SP this period coincides with the beginning of the global outbreak of COVID-19. This claim is in line with the view that, due to the stringent screening, Islamic equity investments provide hedging benefits during market downfalls. In this paper, we investigate whether Islamic equity indices (IEIs), in general, exhibit hedging benefits during the COVID-19 period for global, the US, and European markets. We also test whether the difference in Shari’ah screening criteria has any impact on the relative performance of Islamic equity investments. Our empirical findings support the hypothesis that IEIs do provide hedging benefits during severe market downfalls especially those following the market value of equity-based Shari’ah screening criteria. The excess performance, however, is associated largely with higher systematic risk suggesting that hedging benefits come at an additional cost. The results remained robust following the Dual Beta model and Logistic smooth autoregression model.
{"title":"Islamic Equity Investments and the COVID-19 Pandemic","authors":"Dawood Ashraf, M. Rizwan, Ghufran Ahmad","doi":"10.2139/ssrn.3611898","DOIUrl":"https://doi.org/10.2139/ssrn.3611898","url":null,"abstract":"SP this period coincides with the beginning of the global outbreak of COVID-19. This claim is in line with the view that, due to the stringent screening, Islamic equity investments provide hedging benefits during market downfalls. In this paper, we investigate whether Islamic equity indices (IEIs), in general, exhibit hedging benefits during the COVID-19 period for global, the US, and European markets. We also test whether the difference in Shari’ah screening criteria has any impact on the relative performance of Islamic equity investments. Our empirical findings support the hypothesis that IEIs do provide hedging benefits during severe market downfalls especially those following the market value of equity-based Shari’ah screening criteria. The excess performance, however, is associated largely with higher systematic risk suggesting that hedging benefits come at an additional cost. The results remained robust following the Dual Beta model and Logistic smooth autoregression model.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"8 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141202751","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}
In prior research we highlighted the diversity of real assets in terms of their sensitivities to the equity and bond markets and to macroeconomic factors such as growth and inflation. We now extend our analysis to real asset portfolios. Do portfolios exhibit similar characteristics and performance? Or, like the real assets themselves, do real asset portfolios display heterogeneity, with a given portfolio serving a particular investment goal and purpose? We use our Real Asset Sensitivity Analysis (RASA TM) framework to help CIOs estimate the macroeconomic and market sensitivities of a real asset portfolio. Institutional investors have increased their allocations to real assets, either assembling the real asset portfolio themselves from the ground up; investing in a third-party real asset fund; or some combination of the two. To illustrate the diversity of real asset portfolios, we examine third-party public, liquid, real asset funds. RASA sensitivities differ considerably across funds and can differ even when funds have similar broad asset allocations. Institutional investors can use RASA to gauge whether a real asset fund, or custom portfolio, aligns with their investment objectives. Using RASA, we identify fund groups that are likely suited for distinct economic environments. An investor can use this information to select funds that may achieve a targeted investment objective-oriented strategy such as Inflation Protection, Growth, or Growth Protection.
{"title":"What’s in Your Real Asset Portfolio? Introducing RASA TM","authors":"Harsh Parikh","doi":"10.2139/ssrn.3766481","DOIUrl":"https://doi.org/10.2139/ssrn.3766481","url":null,"abstract":"In prior research we highlighted the diversity of real assets in terms of their sensitivities to the equity and bond markets and to macroeconomic factors such as growth and inflation. We now extend our analysis to real asset portfolios. Do portfolios exhibit similar characteristics and performance? Or, like the real assets themselves, do real asset portfolios display heterogeneity, with a given portfolio serving a particular investment goal and purpose? We use our Real Asset Sensitivity Analysis (RASA TM) framework to help CIOs estimate the macroeconomic and market sensitivities of a real asset portfolio. Institutional investors have increased their allocations to real assets, either assembling the real asset portfolio themselves from the ground up; investing in a third-party real asset fund; or some combination of the two. To illustrate the diversity of real asset portfolios, we examine third-party public, liquid, real asset funds. RASA sensitivities differ considerably across funds and can differ even when funds have similar broad asset allocations. Institutional investors can use RASA to gauge whether a real asset fund, or custom portfolio, aligns with their investment objectives. Using RASA, we identify fund groups that are likely suited for distinct economic environments. An investor can use this information to select funds that may achieve a targeted investment objective-oriented strategy such as Inflation Protection, Growth, or Growth Protection.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130661928","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 construct a novel measure of disclosure choice by firms. Our measure is computed using linguistic analysis of conference calls to identify whether a manager’s response to an analyst question is a “non-answer.” Using our measure, about 11% of analyst questions elicit non-answers from managers, a rate that is stable over time and similar across industries. A useful feature of our measure is that it enables an examination of disclosure choice within a call. Analyst questions with a negative tone, greater uncertainty, greater complexity, or requests for greater detail are more likely to trigger non-answers. We find that performance-related questions tend to be associated with non-answers, and this association is weaker when performance news is favorable. We also find analyst questions about proprietary information are associated with non-answers, and this association is stronger when firm competition is more intense.
