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J. of Management History     Hybrid Journal   (Followers: 1)
J. of Managerial Psychology     Hybrid Journal   (Followers: 12, SJR: 0.759, h-index: 34)
J. of Manufacturing Technology Management     Hybrid Journal   (Followers: 4, SJR: 0.656, h-index: 35)
J. of Mental Health Training, Education and Practice, The     Hybrid Journal   (Followers: 7, SJR: 0.221, h-index: 2)
J. of Modelling in Management     Hybrid Journal   (Followers: 1)
J. of Money Laundering Control     Hybrid Journal   (Followers: 8)
J. of Organizational Change Management     Hybrid Journal   (Followers: 21, SJR: 0.403, h-index: 37)
J. of Organizational Effectiveness : People and Performance     Hybrid Journal   (Followers: 1)
J. of Organizational Ethnography     Hybrid Journal   (Followers: 7)
J. of Place Management and Development     Hybrid Journal   (Followers: 2, SJR: 0.419, h-index: 1)
J. of Product & Brand Management     Hybrid Journal   (Followers: 7, SJR: 0.383, h-index: 22)
J. of Property Investment & Finance     Hybrid Journal   (Followers: 5, SJR: 0.474, h-index: 12)
J. of Public Mental Health     Hybrid Journal   (Followers: 19, SJR: 0.151, h-index: 3)
J. of Quality in Maintenance Engineering     Hybrid Journal   (Followers: 4, SJR: 0.851, h-index: 29)
J. of Research in Interactive Marketing     Hybrid Journal   (Followers: 6, SJR: 0.544, h-index: 8)
J. of Research in Marketing and Entrepreneurship     Hybrid Journal   (Followers: 11)
J. of Risk Finance, The     Hybrid Journal   (Followers: 9)
J. of Science and Technology Policy Management     Hybrid Journal   (Followers: 2, SJR: 0.249, h-index: 3)
J. of Service Management     Hybrid Journal   (Followers: 8, SJR: 1.162, h-index: 14)
J. of Services Marketing     Hybrid Journal   (Followers: 11, SJR: 1.069, h-index: 31)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 12, SJR: 0.289, h-index: 20)
J. of Social Marketing     Hybrid Journal   (Followers: 9, SJR: 0.662, h-index: 7)
J. of Strategy and Management     Hybrid Journal   (Followers: 4)
J. of Systems and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.221, h-index: 3)
J. of Technology Management in China     Hybrid Journal   (Followers: 1)
J. of Workplace Learning     Hybrid Journal   (Followers: 6, SJR: 0.547, h-index: 18)
Kybernetes     Hybrid Journal   (Followers: 1, SJR: 0.298, h-index: 22)
Leadership & Organization Development J.     Hybrid Journal   (Followers: 20, SJR: 0.521, h-index: 20)
Leadership in Health Services     Hybrid Journal   (Followers: 21, SJR: 0.319, h-index: 10)
Library Hi Tech     Hybrid Journal   (Followers: 981, SJR: 0.926, h-index: 19)
Library Hi Tech News     Hybrid Journal   (Followers: 632, SJR: 0.442, h-index: 8)
Library Management     Hybrid Journal   (Followers: 740, SJR: 0.948, h-index: 12)
Library Review     Hybrid Journal   (Followers: 657, SJR: 0.573, h-index: 11)
Management Decision     Hybrid Journal   (Followers: 5, SJR: 1.423, h-index: 34)
Management of Environmental Quality: An Intl. J.     Hybrid Journal   (Followers: 5, SJR: 0.265, h-index: 14)
Management Research : The J. of the Iberoamerican Academy of Management     Hybrid Journal   (Followers: 3)
Management Research News     Hybrid Journal   (Followers: 3)
Management Research Review     Hybrid Journal   (Followers: 5, SJR: 0.318, h-index: 13)
Managerial Auditing J.     Hybrid Journal   (Followers: 1, SJR: 0.29, h-index: 19)
Managerial Finance     Hybrid Journal   (Followers: 3)
Managing Service Quality     Hybrid Journal   (Followers: 8, SJR: 0.72, h-index: 28)
Marketing Intelligence & Planning     Hybrid Journal   (Followers: 12, SJR: 0.354, h-index: 24)
Measuring Business Excellence     Hybrid Journal   (Followers: 1, SJR: 0.438, h-index: 13)
Meditari Accountancy Research     Hybrid Journal   (Followers: 2)
Mental Health and Social Inclusion     Hybrid Journal   (Followers: 19, SJR: 0.211, h-index: 4)
Mental Health Review J.     Hybrid Journal   (Followers: 14, SJR: 0.191, h-index: 2)
Microelectronics Intl.     Hybrid Journal   (SJR: 0.331, h-index: 14)
Multicultural Education & Technology J.     Hybrid Journal   (Followers: 3, SJR: 0.236, h-index: 5)
Multidiscipline Modeling in Materials and Structures     Hybrid Journal   (Followers: 1, SJR: 0.245, h-index: 7)
Multinational Business Review     Hybrid Journal   (Followers: 1)
Nankai Business Review Intl.     Hybrid Journal  
New Library World     Hybrid Journal   (Followers: 542, SJR: 0.746, h-index: 13)
Nutrition & Food Science     Hybrid Journal   (Followers: 8, SJR: 0.183, h-index: 10)
