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This article is concerned with the numerical analysis of reduction of fluid forces (drag and lift) and suppression of vortex shedding around two side-by-side square cylinders using the lattice Boltzmann method. For this purpose, a passive flow control methodology is adopted in which a flat plate (termed as the control plate) is placed at the upstream position of cylinders. The gap ratio ( g ) between the cylinders and the plate is varied from 0 to 4 while the height of the control plate is varied from 0.2 to 0.8 at fixed Reynolds number of 150. Different flow patterns are found in this study depending on the gap ratios and different heights of the control plate. These flow patterns are single bluff body flow, flip-flopping flow, and antiphase vortex shedding flow patterns. The narrow gap ratio ( g = 0.5) is found to have more impact in terms of force reduction and flow control as compared to larger gap ratios. This article also shows that the fluid flow parameters such as the mean drag coefficient, the Strouhal number, and rms values of drag and lift coefficients of both cylinders reduce considerably due to the control plate as compared to without the control plate. In this regard, it is found that the mean drag coefficient of upper cylinder reduces upto 45.94%, the Strouhal number of both cylinders reduces upto 18.66%, while a maximum reduction of 83.47% and 95.39% is observed in root-mean-square values of drag and lift coefficients of upper cylinder, respectively. Another important finding of this article is that the control plate does not suppress forces and control flow at all gap ratios and heights of control plate considered in this article. In some cases, the flow-induced forces were found to be increasing as compared to without the control plate, and this generally happened at higher gap ratios.

Numerical investigations are carried out for the flow around two inline square cylinders with a flat plate, placed in the wake, using the lattice Boltzmann method. Main emphasis of this work is to find the optimum values of the gap ratio (L/d) between cylinders and plate for maximum vortex shedding control and suppression of flow induced forces. The gap ratio between both cylinders as well as between second cylinder and plate is varied in the range 0.5 to 10 by fixing Reynolds number at 150. Three different flow structures are observed by systematically increasing the gap ratio: solo body (L/d = 0.5), reattachment flow (1 ≤ L/d 2.5. An interesting fact revealed through this study is that the control plate, with dimensions chosen in present study, does not always suppress the fluid forces and controls vortex shedding process. In some cases, its presence in the wake may be critical in terms of fluid forces and vortex shedding.

This work presents a numerical simulation performed to study the effect of Reynolds number (Re = 80–200) on fluid flow over a square rod attached to two small controlling rods using the Lattice Boltzmann method. For this reason, the spacing ratio between the control rods and main rod varies systematically from g = 0.5–5. Flow has been subdivided into three flow regimes based on spacing ratios. The first flow regime is considered at a small gap (g = 0.5, 1, and 1.5), the second flow regime is obtained at a moderate gap (g = 2, 2.5, and 3), and the third flow regime is considered a at large gap (g = 4–5). Five different types of flow modes were noticed in the given flow regimes. The values Re = 200 and g = 5 were found to be critical due to a sudden change in flow characteristics. The maximum value of Cdmean is 0.869 and the largest percent reduction (65.15%) in the mean drag coefficient was found at Re = 200 and g = 2.

In perfect capital markets, the futures price of an asset should be an unbiased forecast of its realized spot price when the contract matures. In reality, futures prices are often higher for some assets and lower for others. However, there is no stability in the relationship between futures prices and the realized spot prices. This instability has been a puzzle in the existing financial literature. The key to this puzzle may lie in the nature of the model and the lack of market imperfections. In this study, we take a theoretical approach in a dynamic multi-period environment. We incorporate competition between disparate economic agents and impose financial frictions (i.e., imperfections) that are in the form of hedging and borrowing limits on them. Our model gives rise to multiple equilibria, each with unique market clearing prices, with the market switching between these equilibria. Our analysis incorporates a comprehensive consideration of the risks faced by the futures markets participants (i.e., speculators and hedgers) and leads to a better understanding of the puzzle. JEL Classification

