Pub Date : 2019-01-01DOI: 10.4018/IJCFA.2019010101
F. Khan, Hashim Khan, Saif Khan, Muhammad Jumaa, Sharif Ullah Jan
This study aims to examine the impact of macroeconomic factors on the stock return volatility along with the pricing of risk, and asymmetry and leverage effect on a comparative basis for the USA and UAE markets. Further, these three dimensions are also investigated with regard to various firm's features (such as firm's size and age). The daily data for the period 4th January 2010 to 29th December 2017 of firm stock returns from the New York Stock Exchange (NYSE), the Abu Dhabi Securities Exchange (ADSE), and the Dubai Financial Market (DFM) is considered and three time-series models were applied. The results from GARCH (1. 1) indicated that all the economic factors have significant impact on the stock return volatility in both the markets. Similarly, the study also found evidence of asymmetry & leverage effect using EGARCH in the NYSE (for all firms) and the UAE (partially). Finally, for a majority of the firms, a positive risk-return relationship is found in the UAE and a negative risk-return relationship is found in the NYSE using GARCH-in the mean. Interestingly, these results in context of both markets were different with respect to various firm features such as firm size and age. In light of these results, it is concluded that both the markets have different dynamics with regard to all three dimensions. Hence, the investors have a clear opportunity to diversify their risk and investments across developed and emerging markets.
{"title":"Macroeconomic Sensitivity, Risk-Return Trade-Off and Volatility Dynamics Evidence From Developed and Developing Markets","authors":"F. Khan, Hashim Khan, Saif Khan, Muhammad Jumaa, Sharif Ullah Jan","doi":"10.4018/IJCFA.2019010101","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010101","url":null,"abstract":"This study aims to examine the impact of macroeconomic factors on the stock return volatility along with the pricing of risk, and asymmetry and leverage effect on a comparative basis for the USA and UAE markets. Further, these three dimensions are also investigated with regard to various firm's features (such as firm's size and age). The daily data for the period 4th January 2010 to 29th December 2017 of firm stock returns from the New York Stock Exchange (NYSE), the Abu Dhabi Securities Exchange (ADSE), and the Dubai Financial Market (DFM) is considered and three time-series models were applied. The results from GARCH (1. 1) indicated that all the economic factors have significant impact on the stock return volatility in both the markets. Similarly, the study also found evidence of asymmetry & leverage effect using EGARCH in the NYSE (for all firms) and the UAE (partially). Finally, for a majority of the firms, a positive risk-return relationship is found in the UAE and a negative risk-return relationship is found in the NYSE using GARCH-in the mean. Interestingly, these results in context of both markets were different with respect to various firm features such as firm size and age. In light of these results, it is concluded that both the markets have different dynamics with regard to all three dimensions. Hence, the investors have a clear opportunity to diversify their risk and investments across developed and emerging markets.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133757444","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}
Pub Date : 2019-01-01DOI: 10.4018/IJCFA.2019010103
P. Kalantonis, Konstantina Panagiotakopoulou, R. Mitoula
Ownership structure is a crucial determinant factor of the corporate governance measurement and has been associated, in prior studies, with the profitability of firms. The current study investigates the effect of ownership structure on the firm's performance in the period of financial crisis. The authors focus on the food and beverage (F&B) industry since this sector has been affected less than others by the economic recession. Exploring the listed F&B beverage in the Athens Stock Exchange for seven years during the crisis period in Greece, the authors have found evidence for the effect of ownership structure on firm performance as it has been reflected in the accounting and financial market indicators. The findings for the relation between ownership structure and firms' performance, measured with accounting indices, are different from those in which the performance has been measured with market indices.
{"title":"Ownership Structure and Firms' Performance in the Period of Crisis. Evidence From the Listed Food and Beverage Firms in the Athens Stock Exchange","authors":"P. Kalantonis, Konstantina Panagiotakopoulou, R. Mitoula","doi":"10.4018/IJCFA.2019010103","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010103","url":null,"abstract":"Ownership structure is a crucial determinant factor of the corporate governance measurement and has been associated, in prior studies, with the profitability of firms. The current study investigates the effect of ownership structure on the firm's performance in the period of financial crisis. The authors focus on the food and beverage (F&B) industry since this sector has been affected less than others by the economic recession. Exploring the listed F&B beverage in the Athens Stock Exchange for seven years during the crisis period in Greece, the authors have found evidence for the effect of ownership structure on firm performance as it has been reflected in the accounting and financial market indicators. The findings for the relation between ownership structure and firms' performance, measured with accounting indices, are different from those in which the performance has been measured with market indices.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125282767","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}
Pub Date : 2019-01-01DOI: 10.4018/IJCFA.2019010102
A. Christopoulos
Τhe recent crisis which accelerated after the collapse of Lehman Brothers in 2008 revealed that relationships between the real economy and the financial sector are decisive for the stability of the world economy, even in in cases of well operating banking systems operating in competitive economies. In the present article, the authors focus on Greece, the weakest member of the Eurozone, but with a financial system which seemed to operate on a sound basis, avoiding initially the effects of the US financial crisis. The goal of this article is to examine the performance of the Greek banking sector for the critical decade before and after the crisis, assessing the financial position of the four systemic Greek banks for the period 2006-2016. For this purpose, two alternative methods, CAMELS and Z-scores, are applied, comparing the results obtained from the two methodologies. As expected, the results of both methodologies show that the failure risk during the crisis period 2011-2016 for the four systemic banks was significantly higher compared to the pre-crisis period 2006-2010.
