The global financial crisis increased corporate world uncertainties. Therefore, to meet these challenges, firms take a more proactive approach to tackling various corporate governance and firm value initiatives and policies. This study aims to explore the moderating effect of capital adequacy on the relationship between board characteristics and the firm value of listed banks in Pakistan. To obtain a more robust empirical model and results, this study incorporates moderator and control variables. This study is based on half-yearly secondary data of 560 sample observations from 2009 to 2021. Multiple regression and panel data estimation techniques were employed for the analysis. The study used firm value as a dependent variable, proxied by Tobin’s Q, along with five independent variables, one moderating variable, and two control variables. The results of this study indicate that a higher capital adequacy ratio (CAR) increases firm value and has a moderating effect on board characteristics and firm value. Low proportions of women and independent directors on board affect firm value. The presence of risk management and audit committees in listed Pakistani banks, on the other hand, increases firm value. The banks in Pakistan have no problem with CEO duality. The study also found that bank size has a positive relationship with firm value, while bank age has a negative relationship with firm value.
{"title":"Board characteristics and firm value: The moderating role of capital adequacy","authors":"Tahir Saeed Jagirani, Lim Chee Chee, Zunarni Binti Kosim","doi":"10.21511/imfi.20(2).2023.18","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.18","url":null,"abstract":"The global financial crisis increased corporate world uncertainties. Therefore, to meet these challenges, firms take a more proactive approach to tackling various corporate governance and firm value initiatives and policies. This study aims to explore the moderating effect of capital adequacy on the relationship between board characteristics and the firm value of listed banks in Pakistan. To obtain a more robust empirical model and results, this study incorporates moderator and control variables. This study is based on half-yearly secondary data of 560 sample observations from 2009 to 2021. Multiple regression and panel data estimation techniques were employed for the analysis. The study used firm value as a dependent variable, proxied by Tobin’s Q, along with five independent variables, one moderating variable, and two control variables. The results of this study indicate that a higher capital adequacy ratio (CAR) increases firm value and has a moderating effect on board characteristics and firm value. Low proportions of women and independent directors on board affect firm value. The presence of risk management and audit committees in listed Pakistani banks, on the other hand, increases firm value. The banks in Pakistan have no problem with CEO duality. The study also found that bank size has a positive relationship with firm value, while bank age has a negative relationship with firm value.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"300 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75451665","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 : 2023-05-17DOI: 10.21511/imfi.20(2).2023.17
H. Rahyuda, Made Reina Candradewi
The investment world today is vying for profit from investing in cryptocurrencies, so this encourages young people, especially students, to invest in cryptocurrencies, but financial literacy, herding behavior, and risk perception are things that influence investment decisions. The aim of this study was to identify the factors that influence students’ decisions to invest in cryptocurrencies. The research method used is quantitative, using questionnaires distributed to students in Bali; the sample in this study was active students currently studying at universities in Bali, Indonesia, totaling 179 samples; questionnaires were distributed using the Google form and analyzed using Warp PLS. The results show that investment decisions, herding behavior, and risk perception are all significantly and positively influenced by financial literacy. Perceived risk and herding behavior have a significant influence on investment decisions. Perceived risk and herding behavior can partially mediate financial literacy on investment decisions. The influence of financial literacy on investment decisions will be stronger if it is through perceived risk with a coefficient value of 0.412 and herding behavior with a coefficient value of 0.422. Based on the study’s conclusion, it is important for investors, especially students, to prioritize improving their financial literacy before investing in cryptocurrencies. Additionally, investors should be aware of the potential impact of herding behavior and perceived risk on their investment decisions and take steps to mitigate their influence.
