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1 – 10 of 271Daniel Werner Lima Souza de Almeida, Tabajara Pimenta Júnior, Luiz Eduardo Gaio and Fabiano Guasti Lima
This study aims to evaluate the presence of abnormal returns due to stock splits or reverse stock splits in the Brazilian capital market context.
Abstract
Purpose
This study aims to evaluate the presence of abnormal returns due to stock splits or reverse stock splits in the Brazilian capital market context.
Design/methodology/approach
The event study technique was used on data from 518 events that occurred in a 30-year period (1987–2016), comprising 167 stock splits and 351 reverse stock splits.
Findings
The results revealed the occurrence of abnormal returns around the time the shares began trading stock splits or reverse stock splits at a statistical significance level of 5%. The main conclusion is that stock split and reverse stock split operations represent opportunities for extraordinary gains and may serve as a reference for investment strategies in the Brazilian stock market.
Originality/value
This study innovates by including reverse stock splits, as the existing literature focuses on stock splits, and by testing two distinct “zero” dates that of the ordinary general meeting that approved the share alteration and the “ex” date of the alteration, when the shares were effectively traded, reverse split or split.
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Assem Abu Hatab and Yves Surry
A better understanding of the determinants of demand through accurate estimates of the elasticity of import demand can help policymakers and exporters improve their market access…
Abstract
Purpose
A better understanding of the determinants of demand through accurate estimates of the elasticity of import demand can help policymakers and exporters improve their market access and competitiveness. This study analyzed the EU's demand for imported potato from major suppliers between 1994 and 2018, with the aim to evaluate the competitiveness of Egyptian potato.
Design/methodology/approach
This study adopted an import-differentiated framework to investigate demand relationships among the major potato suppliers to the EU's. To evaluate the competitiveness of Egyptian potato on the EU market, expenditure and price demand elasticities for various suppliers were calculated and compared.
Findings
The empirical results indicated that as income allocation of fresh potatoes increases, the investigated EU markets import more potatoes from other suppliers compared to imports from Egypt. The results show that EU importers may switch to potato imports from other suppliers as the import price of Egyptian potatoes increases, which enter the EU markets before domestically produced potatoes are harvested.
Research limitations/implications
Due to data unavailability, the present study relied on yearly data on quantities and prices of EU potato imports. A higher frequency of observations should allow for considering seasonal effects, and thereby providing a more transparent picture of market dynamics and demand behavior of EU countries with respect to potato import from various sources of origin.
Originality/value
The study used a system-wide and source differentiated approach to analyze import demand. In particular, the empirical approach allowed for comparing different demand models (AIDS, Rotterdam, NBR and CBS) to filter out the superior and most suitable model for that data because the suitability and performance of a demand model depends rather on data than on universal criteria.
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Qingmei Tan, Muhammad Haroon Rasheed and Muhammad Shahid Rasheed
Despite its devastating nature, the COVID-19 pandemic has also catalyzed a substantial surge in the adoption and integration of technological tools within economies, exerting a…
Abstract
Purpose
Despite its devastating nature, the COVID-19 pandemic has also catalyzed a substantial surge in the adoption and integration of technological tools within economies, exerting a profound influence on the dissemination of information among participants in stock markets. Consequently, this present study delves into the ramifications of post-pandemic dynamics on stock market behavior. It also examines the relationship between investors' sentiments, underlying behavioral drivers and their collective impact on global stock markets.
Design/methodology/approach
Drawing upon data spanning from 2012 to 2023 and encompassing major world indices classified by Morgan Stanley Capital International’s (MSCI) market and regional taxonomy, this study employs a threshold regression model. This model effectively distinguishes the thresholds within these influential factors. To evaluate the statistical significance of variances across these thresholds, a Wald coefficient analysis was applied.
Findings
The empirical results highlighted the substantive role that investors' sentiments and behavioral determinants play in shaping the predictability of returns on a global scale. However, their influence on developed economies and the continents of America appears comparatively lower compared with the Asia–Pacific markets. Similarly, the regions characterized by a more pronounced influence of behavioral factors seem to reduce their reliance on these factors in the post-pandemic landscape and vice versa. Interestingly, the post COVID-19 technological advancements also appear to exert a lesser impact on developed nations.
Originality/value
This study pioneers the investigation of these contextual dissimilarities, thereby charting new avenues for subsequent research studies. These insights shed valuable light on the contextualized nexus between technology, societal dynamics, behavioral biases and their collective impact on stock markets. Furthermore, the study's revelations offer a unique vantage point for addressing market inefficiencies by pinpointing the pivotal factors driving such behavioral patterns.
