Search results

One form of property development incentive is the provision of tax shelters by way of tax depreciation allowances for buildings and parts of buildings. Since a tax depreciation allowance can only be claimed against income from the subject property, or from another source, in order to assess the effect of the allowance, some form of after tax analysis is required. After tax analysis for both capitalisation and cash flow techniques is described and illustrated. Furthermore, slices of equated yield attributable to the main components of return from real property are demonstrated.

Using a unique dataset of ownership structure for all stocks listed on the Stockholm Stock Exchange in Sweden, we examine different degrees of institutional holdings in Swedish firms during the bear market of 2000 to 2002. We find that examination by institutional investor domicile reveals that both Swedish and foreign institutions increase their equity holdings, although the increase by foreign institutions is proportionately higher, (individuals reduce their equity holdings). We find evidence that foreign and domestic institutional investors exhibit different preferences for excess returns and standard deviations in excess returns when we control for firm size; excess return is associated with changes in foreign institutional holdings while higher standard deviation in excess return is associated with the change in domestic institutional holdings. Both types of institutions are sensitive to liquidity and trading factors, causing portfolio realignment.

This paper investigates whether style migration affects industry evolution. The study documents industry evolution in terms of market weights, returns, and risks over the sample period from 1966 to 2000. The study shows that investment styles migrate in different degrees across different industries over time. In addition, the relation between industry evolution and style migration is neither simple nor static. The paper shows that growth‐value migration has predictability about the industries' returns and changes in volatility. Furthermore, style migration in the industry is mainly driven by existing firms changing their investment styles, not by new entrants to the industry causing style shifts. Both investment theory and its application to investment management critically depend on our understanding of stock return persistence anomalies. The ability to outperform buy‐and‐hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as “individual stock momentum,” remains one of the most puzzling of these anomalies. Moskowitz and Grinblatt (1999) attribute the bulk of the observed momentum in individual stock returns to industry momentum—the tendency for stock return patterns at the industry level to persist. It is well known that there are hot and cold IPO markets, and hot and cold sectors of the economy. Investors may simply herd toward (away from) these hot (cold) industries and sectors, causing price pressure that could create return persistence. The recent attraction to internet stocks is perhaps the latest manifestation of such behavior, which is not unlike a similar pattern biotechnology firms and railroad firms witnessed in 1980s and 1900s, respectively. For the active portfolio manager, rotation among different industries may provide opportunities for portfolio performance enhancement. As a result, understanding both the evolution of industries and the style factors causing cyclical variation in industry returns and risk plays an important role in professional portfolio management. Given the fact that a number of researchers have found consistent differences among the returns of various equity classes, investment styles of size and growth‐value are natural candidates for studying what causes cyclical variation in industry returns and risks. Individual investment styles perform differently during various stages of a cycle of bull market and bear market. For example, small cap stocks outperformed large cap stocks in the 1970s, but large cap stocks outperformed small cap stocks in the 1980s. Growth stocks outperformed value stocks in 1998 while the opposite occurred in 1997. Although it is well documented that the cross‐sectional variation in expected returns can be captured by three factors: market, size, and book‐to‐market, it is not yet clear whether cyclical variations in style attributes, not style returns, influence cross‐sectional variation in expected returns and return variance. In the investment industry, cyclical variation in style attributes is commonly called style migration. Perez‐Quiros and Timmermann (2000) provide a rational suggestion that small firms are most strongly affected by tighter credit market conditions in a recession and thus cyclical variations in style performance result from business cycles. As certain equity classes took off and others fell out of favor, investors overreacted, thereby causing cyclical variations in returns and risks of industries where firms are similarly sensitive to the fundamental shocks. In a recent study of behavioral finance, Barberis and Shleifer (2003) argue that in the presence of switchers who can affect asset prices by moving funds across styles, a style‐level momentum strategy could be successful because good performance by a style attracts switcher flows, which then drive the prices even higher. Analyzing the extent of interaction between style migrations and industry evolution may shed light on understanding the sources of predictable components in industry returns and risk. This paper provides such a contribution to the literature. The rest of the paper is organized as follows. Section I describes the sample data and summarizes industry evolution in terms of market capitalization weights in the entire market over time. Section II analyzes style migration within each industry. Section III examines the effect of style migration on industry evolution. Section IV concludes.

The purpose of this paper is to investigate the determinants of interest rate in emerging markets, focusing on banking financial institutions in Uganda.

Using the net interest margin model, interest rate was estimated by applying a panel random effects regression method on 24 banks, while controlling for bank-specific factors, industry and macroeconomic indicators. Data were drawn from annual reports provided by Bank of Uganda Depository Corporation survey from 2008 to 2016.

The results indicate that liquidity, equity capital, market power and reserve requirement have a positive effect on interest rate. The study further finds that operational efficiency, lending out ratio, concentration, public sector borrowing and private sector credit have a negative effect on interest rate. However, credit risk does not influence interest rate.

Studied banks are grouped in one panel data set; future studies would focus on the differences in banks and establish how these differences affect interest rate. Future study would also focus on how the determinants of interest rate in Uganda are compared with those of other banks in other emerging market countries.

Bank managers need to take interest in equity mobilization because it is a reliable and cheaper source of funding bank operations. Banks should emphasize efficient operations to reduce on the cost of doing business. Government should utilize funds borrowed from banks in efficient ways to improve economic growth. The central bank should minimize the use of reserve requirement as a means of controlling money in circulation.