In this paper, the radial basis function (RBF) collocation method is applied to solve nonlinear partial differential equations (PDEs). First, the given equation is reduced to time-discrete form using Ө-weighted scheme. Then, with the help of RBFs, the given PDEs are transformed into a system of algebraic equations that is easy to solve. The proposed technique is verified by solving Hunter–Saxton and Gardner equations. For the solution of these problems, three types of RBFs, including multiquadric (MQ), inverse multiquadric (IMQ), and Gaussian (GA) have been used. The obtained solution is validated with the help of absolute error, L2, and L∞ error norms. The involved shape parameter is selected by the automatic algorithm that lies in the stable region of the method. The stability of the scheme is discussed by the spectral matrix method and validated computationally.

This study aims to determine whether increasing a firm’s leverage significantly changes its level of bankruptcy risk in the innovative industry by using the CHS model [Campbell, J. Y., J. H...

In this work, numerical simulations are performed in order to study the effects of aspect ratio (AR) and Reynolds number (Re) on flow characteristics of three side-by-side rectangular cylinders for fixed spacing ratio ( g ), using the lattice Boltzmann method (LBM). The Reynolds number varies within the range 60 ≤ Re ≤ 180, aspect ratio is between 0.25 and 4, and spacing ratio is fixed at g = 1.5. The flow structure mechanism behind the cylinders is analyzed in terms of vorticity contour visualization, time-trace analysis of drag and lift coefficients, power spectrum analysis of lift coefficient and variations of mean drag coefficient, and Strouhal number. For different combinations of AR and Re, the flow is characterized into regular, irregular, and symmetric vortex shedding. In regular and symmetric vortex shedding the drag and lift coefficients vary smoothly while reverse trend occurs in irregular vortex shedding. At small AR, each cylinder experiences higher magnitude drag force as compared to intermediate and large aspect ratios. The vortex shedding frequency was found to be smaller at smaller AR and increased with increment in AR.

This study focuses on the transitions in flow states around two-, three- and four-inline square cylinders under the effect of Reynolds numbers at two different gap spacing values using the lattice Boltzmann method. For this purpose, Reynolds number is varied in the range 1–130 while two different values of spacing taken into account are gap spacing = 2 and 5. Before going to actual problem, the code is tested for flow around a single square cylinder by comparing the results with experimental and numerical results of other researchers, and good agreement is found. The current numerical computations yield that for both spacing values and all combinations of cylinders there exist three different sates of flow depending on Reynolds numbers: steady state, transitional state and unsteady state. It is found that the range of Reynolds numbers for these flow states is different for both spacing values. At gap spacing = 2 the range of Reynolds numbers for each flow state decreases by increasing the number of cylinders while at gap spacing = 5 opposite trend is observed. The results also show that at gap spacing = 2 the reduction in drag force is greater than the corresponding reduction at gap spacing = 5. The maximum reduction in drag force is observed at Reynolds numbers = 1 at both spacing values. Similarly, at both spacing values and all Reynolds numbers, the maximum reduction in drag force is observed for the case of four-inline square cylinders. Keywords: Drag reduction, Flow states, Gap spacing, Inline cylinders, Reynolds number

Numerical simulations are carried out to study the effect of aspect ratio (AR) and gap spacing (g) for flow past a row of rectangular cylinders using lattice Boltzmann method (LBM). The Reynolds number (Re) is fixed at 150, gap spacing is taken in the range from 0.25 to 4 while the aspect ratio varies from 0.5 to 2. Depending on AR and g, the flow is classified in to three major classes; (i) modulated (ii) symmetric and (iii) synchronized. In each class different flow patterns are observed. In modulated class, the flow behind cylinders shows merging and distortion while the force coefficients are modulated. The observed flow patterns for this class are:nearly-bistable, deflected, flip-flopping and chaotic. The flow behind middle cylinder in symmetric class is either steady or nearly steady. In this class symmetric and nearly-symmetric flow patterns are observed. In synchronized class, the flow behind each cylinder is fully developed with alternate negative and positive vortices. The flow pattern observed for this class are: quasi-synchronized, synchronized and non-synchronized. Fluid forces acting on each cylinder, flow structure mechanism, time signal analysis of drag and lift coefficients and vortex shedding frequencies are investigated systematically for different AR and g. The results show that at small g and AR, flow is complex and is more affected by AR as compared to g. At large g and AR the flow is synchronized throughout the computational domain. The results further show that the mean drag coefficients of all cylinders increase with corresponding decrease in g for fixed AR. While at fixed values of g the mean drag coefficients show variation for all AR. At large g and fixed AR the mean drag coefficient of all cylinders approaches to single cylinder and all cylinders experience same drag. It has been observed that the smaller spacing values have more influence on Strouhal number as compared to higher spacing values.