{"title":"Determinants of cryptocurrency investment decisions (Study of students in Bali)","authors":"H. Rahyuda, Made Reina Candradewi","doi":"10.21511/imfi.20(2).2023.17","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.17","url":null,"abstract":"The investment world today is vying for profit from investing in cryptocurrencies, so this encourages young people, especially students, to invest in cryptocurrencies, but financial literacy, herding behavior, and risk perception are things that influence investment decisions. The aim of this study was to identify the factors that influence students’ decisions to invest in cryptocurrencies. The research method used is quantitative, using questionnaires distributed to students in Bali; the sample in this study was active students currently studying at universities in Bali, Indonesia, totaling 179 samples; questionnaires were distributed using the Google form and analyzed using Warp PLS. The results show that investment decisions, herding behavior, and risk perception are all significantly and positively influenced by financial literacy. Perceived risk and herding behavior have a significant influence on investment decisions. Perceived risk and herding behavior can partially mediate financial literacy on investment decisions. The influence of financial literacy on investment decisions will be stronger if it is through perceived risk with a coefficient value of 0.412 and herding behavior with a coefficient value of 0.422. Based on the study’s conclusion, it is important for investors, especially students, to prioritize improving their financial literacy before investing in cryptocurrencies. Additionally, investors should be aware of the potential impact of herding behavior and perceived risk on their investment decisions and take steps to mitigate their influence.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"116 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81874790","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 : 2023-05-12DOI: 10.21511/imfi.20(2).2023.16
Tran Quoc Thinh, Nguyen Thi Phung, Tran Khanh Lam
Relevant value is important for information users to make business decisions, and stock prices have an essential relationship to the value relevance about enterprises. The paper aims to investigate the earnings and book value influences on the value relevance of 144 Vietnamese listed enterprises. Selected data are non-financial enterprises with a wide range of industries to ensure representativeness on the Vietnamese stock market. The research implements stakeholder and signaling theory to explain the hypotheses of the model related to earnings per share and book value per share. Time series data are analyzed for three years from 2018 to 2020. The quantitative method is applied to test hypotheses. The results determine that the fixed effects model is suitable. The results also show that the earnings per share positively affect the stock price, but book value per share has a negative impact on the stock price. The paper provides some policy suggestions for investors to make reasonable decisions using relevant information about listed enterprises in Vietnam.
{"title":"The value relevance of earnings and book value at Vietnamese listed enterprises","authors":"Tran Quoc Thinh, Nguyen Thi Phung, Tran Khanh Lam","doi":"10.21511/imfi.20(2).2023.16","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.16","url":null,"abstract":"Relevant value is important for information users to make business decisions, and stock prices have an essential relationship to the value relevance about enterprises. The paper aims to investigate the earnings and book value influences on the value relevance of 144 Vietnamese listed enterprises. Selected data are non-financial enterprises with a wide range of industries to ensure representativeness on the Vietnamese stock market. The research implements stakeholder and signaling theory to explain the hypotheses of the model related to earnings per share and book value per share. Time series data are analyzed for three years from 2018 to 2020. The quantitative method is applied to test hypotheses. The results determine that the fixed effects model is suitable. The results also show that the earnings per share positively affect the stock price, but book value per share has a negative impact on the stock price. The paper provides some policy suggestions for investors to make reasonable decisions using relevant information about listed enterprises in Vietnam.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74432878","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 : 2023-05-08DOI: 10.21511/imfi.20(2).2023.14
Arpita Gurbaxani, Jalpa Thakkar, S. Pathak, Ashutosh Mathur, Sameera Raees
Digital Gold and Gold Exchange Traded Fund have emerged as an electronic option for investment in gold in India. The purpose of this study is to determine influential factors forming the perception and level of awareness of individuals toward investing in Digital Gold and Gold Exchange Traded Fund, and also analyze the relationship among these influential factors. Data for this quantitative analysis were obtained from a self-administered 5-point Likert questionnaire of 158 respondents who are individual investors investing in either Digital Gold or Gold Exchange Traded Fund to achieve the objectives of the study. Principal Component Analysis has been adapted as a dimension reduction technique to identify the factors impacting the decision of investing in Gold Exchange Traded Fund and Digital Gold. The factors that induce investors to invest in Digital Gold and Gold Exchange Traded Fund as identified in this study are conduciveness, security, and ease of accessibility. The factors that compel investors not to invest in Digital Gold and Gold ETFs are lack of contentment, operational challenges, lack of awareness, brokerage expenses, and infeasibility. The results disclosed that variables such as lack of satisfaction and lack of knowledge have higher factor loadings of 0.997, which indicates that investors are required to be more educated about the Digital Gold and Gold Exchange Traded Fund. Securities and Exchange Board of India, Reserve Bank of India and other regulatory authorities in India may consider regulation of Digital Gold so that it can be accepted as a trustworthy source of investment.
