Anomalous evidence of seasonality in stock market returns presents a serious challenge to the Efficient Market Hypothesis. Previous studies often explain anomalous monthly returns as being caused by various institutional considerations, like tax-loss selling or empirical problems tied to making inferences about market efficiency based solely on historical data — the “data snooping” problem. This paper analyzes an anomalous pattern of negative stock-market returns during the month of September. The “September Swoon” cannot be easily dismissed as a reflection of institutional consideration, time period considerations, nor differences in return measurement criteria. As such, it presents a challenge to the EMH.
{"title":"The September Swoon","authors":"Mark G. Haug, M. Hirschey","doi":"10.5325/j.ctv14gp5k2.10","DOIUrl":"https://doi.org/10.5325/j.ctv14gp5k2.10","url":null,"abstract":"Anomalous evidence of seasonality in stock market returns presents a serious challenge to the Efficient Market Hypothesis. Previous studies often explain anomalous monthly returns as being caused by various institutional considerations, like tax-loss selling or empirical problems tied to making inferences about market efficiency based solely on historical data — the “data snooping” problem. This paper analyzes an anomalous pattern of negative stock-market returns during the month of September. The “September Swoon” cannot be easily dismissed as a reflection of institutional consideration, time period considerations, nor differences in return measurement criteria. As such, it presents a challenge to the EMH.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81133300","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}
Thomas C. Omer, Marjorie K. Shelley, Frances M. Tice
Results have been mixed regarding whether, and how much, board of director connectedness is beneficial to firm value. Some prior research shows that overly busy directors are ineffective monitors, but these same “busy” directors can be valuable sources of information and other resources. For example, directors who are centrally located within a network can obtain information faster and those who are connected to other highly connected directors can access larger quantities of information. The information can take many forms including market trends, business innovations, and effective corporate practices and is available through these director network channels. However, increased information transfer speed (network centrality) and quantity (connections to highly-connected others) may not always balance out the negative effects of overcommitted directors, information overload, and the propagation of poor business practices. Using social network analysis, we investigate whether well-connected directors increase firm value and find that firms with well-connected directors have higher market value, after controlling for their operating cycle, investment opportunity sets and market competition. We also find that well-connected outside directors (independent) have a bigger impact on increasing firm value than well-connected inside directors.
{"title":"Do Well-Connected Directors Affect Firm Value?","authors":"Thomas C. Omer, Marjorie K. Shelley, Frances M. Tice","doi":"10.2139/SSRN.2167354","DOIUrl":"https://doi.org/10.2139/SSRN.2167354","url":null,"abstract":"Results have been mixed regarding whether, and how much, board of director connectedness is beneficial to firm value. Some prior research shows that overly busy directors are ineffective monitors, but these same “busy” directors can be valuable sources of information and other resources. For example, directors who are centrally located within a network can obtain information faster and those who are connected to other highly connected directors can access larger quantities of information. The information can take many forms including market trends, business innovations, and effective corporate practices and is available through these director network channels. However, increased information transfer speed (network centrality) and quantity (connections to highly-connected others) may not always balance out the negative effects of overcommitted directors, information overload, and the propagation of poor business practices. Using social network analysis, we investigate whether well-connected directors increase firm value and find that firms with well-connected directors have higher market value, after controlling for their operating cycle, investment opportunity sets and market competition. We also find that well-connected outside directors (independent) have a bigger impact on increasing firm value than well-connected inside directors.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78780986","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}
Uncertainty is a fact of life in business and investing, but the responses that analysts and investors have to uncertainty is often unhealthy, ranging from denial and paralysis, at one extreme, to rules of thumb that have no basis in common sense, at the other. In this paper, we look at how uncertainty is embedded in all valuations, though the amount of uncertainty you face will vary across companies, countries and time. We categorize uncertainty into groups, estimation versus economic, micro versus macro and discrete versus continuous, and argue that each grouping needs a different response. Finally, we develop tools that we can use to get a handle on uncertainty and deal with it better in valuation.