In this paper numerical investigations are performed to examine the effect of Reynolds numbers (Re) and spacing ratios (g) on flow around a row of five side-by-side square cylinders using the lattice Boltzmann method. The Reynolds number is varied in the range 75 ≤ Re ≤ 175, while spacing ratio is varied between 0.5 and 5. The flow structure mechanism around a row of five side-by-side square cylinders is studied in terms of vorticity contours visualization, time trace analysis of drag and lifts coefficients, and power spectrum analysis of lift coefficient. The effect of Re on force statistics like mean drag coefficient and Strouhal number is also analyzed. The present data are compared with the data of single square cylinder and good agreement is observed for large spacing ratio (g = 5). The flow behind five side-by-side square cylinders is classified into three different flow regimes and these regimes are further subdivided into seven different regimes. The observed flow regimes are compared with those of the other researchers published studies and found good agreement.

This study focuses on the characteristics of flow past three side-by-side rectangular cylinders under the effect of aspect ratios (AR) and Reynolds numbers (Re) at two different gap ratios ([Formula: see text]) using the lattice Boltzmann method. For this purpose, AR is varied in the range of 0.25–4, the Re values are 100, 140 and 180 and the two different values of [Formula: see text] taken into account are [Formula: see text] and 3. The results are presented in the form of vorticity contours, temporal histories of drag and lift coefficients and power spectrum of lift coefficients. Also, the variation of physical parameters like mean drag coefficient, Strouhal number and the root-mean-square values of drag and lift coefficients with Re and AR is presented for [Formula: see text] and 3. The current numerical computations yield that for both gap ratios and all Re, there exist four different flow regimes depending on AR: (a) steady flow, (b) modulated flow, (c) symmetric flow and (d) periodic flow. At narrow gap ratios, the jet flow emerging within the gaps of cylinders altered the flow structures and fluid forces abruptly. The aspect ratio is found to have more influence on the flow characteristics of cylinders as compared to the Reynolds numbers at large gap ratios.

This work focuses on the analysis of flow structure mechanism behind three rectangular bodies arranged side-by-side. Such type of arrangement can be seen in various applications of practical significance. Lattice Boltzmann method is adopted as a numerical technique for the current study. The simulations are performed for the unsteady, Newtonian and the incompressible flow past three rectangular bodies to investigate the behavior of flow at different aspect ratios, gap ratios and fixed Reynolds number. The numerical results obtained from the proposed study are compared with the results available in the literature. The observed findings of the current study line up well with the existing findings of other researchers.

This work presents the numerical investigations performed to study the proximity effects on fluid flow characteristics around three inline square cylinders using the lattice Boltzmann method. For this purpose the gap spacing (g) is systematically varied in the range 0.5 to 16 diameters of cylinder by keeping Reynolds number fixed at 200. Five different flow patterns are observed at different values of spacing: bluff body flow, gap trapped flow, irregular flow, alternate shedding, and modulated shedding. These patterns have a significant effect on flow induced forces and vortex shedding frequency. The spacing value g = 2 is found to be critical due to sudden changes in fluid flow characteristics. The flow parameters of first cylinder are found to be closer to single cylinder values but for middle and third cylinder the differences confirm the wake interference effect even at large values of spacing.