{"title":"Non-answers during Conference Calls","authors":"Ian D. Gow, D. Larcker, Anastasia A. Zakolyukina","doi":"10.2139/SSRN.3310360","DOIUrl":"https://doi.org/10.2139/SSRN.3310360","url":null,"abstract":"We construct a novel measure of disclosure choice by firms. Our measure is computed using linguistic analysis of conference calls to identify whether a manager’s response to an analyst question is a “non-answer.” Using our measure, about 11% of analyst questions elicit non-answers from managers, a rate that is stable over time and similar across industries. A useful feature of our measure is that it enables an examination of disclosure choice within a call. Analyst questions with a negative tone, greater uncertainty, greater complexity, or requests for greater detail are more likely to trigger non-answers. We find that performance-related questions tend to be associated with non-answers, and this association is weaker when performance news is favorable. We also find analyst questions about proprietary information are associated with non-answers, and this association is stronger when firm competition is more intense.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133860922","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 shows the relationship between corporate social responsibility and firm’s value, respect of the consumer awareness, is different across industries. There are industries that advertising firm’s CSR ratings could benefit the firm’s value. And there are industries that the firm value would be hurt when advertising on it’s CSR rating. There are also industries that show no significant relationship on whether advertising on CSR rating would impact the firm’s value. Important is, the result is varied by industries and it is misspecified if mixed the market together despite the industry effect and only look at the overall conclusion.
{"title":"The Impact of Corporate Social Responsibility on Firm Value Consider Customer Awareness and Industry Fixed Effect","authors":"Shanghui Ji","doi":"10.2139/ssrn.3584060","DOIUrl":"https://doi.org/10.2139/ssrn.3584060","url":null,"abstract":"This paper shows the relationship between corporate social responsibility and firm’s value, respect of the consumer awareness, is different across industries. There are industries that advertising firm’s CSR ratings could benefit the firm’s value. And there are industries that the firm value would be hurt when advertising on it’s CSR rating. There are also industries that show no significant relationship on whether advertising on CSR rating would impact the firm’s value. Important is, the result is varied by industries and it is misspecified if mixed the market together despite the industry effect and only look at the overall conclusion.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130998109","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}
Whilst pension assets (liabilities) are often neglected by external investors when making investment decisions, pension assets (liabilities) have a stealthy effect on the evaluation of corporates’ performance. This paper studied the question of how pension assets (liabilities) are correlated with a holistic set of performance measurements including financial health, profitability, productivity, transformation, and social responsibility. Additional assessments are made to discover the driver of the differences in performance within the characteristics of pension plans.
{"title":"Corporation's Performance Measurements and Corporates’ Pension Plan Characteristics","authors":"Jiacong Wei","doi":"10.2139/ssrn.3583080","DOIUrl":"https://doi.org/10.2139/ssrn.3583080","url":null,"abstract":"Whilst pension assets (liabilities) are often neglected by external investors when making investment decisions, pension assets (liabilities) have a stealthy effect on the evaluation of corporates’ performance. This paper studied the question of how pension assets (liabilities) are correlated with a holistic set of performance measurements including financial health, profitability, productivity, transformation, and social responsibility. Additional assessments are made to discover the driver of the differences in performance within the characteristics of pension plans.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114506523","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 investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five (5) years (2014 – 2018). An impact of these selected independent variables on the stock market index is estimated using the regression model and Panel Least Square model. Monetary policy data has been run in three different lags i.e. lag (0), lag (-1, -2, -3, -4), and lag (1, 2, 3, 4) in order to check the availability of monetary policy impact in pre and post announcement dates also, while the other variables run on a single lag. It is observed that the stock market of developed countries has a significant relation with monetary policy announcements, however, these announcements showed an insignificance relation with the stock market index in the case of developing countries. Moreover, exchange rates seem to have a significant effect on markets of both developing and developed countries, whereas bond yield seems to have a significant effect on the stock market of Developing countries only.
