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Time horizons and corporate governance 时间范围和公司治理
American J. of Finance and Accounting Pub Date : 2019-12-18 DOI: 10.1504/ajfa.2019.10025897
Davin Raiha
{"title":"Time horizons and corporate governance","authors":"Davin Raiha","doi":"10.1504/ajfa.2019.10025897","DOIUrl":"https://doi.org/10.1504/ajfa.2019.10025897","url":null,"abstract":"This paper examines the impact of operational time-horizons on corporate governance. Managerial 'short-termism' is problematic in industries where long product development and life cycles require managerial decisions that are similarly far-sighted in scope. By protecting managers from the pressures that induce short-termism I show how corporate governance and anti-takeover provisions can mitigate short-termism for firms with long operational time-horizons. I predict that firms operating in long time-horizon industries will employ more anti-takeover provisions than firms in short time-horizon industries. I examine this empirically and find support for this prediction.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"35 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120872583","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
Historical determinants of supplemental environmental projects included in the financial settlement of a US EPA case using Tobit estimation 补充环境项目的历史决定因素包括在使用Tobit估计的美国环保署案件的财务结算中
American J. of Finance and Accounting Pub Date : 2019-12-18 DOI: 10.1504/ajfa.2019.10025883
William B. Galose, Musa Essayyad
{"title":"Historical determinants of supplemental environmental projects included in the financial settlement of a US EPA case using Tobit estimation","authors":"William B. Galose, Musa Essayyad","doi":"10.1504/ajfa.2019.10025883","DOIUrl":"https://doi.org/10.1504/ajfa.2019.10025883","url":null,"abstract":"This finance paper revisits an earlier environmental finance research paper by Galose and Essayyad (2014) focused on drawing lessons from US history regarding what factors determine whether the financial settlement of a typical US Environmental Protection Agency (EPA) case includes a supplemental environmental project (SEP). SEPs provide benefits to the community affected by the alleged violation of environmental laws and the regulated entity. Galose and Essayyad (2014) employs probit models in its estimations of what variables determine whether an EPA settlement includes a SEP, with the dependent variable whether a SEP is included in the financial settlement. Unlike the previous research, this paper employs Tobit models and uses the same sample to estimate the amount spent on SEPs included in the financial settlement of an EPA case. The value added of the Tobit models is that they provide a superior measure of the benefits of SEPs by estimating the monetary amount spent on SEPs while simultaneously controlling for whether the settlement includes a SEP. The empirical results of the Tobit models substantiate those of the probit models.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131593362","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
Credit risk and bank opacity: a comparative study of conventional and Islamic banks 信贷风险与银行不透明度:传统银行与伊斯兰银行的比较研究
American J. of Finance and Accounting Pub Date : 2019-12-18 DOI: 10.1504/ajfa.2019.10025898
Ines Khammassi, Kamel Naoui
{"title":"Credit risk and bank opacity: a comparative study of conventional and Islamic banks","authors":"Ines Khammassi, Kamel Naoui","doi":"10.1504/ajfa.2019.10025898","DOIUrl":"https://doi.org/10.1504/ajfa.2019.10025898","url":null,"abstract":"In this paper, we examine the impact of banking opacity along other bank-specific and macroeconomic factors on credit risk using a regression analysis. We estimate our panel data model using the fixed and random effects method for 72 conventional and Islamic listed banks in the MENA region over the 2005-2015 period. We found that banking opacity has a direct positive effect on the credit risk of conventional banks. On the other hand, banking opacity has no significant impact on the credit risk of Islamic banks.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133934886","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
Herding behaviour in Indian equity market: a quantile regression approach 印度股市的羊群行为:分位数回归方法
American J. of Finance and Accounting Pub Date : 2019-12-18 DOI: 10.1504/ajfa.2019.10025896
A. Ansari
{"title":"Herding behaviour in Indian equity market: a quantile regression approach","authors":"A. Ansari","doi":"10.1504/ajfa.2019.10025896","DOIUrl":"https://doi.org/10.1504/ajfa.2019.10025896","url":null,"abstract":"This study examines the presence of herding behaviour in the Indian equity market using average daily data from BSE-500 Index stocks for January 2000 to December 2018. The study employs model developed by Chang et al. (2000) using cross sectional absolute deviation of return dispersion as a measure of herding behaviour. The empirical results of OLS regression reveal absence of herding behaviour for pre, during and post crisis period in normal market return and the asymmetric market condition. Similarly, no evidence of herding behaviour is found by examining trading volume and volatility. Further, robustness checked by applying non-parametric techniques of quantile regression, the result remains consistent with OLS findings. Overall, herding behaviour does not prevail in the Indian equity market. The outcome of increased return dispersion may be due to the efficient micro information in the Indian equity market.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"198 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115838286","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
