Search results
1 – 10 of 151Laurens Swinkels and Thijs Markwat
To better understand the impact of choosing a carbon data provider for the estimated portfolio emissions across four asset classes. This is important, as prior literature has…
Abstract
Purpose
To better understand the impact of choosing a carbon data provider for the estimated portfolio emissions across four asset classes. This is important, as prior literature has suggested that Environmental, Social and Governance scores across providers have low correlation.
Design/methodology/approach
The authors compare carbon data from four data providers for developed and emerging equity markets and investment grade and high-yield corporate bond markets.
Findings
Data on scope 1 and scope 2 is similar across the four data providers, but for scope 3 differences can be substantial. Carbon emissions data has become more consistent across providers over time.
Research limitations/implications
The authors examine the impact of different carbon data providers at the asset class level. Portfolios that invest only in a subset of the asset class may be affected differently. Because “true” carbon emissions are not known, the authors cannot investigate which provider has the most accurate carbon data.
Practical implications
The impact of choosing a carbon data provider is limited for scope 1 and scope 2 data for equity markets. Differences are larger for corporate bonds and scope 3 emissions.
Originality/value
The authors compare carbon accounting metrics on scopes 1, 2 and 3 of corporate greenhouse gas emissions carbon data from multiple providers for developed and emerging equity and investment grade and high yield investment portfolios. Moreover, the authors show the impact of filling missing data points, which is especially relevant for corporate bond markets, where data coverage tends to be lower.
Details
Keywords
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.
Details
Keywords
Ahlem Lamine, Ahmed Jeribi and Tarek Fakhfakh
This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021…
Abstract
Purpose
This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.
Design/methodology/approach
The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.
Findings
Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.
Originality/value
The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
Details
Keywords
Phuong Thi Ly Nguyen, Nha Thanh Huynh and Thanh Thanh Canh Huynh
The authors investigate how foreign investment in securities market informs about the future firm performance in emerging markets.
Abstract
Purpose
The authors investigate how foreign investment in securities market informs about the future firm performance in emerging markets.
Design/methodology/approach
The authors define the independent variable, abnormal foreign investment (AFI) as the residuals of the foreign ownership equation. The authors regress foreign ownership on its first lag and factors and define the residuals as the AFI. The AFI is the over- or under-investment reflecting foreign conscious (clear-purpose) investment, thus better indicating how foreign investment affects firm performance. The dependent variable is Tobin’s q (Q), which represents the firm performance. Then, the authors regress the Tobin’s q next quarters (Qt + k) on the AFI current quarter (AFIt). The authors use a two-step generalized method of moments (GMM) and check endogeneity with the D-GMM model for the regression.
Findings
The results show that the current AFI is positively correlated with the firm performance in each of the next four quarters (the following one year). This positive relationship is pronounced for large firms, firms with no large foreign investors, liquid firms and firms listed in the active market. The results suggest that foreign investment might choose well-productive firms already. Also, the current AFI is significantly positively correlated with stock returns in each of the next three quarters. These results suggest that the AFI is informative up to one-year period.
Research limitations/implications
The results suggest that foreign investors (most of them are small) in the Vietnamese market might choose well-productive firms already. However, if the large investors have long-term investment in tangible, intangible, human capital and so on, and lead to a significant increase in firms’ performance is still the limitation of this paper.
Practical implications
The results of this paper may guide investors whose portfolios are composed of stocks with foreign investment.
Originality/value
This paper adds to the literature to enrich the conclusion of a positive relationship between foreign ownership and firm performance.
Details
Keywords
Stefano Piserà and Helen Chiappini
The aim of the paper is to investigate the risk-hedging and/or safe haven properties of environmental, social and governance (ESG) index during the COVID-19 in China.
Abstract
Purpose
The aim of the paper is to investigate the risk-hedging and/or safe haven properties of environmental, social and governance (ESG) index during the COVID-19 in China.
Design/methodology/approach
This paper employs the DCC, VCC, CCC as well as Newey–West estimator regression.
Findings
The findings provide empirical evidence of the risk hedging properties of ESG indexes as well as of the environmental, social and governance thematic indexes during the outbreak of the COVID-19 crisis. The results also support the superior risk hedging properties of ESG indexes over cryptocurrency. However, the authors do not find any safe haven properties of ESG, Bitcoin, gold and West Texas Intermediate (WTI).
Practical implications
The paper offers therefore, practical policy implications for asset managers, central bankers and investors suggesting the pandemic risk-hedging opportunities of ESG investments.
Originality/value
The study represents one of the first empirical contributions examining safe-haven and hedging properties of ESG indexes compared to traditional and innovative safe haven assets, during the eruption of the COVID-19 crisis.
Details
Keywords
Amit Rohilla, Neeta Tripathi and Varun Bhandari
In a first of its kind, this paper tries to explore the long-run relationship between investors' sentiment and selected industries' returns over the period January 2010 to…
Abstract
Purpose
In a first of its kind, this paper tries to explore the long-run relationship between investors' sentiment and selected industries' returns over the period January 2010 to December 2021.