{"title":"Examining factors influencing investment in Digital Gold and Gold ETF using the PCA technique","authors":"Arpita Gurbaxani, Jalpa Thakkar, S. Pathak, Ashutosh Mathur, Sameera Raees","doi":"10.21511/imfi.20(2).2023.14","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.14","url":null,"abstract":"Digital Gold and Gold Exchange Traded Fund have emerged as an electronic option for investment in gold in India. The purpose of this study is to determine influential factors forming the perception and level of awareness of individuals toward investing in Digital Gold and Gold Exchange Traded Fund, and also analyze the relationship among these influential factors. Data for this quantitative analysis were obtained from a self-administered 5-point Likert questionnaire of 158 respondents who are individual investors investing in either Digital Gold or Gold Exchange Traded Fund to achieve the objectives of the study. Principal Component Analysis has been adapted as a dimension reduction technique to identify the factors impacting the decision of investing in Gold Exchange Traded Fund and Digital Gold. The factors that induce investors to invest in Digital Gold and Gold Exchange Traded Fund as identified in this study are conduciveness, security, and ease of accessibility. The factors that compel investors not to invest in Digital Gold and Gold ETFs are lack of contentment, operational challenges, lack of awareness, brokerage expenses, and infeasibility. The results disclosed that variables such as lack of satisfaction and lack of knowledge have higher factor loadings of 0.997, which indicates that investors are required to be more educated about the Digital Gold and Gold Exchange Traded Fund. Securities and Exchange Board of India, Reserve Bank of India and other regulatory authorities in India may consider regulation of Digital Gold so that it can be accepted as a trustworthy source of investment.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80472468","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 : 2023-05-08DOI: 10.21511/imfi.20(2).2023.15
N. M. N., S. Chakraborty, L. B. M., Lumen Shawn Lobo
The increasing prevalence of IFRS adoption has resulted in enhanced transparency, accounting quality, and comparability of financial information among firms, especially in emerging markets worldwide, including India. Nonetheless, the question of whether the adoption of IFRS has led to improved firm performance persists. To address this question, this study examines the impact of transitioning from India’s GAAP-based accounting standards to IFRS-converged standards (Ind AS) on non-financial firms’ performance from 2013 to 2022. The empirical findings reveal that the convergence of Indian accounting standards with IFRS significantly improves firm performance, as demonstrated by a positive coefficient of 0.0166 for Ind AS in the fixed-effect model. The study also validates the original empirical findings using the return on equity (ROE) measure of firm performance, which yielded a coefficient of 0.0197, further confirming that the adoption of Ind AS leads to an increase in the performance of Indian firms. These results contribute new insights to the existing IFRS literature and have implications for policymakers and managers.
{"title":"Does the adoption of Ind AS affect the performance of firms in India?","authors":"N. M. N., S. Chakraborty, L. B. M., Lumen Shawn Lobo","doi":"10.21511/imfi.20(2).2023.15","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.15","url":null,"abstract":"The increasing prevalence of IFRS adoption has resulted in enhanced transparency, accounting quality, and comparability of financial information among firms, especially in emerging markets worldwide, including India. Nonetheless, the question of whether the adoption of IFRS has led to improved firm performance persists. To address this question, this study examines the impact of transitioning from India’s GAAP-based accounting standards to IFRS-converged standards (Ind AS) on non-financial firms’ performance from 2013 to 2022. The empirical findings reveal that the convergence of Indian accounting standards with IFRS significantly improves firm performance, as demonstrated by a positive coefficient of 0.0166 for Ind AS in the fixed-effect model. The study also validates the original empirical findings using the return on equity (ROE) measure of firm performance, which yielded a coefficient of 0.0197, further confirming that the adoption of Ind AS leads to an increase in the performance of Indian firms. These results contribute new insights to the existing IFRS literature and have implications for policymakers and managers.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74352385","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 : 2023-05-05DOI: 10.21511/imfi.20(2).2023.13
F. Yasmin, Jannatul Ferdaous
The aim of this paper is to identify the behavioral and psychologic biases that may affect the investment decisions of individual investors in Bangladesh. This study considered behavioral anomalies such as Cognitive Dissonance, Regret Aversion, Loss Aversion, Overconfidence, Hindsight, Illusion of Control, Herd instinct, Self-attribution and Representativeness, and analyzed how significantly each of these would prevail by preventing investors from making rational decisions when investing. The research has been developed through a structured questionnaire and analyzing the survey results collected from 196 individual investors involved in Dhaka Stock Exchange. Factor analysis on a behavioral approach was conducted to analyze the responses. The outcome reveals that investors are not rational, and that there is a significant impact of the different behavioral biases, particularly cognitive dissonance (0.8005), regret aversion (0.7793), loss aversion (0.7418) and illusion of control biases (0.7260) on the investment decisions of investors in Bangladesh. Moreover, the most influential of four factors extracted jointly can explain 55.63% of the variance of the variables. Finally, the factor loading values show that all nine hypotheses can be rejected, which makes it clear that all the designated psychological biases exist in the investment decision of DSE investors.
