Search

We study long-run shareholder outcomes for over 64,000 global common stocks during the January 1990 to December 2020 period. We document that the majority, 55.2% of U.S. stocks and 57.4% of non-U.S. stocks, underperform one-month U.S. Treasury bills in terms of compound returns over the full sample. Focusing on aggregate shareholder outcomes, we find that the top-performing 2.4% of firms account for all of the $US 75.7 trillion in net global stock market wealth creation from 1990 to December 2020. Outside the US, 1.41% of firms account for the $US 30.7 trillion in net wealth creation.

We find that strong disagreements between hedge funds and other institutions in their common stock trades are twice as likely as agreements. The overall success of hedge funds’ trades is confined to disagreement stocks. While hedge funds are on average positive feedback traders, albeit weaker than other institutions, they are neither positive nor negative feedback traders for stocks heavily sold by other institutions. Hedge funds also depend less on earnings news. Our findings highlight the importance of disagreement in studying the performance of institutional investors’ trades and are consistent with the notion that skilled investors rely less on public information.

This paper investigates the existence of contrarian profits and their sources for the Athens Stock Exchange (ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reactions, overreaction to firm-specific information, and profits not related to the previous two terms, as suggested by Jegadeesh and Titman (1995). Furthermore, in view of recent evidence that common stock returns are related to firm characteristics such as size and book-to-market equity, the paper decomposes contrarian profits to sources due to factors derived from the Fama and French (1993, 1996) three-factor model. For the empirical testing, size-sorted sub-samples that are rebalanced annually are employed, and in addition, adjustments for thin and infrequent trading are made to the data. The results indicate that serial correlation is present in equity returns and that it leads to significant short-run contrarian profits that persist even after we adjust for market frictions. Consistent with findings for the US market, contrarian profits decline as one moves from small stocks to large stocks, but only when market frictions are considered. Furthermore, the contribution to contrarian profits due to the overreaction to the firm-specific component appears larger than the underreaction to the common factors.

The focus is on Portfolio Diversification and Performance of Deposit Money Banks: analyzing the Nigerian banking industry for the period 1990-2019. The study measured treasury bills, ordinary shares, investments in subsidiaries, and foreign investments outside Nigeria as proxies for Portfolio Diversification while Return on Equity as proxy for performance of deposit money banks for the periods under review. In the course of the study, data were obtained from the website of Central Bank Statistical bulletin and annual report of Nigerian Deposit Insurance Corporation (NDIC). The Augmented Dickey Fuller (ADF) test option was used to test for unit roots. The ARDL and Bounds test were used to estimate the short and long run relationships respectively. The study discovered that at short run, treasury bills, and ordinary shares are negatively related and not significantly related to return on equity while investments in subsidiaries and foreign balances outside Nigeria are positively related to return on equity of DMBs at most lag periods. However, it was further observed that at different lag periods the variables do not significantly predict the direction of return on equity of DMBs. Long run relationship was also observed to exist amid treasury bills, acquisition of ordinary shares, investment in subsidiaries, ,foreign investments outside Nigeria and performance of all deposit money banks in Nigeria for the period 1990 – 2019.at short run, DMBs should diversify into investments in subsidiaries , as this would improve return on equity. Deposit Money Banks should also diversify into foreign holdings that would yield positive net present values. Deposit money Banks in Nigeria should diversify into foreign investments with the right mix that would increase performance. These were some of the recommendations proffered, to the Government, monetary authorities, Central Bank of Nigeria, researchers and Deposit Money Banks in Nigeria.

A análise de investimentos em ações baseados em proventos possui uma ampla gama de literatura, destacando-se as teorias da Irrelevância, da Relevância, da Preferência Tributária e da Agência. No caso brasileiro, a eficácia desta estratégia tem sido sustentada do ponto de vista legal (obrigatoriedade de pagamentos de proventos), metodológico (abordado por Décio Bazin, por exemplo) e prático (resultados obtidos por investidores como Luís Barsi Filho). Ainda no Brasil, o setor bancário destaca-se como um dos mais promissores para aplicação dos métodos de investimentos baseados em proventos. Desta forma, este artigo tem como objetivo realizar simulações de investimentos, para o período de 2014 a 2019, nas ações ordinárias do Banco do Brasil, Bradesco e Itaú-Unibanco. Pretende-se responder a seguinte pergunta: os retornos dos investimentos em ações do setor bancário, a partir de métodos baseados em proventos, superam os de outras formas de investimentos mais conservadores? Os resultados mostram que, ao longo prazo, as estratégias de investimentos baseadas nos proventos tendem a ser mais rentáveis do que as modalidades de renda fixa, podendo ainda ser potencializadas pela diversificação e adoção de reservas de oportunidades. Além disso, as simulações foram extrapoladas para o mês de abril de 2020, para avaliação dos efeitos do novo coronavírus às estratégias de investimentos. Este artigo contribui para propagação dos benefícios do mercado acionário à população brasileira, que, comparada com a de outros países, ainda investe pouco na bolsa de valores. Palavras-chave: Investimentos. Proventos. Bancos.

The current investigation aims to assess the effect of credit assessment changes on the share prices of Indian companies from 2009 to 2019. The data of top 100 companies listed on National Stock Exchange (NSE) across 10 industries stem from CMIE databases. The excess stock return is compared with the market in a 15-day window around credit rating changes. The event effect on share prices is more in the pre-event window compared to the post-event window. Positive abnormal stock returns around upgrades through downgrades are statistically significant compared to upgrades. Credit ratings are not significant across industries, and agency nationality is a critical factor for calculating the intensity of price reaction.

