Pub Date : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088846
S. Wong, Chin-Hong Puah, Shazali Abu Mansor
The rational expectations hypothesis (REH) serves as an appealing mechanism in forming expectations because of its consistency with the basic principles of maximizing behavior. The present study intends to provide empirical support of forecast rationality in the context of survey-based business expectations, particularly in agriculture-based entities in Malaysia. Three rationality tests which include unbiasedness test, non-serial correlation test and weak form efficiency test have been utilized in the study. Empirical findings showed diverse evidence of rationality in business operational forecasts formed by Malaysian agriculture firms, as capital expenditure expectations were found to be irrational but gross revenue expectations were supportive of the REH proposition. This implies that the survey of business forecasts may not work well in reflecting the true business outlook, specifically in value-related operational forecasts, which in turn would directly influence investment decisions as well as the capital budgeting process.
{"title":"Survey evidence on the rationality of business expectations on Malaysian agricultural sector","authors":"S. Wong, Chin-Hong Puah, Shazali Abu Mansor","doi":"10.1109/ISBEIA.2011.6088846","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088846","url":null,"abstract":"The rational expectations hypothesis (REH) serves as an appealing mechanism in forming expectations because of its consistency with the basic principles of maximizing behavior. The present study intends to provide empirical support of forecast rationality in the context of survey-based business expectations, particularly in agriculture-based entities in Malaysia. Three rationality tests which include unbiasedness test, non-serial correlation test and weak form efficiency test have been utilized in the study. Empirical findings showed diverse evidence of rationality in business operational forecasts formed by Malaysian agriculture firms, as capital expenditure expectations were found to be irrational but gross revenue expectations were supportive of the REH proposition. This implies that the survey of business forecasts may not work well in reflecting the true business outlook, specifically in value-related operational forecasts, which in turn would directly influence investment decisions as well as the capital budgeting process.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126940331","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088880
S. Sumari, Z. Hamzah, Y. Yasin
Adsorption of Reactive Black 5 (RB5) and Reactive Orange 16 (RO16) from their binary mixture using MgA-NO3 -layered double hydroxide (MgAlNO3-LDH) was conducted in a batch system. First order derivative spectrophotometric method was used for simultaneous analysis of RB5 and RO16 in binary mixtures. The effect of pH, contact time, and initial concentration were investigated. The results of these analyses showed that adsorption of reactive dyes were optimum at pH 2. Experimental data indicated that between the two reactive dyes in the mixture, RB5 was competitively better adsorbed than RO16 by LDH. Kinetic studies indicated that both pseudo first order and second order kinetic models fitted the experimental data with correlation R2> 0.96.
{"title":"Competitive adsorption of reactive dyes from binary mixture by MgAlNO3 - layered double hydroxide","authors":"S. Sumari, Z. Hamzah, Y. Yasin","doi":"10.1109/ISBEIA.2011.6088880","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088880","url":null,"abstract":"Adsorption of Reactive Black 5 (RB5) and Reactive Orange 16 (RO16) from their binary mixture using MgA-NO3 -layered double hydroxide (MgAlNO3-LDH) was conducted in a batch system. First order derivative spectrophotometric method was used for simultaneous analysis of RB5 and RO16 in binary mixtures. The effect of pH, contact time, and initial concentration were investigated. The results of these analyses showed that adsorption of reactive dyes were optimum at pH 2. Experimental data indicated that between the two reactive dyes in the mixture, RB5 was competitively better adsorbed than RO16 by LDH. Kinetic studies indicated that both pseudo first order and second order kinetic models fitted the experimental data with correlation R2> 0.96.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130782371","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088847
J. Holtzhausen, Ludwig Martin
The level of construction site employees' access to and usage of public transport impacts on productivity. Absenteeism, late arrival, and early departure to and from work result in losses in productivity. Modeling various options of transport provision, the question of viability for employers to provide transport to staff can be assessed. The presented models consider more than the resultant cost to company. Transport related problems are considered. The work is case study driven, focusing on a typical inner-urban construction site. Within the case study a questionnaire administered among staff as well as clock-cards were used to capture data. Data aimed at depicting typical circumstances and opinions regarding transport. It was found that the provision of transport can lead to decreased absenteeism, increased productivity and a more satisfied labor force. The provision of transport to site staff can thus impact on the labor forces' overall productivity. It must however be noted that a cost to company exists and the actual and perceived benefits should outweigh the costs. Recommendations for construction companies considering the provision of transport for site staff are given, highlighting some particular aspects of such decision.
