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1 – 10 of 340Soumaya Ben Khelifa and Sonia Arsi
This paper aims to explore the impact of the COVID-19 pandemic on the market timing skills of Islamic equity funds in Asia, Europe and North America.
Abstract
Purpose
This paper aims to explore the impact of the COVID-19 pandemic on the market timing skills of Islamic equity funds in Asia, Europe and North America.
Design/methodology/approach
The authors employed a two-step process. First, a Granger causality test is applied to test the bivariate relationship between Islamic fund indices and stock market ones by highlighting the impact of the COVID-19 pandemic. Second, the methodology of Treynor and Mazuy (1966) is deployed to account for the market timing abilities skills of Islamic fund managers during the pandemic period.
Findings
The investigation revealed mixed results. The European Islamic funds were positively impacted by the stock market as well as by the COVID-19 pandemic context. Additionally, compared to their Asian and North American peers, only European Islamic fund managers have the ability to time the market during the health crisis period.
Research limitations/implications
Despite its contribution to the Islamic finance literature, this study has some flaws. Indeed, the selected sample of three regions, namely Asia, Europe and North America, precludes extrapolating these conclusions. Other regions should be investigated to further our understanding of Islamic equity funds. Furthermore, due to data availability and accessibility, the study period was limited to a specific time of the COVID-19 pandemic. This shortcoming can be addressed through a multiwave investigation, especially since each region was exposed differently to the pandemic.
Practical implications
The paper provides scholars, portfolio managers and investors with insights regarding the investment dilemma during the COVID-19 pandemic period, especially for those wishing to hedge their pandemic risk exposure and/or diversify their portfolios. Equally, the depiction of potential market timing abilities of Islamic fund managers across the three regions would serve as a guide to identifying the most suitable internationally focused investment strategy.
Social implications
The paper provides scholars, portfolio managers and investors with insights regarding the investment dilemma during the COVID-19 pandemic period, especially for those wishing to hedge their pandemic risk exposure and/or diversify their portfolios. Equally, the depiction of potential market timing abilities of Islamic funds managers across the three regions would serve as a guide to identify the most suitable internationally focused investment strategy.
Originality/value
The originality of this investigation is that it is the first to examine Islamic equity fund managers and their skills to time the stock markets during the COVID-19 pandemic period in Asia, Europe and North America. The current paper extends the Islamic finance literature.
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Pablo Durán Santomil, Pablo Crisanto Lombardero Fernández and Luis Otero González
The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.
Abstract
Purpose
The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.
Design/methodology/approach
The sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.
Findings
The results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.
Research limitations/implications
The sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.
Practical implications
The ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.
Originality/value
This paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.
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This study aims to determine whether the stock holdings of equity mutual funds are informative for predicting future stock performance in the Chinese market. It is a puzzle that…
Abstract
Purpose
This study aims to determine whether the stock holdings of equity mutual funds are informative for predicting future stock performance in the Chinese market. It is a puzzle that actively managed mutual funds underperform passive benchmarks, whereas retail investors still delegate investment decisions to the fund managers. The present study sheds light on whether mutual fund managers possess security selection skills in their top ten holdings.
Design/methodology/approach
By regression analysis and portfolio sorting, this study focuses on 830 Chinese A-share stocks in the industry research reports from the Guotai Junan Securities Company. It collects mutual fund's top ten holdings data from the Wind Financial Terminal between 2019Q1 and 2021Q1. As robustness checks, the result holds for the fixed-effect model, an additional measure of ranks in the top ten holdings, the predictability test based on the confusion matrix and two stage least square (2SLS) regression.
Findings
The authors find that the top ten holdings by equity mutual funds are informative for predicting stock performance and can provide valuable information for investors to support their decision-making.
Practical implications
The findings of this study provide insightful guidance for retail investors in making investment decisions and support the hypothesis that active fund management adds value.
