in reversal abnormal return in the long run, and synergies with positive shocks resulting in no reverse at all. The limitation of the paper is insufficient analysis of the mergers financed by stocks, which will be the focus for future study. Practical implications The conclusions of the study help to intensify the understanding of the immature and unnormalized capital market in China. The empirical analyses give some inspiration and suggestions to three parties in the market, i.e. investors, bidding firms and regulators, respectively. Originality/value There are three contributions. The first one is to provide a novel model to identify how these different effects work on the merger momentum. The second one is the measurement of investor sentiment from different perspectives. The last but most important one is the new findings with novel explanations, which proves that the impacts on merger momentum are complex.
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Li, Shi Hua, i Shi De Zhao. "Efficiency Evaluation on Listed Power Company Based on Data Envelopment Analysis". Applied Mechanics and Materials 63-64 (czerwiec 2011): 318–21. http://dx.doi.org/10.4028/www.scientific.net/amm.63-64.318.
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The relationship between power industry and the national economic development are being more and more closely associated. The power companies supported by the government policy and attention in the stock market has gotten the developing priority, and has also been becoming one of important blocks on the stock markets. Use DEA method, select the appropriate input and output indexes, analyze the relative efficiency of the power companies and give evaluation of the results. Not only power companies, the majority of the shareholders, but also political decision-makers could get references from DEA evaluation.
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Ohk, Ki Yool. "The Effect of Futures Trading on Spot Market Liquidity". Journal of Derivatives and Quantitative Studies 13, nr 1 (31.05.2005): 29–52. http://dx.doi.org/10.1108/jdqs-01-2005-b0002.
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This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly after stock index futures are listed, This study partitions the trading activity series of sPOt markets into expected and unexpected components, and documents that unexpected spot-trading activities are associated with smaller sPOt price movements subsequent to the introduction of futures trading, This imolies that spot market liquidity has been increased by the intraduction of futures trading, Furthermore, this study examines the effect of futures-trading activity on the liquidity of spot markets, Results show that active futures markets enhance the liquidity of soot markets.
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Osińska, Magdalena, Andrzej Dobrzyński i Yochanan Shachmurove. "Performance of American and Russian joint stock companies on financial market. A microstructure perspective". Equilibrium 11, nr 4 (31.12.2016): 819. http://dx.doi.org/10.12775/equil.2016.037.
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This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.
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Huang, Xin, Xianling Jiang, Wei Liu i Qian Chen. "Business Group-Affiliation and Corporate Social Responsibility: Evidence from Listed Companies in China". Sustainability 13, nr 4 (16.02.2021): 2110. http://dx.doi.org/10.3390/su13042110.
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Business groups have played a vital role in the development of emerging markets. However, we share very limited understanding in the role of business group that act on affiliated firms’ CSR performance. Using manually sorted data on A-share listed companies and business groups in China from 2010–2017, we examine whether a company’s business group-affiliation affects its corporate social responsibility (CSR) performance and the mediating mechanisms of this association. Our empirical models show that group companies bear a higher level of social responsibility compared to independent companies. This positive relationship between group-affiliation and social responsibility relies on resource allocation through internal capital markets, rent-seeking initiatives, and consideration of corporate reputation. Moreover, group affiliation benefits the firm’s CSR performance in employee’s responsibilities, consumers’ responsibilities and environmental responsibilities, while significantly lower the shareholders’ responsibilities. Our empirical valuation of group companies’ CSR levels can serve as a benchmark for emerging market companies implementing social responsibility policies.
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Jagongo, Ambrose, i Ruth Mwaura. "EFFECTS OF MORTGAGE RISK ON MARKET RETURNS OF LISTED COMMERCIAL BANKS IN KENYA". International Journal of Finance and Accounting 7, nr 1 (17.02.2022): 15–32. http://dx.doi.org/10.47604/ijfa.1469.
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Purpose: The study is focused to determine the effects of mortgage risk on market returns of listed commercial banks in Kenya
Methodology: This study utilised Systematic review research design to locate, assemble and evaluate relevant studies that address the dependent and independent variables.
Findings: The results indicated that the existing studies had a conceptual framework gap as empirical literature does not offer conclusive results on the applicability of the theories in managing mortgage risk and market returns. Previous studies were majorly conducted at a different time period in other markets presenting a geographical gap.
Unique contribution to theory, practice and policy: The study will be beneficial to listed commercial banks in Kenya to adapt effective mortgage risk management strategies to sustain positive market returns. The models developed from this study will aid the government institutions that regulate listed commercial banks in Kenya to develop policies on sustainable mortgage risk management. The study will add new knowledge on mortgage risk management to maximise market returns for listed commercial banks in Kenya.