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Article
Publication date: 1 February 2001

ROBERT BROOKS, ROBERT FAFF and TOM JOSEV

In this paper we empirically investigate the tendency for beta risk to mean‐revert across industries. Using a sample of Australian stocks over the ten‐year period 1989 to…

Abstract

In this paper we empirically investigate the tendency for beta risk to mean‐revert across industries. Using a sample of Australian stocks over the ten‐year period 1989 to 1998, our key results are as follows. We generally observe evidence of a mean reversion tendency — in particular, this seems most appropriate for the Gold, Energy, Finance and Consumer industry groupings. Moreover, there is some evidence that the mean reversion of beta is different across industries. Furthermore, we see that the maximum mean reversion beta occurs for the Gold industry — a value of approximately 1.4 (1.6) for the OLS (Scholes‐Williams) beta analysis. On the other hand, the minimum mean reversion beta based on the ‘All Stocks’ OLS analysis occurs for Miscellaneous Industries with a value of 0.4, while a similar minimum mean reversion beta based on the Scholes‐Williams analysis occurs for the Consumer industry grouping.

Details

Pacific Accounting Review, vol. 13 no. 2
Type: Research Article
ISSN: 0114-0582

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Article
Publication date: 26 August 2020

Anna Stamatelatos and Robert Brooks

This study investigates simulated business learning and performance effectiveness during a simulation task. The learning and performance outcomes of two groups of…

Abstract

Purpose

This study investigates simulated business learning and performance effectiveness during a simulation task. The learning and performance outcomes of two groups of postgraduate student participants are investigated namely: (a) participants who do not struggle with the task and (b) participants who do struggle with completing the task.

Design/methodology/approach

An experiment was conducted using a simulated business, which was manipulated into two initial commencement formats: positive initial format (PIF) and negative initial format (NIF). Individual performance on the task was measured via achievement of performance targets whilst individual learning was measured via causal cognitive maps.

Findings

Participants using PIF did not struggle with completing the task and achieved higher performance outcomes compared to participants using NIF, who struggled with completing the task. In addition, the positive association between learning and performance was significantly reduced for participants using NIF who struggled with completing the task

Research limitations/implications

This study’s findings are tentative as the sample size is small and several moderator/mediator variables, which may influence the findings (i.e. student learning style/instructor style/cognitive factors), are outside the scope of the study and thus not included.

Practical implications

Causal cognitive mapping results and students’ self-assessment of learning during simulated business debriefing, may further help instructors/students identify the differences in individual learning outcomes between those who have and have not struggled with increasing simulated business performance.

Originality/value

By using an experiment and causal cognitive mapping to measure individual learning, this study contributes further empirical evidence to the literature.

Details

Education + Training, vol. 62 no. 9
Type: Research Article
ISSN: 0040-0912

Keywords

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Book part
Publication date: 4 April 2005

Robert D. Brooks, Robert W. Faff, Tim Fry and Diana Maldonado-Rey

In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in…

Abstract

In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of extreme thin trading. The estimator used is based on the sample selectivity model. The study compares the resultant selectivity-corrected beta to the OLS beta and Dimson Betas. We demonstrate the empirical behaviour of the selectivity corrected beta estimator using a sample of stocks in seven countries from Latin America. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and is likely to better estimate stock risk.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Article
Publication date: 3 October 2016

Wei Chi, Robert Brooks, Emawtee Bissoondoyal-Bheenick and Xueli Tang

This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it…

Abstract

Purpose

This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour.

Design/methodology/approach

By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles.

Findings

This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles.

Originality/value

This paper fills the literature gap by establishing the cyclical behaviour of stock markets.

Details

Studies in Economics and Finance, vol. 33 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

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Book part
Publication date: 4 April 2005

Abstract

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part
Publication date: 4 April 2005

Harvey Arbeláez and Reid William Click

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the…

Abstract

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the developments in various ways. They cover theoretical contributions, regional empirical studies, and specific inquiries on Argentina, Brazil, Chile, Colombia, Cuba, Ecuador, Mexico, Peru and Venezuela. The breadth of methodologies implemented suggests that researchers are looking at Latin American financial markets through a variety of lenses. The chapters are divided into 7 parts, including, in Part I, an initial overview. Part II examines the foreign exchange markets in Latin America and their interactions with other markets. Part III discusses dollarization issues in the region. Part IV then takes up the issue of banking in Latin America. Equity and bond markets are considered in Parts V and VI, respectively. Lastly, Part VII considers pension systems in Latin America. Taken as a whole, the 21 chapters seize the excitement of studying Latin America and provide lessons that are applicable around the world.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Article
Publication date: 1 July 2005