{"title":"Behavioral biases affecting investment decisions of capital market investors in Bangladesh: A behavioral finance approach","authors":"F. Yasmin, Jannatul Ferdaous","doi":"10.21511/imfi.20(2).2023.13","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.13","url":null,"abstract":"The aim of this paper is to identify the behavioral and psychologic biases that may affect the investment decisions of individual investors in Bangladesh. This study considered behavioral anomalies such as Cognitive Dissonance, Regret Aversion, Loss Aversion, Overconfidence, Hindsight, Illusion of Control, Herd instinct, Self-attribution and Representativeness, and analyzed how significantly each of these would prevail by preventing investors from making rational decisions when investing. The research has been developed through a structured questionnaire and analyzing the survey results collected from 196 individual investors involved in Dhaka Stock Exchange. Factor analysis on a behavioral approach was conducted to analyze the responses. The outcome reveals that investors are not rational, and that there is a significant impact of the different behavioral biases, particularly cognitive dissonance (0.8005), regret aversion (0.7793), loss aversion (0.7418) and illusion of control biases (0.7260) on the investment decisions of investors in Bangladesh. Moreover, the most influential of four factors extracted jointly can explain 55.63% of the variance of the variables. Finally, the factor loading values show that all nine hypotheses can be rejected, which makes it clear that all the designated psychological biases exist in the investment decision of DSE investors.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89939204","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 : 2023-05-04DOI: 10.21511/imfi.20(2).2023.12
Nanda Widaninggar, Muhammad Firdaus, Suherman, Farid Wahyudi, A. Sauqi
This study analyzes and examines the factors influencing the intention to use loan facilities from formal financial institutions. This study was carried out quantitatively using the Structural Equation Modeling (SEM) method with the population of large chili farmers in 19 districts in Jember Regency as the region with the best large chili productivity in Indonesia. The results obtained from 116 respondents indicate that the construct of situational temptation does not affect subjective norms. In addition, formal financial institution financing positively affects attitudes toward behavior and subjective norm on intention to use loan facilities, but not on the perceived behavior. Meanwhile, the intention was positively influenced by attitude, subjective norm, and perceived behavior control. The factor with the most significant effect on the intention is perceived behavior control (t-statistics = 4.940). This shows that control of perceived behavior towards intention to use loan facilities from formal financial institutions has the most significant influence among other variables. Acknowledgment The authors would like to thank the Directorate of Research, Technology, and Community Service from the Ministry of Education, Culture, Research, and Technology of the Republic of Indonesia, which provided research grants, namely Higher Education Excellence Basic Research (Penelitian Dasar Unggulan Perguruan Tinggi/PDUPT) in 2022-2024.
