Search results

The purpose of this research is to propose a framework for research on Macaulay duration and establish future research directions.

Thematic, bibliometric and content analyses have been used to review 168 research papers published between 1938 and 2019 taken from ISI Web of Science and Scopus contributed by leading authors, journals and regulatory bodies.

Identification and integration of themes of duration theory, duration model development and duration model implementation leading to unattended research gaps, and framework for research on Macaulay duration.

The study is based on an extensive review of the literature to extract important themes, research gaps and frameworks. It does not empirically investigate significance of Macaulay duration and various sectors.

This research has several aspects that are helpful for practitioners. Macaulay duration has been the subject of empirical research only without any guiding framework. This research provides a platform to initiate profound researches in various areas of finance. Various proposed models are required to be tested under holistic approach in conventional and emerging fields, especially in Islamic settings.

This research highlights, research themes leading to framework, research gaps and factors that are crucial in developing, extending and testing duration models leading to enhancement of theoretical base of Macaulay duration.

Outlines the development of duration as a risk management tool for fixed income securities, shows how it is calculated and gives examples to illustrate its use in assessing risk exposure and immunizing bond portfolio returns against interest rate risk. Cites research confirming its effectiveness and goes on to discuss the application of duration gaps to balance sheet hedging (macrohedging) by financial institutions and the New Zealand government. Considers some complications of duration analysis due to convexity, stochastic process risk and default risk.

In this paper, we study financial foundations of Austrian business cycle theory (ABCT). By doing this, we (1) clarify ambiguous and controversial concepts like roundaboutness and average period of production, (2) we show that the ABCT has strong financial foundations (consistent with its microeconomic foundations), and (3) we offer examples of how to use the flexibility of this approach to apply ABCT to different contexts and scenarios.

This research mainly intends to ascertain the stimulus of investor investment tendencies on the amount of capital investment in the share market.

Utilizing a sample of 477 individual investors who actively trade on the Bangladesh capital market, this empirical study was conducted. The objective of this examination is to ascertain the investment trading behavior of retail investors in the Bangladesh capital market using multiple regression, hypothesis testing and correlation analysis.

The coefficients of market categories, preferred share price ranges and investment source reveal negative predictor correlations; all predictors are statistically significant, with the exception of investment source. Positive predictive correlations exist between investor category, financial literacy degree, investment duration, emotional tolerance level, risk consideration, investment monitoring activities, internal sentiment and correct investment selection. Except for risk consideration and investment monitoring activities, all components have statistically significant predictions. The quantity of capital invested in the stock market is heavily influenced by the investment duration, preferred share price ranges, investor type, emotional toleration level and decision-making accuracy level.

This investigation was conducted exclusively with Bangladeshi individual stockholders. Therefore, the existing study can be extended to institutional investors and conceivably to other divisions. It is possible to conduct this similar study internationally. And the query can enlarge with more sample size and use a more sophisticated econometric model. Despite that the outcomes of this study help the regulatory authorities to arrange more informative seminars and consciousness programs.

The conclusions have practical implications since they empower investors to modify their portfolios based on elements including share price ranges, investment horizons and emotional stability. To improve chances of success and reach financial objectives, they stress the significance of bettering financial understanding, active monitoring and risk analysis. Results can also be enhanced by distributing ownership over a number of market sectors and price points. The results highlight the value of patience and giving potential returns enough time.

This study on the trading behavior of investors in Bangladesh is unique and based on field study, and the findings of this study will deliver information to the stakeholders of the capital market regarding the investors’ trading behavior belonging to different categories, financial literacy level, investment duration, emotional tolerance level and internal feeling.

This study examines the mediating effect of effort on the relationship between performance incentives and audit judgment performance under different levels of task complexity.

Using an experimental research design, subjects are randomly assigned to three performance incentive groups: control, financial and feedback. Each subject is required to perform two experimental tasks of two complexity levels (low and high).

Results indicate that performance incentive variables are positively related to audit judgment performance. Hierarchical regressions of moderated‐mediation analyses support the hypotheses that the mediation effect of effort on the relationship between performance incentives and audit judgment performance occurs under low task complexity and not under high task complexity. In other words, the positive relationship between effort and audit judgment performance is weakened under high task complexity.

The external validity of this study is limited since the audit case contains less information than the real audit environment. This study contends that the expectancy theory can in fact be used to generate empirical prediction on audit judgment performance. The reliance on expectancy theory to supply theoretical mechanism by including the moderating variables provides explanation on when effort should and should not have positive effects on audit judgment performance.

Audit firms need to be careful on the performance incentives offered because incentives affect job output quality. Performance incentives may reduce job turnover and job tension among auditors. In addition, audit firms should ensure that the auditors have proper training to increase their skills and knowledge to help auditors to carry out various job complexities.

This paper can enhance knowledge and understanding on how motivational and environment factors influence audit judgment performance.

This paper aims to examine various factors affecting the pricing of audit services and the selection of auditors in the Indian audit market. This paper also aims to investigate the impact of financial distress conditions on the audit pricing and auditor choice decisions of a firm, particularly in the context of a developing economy.

The sample comprises 22,644 firm-years for 1,366 Indian firms from 1990 to 2015. The authors adopt ordinary least squares regression technique to model audit fee, and logistic regression technique to model auditor choice as a function of various factors relating to firm attributes and auditor characteristics.

