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1 – 10 of over 1000Although the value effect is comprehensively investigated in developed markets, the number of studies examining the Vietnamese stock market is limited. Hence, the first aim of…
Abstract
Purpose
Although the value effect is comprehensively investigated in developed markets, the number of studies examining the Vietnamese stock market is limited. Hence, the first aim of this research is to provide empirical evidence regarding returns on value and growth stocks in Vietnam. The second aim is to explain abnormal returns on Vietnamese growth and value stocks using both risk-based and behavioral points of view.
Design/methodology/approach
From the risk-based explanation, the Capital Asset Pricing Model (CAPM), Fama–French three- and five-factor models are estimated. From the behavioral explanation, to construct the mispricing factor, this paper relies on the method of Rhodes-Kropf et al. (2005), one of the most popular mispricing estimations in the financial literature with numerous citations (Jaffe et al., 2020).
Findings
While the CAPM and Fama–French multifactor models cannot capture returns on growth and value stocks, a three-factor model with the mispricing factor has done an excellent job in explaining their returns. Three out of four Fama–French mimic factors do not contain additional information on expected returns. Their risk premiums are also statistically insignificant according to the Fama–MacBeth second-stage regression. By contrast, both robustness tests prove the explanatory power of a three-factor model with mispricing. Taken together, mispricing plays an essential role in explaining returns on Vietnamese growth and value stocks, consistent with the behavioral point of view.
Originality/value
There are several value-enhancing aspects in the field of market finance. First, this paper contributes to the literature of value effect in emerging markets. While the evidence of value effect is obvious in numerous developed as well as international markets, both growth and value effects are discovered in Vietnam. Second, the explanatory power of Fama–French multifactor models is evaluated in the Vietnamese context. Finally, to the best of the author's knowledge, this is the first paper that incorporates the mispricing estimation of Rhodes-Kropf et al. (2005) into the asset pricing model in Vietnam.
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Investors who can transfer their savings to investments in a well-regulated market benefit not only themselves but also economic development. Hence, it is crucial for fund owners…
Abstract
Purpose
Investors who can transfer their savings to investments in a well-regulated market benefit not only themselves but also economic development. Hence, it is crucial for fund owners to evaluate their stock market investment decisions. The goal of the study is to understand which model determines the asset returns most efficiently. In this regard, the validity of single and multi-index asset pricing models (capital asset pricing model-CAPM and Fama–French models) has been examined in the Turkish Stock Exchange for 2009–2020, with the quantile regression (QR) approach.
Design/methodology/approach
On 18 portfolios comprised of quoted stocks in the Istanbul Stock Exchange 100 (ISE-100/BIST-100), we test the CAPM, the Fama and French three factor model (FF3) and the Fama and French five factor model (FF5). Empirical analyses have been carried out via QR approach regressing the portfolios' average weekly excess returns on risk premium/market factor (Rm-Rf), firm size, book value/market value (B/M), profitability and investments factors. QR estimation has been employed since QR is more effective and provides a better definition of the distribution’s tails.
Findings
Our empirical findings have revealed that the average excess weekly returns can be explained more strongly via CAPM. Moreover, Fama and French models are expected to give more reliable result with more data, whereas the market premium would give robust results for the Turkish Capital Market.
Practical implications
Individuals investing in financial assets must find the price model that best fits the market. The return can be approximated in the most appropriate manner using the right variables.
Originality/value
The study differs from other research by comparing the asset pricing models via examining the assets' weekly returns with QR in the Istanbul Stock Exchange 100 (ISE-100).
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Yan He, Ruixiang Jiang, Yanchu Wang and Hongquan Zhu
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that…
Abstract
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.
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This study aims to examine the relationship between investor gambling preferences and stock returns, using data for all firms listed in Shanghai A-share market during 2016 and…
Abstract
Purpose
This study aims to examine the relationship between investor gambling preferences and stock returns, using data for all firms listed in Shanghai A-share market during 2016 and 2021.
