A dynamic scoring simulation analysis compares the size-of-government effects of four state-government-level Tax and Expenditure Limit (TEL) and Budget Stabilization Fund (BSF) combinations. Two of the four TEL-BSF combinations have population-plus-inflation as the basis for the spending growth limit. The other two TEL-BSF combinations have personal-income-growth as the basis for the spending growth cap. A sensitivity analysis, including a regression analysis of Monte-Carlo-generated ‘observations’, measures the significance of the model parameter choices. The personal-income-growth TELs don’t constrain spending growth at all in some states. In most states, a TEL based on a significant multiple of population plus inflation restrains fiscal expansion more than either version of our personal income growth TEL. The findings provide some important policy issues: there are significant differences in the fiscal and economic impacts of likely TEL design alternatives, and there is a likely trade-off between stringency and political durability.
{"title":"A Dynamic Scoring Simulation Analysis of How TEL Design Choices Impact Government Expansion","authors":"J. Merrifield, B. Poulson","doi":"10.18533/JEFS.V4I02.211","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.211","url":null,"abstract":"A dynamic scoring simulation analysis compares the size-of-government effects of four state-government-level Tax and Expenditure Limit (TEL) and Budget Stabilization Fund (BSF) combinations. Two of the four TEL-BSF combinations have population-plus-inflation as the basis for the spending growth limit. The other two TEL-BSF combinations have personal-income-growth as the basis for the spending growth cap. A sensitivity analysis, including a regression analysis of Monte-Carlo-generated ‘observations’, measures the significance of the model parameter choices. The personal-income-growth TELs don’t constrain spending growth at all in some states. In most states, a TEL based on a significant multiple of population plus inflation restrains fiscal expansion more than either version of our personal income growth TEL. The findings provide some important policy issues: there are significant differences in the fiscal and economic impacts of likely TEL design alternatives, and there is a likely trade-off between stringency and political durability.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126348895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate EGARCH-models to assess whether contagious effects are identifiable during this crisis, or whether countries’ problems are instead due to fundamental problems founded in the affected economies themselves. The multivariate analysis reveals a generally decreasing co-movement of government bond returns which increased only temporarily. In contrast, the univariate analysis is directed more to detecting channels of contagion. The analysis of rating announcements concerning Greece as well as crisis news in general, reveals that there are some evidences for mean and volatility contagion.
{"title":"Financial Contagion During the European Sovereign Debt Crisis","authors":"Dieter Smeets","doi":"10.18533/JEFS.V4I02.199","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.199","url":null,"abstract":"From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate EGARCH-models to assess whether contagious effects are identifiable during this crisis, or whether countries’ problems are instead due to fundamental problems founded in the affected economies themselves. The multivariate analysis reveals a generally decreasing co-movement of government bond returns which increased only temporarily. In contrast, the univariate analysis is directed more to detecting channels of contagion. The analysis of rating announcements concerning Greece as well as crisis news in general, reveals that there are some evidences for mean and volatility contagion.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132988712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper uses daily data to perform an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the zero or low interest policy in Japan. The empirical results indicate that short-term interest rates have not impacted Japanese stock prices. On the other hand, long-term interest rates, exchange rates, and foreign stock prices have been significant determinants of Japanese stock prices. This seems counter to traditional economic theory, but interest rates were quite low and other variables, such as exchange rates and other stock prices, play important roles in determining Japanese stock prices.
