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1 – 10 of over 27000I. Nel and W. de K Kruger
The purpose of this research is to determine whether the trading of equity index futures contracts on the South African Futures Exchange (SAFEX) results in an increase in the…
Abstract
The purpose of this research is to determine whether the trading of equity index futures contracts on the South African Futures Exchange (SAFEX) results in an increase in the volatility of the underlying spot indices. Since equity index futures contracts were first listed in the USA in 1975, various studies have been undertaken to determine whether the volatility of shares in the underlying indices increases as a result of the trading of such futures contracts. These studies have lead to the development of two schools of thought: [a] Trading activity in equity index futures contracts leads to an increase in the volatility of index shares. [b] Trading activity in equity index futures contracts does not lead to an increase in the volatility of the index shares and could in fact lead to greater stability in equity markets. Although some evidence of higher volatility in expiration periods was found, volatility in the expiration periods was not consistently higher than in the corresponding pre‐expiration period.
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Nancy Hudspeth and Gerard Wellman
Public transit is an essential service for people without access to an automobile, particularly those who are low income, elderly, or with disabilities. Previous research has…
Abstract
Purpose
Public transit is an essential service for people without access to an automobile, particularly those who are low income, elderly, or with disabilities. Previous research has found that large urban transit agencies receive less state funding per ride provided than suburban agencies. The paper aims to discuss this issue.
Design/methodology/approach
Using data from the National Transit Database for 37 of the largest US transit agencies, the authors create a panel data set of services provided and sources of operating funds for the period 1991-2009. The authors develop an equity index that represents the difference between the share of state funding that an agency receives and the share of the total transit rides in the state that it provides. The authors use fixed-effects regression modeling to examine the determinants of fiscal balance and the equity index.
Findings
The authors find that the share of an agency’s operating funds that come from dedicated taxes is a significant predictor of fiscal health as measured by its fiscal balance; reliance on passenger fares and provision of bus service are significant predictors of operating deficits. The equity index finds that large agencies receive less than their fair share of state transit funding based on ridership.
Practical implications
Dedicated tax revenues are a key ingredient to transit agencies’ fiscal stability. Transit agencies’ fiscal condition in states and localities that do not have a dedicated tax could benefit from such a tax.
Social implications
Transit is an essential service for people who are unable to drive or own an automobile; funding inequities maintain old patterns of segregation and isolation for “transit dependents.”
Originality/value
This study supports earlier research finding that large agencies receive less than their fair share of state funding based on ridership. It contributes to the literature on transportation equity and transit finance.
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This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the…
Abstract
Purpose
This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the investment demand for long-term financial products, and its hedging demand have steadily increased. Unfortunately, long-term ETD do not trade in Korea, and this study presents political suggestions to invigorate long-term ETD based on overseas cases and empirical analysis. Specifically, this study suggests the necessity to activate exchange traded funds (ETFs) options, long-term Korea treasury bond futures and options and long-term Volatility Index of Korea Composite Stock Price Index future and options. The introduction of those long-term ETD not only contributes to providing long-term investment and hedging vehicles but also reduces market inefficiencies in the Korean industry of ETFs, bonds and structured products.
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N. Rajiv Menon, M.V. Subha and S. Sagaran
One of the anxieties of stock market investors is whether the markets operate efficiently, independently and with sound fundamentals. This concern is also held by academics and…
Abstract
Purpose
One of the anxieties of stock market investors is whether the markets operate efficiently, independently and with sound fundamentals. This concern is also held by academics and practitioners for quite some time. However, real market situation tends to exhibit a link as is evident from recent market movements across the world. The purpose of this paper is to examine whether the stock markets in the Indian subcontinent have any link with the major stock markets from China, Singapore, America, and Hong Kong.
Design/methodology/approach
The paper uses Engle Granger test of cointegration.
Findings
The paper finds that the Indian markets are related to some of the markets around the world.
Originality/value
The paper offers insight into the cointegration of Indian stock markets with other leading stock markets.
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Kim Mear, Michael Bradbury and Jill Hooks
This study aims to compare the value relevance of the recognised deferred tax elements under International Accounting Standard 12 (IAS 12): Income Taxes (balance sheet method…
Abstract
Purpose
This study aims to compare the value relevance of the recognised deferred tax elements under International Accounting Standard 12 (IAS 12): Income Taxes (balance sheet method) relative to the taxes payable (flow through) method. It also investigates the value relevance of the IAS 12 deferred tax disclosures.
