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1 – 10 of over 1000This chapter examines changes in US monetary policy uncertainty (ΔMPU) and fiscal policy uncertainty (ΔFPU) on stock returns while controlling for downside risk, lagged dividend…
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This chapter examines changes in US monetary policy uncertainty (ΔMPU) and fiscal policy uncertainty (ΔFPU) on stock returns while controlling for downside risk, lagged dividend yield, and time series patterns. Testing G7 markets consistently shows that both ΔMPU and ΔFPU have significant negative impacts on stock returns. Evidence shows that any downside risk, ΔMPU or ΔFPU in US market will soon be transmitted to G6 industrial markets and the impacts are extended to two months. These risk and uncertainty premiums should be priced in the stocks of the major industrial markets.
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Tucked in the back of Venkataraman’s 1997 work on the distinctive domain of entrepreneurship (DDE) lies a pointer to a question each individual must face when choosing to start a…
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Tucked in the back of Venkataraman’s 1997 work on the distinctive domain of entrepreneurship (DDE) lies a pointer to a question each individual must face when choosing to start a new venture; “is entrepreneurship worth it?” Inventorying costs associated with risk, uncertainty, and illiquidity against surpluses from financial and psychological factors unique to entrepreneurship, Venkataraman tempts readers to tally entrepreneurial returns. The authors summarize and integrate an academic study of these various cost and return components over the past 20 years using Venkataraman’s original framework. The authors find the answer to the question of “is entrepreneurship worth it?” varies with time. Researcher’s answer to the question has shifted from an early view that entrepreneurs sacrifice financial gain in exchange for soft psychological benefits to a more positive view that entrepreneurs are rewarded both financially and psychologically for the unique costs borne in the DDE. But the rewards are not immediate. In entrepreneur time, break-even emerges by gradually overcoming an initial deficit. As surpluses accrue, returns to entrepreneurs likely eventually exceed those of their wage-earning peers.
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This study finds evidence that a stock return is inversely correlated with downside risk, confirming a pattern of risk-aversion behavior. Evidence from testing a stock return's…
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This study finds evidence that a stock return is inversely correlated with downside risk, confirming a pattern of risk-aversion behavior. Evidence from testing a stock return's response to a change in economic policy uncertainty indicates a significantly negative effect in the Chinese stock market; this conclusion holds true for testing the impacts of changes in fiscal and monetary policy uncertainties. However, the data produce a mixed effect for the change in fiscal policy uncertainty. The evidence produced from examining the geopolitical effect on the stock market strongly supports the presence of an adverse effect on stock market performance.
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I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to…
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I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to fit financial time series and at the same time provide powerful tools to test hypotheses formulated in the light of financial theories, and to generate positive economic value, as measured by risk-adjusted performances, in dynamic asset allocation applications. The chapter also reviews the role of Markov switching dynamics in modern asset pricing models in which the no-arbitrage principle is used to characterize the properties of the fundamental pricing measure in the presence of regimes.
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This chapter tests the market risk and economic policy uncertainty (EPU) of five Asian stock market returns and finds positive and significant intertemporal relations between…
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This chapter tests the market risk and economic policy uncertainty (EPU) of five Asian stock market returns and finds positive and significant intertemporal relations between excess stock returns and conditional volatility/downside risk. The results support positive risk-return relations across five Asian markets after controlling for the lagged dividend yield and the change in EPU (
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Heather Parola and Kimberly M. Ellis
Despite the number of articles over the past two decades mentioning the importance of the negotiation stage in the M&A process, there has been very limited theoretical development…
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Despite the number of articles over the past two decades mentioning the importance of the negotiation stage in the M&A process, there has been very limited theoretical development and empirical analysis emphasizing multiple factors critical to M&A negotiations. The purpose of our paper is twofold. First, we provide a review of the extant academic literature on negotiations in the M&A process. Then, drawing on the M&A process perspective and classical negotiation theory, we develop a framework to highlight major components of the M&A negotiation stage examined in existing studies and offer key insights of how this underdeveloped area of study is ripe with opportunities for future theoretical development and empirical research.
