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A Dynamic Scoring Simulation Analysis of How TEL Design Choices Impact Government Expansion TEL设计选择如何影响政府扩张的动态评分模拟分析
Journal of Economic and Financial Studies Pub Date : 2016-05-13 DOI: 10.18533/JEFS.V4I02.211
J. Merrifield, B. Poulson
{"title":"A Dynamic Scoring Simulation Analysis of How TEL Design Choices Impact Government Expansion","authors":"J. Merrifield, B. Poulson","doi":"10.18533/JEFS.V4I02.211","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.211","url":null,"abstract":"A dynamic scoring simulation analysis compares the size-of-government effects of four state-government-level Tax and Expenditure Limit (TEL) and Budget Stabilization Fund (BSF) combinations. Two of the four TEL-BSF combinations have population-plus-inflation as the basis for the spending growth limit. The other two TEL-BSF combinations have personal-income-growth as the basis for the spending growth cap. A sensitivity analysis, including a regression analysis of Monte-Carlo-generated ‘observations’, measures the significance of the model parameter choices. The personal-income-growth TELs don’t constrain spending growth at all in some states. In most states, a TEL based on a significant multiple of population plus inflation restrains fiscal expansion more than either version of our personal income growth TEL. The findings provide some important policy issues: there are significant differences in the fiscal and economic impacts of likely TEL design alternatives, and there is a likely trade-off between stringency and political durability.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126348895","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}
引用次数: 0
Financial Contagion During the European Sovereign Debt Crisis 欧洲主权债务危机期间的金融传染
Journal of Economic and Financial Studies Pub Date : 2016-05-08 DOI: 10.18533/JEFS.V4I02.199
Dieter Smeets
{"title":"Financial Contagion During the European Sovereign Debt Crisis","authors":"Dieter Smeets","doi":"10.18533/JEFS.V4I02.199","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.199","url":null,"abstract":"From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate EGARCH-models to assess whether contagious effects are identifiable during this crisis, or whether countries’ problems are instead due to fundamental problems founded in the affected economies themselves. The multivariate analysis reveals a generally decreasing co-movement of government bond returns which increased only temporarily. In contrast, the univariate analysis is directed more to detecting channels of contagion. The analysis of rating announcements concerning Greece as well as crisis news in general, reveals that there are some evidences for mean and volatility contagion.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132988712","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}
引用次数: 4
Deterministic Elements of Japanese Stock Prices under Low Interest Rates 低利率下日本股票价格的确定性因素
Journal of Economic and Financial Studies Pub Date : 2016-05-04 DOI: 10.18533/JEFS.V4I02.224
Y. Kurihara
{"title":"Deterministic Elements of Japanese Stock Prices under Low Interest Rates","authors":"Y. Kurihara","doi":"10.18533/JEFS.V4I02.224","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.224","url":null,"abstract":"This paper uses daily data to perform an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the zero or low interest policy in Japan. The empirical results indicate that short-term interest rates have not impacted Japanese stock prices. On the other hand, long-term interest rates, exchange rates, and foreign stock prices have been significant determinants of Japanese stock prices. This seems counter to traditional economic theory, but interest rates were quite low and other variables, such as exchange rates and other stock prices, play important roles in determining Japanese stock prices.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128930111","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}
引用次数: 1
Still on board configuration: SEC recommendations and the efficiency of adhering firms in Nigeria 仍在董事会配置:美国证券交易委员会的建议和尼日利亚公司的效率
Journal of Economic and Financial Studies Pub Date : 2016-03-26 DOI: 10.18533/JEFS.V4I02.215
B. Lawal
