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Macroeconomic Sensitivity, Risk-Return Trade-Off and Volatility Dynamics Evidence From Developed and Developing Markets 宏观经济敏感性、风险回报权衡和波动动态——来自发达和发展中市场的证据
International Journal of Corporate Finance and Accounting Pub Date : 2019-01-01 DOI: 10.4018/IJCFA.2019010101
F. Khan, Hashim Khan, Saif Khan, Muhammad Jumaa, Sharif Ullah Jan
{"title":"Macroeconomic Sensitivity, Risk-Return Trade-Off and Volatility Dynamics Evidence From Developed and Developing Markets","authors":"F. Khan, Hashim Khan, Saif Khan, Muhammad Jumaa, Sharif Ullah Jan","doi":"10.4018/IJCFA.2019010101","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010101","url":null,"abstract":"This study aims to examine the impact of macroeconomic factors on the stock return volatility along with the pricing of risk, and asymmetry and leverage effect on a comparative basis for the USA and UAE markets. Further, these three dimensions are also investigated with regard to various firm's features (such as firm's size and age). The daily data for the period 4th January 2010 to 29th December 2017 of firm stock returns from the New York Stock Exchange (NYSE), the Abu Dhabi Securities Exchange (ADSE), and the Dubai Financial Market (DFM) is considered and three time-series models were applied. The results from GARCH (1. 1) indicated that all the economic factors have significant impact on the stock return volatility in both the markets. Similarly, the study also found evidence of asymmetry & leverage effect using EGARCH in the NYSE (for all firms) and the UAE (partially). Finally, for a majority of the firms, a positive risk-return relationship is found in the UAE and a negative risk-return relationship is found in the NYSE using GARCH-in the mean. Interestingly, these results in context of both markets were different with respect to various firm features such as firm size and age. In light of these results, it is concluded that both the markets have different dynamics with regard to all three dimensions. Hence, the investors have a clear opportunity to diversify their risk and investments across developed and emerging markets.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133757444","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
Ownership Structure and Firms' Performance in the Period of Crisis. Evidence From the Listed Food and Beverage Firms in the Athens Stock Exchange 危机时期股权结构与企业绩效。来自雅典证券交易所上市食品和饮料公司的证据
International Journal of Corporate Finance and Accounting Pub Date : 2019-01-01 DOI: 10.4018/IJCFA.2019010103
P. Kalantonis, Konstantina Panagiotakopoulou, R. Mitoula
{"title":"Ownership Structure and Firms' Performance in the Period of Crisis. Evidence From the Listed Food and Beverage Firms in the Athens Stock Exchange","authors":"P. Kalantonis, Konstantina Panagiotakopoulou, R. Mitoula","doi":"10.4018/IJCFA.2019010103","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010103","url":null,"abstract":"Ownership structure is a crucial determinant factor of the corporate governance measurement and has been associated, in prior studies, with the profitability of firms. The current study investigates the effect of ownership structure on the firm's performance in the period of financial crisis. The authors focus on the food and beverage (F&B) industry since this sector has been affected less than others by the economic recession. Exploring the listed F&B beverage in the Athens Stock Exchange for seven years during the crisis period in Greece, the authors have found evidence for the effect of ownership structure on firm performance as it has been reflected in the accounting and financial market indicators. The findings for the relation between ownership structure and firms' performance, measured with accounting indices, are different from those in which the performance has been measured with market indices.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125282767","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
An Application of CAMELS and Z-Score Methodologies in a Comparative Analysis Between the Four Systemic Banks in Greece for the Period 2006-2016 骆驼模型和Z-Score方法在希腊四家系统性银行2006-2016年比较分析中的应用
International Journal of Corporate Finance and Accounting Pub Date : 2019-01-01 DOI: 10.4018/IJCFA.2019010102
A. Christopoulos
{"title":"An Application of CAMELS and Z-Score Methodologies in a Comparative Analysis Between the Four Systemic Banks in Greece for the Period 2006-2016","authors":"A. Christopoulos","doi":"10.4018/IJCFA.2019010102","DOIUrl":"https://doi.org/10.4018/IJCFA.2019010102","url":null,"abstract":"Τhe recent crisis which accelerated after the collapse of Lehman Brothers in 2008 revealed that relationships between the real economy and the financial sector are decisive for the stability of the world economy, even in in cases of well operating banking systems operating in competitive economies. In the present article, the authors focus on Greece, the weakest member of the Eurozone, but with a financial system which seemed to operate on a sound basis, avoiding initially the effects of the US financial crisis. The goal of this article is to examine the performance of the Greek banking sector for the critical decade before and after the crisis, assessing the financial position of the four systemic Greek banks for the period 2006-2016. For this purpose, two alternative methods, CAMELS and Z-scores, are applied, comparing the results obtained from the two methodologies. As expected, the results of both methodologies show that the failure risk during the crisis period 2011-2016 for the four systemic banks was significantly higher compared to the pre-crisis period 2006-2010.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131750883","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: 2
A Study on Factors Influencing Mutual Fund Portfolio Performance 共同基金投资组合绩效影响因素研究
International Journal of Corporate Finance and Accounting Pub Date : 2018-07-01 DOI: 10.4018/IJCFA.2018070101
Medhanie G. Mekonnen, R. Mayer, Wen-wen Chien
