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1 – 10 of over 139000Graeme Newell, Alastair Adair and Stanley McGreal
The purpose of this paper is to assess the robustness of capital flows into European commercial property markets during the global financial crisis (GFC) – over 2007‐2008;…
Abstract
Purpose
The purpose of this paper is to assess the robustness of capital flows into European commercial property markets during the global financial crisis (GFC) – over 2007‐2008; particularly highlighting differences between the developed and developing European markets.
Design/methodology/approach
Using the Real Capital Analytics database of over 49,000 commercial property transactions valued at over $1.5 trillion in 2007‐2008, the robustness of capital flows into the European commercial property markets is assessed during the GFC. The impact of the GFC on capital flows is assessed in both a regional context and global context, as well as between the developed and developing markets in Europe.
Findings
This paper assesses the robustness of the capital flows into the commercial property markets in Europe over 2007‐2008. Clear differences emerge regarding the relative impact in Europe in a regional and global context, as well as between the developed and developing European markets. The results highlight the robustness, stature and significant relative contribution of capital flows into the European commercial property markets across a range of property investment characteristics during the GFC.
Practical implications
Given the importance of commercial property as an asset class for institutional investors, this paper assesses the robustness of capital flows into the commercial property markets in Europe. By embedding this in a regional and global context, the robustness, stature, relative impact and significant contribution by European commercial property markets in the uncertainty and volatility of the environment of the global financial crisis is articulated for global property investors. Clear differences between the developed and developing markets in Europe are identified.
Originality/value
Using over 49,000 commercial property transactions, this paper is the first attempt to rigorously and empirically assess the robustness of capital flows into global commercial property markets, with a specific focus on the European commercial property markets during this unique international event of the GFC. Given the significance of commercial property as an institutional asset class, this empirically validated research enables a more informed and critical understanding of the impact of the GFC on capital flows into the commercial property markets in Europe, as well as identifying global property investor considerations regarding the ongoing significance for capital flows in their commercial property investment strategies in Europe and globally.
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Syed Jawad Hussain Shahzad, Memoona Kanwal, Tanveer Ahmed and Mobeen Ur Rehman
The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the…
Abstract
Purpose
The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the diversification potential of South Asian stock markets vis-à-vis developed and European stock markets.
Design/methodology/approach
The developed stocks markets include USA and UK, and South Asian stock markets include India, Pakistan and Sri Lanka while DJ STOXX 600 index is used to represent the European stock markets. Monthly data are used to examine long-run relationship through ARDL bound testing approach and estimates are obtained using DLOS. Short-term dynamics are captured through vector error correction-based Granger causality.
Findings
South Asian stock markets are closely linked with each other; similarly, developed/European markets are interlinked. US stock market not only impacts European stock markets, it also Granger cause South Asian stock markets. The findings suggest increase in comovement of South Asian stock markets with the global markets after financial crises of 2007-2008.
Practical implications
The diversification benefits of South Asian stock markets for international investors are still evident due to their low relationship (in both long and short run) with developed/European stock markets.
Originality/value
Given the emergence of South Asian stock markets, new insight on their relationship with developed stock markets can provide interesting findings for international portfolio diversification. The South Asian equity markets are an important source of investment because of their immense growth and weak correlation with international markets.
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Among the top management issues covered in this section are: leadership to promote change; issues of corporate culture; effective international strategy; environmental leadership;…
Abstract
Among the top management issues covered in this section are: leadership to promote change; issues of corporate culture; effective international strategy; environmental leadership; investment in Eastern Europe; and developing “world‐class” manufacturing strategy.
Pornanong Budsaratragoon and Boonlert Jitmaneeroj
The purpose of this study is to investigate the causal interrelations among the four pillars of corporate sustainability, which indicate a firm’s contribution to environmental…
Abstract
Purpose
The purpose of this study is to investigate the causal interrelations among the four pillars of corporate sustainability, which indicate a firm’s contribution to environmental, social, governance and economic activities. Moreover, this study identifies the critical drivers of corporate sustainability by focusing on the levels of market developments and geographical regions.
