Emerging Markets: Finance eJournal最新文献

{"title":"PD Model Calibration Post COVID Pandemic: Balancing Representativeness of Current Portfolio and Likely Range of DR Variability","authors":"Yang Liu","doi":"10.2139/ssrn.3754731","DOIUrl":"https://doi.org/10.2139/ssrn.3754731","url":null,"abstract":"The COVID-19 pandemic placed many challenges to everyone in terms of wellbeing and economic activities. As for banking and finance, while many rely on re-calibration of probability of default models to adapt own portfolio to the latest reality, it is worthwhile to bring to reader's attention that common practice of model calibration in the industry struggles to meeting regulatory requirements, particularly at the time of this paper when players in the filed is about ready to conclude the 2020 annual observation of portfolio default rate and potentially facing an even tougher forthcoming market condition.<br><br>In this paper, the observed gap is first illustrated and discussed in detail with a numerical example. Next, we propose a novel methodology for model calibration where the specified gap is addressed. Lastly, methodological properties shown with numerical results encourage the adoption of the proposed approach where pandemic impact is sought in consideration of regulatory compliance.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"580 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113996506","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":"Investor Herding Behaviour in the Indian Equity Market: Evidence From Quantile Regression","authors":"A. Ansari","doi":"10.2139/ssrn.3743664","DOIUrl":"https://doi.org/10.2139/ssrn.3743664","url":null,"abstract":"The study empirically investigates the herd behaviour of investors in the The the Indian equity market. Quantile regression approach is adopted over OLS (ordinary least square). The method proposed by CCK (Chang, Cheng and Khorana, 2000), based on cross sectional absolute deviation is used. An empirical examination of asymmetric effect on returns, high and low trading volume and volatility over daily data period from 2007-2017, shows reverse herding behaviour in the The the Indian equity market. The robustness analysis of large, mid and small cap firms also revealed evidence against herding. However, sub-period analysis of data revealed evidence of herding in many years (2007, 2010 and 2014 etc.). In general herding behaviour is not pervasive in the The the Indian equity market.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"191 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115493610","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":"Reação dos investidores quando da divulgação da informação contábil: análise empírica para o CPC 01 (Investor’s Reaction to the Disclosure of Accounting Information: Empirical Analysis for Cpc 01)","authors":"P. Delvizio, A. Silva","doi":"10.34140/bjbv2n4-034","DOIUrl":"https://doi.org/10.34140/bjbv2n4-034","url":null,"abstract":"<b>Portuguese abstract:</b> Este estudo analisou se a divulgação da perda por impairment nos ativos de longa duração é um evento que provoca a reação dos investidores no mercado de capitais após a adoção das IFRS no Brasil. Estudos anteriores apresentam resultados inconclusivos sobre a reação da divulgação de perdas por impairment. Bens e Heltzer (2004), Hsieh e Wu (2006) e Knauer e Wohrmann (2015) apontam para uma reação negativa quando ocorre perda por impairment, enquanto Yang e Chiu (2014) apontam para uma reação positiva a essa divulgação devido à crença dos investidores na melhora dos retornos futuros. Foi utilizada a metodologia de estudo de eventos para medir a reação dos investidores, a partir do modelo de mercado, adotando-se uma janela de estimação de 121 dias e uma janela de evento de três dias para cada evento. A amostra final compreendeu sete eventos distintos e independentes relativos a quatro empresas que divulgaram fatos relevantes. A identificação dos fatos relevantes divulgados foi realizada no site da CVM e a coleta dos dados foi realizada no site YahooFinance!. Ocorreu um aumento da variação do volume negociado de ações e um retorno anormal acumulado negativo, demonstrando que os investidores reagiram às perdas por impairment divulgadas. Porém quando as perdas eram pequenas não houve reação significativa no volume negociado, apenas no retorno da ação. Além disso, contribuiu para a literatura sobre qualidade da informação contábil ao analisar a relevância da informação de perda por impairment divulgada em fato relevante pelas companhias brasileiras, bem como analisar qualitativamente suas características.<br><br><b>English abstract:</b> This study analyzed if disclosure of impairment loss on long-lived assets is an event that provokes a reaction from investors in the capital market after the adoption of IFRS in Brazil. Previous studies presented inconclusive results on the reaction to the disclosure of impairment loss. Bens and Heltzer, Hsieh and Wu and Knauer and Wohrmann point to a negative reaction when an impairment loss occur, while Yang and Chiu point to a positive reaction to this disclosure because of the investor´s belief in improvement future returns. It was used the event study methodology to measure the reaction of investors, based on the market model, adopting a estimation window of 121 days and a three-day event window for each event. The final sample comprised seven distinct and independent events related to four companies that