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We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for fundamental–based news while market-based news is represented by the 52-week high price ratio. A sample of UK stocks over the period January 1996 to December 2017 is analysed. The empirical results indicate that both the fundamental-based projected profitability and the 52-week high price ratio are important in explaining the IVOL anomaly. In contrast, individually, neither variable fully accounts for the anomaly. This relation is more pronounced following a period of high sentiment and during an upmarket. Further results suggest that underreaction lies at the heart of this explanation. [ABSTRACT FROM AUTHOR]

Although machine learning is frequently associated with neural networks, it also comprises econometric regression approaches and other statistical techniques whose accuracy enhances with increasing observation. What constitutes high quality machine learning is yet unclear though. Proponents of deep learning (i.e. neural networks) value computational efficiency over human interpretability and tolerate the 'black box' appeal of their algorithms, whereas proponents of explainable artificial intelligence (xai) employ traceable 'white box' methods (e.g. regressions) to enhance explainability to human decision makers. We extend Brooks et al.'s [2019. 'Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?' European Journal of Finance 25 (17): 1627–36.] work on significance and relevance as assessment critieria in econometrics and financial data science to contribute to this debate. Specifically, we identify explainability as the Achilles heel of classic machine learning approaches such as neural networks, which are not fully replicable, lack transparency and traceability and therefore do not permit any attempts to establish causal inference. We conclude by suggesting routes for future research to advance the design and efficiency of 'white box' algorithms. [ABSTRACT FROM AUTHOR]

We forecast quarterly US stock returns using a breadth of forecast variables, methods and metrics, including linear and non-linear regressions, rolling and recursive techniques, forecast combinations and statistical and economic evaluation. Thus, extending research in terms of the range of predictor series and the scope of analysis. Consistent with much of literature, a broad view over the full set of predictor variables indicates that such models are unable to beat the historical mean model. However, nuances reveal forecast success varies according to how the forecasts are evaluated and over time. Results reveal that the term structure of interest rates consistently provides the preferred forecast performance, especially when evaluated using the Sharpe ratio. The purchasing managers index also consistently provides a strong forecast performance. Further results reveal that forecast combinations over the full set of variables do not outperform the preferred single variable forecasts, while an interest rate forecast combination subset does perform well. The success of the term structure and the purchasing managers index highlights the importance of, respectively, investor and firm expectations of future economic performance in providing valuable stock return forecasts and is consistent with asset pricing models that indicate movements in returns are conditioned by such expectations. [ABSTRACT FROM AUTHOR]

Traditional finance theory posits that the relation between the risk and return of stocks is positive. Equally, investment practice is often based on the contention that high (low) beta stocks earn higher (lower) returns. However, this fundamental relation is questioned by several researchers, who present mixed evidence. The purpose of this paper is to shed further light on this question by examining both market- and firm-level price data; employing a battery of tests, including individual market, panel and quantile regressions; analysing the nature of the relation during periods of high and low volatility and in bull and bear markets. The results indicate that there is no single robust relation between risk and return. Notably, the results suggest a positive relation when returns are high and during bear markets. Further, the finding of a positive relation is stronger at the market-level than the firm-level and over long time periods. However, a negative relation exists at low return levels, during bull markets and, even more so, at the individual firm level. Overall, the results suggest that the risk-return relation is switching in nature and is primarily driven by changing risk preferences. A positive relation exists when macroeconomic risk plays a larger role. [ABSTRACT FROM AUTHOR]

Quantifiable, measurable risk is of critical importance when making data-driven decisions in finance and investment management, but what if the generally accepted practice of the investment industry for calculating risk possessed incorrect mathematical assumptions and embedded biases? This piece revisits the discussion surrounding the methodology used to calculate annualized standard deviation statistics commonly used when reporting the performance of investment products. It goes on to present a new example illustrating the bias when applied to an efficient frontier. [ABSTRACT FROM AUTHOR]

This study aimed to prove that social goal in improving social living standards is implanted on banking's objective in Indonesia. This research also tried to prove that there were differences between conventional and Islamic banks in defining the company goals, whether the goals are profit-oriented or socially oriented. This social goal is also aligned with sustainable development goals (SDGs) as international agendas in the world. The banks' contribution will be measured its impact on sustainable development goals. The developed hypotheses are equipped with good financing quality control. Furthermore, this research will compare the social goals of conventional banks and Islamic banks (sharia banks). This research used 801 data from the annual reports of conventional and Islamic banks in Indonesia from 2011 to 2018. Meanwhile, the reflection of sustainable development goals used several indicators, so that the statistical analysis used is WarpPLS. This research proved that there were differences between Islamic and conventional banks in promoting sustainable development. Generally, high financing or credit will increase sustainable development, while the sufficient/low bank profit demanded from the bank financing/credit also will increase sustainable development achievement. In conclusion, the financing quality is able to differentiate whether the low profits earned by banks are due to social orientation for sustainable development or because of poor market conditions (bad credit/financing). [ABSTRACT FROM AUTHOR]

