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1 – 10 of over 8000George Karathanasis, Vasilios Sogiakas and Kenellos Toudas
Nowadays, a very interesting issue that matters both to academics and practitioners is the necessity and/or the usefulness of financial market regulation. This topic has many…
Abstract
Purpose
Nowadays, a very interesting issue that matters both to academics and practitioners is the necessity and/or the usefulness of financial market regulation. This topic has many alternative dimensions, one of which concerns the derivative listing process. The main objective of the derivative's market regulatory authorities is the profitability of its members and the good performance of the exchange. The purpose of this paper is to investigate empirically the specific criteria that have governed the regulation process with respect to the derivative listing in the Athens Derivatives Exchange (ADEX).
Design/methodology/approach
The econometric part of the paper consists of two steps. The first step, deals with the estimation of the volatility, the default probability and the corporate governance provision index for each candidate firm. The second step consists of the utilization of a logit regression for the determination of the regressors and their significance in explaining which firms should be included into the derivatives and non‐derivatives groups. This analysis is extended through a rolling window technique that captures the time varying characteristics of the estimated coefficients of the derivatives listing strategy implemented by the ADEX.
Findings
According to the empirical findings, the ADEX's regulatory authorities have considered mainly the corresponding firms' capitalization while the creditworthiness and the managerial characteristics of the candidates have been adopted only partially.
Originality/value
To the best of the authors' knowledge, the existing literature is confined to US markets and nothing has been done with respect to European Derivatives Markets. This paper investigates the Greek case, the Athens Derivatives Exchange. In addition to the factors investigated by Mayhew and Mihov and Jennings and Starks, the authors have extended their analysis to include such factors as creditworthiness and managerial characteristics of firms.
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This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the…
Abstract
Purpose
This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the investment demand for long-term financial products, and its hedging demand have steadily increased. Unfortunately, long-term ETD do not trade in Korea, and this study presents political suggestions to invigorate long-term ETD based on overseas cases and empirical analysis. Specifically, this study suggests the necessity to activate exchange traded funds (ETFs) options, long-term Korea treasury bond futures and options and long-term Volatility Index of Korea Composite Stock Price Index future and options. The introduction of those long-term ETD not only contributes to providing long-term investment and hedging vehicles but also reduces market inefficiencies in the Korean industry of ETFs, bonds and structured products.
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The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and factors…
Abstract
Purpose
The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and factors. The objective is to test whether the latter two models introduced by Lecomte dominate the index-based model used for existing property derivatives such as EUREX futures contracts.
Design/methodology/approach
Based on investment property database (IPD) historical database covering 224 individual office properties from 1981 to 2007, the study assesses ex ante hedging effectiveness of the three models. Nine simulations are run under different hypotheses involving individual buildings and portfolios. The 17 factors included in the study cover both macro-factors (e.g. macroeconomic indicators) and micro-factors linked to the properties (e.g. age).
Findings
Atomization and periodic rebalancing of property derivatives' underlying make it possible to substantially increase hedging effectiveness for a large majority of buildings in the sample. However, combinative hedges are overall superior to factor hedges owing to the overriding role played by IPD indices in capturing risk.
Research limitations/implications
Due to confidentiality requirements inherent to the use of property level data, the study downplays the role of micro-factors on real estate risk at the property level.
Practical implications
The paper introduces a typology of optimal hedges aimed at individual property owners and portfolio holders in the City office property market.
Originality/value
This is the first time a comprehensive analysis of different models of property derivatives is conducted. The value of the paper stems from the use of property level data.
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Ekaterina E. Emm and Ufuk Ince
The purpose of this paper is to examine the extent of systemic risk and competition in over‐the‐counter (OTC) derivatives dealing. Using derivatives‐related failures during the…
Abstract
Purpose
The purpose of this paper is to examine the extent of systemic risk and competition in over‐the‐counter (OTC) derivatives dealing. Using derivatives‐related failures during the 1990s, the authors draw conclusions that are pertinent to the recent financial market turmoil involving OTC derivatives.
Design/methodology/approach
The authors use the event‐study methodology with crude dependence adjustment to examine the wealth effect for the involved derivatives dealers. The authors re‐estimate the parameters using the market‐adjusted model to check for robustness. In addition, a multivariable regression framework was used to estimate the determinants of the abnormal returns.
Findings
OTC derivatives dealers experience negative returns when their clients announce derivatives losses. In contrast, rival dealers uninvolved in the loss event exhibit positive returns. The extent of the positive returns for the rival dealers grows as new events unfold, and the dealers continue to steer clear of derivatives trouble. A broader industry portfolio of securities brokers, dealers, and advisors is affected negatively, indicating possible industry contagion. The cross‐sectional analysis of the abnormal returns indicates the presence of information (and not pure) contagion implying that in a financial crisis involving derivatives systemic failure is not likely.