Corrosion of steel reinforcement in concrete structures is one of the main challenges for the construction industry. FRP reinforcement could be used as alternative to steel reinforcement providing several advantages, such as high resistance to corrosion, high tensile strength and opportunity for developing a more ductile mode of destruction. The last characteristic is extremely beneficial in the aspect of lateral load resisting systems including RC shear walls. The presented modelling results consist of preparing finite element models of reinforced concrete shear walls utilizing Ansys 19.2 - Solid65 element which is capable of both cracking and crushing. The results were verified with experimental medium-scale concrete shear walls reinforced with steel and BFRP bars. The models were loaded under cyclic lateral loading following a modified ATC (Applied Technology Council guidelines for seismic testing) 24 protocol. BFRP reinforced models developed similar ultimate capacity and significantly higher energy dissipation in comparison with steel reinforced models. The promising results could provide a momentum toward construction of shear walls using FRP reinforcement with the aims of improving durability and energy dissipation.

Numerical simulations are performed, in the range of 0.5 ≤ g ≤ 5, where g is the separation ratio between the cylinders at fixed Reynolds number 150 and aspect ratio 2, for flow past five side-by-side rectangular cylinders. A two-dimensional code is developed using the lattice Boltzmann method. The effect of separation ratio on the vortex shedding frequency, time-trace analysis of drag and lift coefficients, power spectra analysis of lift coefficients and force statistics exerted on the cylinders is quantified together with the observed flow structure. Five different flow structures were found and named as nearly symmetric (g = 0.5), flip-flopping (g = 1), modulated (g = 1.5), strongly interactive (g = 2, 2.5 and 3) and weakly interactive (g = 4 and 5) flow structures. It is found that the vortices are generated on the surfaces of the cylinders as width of the cylinder is 2h (h is the width of the rectangular cylinders) and due to this there is modulation in time-history analysis of drag and lift coefficients for all chosen cases except at g = 0.5. The Strouhal number is also calculated using Welch’s method for comparison, and correlation of lift coefficients for different combinations is also given.

Purpose – The purpose of this paper is to examine the impact of Turkish individual investor sentiment on the Istanbul Stock Exchange (ISE) and to investigate whether investor sentiment, stock return and volatility in Turkey are related. Design/methodology/approach – This study used the monthly Turkish Consumer Confidence Index, published by the Turkish Statistical Institute, as a proxy for individual investor sentiments. First, Turkish market fundamentals were regressed on investor sentiments in order to capture the effects of macroeconomic risk factors on investor sentiments. Then, it used the impulse response functions (IRFs) generated from the vector autoregression (VAR) model to examine the effect of unanticipated movements in Turkish investor sentiment to both stock returns and volatility of the ISE. Findings – The generalized IRFs from VAR shows that unexpected changes in rational and irrational investor sentiment have a significant positive impact on ISE returns. This suggests that a positive investor sentiment tends to increase ISE returns. The study also documents that unanticipated increase in the rational component of Turkish investor sentiment has a negative significant effect on ISE volatility. This might indicate that investors have optimistic expectations of the economy overall with respect to market fundamentals in Turkey. This optimism can result in creating positive expectations, reducing uncertainty, and reducing the volatility of stock market returns. Research limitations/implications – The study was applied only for the period 2004-2010 on the ISE stock returns and volatility. Practical implications – Regardless, investors should know the impact of irrational investor sentiments while establishing investment strategies. The results of this study may also help policy makers stabilize investor sentiments to reduce stock market volatility and uncertainty. Originality/value – This paper adds to the limited understanding of investor sentiment impact on stock return and volatility in an emerging market context.