Individual investment decision-making theory revolves around the logical choices an investor is expected to make to achieve the maximum return on investments. The investor life cycle theory is often used as a guideline to determine how investors will invest based on their predicted life cycle phase. However, the question remains whether lifecycle investing is still relevant today. The main purpose of the paper is to analyse how demographic factors influence investment product selection for South African banking clients using Big Data. The analysis found that the investment patterns of South African investors strongly contradict the foundational literature of the investor life cycle. South African investors are skewed more towards low-risk investment options like cash, across all age ranges, only investing in higher-risk instruments much later than what the investor life cycle theory suggests. Female investors are especially risk-averse, however, the effect becomes less prominent as income level rises. The risk-averse investment style seen in the findings for all South African investors can be explained by the slow economic growth experienced in South Africa, with investors having less disposable income to invest. [ABSTRACT FROM AUTHOR]

The paper investigates the factors that affect the risk tolerance of the general investors in Nepalese stock market. Using data of 99 investors, study applies ordinal logistic regression to evaluate the impact of investor's education level, gender, financial literacy, years in trading, prior history of loss and history of margin lending on risk tolerance capacity of the investor. The paper finds that with prior loss, chances of high-risk investor moving to moderate risk is 4.48 log odds while that of moderate risk investor moving to low risk is 1.33 log odds. Meanwhile financial literacy increases the risk level across risk spectrum by log odds of 1.59. On the other hand keeping other things constant with availability of margin lending, there is 48% probability investor falls into moderate risk category. The study however didn't find any influence of gender, years in trading and education on risk tolerance. The research finds that financial literacy is an important driver in risk appetite of investors than their education level. Further it shows that past experience of the investor very much influences their level of riskiness. Finally paper finds margin lending having more influence on those investors that falls under moderate risk level. The study thus provides guidelines for policy maker in setting the margin rate, and also helps portfolio manager to assess the risk appetite of the potential investor and finally provides empirical evidence of financial literacy in stabilizing risk tolerance of investors. [ABSTRACT FROM AUTHOR]

This study investigates the impact of multimarket contacts on bank profitability in the Vietnamese banking system from 2006 to 2015 using the system GMM. The findings indicate in general no evidence of the mutual forbearance hypothesis in this sector. However, we do find evidence of tacit collusion for the case of foreign-owned banks and newly combined banks with greater multimarket contacts. Finally, this study reveals that on average the most profitable banks are less geographically diversified, more technically efficient, and have lower credit risk. Regarding the role of bank ownership, more profitable banks are state-owned commercial banks, listed banks, and non-merged banks. [ABSTRACT FROM AUTHOR]

By combining Empirical Distribution Approach (EDA) and Discretionary Accruals Approach (DAA) with data including 2,949 observations of 295 Vietnamese listed companies from 2006 to 2016, we provide evidence that the firms have conducted earnings management behavior to avoid losses but have not committed earnings management behavior to avoid earnings decreases. The evidence indicates that the firms conducting earnings management behavior to avoid losses account for from 4.88% to 13.76% of the whole sample and account for from 49.6% to 73.6% of negative earnings observations. In addition, we find that the changes in working capital are a common tool for managers to conduct earnings management behavior to avoid losses. Furthermore, by removing discretionary accruals from earnings, we also confirm that managers have used discretionary accruals as a tool to manipulate reported earnings upward to avoid losses. [ABSTRACT FROM AUTHOR]

This study aims to explore how different capital ratios influence the risk-taking of large commercial banks of the USA. The study collects the data from FDIC for commercial banks from 2003 to 2019. We use a two-step GMM method to manage the endogeneity, simultaneity, heteroscedasticity, and auto-correlations issue. The findings conclude that an increase in the risk-based capital ratios decreases the banks' risks. Empirical findings demonstrated a significant and positive association between non-risk-based capital ratios and bank risk-taking. The findings also demonstrate that an increase in capital buffer ratios decreases the banks' risks. The impact of capital ratios on risk-taking is heterogeneous for well and under-capitalized banks. The findings suggest that State-chartered member and non-member banks are inclined to take a higher risk than nationally chartered banks. The findings have implications for regulators to consider the State-chartered member, non-member, and nationally chartered banks while formulating the new guidelines for required capital ratios. [ABSTRACT FROM AUTHOR]