Originality/value
The authors extend the literature by examining an exhaustive set of derivatives loss events. The sample includes a more diverse set of derivatives dealers and it spans a longer time period than prior studies did. This is also the first study confirming the distorting impact of the “too big to fail” and “federal safety net” phenomena in the context of OTC derivatives dealing.
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With the aid of libraries, the research paper aims to assist businesses in swiftly and accurately acquiring knowledge and insights from scholarly literature to guide their…
Abstract
Purpose
With the aid of libraries, the research paper aims to assist businesses in swiftly and accurately acquiring knowledge and insights from scholarly literature to guide their inventive and decision-making processes. The foundation for achieving the goal is Connected Papers technology.
Design/methodology/approach
The author's professional expertise in performing literature reviews using connected papers technology as well as using other ways, and corresponding with entrepreneurs and librarians impacted the article's research methodology.
Findings
The use of Connected Papers technology in the library context for helping entrepreneurs is discussed. Libraries and entrepreneurs could benefit from using Connected Papers technology to quickly compile pertinent data from scholarly literature to solve business challenges. According to the paper, adopting this technology can speed up information gathering and drastically reduce the time needed for business owners to search through bibliographic data-bases. Using this technology can help entrepreneurs at various phases of their entrepreneurial journeys and give libraries a productive way to assist business owners with their information needs.
Originality/value
This paper's novelty comes from its examination of the usage of connectedpapers.com technology to compile data from scholarly literature to assist entrepreneurs in solving their business problems. The useful piece of advice this paper offers entrepreneurs and librarians is what makes it valuable. By using connectedpapers.com technology, businesses may be able to get critical information from scholarly literature to foster a series of experimentation quickly and effectively. Also, librarians can help their patrons with systematic re-views and other research services by using this application.
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The purpose of this paper is to examine the propensity of sovereign wealth funds (SWFs) for shareholder activism and their potential impact on corporate governance.
Abstract
Purpose
The purpose of this paper is to examine the propensity of sovereign wealth funds (SWFs) for shareholder activism and their potential impact on corporate governance.
Design/methodology/approach
The study highlights the relationships between SWFs and corporate governance and also applies eight antecedents/determinants of institutional activism to analyze whether SWFs have a predisposition for shareholder activism.
Findings
The study only finds two instances of SWF activism. Additionally, it finds that despite their mostly passive investments, SWFs possess a natural tendency toward shareholder activism. Some are more likely to engage in activism than others, however. SWFs with a higher proportion of their assets invested in equities, those with portfolios fully or partially constructed to emulate the broader financial markets through indexing, and those that depend less on external fund managers are the likeliest candidates for activism. The study also finds that the regulatory environment can curb the natural SWF inclination for activist behavior.
Research limitations/implications
Due to the lack of transparency within the SWF universe, this study largely depends on the limited data available for sovereign wealth funds.
Practical implications
Given the growing importance of SWFs, managers, directors, and policymakers must assess SWF activism, its influence on corporate governance, and its implications for public policy deliberations.
Originality/value
This project, to the best of the author's knowledge, is the first study that applies tested financial models to SWFs in order to determine if they have inherent activist tendencies.
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Zaminor Zamzamir@Zamzamin, Razali Haron and Anwar Hasan Abdullah Othman
This study investigates the impact of derivatives as risk management strategy on the value of Malaysian firms. This study also examines the interaction effect between derivatives…
Abstract
Purpose
This study investigates the impact of derivatives as risk management strategy on the value of Malaysian firms. This study also examines the interaction effect between derivatives and managerial ownership on firm value.
Design/methodology/approach
The study examines 200 nonfinancial firms engaged in derivatives for the period 2012–2017 using the generalized method of moments (GMM) to establish the influence of derivatives and managerial ownership on firm value. The study refers to two related theories (hedging theory and managerial aversion theory) to explain its findings. Firm value is measured using Tobin's Q with return on assets (ROA) and return on equity (ROE) as robustness checks.
Findings
The study found evidence on the positive influence of derivatives on firm value as proposed by the hedging theory. However, the study concludes that managers less hedge when they owned more shares based on the negative interaction between derivatives and managerial ownership on firm value. Hedging decision among managers in Malaysian firms therefore does not subscribe to the managerial aversion theory.
Research limitations/implications
This study focuses on the derivatives (foreign currency derivatives, interest rate derivatives and commodity derivatives) and managerial ownership that is deemed relevant and important to the Malaysian firms. Other forms of ownership such as state-/foreign owned and institutional ownership are not covered in this study.