This study examines the effect of rational and irrational components of U.S. institutional and individual investor sentiment on Istanbul Stock Market (ISE) return and volatility. The results show that there is a significant spillover effect of U.S. investor sentiment on stock return and volatility of ISE. A breakdown of sentiment by the type of investor shows that the impact of institutional sentiment is greater than that of individual sentiment. A breakdown of sentiment by rationality shows that the effect of rational sentiment on ISE return is faster though not necessarily greater than that of irrational sentiment. The conclusion from these results is that the effect of U.S. investor sentiment is systemic and cannot be diversified away. U.S. investor sentiment, therefore, constitutes a priced risk factor and must be accounted for accordingly in international asset pricing models. The findings also provide some evidence of a negative relationship between U.S. investor sentiment and ISE return volatility.

The seminal Campbell et al. (2001) paper showing that idiosyncratic risk has increased considerably in recent years has spawned a large number of articles to explain the phenomenon. In this paper, we propose growing earnings noncommonality as a possible source of the increasing idiosyncratic volatility. The empirical results of this research validate this proposition. Our conclusions stand the test of several robustness checks which show that market power and innovativeness previously considered in literature as sources of increased idiosyncratic volatility are not significant in the presence of earnings noncommonality. The findings of this research will be useful for analysts and investors involved in asset pricing.

The research presents a numerical investigation of flow past three side-by-side square cylinders using the multi-relaxation-time lattice Boltzmann method. A comparison is made between equal and unequal gap spacings behind the three cylinders. Fluid forces acting on the cylinders, wake structure mechanism, time-trace analysis of drag and lift coefficients and vortex shedding frequencies are investigated systematically for different equal and unequal gap spacings. The Reynolds number is kept at 150 and unequal gap spacings (g 1, g 2) = (0.5, 0.6), (0.6, 0.5), (1.5, 1.6), (1.6, 1.5), (2.5, 2.6), (2.6, 2.5), (4, 4.1) and (4.1, 4) are selected for the investigation. For comparison we have also investigated the effect of equal gap spacings varied from 0.5 to 4. The results show that the wake structure and fluid forces are responsible for a slight change in gap spacing between any two cylinders. It is observed that the effects of unequal gap spacings on force statistics such as drag and lift coefficients, Strouhal number and the vortex shedding mechanism are notable at (g 1, g 2) = (0.5, 0.6), (0.6, 0.5), (1.5, 1.6) and (1.6, 1.5) and are completely different from those at equal gap spacings (g = 0.5 and 1.5). The results further show that at (g 1, g 2) = (4, 4.1) and (4.1, 4) the unequal gap spacing effect almost diminishes and only the primary vortex shedding frequency is observed. The bistable, asymmetric, inphase–antiphase and modulated synchronized flow patterns observed in this study.

A numerical study for flow past a square cylinder in a two-dimensional channel with a detached flat plate is investigated in this paper. A flat plate is detached downstream in order to control the flow around and behind the square cylinder. Fluid forces acting on the square cylinder, wake structure mechanism and vortex shedding frequency are presented systematically for different Reynolds numbers and spacing ratios. Effects of Reynolds numbers upon physical parameters are also studied. Variation of Reynolds number is from 75 to 200, based on the incoming flow velocity and width of cylinder. The lattice Boltzmann method is used for this numerical investigation. In this study, we choose three different spacing ratios namely closely, moderately and widely. Numerical studies show that some physical parameters significantly reduced by the detached flat plate for closely spacing ratio. The results which we obtained in this investigation are authentic in the sense that some other experimental observations by different authors can be deduced from our results.

In this paper, the effect of gap spacing on the flow past three square cylinders in tandem arrangement is studied numerically using a 2-D multi-relaxation-time lattice Boltzmann method (MRT-LBM). The Reynolds number is fixed at 75 and variation of the gap spacing is from 0.5 to 17. The results are compared to some earlier published results and found to be in good agreement. Five different wake modes are observed by the increment in the gap spacing. To understand the effect of different gap spacings on the flow-induced forces; a detailed analysis of mean drag coefficient, time signal analysis of drag and lift coefficients, Strouhal number, root mean square values of drag and lift coefficients is presented in this article. In this study, it is observed that the critical gap spacing is 3, its existence and effects on the flow characteristics are also studied.