Portfolio selection using analytic hierarchy process and numerical taxonomy analysis: case study of Iran 运用层次分析法和数字分类法进行投资组合选择:以伊朗为例
American J. of Finance and Accounting Pub Date : 2018-08-01 DOI: 10.1504/AJFA.2018.10014785
F. R. Roodposhti, Mohammad Bahrani Jahromi, Sahar Kamalzadeh
{"title":"Portfolio selection using analytic hierarchy process and numerical taxonomy analysis: case study of Iran","authors":"F. R. Roodposhti, Mohammad Bahrani Jahromi, Sahar Kamalzadeh","doi":"10.1504/AJFA.2018.10014785","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014785","url":null,"abstract":"In spite of a large number of different models used to solve the problem of optimal portfolio selection, the problem of choosing a portfolio containing securities from different industries is still a matter of discussion among academics. Evaluating financial performance of the firm can be a crucial issue in selecting stocks. The purpose of this paper is to develop a model for evaluating the performance of firms by using financial ratios and at the same time, taking subjective judgements of decision makers into account. The proposed approach is based on analytic hierarchy process (AHP) and numerical taxonomy methods. AHP is used in determining the weights of criteria by decision makers and then rankings of the firms are determined through numerical taxonomy. The model is used for evaluating performance of firms in Tehran Stock Exchange by using their financial ratios. Then the rankings of the firms are determined according to their results.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133811345","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
Energy portfolio risk management using time-varying copula methods: application to bonds, interest rate and VIX 时变耦合方法的能源投资组合风险管理:债券、利率和波动率的应用
American J. of Finance and Accounting Pub Date : 2018-08-01 DOI: 10.1504/AJFA.2018.10014784
Samar Zlitni Abdelkafi, Ahmed Ghorbel, W. Khoufi
{"title":"Energy portfolio risk management using time-varying copula methods: application to bonds, interest rate and VIX","authors":"Samar Zlitni Abdelkafi, Ahmed Ghorbel, W. Khoufi","doi":"10.1504/AJFA.2018.10014784","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014784","url":null,"abstract":"This work is concerned with the statistical modelling of hedging and safe haven strategies between the energy sector (crude oil), bonds, VIX and interest rate using the concept of copulas and proposes a method for choosing the best asset in order to hedge against extreme fluctuations of energy prices based on the combination of time series. Various copula functions are used to model the dependence structure between oil and different assets (interest rates, bonds and VIX). We investigate whether there are significant changes in the relationships between energy sector and these assets especially for different horizons of investment: the global financial crisis (06/27/2008 to 12/31/2009), the sovereign debt crisis in Europe (01/04/2010 to 12/31/2012) and the post-crisis period (01/02/2013 to 02/24/2016). Results show that TRUS is the best hedge for the energy sector because it presents the highest hedge ratio in most cases. The implied volatility (VIX) provides the second highest hedging ratio indicating the usefulness of a volatility index in hedging oil prices. Second, hedge ratios vary considerably over the sample as a consequence of the change in the dependence structure and the horizon of investment period indicating that hedged positions should be updated regularly.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132608970","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
A homoscedastic co-integration analysis of Malaysian financial market 马来西亚金融市场的协整分析
American J. of Finance and Accounting Pub Date : 2018-08-01 DOI: 10.1504/AJFA.2018.10014783
Mohamed Ibrahim Mugableh
{"title":"A homoscedastic co-integration analysis of Malaysian financial market","authors":"Mohamed Ibrahim Mugableh","doi":"10.1504/AJFA.2018.10014783","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014783","url":null,"abstract":"This article examined long-term relationships and dynamic links between Malaysian equity market and macroeconomic forces, including inflation rates, interest rates, money supply and real economic activity. It employed the vector error correction model and annual time series for the 1977-2015 period. The empirical results show the existence of six co-integrating vectors, implying a long-term relationship between the selected variables. In addition, inflation rates and interest rates were shown to be negatively associated with Malaysian capital market. Money supply and real economic activity were found to be positively related to Malaysian capital market. However, the sample resulted in several observations during the economic and financial crises periods which influence the findings obtained from the regression.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117110223","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
