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1 – 10 of 309Kajal Lahiri, Huaming Peng and Xuguang Simon Sheng
From the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined or ensemble forecast should be interpreted as that of a typical…
Abstract
From the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined or ensemble forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. This uncertainty formula should incorporate forecaster discord, as justified by (i) disagreement as a component of combined forecast uncertainty, (ii) the model averaging literature, and (iii) central banks’ communication of uncertainty via fan charts. Using new statistics to test for the homogeneity of idiosyncratic errors under the joint limits with both T and n approaching infinity simultaneously, the authors find that some previously used measures can significantly underestimate the conceptually correct benchmark forecast uncertainty.
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Mostafa Monzur Hasan and Adrian (Wai Kong) Cheung
This paper aims to investigate how organization capital influences different forms of corporate risk. It also explores how the relationship between organization capital and risks…
Abstract
Purpose
This paper aims to investigate how organization capital influences different forms of corporate risk. It also explores how the relationship between organization capital and risks varies in the cross-section of firms.
Design/methodology/approach
To test the hypothesis, this study employs the ordinary least squares (OLS) regression model using a large sample of the United States (US) data over the 1981–2019 period. It also uses an instrumental variable approach and an errors-in-variables panel regression approach to mitigate endogeneity problems.
Findings
The empirical results show that organization capital is positively related to both idiosyncratic risk and total risk but negatively related to systematic risk. The cross-sectional analysis shows that the positive relationship between organization capital and idiosyncratic risk is significantly more pronounced for the subsample of firms with high information asymmetry and human capital. Moreover, the negative relationship between organization capital and systematic risk is significantly more pronounced for firms with greater efficiency and firms facing higher industry- and economy-wide risks.
Practical implications
The findings have important implications for investors and policymakers. For example, since organization capital increases idiosyncratic risk and total risk but reduces systematic risk, investors should take organization capital into account in portfolio formation and risk management. Moreover, the findings lend support to the argument on the recognition of intangible assets in financial statements. In particular, the study suggests that standard-setting bodies should consider corporate reporting frameworks to incorporate the disclosure of intangible assets into financial statements, particularly given the recent surge of corporate intangible assets and their critical impact on corporate risks.
Originality/value
To the best of the authors' knowledge, this is the first study to adopt a large sample to provide systematic evidence on the relationship between organization capital and a wide range of risks at the firm level. The authors show that the effect of organization capital on firm risks differs remarkably depending on the kind of firm risk a particular risk measure captures. This study thus makes an original contribution to resolving competing views on the effect of organization capital on firm risks.
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Yongwon Kim, Inwook Song and Young Kyu Park
Using overlapped portfolio data on public equity funds in Korea, the authors construct several types of fund-stock weighted bipartite networks and measure fund network centrality…
Abstract
Using overlapped portfolio data on public equity funds in Korea, the authors construct several types of fund-stock weighted bipartite networks and measure fund network centrality. The authors also examine the relationship between network centrality and fund investment performance. The authors' results are three-fold. First, the authors find that the fund centrality of the network in which funds and stocks are connected based on the most active investing behavior positively affects the fund performance. Second, the funds with a high centrality level based on the same network generate higher returns by holding stocks with high value uncertainty. Third, the authors find that fund centrality is not associated with herd behavior. Based on these results, the authors argue that fund centrality is a proxy of information advantage and skill of fund managers. The authors' paper shows that network analysis could be a new way to identify funds with better performance and measure the skill and information advantage to construct an optimal portfolio.
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Michael Rothgang and Bernhard Lageman
This study, a conceptual paper, aims an answer the question, how significant cluster ambidexterity is for the resilience of individual clusters.
Abstract
Purpose
This study, a conceptual paper, aims an answer the question, how significant cluster ambidexterity is for the resilience of individual clusters.
Design/methodology/approach
The authors draw up an abductive synopsis of empirical information and relevant theoretical sources. A case study is used to illustrate some of the findings.
Findings
The results of the analysis show that the ambidexterity of a cluster can contribute to its resilience when adverse external developments arise. Ambidexterity proves to be simultaneously a common strategy of key cluster actors and a mechanism for coping with critical situations and developments that can be activated by the cluster actors and may – eventually – lead to cluster resilience. While ambidexterity does not guarantee cluster survival, it can contribute significantly to their economic resilience under adverse conditions.
Research limitations/implications
The concept is developed on a limited empirical basis and would need to be tested and deepened by comparing a wide range of case studies from different clusters.
Practical implications
A better understanding of the importance of ambidexterity for the development of industrial clusters contributes to a better fine-tuning of cluster support policies.
Originality/value
Ambidexterity as a concept originating from business administration has so far only been rudimentarily tapped for empirical and theoretical cluster research. The paper identifies and develops a path how this could be accomplished to a greater extent in the future.
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Murniati Mukhlisin, Nurizal Ismail and Reza Jamilah Fikri
This study aims to analyse whether theories and views of classical Islamic scholars are widely adopted as references in Islamic accounting and finance (IAF), Islamic economics…
Abstract
Purpose
This study aims to analyse whether theories and views of classical Islamic scholars are widely adopted as references in Islamic accounting and finance (IAF), Islamic economics (IE) and Islamic business management (IBM) research studies as part of their contribution to solving current economic and financial problems.
Design/methodology/approach
The research adopts a qualitative meta-analysis methodology using NVivo 12 with selected data from 474 international journal articles published between 1981 and 2021. The study considers 172 IAF articles, 111 IE articles and 191 IBM articles.