In prior literature it was conjectured that the Indian stock market responses on domestic macroeconomic surprises are expected to be significantly influenced by global surprises. In this paper we empirically established that hypothesis. We used both the Event Analysis and VAR model. We found that global surprises consistently dominate Indian stock market and the influence of domestic macroeconomic surprises on it is relatively less. The understanding of stock market dynamics against domestic macroeconomic surprises and global factors can provide assistance to the policy makers for augmenting policy effectiveness and the corporate finance professionals for enhancing decision making. [ABSTRACT FROM AUTHOR]

Financial institutions are an important source of providing impetus to investment by mobilizing savings and channelizing them to meet much needed capital requirements of other sectors. Similarly, the extant literature documents volatility of influential financial intuitions is not standalone but of contagious nature tending to spread through the financial system hence causes economic and financial shocks. This study brings new insights by investigating the dynamic aspect of idiosyncratic risk across different economic conditions in a developing economy like Pakistan. To analyze the impact of factors that influence idiosyncratic risk, one and two step system GMM is used. The findings of the study highlight that capital structure of the financial institutions needs proper monitoring of regulatory authorities as banks get a good amount of loans during good times but this can wreak havoc during the crisis as it happened in 2008–2009. In the like manner, the State Bank of Pakistan should also introduce higher liquidity requirements as results point out increased liquidity leads to lower level of idiosyncratic risk. In addition to that, Monetary policy and prudential regulation policy should also be aligned as contractionary monetary policy deters the munificence of the sector and leads to increase in external dynamism resulting in higher level of idiosyncratic volatility. The economic sensitivity analysis indicate that role of liquidity becomes more significant during crisis and postcrisis period. Finally, study also elucidates that sector level variables are also instrumental in modeling of idiosyncratic risk along with firm and country level variables. [ABSTRACT FROM AUTHOR]

This paper examines the linear and non-linear relationship between Enterprise Risk Management (ERM) and firm performance while focusing on how operational status (financial and non-financial listed firms' status) affects this relationship in Ghana. Analysis of 30 listed firms on Ghana Stock Exchange between 2010 and 2016 in a robust fixed effect and random effect estimation techniques, presented new insights into ERM literature. We showed that ERM propels firm performance at both the firm level (return on assets and equity) and market level (Tobin Q) performance of listed firms in Ghana. A non-linear inverted U-shape is observed when return on equity is employed as a performance indicator while a non-linear direct U-shape is observed when return on assets and Tobin Q are employed as performance indicators. A non-linear relationship exists between ERM and performance of listed firms in Ghana whether the non-linearity is an inverted U shape or direct U shape depends on the firm performance. This paper recommends that firms should implement fundamental robust measures and dynamic risk management techniques to get better ERM outcome. Enterprise Risk Management should be implemented in both financial firms and non-financial firms because firms which practice ERM are more likely to perform better than Non-ERM counterparts. [ABSTRACT FROM AUTHOR]

This paper examines the impact of regulatory policies on banking market efficiency using a sample of 678 commercial banks from 21 European Union countries for the post-crisis year 2010, controlling for bank-specific and country-specific variables. Data on regulation, supervision and monitoring variables, and activity restrictions are from the most recent Bank Regulation and Supervision Survey database conducted by the World Bank, published 2012. Besides these we incorporate bank size, equity, market share, government ownership, and growth of Gross Domestic Product per capita, employing an Ordinary Least Squares method. Focus is on two alternative measures of banking market efficiency: net interest margin and overhead costs (operating expenses to assets). Elevated levels of these two ratios should indicate a low level of banking efficiency. The evidence suggests that the link between capital regulation and banking efficiency is not robust enough to control for other regulatory variables. Results confirm that activity restrictions have a negative and significant impact on banking efficiency. Policies encouraging official supervisory power do not enhance efficiency of the banking sector. The only approach positively and statistically significantly associated with efficiency is private monitoring. This leads to the suggestion that government regulation and supervision should be more focused on promoting transparency of information. [ABSTRACT FROM AUTHOR]

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the three-factor model of Fama and French, and is commonly used to explain the cross section of returns. Studies on the Value Anomaly in the Indian Stock Markets have yielded mixed results. Using a longer span of data and a larger set of companies, this study explores and observes the Value Anomaly in the Indian Stock Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that Value Anomaly exists in India, but with growth portfolios outperforming value. A critical analysis reveals possible linkages to firm size. [ABSTRACT FROM AUTHOR]