本研究分析并检验了影响使用正规金融机构贷款工具意愿的因素。本研究采用结构方程模型(SEM)方法，以印尼大辣椒产量最高的地区为研究对象，选取了Jember Regency 19个地区的大辣椒种植人口进行了定量分析。对116名被调查者的调查结果表明，情境诱惑的建构并不影响主观规范。此外，正规金融机构融资对行为态度和使用贷款工具意愿的主观规范有正向影响，但对感知行为没有正向影响。态度、主观规范和感知行为控制对意向有正向影响。对意向影响最显著的因素是感知行为控制(t-statistics = 4.940)。这表明，在其他变量中，对使用正规金融机构贷款工具的意向的感知行为的控制具有最显著的影响。作者要感谢印度尼西亚共和国教育、文化、研究和技术部的研究、技术和社区服务局，它在2022-2024年提供了研究资助，即高等教育卓越基础研究(Penelitian Dasar Unggulan Perguruan Tinggi/PDUPT)。
{"title":"Analysis of the intention to use loan facilities from formal financial institutions for large chili farmers through the theory of planned behavior approach","authors":"Nanda Widaninggar, Muhammad Firdaus, Suherman, Farid Wahyudi, A. Sauqi","doi":"10.21511/imfi.20(2).2023.12","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.12","url":null,"abstract":"This study analyzes and examines the factors influencing the intention to use loan facilities from formal financial institutions. This study was carried out quantitatively using the Structural Equation Modeling (SEM) method with the population of large chili farmers in 19 districts in Jember Regency as the region with the best large chili productivity in Indonesia. The results obtained from 116 respondents indicate that the construct of situational temptation does not affect subjective norms. In addition, formal financial institution financing positively affects attitudes toward behavior and subjective norm on intention to use loan facilities, but not on the perceived behavior. Meanwhile, the intention was positively influenced by attitude, subjective norm, and perceived behavior control. The factor with the most significant effect on the intention is perceived behavior control (t-statistics = 4.940). This shows that control of perceived behavior towards intention to use loan facilities from formal financial institutions has the most significant influence among other variables.\u0000Acknowledgment The authors would like to thank the Directorate of Research, Technology, and Community Service from the Ministry of Education, Culture, Research, and Technology of the Republic of Indonesia, which provided research grants, namely Higher Education Excellence Basic Research (Penelitian Dasar Unggulan Perguruan Tinggi/PDUPT) in 2022-2024.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84375633","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 : 2023-05-04DOI: 10.21511/imfi.20(2).2023.11
Lijing Du, Susan M. V. Flaherty
Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty in constructing proxies, the study uses the Credit Default Swaps (CDS) market index as a proxy for the debt market and empirically tests its explanatory power in explaining stock return variations. Employing panel regression and Fama-MacBeth regression of all publicly traded U.S. companies from 2005 to 2020, the study finds a negative relationship between CDS index returns and stock returns. On average, a one standard deviation increase in CDS index return is associated with a 0.02% decrease in daily stock returns. Results of two-stage regressions show that the estimated systematic credit risk is positively priced in stock returns with similar economic magnitude as the well-documented beta risk. These results support asset pricing theories in the inclusion of debt claim and the risk-return tradeoff, while contradicting the credit risk puzzle documented in prior studies.
{"title":"Inclusion of debt claims in asset pricing models: Evidence from the CDS Index","authors":"Lijing Du, Susan M. V. Flaherty","doi":"10.21511/imfi.20(2).2023.11","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.11","url":null,"abstract":"Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty in constructing proxies, the study uses the Credit Default Swaps (CDS) market index as a proxy for the debt market and empirically tests its explanatory power in explaining stock return variations. Employing panel regression and Fama-MacBeth regression of all publicly traded U.S. companies from 2005 to 2020, the study finds a negative relationship between CDS index returns and stock returns. On average, a one standard deviation increase in CDS index return is associated with a 0.02% decrease in daily stock returns. Results of two-stage regressions show that the estimated systematic credit risk is positively priced in stock returns with similar economic magnitude as the well-documented beta risk. These results support asset pricing theories in the inclusion of debt claim and the risk-return tradeoff, while contradicting the credit risk puzzle documented in prior studies.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"19 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80660319","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 : 2023-05-01DOI: 10.21511/imfi.20(2).2023.10
Prashant Sharma, Surender Kumar
With the outbreak of COVID-19, the Chinese government implemented the “zero-COVID” policy as a measure to curb the spread of the virus. The different measures of the policy include widespread testing, contact tracing, and strict quarantine and isolation protocols. In view of recent changes in COVID-19 trends and other economic indicators, the Chinese government withdrew significant provisions of the zero-COVID policy in China. The present study investigates the sectoral performance of the Chinese stock market after the withdrawal of the zero-COVID policy. The study considers eighteen sectoral indices of the Shenzhen Stock Exchange of China as a sample and applies the event study methodology to study the impact of the policy withdrawal on the stock prices performance. The results of the study indicate that sectors such as hotel, consumer staples, the financial sector, real estate, media, and culture have reported significant positive movement after the withdrawal of the zero-COVID policy, while other sectors such as consumer discretionary, energy, healthcare, information technology, manufacturing, mining, technology, telecom, transportation, utilities, wholesale, and retail have shown insignificant reactions. These results also indicate that when the COVID-19 outbreak happened in China, different sectors of the economy reacted negatively except the retail and wholesale sectors, while with the withdrawal of the zero-COVID policy by the Chinese government, the reaction of investors is optimistic as different sectors are reporting either positive reactions in the stock price movement or no reaction.