Findings
The results of the study show that the use of theories and views of classical Islamic scholars is not widespread among the examined research papers. The findings show that 90% of researchers tend to acquire modern economics, management, psychological and sociological theories instead of classical theories. Both modern and classical theories have been discussed in the studied articles namely agency theory, stakeholders' theory, ḥisbah (accountability), maqāṣid al-Sharīʿah (objectives of Islamic law) and waʿd (unilateral promise). The gaps prevail not only in the taxonomy of terms but also in the choice of paradigm references. It is found that 66% of the 474 journal articles adopt a positivist paradigm, followed by interpretivism (19%), post-structuralism (9%) and critical orientation (6%).
Research limitations/implications
This paper considers only ABS ranking journal articles. Future research may consider other journal articles from different ranking groups such as Scopus or Thomson & Reuters.
Practical implications
The paper sheds light on how Islamic educational institutions can develop strategies for the Integration of Knowledge (IOK) in their curriculum.
Social implications
This paper helps to shape the Muslims' way of thinking within an Islamic worldview which will lead to an Islamic way of expressing knowledge, skill and behaviour.
Originality/value
This paper contributes to the model of IOK that has been deliberated among Islamic universities, especially those that develop IAF, IE and IBM studies.
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Farrukh Naveed, Idrees Khawaja and Lubna Maroof
This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has…
Abstract
Purpose
This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure.
Design/methodology/approach
The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used.
Findings
The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences.
Practical implications
As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure.
Originality/value
To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.
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Using a large firm-level data set, this paper examines total factor productivity (TFP) and its determinants in the Ecuadorian manufacturing sector in the period 2007–2018.
Abstract
Purpose
Using a large firm-level data set, this paper examines total factor productivity (TFP) and its determinants in the Ecuadorian manufacturing sector in the period 2007–2018.
Design/methodology/approach
I analyze the role played by traditional TPF determinants, including internal firm characteristics, international trade activities, financial constraints and competition intensity. I contribute to the literature by presenting quantile regression results. Moreover, I analyze industry patterns, distinguishing between industries according to their technological intensity (following the organisation for economic co-operation and development classification).
Findings
My results confirm that firm age is positively related to TFP level but negatively related to TFP growth. I also find that being an exporter and an importer at the same time is associated with higher TFP levels and that this effect is higher than when being only an exporter or an importer. Additionally, l find that credit is positively related to TFP levels. Finally, I find that more competition is positively related to productivity in lower quantiles of output.
Practical implications
The results are the source of tools to propose policy recommendations, which are stated in the present document.
Originality/value
This paper aims to reopen the debate of firm productivity determinants in a developing country such as Ecuador. The authors use a set of covariates less analyzed in this issue.
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Mohammadreza Tavakoli Baghdadabad
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Abstract
Purpose
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Design/methodology/approach
We estimate a cross-sectional model of expected entropy that uses several common risk factors to predict idiosyncratic entropy.
Findings
We find a negative relationship between expected idiosyncratic entropy and returns. Specifically, the Carhart alpha of a low expected entropy portfolio exceeds the alpha of a high expected entropy portfolio by −2.37% per month. We also find a negative and significant price of expected idiosyncratic entropy risk using the Fama-MacBeth cross-sectional regressions. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
Originality/value
We propose a risk factor of idiosyncratic entropy and explore the relationship between this factor and expected stock returns. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
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Johannes Strobel, Kevin D. Salyer and Gabriel S. Lee
The purpose of this paper is to analyze the credit channel effects on investment behavior for the US and the Euro area.
Abstract
Purpose
The purpose of this paper is to analyze the credit channel effects on investment behavior for the US and the Euro area.
Design/methodology/approach
This paper uses the dynamic stochastic general equilibrium model and calibrates a version of the Carlstrom and Fuerst’s (1997) agency cost model of business cycles with time-varying uncertainty in the technology shocks that affect capital production. To highlight the differences between the US and European financial sectors, the paper focuses on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates.
Findings
This paper shows that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in real and financial variables and depend on the type of shocks. The results imply that the Euro areas supply elasticities for capital are less elastic than that of the USA following a technology shock. Finally, the authors find that the adverse impact of uncertainty shocks is heterogeneous across countries and amplified by the steady-state bankruptcy rate and risk premium.
Originality/value
This paper quantifies the effects of uncertainty shocks when there is a credit channel due to asymmetric information between lenders and borrowers for the Euro area countries, and then compares the results to that of the USA. This paper shows that financial accelerator mechanism could potentially play a significant role in business cycles in the Euro area. This result directly lends one to conclude the following: the credit channel that affects the financial sector does indeed matter for macroeconomic behavior, and that policy makers should be attentive in smoothing out uncertainties if the economic policies are to lower the business and financial cycle volatilities.
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Jeff Vanevenhoven, Doan Winkel, Debra Malewicki, William L. Dougan and James Bronson
We offer a theoretical account of how two types of bricolage influence the entrepreneurial process. The first type involves social relationships or physical or functional assets…
Abstract
We offer a theoretical account of how two types of bricolage influence the entrepreneurial process. The first type involves social relationships or physical or functional assets, and thus pertains to an entrepreneurʼs external resources used in the instantiation of operations of a new venture. The second type pertains to an entrepreneurʼs internal resources‐experiences, credentials, knowledge, and certifications‐which the entrepreneur appropriates, assembles, modifies and deploys in the presentation of a narrative about the entrepreneurial process. We argue that both types of bricolage are essential to the success of a venturing attempt.
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