Flow patterns and aerodynamic characteristics behind three side-by-side square cylinders has been found depending upon the unequal gap spacing (g1 = s1/d and g2 = s2/d) between the three cylinders and the Reynolds number (Re) using the Lattice Boltzmann method. The effect of Reynolds numbers on the flow behind three cylinders are numerically studied for 75 ≤ Re ≤ 175 and chosen unequal gap spacings such as (g1, g2) = (1.5, 1), (3, 4) and (7, 6). We also investigate the effect of g2 while keeping g1 fixed for Re = 150. It is found that a Reynolds number have a strong effect on the flow at small unequal gap spacing (g1, g2) = (1.5, 1.0). It is also found that the secondary cylinder interaction frequency significantly contributes for unequal gap spacing for all chosen Reynolds numbers. It is observed that at intermediate unequal gap spacing (g1, g2) = (3, 4) the primary vortex shedding frequency plays a major role and the effect of secondary cylinder interaction frequencies almost disappear. Some vortices merge near the exit and as a result small modulation found in drag and lift coefficients. This means that with the increase in the Reynolds numbers and unequal gap spacing shows weakens wakes interaction between the cylinders. At large unequal gap spacing (g1, g2) = (7, 6) the flow is fully periodic and no small modulation found in drag and lift coefficients signals. It is found that the jet flows for unequal gap spacing strongly influenced the wake interaction by varying the Reynolds number. These unequal gap spacing separate wake patterns for different Reynolds numbers: flip-flopping, in-phase and anti-phase modulation synchronized, in-phase and anti-phase synchronized. It is also observed that in case of equal gap spacing between the cylinders the effect of gap spacing is stronger than the Reynolds number. On the other hand, in case of unequal gap spacing between the cylinders the wake patterns strongly depends on both unequal gap spacing and Reynolds number. The vorticity contour visualization, time history analysis of drag and lift coefficients, power spectrum analysis of lift coefficient and force statistics are systematically discussed for all chosen unequal gap spacings and Reynolds numbers to fully understand this valuable and practical problem.

Purpose – The purpose of this paper is to try to identify the motivation of firms that announce share repurchase but do not follow it up with the actual purchase. The authors conjecture that the long-term earnings quality of such firms is low, which makes them poor candidates for actual stock repurchase. Their intention is to mimic actual repurchasers and their motivation appears to be just to get a bounce in their stock price normally associated with such announcements. Design/methodology/approach – The authors use probit analysis to ascertain whether earnings quality can predict the subsequent repurchase behavior of firms that announce share repurchase. As Gong et al. point out, the relationship between earnings management and the percentage of shares repurchased may be endogenous. In order to mitigate the potential endogeneity bias, the authors use a two-stage instrumental variable probit model adapted for this study from Lee and Masulis (2009). Findings – The results show that non-carry-through firms have lower earnings quality than carry-through firms in the pre-announcement period in all of the metrics the authors use to measure earnings quality. In the post-announcement period, the earnings quality of the non-carry-through firms declines still further and the difference in the quality becomes more pronounced. The results of probit regression show that lower earnings quality increases the likelihood of becoming a non-carry-through company. Research limitations/implications – The finding has interesting implications for investment management as investors can differentiate non-carry-through firms from carry-through repurchasers by examining the firm's earnings quality. Originality/value – The analysis shows that poor long-term earnings quality increases the chance of not carrying through on the repurchase announcement. The authors also find that the poor earnings quality of non-carry-through firms limits their ability to manage earnings downward prior to the repurchase announcement.

