Search results
1 – 10 of over 9000Russel Poskitt and Peihong Yang
This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ…
Abstract
This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ two microstructure models and an intraday data set to measure information risk in a sample of 71 stocks. Our empirical results show that the reforms enacted in December 2002 had no significant effect on either the level of information‐based trading or the adverse selection component of market spreads in our sample of NZX‐listed stocks.
Details
Keywords
Maurizio d'Amato, Nikolaj Siniak and Giulia Mastrodonato
The purpose of this study is providing a possible methodological solution to the valuation of cyclical.assets. International Valuation Standards introduce a brand new definition…
Abstract
Purpose
The purpose of this study is providing a possible methodological solution to the valuation of cyclical.assets. International Valuation Standards introduce a brand new definition of property: the cyclical asset (International Valuation Standards Council 2017, IVS 105, p. 39 and p. 41). Among different property valuation methods, normally this kind of properties is appraised using income approach. In this group of methodology, the opinion of value is based on a proportional relationship between property value and rent. In the past years, a group of methods called cyclical capitalization has been proposed (d’Amato, 2003; d’Amato, 2013;d’Amato, 2015; d’Amato, 2017a; d’Amato 2017 b; d’Amato, 2017c). This method proposes an integration between property valuation and property market cycle.
Design/methodology/approach
Cyclical capitalization method is applied using a time series of property market rent of offices in prime location in the South Bank area in London. It consists of the determination of more than one all-risk yield to reproduce the property market cycle.
Findings
A comparison between the cyclical capitalization and two traditional capitalization rate shows how the proposed model is able to provide a stable opinion of value.
Research limitations/implications
The method may represent a contribution for the determination of the value of cyclical assets or for the mortgage lending value.
Practical implications
This paper provides the possibility to have a property valuation method less sensitive to upturn and downturn of the property market.
Social implications
The valuation based on cyclical capitalization are less sensitive to the upturn and the downturn of the market.
Originality/value
It is one of the first scientific paper addressing the problem of the determination of the value of cyclical assets.
Details
Keywords
Pankaj Sinha and Shalini Agnihotri
This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR…
Abstract
Purpose
This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied.
Design/methodology/approach
In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method.
Findings
It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms.
Research limitations/implications
This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc.
Practical implications
This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy.
Originality/value
This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.
Details
Keywords
Ying Zhang, Xing Lu and Wikrom Prombutr
The authors investigate the extent to which online talk can influence contemporaneous and future stock trading, especially when market news is unpresented.
Abstract
Purpose
The authors investigate the extent to which online talk can influence contemporaneous and future stock trading, especially when market news is unpresented.
Design/methodology/approach
The authors propose an improved sentiment formula incorporating online hype, neutral sentiment and poster reputation. In addition, they conduct event study, OLS regression analyses and probit models.
Findings
First, investors tend to be more talkative in relation to firms that are (1) smaller size, (2) more growth-like, (3) with lower prices and higher short interests and (4) of higher beta. Second, the bullish tone of investors positively affects the abnormal returns of small-capitalization stocks. However, online talk has little impact on large-capitalization stocks, except that more postings boost trading liquidity. Third, online talk predicts the presence of future news regardless of firm size, with stronger predictive power found for small-capitalization stocks.
Practical implications
It is of interest to practitioners and researchers to study online talk so as to better understand the trading psychology of retail investors and the effects on the stock market. Furthermore, policymakers are interested in tracking activities on stock message boards in order to prevent security fraud and protect investors' interests.
Originality/value
The results are robust and suggest that online talk has significant impacts on stock trading exploiting an information asymmetry. This study of stock message board posting activities helps researchers to understand whether message contents contain valuable and unique content compared with information available via more traditional media channels.
Details
Keywords
Jarrod Kerr, Mei Qiu and Lawrence C. Rose
The paper aims to investigate the long‐run performance of privatised initial public offerings (IPOs) and their effects on the New Zealand share market (NZSE) and the Australian…
Abstract
Purpose
The paper aims to investigate the long‐run performance of privatised initial public offerings (IPOs) and their effects on the New Zealand share market (NZSE) and the Australian share market (ASX).
Design/methodology/approach
The paper examines the relationship between privatisation and share market capitalisation, liquidity and share ownership. The research also evaluates long‐run risk‐return performance of the privatised companies' portfolios.
Findings
The analysis reveals that privatisations have significantly increased share market capitalisation and have impacted on the market liquidity. In general, anyone investing in privatised companies' portfolios could have received significantly higher returns than investing in an aggregate market portfolio.
Originality/value
The findings have significant practical implications for individual and institutional investors.
Details
Keywords
Mondher Bouattour and Anthony Miloudi
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors…
Abstract
Purpose
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.
Design/methodology/approach
This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.
Findings
Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.
Research limitations/implications
This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.
Practical implications
This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.
Originality/value
This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.
Details
Keywords
Simon C. Mueller, Alex Bakhirev, Markus Böhm, Marina Schröer, Helmut Krcmar and Isabell M. Welpe
The purpose of this paper is to develop a method to quantify the digital economy using a representative measurement approach and use it to analyze the USA, Germany, the Republic…
Abstract
Purpose
The purpose of this paper is to develop a method to quantify the digital economy using a representative measurement approach and use it to analyze the USA, Germany, the Republic of Korea and Sweden.
Design/methodology/approach
The research approach of this paper is based on a developed methodology to identify firms of the digital economy by measuring the market capitalization of selected countries in comparison over time using financial databases.