The widespread financial exclusion in Africa despite the continent's high adoption of financial technology (Fintech) suggests that there is a gap between Fintech's adoption and its actual usefulness. This study seeks to measure Fintech's usefulness, its growth and identify its determinants in a panel of three emerging, twenty-four frontiers and five fragile African markets for the period 2004–2018. A dummy variable interactive equation was modelled based on theory to account for heterogeneity between groups. Results from the system Generalised Method of Moments (GMM) estimation technique reveal that on average, Fintech usefulness in Africa is a dynamic heterogeneous process. Income per person, level of financial development, Fintechs' compatibility with users' experiences, users' risk perception, inflation rate and financial-openness were the main determinants of its usefulness. Its rapid growth after the 2009 financial crisis suggests that greater Fintech usefulness can mitigate financial crisis among Africa markets. In particular, the growth of Mobile-banking, ATM and Internet-banking as at 2018 are on average 41.8%, 0.4%, and 20.8% respectively greater than its average in the base year 2004. The study concludes that Fintech's usefulness is driven by economic, financial and psychological factors; therefore, structural transformation, financial development and improved literacy were recommended. [ABSTRACT FROM AUTHOR]

The purpose of this study is to investigate the effect of price-sensitive announcements on stock return anomalies and the interaction effect of corporate announcements of firms with abnormal returns (AR). The study focused on 279 announcements for a period of two years from Jan-2016 till Dec-2017. The announcements were related to plant expansion, change in capital structure, change in ownership, and financial results. We adopted the event study methodology to calculate the Cumulative Abnormal Return (CAR) for the event window of 30 days (−15, +15). The study also used hierarchical moderated regression analysis to examine the moderating effect of corporate announcements on abnormal returns. The findings revealed that insiders received higher abnormal returns when they buy stocks before corporate announcements. The results also indicated that these returns are specifically related to purchases made before announcing plant expansion, financial results, and change in the capital structure. The study also exposed that insiders having prior information on corporate announcements can increase predictability and drive the return irrespective of the firms' operating business. The results provide more insight into the effectiveness of the Security and Exchange Commission of Pakistan (SECP) in curbing insider trading in the Pakistan Stock Exchange (PSX). The study recommends to the individual investors to diversify their investment to safeguard the returns. [ABSTRACT FROM AUTHOR]

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility-return relationship is driven by unrealized capital losses. In addition, this negative relation disappears in the unrealized capital gains domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle interpretation. These findings are robust to control for several factors, such as market beta, return reversal variable, momentum, and liquidity. [ABSTRACT FROM AUTHOR]

The study is intended to investigate the symmetrical relationship between macroeconomic variability and KSE-100 indexes by employing the ARDL model with bound testing procedure and error correction model. Authors have also examined whether the linkages between macroeconomic variability and KSE-100 indexes change in the wake of the 2008 Global economic recession. Macroeconomic variability is represented by fluctuations in interest rates, consumer price index, and Money supply (M2). Monthly level data representing macroeconomic volatility has been incorporated from the trading economics website and validated from the Pakistan bureau of statistics. Four different types of unit root tests like augmented dickey fuller test, KPSS, and Philips Peron unit root are also employed for the identification of seasonality effects in data. To identify structural breaks and linearity in data, the Zivot Andrew unit root test and BDS test for nonlinearity have also been employed respectively. This study adds to the existing literature by classifying investor's different reactions to fluctuation in macroeconomic variability before and after the international economic recession. Our study results proposed that in the long run and before the international economic crunch, the money supply and interest rates have an inverse relationship with stock indexes but CPI has a direct and significant relationship. However, after the 2008 economic crisis and for a longer horizon, stock indexes have been impacted positively by money supply, and IR has formulated an inverse relationship with KSE-100 indexes. This indicated that the association between macroeconomic variations and KSE-100 indexes changes following the 2008 international economic crisis. [ABSTRACT FROM AUTHOR]

This paper aims to analyze factors explaining the capital structure puzzle in the banking sector of Pakistan. Capital Adequacy Ratio (CAR) is used as a proxy for bank capital structure. Secondary data has been collected from the publications of the State Bank of Pakistan and the annual reports of banks from 2006–2017. The data is analyzed by applying the pooled OLS, fixed effect, and the GMM estimator. The determinants are grouped in (i) bank financial performance (ii) bank risk-based and (iii) industry level. Using bank financial performance indicators, the alternate cost of capital is significant, and management quality is an insignificant determinant of capital structure. Similarly, using bank risk-based variables, default risk, and credit risk is statistically significant whereas, bank risk index is statistically insignificant in explaining capital structure. Furthermore, using the industry-specific variables, both the average CAR of the banking sector and the market competitiveness proxied by the Herfindahl-Hirschman Index (HHI) is significantly predicting capital structure. Overall the bank risk-based and the industry-specific indicators are explaining bank capital structure more significantly compared to other indicators in the study. Finally, this paper included the financial crisis to observe any exogenous shocks while studying capital structure which is found to be significant in the current study. [ABSTRACT FROM AUTHOR]