{"title":"An Application of CAMELS and Z-Score Methodologies in a Comparative Analysis Between the Four Systemic Banks in Greece for the Period 2006-2016","authors":"A. Christopoulos","doi":"10.4018/IJCFA.2019010102","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010102","url":null,"abstract":"Τhe recent crisis which accelerated after the collapse of Lehman Brothers in 2008 revealed that relationships between the real economy and the financial sector are decisive for the stability of the world economy, even in in cases of well operating banking systems operating in competitive economies. In the present article, the authors focus on Greece, the weakest member of the Eurozone, but with a financial system which seemed to operate on a sound basis, avoiding initially the effects of the US financial crisis. The goal of this article is to examine the performance of the Greek banking sector for the critical decade before and after the crisis, assessing the financial position of the four systemic Greek banks for the period 2006-2016. For this purpose, two alternative methods, CAMELS and Z-scores, are applied, comparing the results obtained from the two methodologies. As expected, the results of both methodologies show that the failure risk during the crisis period 2011-2016 for the four systemic banks was significantly higher compared to the pre-crisis period 2006-2010.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131750883","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}
Pub Date : 2018-07-01DOI: 10.4018/IJCFA.2018070101
Medhanie G. Mekonnen, R. Mayer, Wen-wen Chien
Mutual fund portfolio managers do not always meet performance expectations, resulting in loss of capital reserves. Out of 3,612 U.S. based open-ended mutual funds, the risk-adjusted performance of 2,890 (80%) failed to meet the S&P 500 performance between the year 2006 to 2016. Grounded in Markowitz's modern portfolio theory, this correlational study examined the relationship between mutual fund class type, portfolio turnover, fund longevity, management turnover, and annual fund risk-adjusted performance. Archival data were collected from 88 U.S. based equity mutual funds companies. The results of the multiple regression analysis indicated the model as a whole was able to significantly predict annual fund risk-adjusted performance for the 5-year period ending 2016, F (4, 83) = 3.581, p = .010, R2 = .147. In the final model, mutual fund class type and portfolio turnover were statistically significant with mutual fund class type (ß= .249, t = 2.302, p = .024) accounting for a higher contribution to the model than portfolio turnover (ß = .238, t = 2.312, p = .023).
共同基金投资组合经理并不总是达到预期的业绩，导致资本储备的损失。在3612只美国开放式共同基金中，有2890只(80%)的风险调整后业绩在2006年至2016年期间未能达到标准普尔500指数的表现。以马科维茨的现代投资组合理论为基础，本研究考察了共同基金类别类型、投资组合周转率、基金寿命、管理层周转率和基金年度风险调整绩效之间的关系。档案数据收集自88家美国股票共同基金公司。多元回归分析结果表明，该模型整体上能够显著预测截至2016年5年期基金风险调整后的年度业绩，F (4,83) = 3.581, p = 0.010, R2 = 0.147。在最终的模型中，共同基金类别类型和投资组合周转率具有统计学意义，其中共同基金类别类型(ß= .249, t = 2.302, p = 0.024)对模型的贡献高于投资组合周转率(ß= .238, t = 2.312, p = 0.023)。
{"title":"A Study on Factors Influencing Mutual Fund Portfolio Performance","authors":"Medhanie G. Mekonnen, R. Mayer, Wen-wen Chien","doi":"10.4018/IJCFA.2018070101","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070101","url":null,"abstract":"Mutual fund portfolio managers do not always meet performance expectations, resulting in loss of capital reserves. Out of 3,612 U.S. based open-ended mutual funds, the risk-adjusted performance of 2,890 (80%) failed to meet the S&P 500 performance between the year 2006 to 2016. Grounded in Markowitz's modern portfolio theory, this correlational study examined the relationship between mutual fund class type, portfolio turnover, fund longevity, management turnover, and annual fund risk-adjusted performance. Archival data were collected from 88 U.S. based equity mutual funds companies. The results of the multiple regression analysis indicated the model as a whole was able to significantly predict annual fund risk-adjusted performance for the 5-year period ending 2016, F (4, 83) = 3.581, p = .010, R2 = .147. In the final model, mutual fund class type and portfolio turnover were statistically significant with mutual fund class type (ß= .249, t = 2.302, p = .024) accounting for a higher contribution to the model than portfolio turnover (ß = .238, t = 2.312, p = .023).","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"350 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115887628","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}
Pub Date : 2018-07-01DOI: 10.4018/IJCFA.2018070103
C. Owuor
County governments in Kenya have been consistently accused of poor budget absorption. This article sought to assess misallocation of county funds and the delays in procurement process on budget absorption in county governments in Kenya. Descriptive research design was used. The study found out that there was misallocation of funds from the national governments to county treasuries and from the county treasuries to various department projects and activities which in effect affected the procurement processes. Procurement functions in the county governments were inefficient owing to the lead time and bureaucracies involved in procurement. The study therefore recommended for county governments in collaboration with commission for revenue allocation and the national treasuries to come up with a criterion for ensuring smooth flow of funds from the national treasury to the end user departments.