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Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.
Abstract
Purpose
Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.
Design/methodology/approach
In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model.
Findings
We show that our extended model yields a Pareto efficient outcome.
Practical implications
The capital asset pricing model (CAPM) model can be used for pricing long-lived assets.
Social implications
Long-term modelling and sustainability can be modelled in our setting.
Originality/value
Our results were only known for two periods. The extension to 3 periods opens up a large scope of applicational possibilities in asset pricing, behavioural analysis and long-term efficiency.
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Pramath Nath Acharya, Srinivasan Kaliyaperumal and Rudra Prasanna Mahapatra
In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to…
Abstract
Purpose
In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market.
Design/methodology/approach
In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect.
Findings
This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility.
Originality/value
This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.
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Christopher Amoah and Jeanne Smith
This study aims to examine the challenges for green retrofitting implementation in existing residential buildings to lower the running cost and achieve a better energy-efficient…
Abstract
Purpose
This study aims to examine the challenges for green retrofitting implementation in existing residential buildings to lower the running cost and achieve a better energy-efficient system.
Design/methodology/approach
This study adopted a qualitative approach by interviewing conveniently selected 16 construction professionals, made up of architects, quantity surveyors and engineers. Data received were analysed using the content analysis method.
Findings
The findings revealed that the main barriers to incorporating green retrofitting in the existing residential buildings as the nature of the existing structures, limited knowledge, not being a priority and high costs involved in the process. Moreover, other factors influencing property developers’ decision to apply energy-efficient principles in a residential home include cost (initial capital and maintenance), level of knowledge, nature of the climate in the area, local legislation, more independence and increasing the property’s market value and environmental aspect.
Research limitations/implications
This study is limited to South Africa; thus, the literature available was limited.
Practical implications
People’s perceptions, either wrong or correct, affect their ability to make an informed decision to adopt green retrofitting principles, thereby denying them the opportunity to reap the associated benefits. Therefore, there is an urgent need for the construction industry stakeholders and government to increase educational opportunities for property owners on the importance of green retrofitting.
Originality/value
This study provides the occupants with the possible barriers and problem areas with implementing these principles. They will thus make an informed decision when implementing sustainable design methods.
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Aleš Zebec and Mojca Indihar Štemberger
Although businesses continue to take up artificial intelligence (AI), concerns remain that companies are not realising the full value of their investments. The study aims to…
Abstract
Purpose
Although businesses continue to take up artificial intelligence (AI), concerns remain that companies are not realising the full value of their investments. The study aims to provide insights into how AI creates business value by investigating the mediating role of Business Process Management (BPM) capabilities.
Design/methodology/approach
The integrative model of IT Business Value was contextualised, and structural equation modelling was applied to validate the proposed serial multiple mediation model using a sample of 448 organisations based in the EU.
Findings
The results validate the proposed serial multiple mediation model according to which AI adoption increases organisational performance through decision-making and business process performance. Process automation, organisational learning and process innovation are significant complementary partial mediators, thereby shedding light on how AI creates business value.
Research limitations/implications
In pursuing a complex nomological framework, multiple perspectives on realising business value from AI investments were incorporated. Several moderators presenting complementary organisational resources (e.g. culture, digital maturity, BPM maturity) could be included to identify behaviour in more complex relationships. The ethical and moral issues surrounding AI and its use could also be examined.
Practical implications
The provided insights can help guide organisations towards the most promising AI activities of process automation with AI-enabled decision-making, organisational learning and process innovation to yield business value.
Originality/value
While previous research assumed a moderated relationship, this study extends the growing literature on AI business value by empirically investigating a comprehensive nomological network that links AI adoption to organisational performance in a BPM setting.
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Oli Ahad Thakur, Matemilola Bolaji Tunde, Bany-Ariffin Amin Noordin, Md. Kausar Alam and Muhammad Agung Prabowo
This study empirically investigates the relationship between goodwill assets and capital structure (i.e. debt ratio) of firms and the moderating effect of financial market…
Abstract
Purpose
This study empirically investigates the relationship between goodwill assets and capital structure (i.e. debt ratio) of firms and the moderating effect of financial market development on the relationship between goodwill assets and capital structure.
Design/methodology/approach
This research applied a quantitative method. The article collects large samples of listed firms from 23 developing and nine developed countries and applied the panel data techniques. This research used firm-level data from the DataStream database for both developed and developing countries. The study uses 4,912 firm-level data from 23 developing countries and 4,303 firm-level data from nine developed countries.