The purpose of this study is to validate the relationship between earnings management and financial distress. Further, it will explore the moderating role of ownership structure for the relationship between earnings management and financial distress which is missing in the current literature. Agency theory and the iron law of earnings management are utilized to develop the framework for this study. Data have been collected from 156 companies listed on the Pakistan Stock Exchange for the period of 2004 to 2017. All the reported results are on a log-odds matric because our dependent variable is binary. The results of the study proved that there exists a positive relationship between earnings management and financial distress and this relationship is negatively moderated by ownership structure. The results of this study are beneficial for investors as well as regulators regarding control mechanisms of ownership structure. [ABSTRACT FROM AUTHOR]

We examine the impact of ownership concentration, firm life cycle, and family ownership on leverage using a sample of listed Italian firms. The study findings reveal that family businesses in Italy have high ownership concentration and use less debt than non-family firms. The study results show that there is a nonlinear relationship between ownership concentration and leverage, and between the firm life cycle and leverage. Furthermore, the study contributes to the literature by showing that firm age positively moderates ownership concentration and leverage linkage. Besides we provide evidence that debt and ownership alternate as disciplining devices at different ownership concentration levels and life cycle stages. Our policy contribution encourages regulators to enforce laws that protect minority shareholders in businesses with high ownership concentration. [ABSTRACT FROM AUTHOR]

The asset-pricing models have been a fundamental area of research in finance due to its applicability in corporate finance and stock analysis. The present research attempted to evaluate the three popular asset-pricing models namely the capital asset-pricing model, the Fama-French three-factor model, and the Fama-French five-factor model in the Indian equity market for the period of January 2009 to November 2018. The study also tested the role of the size, profitability, value, investment, and market factors in explaining the average equity returns at the Indian bourses. The empirical results indicate the inferior performance of single market factor in describing the variations in average stock returns in comparison of the FF3FM and FF5FM. Furthermore, the size and value factors added to CAPM yields a vital improvement in explaining the variation in average returns of sample stocks. [ABSTRACT FROM AUTHOR]

The performances of African countries particularly in West African Sub-region on global-human development indices had been abysmal over the years and have worsened in the face of COVID-19 pandemic. This is a source of concern to scholars. Expenditure on health and education are recognized by experts as key predictors of human capital development. The latter is theoretically adjudged as a major driver of socio-economic development. This study investigated the relationship between health financing and economic performance (proxied by per capita GDP) among the 15 member countries of Economic Community of West African States (ECOWAS). Data spanning the period 1985–2017 were used and Panel Autoregressive Distributive Lag (PARDL) technique was adopted for the analysis. Results show that both private and public expenditures on healthcare were statistically significant to grow output per capita in the long-run. Further findings also suggest that other socio-economic covariates that affected the outcome of aggregate economic performance like price level of capital formation and population growth rate implicitly affected output per capita in the Sub-region. Recommendation points to all critical stakeholders to show more commitment and allocate more resources towards improved health care in the Sub-region if the cycle of stunted economic development will be broken. [ABSTRACT FROM AUTHOR]

The study examined the effect of macroeconomic variables on exchange rate in Ghana using a multivariate modeling technique of the Vector Autoregression (VAR) and focusing on impact of broad money supply (M2), lending rate, inflation and real GDP on exchange rate, for 76 quarterly observations period of 2000–2019, in Ghana and to examine their effectiveness in managing exchange rate in Ghana. The study used only secondary sources of data from Bank of Ghana, World Development Indicators and Ghana Statistical Service. It was found that, real GDP granger causes exchange rate in Ghana. However, inflation, money supply and lending rate do not granger cause exchange rate in Ghana but they affect exchange rate indirectly. It was recommended that a sound exchange rate policy should take into account some considerations. The bank of Ghana should try to reduce the lending rate and money supply in order to lower inflation to create rooms for more investors to produce more to increase the GDP produced in the country, in order to depreciate the foreign currency. [ABSTRACT FROM AUTHOR]

Using a linear model, previous studies on the ownership concentration–firm performance nexus have produced inconsistent empirical findings and found no consensus concerning the measure of agency conflict control mechanism. Using a non-monotonic model and a combination of agency conflict control mechanisms, this study contributes to the existing literature by examining the moderating roles of additional blockholders, dividends, foreign ownership types in determining the effect of ownership concentration on performance of 580 Indonesia's firms during the 2009–2018 period. Employing panel piecewise and moderated regression models, the study documented that the ownership concentration–firm performance relationship had followed a non-monotonic pattern, proving both monitoring and expropriation hypotheses exist for non-financial firms in Indonesia. These findings highlighted the important role of additional blockholders, dividends, foreign ownership types as moderating variables, and debt as a predictor to influence firm performance, functioning as the control mechanisms for the agency conflicts in Indonesia. [ABSTRACT FROM AUTHOR]