{"title":"County Funds, Delays in Procurement Process, and Budget Absorption in County Governments in Kenya","authors":"C. Owuor","doi":"10.4018/IJCFA.2018070103","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070103","url":null,"abstract":"County governments in Kenya have been consistently accused of poor budget absorption. This article sought to assess misallocation of county funds and the delays in procurement process on budget absorption in county governments in Kenya. Descriptive research design was used. The study found out that there was misallocation of funds from the national governments to county treasuries and from the county treasuries to various department projects and activities which in effect affected the procurement processes. Procurement functions in the county governments were inefficient owing to the lead time and bureaucracies involved in procurement. The study therefore recommended for county governments in collaboration with commission for revenue allocation and the national treasuries to come up with a criterion for ensuring smooth flow of funds from the national treasury to the end user departments.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129310202","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}
Pub Date : 2018-07-01DOI: 10.4018/IJCFA.2018070104
Saif Khan, F. Khan, Elgilani Elshareif
This article examines the effect of audit committee effectiveness on two measures of accounting conservatism. In addition, this article also investigates the interaction effect of four endogenous variables (i.e. firm's operating risks, leverage, managerial influence, firm's size) and three exogenous variables on relationship between audit committee effectiveness and two measures of accounting conservatism. A total of 543 sample firms are selected from the Bursa Malaysia for the period from 2004 to 2013. In addition, some information relating to audit committee and auditor quality are collected from firms' annual reports. For data analysis, panel data methodology is employed, and multiple regression analysis technique is used to test the developed hypotheses of this study. Results show that interaction effect of firm's operating risks, managerial influence, external auditor quality and capital market uncertainty found to be significant with two-year-lagged effect on both measures of conservatism. Whereas, the interaction effect of firm's leverage, firm's size and product market completion are found to be insignificant. The findings of this study contribute to the signaling theory, agency theory, reputation theory and accounting conservatism literature with lagged effect in emerging economies settings.
{"title":"Audit Committee Effectiveness and Accounting Conservatism a Test of Lagged Effect","authors":"Saif Khan, F. Khan, Elgilani Elshareif","doi":"10.4018/IJCFA.2018070104","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070104","url":null,"abstract":"This article examines the effect of audit committee effectiveness on two measures of accounting conservatism. In addition, this article also investigates the interaction effect of four endogenous variables (i.e. firm's operating risks, leverage, managerial influence, firm's size) and three exogenous variables on relationship between audit committee effectiveness and two measures of accounting conservatism. A total of 543 sample firms are selected from the Bursa Malaysia for the period from 2004 to 2013. In addition, some information relating to audit committee and auditor quality are collected from firms' annual reports. For data analysis, panel data methodology is employed, and multiple regression analysis technique is used to test the developed hypotheses of this study. Results show that interaction effect of firm's operating risks, managerial influence, external auditor quality and capital market uncertainty found to be significant with two-year-lagged effect on both measures of conservatism. Whereas, the interaction effect of firm's leverage, firm's size and product market completion are found to be insignificant. The findings of this study contribute to the signaling theory, agency theory, reputation theory and accounting conservatism literature with lagged effect in emerging economies settings.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127057806","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}
Pub Date : 2018-07-01DOI: 10.4018/IJCFA.2018070102
A. Al-Dmour, R. Al-Dmour
This article aims to predict business performance using multiple linear regression and neural network. It compares the accuracy power of ANN and multiple linear regression (MLR) using the reliability of accounting information system as independent variables, and business performance as a dependent variable. It is based on primary data collected through a structured questionnaire from 162 out 202 of public listed companies in financial service sector in Jordan. The data were analysed using ANN and MLR. Testing results of the two methods ANN and MLR confirmed that the business performance indicators (financial, non-financial and combined) were significantly could be predicted by the reliability of AIS and they also revealed that in terms of predictive accuracy test, the ANN has a higher accuracy than regression analysis.
{"title":"Applying Multiple Linear Regression and Neural Network to Predict Business Performance Using the Reliability of Accounting Information System","authors":"A. Al-Dmour, R. Al-Dmour","doi":"10.4018/IJCFA.2018070102","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070102","url":null,"abstract":"This article aims to predict business performance using multiple linear regression and neural network. It compares the accuracy power of ANN and multiple linear regression (MLR) using the reliability of accounting information system as independent variables, and business performance as a dependent variable. It is based on primary data collected through a structured questionnaire from 162 out 202 of public listed companies in financial service sector in Jordan. The data were analysed using ANN and MLR. Testing results of the two methods ANN and MLR confirmed that the business performance indicators (financial, non-financial and combined) were significantly could be predicted by the reliability of AIS and they also revealed that in terms of predictive accuracy test, the ANN has a higher accuracy than regression analysis.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121285817","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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