{"title":"Still on board configuration: SEC recommendations and the efficiency of adhering firms in Nigeria","authors":"B. Lawal","doi":"10.18533/JEFS.V4I02.215","DOIUrl":"https://doi.org/10.18533/JEFS.V4I02.215","url":null,"abstract":"This paper scrutinizes the effects of adherence to an encoded board configuration on firm efficiency in terms operational and financial performances using an integrated research framework that combines four distinct theories including agency, stewardship, stakeholders and resource dependency models. The research explores three main aspects of compliance outcomes; benefits accrued to conforming firms in terms of enhanced efficiency and market value, board level drivers as well as the external moderators of these benefits using a sample of 127 listed companies on the Nigerian Stock Exchange covering for the period of 1999-2010. Result show that board independence, directors’ cognitive competencies as measured in terms of their educational qualifications and professional experiences are positively associated with efficient management of assets (ROA) and firm stock marketability (Tobin’s q). I find no substantive empirical evidence to suggest that either the adoption of specific leadership structure or directors’ ethnic representation affects firm performance. Moreover, country-level macroeconomic variables, especially the degree of economic openness play a significant role in determining the strength of association between board structure variables and firm performance measures.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117087432","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}
引用次数: 4
Linkage between emigration and export flows: The case of Bangladesh 移民和出口流动之间的联系:以孟加拉国为例
Journal of Economic and Financial Studies Pub Date : 2016-03-10 DOI: 10.18533/JEFS.V4I1.222
M. S. Ullah, Mohammad Thoufiqul Islam
{"title":"Linkage between emigration and export flows: The case of Bangladesh","authors":"M. S. Ullah, Mohammad Thoufiqul Islam","doi":"10.18533/JEFS.V4I1.222","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.222","url":null,"abstract":"This paper applies the well-known gravity model to empirically assess the linkage between emigration and export flows of a developing country. Econometric analysis of panel data unveils a significant substituting relationship between export flows from the source country and stock of emigrants to the destination country. This result not only contradicts with existing literature but also justifies manifold relationship between goods and manpower exports. Economic policy as well as foreign policy in Bangladesh must address this inherent relationship between export of goods and labor since emigration of unskilled labor largely depends on bilateral diplomatic relations whereas export patterns depend on comparative cost advantage.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128824757","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}
引用次数: 4
Corporate takeovers in the US oil and gas sector 美国石油和天然气行业的企业收购
Journal of Economic and Financial Studies Pub Date : 2016-03-09 DOI: 10.18533/JEFS.V4I1.208
Alex Ng, Raymond A. K. Cox
{"title":"Corporate takeovers in the US oil and gas sector","authors":"Alex Ng, Raymond A. K. Cox","doi":"10.18533/JEFS.V4I1.208","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.208","url":null,"abstract":"We examine corporate takeovers in the U.S. oil and gas sector from 1990 to 2008. We test the hypotheses that energy prices and reserves influence takeovers in the energy market for corporate control. We employ these methods: 1. capital asset pricing model, 2. regression analysis, and 3. Granger causality test. Our results show that oil reserves cause takeover deals and affect the value of the merger. High oil prices propel management to acquire oil firms as well as affect the target value. However, the reverse cause-effect mechanism occurs for natural gas prices. That is, takeover activity causes gas prices to decrease. Acquirers are motivated to purchase reserves; whereas, targets are disposed to sell based on energy prices. Hence, our findings imply that countries can consider policies, which address the motivations of the oil and gas industries to facilitate well-functioning takeover markets.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129302511","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}
引用次数: 3
A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement 运用会计信息和有效性度量的Graham和Piotroski投资模型的比较
Journal of Economic and Financial Studies Pub Date : 2016-03-08 DOI: 10.18533/JEFS.V4I1.219
N. Jahan, J. Cheh, Il-woon Kim
{"title":"A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement","authors":"N. Jahan, J. Cheh, Il-woon Kim","doi":"10.18533/JEFS.V4I1.219","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.219","url":null,"abstract":"We examine the investment models of Benjamin Graham and Joseph Piotroski and compare the efficacy of these two models by running backtest, using screening rules and ranking systems built in Portfolio 123. Using different combinations of screening rules and ranking systems, we also examine the performance of Piotroski and Graham investment models. We find that the combination of Piotroski and Graham investment models performs better than S&P 500. We also find that the Piotroski screening with Graham ranking generates the highest average annualized return among different combinations of screening rules and ranking systems analyzed in this paper. Overall, our results show a profound impact of accounting information on investor’s decision making.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129812782","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}