{"title":"Site-staff transport in the construction industry","authors":"J. Holtzhausen, Ludwig Martin","doi":"10.1109/ISBEIA.2011.6088847","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088847","url":null,"abstract":"The level of construction site employees' access to and usage of public transport impacts on productivity. Absenteeism, late arrival, and early departure to and from work result in losses in productivity. Modeling various options of transport provision, the question of viability for employers to provide transport to staff can be assessed. The presented models consider more than the resultant cost to company. Transport related problems are considered. The work is case study driven, focusing on a typical inner-urban construction site. Within the case study a questionnaire administered among staff as well as clock-cards were used to capture data. Data aimed at depicting typical circumstances and opinions regarding transport. It was found that the provision of transport can lead to decreased absenteeism, increased productivity and a more satisfied labor force. The provision of transport to site staff can thus impact on the labor forces' overall productivity. It must however be noted that a cost to company exists and the actual and perceived benefits should outweigh the costs. Recommendations for construction companies considering the provision of transport for site staff are given, highlighting some particular aspects of such decision.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"227 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131717625","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088838
Irma Yazreen Md Yusoff, Zorah Abu Kassim, Nagarani Seenivasa
Women in Malaysia have been in the labor force for many years. However, the number of women in Malaysia holding higher managerial positions is rare although women possess higher education qualification and experience compared to men. This paper investigates the existence of barriers that may prevent women from filling up the top management positions and further investigates how these perceived barriers affect their job performance based on the 90.69 percent feedbacks of employees working with Multinational Companies in Malaysia. From the findings, only lack of mentorship was found to be the major factor that bars women from achieving a higher managerial positions and is the only significant variable with job performance.
{"title":"Perceived barriers for women's career progression and its impact towards job performance in multinational companies in Malaysia","authors":"Irma Yazreen Md Yusoff, Zorah Abu Kassim, Nagarani Seenivasa","doi":"10.1109/ISBEIA.2011.6088838","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088838","url":null,"abstract":"Women in Malaysia have been in the labor force for many years. However, the number of women in Malaysia holding higher managerial positions is rare although women possess higher education qualification and experience compared to men. This paper investigates the existence of barriers that may prevent women from filling up the top management positions and further investigates how these perceived barriers affect their job performance based on the 90.69 percent feedbacks of employees working with Multinational Companies in Malaysia. From the findings, only lack of mentorship was found to be the major factor that bars women from achieving a higher managerial positions and is the only significant variable with job performance.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132743576","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088809
N. Saadon, Z. Omar, Noriah Yusof, S. H. A. Muhamad
The multi-used fiber has turned oil palm fronds as the raw material which has a high potential as commercial products and renewable energy at present and future time. Since this valuable raw material is easily found scattering abundantly throughout the whole year in Malaysia, it needs to be preserved through a drying process. Therefore, more drying methods need to be experimented so that more choices are available. This study has chosen fluidized bed dryer due to its advantages. Since there are many factors which affect the drying process in this dryer, this study was aimed to investigate one of the effects, which is the hot air temperature. Different hot air temperatures of 60, 70 and 90°C were selected in identifying their effects on the drying process of oil palm fronds chips in the chosen dryer. 200 g of OPF chips at 10 cm bed height were put in the fluidized bed column. Later, hot air, at a fixed velocity of 1.45 m/s (1.2umf), was allowed to flow continuously for 60 min in the column. The findings show that the higher the hot air temperature, the shorter the drying time. Thus, this resulted in a higher drying rate.
该多功能纤维以油棕叶为原料，在当前和未来具有很高的商业化产品和可再生能源潜力。由于这种珍贵的原料在马来西亚一年四季都很容易被发现，因此需要通过干燥过程来保存。因此，需要试验更多的干燥方法，以提供更多的选择。考虑到流化床干燥机的优点，本研究选择了流化床干燥机。由于影响该干燥机干燥过程的因素很多，因此本研究旨在研究其中一个影响因素，即热风温度。选择不同的热风温度为60、70和90℃，以确定其对所选烘干机中油棕叶片干燥过程的影响。将200 g床高为10 cm的OPF芯片放入流化床柱中。然后，让热空气以1.45 m/s (1.2umf)的固定速度在塔中连续流动60 min。结果表明，热风温度越高，干燥时间越短。因此，这导致了更高的干燥速率。
{"title":"Exploratory study of oil palm frond chips drying process","authors":"N. Saadon, Z. Omar, Noriah Yusof, S. H. A. Muhamad","doi":"10.1109/ISBEIA.2011.6088809","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088809","url":null,"abstract":"The multi-used fiber has turned oil palm fronds as the raw material which has a high potential as commercial products and renewable energy at present and future time. Since this valuable raw material is easily found scattering abundantly throughout the whole year in Malaysia, it needs to be preserved through a drying process. Therefore, more drying methods need to be experimented so that more choices are available. This study has chosen fluidized bed dryer due to its advantages. Since there are many factors which affect the drying process in this dryer, this study was aimed to investigate one of the effects, which is the hot air temperature. Different hot air temperatures of 60, 70 and 90°C were selected in identifying their effects on the drying process of oil palm fronds chips in the chosen dryer. 200 g of OPF chips at 10 cm bed height were put in the fluidized bed column. Later, hot air, at a fixed velocity of 1.45 m/s (1.2umf), was allowed to flow continuously for 60 min in the column. The findings show that the higher the hot air temperature, the shorter the drying time. Thus, this resulted in a higher drying rate.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132920519","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088857
M. Ros, Z. Ismail, F. Hassan, M. C. Mat
One critical element of PFI projects is the contract which binds the Special Purpose Vehicle (SPV) (project promoter) with the government (client). Drawing up the PFI contract is by no means a simple undertaking because elements of economy, social, technological and intellectual considerations will have to be coherently spelt out. Adding on to this now is the requirement to include sustainable considerations. However, this can be very vexing because sustainable project elements can have serious implications to the project implementation process, costing and viability.