Findings
The findings reveal a significant positive relationship between goodwill assets and capital structure in developing countries, but goodwill assets have a significant negative relationship with capital structure in developed countries. Moreover, financial market development positively moderates the relationship between goodwill assets and the capital structure of firms in developing countries. The results inform firm managers that goodwill assets serve as additional collateral to secure debt financing. Moreover, policymakers should formulate a debt market policy that recognizes goodwill assets as additional collateral for the purpose of obtaining debt capital.
Research limitations/implications
The study has several implications. First, goodwill assets are identified as a factor of capital structure in this study. Fixed assets have been identified as one of the drivers of capital structure in previous research, although goodwill assets are seldom included. Second, this article shows that along with demand-side determinants, supply-side determinants also play an important role in terms of the firms' choice about the capital structure. Therefore, firms should take both the demand-side and supply-side factors into consideration when sourcing for external financing (i.e. debt capital).
Originality/value
The study considered goodwill as a component of capital structure. The study analysis includes a large sample of enterprises, including 4,912 big firms from 23 developing countries and 4,303 large firms from nine industrialized or developed countries, which adds to the current capital structure information. Furthermore, a large sample size increases the results' robustness and generalizability.
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Evangelos Vasileiou, Elroi Hadad and Georgios Melekos
The objective of this paper is to examine the determinants of the Greek house market during the period 2006–2022 using not only economic variables but also behavioral variables…
Abstract
Purpose
The objective of this paper is to examine the determinants of the Greek house market during the period 2006–2022 using not only economic variables but also behavioral variables, taking advantage of available information on the volume of Google searches. In order to quantify the behavioral variables, we implement a Python code using the Pytrends 4.9.2 library.
Design/methodology/approach
In our study, we assert that models relying solely on economic variables, such as GDP growth, mortgage interest rates and inflation, may lack precision compared to those that integrate behavioral indicators. Recognizing the importance of behavioral insights, we incorporate Google Trends data as a key behavioral indicator, aiming to enhance our understanding of market dynamics by capturing online interest in Greek real estate through searches related to house prices, sales and related topics. To quantify our behavioral indicators, we utilize a Python code leveraging Pytrends, enabling us to extract relevant queries for global and local searches. We employ the EGARCH(1,1) model on the Greek house price index, testing several macroeconomic variables alongside our Google Trends indexes to explain housing returns.
Findings
Our findings show that in some cases the relationship between economic variables, such as inflation and mortgage rates, and house prices is not always consistent with the theory because we should highlight the special conditions of the examined country. The country of our sample, Greece, presents the special case of a country with severe sovereign debt issues, which at the same time has the privilege to have a strong currency and the support and the obligations of being an EU/EMU member.
Practical implications
The results suggest that Google Trends can be a valuable tool for academics and practitioners in order to understand what drives house prices. However, further research should be carried out on this topic, for example, causality relationships, to gain deeper insight into the possibilities and limitations of using such tools in analyzing housing market trends.
Originality/value
This is the first paper, to the best of our knowledge, that examines the benefits of Google Trends in studying the Greek house market.
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David Korsah, Godfred Amewu and Kofi Osei Achampong
This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress…
Abstract
Purpose
This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress (FS), and returns as well as volatilities on seven carefully selected stock markets in Africa. Specifically, the study intends to unravel the co-movement and interdependence between the respective macroeconomic shock indicators and each of the stock markets under consideration across time and frequency.
Design/methodology/approach
This study employed wavelet coherence approach to examine the strength and stability of the relationships across different time scales and frequency components, thereby providing valuable insights into specific periods and frequency ranges where the relationships are particularly pronounced.
Findings
The study found that GEPU, Financial Stress (FS) and GPR failed to induce significant influence on African stock market returns in the short term (0–4 months band), but tend to intensify in the long-term band (after 6th month). On the contrary, stock market volatilities exhibited strong coherence and interdependence with GEPU, FSI and GPR in the short-term band.
Originality/value
This study happens to be the first of its kind to comprehensively consider how the aforementioned macro-economic shock indicators impact stock markets returns and volatilities over time and frequency. Further, none of the earlier studies has attempted to examine the relationship between macro-economic shocks, stock returns and volatilities in different crisis periods. This study is the first of its kind in to employ data spanning from May 2007 to April 2023, thereby covering notable crisis periods such as global financial crisis (GFC) and the COVID-19 pandemic episodes.
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