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1 – 10 of over 1000Farzana Akbari, Mahdi Salehi and Mohammad Ali Bagherpour Vlashani
The purpose of this paper is to investigate the relationship between tax avoidance, firm value and managerial ability in Tehran Stock Exchange and Over the Counter (OTC)…
Abstract
Purpose
The purpose of this paper is to investigate the relationship between tax avoidance, firm value and managerial ability in Tehran Stock Exchange and Over the Counter (OTC), according to the related theoretical foundations.
Design/methodology/approach
To calculate the managerial ability in this study, DEA is used based on the accounting data, company profile and industry and the hypotheses are estimated in a period of 12 years during 2004 to 2015 in TSE and OTC. Within the previous studies, to test the hypotheses, only the classical regression method is usually used and most of the times the effect of macroeconomic variables is not considered. In this study, in a new act for testing the hypotheses, three statistical methods are used, that is, classical regression models, mixed effects multilevel models and Bayesian multilevel models. Also in this study, the test of structural change is used to control the effects of macroeconomic variables, like inflation and other economic and political influence, on the results.
Findings
The results of these three methods show that the effect of income smoothing and earnings quality on the relationship between tax avoidance and firm value are significant.
Originality/value
Although several studies are conducted so far on the subject of the study, the current study is the first project which combined Bayesian econometrics. Therefore, the results are quite noble.
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Farzana Akbari, Mahdi Salehi and Mohammad Ali Bagherpour Vlashani
The purpose of this paper is to investigate the effect of managerial ability on tax avoidance in Tehran Stock Exchange (TSE) and OTC by classifying the income smoother and…
Abstract
Purpose
The purpose of this paper is to investigate the effect of managerial ability on tax avoidance in Tehran Stock Exchange (TSE) and OTC by classifying the income smoother and non-income smoother companies based on the theoretical approaches.
Design/methodology/approach
To measure the managerial ability the data envelopment analysis is applied based on the accounting data, company and industry characteristics. In this research, hypotheses are tested for the first time by three statistical methods, namely classical regression models, mixed effect multilevel models, and Bayesian multilevel models, which have never been addressed in Persian accounting research studies. The hypotheses are estimated during a 12-year period from 2004 to 2015 in TSE and OTC. In this research, according to Lucas’s critique, structural change test is used in order to control macroeconomic and political variables affecting the results of the study.
Findings
The results of hypothesis testing by employing three statistical methods suggest that only one hypothesis of this investigation is significant, which shows the significant association of type of market’s impact (exchange of OTC) on the relationship between managerial ability and tax avoidance.
Originality/value
Each company’s performance is affected by various factors. The study intends to mention that the performance of listed companies in the stock market depends heavily on its financial reports. And investors with perceived perception by the reports, can indirectly squeeze their stock indexes with their sudden sale of stocks, and question the company’s performance with losses to the company.
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Arvind Shrivastava, Nitin Kumar and Purnendu Kumar
Decisions pertaining to working capital management have pivotal role for firms’ short-term financial decisions. The purpose of this paper is to examine impact of working capital…
Abstract
Purpose
Decisions pertaining to working capital management have pivotal role for firms’ short-term financial decisions. The purpose of this paper is to examine impact of working capital on profitability for Indian corporate entities.
Design/methodology/approach
Both classical panel analysis and Bayesian techniques have been employed that provides opportunity not only to perform comparative analysis but also allows flexibility in prior distribution assumptions.
Findings
It is found that longer cash conversion period has detrimental influence on profitability. Financial soundness indicators are playing significant role in determining firm profitability. Larger firms seem to be more profitable and significant as per Bayesian approach. Bayesian approach has led to considerable gain in estimation fit.
Practical implications
Observing the highly skewed distribution of dependent variable, Multivariate Student t-distribution has been considered along with normal distribution to model stochastic term. Accordingly, Bayesian methodology is applied.
Originality/value
Analysis of working capital for firms has been performed in Indian context. Application of Bayesian methodology is performed on balanced panel spanning from 2003 to 2012. As per author’s knowledge, this is the first study which applies Bayesian approach employing panel data for the analysis of working capital management for Indian firms.
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Mahdi Salehi, Ali Daemi Gah, Farzana Akbari and Nader Naghshbandi
The purpose of this study is to analyze the predictability of firm level data for determining macroeconomic indicators such as unemployment.