William Dimovski and Robert Brooks

While Luoma and Goodstein (1999) find increased stakeholder representation on the boards of American companies, Dimovski and Brooks (2004) provide evidence that the…

Abstract

While Luoma and Goodstein (1999) find increased stakeholder representation on the boards of American companies, Dimovski and Brooks (2004) provide evidence that the Australian initial public offering (IPO) market does not require non equity stakeholder representation on their boards. This paper analyses the change in composition of the boards of large Australian companies post listing. We find a substantial increase in the number of directors holding equity capital in the firms in which they hold their directorships. We also find a decrease in the number of non equity stakeholder directors post listing. This suggests that directors putting their money into the firms in which they have a stewardship function is an important element in the Australian capital market.

Details

Accounting Research Journal, vol. 18 no. 1
Type: Research Article
ISSN: 1030-9616

Keywords

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Article
Publication date: 1 March 2003

Steven A. Watson, Robert G. Brooks, Thomas Arnold, Kathy Mason and Cathy McEachron

This article explores the use of a quality management model by a public sector agency to implement a socially responsible purchasing initiative related to minority…

Abstract

This article explores the use of a quality management model by a public sector agency to implement a socially responsible purchasing initiative related to minority diversity of the vendor pool. There is a description and discussion of the use of a quality management model for planning and implementing the initiative with a focus on changing organizational culture and reinforcing organizational policy priorities. The initial success of the initiative in increasing total contracted dollars to minorities suggests that a quality management implementation model is a useful approach for initiating a socially responsible policy within an organization.

Details

Journal of Public Procurement, vol. 3 no. 3
Type: Research Article
ISSN: 1535-0118

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Article
Publication date: 23 November 2010

Robert D. Brooks, Amalia Di Iorio, Robert W. Faff, Tim Fry and Yovina Joymungul

The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns.

Abstract

Purpose

The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns.

Design/methodology/approach

Using a dynamic econometric approach that allows for both asymmetry and time‐varying risk exposures in both the exchange rate variable and the market variable, a large sample of Australian firms were tested over the period of January 2001 and December 2005. The data were analysed using three different classification methods, forming portfolios according to industry sector, size deciles, and censoring deciles.

Findings

Although the evidence of exchange rate exposure is limited across the sample of industries, the following were found: a time‐varying asymmetric effect primarily in the utilities sector, time‐varying exposure in the materials and energy sectors, and an asymmetric effect in the technology sector. Further, some time‐varying asymmetric exchange rate exposure was found across most size and censoring deciles and also substantial evidence of a positive asymmetric effect in the market beta across all three classification methods.

Originality/value

This approach varies from previous studies in this area that only allow for asymmetry and time variation in exchange rate exposures. The paper also examines the Australian stock market, a market which has not been extensively tested in this area of empirical research.

Details

International Journal of Commerce and Management, vol. 20 no. 4
Type: Research Article
ISSN: 1056-9219

Keywords

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Article
Publication date: 18 January 2013

Juris Dilevko

The purpose of this paper is to present a case study about how academic librarians can contribute to the interdisciplinary research endeavors of professors and students…

Abstract

Purpose

The purpose of this paper is to present a case study about how academic librarians can contribute to the interdisciplinary research endeavors of professors and students, especially doctoral candidates, through an intellectualized approach to collection development.

Design/methodology/approach

In the wake of protest movements such as the Tea Party and Occupy Wall Street, colleges and universities have begun to develop courses about these events, and it is anticipated that there will be much research conducted about their respective histories. Academic librarians can participate in those research efforts by developing interdisciplinary collections about protest movements and by referring researchers to those collections.

Findings

Through a case‐study approach, this paper provides a narrative bibliography about Southern Agrarianism that can help professors and students interested in the Tea Party or Occupy Wall Street movements to see their research endeavors from a new interdisciplinary perspective.

Originality/value

The value of this paper lies in presenting a concrete example of the way in which academic librarians can become active research partners through the work of building collections and recommending sources in areas that professors and students may not have previously considered.

Details

Collection Building, vol. 32 no. 1
Type: Research Article
ISSN: 0160-4953

Keywords

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