{"title":"A Study on Factors Influencing Mutual Fund Portfolio Performance","authors":"Medhanie G. Mekonnen, R. Mayer, Wen-wen Chien","doi":"10.4018/IJCFA.2018070101","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070101","url":null,"abstract":"Mutual fund portfolio managers do not always meet performance expectations, resulting in loss of capital reserves. Out of 3,612 U.S. based open-ended mutual funds, the risk-adjusted performance of 2,890 (80%) failed to meet the S&P 500 performance between the year 2006 to 2016. Grounded in Markowitz's modern portfolio theory, this correlational study examined the relationship between mutual fund class type, portfolio turnover, fund longevity, management turnover, and annual fund risk-adjusted performance. Archival data were collected from 88 U.S. based equity mutual funds companies. The results of the multiple regression analysis indicated the model as a whole was able to significantly predict annual fund risk-adjusted performance for the 5-year period ending 2016, F (4, 83) = 3.581, p = .010, R2 = .147. In the final model, mutual fund class type and portfolio turnover were statistically significant with mutual fund class type (ß= .249, t = 2.302, p = .024) accounting for a higher contribution to the model than portfolio turnover (ß = .238, t = 2.312, p = .023).","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"350 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115887628","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
County Funds, Delays in Procurement Process, and Budget Absorption in County Governments in Kenya 肯尼亚县政府的县县资金、采购过程的延误和预算吸收
International Journal of Corporate Finance and Accounting Pub Date : 2018-07-01 DOI: 10.4018/IJCFA.2018070103
C. Owuor
{"title":"County Funds, Delays in Procurement Process, and Budget Absorption in County Governments in Kenya","authors":"C. Owuor","doi":"10.4018/IJCFA.2018070103","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070103","url":null,"abstract":"County governments in Kenya have been consistently accused of poor budget absorption. This article sought to assess misallocation of county funds and the delays in procurement process on budget absorption in county governments in Kenya. Descriptive research design was used. The study found out that there was misallocation of funds from the national governments to county treasuries and from the county treasuries to various department projects and activities which in effect affected the procurement processes. Procurement functions in the county governments were inefficient owing to the lead time and bureaucracies involved in procurement. The study therefore recommended for county governments in collaboration with commission for revenue allocation and the national treasuries to come up with a criterion for ensuring smooth flow of funds from the national treasury to the end user departments.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129310202","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
Audit Committee Effectiveness and Accounting Conservatism a Test of Lagged Effect 审计委员会有效性与会计稳健性:滞后效应检验
International Journal of Corporate Finance and Accounting Pub Date : 2018-07-01 DOI: 10.4018/IJCFA.2018070104
Saif Khan, F. Khan, Elgilani Elshareif
{"title":"Audit Committee Effectiveness and Accounting Conservatism a Test of Lagged Effect","authors":"Saif Khan, F. Khan, Elgilani Elshareif","doi":"10.4018/IJCFA.2018070104","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070104","url":null,"abstract":"This article examines the effect of audit committee effectiveness on two measures of accounting conservatism. In addition, this article also investigates the interaction effect of four endogenous variables (i.e. firm's operating risks, leverage, managerial influence, firm's size) and three exogenous variables on relationship between audit committee effectiveness and two measures of accounting conservatism. A total of 543 sample firms are selected from the Bursa Malaysia for the period from 2004 to 2013. In addition, some information relating to audit committee and auditor quality are collected from firms' annual reports. For data analysis, panel data methodology is employed, and multiple regression analysis technique is used to test the developed hypotheses of this study. Results show that interaction effect of firm's operating risks, managerial influence, external auditor quality and capital market uncertainty found to be significant with two-year-lagged effect on both measures of conservatism. Whereas, the interaction effect of firm's leverage, firm's size and product market completion are found to be insignificant. The findings of this study contribute to the signaling theory, agency theory, reputation theory and accounting conservatism literature with lagged effect in emerging economies settings.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127057806","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: 5
Applying Multiple Linear Regression and Neural Network to Predict Business Performance Using the Reliability of Accounting Information System 基于会计信息系统可靠性的多元线性回归与神经网络预测企业绩效
International Journal of Corporate Finance and Accounting Pub Date : 2018-07-01 DOI: 10.4018/IJCFA.2018070102
A. Al-Dmour, R. Al-Dmour
{"title":"Applying Multiple Linear Regression and Neural Network to Predict Business Performance Using the Reliability of Accounting Information System","authors":"A. Al-Dmour, R. Al-Dmour","doi":"10.4018/IJCFA.2018070102","DOIUrl":"https://doi.org/10.4018/IJCFA.2018070102","url":null,"abstract":"This article aims to predict business performance using multiple linear regression and neural network. It compares the accuracy power of ANN and multiple linear regression (MLR) using the reliability of accounting information system as independent variables, and business performance as a dependent variable. It is based on primary data collected through a structured questionnaire from 162 out 202 of public listed companies in financial service sector in Jordan. The data were analysed using ANN and MLR. Testing results of the two methods ANN and MLR confirmed that the business performance indicators (financial, non-financial and combined) were significantly could be predicted by the reliability of AIS and they also revealed that in terms of predictive accuracy test, the ANN has a higher accuracy than regression analysis.","PeriodicalId":339744,"journal":{"name":"International Journal of Corporate Finance and Accounting","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121285817","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: 26
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