Abstract
Purpose
The purpose of this study is to analyze the predictability of firm level data for determining macroeconomic indicators such as unemployment.
Design/methodology/approach
This study uses quarterly GDP and unemployment data manually collected from the Statistical Center of Iran (SCI). Accounting numbers are also collected from the Tehran Stock Exchange library for the 2004-2015 period. Dispersion of earnings growth provides related data about labour reallocation, unemployment change and finally aggregate output. To summarize, this study attempts to examine the effect of these variables using classical and Bayesian approaches.
Findings
At a firm level, our results suggest that sectoral shift in previous years is likely to increase labour reallocation in subsequent years. At the macro level, the results reveal that dispersion of earnings growth and labour reallocation has a negative and positive impact on unemployment changes, respectively. However, the study suggests no significant relationship between stock return and unemployment changes. Consequently, we determine that the real estimates of macroeconomic indicators have predictive power because nominal estimates are not statistically associated with firm-level details. Finally, the results obtained from classical and Bayesian approaches suggest similar findings, thus confirming the robustness of our conclusions. Note that, based on Bayesian approach, the nominal reallocation has predictive power in unemployment rate.
Originality/value
The study is the first conducted in a developing country and the results provide important insight into current line of accounting literature.
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ROGER N. CONWAY and RON C. MITTELHAMMER
In the last two decades there has been considerable progress made in the development of alternative estimation techniques to ordinary least squares (OLS) regression. The search…
Abstract
In the last two decades there has been considerable progress made in the development of alternative estimation techniques to ordinary least squares (OLS) regression. The search for alternative estimators has no doubt been motivated by the observance of erratic OLS estimator behavior in cases where there are too few observations, multicollinearity problems, or simply “information‐poor” data sets. Imprecise and unreliable OLS coefficient estimates have been the result.
Xiu Wei Yeap, Hooi Hooi Lean, Marius Galabe Sampid and Haslifah Mohamad Hasim
This paper investigates the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian ringgit perspective.
Abstract
Purpose
This paper investigates the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian ringgit perspective.
Design/methodology/approach
The marginal return of the five major exchange rates series, i.e. United States dollar (USD), Japanese yen (JPY), Singapore dollar (SGD), Thai baht (THB) and Chinese Yuan Renminbi (CNY) are modelled by the Bayesian generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) model with Student's t innovations. In addition, five different copulas, such as Gumbel, Clayton, Frank, Gaussian and Student's t, are applied for modelling the joint distribution for examining the dependence structure of the five currencies. Moreover, the portfolio risk is measured by Value at Risk (VaR) that considers the extreme events through the extreme value theory (EVT).
Findings
The finding shows that Gumbel and Student's t are the best-fitted Archimedean and elliptical copulas, for the five currencies. The dependence structure is asymmetric and heavy tailed.
Research limitations/implications
The findings of this paper have important implications for diversification decision and hedging problems for investors who involving in foreign currencies. The authors found that the portfolio is diversified with the consideration of extreme events. Therefore, investors who are holding an individual currency with VaR higher than the portfolio may consider adding other currencies used in this paper for hedging.
Originality/value
This is the first paper estimating VaR of a currency exchange rate portfolio using a combination of Bayesian GARCH model, EVT and copula theory. Moreover, the VaR of the currency exchange rate portfolio can be used as a benchmark of the currency exchange market risk.
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The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector autoregressive (VAR) models.
Abstract
Purpose
The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector autoregressive (VAR) models.
Design/methodology/approach
The paper adopts Bayesian VAR models with three different priors – independent Normal-Wishart prior, the Minnesota prior and the stochastic search variable selection (SSVS). Monte Carlo simulations are conducted to compare forecasting performances. An empirical study using US macroeconomic data are shown as an illustration.
Findings
In theory direct forecasts are more efficient asymptotically and more robust to model misspecification than iterated forecasts, and iterated forecasts tend to bias but more efficient if the one-period ahead model is correctly specified. From the results of the Monte Carlo simulations, iterated forecasts tend to outperform direct forecasts, particularly with longer lag model and with longer forecast horizons. Implementing SSVS prior generally improves forecasting performance over unrestricted VAR model for either nonstationary or stationary data.