Practical implications
This study has important implications to managers and investors. First is on the importance of risk management using derivatives to increase firm value, second, the influence of derivatives and managerial ownership on firm value and finally, the quality reporting on derivatives exposure by firms in line with the required accounting standard.
Originality/value
There is limited empirical evidence on the impact of derivatives on firm value as well as the influence of managerial ownership on hedging decisions of Malaysian firms. This study analyzes the influence of derivatives on firm value during the period in which reporting on derivatives in financial reports is made mandatory by the Malaysian regulator, hence avoiding data inaccuracy unlike the previous studies on Malaysia. This study therefore fills the gap in the literature in relation to the risk management strategies using derivatives in Malaysia.
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Radiah Othman and Rashid Ameer
The purpose of this paper is to investigate the market risk disclosure practices among Malaysian listed firms. Specifically, it aims to examine the level of compliance with…
Abstract
Purpose
The purpose of this paper is to investigate the market risk disclosure practices among Malaysian listed firms. Specifically, it aims to examine the level of compliance with FRS132: Financial Instruments – Disclosure and Presentation for financial periods beginning or after 2006.
Design/methodology/approach
The approach taken is content analysis and coding procedure.
Findings
Although a large number of companies have shown compliance with FRS132 in relation to disclosing the financial risk management policy, there are systematic differences across companies in terms of level of details (i.e. qualitative and quantitative) disclosure. Interest rate disclosure was the most mentioned category and the credit risk was the least mentioned category of market risk. There is telling evidence that most Malaysian firms did not engage in hedging any type of market risk over the reporting period of 2006‐2007.
Research limitations/implications
There is a need for some standardized risk reporting format to achieve greater financial transparency to make investors aware of the market risks.
Originality/value
This is believed to be the first study to provide survey findings on the use of derivatives instruments by listed firms in Malaysia.
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Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. Despite the fact that these markets are characterized in…
Abstract
Purpose
Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. Despite the fact that these markets are characterized in general as illiquid, segmented, politically unstable, with lack of regulations and historical financial databases, they do have some advantages for markets' participants. This paper aims to discuss some of the main obstacles to the inception of successful derivative products in emerging economies and to provide a number of viable solutions.
Design/methodology/approach
The objective of this paper is to share with financial markets' participants, regulators and policymakers some of the author's real‐world experiences and observations as a derivatives trader and later as a trading risk manager in emerging economies. The endeavor here is to provide several robust guidelines that can assist emerging markets in the establishment of sound derivative markets within a prudential framework of rules and policies.
Findings
To this end, key risk management rules and procedures that should be considered before dealing with derivative products are examined and adapted to the specific needs of emerging markets. The suggested viable solutions can be implemented in almost all emerging economies, if they are adapted to correspond to each market's initial level of sophistication.
Practical implications
The real‐world guidelines and observations that are discussed in this work will be of value to financial entities, regulators and policymakers operating within the context of emerging markets.
Originality/value
This paper fills a gap in the risk management literature, especially from the emerging markets perspective, by providing a practitioner's views on how to set‐up sound and effective derivative products markets in emerging economies. The paper will be of value to those interested in founding a successful and sound trading environment of derivative products in emerging markets.
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Zhen Huang and Simon Gao
The purpose of this study is to examine the usefulness of derivative disclosures from the perspective of Chinese institutional investors in relation to their investment…
Abstract
Purpose
The purpose of this study is to examine the usefulness of derivative disclosures from the perspective of Chinese institutional investors in relation to their investment decision-making.
Design/methodology/approach
This study uses semi-structured interviews with 21 institutional investors based in China including 10 funds managers and 11 professional analysts.
Findings
This study finds that the information on the use of derivatives disclosed by listed companies in China is generally perceived to be useful to Chinese institutional investors (e.g. funds managers and professional analysts) in facilitating their investment decisions, although such information is generally thought to be less significant compared to other fundamental financial information such as assets, liabilities and profits/losses. It also finds that the current provisions of derivatives-related information by Chinese listed companies are largely unsatisfied primarily because of insufficient information and the lack of timely disclosures. Furthermore, it finds that the accounting and reporting policies currently imposed in China appear to be little understood by Chinese investors.
Research limitations/implications
This study has its own limitations due to the approach of interviews with a relatively small sample from only two investment firms in China.
Practical implications
The findings from the study provide a number of policy implications for derivatives regulators and accounting standards setters.
Originality/value
This study is the first study of its kind to investigate the perceptions of Chinese institutional investors on the usefulness of derivatives reporting and disclosures with the use of interview research method.
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