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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

Keywords

Open Access
Article
Publication date: 5 December 2018

Suhadak Suhadak, Kurniaty Kurniaty, Siti Ragil Handayani and Sri Mangesti Rahayu

The purpose of this paper is to evaluate how much influence good corporate governance (GCG) has on corporate value, as well as moderating effect of stock return and financial…

31827

Abstract

Purpose

The purpose of this paper is to evaluate how much influence good corporate governance (GCG) has on corporate value, as well as moderating effect of stock return and financial performance on the influence of GCG on corporate value.

Design/methodology/approach

This study was an explanatory study. The unit of analysis was the companies listed in LQ45 in Indonesian Stock Exchange and the sources of data were ICMD, annual report and financial reports of the companies. Indonesian Stock Exchange was selected as the setting of the study since Indonesian Stock Exchange is one of trading places for various types of companies in Indonesia, and it provides complete information on company’s financial data and stock price. The population was 84 companies listed in LQ45 in Indonesian Stock Exchange between 2010 and 2016.

Findings

The higher GCG, independent commissioners proportion, institutional managerial and public ownerships resulted in higher corporate value. MBE and PER stock return is a moderating variable in the influence of GCG on corporate value. Financial performance is moderating variable in the influence of GCG on corporate value.

Originality/value

Based on the previous studies, it may be concluded that there is a gap between the influence of GCG on corporate value and the influence of stock return on financial performance, and moderating variable is needed to evaluate the influence of GCG on company performance, more particularly stock return and financial performance. This discrepancy creates opportunity for conducting an in-depth study on those variables. Its novelty is correlation between stock return and financial performance as moderation. Previous studies used these as mediating variables. This study is going to generate different finding as it is conducted in different setting (country where this study is conducted), type of industry, research period and using different method of analysis.

Details

Asian Journal of Accounting Research, vol. 4 no. 1
Type: Research Article
ISSN: 2443-4175

Keywords

Open Access
Article
Publication date: 17 February 2022

Chi Aloysius Ngong, Kesuh Jude Thaddeus, Lionel Tembi Asah, Godwin Imo Ibe and Josaphat Uchechukwu Joe Onwumere

This research investigates the bond between stock market development and agricultural growth in African emerging economies from 1990 to 2020.

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Abstract

Purpose

This research investigates the bond between stock market development and agricultural growth in African emerging economies from 1990 to 2020.

Design/methodology/approach

Agricultural value added to the gross domestic product measures agricultural growth and market capitalization and stock value traded measure stock market development.

Findings

The findings disclose that market capitalization negatively affects agricultural growth while stock value traded positively affects agricultural growth in the fully modified and dynamic ordinary least square techniques. The findings unveil bidirectional causality between labour and agricultural value added with unidirectional causality flow from agricultural value added to market capitalization and stock value traded.

Research limitations/implications

The governments should promote agricultural growth initiatives which stimulate stock market development. Effective methods required to encourage credit flow to the agricultural enterprises through the stock markets' intermediation should be promoted using aggressive policies which eliminate credit flow bottlenecks. Policy makers and regulatory authorities should implement policies which attract investors to the agricultural sector and encourage companies' listing in the stock markets. The capital market funding should be expanded to boost economic growth through agricultural value added.

Originality/value

Literature reveals divergent results on the relationship between stock market development and agricultural growth. Earlier studies provide conflicting findings on the bond between stock market development and agricultural growth. Some findings indicate positive link between stock market development and agricultural growth, while others show a negative association. Studies' results reveal opposing directions of causality between stock market development and agricultural growth.

Details

Journal of Capital Markets Studies, vol. 6 no. 2
Type: Research Article
ISSN: 2514-4774

Keywords

Open Access
Article
Publication date: 25 June 2019

Lucas Nogueira Cabral de Vasconcelos and Orleans Silva Martins

Investors label high (low) book-to-market (B/M) firms as value (growth) companies. The conventional wisdom supports that growth stocks grow faster than the value ones, creating…

3427

Abstract

Purpose

Investors label high (low) book-to-market (B/M) firms as value (growth) companies. The conventional wisdom supports that growth stocks grow faster than the value ones, creating greater shareholder value. The Purpose of this paper is to analyze how stocks of growth and value companies create value for their shareholders in Brazil, compared to the USA market. For this, the authors analyze three dimensions of return.

Design/methodology/approach

First, the authors perform portfolios to analyze the growth rates of shareholders’ return. Then, the authors perform regressions to study the explanatory power of the B/M in growth. The data come from Thomson Reuters Eikon database and the Brazilian Institute of Geography and Statistics. The authors select all non-financial firms with available data from 1997 to 2017.

