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American J. of Finance and Accounting最新文献

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Bank behaviour in good times and bad times: the impact of regulations and risk taking on bank performance 银行在繁荣时期和萧条时期的行为:监管和风险承担对银行业绩的影响
American J. of Finance and Accounting Pub Date : 2018-07-06 DOI: 10.1504/AJFA.2018.10014221
Miroslav Mateev, P. Bachvarov
{"title":"Bank behaviour in good times and bad times: the impact of regulations and risk taking on bank performance","authors":"Miroslav Mateev, P. Bachvarov","doi":"10.1504/AJFA.2018.10014221","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014221","url":null,"abstract":"In this paper, we investigate the main determinants of bank performance before, during and after the recent financial crisis of 2007-2008. Using a sample of 178 large and medium sized banks from 33 countries around the globe, we test the validity of different hypotheses advanced in the academic literature. We find that financial institutions that performed more poorly during the crisis had, on average, lower return in 2006, less deposits and less leverage, higher risk, and more funding fragility, and they come from countries with better institutional environment. We also investigate the role of bank regulations and their impact on bank performance during good times and bad times. We provide new evidence that restrictions on bank activities are, in general, uncorrelated with the performance of banks during the crisis; however, this relationship is significant for large banks. Our analysis provides convincing evidence for the increased power of regulations and the diminishing role of bank risk taking after the crisis.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"107 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":"123244633","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
Stock price synchronicity and its effect on stock market volatility: evidence from the MENA region 股票价格同步性及其对股票市场波动的影响:来自中东和北非地区的证据
American J. of Finance and Accounting Pub Date : 2018-07-06 DOI: 10.1504/AJFA.2018.10014224
Omar Farooq, Neveen Ahmed, Mohammed Bouaddi
{"title":"Stock price synchronicity and its effect on stock market volatility: evidence from the MENA region","authors":"Omar Farooq, Neveen Ahmed, Mohammed Bouaddi","doi":"10.1504/AJFA.2018.10014224","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014224","url":null,"abstract":"This study investigates whether stock price synchronicity contains information regarding future stock market volatility. More specifically, this paper answers three important questions: 1) Does historic stock price synchronicity affect stock market volatility?; 2) If it does, how much of the volatility is explained by synchronicity?; 3) Does the impact of unexpected shocks on stock market volatility depend on historic synchronicity? Using the data from MENA region (Morocco, Tunisia, Egypt, United Arab Emirates, Jordan, Oman, and Bahrain), we document significantly positive relationship between stock price synchronicity and stock market volatility during the period between 2005 and 2010. We show that, whether stocks co-move downward or co-move upward, it causes stock market volatility to go up significantly. Our results are significant across all markets. We also show that synchronous component of volatility can, at times, completely explain stock market volatility. Furthermore, we also show that the impact of unexpected shocks on stock market volatility is an increasing function of stock price synchronicity.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"30 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":"115116022","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
Political uncertainty and market reaction: the case of Tunisian democratic transition 政治不确定性与市场反应:突尼斯民主转型的案例
American J. of Finance and Accounting Pub Date : 2018-07-06 DOI: 10.1504/AJFA.2018.10014226
Linda Fakhfakh, T. Hamza, S. Ellouz
{"title":"Political uncertainty and market reaction: the case of Tunisian democratic transition","authors":"Linda Fakhfakh, T. Hamza, S. Ellouz","doi":"10.1504/AJFA.2018.10014226","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10014226","url":null,"abstract":"Political risk is an important factor that affects stock market reaction. Our paper investigates the impact of Tunisian democratic transition on both stock market and bank sector returns. We use the event study and BHAR methodologies and test the relation between political risk and stock returns in the short and long-term horizon. Our results show that: 1) In the short-term, the political risk associated with the 'revolution' event, affects negatively the stock market returns. This impact is positive in the long-term. 2) The '2014 elections' event positively affects stock market returns in the short-term and negatively over 18 months. 3) For the '2011 elections' event, the short-term positive effect seems to persist for long-term. 4) Lastly, in the context of democratic transition, political risk affects negatively the bank sector returns. This study proposes several managerial implications for investors as well as for market regulators.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 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":"129366315","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
Earnings-consumption betas and stock valuation 收益-消费贝塔和股票估值