Design/methodology/approach
Based on corporate sustainability data of 2,725 global companies in 2016, this study uses a combination of analytical techniques including cluster analysis, data mining, partial least square path modeling and importance performance map analysis.
Findings
This study finds that companies in European developed markets exhibit the highest-ranking of corporate sustainability. In line with the social impact hypothesis, environmental, social and governance performance positively affects economic performance. Moreover, there is strong evidence of causal relationships and synergistic effects among the four pillars of corporate sustainability. In accordance with the institutional theory, the patterns of causal directions and the critical pillars depend on levels of market developments and geographical regions. Overall, social and environmental pillars are among the most critical drivers of corporate sustainability.
Research limitations/implications
The methodology does not aim to provide a new weighting scheme for calculating the corporate sustainability index.
Practical implications
Corporate managers should consider sustainability practices in all dimensions to benefit from synergistic effects among environmental, social, governance and economic activities. Furthermore, corporate sustainability strategies should not be generalized across countries with different levels of market developments and geographical regions.
Originality/value
This study prioritizes environmental, social, governance and economic pillars of corporate sustainability in emerging and developed markets across geographical regions.
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Mobeen Ur Rehman and Nicholas Apergis
This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The analysis also considers the momentum effect, stock market returns volatility…
Abstract
Purpose
This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The analysis also considers the momentum effect, stock market returns volatility and equity pricing inefficiencies across markets, which, to the best of the authors’ knowledge, has not been addressed in the literature. The role of these control variables has collectively been considered to have important behavioral implications for international investors
Design/methodology/approach
Quantile regressions are used for estimation purpose, as it provides robust and more efficient estimates rather than those coming from the traditional regression model.
Findings
The momentum effect is negative and significant only at higher quantiles, while oil prices are positive and significant across all quantiles. The exchange rate exerts a negative and significant effect on EPU, whereas equity price volatility (i.e. investor sentiment) exerts a negative and significant impact on EPU in most of the quantiles.
Research limitations/implications
The results have important implications for international investors and policymakers, especially in terms of the breakdown of economic policy uncertainty across different sample markets. The breakdown of complete sample period into sub-samples acts as a robust analysis and documents the similarity of the results for the Asian and developed markets cases, but not in the case of the European markets.
Practical implications
The findings imply the importance of financial stability that impacts the accumulation of systemic risks and adds smoothness to the financial cycle in particular geographical areas.
Originality/value
The contribution of this paper is threefold. First, existing literature highlights and empirically tests the impact of economic policy uncertainty on different market, macro-economic and global control variables. The analysis, however, performs it in the reverse order, i.e. analyzing the impact of the momentum effect (investor sentiment variables), equity market inefficiencies and volatility (market variables) and exchange rates and Brent oil (control variables). Second, to check the sensitivity of economic policy uncertainty, the analysis analyzes a wide range of markets, segregated as emerging, developed and European regions over the sample period to generate region-wise implications. Finally, the analysis explores the relationship of aforementioned variables with economic policy uncertainty keeping in view the non-linear structure and prior evidence and investor sentiments and economic policy uncertainty in the regression model.
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This study examines the initial two‐week excess performance relative to the S&P 500 Index of American Depository Receipts (ADRs) listed on the New York Stock Exchange from January…
Abstract
Purpose
This study examines the initial two‐week excess performance relative to the S&P 500 Index of American Depository Receipts (ADRs) listed on the New York Stock Exchange from January 1987 to September 2001 to determine whether short‐term wealth effects exist.
Design/methodology/approach
Standard intial public offering methodology is used to test for significant excess performance.
Findings
Results for the entire sample of 281 ADRs suggest the initial excess performance was not significant. However, after segmenting the sample, emerging market ADRs significantly outperformed the S&P 500 by over three per cent while developed market ADRs underperformed by 0.92 per cent. Also, Latin American ADRs outperformed the market index by nearly five per cent during the first two weeks after issue while European ADRs underperformed the market by nearly one per cent. Asia Pacific ADRs underperformed the S&P 500, but not significantly in the early trading.
Research limitations/implications
The findings suggest emerging market ADRs, particularly those from the Latin American region, perform well in the early trading while developed market ADRs do not. Future research may identify variables that affect or explain ADR excess returns.