Design/methodology/approach
This study employs price and trading volume data to capture the behavioral characteristics and gambling preferences of investors. Using the Fama-French three-factor and five-factor models to estimate benchmark returns, this study investigates whether investing in gambling stocks can yield positive excess returns.
Findings
The study reveals that stocks identified as gambling stocks generate high returns in the month they are identified as such but subsequently experience a significant drop in excess returns compared to non-gambling stocks over the following one to six months. These results are found to be consistent across different methods used to classify gambling stocks and across various industry sectors.
Research limitations/implications
This research provides insights into the risk-return tradeoff of different stock types and the factors that fuel irrational investment behavior. This research underscores the importance of considering the behavioral elements of investment, particularly in emerging markets where individual investors have a significant impact.
Practical implications
This study advises investors to avoid adopting a gambler or speculative mindset and instead make well-informed and calculated investment decisions that are in line with investors financial objectives and risk appetite. This approach can help create a more stable and sustainable financial market.
Originality/value
This study provides new evidence on the relationship between gambling preferences and future stock returns in financial markets and sheds new light on the important role of irrational factors in investment decisions.
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This study aims to differentiate crime-related characteristics (such as the number of cases filed against current convictions and criminal history) based on the criminal thinking…
Abstract
Purpose
This study aims to differentiate crime-related characteristics (such as the number of cases filed against current convictions and criminal history) based on the criminal thinking prevailing among convicts. However, because of the low reliability of subscales and poor structural validity of indigenous and translated versions of international instruments, a new instrument criminal attitude measure (CAM) was extracted to measure criminal thinking patterns among convicts incarcerated in central prisons of Punjab.
Design/methodology/approach
A cross-sectional research design was used. Data was collected from 1,949 male convicts (extracting mutually exclusive data from 649 respondents for EFA and 1,300 respondents for confirmatory factor analysis [CFA]). Both data samples were collected from convicts incarcerated in the nine (all) central jails of Punjab, Pakistan.
Findings
The results of this study showed poor model fit for both the indigenous criminal thinking scale and the translated version of criminogenic cognition scale. CAM was extracted through principal component analysis and proposed as a 15-item questionnaire with five factors extracted through varimax rotation. Those five factors are power orientation, mollification, entitlement, mistrust toward authorities and short-term orientation. The results of CFA for CAM confirmed the proposed five-factor structure for the construct. Findings based on MANOVA further found that CAM differentiates between the thinking patterns of recidivists, convicts with multiple charges filed against them in current convictions and convicts with a familial criminal record. The findings of this study showed that CAM is a practical, valid and reliable instrument for measuring criminal thinking among convicts.
Research limitations/implications
In this study, using the survey method was inevitable because of the restrictions imposed by the granted permission. However, this time duration was extended because of the courtesy of the Superintendent and Deputy Superintendent of each jail. This study is focused on a male sample only, and the findings cannot be generalized to females. The phenomena proposed (based on large data sets) in this study can further be elaborated using qualitative research designs and methods (using a small sample with an in-depth study). So, it is also suggested to test this new instrument on a comparative study between prisoners and non-prisoners to explore whether scale can differentiate between these two groups.
Practical implications
A short-scale and easy-to-administer instrument was developed for assessing major criminogenic needs among convicts for prison management, i.e. assigning barracks, allocating treatment and also detecting changes in attitude after imprisonment.
Originality/value
To the best of the authors’ knowledge, this study is the first study to explore and validate the construct of criminal attitudes among convicts using both the EFA and CFA. A small and valid instrument facilitates the measurement of criminogenic needs among prisoners. Data was collected from all central jails in Punjab. This study explored comparatively less researched crime characteristics in a relatively large sample.