American J. of Finance and Accounting Pub Date : 2018-03-14 DOI: 10.1504/AJFA.2018.090373
C. Bergeron, Jean-Pierre Gueyié, Komlan Sedzro
{"title":"Earnings-consumption betas and stock valuation","authors":"C. Bergeron, Jean-Pierre Gueyié, Komlan Sedzro","doi":"10.1504/AJFA.2018.090373","DOIUrl":"https://doi.org/10.1504/AJFA.2018.090373","url":null,"abstract":"This paper integrates the long-run covariance between aggregate consumption and firm earnings into the stock valuation process. After assuming that firms adjust their dividend payments toward a target dividend payout ratio, we use the intertemporal framework of the consumption capital asset pricing model (CCAPM) to explore the effect of systematic earnings risks on intrinsic stock values. Our main results show that the equilibrium price of a stock is positively related to its long-run earnings growth rate, and negatively related to its earnings-consumption beta, obtained from its long-run covariance between earnings growth and aggregate consumption growth. This suggests that long-run risk measured with earnings affects the theoretical value of a firm. Overall, our work suggests that the long-run concept of risk, using accounting earnings, represents an appropriate parameter for estimating the equity value of a firm.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115494505","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 two-stage parametric stochastic frontier analysis (SFA) of the efficiency performance of Shari'ah compliant banks: a global evidence 符合伊斯兰教法的银行效率绩效的两阶段参数随机前沿分析(SFA):全球证据
American J. of Finance and Accounting Pub Date : 2018-03-14 DOI: 10.1504/AJFA.2018.10011560
A. Abu-Alkheil, G. Khartabiel, N. R. Dali
{"title":"A two-stage parametric stochastic frontier analysis (SFA) of the efficiency performance of Shari'ah compliant banks: a global evidence","authors":"A. Abu-Alkheil, G. Khartabiel, N. R. Dali","doi":"10.1504/AJFA.2018.10011560","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10011560","url":null,"abstract":"This paper examines the efficiency performance of 32 Islamic banks (IBs') from Asia, the Middle East, Gulf region, and Europe using the stochastic frontier analysis (SFA). Furthermore, the study utilises the ordinary least squares (OLS) approach to analyse the cause–effect relationship between bank-specific factors and banks' efficiency scores over the period from 2004 to 2014. Findings show that the majority of IBs' appear to be inefficient in terms of both generating profits and controlling costs. Banks' substantial inefficiencies are largely technical and partly scale in nature. Results suggest also that IBs' that are more technically efficient are most likely larger in size with low market-share, highly profitable, well-capitalised, supply more lending, and are less leveraged. Overall, the empirical findings reveal that not all IBs' were equally affected during the period of the global financial crisis of 2007. However, tiny observed variations are mainly due to the country-specific factors.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114308031","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
Copula model dependency between oil prices and stock markets: evidence from Tunisia and Egypt 油价和股市之间的Copula模型依赖关系:来自突尼斯和埃及的证据
American J. of Finance and Accounting Pub Date : 2018-03-14 DOI: 10.1504/AJFA.2018.10011612
W. Hamma, Ahmed Ghorbel, Anis Jarboui
{"title":"Copula model dependency between oil prices and stock markets: evidence from Tunisia and Egypt","authors":"W. Hamma, Ahmed Ghorbel, Anis Jarboui","doi":"10.1504/AJFA.2018.10011612","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10011612","url":null,"abstract":"In this work, our objective is to study in a first step the relationships between oil price and stock market indices in Tunisia and Egypt using copulas, and then in a second step to analyse the optimal weights and hedge ratio for building optimal portfolios to minimise the exposure to risk from oil price changes. The model is implemented with an ARMA-GARCH-GPD using daily observations for the 2 January 1998 to 31 December 2013 period for the marginal distribution and the extreme value copula for the joint distribution, which allows taking into account non-linear dependence, tails behaviour and their development over time. Various copula functions are used to model the dependence structure between oil prices and stock markets of Tunisia and Egypt. Empirical results provide evidence of significant and symmetric tail dependence for international oil prices and stock markets. On the other hand, volatility for this stock markets registered record levels due to the increase of the degree of oil prices. However, dependence structure changed over time, indicating that hedging effectiveness and hedge ratio for the oil asset in the hedged portfolios varied over time.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132482067","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: 7
The dynamic relationship between oil prices and returns on renewable energy companies 油价与可再生能源公司回报之间的动态关系
American J. of Finance and Accounting Pub Date : 2018-03-14 DOI: 10.1504/AJFA.2018.10011656
Hanène Mejdoub, Ahmed Ghorbel