PurposeThis paper examines the effect of rational and irrational investor sentiment on the stock return and volatility of US auto, finance, food, oil and utility industries.Design/methodology/approachThe American Association of Individual Investors Index (AAII) is used as a proxy for US individual investor sentiment. The US market fundamentals are regressed on investor sentiment in order to capture the effect of macroeconomic risk factors on investor sentiment. Then impulse response functions (IRFs) are generated from a VAR model to investigate the effect of unanticipated movements in US investor sentiment on both industry‐specific stock return and volatility.FindingsThe results show a significant impact of investor sentiment on stock return and volatility in all the industries. We find that the positive rational component of US individual investor sentiment tends to increase the stock return in these industries. We also document that unanticipated increase in the rational component of US individual investor sentiment has a significant negative impact only on the industry volatilities of US auto and finance industries.Research limitations/implicationsThe results are based only on the 1999 – 2010 US industry‐specific stock return and volatility data and are confined to these industries.Practical implicationsThe findings of this paper can help investors to improve their asset return generating models by incorporating investor sentiment. The findings can also help policymakers to design policies that stabilize sentiment and reduce volatility and uncertainty in the stock markets.Originality/valueThis paper adds to the growing literature on behavioral finance by filling a gap and addressing the impact of investor sentiment in the various US industries.

PurposeThe purpose of this paper is to investigate the role of acquirer's earnings quality on the choice of payment method in mergers and acquisitions (M&A).Design/methodology/approachThe paper applies a simultaneous equations model to address the concern of endogeneity between earnings quality and payment method in corporate acquisitions. In addition, a propensity score matching model is used for robustness purpose.FindingsPrevious studies imply that short‐term accruals have a significant impact on the choice of payment method in M&A. In this study, This paper shows that acquisition financing is not significantly affected by short‐term earnings quality once control variables are considered. Instead, this paper finds that it is the long‐term earnings quality of the acquirer that matters. Acquiring firms with poor (good) long‐term earnings quality prefer lower (higher) cash payment in acquisitions. Their results are robust to different definitions of earnings quality.Research limitations/implicationsResearchers should consider the effect of long‐term earnings quality in their future investigations.Practical implicationsInvestors should be aware of this issue when evaluating corporate mergers.Originality/valueThis is the first study to examine the impact of long‐term quality of earnings on the choice of payment method in M&A.

We study the presence and distribution of private information in neglected firm stocks using a measure of private information first suggested by Roll (1988). Our results suggest that there is no shortage of information on neglected firms for investors and that this private information forms part of the decision set for managerial decisions. Our results indicate a significant negative correlation between the amount of private information and certain important firm characteristics such as market size, cash flow, sales and return on assets. When the impact of private information is analyzed on the investment and payout policies of the neglected firms, the results indicate that private information in stock price has a significant impact on firm investment but not on payout. However, private information does affect payout but through interaction with firm cash flow. Finally we find that private information impact on firm investment is stronger in smaller as compared to larger neglected firms.

Poor earnings quality exacerbates information asymmetry between internal and external stakeholders of a firm. Agency considerations then persuade investors to discount the value of corporate cash holdings out of concern about the inappropriate use of funds. In this study, we show that poor earnings quality has a negative impact on the value of corporate cash holdings and a positive impact on the level of cash reserves. We find that the negative effect of poor earnings quality either neutralizes or more than offsets the positive effect of excess cash on firm value. Our results are robust to several measures of earnings quality and model specifications.

Executive Summary. Extant research has increasingly focused on investor psychology to understand market behavior. One area of interest has been investor overconfidence. The overconfidence paradigm ...

Executive Summary. The Merton (1987) model suggests that investors demand a higher return when required to trade on the basis of incomplete information. This research tests if the prediction of the...

Recent advances in the field of behavioral finance have given a fillip to the use of behavioral factors in asset pricing models. This study adds to the understanding of the REIT return generating process by exploring the behavioral impact of investor sentiment on REIT returns. The results show that when investors are optimistic (pessimistic), REIT returns become higher (lower). These findings are robust when conventional control variables are considered. Empirical analysis indicates steady erosion in the importance of the default and term structure interest rate variables previously considered as important determinants of REIT returns. Previous noise trading papers that consider the impact of institutional traders conclude that institutional investors cannot arbitrage away noise trader risk. The results of this paper find an exception in the case of small REITs. Examination of REITs based on size reveals that the return generating process of small REITs differs from that of mid-size and large REITs. Analysis of the return generating process by performance shows high performance REITs are more sensitive to the independent variables in the model as compared to the low and mid performance REITs.

