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Book part
Publication date: 10 April 2023

Parichat Sinlapates and Thawaree Chinnasaeng

This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or…

Abstract

This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or ESG100 stocks. The study period is from January 2016 to December 2020, a total of 60 months. The dividend yield is employed for categorizing the stock into value and growth stocks. The strategy of buying value stocks and short-selling growth stocks is then applied. The results show that investing using the zero-investment portfolio strategy can generate higher returns in an investment portfolio that consists of ESG100 stocks than in an investment portfolio that consists of all stocks in the SET. The optimal holding periods for investing in portfolios that consist of stocks in the SET are 6 months, 9 months, and 12 months, and the optimal holding periods for a portfolio that consists of ESG100 stocks is 6 months. To explain excess returns of stocks in the SET, the Fama and French (2015) five-factor model is employed. There is no relation between risk factors and excess returns for the holding period of 6 months and 12 months. However, excess return is found to have a negative relation with the market risk premium factor for a 9-month holding period. The excess returns of ESG100 stocks are also inversely correlated with investment factors for a holding period of 6 months.

Details

Comparative Analysis of Trade and Finance in Emerging Economies
Type: Book
ISBN: 978-1-80455-758-7

Keywords

Article
Publication date: 5 September 2023

Weihua Liu, Zhixuan Chen, Tsan-Ming Choi, Paul Tae-Woo Lee, Hing Kai Chan and Yongzheng Gao

This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.

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Abstract

Purpose

This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.

Design/methodology/approach

The event study approach is adopted. Market, market-adjusted, Carhart four-factor model and a cross-sectional regression model are employed to examine the impacts of carbon neutral announcements on “stock market value” of Chinese companies based on data from 188 carbon neutral announcements.

Findings

Carbon neutral announcements positively impact Chinese shareholder value. Carbon neutral announcements at the strategic level have a more positive and significant impact on Chinese stock market value. Innovative carbon neutral announcements do not significantly cause Chinese stock market reactions. Companies have more positive and significant stock market reactions when the companies make carbon neutral announcements that reflect high supply chain network resilience and heterogeneity and strong supply chain network relationships.

Practical implications

The findings uncover the business value of carbon neutral activities and provide operations managers in developing countries insights into how to improve enterprises' market value by actively implementing carbon neutral activities.

Originality/value

This paper is the first trial to apply an event study to examine the relationship between carbon neutral announcements and Chinese stock market value from the perspective of announcement level and type and supply chain networks. This paper introduces corporate reputation theory and enriches the application of corporate reputation theory in the field of low-carbon environmental protections and supply chains.

Details

International Journal of Operations & Production Management, vol. 44 no. 4
Type: Research Article
ISSN: 0144-3577

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Article
Publication date: 1 May 1986

James Lawrenson

Organisations either keep spares for their own use, or‐for‐sale to other organisations. In either case, the ultimate need is to be able to replace worn or defective parts in…

Abstract

Organisations either keep spares for their own use, or‐for‐sale to other organisations. In either case, the ultimate need is to be able to replace worn or defective parts in operational machinery or equipment. In an economic sense, spares are kept to meet the needs of the situation in the cheapest way.

Details

International Journal of Physical Distribution & Materials Management, vol. 16 no. 5
Type: Research Article
ISSN: 0269-8218

Open Access
Article
Publication date: 4 June 2021

Jeongjoon Park, Jaewan Bae and Changjun Lee

Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies…

Abstract

Purpose

Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 2
Type: Research Article
ISSN: 1229-988X

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Article
Publication date: 27 July 2012

Nancy Mohan and M. Fall Ainina

Until 2005, corporations could choose whether to expense incentive options or to disclose the value in the financial footnotes. During 2004, however, the Financial Accounting…

Abstract

Purpose

Until 2005, corporations could choose whether to expense incentive options or to disclose the value in the financial footnotes. During 2004, however, the Financial Accounting Standards Board adopted the revised Statement No. 123, which requires public corporations to measure the cost of stock options on grant‐date and expense that cost over the vesting period of the grant. This study investigates the impact of SFAS 123(R) on the type of executive incentive pay‐option versus restricted stock.