{"title":"News Vs Sentiments: Impact of Monetary Policy Announcement on Developed and Developing Countries’ Market Performance","authors":"Jazib Ansari, D. Siddiqui","doi":"10.2139/ssrn.3681241","DOIUrl":"https://doi.org/10.2139/ssrn.3681241","url":null,"abstract":"This paper investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five (5) years (2014 – 2018). An impact of these selected independent variables on the stock market index is estimated using the regression model and Panel Least Square model. Monetary policy data has been run in three different lags i.e. lag (0), lag (-1, -2, -3, -4), and lag (1, 2, 3, 4) in order to check the availability of monetary policy impact in pre and post announcement dates also, while the other variables run on a single lag. It is observed that the stock market of developed countries has a significant relation with monetary policy announcements, however, these announcements showed an insignificance relation with the stock market index in the case of developing countries. Moreover, exchange rates seem to have a significant effect on markets of both developing and developed countries, whereas bond yield seems to have a significant effect on the stock market of Developing countries only.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125217011","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 model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon investors that are more sensitive to liquidity than to fees. The higher turnover of these investors sustains the ETF's high liquidity, allowing the ETF to maintain a higher fee and extract a rent. These liquidity rents create a first-mover advantage among ETFs and impact investor welfare. Our empirical tests confirm the presence of liquidity clienteles and show that ETF fee differentials provide a novel measure of the value of liquidity. Our findings resolve the apparent paradox that ETFs with higher fees than their competitors can not only survive, but flourish in equilibrium due to the value of liquidity.
{"title":"The Value of ETF Liquidity","authors":"M. Khomyn, Tālis J. Putniņš, M. Zoican","doi":"10.2139/ssrn.3561531","DOIUrl":"https://doi.org/10.2139/ssrn.3561531","url":null,"abstract":"We model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon investors that are more sensitive to liquidity than to fees. The higher turnover of these investors sustains the ETF's high liquidity, allowing the ETF to maintain a higher fee and extract a rent. These liquidity rents create a first-mover advantage among ETFs and impact investor welfare. Our empirical tests confirm the presence of liquidity clienteles and show that ETF fee differentials provide a novel measure of the value of liquidity. Our findings resolve the apparent paradox that ETFs with higher fees than their competitors can not only survive, but flourish in equilibrium due to the value of liquidity.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126153475","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}
Sudden Stops are financial crises defined by a large, sudden current-account reversal. They occur in both advanced and emerging economies and result in deep recessions, collapsing asset prices, and real exchange-rate depreciations. They are preceded by economic expansions, current-account deficits, credit booms, and appreciated asset prices and real exchange rates. Fisherian models (i.e. models with credit constraints linked to market prices) explain these stylized facts as an outcome of Irving Fisher's debt-deflation mechanism. On the normative side, these models feature a pecuniary externality that provides a foundation for macroprudential policy (MPP). We review the stylized facts of Sudden Stops, the evidence on MPP use and effectiveness, and the findings of the literature on Fisherian models. Quantitatively, Fisherian amplification is strong and optimal MPP reduces sharply the size and frequency of crises, but it is also complex and potentially time-inconsistent, and simple MPP rules are less effective. We also provide a new MPP analysis incorporating investment. Using a constant debt-tax policy, we construct a crisis probability-output frontier showing that there is a tradeoff between financial stability and long-run output (i.e., reducing the probability of crises reduces long-run output). (Copyright: Elsevier)