The effects of Eurozone sovereign credit rating change on the US treasury and equity markets 欧元区主权信用评级变动对美国国债和股票市场的影响
American J. of Finance and Accounting Pub Date : 2018-08-01 DOI: 10.1504/AJFA.2018.10014779
Feng Jiao, M. Nasher
{"title":"The effects of Eurozone sovereign credit rating change on the US treasury and equity markets","authors":"Feng Jiao, M. Nasher","doi":"10.1504/AJFA.2018.10014779","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014779","url":null,"abstract":"A growing number of researchers have investigated the spillover mechanism of how sovereign rating change in one market could affect other non-event security markets. Motivated by two competing hypotheses in the literature, i.e., 'contagion effect' and 'competitive effect', this paper focuses on the information content of sovereign rating change announcement and examines how Eurozone sovereign rating changes matter for assets returns and liquidity in US capital markets. In an application to the aggregate US equity and treasury market, this paper finds that both assets return and liquidity improves following a sovereign rating downgrade in the Eurozone. Analysing the individual firm level effects in addition to the aggregate market effects, we find that firms with low market capitalisation, low book-to-market ratio, and high leverage react more significantly to a sovereign rating downgrade in the Eurozone. Our findings are consistent with the hypothesis of competitive effect in general and set the stage for future policy research and risk management developments.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"162 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127193944","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
How the level of census data and TRI releases affect empirical models estimating the amount spent on supplemental environmental projects 普查数据和TRI发布的水平如何影响估计补充环境项目花费的实证模型
American J. of Finance and Accounting Pub Date : 2018-08-01 DOI: 10.1504/AJFA.2018.10014786
William B. Galose, Musa Essayyad
{"title":"How the level of census data and TRI releases affect empirical models estimating the amount spent on supplemental environmental projects","authors":"William B. Galose, Musa Essayyad","doi":"10.1504/AJFA.2018.10014786","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014786","url":null,"abstract":"This environmental finance paper estimates models of the amount spent on the Supplemental Environmental Projects (SEPs) included in the settlements of a sample of US Environmental Protection Agency (EPA) administrative cases. Demographic variables were generally statistically significant in estimates of models employing US Census Bureau tract-level data for demographic variables. US Census Bureau block group data within a three-mile radius of the involved facility were obtained from US EPA Facility Reports. The block group data demographic variables were generally not statistically significant in models which were similar to the tract-level data models. The inclusion of TRI control variables did not substantially affect the results. Thus, when employing SEPs to finance environmental projects, the scale of demographic variables influences empirical models estimating the amount spent on SEPs.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130943642","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
A comparative analysis of dynamic and cross-sectional approaches for financial performance analysis 财务绩效分析的动态和横断面方法的比较分析
American J. of Finance and Accounting Pub Date : 2018-07-06 DOI: 10.1504/AJFA.2018.10014220
M. Alimohammadlou, A. Bonyani
{"title":"A comparative analysis of dynamic and cross-sectional approaches for financial performance analysis","authors":"M. Alimohammadlou, A. Bonyani","doi":"10.1504/AJFA.2018.10014220","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014220","url":null,"abstract":"The use of financial ratios as the necessary information is considered as one of the noticeable issues for researchers to apply quantitative models for evaluating the performance of institutions. The reason for introducing these new approaches is that the financial ratios cannot individually provide a correct and adequate understanding of an institution's performance. This study is aimed to compare the cross-sectional analysis and dynamic analysis to evaluate the financial performance. In this regard, 14 companies were examined based on two approaches during the period of 2011-2015 using the five influential ratios on financial performance evaluation. Then, results were compared to data of the test period (2016). Results showed that applying the dynamic analysis of performance instead of cross-sectional analysis and also carefully consideration in the analysis of efficient frontier shift can provide a more accurate evaluation of financial performance of companies compared to the multi-criteria decision-making analysis.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130002529","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: 8
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