Originality/value
The paper finds that iterated forecasts using model with the SSVS prior generally best outperform, suggesting that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR in one-step ahead forecast and thus offers an appreciable improvement in forecast performance of iterated forecasts.
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The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data.
Abstract
Purpose
The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data.
Design/methodology/approach
The absolute return profiles are identified using properties of the empirical distributions of fund returns. The authors use both Bayesian multinomial probit and frequentist multinomial logit regressions to examine the relationship between the return profiles and fund characteristics.
Findings
Some evidence is found that only some hedge funds strategies, but not all of them, demonstrate higher tendency to produce absolute returns. Also identified are some investment provisions and fund characteristics that can influence the chance of generating absolute returns. Finally, no evidence was found for performance persistence in terms of absolute returns for hedge funds but some limited evidence for funds of funds.
Practical implications
This paper is the first attempt to examine the hedge fund return profiles based on the notion of absolute return in great details. Investors and managers of funds of funds can utilize the identification method in this paper to evaluate the performance of their interested hedge funds from a new angle.
Originality/value
Using the properties of the empirical distribution of the hedge fund returns to classify them into different absolute return profiles is the unique contribution of this paper. The application of the multinomial probit and multinomial logit models in the fund performance and fund characteristics literature is also new since the dependent variable in the authors' regressions is multinomial.
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Diego Pitta de Jesus, Cássio da Nóbrega Besarria and Sinézio Fernandes Maia
This paper aims to analyze the macroeconomic effects of a monetary policy shock considering that fiscal policy is under fiscal constraints. For that, a dynamic stochastic general…
Abstract
Purpose
This paper aims to analyze the macroeconomic effects of a monetary policy shock considering that fiscal policy is under fiscal constraints. For that, a dynamic stochastic general equilibrium (DSGE) model was developed for Brazil, which was estimated through Bayesian econometrics.
Design/methodology/approach
In the basic model, the government does not have any type of fiscal restriction. The other two estimated models, however, consider that the fiscal authority implements some kind of fiscal rule. One of these rules is the Constitutional Amendment 95/2016 (EA 95/2016), which includes a limitation for government spending. The other Alternative Rule seeks to represent the characteristics of a more austere fiscal rule, as proposed by Wesselbaum (2017).
Findings
It was possible to verify in this paper that the implementation of EA 95/2016 by the Brazilian government does not produce statistically different results and that it reduces the welfare of the households in relation to the scenario without fiscal rule. Thus, the proportionate benefit of EA 95/2016 is less than the cost associated with this fiscal rule (less welfare). If the government adopts a fiscal constraint similar to the Alternative Rule, it is possible to considerably reduce the interaction between fiscal and monetary policy, thereby reducing the fiscal dominance policy over monetary policy. However, the cost in terms of welfare is much higher than the baseline scenario. Thus, the fiscal authority is subject to a trade-off among public debt stabilization and household welfare.
Originality/value
The study intends to contribute to the literature on three specific points. First, the monetary–fiscal policy interaction within a representative model of the Brazilian economy is discussed. In addition, the study considers that the government can adopt EA 95/2016 and the Alternative Rule, used in the US economy. Second, the impacts of EA 95/2016 and the Alternative Rule on household welfare will be quantified. Finally, two types of individuals (Ricardian and non-Ricardian agents) and two sectors of production (wholesalers and retailers) are considered. In this paper, the DSGE model is estimated, since the previously mentioned authors performed simulations
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The purpose of this paper is to describe the transformation of macro‐modelling from reduced form behavioural equations estimated separately, through to contemporary microfounded…
Abstract
Purpose
The purpose of this paper is to describe the transformation of macro‐modelling from reduced form behavioural equations estimated separately, through to contemporary microfounded dynamic stochastic general equilibrium (DSGE) models estimated by systems methods. It is argued that estimated DSGE models should be seen as probability models that can be used as a laboratory for assessing new policies in a new and uncertain environment. The methodology is particularly relevant for emerging economies such as India.
Design/methodology/approach
This paper has analytical, empirical and policy dimensions. Estimating DSGE models by Bayesian‐Maximum‐Likelihood methods results in a posterior distribution of parameters that quantifies the uncertainty facing the policymaker. This, in turn, can be used for robust policy design.
Findings
The paper reviews evidence that inflation targeting in emerging economies welfare‐dominates exchange rate targeting.
Originality/value
This lies in the papers reviewed including those involving the author.
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