{"title":"Zero-COVID policy and stock market sectoral performance in China","authors":"Prashant Sharma, Surender Kumar","doi":"10.21511/imfi.20(2).2023.10","DOIUrl":"https://doi.org/10.21511/imfi.20(2).2023.10","url":null,"abstract":"With the outbreak of COVID-19, the Chinese government implemented the “zero-COVID” policy as a measure to curb the spread of the virus. The different measures of the policy include widespread testing, contact tracing, and strict quarantine and isolation protocols. In view of recent changes in COVID-19 trends and other economic indicators, the Chinese government withdrew significant provisions of the zero-COVID policy in China. The present study investigates the sectoral performance of the Chinese stock market after the withdrawal of the zero-COVID policy. The study considers eighteen sectoral indices of the Shenzhen Stock Exchange of China as a sample and applies the event study methodology to study the impact of the policy withdrawal on the stock prices performance. The results of the study indicate that sectors such as hotel, consumer staples, the financial sector, real estate, media, and culture have reported significant positive movement after the withdrawal of the zero-COVID policy, while other sectors such as consumer discretionary, energy, healthcare, information technology, manufacturing, mining, technology, telecom, transportation, utilities, wholesale, and retail have shown insignificant reactions. These results also indicate that when the COVID-19 outbreak happened in China, different sectors of the economy reacted negatively except the retail and wholesale sectors, while with the withdrawal of the zero-COVID policy by the Chinese government, the reaction of investors is optimistic as different sectors are reporting either positive reactions in the stock price movement or no reaction.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"20 2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80195632","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 : 2023-04-28DOI: 10.21511/imfi.20(2).2023.09
Barine Nkonge Habakkuk, Kariuki Samuel Nduati, Kariuki Peter Wang’ombe
Shareholders of listed firms are guaranteed reasonable security prices due to enhanced firm value, which translates to global wealth creation. However, firms’ value has declined globally. Therefore, this paper uses a causal-comparative design and panel data regression model to explore the nexus between corporate governance, asset structure, and value of Kenyan-listed firms from 2010 to 2019. Secondary data were extricated from audited financial reports of 51 firms. As hypothesized, the results show a positive relationship between board composition and firm value with a regression coefficient (0.17, p < .05). The composition of the audit committee is positively associated with firm value with a regression coefficient of (0.629, p < .05). A tangible and notable correlation exists between protecting shareholders’ rights and firm value with a regression coefficient of (0.28, p < .05), while financial disclosure was significant with a regression coefficient of (1.15, p < .05). Plant, property and equipment positively and significantly affect firm value with a regression coefficient of (2.10, p < .05), while financial assets had (0.28, p < .05), which was significant. Current assets positively and significantly affect firm value with a regression coefficient of (1.87, p < .05). Finally, the results reveal a positive but insignificant correlation between firm size and value with a regression coefficient of (0.22, p < .05), while the relationship between firm age and value is negative but insignificant with a regression coefficient of (–0.003, p < .05). The study recommends that sufficient managerial effort be directed towards corporate governance and asset structure to maximize shareholder value.
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