{"title":"The dynamic relationship between oil prices and returns on renewable energy companies","authors":"Hanène Mejdoub, Ahmed Ghorbel","doi":"10.1504/AJFA.2018.10011656","DOIUrl":"https://doi.org/10.1504/AJFA.2018.10011656","url":null,"abstract":"The aim of this paper is to apprehend the behaviour of returns prices of renewable energy companies and their co-movement with oil prices before and after the 2008–2009 global financial crisis (GFC). Using daily data set over the time period from November 2003 to March 2016, we apply TGARCH-based-Vine copula model to examine tail dependence between oil prices (WTI) and three renewable energy indices. The results provide evidence of symmetric tail dependence for all sample, indicating the evidence of upper and lower tail dependence. However, during the crisis period, our findings reveal that the lower tail dependence for WTI and renewable energy returns prices is practically larger than the upper one. Moreover, the lower tail dependence is improved considerably in the financial crisis of 2008–2009. Therefore, the abrupt drop in oil prices (WTI) entail mainly to similar decrease in the renewable energy return prices during downturn markets.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128183019","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
How to explain accounting manipulations using the cognitive mapping technique? An evidence from Tunisia 如何使用认知映射技术解释会计操纵?来自突尼斯的证据
American J. of Finance and Accounting Pub Date : 2017-08-29 DOI: 10.1504/AJFA.2017.10007015
Karima Lajnef, Siwar Ellouze, Ezzeddine Ben Mohamed
{"title":"How to explain accounting manipulations using the cognitive mapping technique? An evidence from Tunisia","authors":"Karima Lajnef, Siwar Ellouze, Ezzeddine Ben Mohamed","doi":"10.1504/AJFA.2017.10007015","DOIUrl":"https://doi.org/10.1504/AJFA.2017.10007015","url":null,"abstract":"The target of this paper is to explore the determinants of accounting manipulations under chief executive officer (CEO) perception in Tunisian listed firms. In fact, we aim to explore the effect of manager's psychological biases on accounts manipulations. Using the cognitive mapping technique, a mental model is presented respecting both classical and behavioural approaches. Besides the traditional variables, our results highlight that psychological variables lead also to manipulate accounting results. The most relevant ones are the level of optimism and overconfidence. These findings provide an important insight and recommendations for investors, auditors, financial analysts and regulators.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123040999","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
The analysis of the arbitrage pricing model on the stock return: a case of Athens stock market 股票收益套利定价模型分析——以雅典股市为例
American J. of Finance and Accounting Pub Date : 2017-08-29 DOI: 10.1504/AJFA.2017.10007016
K. Khudoykulov
{"title":"The analysis of the arbitrage pricing model on the stock return: a case of Athens stock market","authors":"K. Khudoykulov","doi":"10.1504/AJFA.2017.10007016","DOIUrl":"https://doi.org/10.1504/AJFA.2017.10007016","url":null,"abstract":"The purpose of this study is twofold. First to verify the arbitrage-pricing model (APM) and second to examine if the APM model is valid for the Greek capital market. We examined the 31 companies listed on the Athens stock exchange (ASE) with the highest market capitalisation. We collected data on a monthly basis for a period from January 2009 to December 2014. The APM model estimates that the macro-economic factors influence the Athens stock return. Our model is tested by performing principal factor and regression analysis. The principal factor analysis identifies the macro-economic factors, which will be used in the regression analysis. The regression analysis indicates the macro-economic factors influence on the expected stock return. The finding of the study is that the APM model is invalid for the ASE market.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132057596","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
Effects of lock-up expiry on bid-ask spread of Malaysian IPOs 锁定期到期对马来西亚ipo买卖价差的影响
American J. of Finance and Accounting Pub Date : 2017-08-29 DOI: 10.1504/AJFA.2017.10007017
Abdolhossein Zameni, Othman Yong
{"title":"Effects of lock-up expiry on bid-ask spread of Malaysian IPOs","authors":"Abdolhossein Zameni, Othman Yong","doi":"10.1504/AJFA.2017.10007017","DOIUrl":"https://doi.org/10.1504/AJFA.2017.10007017","url":null,"abstract":"This paper examines the lock-up provisions of initial public offerings (IPOs) and their effect on bid-ask spread changes around the lock-up expiry date of 379 Malaysian IPOs, issued during January 2001 to December 2011. The event study approach and the comparison period returns approach (CPRA) by Masulis (1980) are used. The results of the study indicate that investors and market makers are sceptical about the future of the companies before and after the lock-up expiry of some boards and sectors, which results in an increased adverse selection element of the bid-ask spread. The increased adverse selection element of bid-ask spread dominants the trading volume increase around the lock-up expiry and results in share price drop. Consequently, market makers prefer to increase the spread to protect themselves against informed traders.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"34 12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125718589","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
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