Design/methodology/approach
This study used standard valuation models to examine the association between share price and the recognised amounts and footnote disclosures of IAS 12. The Vuong (1989) test is then used to assess which information set is more value relevant. The sample includes 440 firm years over the period 2008-2012.
Findings
The results show that deferred tax amounts recognised under the balance sheet method provide no more information to investors than the taxes payable method (TPM). Deferred tax footnote disclosures, however, are more relevant than the amounts recognised under the balance sheet method. This study investigates potential reasons for the relevance of footnote disclosures.
Research limitations/implications
This study has not addressed whether the deferral method of deferred tax is relevant. In addition, while footnote disclosures look promising, further research is necessary.
Practical implications
The results suggest, given the complexity and cost of compliance with IAS 12, that the International Accounting Standards Board (IASB) should undertake a comprehensive re-think on the relevance of the balance sheet method in IAS 12 and revert to the TPM.
Originality/value
The IASB and the European Financial Reporting Advisory Group have expressed concerns over the balance sheet method under IAS 12. The IASB and the Financial Accounting Standards Board also have concerns over the cost and complexity of the deferred tax disclosures. The study’s results offer a perspective by examining whether the balance sheet method is value relevant. Prior research has addressed this issue using local data (i.e. pre-International Financial Reporting Standards). This study also provides suggestions for future research into deferred tax footnote disclosures.
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Kazakhstan's drive for foreign investment.
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DOI: 10.1108/OXAN-DB213001
ISSN: 2633-304X
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Geographic
Topical
This study examines several aspects of active portfolio management by equity hedge funds between 1996 and 2013. Consistent with the idea that cross-sectional return dispersion is…
Abstract
This study examines several aspects of active portfolio management by equity hedge funds between 1996 and 2013. Consistent with the idea that cross-sectional return dispersion is a proxy for the market’s available alpha, our results show that equity hedge funds achieve their strongest performance during periods of elevated dispersion. The performance advantage is robust to numerous risk adjustments. Portfolio managers may use the current month’s dispersion to plan the extent to which the following month’s investment approach will be active or passive. We also estimate the active share for equity hedge funds and find an average of 53%. We further document the average annual expense ratio for managing hedge funds’ active share to be about 7%. This figure is remarkably close to active expense ratios reported previously for equity mutual funds, which may be interpreted as evidence of uniform pricing for active portfolio management services.
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Stephen F. Witt and Christopher L. Pass
Implications of Modern Portfolio Theory for Investment Management. The general principles of portfolio management are explained by Dobbins and Witt, Sprecher, Francis, Van Home…
Abstract
Implications of Modern Portfolio Theory for Investment Management. The general principles of portfolio management are explained by Dobbins and Witt, Sprecher, Francis, Van Home and Fama and Miller. Portfolio theory is concerned with the choice of efficient combinations of assets and its foundation lies in the work of Markowitz. It is assumed that investors base their decisions simply on the expected return and variance of return of assets, where the variance is taken to measure risk. For any given level of risk, the optimal portfolio is that which offers the maximum expected return; and for any given expected return, the investor prefers minimum risk. The set of efficient portfolios therefore comprises those combinations of assets which promise the highest expected return corresponding to each level of risk.
Sees the objective of teaching financial management to be to helpmanagers and potential managers to make sensible investment andfinancing decisions. Acknowledges that financial…
Abstract
Sees the objective of teaching financial management to be to help managers and potential managers to make sensible investment and financing decisions. Acknowledges that financial theory teaches that investment and financing decisions should be based on cash flow and risk. Provides information on payback period; return on capital employed, earnings per share effect, working capital, profit planning, standard costing, financial statement planning and ratio analysis. Seeks to combine the practical rules of thumb of the traditionalists with the ideas of the financial theorists to form a balanced approach to practical financial management for MBA students, financial managers and undergraduates.
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This paper investigates whether an outcome-based school aid formula could improve fiscal and outcome equity significantly more than a typical aid formula would. When outcome-based…
Abstract
This paper investigates whether an outcome-based school aid formula could improve fiscal and outcome equity significantly more than a typical aid formula would. When outcome-based formula is applied to foundation aid, fiscal and outcome equity deteriorates compared to Ohio's recent aid formula. However, when it is applied to power-equalizing aid, the latter improves fiscal and outcome equity more significantly than both foundation aid and Ohio's recent aid formula do. This paper further shows how to apply them to real-world cases. The lessons from this paper can be easily applied to similar grant systems with standardized test scores.