Findings

The profitability of growth firms is higher than the value ones, in almost every year after the portfolios’ formation, with little variation. Contrary to the findings for the US market, growth companies in Brazil show higher dividend growth than value companies.

Research limitations/implications

It is possible that the database does not contain complete and entirely reliable accounting data, which may partially affect the results.

Practical implications

The findings contradict those exposed in the USA. The implications are the inverse of the US study: the duration-based explanation could be a vital factor for the value premium in the Brazilian stock market. Also, the findings support the standard valuation techniques and help the growth rates estimation in the valuation process (top-down approach).

Originality/value

This study is the first to compare the profitability and dividend growth of growth/value stocks in the Brazilian market. Overall, growth stocks have considerable profitability, and dividend growth compared to value stocks.

Details

Revista de Gestão, vol. 26 no. 3
Type: Research Article
ISSN: 2177-8736

Keywords

Open Access
Article
Publication date: 13 October 2023

Jessica Paule-Vianez, Carmen Orden-Cruz, Camilo Prado-Román and Raúl Gómez-Martínez

This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods…

Abstract

Purpose

This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution.

Design/methodology/approach

The authors selected a sample covering the period between 01/1995–05/2021. Quantile regressions were applied to the EPU and Russell indices. Business cycles were established following the NBER.

Findings

The results show that EPU has a negative effect on stocks with the intensity of the effect depending on the stock's profile. Small-cap and growth stocks were found to be most sensitive to EPU, especially during recessions. The negative effect is moderated by the economic cycle but is progressively diluted at the lower tail of the stock return distribution.

Practical implications

The findings shed more light on investment strategies for growth/value investors that pursue opportunities arising from a changing economic cycle.

Originality/value

This study makes the following contributions: (1) explores the impact of EPU on the return of different stocks across a conditional distribution, and (2) provides evidence on how the economic cycle influences EPU impact on growth/value stocks and small/large stocks.

研究目的

:本研究擬分析跨條件分佈、以及於擴張期和衰退期,經濟政策不確定性對成長型股票/價值股和小盤股/大型股的收益的影響。

研究設計/方法/理念

我們選擇了涵蓋1995年1月與2021年5月期間的樣本進行研究。我們於經濟政策不確定性指數和羅素指數上採用分位數迴歸法進行研究; 並跟隨著美國國家經濟研究局,建立了多個經濟週期。

研究結果

研究結果顯示,經濟政策不確定性對股票是有負面影響的,而影響的強度則視乎股票的投資組合而定。我們發現,小盤股和成長型股票對經濟政策不確定性是非常敏感的,尤其是在經濟衰退期間。這負面影響會被經濟週期緩和,唯這緩和作用卻會在股票收益的低尾處逐漸減輕。

實務方面的啟示

研究結果使我們更容易理解為尋找因經濟週期改變而衍生的機會的增長/價值投資者所提供的投資策略。

研究的原創性/價值

本研究有以下的貢獻:(一) 、 探究了經濟政策不確定性對跨條件分佈、不同的股票收益的影響; (二) 、為經濟週期會如何左右經濟政策不確定性對成長型股票/價值股和小盤股/大型股的影響,提供了證據。

Details

European Journal of Management and Business Economics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2444-8451

Keywords

Open Access
Article
Publication date: 25 March 2022

Antti Rautiainen and Jonna Jokinen

The use of social media tools by companies is common, but the links between the use of multiple social media tools by companies and stock price changes are largely unknown…

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Abstract

Purpose

The use of social media tools by companies is common, but the links between the use of multiple social media tools by companies and stock price changes are largely unknown. Therefore, this study aims to analyze the value-relevance of social media activities on Facebook (FB), Instagram (IG), LinkedIn (LI), Twitter (TW) and YouTube (YT).

Design/methodology/approach

Stock market data and hand-picked social media data in this study were collected from Finland, a small language area with consistent International Financial Reporting Standards (IFRS) reporting practices, in the expectation of better comparability and lower noise in the data.This study uses correlation, regression and factor analyses for a sample of 105 Finnish public limited companies listed on the Nasdaq Helsinki stock exchange.

Findings

This paper finds evidence that social media activity is an important area of analysis and that the activity and popularity of a company in social media are value-relevant variables in forecasting stock prices.

Practical implications

Not all social media activities are necessarily equally important for managers and investors. Focus on visual messages in social media is recommended.

Originality/value

The findings of this study highlight the value-relevance of using multiple visual social media channels, particularly IG and YT. This paper suggests avenues for future research and for analyzing social media information.