{"title":"Sustainable private financing initiative contracts","authors":"M. Ros, Z. Ismail, F. Hassan, M. C. Mat","doi":"10.1109/ISBEIA.2011.6088857","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088857","url":null,"abstract":"One critical element of PFI projects is the contract which binds the Special Purpose Vehicle (SPV) (project promoter) with the government (client). Drawing up the PFI contract is by no means a simple undertaking because elements of economy, social, technological and intellectual considerations will have to be coherently spelt out. Adding on to this now is the requirement to include sustainable considerations. However, this can be very vexing because sustainable project elements can have serious implications to the project implementation process, costing and viability.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"237 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133457889","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088804
M. Suhairil Meon, H. Husain, M. F. Othman, M. Remeli, M. S. Mohd Syawal
The objective of this study is to investigate the effect of variation of the tube length and the crosshead velocity on the amount of energy absorption of aluminium tubes (Al 6061) towards the inversion collapsed mode. The tests were performed on the Aluminium tubes using compression test apparatus according to ASTM E8 standard procedures. Two parameters that are included in the experiment were the crosshead velocity and tube length. The collected experimental data were organized and analysis of energy absorption was performed. Comparison was made to the values of energy absorption obtained from the experiments, and it was found that the energy absorbed by the Aluminium tube was increased by increasing the tube length as well as crosshead velocity.
{"title":"The effect of cross-head velocity and length of tube on energy absorption of aluminium tube","authors":"M. Suhairil Meon, H. Husain, M. F. Othman, M. Remeli, M. S. Mohd Syawal","doi":"10.1109/ISBEIA.2011.6088804","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088804","url":null,"abstract":"The objective of this study is to investigate the effect of variation of the tube length and the crosshead velocity on the amount of energy absorption of aluminium tubes (Al 6061) towards the inversion collapsed mode. The tests were performed on the Aluminium tubes using compression test apparatus according to ASTM E8 standard procedures. Two parameters that are included in the experiment were the crosshead velocity and tube length. The collected experimental data were organized and analysis of energy absorption was performed. Comparison was made to the values of energy absorption obtained from the experiments, and it was found that the energy absorbed by the Aluminium tube was increased by increasing the tube length as well as crosshead velocity.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121533608","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088842
Emi Normalina Omar, H. S. Jaafar
Nowadays the market of halal products is widely distributed throughout the world. This has caused an increase in the demand for halal products not only by Islamic countries but also by non-Islamic countries. Hence, as halal is applicable not only to the Muslim people but also to the others, this causes the products to become well known globally as well as emphasizes the need for a halal supply chain. In view of that, a halal supply chain is vital in ensuring that the concept of halal is not only applicable for the food itself but also for the entire supply chain starting from the farm to the customer. Furthermore, the ‘halalan toyyiban’ concept which means wholesome also encompasses safety, quality and cleanliness of foods, and its logistics process becomes more attractive and lucrative. As a consequence, the aim of this study is to identify and distinguish the factors which lead to an effective halal supply chain in the food industry in Malaysia. In order to achieve this objective, a conceptual model is proposed based on the results of the interviews conducted with those who deal directly or indirectly with the poultry industry. The study found that halal animal feed, proper slaughtering and proper segregation are the three pertinent areas that need to be focused on in the halal food supply chain. Thus, the proposed conceptual model can be used as a guide or information for future halal logistics research.