Originality/value
Firstly, the authors find that the top ten holdings of Chinese mutual funds show significantly positive signals for future stock excess returns, indicating the selection skills of fund managers. Secondly, the above positive relationship exhibits a diminishing marginal effect with more funds holding this stock. Thirdly, the authors find that the predictability horizon of the number of overweighing funds is up to three quarters and then diminishes in the fourth quarter. Finally, investors have a 59% prediction accuracy for the whole stock sample and an 85% precision conditional on the predicted positive subsample to outperform the market. The authors also address the endogeneity and reverse causality issues.
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Lucas Prata Feres, Alex Wilhans Antonio Palludeto and Hugo Miguel Oliveira Rodrigues Dias
Drawing upon a political economy approach, this article aims to analyze the transformations in the labor market within the context of contemporary capitalism, focusing on the…
Abstract
Purpose
Drawing upon a political economy approach, this article aims to analyze the transformations in the labor market within the context of contemporary capitalism, focusing on the phenomenon of financialization.
Design/methodology/approach
Financialization is defined as a distinct wealth pattern marked by a growing proportion of financial assets in capitalist wealth. Within financial markets, corporate performance is continuously assessed, in a process that disciplines management to achieve expected financial results, with consequences throughout corporate management.
Findings
We find that this phenomenon has implications for labor management, resulting in the intensification of labor processes and the adoption of insecure forms of employment, leading to the fractalization of work. These two mechanisms, added to the indebtedness of workers, constitute three elements for disciplining labor in contemporary capitalism.
Originality/value
We argue that these forms of discipline constitute a subsumption of labor to finance, resulting in an increase in labor exploitation. This formulation of the relationship between financialization and changes in the realm of labor also contributes to understanding the unrealizing potential of social free time in contemporary capitalism.
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Graeme Newell and Muhammad Jufri Marzuki
Renewable energy infrastructure is an important asset class in the context of reducing global carbon emissions going forward. This includes solar power, wind farms, hydro, battery…
Abstract
Purpose
Renewable energy infrastructure is an important asset class in the context of reducing global carbon emissions going forward. This includes solar power, wind farms, hydro, battery storage and hydrogen. This paper examines the risk-adjusted performance and diversification benefits of listed renewable energy infrastructure globally over Q1:2009–Q4:2022 to examine the role of renewable energy infrastructure in a global infrastructure portfolio and in a global mixed-asset portfolio. The performance of renewable energy infrastructure is compared with the other major infrastructure sectors and other major asset classes. The strategic investment implications for institutional investors and renewable energy infrastructure in their portfolios going forward are also highlighted. This includes identifying effective pathways for renewable energy infrastructure exposure by institutional investors.
Design/methodology/approach
Using quarterly total returns, the risk-adjusted performance and portfolio diversification benefits of global listed renewable energy infrastructure over Q1:2009–Q4:2022 is assessed. Asset allocation diagrams are used to assess the role of renewable energy infrastructure in a global infrastructure portfolio and in a global mixed-asset portfolio.
Findings
Listed renewable energy infrastructure was seen to underperform the other infrastructure sectors and other major asset classes over 2009–2022. While delivering portfolio diversification benefits, no renewable energy infrastructure was seen in the optimal infrastructure portfolio or mixed-asset portfolio. More impressive performance characteristics were seen by nonlisted infrastructure funds over this period. Practical reasons for these results are provided as well as effective pathways going forward are identified for the fuller inclusion of renewable energy infrastructure in institutional investor portfolios.
Practical implications
Institutional investors have an important role in supporting reduced global carbon emissions via their investment mandates and asset allocations. Renewable energy infrastructure will be a key asset to assist in the delivery of this important agenda for a greener economy and addressing global warming. Based on this performance analysis, effective pathways are identified for institutional investors of different size assets under management (AUM) to access renewable energy infrastructure. This will see institutional investors embracing critical investment issues as well as environmental and social issues in their investment strategies going forward.