Details

International Journal of Accounting & Information Management, vol. 30 no. 2
Type: Research Article
ISSN: 1834-7649

Keywords

Open Access
Article
Publication date: 21 January 2021

Manish Bansal, Asgar Ali and Bhawna Choudhary

The study aims at investigating the impact of real earnings management (REM) on the cross-sectional stock return after considering the moderating role of market effect, size…

7419

Abstract

Purpose

The study aims at investigating the impact of real earnings management (REM) on the cross-sectional stock return after considering the moderating role of market effect, size effect, value effect and momentum effect.

Design/methodology/approach

The study uses weekly and monthly data of 3,085 Bombay Stock Exchange listed stocks spanning over twenty years, from January 2000 to December 2019. REM is measured through metrics developed by Roychowdhury (2006), namely, abnormal levels of operating cash flows, production costs and discretionary expenditure. The study employs univariate and bivariate portfolio-level analysis.

Findings

The findings deduced from the empirical results demonstrate that investors perceive downward REM as an element of risk; hence, they discount the stock prices at a higher rate. On the contrary, results show that investors positively perceive upward REM; hence, they hold the stocks even at a lower rate of return. This anomaly is found to be robust for all kinds of considered moderations.

Practical implications

The findings have important managerial implications as investors are found to assign different weights to different forms of REM, depending upon the perception regarding the magnitude of risk involved in different forms. Managers can accommodate this information during their short- and long-term corporate planning.

Originality/value

First, the study is among the earlier attempts to examine the association between REM and stock returns by considering the moderating role of cross-sectional effects. Second, the study considers the direction and endogenous nature of REM while investigating the issue.

Details

Asian Journal of Accounting Research, vol. 6 no. 3
Type: Research Article
ISSN: 2443-4175

Keywords

Open Access
Article
Publication date: 19 June 2020

Mohammed M. Elgammal, Fatma Ehab Ahmed and David G. McMillan

The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained…

3740

Abstract

Purpose

The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained by economic variables and can explain future output growth.

Design/methodology/approach

Using US stock portfolios from 1964 to 2019, the authors undertake three related exercises: whether a set of common factors contain independent predictive ability for stock returns, what economic and market variables explain movements in the factors and whether stock market factors have predictive power for future output growth.

Findings

The results show that several of the considered factors do not contain independent information for stock returns. Further, most of these factors are neither explained by economic conditions nor they provide any predictive power for future output growth. Thus, they appear to contain very little economic content. However, the results suggest that the impact of these factors is more prominent with higher macroeconomic risk (contractionary regime).

Research limitations/implications

The stock market factors are more likely to reflect existing market conditions and exhibit a weaker relation with economic conditions and do not act as a window on future behavior.

Practical implications

Fama and French three-factor model still have better explanations for stock returns and economic information more than any other models.

Originality/value

This paper contributes to the literature by examining whether a selection of factors provides unique information when modelling stock returns data. It also investigates what variables can predict movements in the stock market factors. Third, it examines whether the factors exhibit a link with subsequent economic output. This should establish whether the stock market factors contain useful information for stock returns and the macroeconomy or whether the significance of the factor is a result of chance. The results in this paper should advance our understanding of asset price movement and the links between the macroeconomy and financial markets and, thus, be of interest to academics, investors and policy-makers.

Details

Studies in Economics and Finance, vol. 37 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Open Access
Article
Publication date: 25 January 2024

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

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 32 no. 1
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 12 June 2020

Saganga Mussa Kapaya

The purpose of this paper is to contribute to empirical evidence by recognizing the importance of stock markets in the financial system and consequently its causality to economic…

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Abstract

Purpose

The purpose of this paper is to contribute to empirical evidence by recognizing the importance of stock markets in the financial system and consequently its causality to economic growth and vice versa.

Design/methodology/approach

The study used the autoregressive distribute lag model (ARDL) with bound testing procedures, the sample covered quarterly time-series data from 2001q1 to 2019q2 in Tanzania.

Findings

The results suggest that stock market development have both negative and positive causality for both short-run dynamics and long-run relationship with economic growth. Economic growth is found to only cause and relate negatively to liquidity both in the short-run and in the long-run. The results show predominantly a unidirectional causality flow from stock market development to economic growth and finds partial causality flow from economic growth to stock market development, as represented by stock market turnover which proxied liquidity.

Originality/value

The use of quarterly data to reflect more realistically the dynamics of the variables because yearly data may sometimes cover-up specific dynamics that may be useful for prediction and policy planning. The study uses indices to capture general aspects within the stock market against economic growth as an intuitive way to aggregate the stock market development effects.

Details

Review of Economics and Political Science, vol. 5 no. 3
Type: Research Article
ISSN: 2356-9980

Keywords

1 – 10 of over 3000