This is the first paper that uses annual report data from several banks and periods to investigate the determinants of interest rate in an emerging country.

The aim of this paper is to provide evidence that private label brands (PLB) have the ability to build brand equity as they develop, and to determine whether the capitalization of PLB equity varies across consumer segments and product categories. The paper builds on previous research incorporating consumer‐level factors, showing their relevance as key determinants of PLB choice.

The brand choice model used is a multinomial logit model (MNL) calibrated with a consumer panel database of two product lines of yoghurt from 8,000 Spanish households for a three‐year period.

It is shown that PLB have been able to build brand equity throughout their development, across product categories; however, brand equity is capitalized across only some consumer segments. The use of consumer‐level factors to segment the market prior to measuring brand equity is necessary to allow the identification of consumer groups where equity is created.

Findings provide key directions to PLB managers regarding how to determine, approach and leverage the equity of their PLB across different consumer segments and product categories.

Prior research has attempted to measure PLB equity using product/brand factors and market factors, but without considering consumer‐level factors. In this research, consumer‐level factors, specifically consumer demographics, are incorporated into the analysis, and equity is measured across seven different consumer segments for two product lines.

A dispassionate view of the degree to which North American appraisal practice exceeds UK valuation practice in quality (if indeed it does) is hardly to be expected in a journal devoted to the latter of these two combatants. Such a venture is not attempted in this paper.

In this chapter we analyze the role of financial factors in the undertaking of cross-border acquisitions. We discuss financial firm-specific advantages as drivers of these acquisitions as well as the role of the development of the home financial market in exploiting these advantages. Based on a sample of 1,447 European firms' cross-border acquisitions amounting to a total of 566 acquisitions spanning from 0 to 18 for individual firms, we find strong evidence in favor of a cost-of-equity effect on the occurrence of FDI, whereas the stand-alone effect of debt costs is indeterminate. However, allowing firm-specific financial characteristics to be conditioned by home-country financial development, both equity costs and debt costs are found highly significant explanatory factors for cross-border acquisitions undertaken by the sample firms.

To determine what role overconfidence plays in the forced removal of CEOs internationally.

The study makes use of the Fortune Global 500 list.

We find that overconfident CEOs face significantly greater hazards of forced turnovers than their non-overconfident peers. Regardless of important differences in culture, law, and corporate governance across countries, overconfidence has a separate and distinct effect on CEO turnover. Overconfident CEOs appear to be at greater risk of dismissal regardless of where in the world they are located. We also discover that overconfident CEOs are disproportionately succeeded by other overconfident CEOs, regardless of whether they are forcibly removed or voluntarily leave office. Finally, we determine that the dismissal of overconfident CEOs is associated with improved market performance, but only limited enhancement in accounting returns.

This study is unique with its examination of overconfidence among global CEOs rather than being limited to U.S. chief executives. It also provides insight into how overconfidence is related to national cultures, legal systems and corporate governance mechanisms.

The purpose of this paper is to examine the impact of Broad-Based Black Economic Empowerment (BBBEE) on the risk and returns of listed and delisted property firms on the Johannesburg Stock Exchange (JSE). The study was investigated to understand the impact of Black Economic Empowerment (BEE) property sector charter and effect of government intervention on property listed markets.

The study examines the performance trends of the listed and delisted property firms on the JSE from January 2006 to January 2012. The data were obtained from McGregor BFA database to compute the risk and return measures of the listed and delisted property firms. The study employs a capital asset pricing model (CAPM) to derive the alpha (outperformance) and beta (risk) to examine the trend amongst the BEE and non-BEE firms, Sharpe ratio was also employed as a measurement of performance. A comparative study is employed to analyse the risks and returns between listed property firms that are BEE compliant and BEE non-compliant.

Results show that there exists differences in returns and risk between BEE-compliant firms and non-BEE-compliant firms. The study shows that BEE-compliant firms have higher returns than non-BEE firms and are less risky than non-BEE firms. By establishing this relationship, this possibly affects the investor’s decision to invest in BEE firms rather than non-BBBEE firms. This study can also assist the government in strategically adjusting the policy.

This study employs a CAPM which is a single-factor model. Further study could employ a multi-factor model.

The results of this investigation, with the effects of BEE on returns, using annualized returns, the Sharpe ratio and alpha (outperformance), results show that BEE firms perform better than non-BEE firms. These results pose several implications for investors particularly when structuring their portfolios, further study would need to examine the role of BEE on stock returns in line with other factors that affect stock returns. The results in this study have several implications for government agencies, there may be the need to monitor the effect of the BEE policies on firm returns and re-calibrate policies accordingly.

This study investigates the performance of listed property firms on the JSE which are BEE compliant. This is the first study to investigate listed property firms which are BEE compliant.

This paper uses contingent claims analysis to evaluate the implicit government guarantee to Fannie Mae and Freddie Mac prior to their placement into conservatorship. The main findings of the paper indicate that the expected value of the guarantee was in line with the size of capital injections under the Treasury Preferred Stock Purchase Agreement and that the market expected the government to cover nearly all expected losses on senior debt. However, simulations reveal that the eventual total cost to recapitalize the GSEs may be significantly higher than provided for under the original terms of the conservatorship.