This paper finds that auditors tend to charge an audit fee premium when they are affiliated to a Big 4 auditor, have industry specialization or jointly provide auditing and non-auditing services. Additionally, firms with larger boards, higher proportion of independent board of directors and CEO–Chairman separation are more likely to choose a Big 4-affiliated auditor. The results also suggest that financially distressed firms tend to pay significantly lower audit fees and are more likely to choose non-Big 4 auditors.

This paper is among the few studies which investigate how financial distress impacts the audit pricing and auditor choice decisions of a firm in the context of emerging economies. The findings of this paper raises serious concerns about the credibility of the audited financial statements and corporate governance mechanisms of firms undergoing financial distress. The empirical results of this paper have strong implications for practitioners, regulators and investors.

Continuous improvement is a primary principle in total quality management. It is applied to all aspects of the organisation including products, processes, and even the management of the firm. In this context, quality management self‐assessment is a useful tool for fostering the continuous improvement of the whole company, comparing its activities and results with an excellence model. However, little is known about the variables and relationships underlying self‐assessment application. This paper tries to shed light on this topic.

The methodology is an exploratory case study. Three Spanish organisations with a broad experience in self‐assessment application are analysed.

A model of self‐assessment application – containing variables and relationships among variables is proposed. Thus, the establishment of a holistic or systemic self‐assessment model where all the variables linked to self‐assessment employment are analytically and explicitly interrelated becomes the fundamental contribution of the research presented here.

This framework may constitute a starting point for subsequent academic research in this area.

The framework may also constitute a practical guide for managers interested in the use of self‐assessment technique.

Provides information on self‐assessment in a continuous improvement context.

In line with the IFSB and BCBS methodology, the purpose of this study is to undertake a comparative analysis of dual banking systems for asset-liability management (ALM) practices with the duration gap, in Islamic Commercial Banks (ICBs) and Conventional Commercial Banks (CCBs). Based on the research objective, two research questions are developed: How do the duration gaps of ICBs compare with those of similar sized CCBs? Are there any country-specific and regional differences among ICBs in terms of managing their duration gaps?

The research methodology comprises two-stages: stage one uses a duration gap model to calculate the duration gaps of ICBs and CCBs; stage two applies parametric tests. In terms of the duration gap model, the study determines the duration gap with a four-step process. The study selected a sample of 100 banks (50 ICBs and 50 CCBs) from 13 countries for the period 2009-2015.

The paper provides empirical insights into the duration gap and ALM of ICBs and CCBs. The ICBs have more variations in their mean duration gap compared to the CCBs, and they have a tendency for a higher (more) mean duration gap (28.37 years) in comparison to the CCBs (11.79 years). The study found ICBs as having 2.41 times more duration gap compared to the CCBs, and they are exposed to increasing rate of return (ROR) risk due to their larger duration gaps and severe liquidity mismatches. There are significant regional differences in terms of the duration gap and asset-liability management.

Future studies also consider “Off-Balance Sheet” activities of the ICBs, with multi-term duration measures. A larger sample size of 100 ICBs with 10 years’ data after the GFC would be more beneficial to the industry. In addition, the impact of an increasing benchmark rate (e.g. 100, 200 and 300 bps) on the ICBs as per the IFSB 20 per cent threshold can also be established with the duration gap approach to identify the vulnerabilities of the ICBs.

The study makes profound contributions to the literature and suggests various policy recommendations for Islamic banks, regulators, and standard setters of the ICBs, for identifying and measuring the significance of the duration gaps; and management of the ROR risk under Pillar 2 of the BCBS and IFSB, for financial soundness and stability purposes.

To the best of the authors’ knowledge, this is a pioneer study in Islamic banking involving a sample of 100 banks (50 ICBs and 50 CCBs) from 13 countries. The results of the study provide original empirical evidence regarding the estimation of duration gap, and variations across jurisdictions in terms of vulnerability of ICBs and CCBs in dual banking systems.

The purpose of this study is to employ a duration-based approach to model the inter-arrival times of bank failures in the US banking system for the period of 1934-2014, in line with the suggestions of Focardi and Fabozzi (2005), who used a similar model for explaining contagion in credit portfolios.

Conditional duration models that allow duration between bank failures to depend linearly or nonlinearly on its past history are estimated and evaluated.

The authors find evidence of strong persistence along with nonmonotonic hazard rates, which imply a financial contagion pattern, according to which a high frequency of bank failures generates turbulence, which shortly after leads to additional fails, whereas prolonged periods without abnormal events signify the absence of contagious dependence, which increases the relative periods between bank failure appearance. Further, the authors obtain statistically significant results when they allow duration to depend linearly on past information variables that capture systemic bank crisis factors along with stock and bond market effects.

The originality of this study consists in proposing a new time series approach for the prediction of bank probability of default by incorporating a default-risk contagion mechanism. As contagious bank failures are a key topic in macroprudential supervision, this study could be of value for supervisory authorities in setting pro-active actions and tightening regulatory measures.

The last two decades were characterised by uncertainty in financial markets due to volatile interest rates. Consequently bond and money managers were interested in minimising interest rate risk. This was accomplished by developing immunisation strategies derived from the concept of duration. Consequently, almost all the relevant literature is limited to bond portfolio management. In this paper duration and immunisation concepts are discussed in the context of financial management: working capital management and capital budgeting techniques. In Section I, a brief review of bond duration measure is made. Section II describes the application of duration measures in bond immunisation strategies. In Section III, a duration measure is developed for working capital management technique. Section IV contains some secondary capital budgeting technique based on duration measure.