Search results
1 – 10 of over 2000Abdul Moizz and S.M. Jawed Akhtar
The study aims to determine the long and short-term causal relationships between the variables associated with the adjustment of monetary policy and the stock market in India in…
Abstract
Purpose
The study aims to determine the long and short-term causal relationships between the variables associated with the adjustment of monetary policy and the stock market in India in the presence of structural breaks.
Design/methodology/approach
The study employed the autoregressive distributed lag (ARDL) bounds test and the Error Correction Model to assess long- and short-term causal relationships. The study also used non-frequentist Bayesian inferences for the validity of estimation robustness. The Bai–Perron test is used to identify breakpoint dates for the Indian stock market index, and the Granger Causality test is employed to ascertain the direction of causality.
Findings
The F-bounds test reveals cointegration among the variables throughout the examined period. Specifically, the weighted average call money rate (WACR), inflation (WPI), currency exchange rate (EXE), and broad money supply (M3) exhibit statistical significance with precise signs. Furthermore, the study identifies the negative impact of the COVID-19 outbreak in March 2020 on the Indian stock market.
Research limitations/implications
Although the study provides significant insights, it is not exempt from constraints. A significant limitation is selecting a relatively limited time period, specifically from April 2008 to September 2023. The limited time frame of this study may restrict the applicability of the results to more comprehensive economic settings, as dynamics between the monetary policy and the stock market can be influenced by multiple factors over varying time periods. Furthermore, the utilisation of the Weighted Average Call Money Rate (WACR) rather than policy rates such as the Repo rate presents an additional constraint as it may not comprehensively account for the impacts of particular policy initiatives, thereby disregarding essential complexities in the connection between monetary policy variables and financial markets.
Practical implications
The findings of the study suggest that investors and portfolio managers should consider economic issues while developing long-term investing plans. Reserve Bank of India should exercise prudence to prevent any discretionary measures that may lead to a rise in interest rates since this adversely affects the stock market. To mitigate risk, investors should closely monitor the adjustment of monetary policy variables.
Social implications
The study has important social implications, especially regarding the lower levels of financial literacy among investors in India. Considering the complex nature of the study’s emphasis on monetary policy adjustments and their impact on the stock market. Investors face the risk of significant losses due to unexpected adjustments in monetary policy. Many individuals may need help understanding how policy changes impact their investments. Therefore, RBI must consider both price and financial stability when formulating monetary policies. Furthermore, market participants should consider the potential impact of fluctuating monetary policy variables when devising their long-term investment strategies. Given that adjustments in interest rates can markedly affect stock market dynamics, investors must carefully assess the implications of monetary policy decisions on their portfolios.
Originality/value
The study uses dummy variables in the ARDL model to represent structural breaks that emerged from the COVID-19 pandemic (as determined by the Bai–Perron multiple breakpoint test). The study also used the Perron unit root test to find out the stationary of the series in the presence of structural breaks. Additionally, the study also employed Bayesian inferences to affirm the robustness of the estimates.
Details
Keywords
Otto Randl, Arne Westerkamp and Josef Zechner
The authors analyze the equilibrium effects of non-tradable assets on optimal policy portfolios. They study how the existence of non-tradable assets impacts optimal…
Abstract
Purpose
The authors analyze the equilibrium effects of non-tradable assets on optimal policy portfolios. They study how the existence of non-tradable assets impacts optimal asset allocation decisions of investors who own such assets and of investors who do not have access to non-tradable assets.
Design/methodology/approach
In this theoretical analysis, the authors analyze a model with tradable and non-tradable asset classes whose cash flows are jointly normally distributed. There are two types of investors, with and without access to non-tradable assets. All investors have constant absolute risk aversion preferences. The authors derive closed form solutions for optimal investor demand and equilibrium asset prices. They calibrated the model using US data for listed equity, bonds and private equity. Further, the authors illustrate the sensitivities of quantities and prices with respect to the main parameters.