Terrorism plays a pivotal role in influencing the stock indexes of many countries. This research article claims to be first in accessing the asymmetrical effect of multiple categories of terroristic activities on stock indexes in the presence of macroeconomic volatility. This research utilized a Non-linear autoregressive distributive lag model (NARDL) to find out the asymmetrical relationship between terroristic disruptions and stock indexes. Data on terroristic attacks have been incorporated from 2002 to 2015, and more than 4600 observations taken into account. Positive shocks to attacks on mosques, killed in mosque attacks, killed in drone attacks, and army personal fatalities are negatively affecting the stock prices in the short run. Results indicated that such disruption causes a temporary negative effect on stock indexes only in the short run but in the long-run stock exchange remains resilient against such disruptions. [ABSTRACT FROM AUTHOR]

Portfolios in idiosyncratic momentum are formed on past residuals of the Fama-French three factor model rather than past total returns. This study examines whether the idiosyncratic momentum strategy can sustain excess returns following the emergence of traded options. We compare idiosyncratic momentum returns with traditional momentum returns over different holding periods and over difference in traded options. Our results show that idiosyncratic momentum returns for stocks with options are positive for three, six, and twelve months following the formation date, while traditional momentum returns for those with options are insignificant or even turn to negative. We also find strong evidence that the enhanced information efficiency led by short selling has impacts more on traditional momentum than on idiosyncratic momentum. While traditional momentum disappears on stocks with traded options, idiosyncratic momentum survives and is still anomalous to the efficient market hypothesis. [ABSTRACT FROM AUTHOR]

This study examines the role of economic policy uncertainty (EPU) in influencing firm performance and leverage as a form of financing decisions, in the presence of herding in the emerging markets of Brazil, Russia, India, China and South Africa (BRICS). This study contributes to our understanding of how businesses in emerging markets make financial decisions during uncertain times as well as the role of policy development in influencing firm performance and corporate decisions. The increase or decrease in EPU is determined by the way policymakers or investors act and the consequences of their decisions. EPU is, in fact, a market characteristic that brings changes in prices and returns. Therefore, investors and policymakers should be aware of it to prevent any negative effects. A steady and predictable economic policy is critical to economic growth. We investigate how firms rationalise making leverage financing decisions during times of economic policy uncertainty and if so, if herding is present in these decisions. Our data spans the Top 80 listed firms in each respective country from the beginning of June 2002 to the end of June 2017. Russian, Indian and South African results show that EPU is significant in determining leverage financing decisions and that an increase in EPU leads to herding in such decisions. We find contrary results in Brazilian and Chinese firms. Our results imply that when leverage decisions are made, both the political climate as well as competitor movement data must be considered in determining a firm's "ideal" capital structure. [ABSTRACT FROM AUTHOR]

This work built on financial literature on rolling window Granger-causality testing (RWGCT) methodology, specifically expanding its early theme of speculative trading which emerged in 2009 following the food price crisis. Although many times driving the commodity prices in reality, the unexpected often remains unexplained in equilibrium modelling. Financial speculation is a distinct, unexpected phenomenon which allows us to determine temporal order of affecting market forces in equilibrium dynamics. A logical framework retraces price and quantity adjustment directions from underlying speculative demand or supply curve shifts; using it, we extracted these shifts with RWGCT from the price and arrival quantity data of Delhi potato wholesale markets. The main results confirmed the framework, more speculation was detected on demand side compared to supply side. The food price crises of 2007–2009 and 2011–2012 saw most demand-side speculation, as financial liquidity poured also to potato markets, whereas supply-side speculation was most likely detected due to unexpectedness related to approaching harvest or its aftermath when considerably supply becomes available, and thus also greater potential gains from timing sales. [ABSTRACT FROM AUTHOR]

The study examines the bank-specific determinants of sovereign bond holdings and how such holdings affect bank lending of the banking market in Vietnam. Using annual financial data of commercial banks from 2007 to 2018 and alternative regression techniques for both dynamic and static models, we attribute the motives of sovereign bond holdings to the liquidity reserves, profitability improvement, and risk-shifting. At odds with our expectation, we find no evidence in favor that Vietnamese banks purchase government bonds to increase capital adequacy ratio. Furthermore, to clarify the economic impact of sovereign bond investment, we also offer evidence to reject the notion that purchases of government bonds are detrimental to banks' core function in normal times captured by bank lending and liquidity creation. All estimates are robust across alternative regression techniques in both dynamic and static panel models. Overall, our findings have important policy implications for Vietnam and some emerging economies with similar backgrounds. [ABSTRACT FROM AUTHOR]

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the predictability of returns using two valuation ratios—the dividend and earnings yields—on the South African market, at both aggregated and sectoral level. Unlike most studies in South Africa, this study employs an apposite present value model, accounts for structural breaks and investigates the non-linearity of the relationship between stock returns and valuation ratios. The results show that returns are predictable at both aggregated and sectoral levels. This finding has implications for market efficiency through enhanced price discovery which, in turn, has implications for investment and portfolio management. However, it should be noted that statistical significance may not translate to economic significance, so there is a need to determine the latter if one intends to use any strategy that relies on this evidence. [ABSTRACT FROM AUTHOR]