Design/methodology/approach

Comprehensive compensation data was collected from Standard & Poors ExecuComp data base for the period 2002‐2006 for two industries identified by SIC codes 73 (business services) and 35 (electronics). The study tracks the percentage of pay in the form of incentive stock options or restrictive stock grants before and after SFAS No. 123(R) was adopted in 2004. A series of multivariate regression models test whether the restricted stock percentage of total compensation can be partially explained by the adoption of SFAS 123(R).

Findings

The results show that the average fair value of stock awards is higher and the average fair value of option awards is lower after 2004. In addition, after 2004, stock compensation as a percentage of total pay is positively related to stock price volatility. The data also suggest that those companies substituting restricted stock for options actually increase total incentive pay.

Social implications

The study's findings may suggest that those companies substituting restricted stock for options increase total executive pay. This would be a side effect from the adoption of SFAS 123(R), in that most companies use the Black‐Scholes model to value executive options. Given the long life of these options and the high volatility in certain industries the option value is quite high. Therefore, the amount of substituted restricted stock is also inflated.

Originality/value

The adoption of SFAS 123(R) was highly contested by executives in industries with high stock price volatility. The authors document that, in the case of two industries, executive incentive pay structure was affected.

Article
Publication date: 12 October 2012

Doina C. Chichernea, Anthony D. Holder and Jie (Diana) Wei

The purpose of this paper is to investigate the connection between the accrual quality and the growth/value characteristics (and their return premia) at firm level.

Abstract

Purpose

The purpose of this paper is to investigate the connection between the accrual quality and the growth/value characteristics (and their return premia) at firm level.

Design/methodology/approach

The paper employs a battery of univariate and multivariate cross‐sectional tests. Fama‐MacBeth regressions with main effects and interaction effects are used to identify the relation between accrual quality, book‐to‐market and returns. The analysis is conducted on the overall sample, as well as after conditioning on up and down markets.

Findings

Value (growth) stocks are more likely to be associated with high (low) accrual quality. Value stocks earn higher returns mainly in down markets, while poor accrual quality firms have significantly higher returns during up markets, but significantly lower returns during down markets. There is a significant interaction effect between accrual quality and the value premium, which only exhibits in the down markets (i.e. stocks with poor accrual quality earn a higher value premium in down markets than stocks with good accrual quality).

Originality/value

Results in this paper help disentangle between various explanations proposed for the accrual quality premium and the value premium. These findings are consistent with the idea that the same underlying risk factor generating the value premium also generates the cross‐sectional variation in accrual quality responsible for the accrual quality premium. From the corporate managers' perspective, the results imply that value firms can mitigate their higher costs of capital by providing high quality of accounting information. From an analyst's perspective, the study suggests that considering both accrual quality and growth characteristics can help make better portfolio allocation decisions than when these are considered separately.

Details

Managerial Finance, vol. 38 no. 12
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 July 2005

Bartolomé Dey´‐Tortella, Luis R. Gomez‐Mejía, Julio O. de Castro and Robert M. Wiseman

Agency theoretic models have been used in the past to justify the use of stock options as an effective incentive alignment mechanism to create a common fate between principals and…

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Abstract

Agency theoretic models have been used in the past to justify the use of stock options as an effective incentive alignment mechanism to create a common fate between principals and agents. In this paper, we use behavioral theory to reach the opposite conclusion – namely, that the design characteristics of the typical stock option plan foster perverse incentives for loss‐averse agents, leading to decisions with detrimental consequences for principals. We also consider alternative stock option designs and other equity‐based executive compensation plans and argue that they may suffer from the same problems as traditional stock option plans – namely, that loss‐averse executives will try to protect the endowed value of that equity through self‐serving decisions that do not enhance shareholder wealth.