Originality/value
This paper is the first published empirical research analysis on the performance of renewable energy infrastructure at a global level. This research enables empirically validated, more informed and practical decision-making by institutional investors in the renewable energy infrastructure space. The ultimate aim of this paper is to articulate the potential strategic role of renewable energy infrastructure as an important infrastructure sector in the institutional real asset investment space and to identify effective pathways to achieve this renewable energy infrastructure exposure, as institutional investors focus on the strategic issues in reducing global carbon emissions in the context of increased global warming.
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The purpose of this paper is to examine the effects of financialisation on the changing structure of housing supply in Malaysia. The share of newly launched sub-MYR250,000 houses…
Abstract
Purpose
The purpose of this paper is to examine the effects of financialisation on the changing structure of housing supply in Malaysia. The share of newly launched sub-MYR250,000 houses has been decreasing continuously in the past decade. This implies that housing developers are launching more expensive houses. The greater focus on higher cost housing could be attributed to inflation. But while input cost is rising, the housing sector has also become increasingly financialised. This claim can be supported by the rising share of mortgage and real estate loans in gross domestic product. Financialisation is a process in which the financial sector becomes more dominant relative to the real sector. The extent to which this process is responsible for the changing structure of housing supply in Malaysia is investigated.
Design/methodology/approach
A survey of the literature suggested that the decreasing the proportion of newly launched sub-MYR250,000 housing could be result of rising input cost, greater degree of financialisation and changing market concentration. Thus, long-run cointegrating equations were formulated and estimated. These equations linked housing share with financialisation, market structure and input cost. The quantitative and qualitative impact of financialisation on the structure of housing supply is of interest.
Findings
The analyses of secondary data suggested that financialisation and input cost did indeed contribute to the decrease in proportion of newly launched sub-MYR250,000 housing. However, the impact of market concentration on housing share was ambiguous. This conclusion survived several robustness checks.
Practical implications
The financialisation of the housing sector implies that developers are increasingly building for profits instead of accommodating the social objective of providing shelter. This result is unsettling because access to adequate housing is a human right. The transformation of housing from the concept of a shelter to a tradable, money-making asset could be a major contributor to the declining housing affordability in the country. Thus, efforts to improve affordability must take account of the effects of financialisation.
Originality/value
An empirical framework for assessing the changes in the structure of housing supply was developed. Existing studies tended to focus only on the volume of housing supply. It is a comprehensive study on changes in the structure of housing supply. Second, while existing studies on the financialisation of housing are mostly qualitative in methodology, this paper offers a quantitative assessment of the financialisation in the housing sector.
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Tim Schwertner and Matthias Sohn
There is emerging evidence in the accounting literature that investors react negatively to corporate greenwashing. But does that hold for all investors, or do different types of…
Abstract
Purpose
There is emerging evidence in the accounting literature that investors react negatively to corporate greenwashing. But does that hold for all investors, or do different types of investors react differently? This paper aims to study retail investors’ responses to media reports on corporate greenwashing and how these responses depend upon the investors’ social value orientation. The authors argue that media reporting on corporate greenwashing negatively affects the rationale for allocating funds to firms engaging in greenwashing. The authors also expect this reaction to be stronger for prosocial investors compared to proself investors.
Design/methodology/approach
The authors conduct an online experiment with 229 participants representing retail investors in the German-speaking countries.
Findings
The results show that retail investors who received media reports on deceptive disclosure invest more funds in the company that does not engage in greenwashing (and less in the firm that engages in greenwashing) than investors who did not receive these reports. The authors’ results provide novel evidence that this effect primarily holds for investors with a prosocial value orientation. Finally, the authors’ data show that lower trust in the firm that engages in greenwashing partially mediates the effect of media reports on investor choices.
Originality/value
The authors provide unique evidence how different types of investors react to media reports on greenwashing. The authors find that moral motives, rather than risk-return considerations, drive investor responses to greenwashing. Overall, these findings support the important function of the media as an intermediary in stock market participation and highlight the pivotal role of individual traits in investors’ responses to greenwashing.