Design/methodology/approach
The paper uses 23 market and macroeconomic proxies to measure investor sentiment. Principal component analysis has been used to create sentiment sub-indices that represent investor sentiment. The autoregressive distributed lag (ARDL) model and other sophisticated econometric techniques such as the unit root test, the cumulative sum (CUSUM) stability test, regression, etc. have been used to achieve the objectives of the study.
Findings
The authors find that there is a significant relationship between sentiment sub-indices and industries' returns over the period of study. Market and economic variables, market ratios, advance-decline ratio, high-low index, price-to-book value ratio and liquidity in the economy are some of the significant sub-indices explaining industries' returns.
Research limitations/implications
The study has relevant implications for retail investors, policy-makers and other decision-makers in the Indian stock market. Results are helpful for the investor in improving their decision-making and identifying those sentiment sub-indices and the variables therein that are relevant in explaining the return of a particular industry.
Originality/value
The study contributes to the existing literature by exploring the relationship between sentiment and industries' returns in the Indian stock market and by identifying relevant sentiment sub-indices. Also, the study supports the investors' irrationality, which arises due to a plethora of behavioral biases as enshrined in classical finance.
Details
Keywords
The purpose of this study is to investigate the impact of terrorist attacks on the volatility and returns of the stock market in Tunisia.
Abstract
Purpose
The purpose of this study is to investigate the impact of terrorist attacks on the volatility and returns of the stock market in Tunisia.
Design/methodology/approach
The employed sample comprises 1250 trading day from the Tunisian stock index (Tunindex) and stock closing prices of 64 firms listed on the Tunisian stock market (TSM) from January 2011 to October 2015. The research opts for the general autoregressive conditional heteroscedasticity (GARCH) and exponential generalized conditional heteroscedasticity (EGARCH) models framework in addition to the event study method to further assess the effect of terrorism on the Tunisian equity market.
Findings
The baseline results document a substantive impact of terrorism on the returns and volatility of the TSM index. In more details, the findings of the event study method show negative significant effects on mean abnormal returns with different magnitudes over the events dates. The outcomes propose that terrorism profoundly altered the behavior of the stock market and must receive sufficient attention in order to protect the financial market in Tunisia.
Originality/value
Very few evidence is found on the financial effects of terrorism over transition to democracy cases. This paper determines the salient reaction of the stock market to terrorism during democratic transition. The findings of this study shall have relevant implications for stock market participants and policymakers.
Details
Keywords
Deepak Verma, Varun Dawar and Pankaj Chaudhary
The present study's goal is to analyze the impact of audit quality (AQ) on earnings quality (EQ) using different audit attributes. The study shows empirical evidence from India…
Abstract
Purpose
The present study's goal is to analyze the impact of audit quality (AQ) on earnings quality (EQ) using different audit attributes. The study shows empirical evidence from India, considered an emerging market.
Design/methodology/approach
The sample selected represents the 376 non-financial firms listed on the Bombay Stock Exchange (BSE). With a 20-year time frame, the authors used the absolute value of discretionary accruals (McNichols, 2002) (DA) as a proxy for EM, which is inversely related to EQ. The authors analyzed data using OLS, fixed effect (FE), 2SLS and Panel-IV estimators.
Findings
The authors found that most audit attributes positively affect EQ. In the Indian context, joint auditor (JA), auditor size (A_SIZE), auditor fee (A_FEE) and auditor tenure (A_TENURE) have a negative association with EM indicating high EQ. In contrast, auditor rotation (A_ROTATON) positively affects EM confirming low EQ.
Research limitations/implications
The present study uses Big-4 and its member firms as a proxy of auditor size (A_SIZE); instead, other bases may be taken for it, like the dominant audit firms in a particular industry in sample data, etc. The authors have started audit tenure from the base year, i.e. 2001, which may ignore the association of auditor and auditee just before 2001.
Practical implications
The study findings would enhance policymakers' willingness to prepare appropriate regulations regarding JAs and auditor rotation, which might improve financial market efficiency and reduce financial fraud among Indian corporates.
Originality/value
To the best of the authors' knowledge, this is the first study to incorporate “Joint Auditor” (JA) as a proxy for audit quality in the Indian context, which might significantly contribute to the literature.
Details
Keywords
Robin K. Chou, Kuan-Cheng Ko and S. Ghon Rhee
National cultures significantly explain cross-country differences in the relation between asset growth and stock returns. Motivated by the notion that managers in individualistic…
Abstract
National cultures significantly explain cross-country differences in the relation between asset growth and stock returns. Motivated by the notion that managers in individualistic and low uncertainty-avoiding cultures have a higher tendency to overinvest, this study aims to show that the negative relation between asset growth and stock returns is stronger in countries with such cultural features. Once the researchers control for cultural dimensions, proxies associated with the q-theory, limits-to-arbitrage, corporate governance, investor protection and accounting quality provide no incremental power for the relation between asset growth and stock returns across countries. Evidence of this study highlights the importance of the overinvestment hypothesis in explaining the asset growth anomaly around the world.
Details
Keywords
Luca Pedini and Sabrina Severini
This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets…
Abstract
Purpose
This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).
Design/methodology/approach
The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.
Findings
The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.
Originality/value
To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.
Details