Details

Management Research: Journal of the Iberoamerican Academy of Management, vol. 3 no. 2
Type: Research Article
ISSN: 1536-5433

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Article
Publication date: 21 September 2009

John A. Doukas and Meng Li

This study documents that high book‐to‐market (value) and low book‐to‐market (glamour) stock prices react asymmetrically to both common and firm‐specific information…

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Abstract

This study documents that high book‐to‐market (value) and low book‐to‐market (glamour) stock prices react asymmetrically to both common and firm‐specific information. Specifically, we find that value stock prices exhibit a considerably slow adjustment to both common and firm‐specific information relative to glamour stocks. The results show that this pattern of diferential price adjustment between value and glamour stocks is mainly driven by the high arbitrage risk borne by value stocks. The evidence is consistent with the arbitrage risk hypothesis, predicting that idiosyncratic risk, a major impediment to arbitrage activity, amplifies the informational loss of value stocks as a result of arbitrageurs’ (informed investors) reduced participation in value stocks because of their inability to fully hedge idiosyncratic risk.

Details

Review of Behavioural Finance, vol. 1 no. 1/2
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 24 August 2020

Vanita Tripathi and Priti Aggarwal

This paper is an attempt to explore the fact that whether the literature-promised value premium has any sector orientation. The paper tests the relationship between the value…

Abstract

Purpose

This paper is an attempt to explore the fact that whether the literature-promised value premium has any sector orientation. The paper tests the relationship between the value premium and Indian sectors: fast-moving consumer goods (FMCG), financials, healthcare, information technology (IT), manufacturing and miscellaneous.

Design/methodology/approach

The paper analyses around 210–480 companies listed on BSE-500 for the period of the recent 18 years ranging from March 1999 to March 2017. The paper employed Welch's ANOVA to examine whether the price-to-book market ratio is significantly different across sectors. Two prominent asset pricing models – single factor market model and Fama–French three-factor model – were used to examine the existence of value premium within sectors for full period and two sub-periods.

Findings

The empirical results of the paper suggest that the difference in the P/B ratio both between sectors and within sectors is statistically significant. The results further suggest that the value premium exists within the sectors irrespective of their value-growth orientation.

Research limitations/implications

The paper is not free from certain limitations. Firstly, due to the non-availability of data in the public domain, the time period before 1999 could not be considered. Secondly, the study has used data pertaining to the Indian stock market only. To add to it, our study has concentrated on BSE-500 companies only; however, the future researchers can include both NSE and BSE companies.

Practical implications

The paper has important implications for portfolio managers and retail investors following a top-down approach of investing. The portfolio manager can strategically build up the portfolios to concentrate more on the companies belonging to sectors like healthcare, manufacturing and FMCG. Investors following the top-down approach should avoid the underperforming growth stocks belonging to the growth sectors and allocate their funds to value stocks in the growth sector.

Originality/value

The paper is first of its kind to study the relationship between the value premium and Indian sectors. The paper contributes to portfolio management and asset pricing literature for an emerging market.

Details

Managerial Finance, vol. 46 no. 12
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 8 October 2018

Maria Teresa Medeiros Garcia and Ricardo António Abreu Oliveira

The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from…

Abstract

Purpose

The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from 2003 to 2015. Previous research evidence suggests that stocks trading at a lower price relative to their fundamentals (value stocks) tend to outperform stocks that trade at higher prices (growth stocks) in the long run. Although this market anomaly has been studied immensely worldwide, especially for the US stock market, there is no clear evidence whether such an assertion is applicable in less-renowned countries.

Design/methodology/approach

The paper utilises Fama and Macbeth (1973) regressions and its model extensions.

Findings

This paper finds a significant value premium in these countries, which is compatible with previous studies conducted worldwide.

Originality/value

To the best of the authors’ knowledge, this is the first attempt to examine this asset pricing anomaly in the PIIGS.

Details

Journal of Economic Studies, vol. 45 no. 5
Type: Research Article
ISSN: 0144-3585

Keywords

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