Findings
The study finds that the existence of non-tradable assets has a large impact on optimal asset allocation. Investors with (without) access to non-tradable assets tilt their portfolios of tradable assets away from (toward) assets to which non-tradable assets exhibit positive betas.
Practical implications
The model provides important insights not only for investors holding non-tradable assets such as private equity but also for investors who do not have access to non-tradable assets. Investors who ignore the effect of non-tradable assets when reverse-engineering risk premia from asset covariances and market capitalizations might severely underestimate the equity risk premium.
Originality/value
The authors provide the first comprehensive analysis of the equilibrium effects of non-tradability of some assets on optimal policy portfolios. Thus, this paper goes beyond analyzing the effects of market imperfections on individual portfolio choices.
Details
Keywords
Mohsen Anvari, Alireza Anvari and Omid Boyer
This paper aims to examine the integration of lateral transshipment and road vulnerability into the humanitarian relief chain in light of affected area priority to address…
Abstract
Purpose
This paper aims to examine the integration of lateral transshipment and road vulnerability into the humanitarian relief chain in light of affected area priority to address equitable distribution and assess the impact of various parameters on the total average inflated distance traveled per relief item.
Design/methodology/approach
After identifying comprehensive critical criteria and subcriteria, a hybrid multi-criteria decision-making framework was applied to obtain the demand points’ weight and ranking in a real-life earthquake scenario. Direct shipment and lateral transshipment models were then presented and compared. The developed mathematical models are formulated as mixed-integer programming models, considering facility location, inventory prepositioning, road vulnerability and quantity of lateral transshipment.
Findings
The study found that the use of prioritization criteria and subcriteria, in conjunction with lateral transshipment and road vulnerability, resulted in a more equitable distribution of relief items by reducing the total average inflated distance traveled per relief item.
Research limitations/implications
To the best of the authors’ knowledge, this study is one of the first research on equity in humanitarian response through prioritization of demand points. It also bridges the gap between two areas that are typically treated separately: multi-criteria decision-making and humanitarian logistics.
Practical implications
This is the first scholarly work in Shiraz focused on the equitable distribution system by prioritization of demand points and assigning relief items to them after the occurrence of a medium-scale earthquake scenario considering lateral transshipment in the upper echelon.
Originality/value
The paper clarifies how to prioritize demand points to promote equity in humanitarian logistics when the authors have faced multiple factors (i.e. location of relief distribution centers, inventory level, distance, lateral transshipment and road vulnerability) simultaneously.
Details
Keywords
Travis Fried, Anne Victoria Goodchild, Ivan Sanchez-Diaz and Michael Browne
Despite large bodies of research related to the impacts of e-commerce on last-mile logistics and sustainability, there has been limited effort to evaluate urban freight using an…
Abstract
Purpose
Despite large bodies of research related to the impacts of e-commerce on last-mile logistics and sustainability, there has been limited effort to evaluate urban freight using an equity lens. Therefore, this study proposes a modeling framework that enables researchers and planners to estimate the baseline equity performance of a major e-commerce platform and evaluate equity impacts of possible urban freight management strategies. The study also analyzes the sensitivity of various operational decisions to mitigate bias in the analysis.
Design/methodology/approach
The model adapts empirical methodologies from activity-based modeling, transport equity evaluation, and residential freight trip generation (RFTG) to estimate person- and household-level delivery demand and cargo van traffic exposure in 41 U.S. Metropolitan Statistical Areas (MSAs).
Findings
Evaluating 12 measurements across varying population segments and spatial units, the study finds robust evidence for racial and socio-economic inequities in last-mile delivery for low-income and, especially, populations of color (POC). By the most conservative measurement, POC are exposed to roughly 35% more cargo van traffic than white populations on average, despite ordering less than half as many packages. The study explores the model’s utility by evaluating a simple scenario that finds marginal equity gains for urban freight management strategies that prioritize line-haul efficiency improvements over those improving intra-neighborhood circulations.
Originality/value
Presents a first effort in building a modeling framework for more equitable decision-making in last-mile delivery operations and broader city planning.