{"title":"Living with Noise: Valuation in the Face of Uncertainty","authors":"A. Damodaran","doi":"10.2469/CP.V30.N4.2","DOIUrl":"https://doi.org/10.2469/CP.V30.N4.2","url":null,"abstract":"Uncertainty is a fact of life in business and investing, but the responses that analysts and investors have to uncertainty is often unhealthy, ranging from denial and paralysis, at one extreme, to rules of thumb that have no basis in common sense, at the other. In this paper, we look at how uncertainty is embedded in all valuations, though the amount of uncertainty you face will vary across companies, countries and time. We categorize uncertainty into groups, estimation versus economic, micro versus macro and discrete versus continuous, and argue that each grouping needs a different response. Finally, we develop tools that we can use to get a handle on uncertainty and deal with it better in valuation.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90434131","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 : 2013-01-01DOI: 10.5040/9781472561497.ch-007
E. Talley, S. Strimling
To many observers, the recent scandal involving the widespread and recurrent manipulation of the London Interbank Offered Rate (LIBOR) may go down as one of the most significant and far-reaching events associated with the global financial crisis. And for good reason: by most estimates, an estimated 350 trillion dollars' worth of global financial contracts ranging from mortgages to credit cards to corporate debt securities to countless financial derivatives hinge critically upon LIBOR to govern the cash flow positions and other obligations of contractual counterparties. This paper examines the incentives, hierarchies and organisational cultures among the various players involved and floats some hypotheses about how LIBOR may be most effectively reformed in light of these factors.
{"title":"The world's most important number: How a web of skewed incentives, broken hierarchies and compliance cultures conspired to undermine LIBOR","authors":"E. Talley, S. Strimling","doi":"10.5040/9781472561497.ch-007","DOIUrl":"https://doi.org/10.5040/9781472561497.ch-007","url":null,"abstract":"To many observers, the recent scandal involving the widespread and recurrent manipulation of the London Interbank Offered Rate (LIBOR) may go down as one of the most significant and far-reaching events associated with the global financial crisis. And for good reason: by most estimates, an estimated 350 trillion dollars' worth of global financial contracts ranging from mortgages to credit cards to corporate debt securities to countless financial derivatives hinge critically upon LIBOR to govern the cash flow positions and other obligations of contractual counterparties. This paper examines the incentives, hierarchies and organisational cultures among the various players involved and floats some hypotheses about how LIBOR may be most effectively reformed in light of these factors.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78099456","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}
{"title":"Guardians of Finance Making Regulators Work for Us","authors":"Joseph V. Rizzi","doi":"10.5860/choice.50-0392","DOIUrl":"https://doi.org/10.5860/choice.50-0392","url":null,"abstract":"","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84862396","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 : 2011-12-13DOI: 10.1002/9781118267080.CH22
J. Fraser, Karen Schoening-Thiessen, B. Simkins
This study provides the results of a survey on the most important risk literature read by executives working in the area of enterprise risk management, and it highlights excellent opportunities for academics to closely collaborate with practitioners to conduct research in these key areas of need. We discuss problems and challenges risk executives have encountered that were not addressed in the literature. Overall, the key findings of our survey are as follows: First, surprisingly, COSO (Committee of Sponsoring Organizations of the Treadway Commission) was not considered a key source of information and guidance. Second, major challenges still remain for new implementers. Third, much more work is needed in the areas of research and case studies so that risk executives can learn from the experiences of others who have successfully implemented enterprise risk management. Fourth, many areas clearly remain to be explored and discussed before a common understanding or methodology for enterprise risk management could be considered to be in place; and fifth, we find that experienced risk executives are not only much more familiar with the literature, but they also find publications about ‘risk in general’ very useful at early and advanced stages of enterprise risk management implementation.
{"title":"Who Reads What Most Often?: A Survey of Enterprise Risk Management Literature Read by Risk Executives","authors":"J. Fraser, Karen Schoening-Thiessen, B. Simkins","doi":"10.1002/9781118267080.CH22","DOIUrl":"https://doi.org/10.1002/9781118267080.CH22","url":null,"abstract":"This study provides the results of a survey on the most important risk literature read by executives working in the area of enterprise risk management, and it highlights excellent opportunities for academics to closely collaborate with practitioners to conduct research in these key areas of need. We discuss problems and challenges risk executives have encountered that were not addressed in the literature. Overall, the key findings of our survey are as follows: First, surprisingly, COSO (Committee of Sponsoring Organizations of the Treadway Commission) was not considered a key source of information and guidance. Second, major challenges still remain for new implementers. Third, much more work is needed in the areas of research and case studies so that risk executives can learn from the experiences of others who have successfully implemented enterprise risk management. Fourth, many areas clearly remain to be explored and discussed before a common understanding or methodology for enterprise risk management could be considered to be in place; and fifth, we find that experienced risk executives are not only much more familiar with the literature, but they also find publications about ‘risk in general’ very useful at early and advanced stages of enterprise risk management implementation.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89994540","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}
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In this paper the method is applied on an analysis of the Z-scores for GM and Ford for the period 1996-2005. The macro-economy has affected the two firms in different ways with implications for managements and creditors approaches to restoring their financial health.