This study highlights the effect of corporate governance structure and bank externalities on non-performing loans in Nigeria covering the period 2009–2017. This study constructs corporate governance index for Nigerian Banks using Principal Component Analysis to establish the influence of corporate governance structure on non-performing loans. This study conducts a panel data analysis using static and dynamic estimators to examine the sensitivity of non-performing loans and corporate governance structure. From the empirical analysis, corporate governance structure of banks in Nigeria has a negative and significant influence on non-performing loans in Nigerian banks. This result reveals that sound corporate governance structure enhances the loan quality and bank stability. In addition, the study affirms that stringent policy imposed by the bank regulators has a negative impact on non-performing loans. Thus, effective corporate governance mechanism and bank regulations could help to curb excessive risk appetite that could mutilate probable performance and loan quality. This study recommends that banks should continue to implement high quality of corporate governance mechanism with positive effects at eliminating excessive risk-taking. [ABSTRACT FROM AUTHOR]

This study aims to identify firm characteristics that affect the cross-firm variation in oil–stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm age. Contrary to a common belief, firm size or stock liquidity does not seem to influence heterogeneity in oil–stock relationships. My finding is consistent across oil-producing and consuming companies while the effect of firm age is not observed among financial institutions engaged in commodity trading. An additional test using the panel Granger causality approach shows no lagged effect of oil market movement on the oil and gas extraction firms, suggesting their prompt response to market information. [ABSTRACT FROM AUTHOR]

The policy responses to capital flows in emerging markets are multiple. However, capital inflow controls, if applied sufficiently broadly, can buttress all other policies by limiting the volume of capital inflows and address balance sheet vulnerabilities. The study analyzes the effects of capital controls (CC) domestically and internationally. Applied to 24 emerging economies (EEs) from 2009 to 2016, a panel vector autoregression model using a quarter dataset provides further evidence on these effects. Domestically, the results show that following the 2008 financial crisis, strengthening CC may support policymakers' actions to improve their macroeconomic policies. Unpredictably, there is no relationship founded between CC and international reserves accumulation. However, a combination of controls and reserves are needed to manage well the volatile capital flows. Internationally, restrictions on capital flows may cause spillovers between countries introducing controls and neighboring countries. These multilateral effects raise the challenge of optimal policy coordination. [ABSTRACT FROM AUTHOR]

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates. [ABSTRACT FROM AUTHOR]

The number of South African firms that have sought cross-listing in regional and global markets has been increasing. Many firms increase their presence beyond local markets, and one of these avenues is through cross-listing; however, it remains unclear whether the home or host market contributes more to the incorporation of information in cross-listed stocks. This study examined the price discovery process of Johannesburg Stock Exchange (JSE) domiciled stocks with a cross-listing on the New York Stock Exchange (NYSE). The price discovery of cross-listed stocks was tested using Johansen's and Phillips-Ouliaris' cointegration, the vector error correction model and common factor weights. Long-term relationships consistent with the law of one price were found. Contrary to the home bias hypothesis, results indicated that the NYSE dominated price discovery. Fund managers and investors who have included JSE cross-listed stocks in their portfolios should devote more attention to the NYSE as information flows appear to occur mainly from the NYSE to JSE. Further, results suggest that there is co-movement and integration between the USA and South Africa which diminishes diversification benefits for investors. [ABSTRACT FROM AUTHOR]

This paper examines the effect of financial system development on oil-dominant economy of Nigeria using Zivot-Andrews unit root test and Autoregressive Distributed Lag (ARDL) model over the period 1981 to 2015. The motivation of this paper is that the study distinguished the impact of financial system development on the non-oil sector from the oil sector. The study also differs from the usual yet unsatisfactory approach of measuring financial system development in Nigeria to build an index as a measure that characterizes the whole development in the financial sector using Principal Components Analysis (PCA). The result reveals that there exist mediating factors that alter the impact of finance on growth. Specifically, the findings indicate that financial system development has a negative and insignificant impact on the growth of oil sector while the influence of financial system development on the growth of non-oil sector is positive and significant. The study therefore recommend that policymakers should channel the high receipts from the export of crude to productive investments through financial institutions that will allocate the resources more efficiently to improve the quality of investment capable of driving growth. [ABSTRACT FROM AUTHOR]