Findings
Comparing the market capitalization of the digital economy, the USA lead both in absolute as well as in relative terms. The 11 firms with the largest market capitalization are all American. For Germany, the results show that policy measures should be undertaken to ameliorate competitiveness in the field.
Research limitations/implications
This current measurement only includes public firms. An interesting avenue for future research would be to transfer the approach to investigate private firms.
Originality/value
Previous research has focused on comparing information and communication technologies adoption and infrastructure as well as innovation hubs between countries. The authors are not aware of any paper to date which has compared market capitalization in the digital economy between countries using a representative sample. This paper offers a research approach to measure and compare the digital economy between countries. The methodology could be applied to other countries which seek to benchmark their performance and derive policy measures to be able to compete with jurisdictions leading in the digital economy.
Details
Keywords
The purpose of this paper is to provide an integrated approach that combines the two methods usually used in the real estate appraisals, namely, the income capitalisation method…
Abstract
Purpose
The purpose of this paper is to provide an integrated approach that combines the two methods usually used in the real estate appraisals, namely, the income capitalisation method and the hedonic model.
Design/methodology/approach
In order to pull out the link between the income capitalisation approach and the hedonic model, the standard hedonic price function is introduced into the basic model of income capitalisation instead of the house market value. It follows that, from the partial derivative, a direct relation between hedonic prices and discount rate can be obtained. Finally, by using the close relationship between income capitalisation and direct capitalisation, a mathematical relation between hedonic prices and capitalisation rate is also obtained.
Findings
The developed method allows to estimate the capitalisation rate using only hedonic prices. Indeed, selling and hedonic prices incorporate all of the information required to correctly estimate the capitalisation rate. Furthermore, given the close relation among going-in and going-out capitalisation rates and discount rate, the proposed method could also be useful for determining both the going-out capitalisation rate and the discount rate.
Practical implications
Obviously, it is always preferable to estimate the capitalisation rate by just using comparable transactional data. Nevertheless, the method developed in this paper is especially useful when: the rental income data are missing and/or not entirely reliable; the data on rental income and house price are related to different homes; the capitalisation rate, in fact, should compare the rent and value of identical homes. In these cases, therefore, the method can be a valuable alternative to direct estimation.
Originality/value
The large and important literature on real estate economics and real estate appraisal neglects the relationship between hedonic prices and capitalisation rate, thus considering the hedonic model and the income capitalisation approach as two separate and alternative methods. This paper, instead, shows that integration is possible and relatively simple.
Details
Keywords
Ihtisham Abdul Malik and Shehla Amjad
This paper aims to investigate the impact of FDI on the stock market development in Pakistan, both aggregate as well as sector wise, the reason being that no such work has been…
Abstract
Purpose
This paper aims to investigate the impact of FDI on the stock market development in Pakistan, both aggregate as well as sector wise, the reason being that no such work has been carried out in this context.
Design/methodology/approach
The study is based on secondary data for the period 1985‐2011. Johansen co‐integration approach is used for determining relationship among variables for aggregate stock market development in long run. Granger causality test is also applied to check the causal relation between the variables. Correlation analysis and regression analysis has been used for examining the relationship of sector wise development, FDI and economic growth in Pakistan.
Findings
The results support the positive role of FDI in boosting the aggregate stock market development in long run. Bi‐directional causality between FDI and economic growth has been found along with the uni‐directional causality between aggregate stock market development and economic growth. For sector wise development the relationship of FDI is positive in the sectors where FDI concentration is high in recent years whereas and negative in other sectors.
Originality/value
Co‐integration coefficients showed a positive and statistically strong relationship between FDI and aggregate market capitalization thus reflecting the complementary role of FDI in the stock market development of Pakistan.
Details
Keywords
Eduardo Saucedo and Jorge González
Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict…
Abstract
Purpose
Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust econometric model to better predict the performance of the Mexican Stock Market.
Design/methodology/approach
The study divides the Mexican Stock Market into six different portfolios. The criteria to build those portfolios are the same one used in Fama–French (1992). The study comprises 78 stocks listed in the Mexican Stock Market that are analyzed monthly during 1997–2018. The study analyzes the period before and after the 2008–2009 financial crisis to identify whether there are important changes. The estimation applies the traditional and an extended version of the FFM that include macroeconomic variables such as country risk, economic activity, inflation rate, and exchange rate and some financial variables recommended in the literature.
Findings
Results indicate that classic FFM variables are statistically significant in most cases, but relevant macroeconomic variables such as the interest rate, exchange rate and country risk stand out for being weakly relevant in most of the portfolios. However, it is noticed that some of these macroeconomic variables became relevant for different portfolios only after the 2008–2009 crisis, especially in portfolios which include small market capitalization firms.
Research limitations/implications
The study includes the stocks listed in the Mexican Stock Market. One limitation is the small number of stocks available, which reduces the possibility of creating well diversified portfolios. This study includes 78 stocks. The stocks removed from the sample are from firms that were not listed during six consecutive months or whose market capitalization did not change in the same period. Outlier data were removed from the sample to capture in better way the general performance of the stock market.
Practical implications
The objective of the extended version is to create a more robust econometric model than the traditional model. It is expected that such estimations can be helpful to investors to make better decisions when they try to predict performance in the stock market.
Social implications
An extended version of the FFM can be helpful to investors to make better decisions when they try to predict performance in the stock market.
Originality/value
To the best of our knowledge there are no more studies in the literature of the Mexican financial market that apply the same methodology.
Details