{"title":"Deterministic Elements of Japanese Stock Prices under Low Interest Rates","authors":"Y. Kurihara","doi":"10.18533/JEFS.V4I02.224","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.224","url":null,"abstract":"This paper uses daily data to perform an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the zero or low interest policy in Japan. The empirical results indicate that short-term interest rates have not impacted Japanese stock prices. On the other hand, long-term interest rates, exchange rates, and foreign stock prices have been significant determinants of Japanese stock prices. This seems counter to traditional economic theory, but interest rates were quite low and other variables, such as exchange rates and other stock prices, play important roles in determining Japanese stock prices.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128930111","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper scrutinizes the effects of adherence to an encoded board configuration on firm efficiency in terms operational and financial performances using an integrated research framework that combines four distinct theories including agency, stewardship, stakeholders and resource dependency models. The research explores three main aspects of compliance outcomes; benefits accrued to conforming firms in terms of enhanced efficiency and market value, board level drivers as well as the external moderators of these benefits using a sample of 127 listed companies on the Nigerian Stock Exchange covering for the period of 1999-2010. Result show that board independence, directors’ cognitive competencies as measured in terms of their educational qualifications and professional experiences are positively associated with efficient management of assets (ROA) and firm stock marketability (Tobin’s q). I find no substantive empirical evidence to suggest that either the adoption of specific leadership structure or directors’ ethnic representation affects firm performance. Moreover, country-level macroeconomic variables, especially the degree of economic openness play a significant role in determining the strength of association between board structure variables and firm performance measures.
本文采用了一个综合研究框架，结合了代理、管理、利益相关者和资源依赖模型等四种不同的理论，从运营和财务绩效的角度审视了遵守编码董事会配置对公司效率的影响。本研究探讨了合规结果的三个主要方面;利用尼日利亚证券交易所1999-2010年期间127家上市公司的样本，分析了在提高效率和市场价值、董事会层面驱动因素以及这些利益的外部调节因素方面，符合条件的公司所积累的利益。结果表明，董事会独立性、董事认知能力(以其教育资格和专业经验衡量)与资产的有效管理(ROA)和公司股票的可市场性呈正相关(tobin.com s q)。我没有发现实质性的实证证据表明，采用特定的领导结构或董事种族代表性会影响公司绩效。此外，国家层面的宏观经济变量，特别是经济开放程度，在决定董事会结构变量与公司绩效指标之间的关联强度方面起着重要作用。
{"title":"Still on board configuration: SEC recommendations and the efficiency of adhering firms in Nigeria","authors":"B. Lawal","doi":"10.18533/JEFS.V4I02.215","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.215","url":null,"abstract":"This paper scrutinizes the effects of adherence to an encoded board configuration on firm efficiency in terms operational and financial performances using an integrated research framework that combines four distinct theories including agency, stewardship, stakeholders and resource dependency models. The research explores three main aspects of compliance outcomes; benefits accrued to conforming firms in terms of enhanced efficiency and market value, board level drivers as well as the external moderators of these benefits using a sample of 127 listed companies on the Nigerian Stock Exchange covering for the period of 1999-2010. Result show that board independence, directors’ cognitive competencies as measured in terms of their educational qualifications and professional experiences are positively associated with efficient management of assets (ROA) and firm stock marketability (Tobin’s q). I find no substantive empirical evidence to suggest that either the adoption of specific leadership structure or directors’ ethnic representation affects firm performance. Moreover, country-level macroeconomic variables, especially the degree of economic openness play a significant role in determining the strength of association between board structure variables and firm performance measures.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117087432","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper applies the well-known gravity model to empirically assess the linkage between emigration and export flows of a developing country. Econometric analysis of panel data unveils a significant substituting relationship between export flows from the source country and stock of emigrants to the destination country. This result not only contradicts with existing literature but also justifies manifold relationship between goods and manpower exports. Economic policy as well as foreign policy in Bangladesh must address this inherent relationship between export of goods and labor since emigration of unskilled labor largely depends on bilateral diplomatic relations whereas export patterns depend on comparative cost advantage.