This study focuses on assessing the role of various bank-specific, industry-specific and macroeconomic determinants in Indian commercial banks performance. Performance of the Indian banks has been measured by Return on Assets (ROA), Return on Equity (ROE) and Net Interest Margin (NIM) and Pre-provision profit ratio. The study analyses impact of various bank-specific factors like bank size, capital ratio, risk, cost to income ratio, funding cost, revenue diversification, labour productivity and bank age on bank performance. It also tries to assess the relationship between various bank-specific and industry-specific variables like bank concentration, inflation rate and GDP growth rate with bank performance. Fixed effects estimation model and Generalized Method of Moments (GMM) have been used on a panel data of 19 years for 64 commercial banks of India. The findings reveal that private sector banks are more profitable than the public sector banks. Additionally, the results of the study show that bank size, non-performing loan ratio and revenue diversification are the major determinants of the commercial banks performance in India. Furthermore, the results reveal that during the crisis period the impact of bank size, bank age, labour productivity and revenue diversification on the performance of the Indian banks is robust. The higher non-government stake leads to the enhanced performance of the commercial banks in India. The higher capital adequacy leads to the increase in the performance of the banks. The larger banks are less profitable. The results provide better insights about the determinants of Indian banks profitability. [ABSTRACT FROM AUTHOR]

This study investigates the geographic loan expansion on bank risk using the aggregate data of 53 countries from 2005 to 2016 using the system generalized method of moments. Our findings show that global expansion tends to increase bank insolvency and reduce bank adjusted-risk-performance. Our findings further indicate loans distributed to advanced markets tend to reduce bank stability while the proportion of loans to other emerging markets and developing countries may have the potential to improve bank solvency and risk-adjusted-performance. As diversification is seen as a necessary strategy to diversify bank risks, bank managers should put more attention to emerging markets. [ABSTRACT FROM AUTHOR]

To find out if gold remains to be unlinked with the crude oil market after the 2008 financial crisis, we investigated how long-run price linkages and price causalities among crude oil and gold markets changed before and after the crisis. To have a good reference, we also tested the same issue for the oil-platinum relationship. Using the cointegration methods, we found little evidence that gold began to have a price linkage with the crude oil market after the 2008 financial crisis. Conversely, we identified a long-run relationship between the crude oil and platinum markets after the crisis. Hence, we found that compared to the platinum market, the gold market remained unlinked with the oil market after the 2008 financial crisis indicating that it continued to be independent of the crude oil market. [ABSTRACT FROM AUTHOR]

Study examines the role of financial literacy and financial self-efficacy of individuals in explaining their behavior to have financial accounts. Study has used the questionnaire based survey and collected the data responses from 564 adults belonging to Sahiwal division. The binary logistic regression model is utilized to estimate the probability of having financial accounts in relation to individual's financial literacy and financial self-efficacy level. Estimated results show that individual's financially literacy level is positively related with individual's account ownership model among the selected group. While individual's financial self-efficacy level does not explain any positive significant impact on individual's account ownership model. Other socio-demographic variables like gender, marital status, education, occupation, and income level are also found to have influential impact on the individuals' account ownership behavior in Pakistan. Study recommends that financial literacy is pertinent to have equitable financial inclusion in the economy. [ABSTRACT FROM AUTHOR]

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other takes asymmetric effects into account. Furthermore, the accuracy of the GARCH option pricing model applied to Bitcoin is tested. Empirical results indicate that asymmetry is not an important factor to consider when pricing options on Bitcoin or CRIX, this is consistent with findings in the literature. In addition, the GARCH option pricing model provides realistic price discovery within the bid-ask spreads suggested by the market. [ABSTRACT FROM AUTHOR]

This paper explores the symmetric and asymmetric dependency structure of decomposed return series of Gold and eight cryptocurrencies to establish the hedging and diversification potentials of these asset classes. Daily data spanning 30 April 2013 to 18 April 2019 are employed within the Ensemble Empirical Mode Decomposition and Quantile-in-Quantile regression techniques. Our empirical results provide evidence that cryptocurrencies and Gold can both hedge and diversify for each other at different conditional distributions of their returns. We also find that cryptocurrencies are not purely speculative but can be driven by medium- and long-term fundamentals. In addition, both Gold and cryptocurrencies can be hedge and diversifiers for other traditional asset classes such as crude oil, fiat currencies, and other commodities. [ABSTRACT FROM AUTHOR]

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1), TARCH (1,1), and EGARCH (1,1) models. The results reveal the existence of leverage effect in TARCH (1,1) and EGARCH (1,1) models. Moreover, TARCH (1,1) is found as the best fitting model in modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold Online Futures and the existing gold futures price volatility. Therefore, the results suggest regulatory authority to lower the level of margin requirements for the related futures contracts, along with the issuance of new derivatives products. [ABSTRACT FROM AUTHOR]

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011–2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil- and gas-related firms in the wave of increasing oil price, but a lagged period of time oil- and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011–2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil- and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil- and gas-related firms. [ABSTRACT FROM AUTHOR]