Details
Keywords
Adrian Fernando Rivera, Neale R. Smith and Angel Ruiz
Food banks play an increasingly important role in society by mitigating hunger and helping needy people; however, research aimed at improving food bank operations is limited.
Abstract
Purpose
Food banks play an increasingly important role in society by mitigating hunger and helping needy people; however, research aimed at improving food bank operations is limited.
Design/methodology/approach
This systematic review used Web of Science and Scopus as search engines, which are extensive databases in Operations Research and Management Science. Ninety-five articles regarding food bank operations were deeply analyzed to contribute to this literature review.
Findings
Through a systematic literature review, this paper identifies the challenges faced by food banks from an operations management perspective and positions the scientific contributions proposed to address these challenges.
Originality/value
This study makes three main contributions to the current literature. First, this study provides new researchers with an overview of the key features of food bank operations. Second, this study identifies and classifies the proposed optimization models to support food bank managers with decision-making. Finally, this study discusses the challenges of food bank operations and proposes promising future research avenues.
Details
Keywords
In this paper, we examined the economic benefits of derivatives in the aspect of investment assets. Our study differs from previous studies in that it analyzed the differences in…
Abstract
In this paper, we examined the economic benefits of derivatives in the aspect of investment assets. Our study differs from previous studies in that it analyzed the differences in the economic benefits of derivatives between for short term investors and for long term investors, and focused on the equity linked securities (ELS) rather than plain vanilla derivatives. We found the following results from the analysis over 1 to 20 years of investment horizons for four different types of equity linked securities, including ‘Auto-callable ELS’, ‘Knock-out ELS’, ‘Digital ELS’ and ‘Reverse Convertible ELS.’ First, equity linked securities contribute to improving the performance of the optimal portfolio for most investors, except for some investors who have extremely low degrees of risk aversion. Second, these economic benefits of equity linked securities are consistently observed regardless of investment horizon. Third, investment demand for equity linked securities is higher for investors with a medium-level of risk aversion rather than for aggressive or conservative investors. In addition, equity linked securities are mainly used as substitutes for risk-free bonds rather than risky assets (i.e., stocks). Finally, most of our results are still valid even when different market environments are assumed or alternative decision rules are used to derive investors’ optimal portfolio.
Details
Keywords
Lumengo Bonga-Bonga and Salifya Mpoha
This paper contributes to the literature on exchange rate exposure by assessing the extent to which exchange rate risk is priced in both African emerging and developed equity…
Abstract
Purpose
This paper contributes to the literature on exchange rate exposure by assessing the extent to which exchange rate risk is priced in both African emerging and developed equity markets. It examines whether this risk leads to a premium or discount in market returns. The study uses the United States and South Africa as representatives for developed and emerging economies, respectively.
Design/methodology/approach
The paper employs two-factor and three-factor conditional CAPM approaches with a two-stage estimation process. In the first stage, time-varying risk exposures are derived using the ICAPM model estimated through rolling regression. In the second stage, the impact of these risk exposures, particularly exchange rate risk exposure, is assessed on stock market returns using Generalized Linear Model (GLM) regression.
Findings
Unlike previous studies that suggest exchange rate risk is not necessarily priced in the equity market due to hedging, this paper finds that exchange rate risk is indeed priced in both African and developed equity markets, albeit to different extents. The African equity market demands a higher premium compared to the developed equity market.
Practical implications
The findings of this paper have significant implications for policymakers, asset managers, and investors. They provide insights for making more informed decisions, implementing effective risk management strategies, and fostering a more stable and appealing investment environment.
Originality/value
To the best of our knowledge, this is the first study to evaluate the degree of exchange rate exposure in environments characterized by high currency volatility versus those with low volatility, all within the context of the conditional ICAPM model.
Details
Keywords
The purpose of this paper is to examine the impact of debt maturity structure and types of institutional ownership on accounting conservatism by using different financial…
Abstract
Purpose
The purpose of this paper is to examine the impact of debt maturity structure and types of institutional ownership on accounting conservatism by using different financial variables and proxies.
