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Book part
Publication date: 4 April 2024

Chih-Chen Hsu, Kai-Chieh Chia and Yu-Chieh Chang

This study investigates the efficiency of value relevance and faithful representation when stock market price derivates from its firm value to the investigated IT companies listed…

Abstract

This study investigates the efficiency of value relevance and faithful representation when stock market price derivates from its firm value to the investigated IT companies listed in FTSE Taiwan 50. The empirical investigation reveals one financial indicators: Return on equity (ROE) has explanatory ability among seven financial indicators, earnings per share (EPS), book value (BV), dividend yield (Div.), price–earnings ratio (P/E), ROE, return on assets (ROA), and return on operating asset (ROOA) to both sampled companies, United Microelectronics Corporation, UMC, (2303) and Taiwan Semiconductor Manufacturing Company Limited, TSMC, (2330). Furthermore, the empirical results indicate that the higher order moments, skewness and kurtosis, of price deviation do not provide a reliable prediction or explanatory power for stock price trends.

Article
Publication date: 24 October 2023

Manuel Lobato, Mario Jordi Maura, Javier Rodriguez and Herminio Romero-Perez

This study aims to examine investor attention by exploring the trading behavior of investors in US-based exchange traded funds (ETFs) of countries active in the Federation…

Abstract

Purpose

This study aims to examine investor attention by exploring the trading behavior of investors in US-based exchange traded funds (ETFs) of countries active in the Federation Internationale de Football Association (FIFA) World Cups.

Design/methodology/approach

The present study employs event study methodology to measure abnormal returns and excess trading volume of country-specific ETFs during six FIFA World Cups. The sample of ETFs includes 19 participating countries.

Findings

Consistent with investor behavior that might be explained by attention effect, the study finds that country-specific ETFs from participating countries do indeed behave differently during FIFA World Cups events. The authors find significant evidence of abnormal trading volume and, albeit weaker, abnormal returns during cups.

Originality/value

This study contributes to the literature on investor behavior, linking investor attention with salient sports events.

Details

American Journal of Business, vol. 39 no. 1
Type: Research Article
ISSN: 1935-5181

Keywords

Article
Publication date: 2 January 2024

Andreas Wibowo

This paper delves into the ex ante rates of return demanded by the private sector in Indonesian public–private partnership (PPP) infrastructure projects and the manifold factors…

Abstract

Purpose

This paper delves into the ex ante rates of return demanded by the private sector in Indonesian public–private partnership (PPP) infrastructure projects and the manifold factors emanating from project attributes that can influence these rates.

Design/methodology/approach

This paper analyzes feasibility studies of 37 PPP projects across different sectors. The studies were carefully selected based on relevance, completeness and validity of data. The analysis uses statistical techniques, including Levene’s tests, t-tests, ANOVA tests, Cohen’s effect size and Pearson correlations, to explore differences in cost of capital and excess returns across various attributes.

Findings

Based on the statistical analysis, no significant difference exists between the excess return of 200 basis points (bps) and the equity excess return of 0 bps. This suggests that the eligibility criteria for PPP projects require an internal rate of return (IRR) equal to the weighted average cost of capital plus 200 bps or an equity IRR equal to the cost of equity. The variations in the tested variables among diverse project attributes do not exhibit statistically significant disparities, even though specific attributes display moderate to high effect sizes.

Originality/value

This paper represents one of the first attempts to examine the rates of return demanded by the private sector in the context of Indonesian PPP projects. It comprehensively explores the factors that influence these rates, drawing on insights derived from feasibility studies.

Details

Built Environment Project and Asset Management, vol. 14 no. 2
Type: Research Article
ISSN: 2044-124X

Keywords

Article
Publication date: 14 November 2023

Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav and Pankaj Kumar

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a…

Abstract

Purpose

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.

Design/methodology/approach

This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.

Findings

The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.

Originality/value

This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

Details

Journal of Modelling in Management, vol. 19 no. 3
Type: Research Article
ISSN: 1746-5664

Keywords

Article
Publication date: 25 May 2023

Md Noor Uddin Milon and Habib Zafarullah

Money laundering (ML) is a major criminal offence stemming from unethical practices by personnel on the ground at Chattogram Port, an important import and export facility in…

Abstract

Purpose

Money laundering (ML) is a major criminal offence stemming from unethical practices by personnel on the ground at Chattogram Port, an important import and export facility in Bangladesh. Because money can be more easily laundered through imports, it is necessary to investigate the dubious process in this sector. This study aims to identify the items most regularly used for easy ML and the factors contributing to their vulnerability.

Design/methodology/approach

This research uses a qualitative approach and analyses information from primary sources. Data is obtained from customs officials, port authority personnel, importers and customs brokers through semi-structured questionnaires. Although there are many techniques for ML, this study only found three most overwhelming: under-invoicing, over-invoicing and misdeclaration. A few case studies have been used based on newspaper reports and the internet to triangulate the qualitative data.

Findings

Four import items – food products, garments, capital machinery and chemicals – have a higher risk of ML. This study also revealed that money launderers prefer under-invoicing food and garment items. Misdeclaration is more commonly associated with capital machinery and chemical items. Over-invoicing, on the other hand, is only prevalent in government purchases. The port authorities need to pay particular attention to these issues.

Research limitations/implications

As ML is an ongoing activity that changes over time, the findings of this research are circumscribed by the data collected at a single point in time. Additionally, this research did not consider alternative laundering methods.