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Seerat Fatima and Muhammad Mubbashar Hassan
There is a growing array of literature that supports various implications of positive organizational psychology on workplace outcomes such as the positive work cultures. However…
Abstract
Purpose
There is a growing array of literature that supports various implications of positive organizational psychology on workplace outcomes such as the positive work cultures. However, lack of appropriate measuring instruments is halting the progress in this field. Laid down in this article are the conceptual and empirical perspective regarding a positive group culture, i.e. meaningful group culture (MGC) and elaboration of what MGC is and how to measure it. For this study, the MGC is defined as a culture of humane orientation and explained through five dimensions: ideology infused, caring for employees, pro diversity, helping and employee-centric organization identification. The purpose of this paper is to address this issue.
Design/methodology/approach
To further elucidate, development and validation of the MGC instrument was carried out in three phases. In the very first phase, content and face validity was assessed by experts. Following it, the second phase construct validity was undertaken through exploratory factor analysis of the results from the use of the instrument on a sample of 540 professionals. To end with, in the third phase, multilevel confirmatory analysis was conducted on an organizational sample of 397 individuals and 106 groups.
Findings
The results of the Multilevel Confirmatory Factor Analysis (MCFA) provided further evidence of confirmation that the extraction of five factors was appropriate, and reliability analysis showed the MGC to be both valid and reliable. Consequently, the applications of the tool to Human Resource Development (HRD) professionals are suggested.
Research limitations/implications
To broaden the coverage and enhance generalizability, the study focused on multi-sector convenient based sample.
Practical implications
HRD professionals can use it as a diagnostic tool for deeper exploration into systematic and organizational issues. The use of it can provide a window for addressing the developmental needs within the organizations.
Originality/value
This study is possibly one of the first to develop a psychometrically valid scale to measure higher order measure of a work group culture through multilevel assessment of the model.
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This paper aims to use the five-factor model’s (FFM: emotional instability, introversion, openness to experience, agreeableness and conscientiousness) personality traits and the…
Abstract
Purpose
This paper aims to use the five-factor model’s (FFM: emotional instability, introversion, openness to experience, agreeableness and conscientiousness) personality traits and the need for arousal to explain millennials’ habitual and addictive smartphone use and resultant materialistic inclinations. The study also test the mediating role of addictive use in the relationship between habitual use and materialism.
Design/methodology/approach
Participants’ self-reported data (n = 705) from a sample of millennials were gathered using a cross-sectional survey approach conducted in Malaysia and studied using structural equation modelling with partial least squares (PLS-SEM).
Findings
The results discover that emotional instability, openness to experience, agreeableness and need for arousal have a significant influence on habitual smartphone use. Conversely, introversion and conscientiousness have no significant impact on habitual use. Fascinatingly, millennials’ habitual use positively influences their materialism. Furthermore, addictive smartphone use positively affects materialism and mediates the relationship between habitual use and materialism.
Originality/value
The FFM, a prominent personality trait model, has been used in numerous studies to predict usage intention. However, the particular dimension of the FFM personality traits that drive habitual and addictive smartphone use to trigger materialistic tendencies among millennials needs to be exposed in an emerging market context. The results emphasise the need to consider this demographic’s personalities when attempting to comprehend how habitual use and materialism occur. This study also provides practitioners with helpful information in creating targeted interventions to encourage healthy smartphone use behaviours and reduce possible adverse effects related to addictive smartphone use and materialistic attitudes.
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Osama F. Atayah, Khakan Najaf, Md Hakim Ali and Hazem Marashdeh
The purpose of this paper is to provide empirical evidence on the suitability of a Bloomberg Environmental (E), Social (S) and Governance (G) (ESG) disclosure index designed for…
Abstract
Purpose
The purpose of this paper is to provide empirical evidence on the suitability of a Bloomberg Environmental (E), Social (S) and Governance (G) (ESG) disclosure index designed for companies from the USA and to investigate the sustainability quality and stock performance of FinTech companies.
Design/methodology/approach
Data from all FinTech and non-FinTech firms in the USA was acquired from Bloomberg to undertake the study and evaluate the suggested hypotheses efficiently. The final sample consists of 1,672 company-year observations from 2010 to 2019. The methodology used ordinary least squares regressions of performance metrics on the Bloomberg ESG disclosure index and its components.