Design/methodology/approach
Employing panel data analysis in the R programming language, the authors test their hypotheses on a sample of 143 (858 firm-year observations) companies listed on the Tehran Stock Exchange during 2011–2016.
Findings
Using Basu (1997) and Beaver and Ryan (2000) models as proxies for accounting conservatism, the findings suggest a non-significant relationship between accounting conservatism and debt maturity structure. Contrary to the primary expectation, the results indicate that short-maturity debts are also non-significantly and negatively associated with accounting conservatism in financially distressed firms. Finally, using both conservatism measures, the authors document that there is no significant relationship between both active and passive institutional ownership and accounting conservatism as well as debt maturity structure.
Originality/value
The current study is the first study conducted in a developing country like Iran, and the outcomes of the study may be helpful to other developing nations.
Details
Keywords
Hong Kim Duong, Marco Fasan and Giorgio Gotti
Previous literature provides mixed evidence about the effectiveness of a code of ethics in limiting managerial opportunism. While some studies find that code of ethics is merely…
Abstract
Purpose
Previous literature provides mixed evidence about the effectiveness of a code of ethics in limiting managerial opportunism. While some studies find that code of ethics is merely window-dressing, others find that they do influence managers' behavior. The present study investigates whether the quality of a code of ethics decreases the cost of equity by limiting managerial opportunism.
Design/methodology/approach
In order to test the hypothesis, the authors perform an empirical analysis on a sample of US companies in the 2004–2012 period. The results are robust to a battery of robustness analyses that the authors performed in order to take care of endogeneity.
Findings
Empirical results indicate that a higher quality code of ethics is associated with a lower cost of equity. In other words, firms with a more comprehensive code of ethics and better-designed implementation procedures limit managerial opportunism and pay a lower cost of equity because they are perceived by investors to be less risky.
Research limitations/implications
Practical implications
Social implications
Originality/value
The authors contribute to the literature in two ways. First, by looking at the market reaction to the code of ethics, thus capturing all its indirect possible benefits and second, by measuring not only the existence but also the quality of a code of ethics. Based on the results, policymakers may choose to further promote codes of ethics as an effective corporate governance mechanism.
Details
Keywords
Ignacio Castro-Abancéns, Cristóbal Casanueva and Ángeles Gallego
Multinational enterprises (MNEs) establish a wide range of alliances to access the critical resources that they may need at any one time. Although inter-organizational…
Abstract
Purpose
Multinational enterprises (MNEs) establish a wide range of alliances to access the critical resources that they may need at any one time. Although inter-organizational relationships (IORs) constitute the channels through which social capital flows, MNEs should consider which mechanisms or characteristics of the relations facilitate their actual mobilization.
Design/methodology/approach
A definition of alliance types yielded the parameters for an ordinary least squares regression of a sample from top global-reach MNEs from the airline industry.
Findings
The results showed that certain kind of alliances favored the actual mobilization of social capital.
Practical implications
Managers of MNEs must select the type of IOR taking into account the objective they pursue and the type of activity they will include.
Originality/value
Analyzing the factors that influence the degree of mobilization of social capital and how MNEs actually use the resources of the partners require the establishment of a theoretical framework and the development of empirical evidence.
Propósito
las Empresas Multinacionales (MNEs) establecen una amplia gama de alianzas para acceder a los recursos críticos externos que puedan necesitar en cualquier memento. Las MNEs deben considerar qué mecanismos o características de las relaciones facilitan su movilización real.
Diseño/metodología/enfoque
una definición de los tipos de alianza produjo los parámetros para una regresión de mínimos cuadrados ordinarios de una muestra de las principales MNEs de alcance global de la industria de las aerolíneas.
Resultados
Los resultados mostraron que ciertos tipos de alianzas favorecieron la movilización real del capital social.
Originalidad/valor
Analizar los factores que influyen en el grado de movilización del capital social y cómo las MNEs utilizan en la práctica los recursos de sus socios, requiere del establecimiento de un marco teórico y el desarrollo de evidencia empírica.
Details