Originality/value
The paper provides insights into the types of ADRs that accumulate wealth in the short term investment horizon.
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Discusses the threats and opportunities presented to USmanufacturers by the elimination of the trade restrictions for theEuropean Community (EC), the unification of Germany, and…
Abstract
Discusses the threats and opportunities presented to US manufacturers by the elimination of the trade restrictions for the European Community (EC), the unification of Germany, and the move towards capitalism in Russia. The biggest challenge will be to get involved in Europe′s industry early during the formation of the EC. Makes specific suggestions for US firms, including the development of core competences, global strategies, and improving product quality.
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Mehmet Emin Yildiz, Yaman Omer Erzurumlu and Bora Kurtulus
The beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset…
Abstract
Purpose
The beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset pricing model (CAPM) and downside CAPM risk parameters to gain further insight into which risk parameter leads to better performing risk measures at explaining stock returns.
Design/methodology/approach
The study conducts a comparative analysis of 16 risk measures at explaining the stock returns of 4531 companies of 20 developed and 25 emerging market index for 2000–2018. The analyses are conducted using both the global and local indices and both USD and local currency returns. Calculated risk measures are analyzed in a panel data setup using a univariate model. Results are investigated in country-specific and model-specific subsets.
Findings
The results show that (1) downside betas are better than CAPM betas at explaining the stock returns, (2) both risk measure groups perform better for emerging markets, (3) global downside beta model performs better than global beta model, implying the existence of the contagion effect, (4) high significance levels of total risk and unsystematic risk measures further support the shortfall of CAPM betas and (5) higher correlation of markets after negative shocks such as pandemics puts global CAPM based downside beta to a more reliable position.
Research limitations/implications
The data are limited to the index securities as beta could be time varying.
Practical implications
Results overall provide insight into the cost of equity calculation and emerging market assets valuation.
Originality/value
The framework and methodology enable us to compare and contrast CAPM and downside-CAPM risk measures at the firm level, at the global/local level and in terms of the level of market development.
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Muhammad Arif, Christohper Gan and Muhammad Nadeem
Motivated by the enactment of non-financial reporting regulations by the European Parliament, this paper aims to investigate the impact of European Union (EU) directive 2014/95/EU…
Abstract
Purpose
Motivated by the enactment of non-financial reporting regulations by the European Parliament, this paper aims to investigate the impact of European Union (EU) directive 2014/95/EU on the quantity of environmental, social and governance (ESG) disclosures by the S&P Europe 350 index firms. This study also investigates whether the implementation of the non-financial information (NFI) reporting regulations influences the association between ESG disclosures and firms’ earnings risk.
Design/methodology/approach
To measure the impact of mandatory regulations on the quantity of ESG disclosures, this study estimates the average treatment effects using a propensity weighted sample. Then this study uses the difference-in-differences method to estimate the differences in the association between ESG disclosures and earning risk before and after implementation of the EU directive.
Findings
The results show a significant positive impact of the EU directive on the quantity of ESG disclosures for the sample European public-interest entities, which indicates that the mandatory NFI reporting requirements could boost the availability of increasingly demanded ESG related information. The enhanced association between the ESG disclosures and firms’ earnings risk during the post-directive period reveals that mandating NFI reporting also increases the quality of ESG disclosures.
Originality/value
Using the legitimacy and decision-usefulness theories, this study provides novel evidence concerning the impact of the EU directive on the quantity and quality of ESG disclosures.
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J. WANG, B.M. BURTON and G.M. HANNAH
This study examines differences in the extent of predictability in the pricing of the two main classes of equity traded in China, namely: A shares (available to Chinese investors…
Abstract
This study examines differences in the extent of predictability in the pricing of the two main classes of equity traded in China, namely: A shares (available to Chinese investors) and B shares (traditionally available only to non‐Chinese investors). The study extends previous work by conducting a wider range of analyses and extending the sample period until the relaxation of rules preventing domestic investors from purchasing B shares. The results suggest that earlier evidence of greater predictability in the pricing of B shares is not entirely robust to changes in the method of analysis, and may only partially explain why Chinese authorities have recently decided to widen participation in the B market.