Pub Date : 2023-04-15DOI: 10.1142/s0219091523500145
Wei‐han Liu
{"title":"Re-evaluating the Major Factors in the Low Origination Rate of the Reverse Mortgage Market","authors":"Wei‐han Liu","doi":"10.1142/s0219091523500145","DOIUrl":"https://doi.org/10.1142/s0219091523500145","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48261370","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 : 2023-04-15DOI: 10.1142/s0219091523500133
Gil Cohen
{"title":"Technical Analysis in Investing","authors":"Gil Cohen","doi":"10.1142/s0219091523500133","DOIUrl":"https://doi.org/10.1142/s0219091523500133","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41662208","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 : 2023-04-15DOI: 10.1142/s0219091523500091
J. Dixit, Poonam Singh
{"title":"Family ownership and value of takeover: Evidence from India","authors":"J. Dixit, Poonam Singh","doi":"10.1142/s0219091523500091","DOIUrl":"https://doi.org/10.1142/s0219091523500091","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41879798","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 : 2023-02-03DOI: 10.1142/s021909152350008x
Fu-Lai Lin
{"title":"A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures","authors":"Fu-Lai Lin","doi":"10.1142/s021909152350008x","DOIUrl":"https://doi.org/10.1142/s021909152350008x","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46771880","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 : 2023-01-27DOI: 10.1142/s0219091523500078
Chii-Shyan Kuo
{"title":"Corporate Social Responsibility and Tax Avoidance: Evidence from the 2018 Tax Reform in Taiwan","authors":"Chii-Shyan Kuo","doi":"10.1142/s0219091523500078","DOIUrl":"https://doi.org/10.1142/s0219091523500078","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44744998","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 : 2022-12-02DOI: 10.1142/s0219091523500054
P. Agarwal, H. Pradhan
The increasing participation of retail investors — generally having limited risk bearing ability — in mutual funds, has surprisingly not motivated rigorous examination of downside risks-forward return relationship of these funds, which this study aims to accomplish. We use a survivorship-bias free database of returns and portfolio holdings of Indian equity mutual funds covering the period April 2008–November 2018 with Cornish–Fisher expansion of Value-at-Risk (VaR) as a measure of downside risk to examine downside risk-forward return relationship controlling for the fund characteristics such as age, size and style. To complete the story, we also test for the presence of Downside Risk Timing (DRT) ability of fund managers. We find that downside risk does predict future returns of mutual funds and the result holds across different fund sizes, age and styles, particularly strongly in large and midcap style. We also find that the fund manager of the median fund exhibits positive DRT at the 1- and 6-month horizons and negative at the 3- and 12-month horizons. The mixed evidence on DRT suggests that fund managers either did not possess the requisite risk-timing ability or had failed in its application. Findings have important implications for both investors and fund managers.
{"title":"Do Mutual Funds Reward Downside Risk? Evidence from an Emerging Economy","authors":"P. Agarwal, H. Pradhan","doi":"10.1142/s0219091523500054","DOIUrl":"https://doi.org/10.1142/s0219091523500054","url":null,"abstract":"The increasing participation of retail investors — generally having limited risk bearing ability — in mutual funds, has surprisingly not motivated rigorous examination of downside risks-forward return relationship of these funds, which this study aims to accomplish. We use a survivorship-bias free database of returns and portfolio holdings of Indian equity mutual funds covering the period April 2008–November 2018 with Cornish–Fisher expansion of Value-at-Risk (VaR) as a measure of downside risk to examine downside risk-forward return relationship controlling for the fund characteristics such as age, size and style. To complete the story, we also test for the presence of Downside Risk Timing (DRT) ability of fund managers. We find that downside risk does predict future returns of mutual funds and the result holds across different fund sizes, age and styles, particularly strongly in large and midcap style. We also find that the fund manager of the median fund exhibits positive DRT at the 1- and 6-month horizons and negative at the 3- and 12-month horizons. The mixed evidence on DRT suggests that fund managers either did not possess the requisite risk-timing ability or had failed in its application. Findings have important implications for both investors and fund managers.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2022-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42041708","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 : 2022-11-16DOI: 10.1142/s0219091523500030
Chai-Liang Huang, Lai Ferry Sugianto, Mu-Shu Yun
Contrary to findings from prior empirical studies, which show that temperature affects stock returns linearly, we find that the relation of temperature with stock returns is nonlinear. The results show that investors got higher returns under both extremely hot and cold temperatures than under comfortable temperatures. More specifically, we find that hot temperatures led to higher returns only for investors from warm-climate countries with a tropical or subtropical climate. In contrast, cold temperatures led to higher returns only for investors from cool-climate countries with a temperate or polar climate. With further investigation, we found that such hot-temperature effects on returns in warm-climate countries are enhanced when the investor is optimistic about the stock market due to having recently invested in winner stocks. Conversely, the cold temperature effect on returns in cool-climate countries is strengthened when the investor is pessimistic due to having recently invested in loser stocks.
{"title":"Nonlinear Effects of Temperature on Returns and Investor Optimism–Pessimism from Winner and Loser Stocks","authors":"Chai-Liang Huang, Lai Ferry Sugianto, Mu-Shu Yun","doi":"10.1142/s0219091523500030","DOIUrl":"https://doi.org/10.1142/s0219091523500030","url":null,"abstract":"Contrary to findings from prior empirical studies, which show that temperature affects stock returns linearly, we find that the relation of temperature with stock returns is nonlinear. The results show that investors got higher returns under both extremely hot and cold temperatures than under comfortable temperatures. More specifically, we find that hot temperatures led to higher returns only for investors from warm-climate countries with a tropical or subtropical climate. In contrast, cold temperatures led to higher returns only for investors from cool-climate countries with a temperate or polar climate. With further investigation, we found that such hot-temperature effects on returns in warm-climate countries are enhanced when the investor is optimistic about the stock market due to having recently invested in winner stocks. Conversely, the cold temperature effect on returns in cool-climate countries is strengthened when the investor is pessimistic due to having recently invested in loser stocks.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2022-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47331432","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 : 2022-10-21DOI: 10.1142/s0219091523500042
R. Parker, Yun-Chia Yan, Mai Dao, David Manry
{"title":"Chief Financial Officer Turnover, Sarbanes-Oxley, and Market Reactions","authors":"R. Parker, Yun-Chia Yan, Mai Dao, David Manry","doi":"10.1142/s0219091523500042","DOIUrl":"https://doi.org/10.1142/s0219091523500042","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2022-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46653281","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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