Although legitimacy theory provides strong arguments that environmental, social and governance (ESG) disclosure and performance can help mitigate firm-specific (idiosyncratic) risks, this relationship has been repeatedly challenged by conceptual arguments, such as ‘transparency fallacy’ or ‘impression management’, and mixed empirical evidence. Therefore, we investigate this relationship in the revelatory case of initial public offerings (IPOs), which represent the first sale of common stock to the wider public. IPOs are characterised by strong information asymmetry between firm insiders and society, while at the same time suffering from uncertainty in firm legitimacy, culminating in amplified financial risks for both issuers and investors in aftermarket trading. Using data from the United States, we demonstrate that (1) voluntary ESG disclosure reduces idiosyncratic volatility and downside tail risk and (2) higher ESG ratings have lower associated firm-specific volatility and downside tail risk during the first year of trading in the aftermarket. We provide theoretical arguments for the relationships observed, suggesting that companies striving for ESG performance and communicating their efforts signal their compliance with sustainability-related norms, thus acquiring and upholding a societal license to operate. ESG performance and disclosure help companies build their reputation capital with investors after going public. We also report that ESG disclosure is a more consistent proxy for ex-ante uncertainty as an indicator of aftermarket risk, thereby replacing some of the more conventional measures, such as firm age, offered in the existing literature.

The generalized Fisher effect has attracted a great deal of controversy around the world. This is similar in the Nigerian scenario as study established that there exist no long-run relationship between stock returns and inflation while some studies reported that only a unidirectional causation of returns on stocks with money flow exist as the variation in the flow of money will alter returns on stocks significantly, but not in the opposite direction. Therefore, this study examined the relationship between stock returns, inflation and interest rate in Nigeria with objective of testing the Fisherian theory. The Fisherian theory of interest postulates that changes in the value of money would be reflected in nominal interest rates and stock returns in the same proportion over the long-run. This study tested the validity of this hypothesis in a small open economy, Nigeria. A battery of econometric techniques were employed (descriptive and inferential) for the sake of robustness. In line with the theoretical postulation of the Fisherian theory of interest, the findings established a long-run relationship among the selected series. Specifically, the study found that the price level coefficient exhibits a positive and significant relationship with stock price in the long-run. Therefore, evidence abounds of a great deal of the Fisherian postulation in the analyses carried out and conclude that common stocks are, indeed, a good hedge against inflation in Nigeria. Key words: Fisherian theory, interest rates, Nigeria, small open economy, stock returns.

PurposeThis study aims to fill the gap in previous research that focuses on the superficial aspects of equity crowdfunding (ECF) campaigns and financial practices by examining financial literacy aspects, such as due diligence and valuation, in terms of factors that influence Japanese individual investors' investments in ECF.Design/methodology/approachThe status of information disclosure in ECF campaigns is checked. In addition, the feasibility of the initial due diligence and valuation using this information is verified. Specifically, the lack of financial literacy hypothesis is developed and (1) expected market capitalization in the final fiscal year of the business plan and (2) expected returns on investment (IRR: internal rate of return) are estimated.FindingsECF campaigns in Japan disclose information equivalent to that obtained by professional venture capitalists. Analysis of the disclosed business plan allows for initial due diligence and valuation. By contrast, due diligence reveals that some projects are unlikely to be listed even if their business plans are met, and others have low IRRs. In addition, a stock acquisition rights project, in which even professional investors are unable to calculate IRRs, is completed at the same rate as a common stock project; this suggests that individual investors lack financial literacy.Originality/valueAnalyzing ECF from financial literacy aspects, such as due diligence and valuation, is unique. Such aspects are essential for private equity investments but have not been addressed in previous studies.

Joint-stock companies in Russia are the most important and most complex type of commercial corporate organizations that are of strategic importance for the preservation and development of the Russian economy. At the same time, the civil legislation governing the organization and activities of joint-stock companies in the Russian Federation is developing dynamically, which requires a detailed analysis of the current state and development prospects of the corporate governance system in joint-stock companies. The work investigates the most important problems arising in the process of organizing and functioning of the corporate governance system in Russia, and also developed proposals for their resolution, including by introducing amendments and additions to the current legislation on joint-stock companies. These changes will make it possible not only to optimize the corporate governance system in Russian joint-stock companies, but also to protect the rights and legitimate interests of shareholders - owners of ordinary shares (primarily minority shareholders), government and local authorities, investors, etc.

This paper develops a model to explain a time-varying and currency-dependent interaction between stock prices and exchange rates. The linkage is proposed based on portfolio managers’ rebalance between foreign and domestic stocks. Stock prices in two industrialized countries are usually correlated but have different sensitivities to a common risk factor. When a common positive shock occurs, the country with higher sensitivity will attract relatively more investment on their stocks, which generates a net order flow toward that country’s currency in the foreign exchange market and further causes the country’s currency to appreciate. The paper concludes that the correlation between exchange rates and stock prices is determined by the relative sensitivity of two countries’ stock prices to the common stock factor. In specific, rising US stock prices are associated with appreciation(depreciation) of the Dollar when US(foreign) stock prices have higher sensitivity.

We provide a closed-form measure of the stock's factor-specific beta coefficient that allows for a delay in the reaction of stock prices to systematic information. This measure explicitly relates the stock's factor beta to the investment horizon and enables investors to determine the return measurement interval that is required for the stock's factor beta to fully reflect the stock's factor risk. Exploiting daily data on individual NYSE, Nasdaq, and AMEX-listed common stocks, we use this measure to estimate and investigate the properties of the stock's beta with respect to the market.