{"title":"Halal supply chain in the food industry - A conceptual model","authors":"Emi Normalina Omar, H. S. Jaafar","doi":"10.1109/ISBEIA.2011.6088842","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088842","url":null,"abstract":"Nowadays the market of halal products is widely distributed throughout the world. This has caused an increase in the demand for halal products not only by Islamic countries but also by non-Islamic countries. Hence, as halal is applicable not only to the Muslim people but also to the others, this causes the products to become well known globally as well as emphasizes the need for a halal supply chain. In view of that, a halal supply chain is vital in ensuring that the concept of halal is not only applicable for the food itself but also for the entire supply chain starting from the farm to the customer. Furthermore, the ‘halalan toyyiban’ concept which means wholesome also encompasses safety, quality and cleanliness of foods, and its logistics process becomes more attractive and lucrative. As a consequence, the aim of this study is to identify and distinguish the factors which lead to an effective halal supply chain in the food industry in Malaysia. In order to achieve this objective, a conceptual model is proposed based on the results of the interviews conducted with those who deal directly or indirectly with the poultry industry. The study found that halal animal feed, proper slaughtering and proper segregation are the three pertinent areas that need to be focused on in the halal food supply chain. Thus, the proposed conceptual model can be used as a guide or information for future halal logistics research.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123948165","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088855
N. H. Idris, Z. Ismail
Since the construction industry has great impact on the environment, the consideration of sustainable development through sustainable construction is needed. Sustainable construction provides solutions that require optimization of all types of beneficial environmental impact. Therefore, sustainable construction is important in order to achieve sustainable development, taking into consideration the environment, economic and social issues. This paper is a review of sustainable practices in construction industry. This research proposed a mixed method of qualitative and quantitative research to develop a framework policy for sustainable construction in Malaysia. This framework will include new strategies and guidelines that can be used as criteria to benchmark the gaps in process and strategies for sustainable construction industry in order to capture good practices in terms of minimizing environmental impacts and improving Malaysian readiness towards the sustainable issues.
{"title":"Framework policy for sustainable construction in Malaysia","authors":"N. H. Idris, Z. Ismail","doi":"10.1109/ISBEIA.2011.6088855","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088855","url":null,"abstract":"Since the construction industry has great impact on the environment, the consideration of sustainable development through sustainable construction is needed. Sustainable construction provides solutions that require optimization of all types of beneficial environmental impact. Therefore, sustainable construction is important in order to achieve sustainable development, taking into consideration the environment, economic and social issues. This paper is a review of sustainable practices in construction industry. This research proposed a mixed method of qualitative and quantitative research to develop a framework policy for sustainable construction in Malaysia. This framework will include new strategies and guidelines that can be used as criteria to benchmark the gaps in process and strategies for sustainable construction industry in order to capture good practices in terms of minimizing environmental impacts and improving Malaysian readiness towards the sustainable issues.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124804049","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 : 2011-12-01DOI: 10.1109/ISBEIA.2011.6088789
Shamshimah Samsuddin, Fauziah Hanim Tafri, Abd. Halim Mohd. Nawawi, N. A. Aziz
The purpose of this paper is to measure the default probability of Malaysian companies which have issued Sukuk for the period 2001 to 2010 by using Merton's Model. Maximum Likelihood Estimation (MLE) method has been used in the computation of the unavailable parameters of the Merton's Model which are the market value of the company's asset, the volatility and the asset expected return. Findings show that Sukuk with high default risk earns higher returns than Sukuk with low default risk. The rating of the Sukuk supports the result of the default probability whereby most of the Sukuk with high probability of default were rated low. This study finds the default probability measured from Merton's Model can explain the credit ratings of the Sukuk. Ordered probit model has been used to examine the effectiveness of the market based model in explaining credit ratings as compared to the accounting based model. By incorporating Merton's default probability model with two other related default risk factors (issuer size and book-to-market ratio), the model is found to have outperformed accounting-based model in explaining Sukuk credit ratings.
{"title":"Measuring the default risk of Sukuk holders for shariah compliance companies in Malaysia: Using Merton's model with maximum likelihood estimator","authors":"Shamshimah Samsuddin, Fauziah Hanim Tafri, Abd. Halim Mohd. Nawawi, N. A. Aziz","doi":"10.1109/ISBEIA.2011.6088789","DOIUrl":"https://doi.org/10.1109/ISBEIA.2011.6088789","url":null,"abstract":"The purpose of this paper is to measure the default probability of Malaysian companies which have issued Sukuk for the period 2001 to 2010 by using Merton's Model. Maximum Likelihood Estimation (MLE) method has been used in the computation of the unavailable parameters of the Merton's Model which are the market value of the company's asset, the volatility and the asset expected return. Findings show that Sukuk with high default risk earns higher returns than Sukuk with low default risk. The rating of the Sukuk supports the result of the default probability whereby most of the Sukuk with high probability of default were rated low. This study finds the default probability measured from Merton's Model can explain the credit ratings of the Sukuk. Ordered probit model has been used to examine the effectiveness of the market based model in explaining credit ratings as compared to the accounting based model. By incorporating Merton's default probability model with two other related default risk factors (issuer size and book-to-market ratio), the model is found to have outperformed accounting-based model in explaining Sukuk credit ratings.","PeriodicalId":358440,"journal":{"name":"2011 IEEE Symposium on Business, Engineering and Industrial Applications (ISBEIA)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124593540","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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