引用次数: 3
Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration ISE 30指数与ISE 30指数期货市场的关系:来自递归和滚动协整的证据
Journal of Economic and Financial Studies Pub Date : 2016-03-06 DOI: 10.18533/JEFS.V4I1.212
Aysegul Ates
{"title":"Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration","authors":"Aysegul Ates","doi":"10.18533/JEFS.V4I1.212","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.212","url":null,"abstract":"Turkey is one of the most dynamic emerging markets in the world and its futures market has developed significantly since the introduction of futures contracts by Turkish Derivatives Exchange in 2005. Istanbul Stock Index 30 (ISE 30) futures was one of the first contracts introduced and its trading increased rapidly over time. This study specifically focuses on the evolution and stability of cointegration relationship between the futures and spot prices of ISE 30 index during the sample period from February 4, 2005 through October 19, 2012. We test whether changing market conditions have an impact on the long-run relationship between spot index and index futures markets by employing recursive and rolling cointegration techniques. The findings reveal that the cointegration relationship weakens significantly during the global financial crisis and eurozone debt crisis periods but holds mostly over the estimation period.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115638690","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}
引用次数: 0
Effect of different price indices on linkage between real GDP growth and real minimum wage growth in Turkey 不同价格指数对土耳其实际GDP增长与实际最低工资增长之间联系的影响
Journal of Economic and Financial Studies Pub Date : 2016-03-02 DOI: 10.18533/JEFS.V4I1.213
Onur Sunal, Ö. Alp
{"title":"Effect of different price indices on linkage between real GDP growth and real minimum wage growth in Turkey","authors":"Onur Sunal, Ö. Alp","doi":"10.18533/JEFS.V4I1.213","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.213","url":null,"abstract":"The accuracy of Turkish CPI as a price deflator is questionable especially when it comes to calculating real minimum wages. In this study we investigate the effect of different price indices on the relation between real GDP growth rates and real minimum wage growth rates by using a Granger causality analysis framework using VAR based granger causality tests. Result reveals that there is no causality between real minimu wage growth rates and real GDP growth rates in both directions. We also find a biderectional Granger causality between nominal minimum wage growth rates and COLI (an alternative price indice) growth rates. The results also showed that in line with our assumptions when an alternative deflator is used, the causality relations significantly differes.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121532834","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}
引用次数: 0
Assessing performance of Morningstar’s star rating system for equity investment 评估晨星公司股票投资星级评级系统的表现
Journal of Economic and Financial Studies Pub Date : 2016-03-01 DOI: 10.18533/JEFS.V4I1.214
P. Bolster, E. Trahan, Pinshuo Wang
{"title":"Assessing performance of Morningstar’s star rating system for equity investment","authors":"P. Bolster, E. Trahan, Pinshuo Wang","doi":"10.18533/JEFS.V4I1.214","DOIUrl":"https://doi.org/10.18533/JEFS.V4I1.214","url":null,"abstract":"Both institutional and individual investors have a vast array of advisory and ratings services to assist with security selection. One of the most prominent sources of stock ratings is Morningstar. This is the first large-scale study evaluating the performance of portfolios formed using Morningstar’s Star rating system for stocks. We evaluate the performance of portfolios formed using this rating system. Our results provide evidence that the Morningstar stock rating system allows an investor to build a portfolio with superior absolute and risk-adjusted returns over a long period of time. We show that a modest transaction cost will reduce, but not eliminate, these benefits. Overall, our results indicate that Morningstar ratings effectively discriminate between over- and undervalued stocks over the long term.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129851129","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}
引用次数: 6
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