{"title":"Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford","authors":"Lars Oxelheim, C. Wihlborg","doi":"10.2139/ssrn.1313720","DOIUrl":"https://doi.org/10.2139/ssrn.1313720","url":null,"abstract":"Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In this paper the method is applied on an analysis of the Z-scores for GM and Ford for the period 1996-2005. The macro-economy has affected the two firms in different ways with implications for managements and creditors approaches to restoring their financial health.","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78404918","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 : 2010-08-27DOI: 10.4314/jassa.v9i1.58610
K. Jönsson
{"title":"\"Tissue oxygen tension, a determinant of resistance to infection and healing\" - An Inaugural Lecture","authors":"K. Jönsson","doi":"10.4314/jassa.v9i1.58610","DOIUrl":"https://doi.org/10.4314/jassa.v9i1.58610","url":null,"abstract":"","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82683222","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 : 2010-08-27DOI: 10.4314/JASSA.V9I1.58603
S. Khoza, C. Nhachi, O. Chikuni, W. Murambiwa, A. Ndudzo, E. Bwakura, M. Mhonda
The epidemiology of pesticide use and pesticide exposure in the farming communities has been researched on and documented. The results from these studies, conducted in all sectors of agriculture except horticulture show high levels of occupational exposure. We present a pilot study conducted in two horticultural farms in Ruwa and Domboshawa 25 kilometres and 30 kilometres from Harare respectively in 2001.The main objective was to establish the level and prevalence of pesticide exposure in workers in the horticultural industry. Blood samples were collected from 33 workers from the two farms. Cholinesterase activity was measured using the WHO cholinesterase kit and organochlorine residues were analysed using the GC method. Organochlorine residues were detected in the following order of frequency, pp-DDT, 100%; op-DDT, 100%; aldrin, 95%; a-HCH, 100%; dieldrin, 86.4%; heptachlor, 22.7% and opDDD, 18.2% from the blood samples analysed. The ppDDT isomer was the major contributing isomer to the sumDDT. The two isomers a- and s-HCH were also detected in the samples analysed and the former being the major contributing isomer to the sum-HCH. In Ruwa the exposed subjects had higher DDT blood levels than the control group though this was not statistically significant (p=0.1855). There was also no significant difference in the mean DDE levels of the exposed group and the control group (p=0.6851). Significant differences were however noted in the mean blood levels of a-HCH (p=0.007) and aldrin (p=0.0187). In Domboshawa there were no significant differences in the mean blood levels of organochloride residues between the exposed and the control. No significant depression of the cholinesterase activity was observed. The results demonstrated a high level of pollution of human blood with organochlorine residues. The pollution was due to both occupational and environmental exposure. Keywords : Organochlorine, pesticide exposure, horticulture
{"title":"Organophosphate and organochlorine exposure in selected horticultural farms in Zimbabwe","authors":"S. Khoza, C. Nhachi, O. Chikuni, W. Murambiwa, A. Ndudzo, E. Bwakura, M. Mhonda","doi":"10.4314/JASSA.V9I1.58603","DOIUrl":"https://doi.org/10.4314/JASSA.V9I1.58603","url":null,"abstract":"The epidemiology of pesticide use and pesticide exposure in the farming communities has been researched on and documented. The results from these studies, conducted in all sectors of agriculture except horticulture show high levels of occupational exposure. We present a pilot study conducted in two horticultural farms in Ruwa and Domboshawa 25 kilometres and 30 kilometres from Harare respectively in 2001.The main objective was to establish the level and prevalence of pesticide exposure in workers in the horticultural industry. Blood samples were collected from 33 workers from the two farms. Cholinesterase activity was measured using the WHO cholinesterase kit and organochlorine residues were analysed using the GC method. Organochlorine residues were detected in the following order of frequency, pp-DDT, 100%; op-DDT, 100%; aldrin, 95%; a-HCH, 100%; dieldrin, 86.4%; heptachlor, 22.7% and opDDD, 18.2% from the blood