disclosed relevant facts. The identification of the relevant facts disclosed was realized on the CVM website and data collection was realized on the YahooFinance! Website. There was an increase in the variation of shares´ volume traded and an abnormal negative accumulated return, demonstrating that investors reacted to the impairment losses disclosure. However, when the quantities were small there was no significant reaction in the volume traded, only in the stock. Beyond that, contribute","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128982522","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":"The Intra-Regional Spillover Effect of Bond Defaults: Evidence from China's Credit Bond Market","authors":"Wenlong Wang, Yuqin Huang, J. Watson, Bowen Yang","doi":"10.2139/ssrn.3739855","DOIUrl":"https://doi.org/10.2139/ssrn.3739855","url":null,"abstract":"Taking the first bond defaults in each province in China as credit events, we adopt a difference-in-difference model and find that credit spreads of other corporate bonds in the same province increase by 6 basis points on the first default event day, suggesting a spillover effect. The spillover effect is stronger for local state-owned-enterprise bond defaults, and the magnitude of the spillover effect is negatively related to firm-government connections. Meanwhile, defaults related to investor protection clauses have the largest spillover effect. We also find that provinces with higher GDP growth rates and higher general public budget revenue are less affected by the first bond defaults. Overall, our paper provides new evidence of an intra-regional spillover effect in bond defaults.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"162 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126120640","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":"Financial Literacy Education: Implications for the Economic and Social Lives of Teachers in Ghana","authors":"Juabin Matey, Joseph Yennukua Duut, Mensah Felix Kombian","doi":"10.2139/ssrn.3735618","DOIUrl":"https://doi.org/10.2139/ssrn.3735618","url":null,"abstract":"Financial literacy education is a lifelong asset that every individual needs to function and fit well in modern-daysociety. It provides the financially savvy better decision making, best investment alternatives and family wellbeing.Unfortunately, most consumers especially in this part of our world appear relatively less active and less confident inparticipating meaningfully in the financial sector due to lack of knowledge about the complex nature of financialproducts and services and indeed the risk that goes with them. As a contribution in addressing this problem, thisstudy looked at financial literacy education and its implication on the economic and social life of the teacher in theUpper East Region of Ghana. With a descriptive survey design, 118 participants responded to questionnaires. Resultsshowed low levels of financial literacy among participants which can negatively affect their daily financialmanagement. It is therefore definite that the financially literate has the advantage to undertake prudent alternativeinvestment decisions and able to make informed retirement planning. Being financially illiterate adversely affectsone’s life in relation to the culture of savings, expenditure pattern, investment decisions and budgeting skills, makingthe individual economically insecure. The study has policy frontier implications; policy makers in the financial sector,governments, non-governmental organisations and equity owners are encouraged to come to the aid of consumers,especially teachers, by way of introducing professional teacher development programmes specifically tailored atuplifting their financial literacy knowledge and skills","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129290830","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":"Is There Any Difference of the Operating Performance between the Innovative Security Companies and the Ordinary Considering Exchange Risk? A Meta-NOM-NHybrid DEA Approach","authors":"Hao Gaoli, Yiyi Wei, Manhong Lu","doi":"10.2139/ssrn.3735377","DOIUrl":"https://doi.org/10.2139/ssrn.3735377","url":null,"abstract":"In this paper, to evaluate the performance of two types of security in china, we propose a series of model, such as NOM-Hybrid DEA model, Group-NOM-Hybrid DEA model, Meta-NOM-Hybrid DEA, TGRO revised model, DEA scores computed in different kind variable with different technical level. This model is laid emphasis on the most crucial elements of security institutions, the risk vectors. In doing so, we positively attempt to answer the question whether there is a significant deference about the operational efficiency between the innovative securities companies and the ordinary or not, in the case of currency risk. In addition, we analyze the performance of the security considered with the different DEA models proposed, which is differ in the way the negative data is taken into account.