Using a database containing 117 U.S. socially responsible mutual funds (SRMFs), we review and extend previous research on ethical mutual fund managers9 performance in terms of selectivity, net selectivity, diversification and market timing. By using appropriate style benchmarks, we solve the benchmark problem from which most prior ethical studies suffered. We find evidence of significant differences in net selectivity between ethical and conventional funds for the 1984-2003 period. Socially responsible mutual fund managers show poor selectivity, net selectivity and market timing ability as compared to Lippers active benchmark indices. Diversification is significantly different from zero, indicating that SRMFs bear a cost for their lack of diversification. We also find that the size of the fund has nothing to do with its performance. However, older funds tend to have worse selectivity, as well as the highest cost for a lack of diversification. Finally, we observe that SRMFs with the most ethical screens have the least selectivity and net selectivity.

This study investigates a contemporaneous relationship between realized market risk premia, and conditional variance and covariance in nine Asian markets and the US. The time period for this study is before, during, and after the Asian financial crisis. A contemporaneous state-dependent capital asset pricing model (CAPM) that allows for negative and positive market prices of variance and covariance risk is investigated. In the light of significant upstate and downstate reward to local and world variance risk for all markets and all periods, we conclude that a market return-generating process is a piecewise function of local and world variance over time. Furthermore, a cross-sectional analysis of upstate and downstate market prices of variance and covariance risk indicates that reward to risk is a mix of reward to local and world variance, depending on the ever-changing correlation with the world market. Our findings are consistent with the one-factor conditional international CAPM.

This paper investigates the change in informational spillover between nine Asian capital markets and the United States as a result of the 1997–98 financial meltdown in Asia. Our study period extends from about three years prior to the start of the crises on July 2, 1997 to one year after this date. We conduct spillover studies on daily stock market index prices and returns to determine the changes in market interdependence. Our results indicate a considerable increase in cross‐border cointegration during the crisis. Dramatic shifts in predictability and volatility spillovers are observed in most Asian countries as a result of the Asian financial crisis, providing evidence of an increase of interdependence between Asian countries, and thus suggesting contagion. We observe a strong interdependence with the US markets before the crisis, which persists during the crisis. We also show that Hong Kong and Korea have emerged as the most dominant influences in the region during the Asian financial crisis.

This study examines if there is an equilibrium relationship between gross domestic product (GDP), exchange rate fluctuation and trade balance in long-term and short-term in Vietnam. The results show that the short-term and long-term exchange rate fluctuations impact the trade balance in Vietnam; both ARDL (Autoregressive Distributed Lag) and ECM (Error Correction Model) methodologies implied that exchange rate has a statistically negatively impact on the trade balance. Particularly, Autoregressive distributed lag (ARDL) utilized to test the long -term impact, shows the trade balance deficit becomes worse when the REER (real effective exchange rate) increases. ECM (Error Correction Model) equation based on the long-term cointegration equation and impulse response, reveals that the domestic currency devaluation could not improve the trade balance, indicating that the J-curve effect does not hold on the dong, the currency of Vietnam.

In September 1994, the Wall Street Journal started the Annual Report and Earning Service. Firms participating in this service volunteer to provide on request, to any reader, their annual report and current quarterly information. The daily price quotations of such firms appear with a small symbol like the club in playing cards. We examine the utility of voluntarily disclosing this second-hand information to the public and seek to find the motivation for this disclosure. Our results show that most of the firms that joined this service had below-industry-average performance, or at least were headed in that direction. Membership in the Annual Report and Earning Service brought some short-term benefits in the form of average excess returns, but the economic fundamentals reasserted, and most firms had significant below-average returns at the end of our sample period. JEL classification: G10, G14.