samples analysed. The ppDDT isomer was the major contributing isomer to the sumDDT. The two isomers a- and s-HCH were also detected in the samples analysed and the former being the major contributing isomer to the sum-HCH. In Ruwa the exposed subjects had higher DDT blood levels than the control group though this was not statistically significant (p=0.1855). There was also no significant difference in the mean DDE levels of the exposed group and the control group (p=0.6851). Significant differences were however noted in the mean blood levels of a-HCH (p=0.007) and aldrin (p=0.0187). In Domboshawa there were no significant differences in the mean blood levels of organochloride residues between the exposed and the control. No significant depression of the cholinesterase activity was observed. The results demonstrated a high level of pollution of human blood with organochlorine residues. The pollution was due to both occupational and environmental exposure. Keywords : Organochlorine, pesticide exposure, horticulture","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88972308","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 : 2010-08-27DOI: 10.4314/JASSA.V9I1.58607
A. Mandisodza, Bt Kadira, L. Gwanzura, W. Mujaji
Glucose-6-phosphate dehydrogenase (G-6-PD) deficiency is widely associated with oxidant induced haemolytic episodes, especially in people on malaria treatment. A cross sectional study on the prevalence of G6PD deficiency in was carried out on 200 blood samples from various private surgeries and three major Hospitals in Harare during October and November, 2001. The blood samples were screened for the prevalence of G6PD deficiency using the NAPD oxidoreductase method. One hundred and eight (54%) were males and 92 (46%) were females. A p-value of 0.1096 indicated no statistically significant difference between the two sexes. Twenty-three out of the 200 (12 %) were G-6-PD deficient while the remainder 177 (88%) were found to be normal. Stratifying the 23 optical density values of the deficient samples in this study showed that four (17%) had values equal to and more than (>) 0.400 indicating severe deficiency and 19 (83%) had values between 0.330 and less than 0.400 indicating mild deficiency. Optical density stratification may give a possible grading system in the deficiency rates. A well planned, large and more controlled research study is required to assess G6PD deficiency in Zimbabwe more effectively. Key words : Glucose-6-phosphate, oxidant, haemolysis, malaria, optical density
{"title":"Assessment of the Prevalence of Glucose-6-Phosphate Dehydrogenase (G-6-PD) Deficiency among Patients in Harare","authors":"A. Mandisodza, Bt Kadira, L. Gwanzura, W. Mujaji","doi":"10.4314/JASSA.V9I1.58607","DOIUrl":"https://doi.org/10.4314/JASSA.V9I1.58607","url":null,"abstract":"Glucose-6-phosphate dehydrogenase (G-6-PD) deficiency is widely associated with oxidant induced haemolytic episodes, especially in people on malaria treatment. A cross sectional study on the prevalence of G6PD deficiency in was carried out on 200 blood samples from various private surgeries and three major Hospitals in Harare during October and November, 2001. The blood samples were screened for the prevalence of G6PD deficiency using the NAPD oxidoreductase method. One hundred and eight (54%) were males and 92 (46%) were females. A p-value of 0.1096 indicated no statistically significant difference between the two sexes. Twenty-three out of the 200 (12 %) were G-6-PD deficient while the remainder 177 (88%) were found to be normal. Stratifying the 23 optical density values of the deficient samples in this study showed that four (17%) had values equal to and more than (>) 0.400 indicating severe deficiency and 19 (83%) had values between 0.330 and less than 0.400 indicating mild deficiency. Optical density stratification may give a possible grading system in the deficiency rates. A well planned, large and more controlled research study is required to assess G6PD deficiency in Zimbabwe more effectively. Key words : Glucose-6-phosphate, oxidant, haemolysis, malaria, optical density","PeriodicalId":43299,"journal":{"name":"JASSA-The Finsia Journal of Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72876156","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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