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Cheng-Wei Wu, Jeffrey J. Reuer and Roberto Ragozzino
This paper examines the use of signaling theory in the M&A context. We review some of the most important developments in applications and extensions of this theory to the realm of…
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This paper examines the use of signaling theory in the M&A context. We review some of the most important developments in applications and extensions of this theory to the realm of M&A, indicating how this theory has been used to explain many M&A decisions and outcomes and has offered fresh perspectives in the mature literature on acquisitions. For example, we show how signaling theory provides a new view of the determinants of acquisition premiums, and it can contribute to an improved understanding of firms’ search for acquisition opportunities as well as target selection. We also provide a critique of existing research to identify gaps in understanding on the roles played by signals. For instance, we discuss how signals can create contracting problems during M&A negotiations, how the value of signals might vary across deals, and how bidder heterogeneity and bidders’ own signals matter for certain transactions. Finally, in addition to taking stock of this stream of research, we identify some of the most important areas that deserve research attention. Signaling theory can contribute to an improved understanding of acquisition performance outcomes, and signals need to be investigated along with other solutions to enhance M&A deal making and execution. We identify new research methods that would help to advance signaling theory in the acquisitions literature.
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Deniz Erer and Elif Erer
Introduction: Uncertainty plays an important role on economic stability and macroeconomic variables. Economic agents postpone decisions about investment and consumption in periods…
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Introduction: Uncertainty plays an important role on economic stability and macroeconomic variables. Economic agents postpone decisions about investment and consumption in periods in which uncertainty is high. This situation affects economic growth negatively. Recently, uncertainty has focused on policy uncertainty. At this point, economic policy uncertainty (EPU) comes to the forefront. EPU is defined as conception that economic agents do not forecast consequences of economic policies adopted by policy makers and future economic policies. In terms of developing countries, statements presented by policy makers in the United States especially may appear as a source of uncertainty in developing economies.
Aim: Therefore, the aim of this study is to analyze the effects of US EPU on macroeconomic variables for Turkey and Brazil, Russia, India, China and South Africa for periods in which global risk perception is low and high.
Method: The authors used monthly data from January 1998 to December 2018. For this purpose, the authors used Threshold VAR. VIX index takes in consideration as global risk perception. The authors used US EPU index proposed by Baker’s vd. (2016) in order to measure EPU in the United States. Besides, the authors used macroeconomic variables such as industrial production index, inflation and exchange rate.
Findings: As is seen from the results of the analysis, for Turkey’s economy the macroeconomic variables significantly and strongly respond to the changes in the EPU index during the periods in which global risk perception is low; nonetheless, the so-called responses weaken due to the adopted policy of “wait and watch” by investors during the periods in which global risk perception is high.
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Willi Semmler and Aleksandr V. Gevorkyan
Emerging markets are said to have sustained relatively well in the recent global crisis. There are several factors that help explain this popular view, such as, for example…
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Emerging markets are said to have sustained relatively well in the recent global crisis. There are several factors that help explain this popular view, such as, for example, perceived separation from key international financial centres. Still a lot is to be digested in the crisis aftermath with immediate implications for financial markets and real economy. This chapter offers a unique insight into dynamics within transition economies via an extended blended fiscal–monetary policy rules model with possibility of foreign reserves targeting and foreign currency-denominated debt dynamics. Calibration is based on actual data and is done under various targets and financial risk conditions. Prudent monetary policy and fiscal policy initiatives within current context drive the choice of targets. That may help dampen negative impacts of the crisis and thwart potential currency run. This chapter advances three possible post-crisis scenarios, each with unique solution for reserves, exchange rate, sustainable debt and output levels. Categorizing between net exporters and net importers based on countries' external positions, group-specific results are derived. While both groups are susceptible to exchange-rate risk affected by a multitude of shocks due to their fragile financial system, net importers risk high inflation, but net exporters over-borrowing. This chapter contributes to the literature on global financial crisis, macroeconomic policy, and role of nominal targets and foreign reserves in emerging markets.
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