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123667731","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":"Analysts’ Disagreement, Self-Selection, and Stock Returns","authors":"Liang Wu, Yunshen Long, Wenyue Li, Bingyan Wu","doi":"10.2139/ssrn.3732121","DOIUrl":"https://doi.org/10.2139/ssrn.3732121","url":null,"abstract":"Two ex-ante variables are introduced to characterize the analysts’ biased behavior, namely the analysts’ disagreement and self-selection in analysts’ earnings forecasts. The study investigates the impact of the analysts’ disagreement and self-selection on the stock returns. A theoretical analysis derives how the stock returns are correlated with the two variables. There are two channels through which the stocks are priced according to the analysts’ disagreement. The first one is the risk channel as the analysts’ disagreement is associated with earnings uncertainty. The stock price will be discounted before the actual earnings announcement. The second one is the optimistic bias channel. The optimistic bias channel means that the stock is overpriced if the investors do not correct the analysts’ bias. The self-selection is negatively correlated with the stock return through the optimistic bias channel as more self-selection means more optimistic bias as low forecasting values are not revealed. The empirical analysis using data from the Chinese stock market supports the theoretical conclusion.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128073752","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":"Corporate Hedging Theories and Usage of Foreign Currency Loans: A Logit Model Approach","authors":"Mahadevan Sriram, Srilakshminarayana Gali","doi":"10.21511/imfi.17(4).2020.31","DOIUrl":"https://doi.org/10.21511/imfi.17(4).2020.31","url":null,"abstract":"The present study has attempted to discuss the association between corporate hedging theories and the usage of foreign currency loans by companies listed in India. A total of 349 non-financial companies were selected, and the data for the financial year ending 31st March, 2018 were considered for the analysis. The descriptive statistics indicate that 55% of the sample companies had borrowed funds in foreign currency. The companies were highly levered and maintained adequate short-term assets to honor short-term obligations. A logit model was employed for analyzing the cross-sectional data. The dependent variable being binary (‘0’ for non-user of foreign currency loans and ‘1’ for foreign currency loan user), the study found the variable ‘industry type’ to have a significant association with usage of foreign currency loans. Companies from the manufacturing sector were likely to use foreign currency loans than companies from the services sector. Debt to net worth, export to sales, revenue (log of revenue) were the variables that significantly influenced the likelihood of companies raising foreign currency loans. Interest coverage ratio had a negative influence on the likelihood of companies opting for foreign currency loans. Hosmer and Lemeshow test showed that the model is a good fit indicating 73% accuracy in predicting the users of foreign currency loans as ‘foreign currency loan users’. Theories such as financial distress, size, and extent of international operations explain why companies raise foreign currency loans.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"139 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127467444","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":"Broker Network Connectivity and the Cross-Section of Expected Returns","authors":"Murat Tiniç, A. Şensoy, Muge Demir, D. K. Nguyen","doi":"10.2139/ssrn.3745720","DOIUrl":"https://doi.org/10.2139/ssrn.3745720","url":null,"abstract":"This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient as proxies for the broker network connectivity. Accordingly, firm-level cross-sectional regressions indicate a negative and significant predictive relationship between connectivity and one-month ahead stock returns. Specifically, 1% increase in network connectivity reduces the future returns by 2% even after controlling for other systematic factors. Our univariate and multivariate analyses show that stocks in the lowest connectivity quintile earn 1.0% - 1.6% monthly return premiums. We also document that the connectivity premium is stronger in terms of both economic and statistical significance for small size stocks.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127451104","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":"Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India","authors":"V. Acharya, Siddharth Vij","doi":"10.2139/ssrn.3727686","DOIUrl":"https://doi.org/10.2139/ssrn.3727686","url":null,"abstract":"We establish that macroprudential policies limiting capital flows can curb risks arising from corporate foreign currency borrowing in emerging markets. Using detailed firm-level data from India, we show that propensity to issue foreign currency debt for the same firm is higher when the difference in short-term interest rates between India and the US is higher, i.e., when the dollar ‘carry trade’ is more profitable; this behavior is driven by the period after the global financial crisis. The positive relationship between issuance and the ‘carry trade’ breaks down once regulators institute more stringent interest-rate caps on foreign currency borrowing. Riskier borrowers such as importers and those with higher interest costs cut issuance most. Firm equity exposure to foreign exchange risk rose after issuance in favorable funding conditions and emerged as a source of external sector vulnerability during the ‘taper tantrum’ of 2013. Macroprudential policy action limiting capital flows is able to nullify this effect, such as during the market stress due to the COVID-19 pandemic.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129341519","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}