Practical implications

The research results can provide a basis for creating effective anti-money laundering (AML) strategies to assist with sustainable economic growth.

Social implications

Developing effective AML measures can help combat corruption and establish good governance in the country and support human well-being.

Originality/value

This paper presents original research findings based on technical analysis. The Chattogram Port Authority and the National Board of Revenue have accepted and used the main findings in a collaborative action plan to tackle ML. The Bangladesh Bank, the country’s central bank, has also incorporated the necessary guidelines and regulations into the Money Laundering Prevention Act, 2012.

Details

Journal of Money Laundering Control, vol. 27 no. 3
Type: Research Article
ISSN: 1368-5201

Keywords

Article
Publication date: 7 July 2023

Hardeep Singh Mundi and Shailja Vashisht

This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance…

Abstract

Purpose

This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance analysis and science mapping and thematic analysis of studies on disposition effect.

Design/methodology/approach

This study adopted a thematic and bibliometric analysis of the papers related to the disposition effect. A total of 231 papers published from 1971 to 2021 were retrieved from the Scopus database for the study, and bibliometric analysis and thematic analysis were performed.

Findings

This study’s findings demonstrate that research on the disposition effect is interdisciplinary and influences the research in the domain of both corporate and behavioral finance. This review indicates limited research on cross-country data. This study indicates a strong presence of work on investor psychology and behavioral finance when it comes to the disposition effect. The findings of thematic analysis further highlight that most of the research has focused on prospect theory, trading strategies and a few cognitive and emotional biases.

Practical implications

The findings of this study can be used by investors to minimize their biases and losses. The study also highlights new techniques in machine learning and neurosciences, which can help investment firms better understand their clients’ behavior. Policymakers can use the study’s findings to nudge investors’ behavior, focusing on minimizing the effects of the disposition effect.

Originality/value

This study has performed the quantitative bibliometric and thematic analysis of existing studies on the disposition effect and identified areas of future research on the phenomenon of disposition effect in investments.

Details

Qualitative Research in Financial Markets, vol. 16 no. 2
Type: Research Article
ISSN: 1755-4179

Keywords

Article
Publication date: 17 July 2023

Ha Nguyen, Yihui Lan and Sirimon Treepongkaruna

Prior studies use two measures of firm-specific return variation (FSRV): idiosyncratic volatility in absolute and relative terms, the latter of which is also termed stock price…

Abstract

Purpose

Prior studies use two measures of firm-specific return variation (FSRV): idiosyncratic volatility in absolute and relative terms, the latter of which is also termed stock price nonsynchronicity. Whereas most research focuses on investigating the idiosyncratic volatility puzzle, the authors carry out comparison of these two measures and further investigate which of the two constituents of nonsynchronicity explain the association between FSRV and stock returns, emphasising the importance of assessing which component drives stock returns.

Design/methodology/approach

The authors use the US individual stock returns from 1925 to 2016 and define the two measures of FRSV based on the Fama and French (1993) model. Specifically, the authors decompose the relative measure into two components: (i) absolute idiosyncratic volatility and (ii) systematic volatility. The authors conduct various tests based on high-minus-low, zero-investment quintile portfolio sorts and perform the Fama–MacBeth analysis by singling out each component.

Findings

The authors find a positive return on the portfolio sorted on relative idiosyncratic volatility or on systematic volatility, but find a negative return sorted on absolute idiosyncratic volatility. The results are robust after controlling for size, BM and other risk characteristics using a double-sorting approach. The Fama–MacBeth regression results show that a positive association between the relative measure and stock returns is driven primarily by the low-systematic-volatility anomaly across firms. The findings are robust to controlling for return residual momentum, skewness, jumps and information discreteness.

Originality/value

Extant research posits the idiosyncratic volatility puzzle and the low-volatility anomaly. The authors emphasize the importance of integrating these two streams of research. This study enhances the understanding of the driving force underlying the relationship between FSRV and cross-sectional stock returns.

Article
Publication date: 26 March 2024

Yingjie Ju, Jianliang Yang, Jingping Ma and Yuehang Hou

The objective of this study is to explore the impact of a government-supported initiative for operational security, specifically the establishment of the national security…

Abstract

Purpose

The objective of this study is to explore the impact of a government-supported initiative for operational security, specifically the establishment of the national security emergency industry demonstration base, on the profitability of local publicly traded companies. Additionally, the study investigates the significance of firms' blockchain strategies and technologies within this framework.

Design/methodology/approach

Using the differences-in-differences (DID) approach, this study evaluates the impact of China's national security emergency industry demonstration bases (2015–2022) on the profitability of local firms. Data from the China Research Data Service (CNRDS) platform and investor Q&As informed our analysis of firms' blockchain strategy and technology, underpinned by detailed data collection and a robust DID model.

Findings

Emergency industry demonstration bases have notably boosted enterprise profitability in both return on assets (ROA) and return on equity (ROE). Companies adopting blockchain strategies and operational technology see a clear rise in profitability over non-blockchain peers. Additionally, the technical operation of blockchain presents a more pronounced advantage than at the strategic level.

Originality/value

We introduced a new perspective, emphasizing the enhancement of corporate operational safety and financial performance through the pathway of emergency industry policies, driven by the collaboration between government and businesses. Furthermore, we delved into the potential application value of blockchain strategies and technologies in enhancing operational security and the emergency industry.

Details

Industrial Management & Data Systems, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0263-5577

Keywords

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