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This study investigates the reasons behind the very high net interest margins in the Greek banking industry compared to the euro-area, focussing on the association between bank…
Abstract
Purpose
This study investigates the reasons behind the very high net interest margins in the Greek banking industry compared to the euro-area, focussing on the association between bank competition and recapitalisations.
Design/methodology/approach
The author conducts a dynamic panel analysis covering the period from the early 2000s to 2021, that controls for possible endogeneity and treats for heterogeneity. The author also employs local projections impulse response functions that control for structural changes in Greek banking.
Findings
The author finds that low bank competition has contributed to high net interest margins in Greece. Interestingly, the impact of recapitalisations conditional to low bank competition has had a significant further impact on increasing net interest margins, which is a noteworthy case due to several Greek bank recapitalisations in the last ten years. The author’s findings are supported by local projections impulse response functions.
Originality/value
To mitigate distortions in bank competition, the author argues to accelerate steps toward the direction of the banking union and a common bank regulation framework in the euro-area.
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To the best of the author’s knowledge, the author conducts the first detailed review on the impact of ownership variables on corporate tax avoidance, based on 69 archival studies…
Abstract
Purpose
To the best of the author’s knowledge, the author conducts the first detailed review on the impact of ownership variables on corporate tax avoidance, based on 69 archival studies over the two last decades.
Design/methodology/approach
Referring to an agency-theoretical framework, the author differentiates between six categories of ownership (institutional, state, family, foreign, managerial and cross-ownership/ownership concentration). The author also includes research on ownership proxies as moderators of other determinants of tax avoidance.
Findings
The review indicates that most research refers to institutional, state and family ownership. Moreover, except for state ownership, no clear tendencies on the impact of included ownership types can be found in line with the author’s agency-theoretical framework.
Research limitations/implications
Regarding research recommendations, among others, the author stresses the urgent need for recognizing heterogeneity within and interactions between ownership proxies. Researchers should also properly address endogeneity concerns by advanced econometric models (e.g. by the difference-in-difference approach).
Practical implications
As international standard setters have implemented massive reform initiatives on both tax avoidance and corporate governance, this literature review underlines the huge interaction between those topics. Firms should carefully analyze their ownership structure and change their tax planning due to owners' individual tax preferences.
Originality/value
This analysis makes useful contributions to prior research by focusing on six categories of ownership and their impact on tax avoidance in (multinational) firms and moderating effects. The author provides a detailed overview about current archival research and likes to guide researchers to focus on ownership heterogeneity and endogeneity concerns.
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Ting Xiao, Zhi Yang and Yanhui Jiang
Which venture capital is more beneficial in the product innovation of entrepreneurial ventures? The authors study the drawbacks and different effects of corporate venture capital…
Abstract
Purpose
Which venture capital is more beneficial in the product innovation of entrepreneurial ventures? The authors study the drawbacks and different effects of corporate venture capital (CVC) and independent venture capital (IVC) on the effectiveness and efficiency of product innovation in entrepreneurial ventures to answer this question.
Design/methodology/approach
This study uses a panel dataset of 502 high-tech ventures and runs the Heckman model to correct potential endogeneity issues.
Findings
The authors find that CVC increases the product innovation effectiveness of entrepreneurial ventures, but decreases their efficiency. IVC reduces innovation effectiveness and enhances efficiency. However, CVC performs less positively, while IVC performs more positively in terms of innovation effectiveness and efficiency in the B2B market than in the B2C market.
Practical implications
This study provides insights into how to leverage venture capital to develop new products effectively and efficiently.
Originality/value
This study moves beyond the current understanding of the finance-marketing interface. It delineates the two faces of venture capital and reveals the joint effects of equity stakes and market stakes between different types of venture capital and transaction markets in product innovation.
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