{"title":"A Fisherian Approach to Financial Crises: Lessons from the Sudden Stops Literature","authors":"Javier Bianchi, Enrique G. Mendoza","doi":"10.2139/ssrn.3657199","DOIUrl":"https://doi.org/10.2139/ssrn.3657199","url":null,"abstract":"Sudden Stops are financial crises defined by a large, sudden current-account reversal. They occur in both advanced and emerging economies and result in deep recessions, collapsing asset prices, and real exchange-rate depreciations. They are preceded by economic expansions, current-account deficits, credit booms, and appreciated asset prices and real exchange rates. Fisherian models (i.e. models with credit constraints linked to market prices) explain these stylized facts as an outcome of Irving Fisher's debt-deflation mechanism. On the normative side, these models feature a pecuniary externality that provides a foundation for macroprudential policy (MPP). We review the stylized facts of Sudden Stops, the evidence on MPP use and effectiveness, and the findings of the literature on Fisherian models. Quantitatively, Fisherian amplification is strong and optimal MPP reduces sharply the size and frequency of crises, but it is also complex and potentially time-inconsistent, and simple MPP rules are less effective. We also provide a new MPP analysis incorporating investment. Using a constant debt-tax policy, we construct a crisis probability-output frontier showing that there is a tradeoff between financial stability and long-run output (i.e., reducing the probability of crises reduces long-run output). (Copyright: Elsevier)","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124762335","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}
An increasing fraction of firms worldwide operate in multiple countries. We study the costs and benefits of being multinational in firms’ corporate financial decisions and survey the related academic evidence. We document that, among U.S. publicly traded firms, the prevalence of multinationals is approximately the same as domestic firms, using classification schemes relying on both income-based and a sales-based metrics. Outside the U.S., the fraction is lower but has been growing. Multinational firms are exposed to additional risks beyond those facing domestic firms coming from political factors and exchange rates. However, they are likely to benefit from diversification of cash flows and flexibility in capital sources. We show that multinational firms, indeed, have a better access to foreign capital markets and a lower cost of debt than otherwise identical domestic firms, but the evidence on the cost of equity is mixed.
{"title":"The Corporate Finance of Multinational Firms","authors":"Isil Erel, Yeejin Jang, M. Weisbach","doi":"10.2139/ssrn.3535761","DOIUrl":"https://doi.org/10.2139/ssrn.3535761","url":null,"abstract":"An increasing fraction of firms worldwide operate in multiple countries. We study the costs and benefits of being multinational in firms’ corporate financial decisions and survey the related academic evidence. We document that, among U.S. publicly traded firms, the prevalence of multinationals is approximately the same as domestic firms, using classification schemes relying on both income-based and a sales-based metrics. Outside the U.S., the fraction is lower but has been growing. Multinational firms are exposed to additional risks beyond those facing domestic firms coming from political factors and exchange rates. However, they are likely to benefit from diversification of cash flows and flexibility in capital sources. We show that multinational firms, indeed, have a better access to foreign capital markets and a lower cost of debt than otherwise identical domestic firms, but the evidence on the cost of equity is mixed.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"217 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115970133","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 show a long-lasting association between a common societal phenomenon, early-life family disruption, and investment behavior. Fund managers who experienced the death or divorce of their parents during childhood take lower risk and are more likely to sell their holdings following riskincreasing firm events. They make smaller tracking errors, hold fewer lottery stocks, and show a stronger disposition effect. The results strengthen as treatment intensifies, i.e., when disruption occurred during formative years, when bereaved families had less social support, and after (unexpected) parental deaths. The evidence adds to our understanding of the role of social factors and "nurture" in finance.
{"title":"Till Death (or Divorce) Do Us Part: Early-Life Family Disruption and Investment Behavior","authors":"A. Betzer, P. Limbach, P. Rau, Henrik Schürmann","doi":"10.2139/ssrn.3764536","DOIUrl":"https://doi.org/10.2139/ssrn.3764536","url":null,"abstract":"We show a long-lasting association between a common societal phenomenon, early-life family disruption, and investment behavior. Fund managers who experienced the death or divorce of their parents during childhood take lower risk and are more likely to sell their holdings following riskincreasing firm events. They make smaller tracking errors, hold fewer lottery stocks, and show a stronger disposition effect. The results strengthen as treatment intensifies, i.e., when disruption occurred during formative years, when bereaved families had less social support, and after (unexpected) parental deaths. The evidence adds to our understanding of the role of social factors and \"nurture\" in finance.","PeriodicalId":375725,"journal":{"name":"SPGMI: Capital IQ Data (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130645364","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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