Findings
The findings indicated that the Bloomberg ESG disclosure index is a valid proxy for sustainability and has a direct relationship with stock performance. Furthermore, this study suggests that non-FinTech firms outperform FinTech firms in sustainability and stock performance. The findings support stakeholder theory, which suggests that increased disclosure of ESG information will mitigate the agency problem and protect shareholders’ interests.
Research limitations/implications
This study’s findings were significant because the findings emphasised ESG disclosure in FinTech and non-FinTech firms, providing information to academics, legislators, regulators, financial report users, investors, environmental unions, workers, customers and society.
Originality/value
This research is unique as it evaluates ESG practices in both FinTech and non-FinTech firms.
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In order to provide an updated view on the drivers of German stock returns, the authors evaluate the relative performance of nine competing neoclassical asset pricing models in…
Abstract
Purpose
In order to provide an updated view on the drivers of German stock returns, the authors evaluate the relative performance of nine competing neoclassical asset pricing models in the German stock market between November 1991 and December 2021.
Design/methodology/approach
The authors conduct asymptotically valid tests of model comparison when the extent of model mispricing is gauged by the squared Sharpe ratio improvement measure of Barillas et al. (2020).
Findings
The study finds that the Fama and French six-factor model with both traditional and updated value factors emerges as the dominant model.
Originality/value
The authors shed new light on the drivers of German stock returns through an updated and extended period of analysis, wider range of potential models and utilization of valid asymptotic tests of model comparison when models are nonnested (Barillas et al., 2020).
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Investors are inattentive to continuous information as opposed to discrete information, resulting in underreaction to continuous information. This paper aims to examine if the…
Abstract
Purpose
Investors are inattentive to continuous information as opposed to discrete information, resulting in underreaction to continuous information. This paper aims to examine if the well-documented return predictability of the strategies based on the ratio of short-term to long-term moving averages can be enhanced by conditioning on information discreteness. Anchoring bias has been the popular explanation for the source of underreaction in the context of moving averages-based strategies. This paper proposes and studies another possible source based on investor inattention that can potentially result in superior performance of these strategies.
Design/methodology/approach
The paper uses portfolio sorting as well as Fama-MacBeth cross-sectional regressions. For examining the role of information discreteness in the return predictability of the moving average ratio, the sample stocks are double-sorted based on the moving average ratio and information discreteness measure. The returns to these portfolios are computed using standard approaches in the literature. The regression approach controls for various well-known return predictors.
Findings
This study finds that the equally-weighted monthly returns to the long-short moving average ratio quintile portfolios increase monotonically from 0.54% for the discrete information portfolio to 1.37% for the continuous information portfolio over the 3-month holding period. This study observes a similar pattern in risk-adjusted returns, value-weighted portfolios, non-January returns, large and small stocks, for alternative holding periods and the ratio of 50-day to 200-day moving average. The results are robust to control for well-known return predictors in cross-sectional regressions.
Research limitations/implications
To the best of the authors’ knowledge, this is the first paper to document the significant role of investor inattention to continuous information in the return predictability of strategies based on the moving average ratios. There are many underreaction anomalies that have been reported in the literature, and the paper's results can be extended to those anomalies in subsequent research.
Practical implications
The findings of this paper have important practical implications. Strategies based on moving averages are an extremely popular component of a technical analyst's toolkit. Their profitability has been well-documented in the prior literature that attributes the performance to investors' anchoring bias. This paper offers a readily implementable approach to enhancing the performance of these strategies by conditioning on a straightforward measure of information discreteness. In doing so, this study extends the literature on the role of investor inattention to continuous information in anomaly profits.
Originality/value
While there is considerable literature on technical analysis, and especially on the performance of moving averages-based strategies, the novelty of this paper is the analysis of the role of information discreteness in strategy performance. Not only does the paper document robust evidence, but the findings suggest that the investor’s inattention to continuous information is a more dominant source of underreaction compared to anchoring. This is an important result, given that anchoring has so far been considered the source of return predictability in the literature.
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