{"title":"Linkage between emigration and export flows: The case of Bangladesh","authors":"M. S. Ullah, Mohammad Thoufiqul Islam","doi":"10.18533/JEFS.V4I1.222","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.222","url":null,"abstract":"This paper applies the well-known gravity model to empirically assess the linkage between emigration and export flows of a developing country. Econometric analysis of panel data unveils a significant substituting relationship between export flows from the source country and stock of emigrants to the destination country. This result not only contradicts with existing literature but also justifies manifold relationship between goods and manpower exports. Economic policy as well as foreign policy in Bangladesh must address this inherent relationship between export of goods and labor since emigration of unskilled labor largely depends on bilateral diplomatic relations whereas export patterns depend on comparative cost advantage.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128824757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine corporate takeovers in the U.S. oil and gas sector from 1990 to 2008. We test the hypotheses that energy prices and reserves influence takeovers in the energy market for corporate control. We employ these methods: 1. capital asset pricing model, 2. regression analysis, and 3. Granger causality test. Our results show that oil reserves cause takeover deals and affect the value of the merger. High oil prices propel management to acquire oil firms as well as affect the target value. However, the reverse cause-effect mechanism occurs for natural gas prices. That is, takeover activity causes gas prices to decrease. Acquirers are motivated to purchase reserves; whereas, targets are disposed to sell based on energy prices. Hence, our findings imply that countries can consider policies, which address the motivations of the oil and gas industries to facilitate well-functioning takeover markets.
{"title":"Corporate takeovers in the US oil and gas sector","authors":"Alex Ng, Raymond A. K. Cox","doi":"10.18533/JEFS.V4I1.208","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.208","url":null,"abstract":"We examine corporate takeovers in the U.S. oil and gas sector from 1990 to 2008. We test the hypotheses that energy prices and reserves influence takeovers in the energy market for corporate control. We employ these methods: 1. capital asset pricing model, 2. regression analysis, and 3. Granger causality test. Our results show that oil reserves cause takeover deals and affect the value of the merger. High oil prices propel management to acquire oil firms as well as affect the target value. However, the reverse cause-effect mechanism occurs for natural gas prices. That is, takeover activity causes gas prices to decrease. Acquirers are motivated to purchase reserves; whereas, targets are disposed to sell based on energy prices. Hence, our findings imply that countries can consider policies, which address the motivations of the oil and gas industries to facilitate well-functioning takeover markets.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129302511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the investment models of Benjamin Graham and Joseph Piotroski and compare the efficacy of these two models by running backtest, using screening rules and ranking systems built in Portfolio 123. Using different combinations of screening rules and ranking systems, we also examine the performance of Piotroski and Graham investment models. We find that the combination of Piotroski and Graham investment models performs better than S&P 500. We also find that the Piotroski screening with Graham ranking generates the highest average annualized return among different combinations of screening rules and ranking systems analyzed in this paper. Overall, our results show a profound impact of accounting information on investor’s decision making.
{"title":"A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement","authors":"N. Jahan, J. Cheh, Il-woon Kim","doi":"10.18533/JEFS.V4I1.219","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.219","url":null,"abstract":"We examine the investment models of Benjamin Graham and Joseph Piotroski and compare the efficacy of these two models by running backtest, using screening rules and ranking systems built in Portfolio 123. Using different combinations of screening rules and ranking systems, we also examine the performance of Piotroski and Graham investment models. We find that the combination of Piotroski and Graham investment models performs better than S&P 500. We also find that the Piotroski screening with Graham ranking generates the highest average annualized return among different combinations of screening rules and ranking systems analyzed in this paper. Overall, our results show a profound impact of accounting information on investor’s decision making.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129812782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Turkey is one of the most dynamic emerging markets in the world and its futures market has developed significantly since the introduction of futures contracts by Turkish Derivatives Exchange in 2005. Istanbul Stock Index 30 (ISE 30) futures was one of the first contracts introduced and its trading increased rapidly over time. This study specifically focuses on the evolution and stability of cointegration relationship between the futures and spot prices of ISE 30 index during the sample period from February 4, 2005 through October 19, 2012. We test whether changing market conditions have an impact on the long-run relationship between spot index and index futures markets by employing recursive and rolling cointegration techniques. The findings reveal that the cointegration relationship weakens significantly during the global financial crisis and eurozone debt crisis periods but holds mostly over the estimation period.
{"title":"Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration","authors":"Aysegul Ates","doi":"10.18533/JEFS.V4I1.212","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.212","url":null,"abstract":"Turkey is one of the most dynamic emerging markets in the world and its futures market has developed significantly since the introduction of futures contracts by Turkish Derivatives Exchange in 2005. Istanbul Stock Index 30 (ISE 30) futures was one of the first contracts introduced and its trading increased rapidly over time. This study specifically focuses on the evolution and stability of cointegration relationship between the futures and spot prices of ISE 30 index during the sample period from February 4, 2005 through October 19, 2012. We test whether changing market conditions have an impact on the long-run relationship between spot index and index futures markets by employing recursive and rolling cointegration techniques. The findings reveal that the cointegration relationship weakens significantly during the global financial crisis and eurozone debt crisis periods but holds mostly over the estimation period.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115638690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The accuracy of Turkish CPI as a price deflator is questionable especially when it comes to calculating real minimum wages. In this study we investigate the effect of different price indices on the relation between real GDP growth rates and real minimum wage growth rates by using a Granger causality analysis framework using VAR based granger causality tests. Result reveals that there is no causality between real minimu wage growth rates and real GDP growth rates in both directions. We also find a biderectional Granger causality between nominal minimum wage growth rates and COLI (an alternative price indice) growth rates. The results also showed that in line with our assumptions when an alternative deflator is used, the causality relations significantly differes.
{"title":"Effect of different price indices on linkage between real GDP growth and real minimum wage growth in Turkey","authors":"Onur Sunal, Ö. Alp","doi":"10.18533/JEFS.V4I1.213","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.213","url":null,"abstract":"The accuracy of Turkish CPI as a price deflator is questionable especially when it comes to calculating real minimum wages. In this study we investigate the effect of different price indices on the relation between real GDP growth rates and real minimum wage growth rates by using a Granger causality analysis framework using VAR based granger causality tests. Result reveals that there is no causality between real minimu wage growth rates and real GDP growth rates in both directions. We also find a biderectional Granger causality between nominal minimum wage growth rates and COLI (an alternative price indice) growth rates. The results also showed that in line with our assumptions when an alternative deflator is used, the causality relations significantly differes.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121532834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Both institutional and individual investors have a vast array of advisory and ratings services to assist with security selection. One of the most prominent sources of stock ratings is Morningstar. This is the first large-scale study evaluating the performance of portfolios formed using Morningstar’s Star rating system for stocks. We evaluate the performance of portfolios formed using this rating system. Our results provide evidence that the Morningstar stock rating system allows an investor to build a portfolio with superior absolute and risk-adjusted returns over a long period of time. We show that a modest transaction cost will reduce, but not eliminate, these benefits. Overall, our results indicate that Morningstar ratings effectively discriminate between over- and undervalued stocks over the long term.
{"title":"Assessing performance of Morningstar’s star rating system for equity investment","authors":"P. Bolster, E. Trahan, Pinshuo Wang","doi":"10.18533/JEFS.V4I1.214","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.214","url":null,"abstract":"Both institutional and individual investors have a vast array of advisory and ratings services to assist with security selection. One of the most prominent sources of stock ratings is Morningstar. This is the first large-scale study evaluating the performance of portfolios formed using Morningstar’s Star rating system for stocks. We evaluate the performance of portfolios formed using this rating system. Our results provide evidence that the Morningstar stock rating system allows an investor to build a portfolio with superior absolute and risk-adjusted returns over a long period of time. We show that a modest transaction cost will reduce, but not eliminate, these benefits. Overall, our results indicate that Morningstar ratings effectively discriminate between over- and undervalued stocks over the long term.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129851129","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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