OCLC Systems & Services     Hybrid Journal   (Followers: 85, SJR: 0.378, h-index: 12)
On the Horizon     Hybrid Journal   (SJR: 0.398, h-index: 12)
Online Information Review     Hybrid Journal   (Followers: 167, SJR: 0.712, h-index: 30)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 5, SJR: 0.387, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 8, SJR: 0.876, h-index: 36)
Pigment & Resin Technology     Hybrid Journal   (Followers: 1, SJR: 0.322, h-index: 21)
Policing: An Intl. J. of Police Strategies & Management     Hybrid Journal   (Followers: 50, SJR: 0.486, h-index: 22)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 265, SJR: 0.554, h-index: 14)
Property Management     Hybrid Journal   (Followers: 1, SJR: 0.304, h-index: 9)
Qualitative Market Research: An Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.365, h-index: 18)
Qualitative Research in Accounting & Management     Hybrid Journal   (Followers: 7, SJR: 0.254, h-index: 3)
Qualitative Research in Financial Markets     Hybrid Journal   (Followers: 4)
Qualitative Research in Organizations and Management: An Intl. J.     Hybrid Journal   (Followers: 6)
Quality Assurance in Education     Hybrid Journal   (Followers: 4, SJR: 0.665, h-index: 19)
Quality in Ageing and Older Adults     Hybrid Journal   (Followers: 32, SJR: 0.239, h-index: 11)
Rapid Prototyping J.     Hybrid Journal   (Followers: 2, SJR: 0.928, h-index: 41)
Records Management J.     Hybrid Journal   (Followers: 13, SJR: 0.275, h-index: 9)
Reference Reviews     Hybrid Journal   (Followers: 11)
Reference Services Review     Hybrid Journal   (Followers: 29, SJR: 1.599, h-index: 16)
Research on Economic Inequality     Hybrid Journal   (Followers: 4, SJR: 0.232, h-index: 8)
Research on Emotion in Organizations     Hybrid Journal   (Followers: 7, SJR: 0.186, h-index: 6)
Review of Accounting and Finance     Hybrid Journal   (Followers: 2, SJR: 0.125, h-index: 2)
Review of Marketing Research     Hybrid Journal   (Followers: 12, SJR: 0.518, h-index: 3)
Safer Communities     Hybrid Journal   (Followers: 33, SJR: 0.338, h-index: 4)
Sensor Review     Hybrid Journal   (Followers: 1, SJR: 0.257, h-index: 21)
Smart and Sustainable Built Environment     Hybrid Journal   (Followers: 8)
Social Care and Neurodisability     Hybrid Journal   (Followers: 4)
Social Enterprise J.     Hybrid Journal   (Followers: 7)
Social Responsibility J.     Hybrid Journal   (Followers: 1, SJR: 0.228, h-index: 4)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 3, SJR: 0.303, h-index: 21)
South Asian J. of Global Business Research     Hybrid Journal  
Sport, Business and Management : An Intl. J.     Hybrid Journal   (Followers: 5)
Strategic Direction     Hybrid Journal   (SJR: 0.112, h-index: 4)
Strategic HR Review     Hybrid Journal   (Followers: 3)
Strategic Outsourcing : An Intl. J.     Hybrid Journal   (Followers: 2)
Strategy & Leadership     Hybrid Journal   (Followers: 19, SJR: 0.209, h-index: 15)
Structural Survey     Hybrid Journal   (SJR: 0.285, h-index: 9)
Studies in Economics and Finance     Hybrid Journal   (Followers: 3, SJR: 0.222, h-index: 5)
Supply Chain Management: An Intl. J.     Hybrid Journal   (Followers: 8, SJR: 1.628, h-index: 56)
Sustainability Accounting, Management and Policy J.     Hybrid Journal   (Followers: 7, SJR: 0.355, h-index: 4)
Team Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.283, h-index: 11)
The Bottom Line: Managing Library Finances     Hybrid Journal   (Followers: 87, SJR: 0.349, h-index: 6)
The Electronic Library     Hybrid Journal   (Followers: 803, SJR: 0.799, h-index: 23)
The Learning Organization     Hybrid Journal   (Followers: 6, SJR: 0.433, h-index: 20)
The TQM J.     Hybrid Journal   (Followers: 2, SJR: 0.712, h-index: 35)

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Journal Cover   Studies in Economics and Finance
  [SJR: 0.222]   [H-I: 5]   [3 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [310 journals]
  • Identifying an index of financial conditions for South Africa
    • Authors: Kirsten Thompson, Renee Van Eyden, Rangan Gupta
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose The global financial crisis that began in 2007-08 demonstrated how severe the impact of financial markets’ stress on real economic activity can be. In the wake of the financial crisis, policy-makers and decision-makers across the world identified the critical need for a better understanding of financial conditions, and more importantly, their impact on the real economy. To this end, we have constructed a financial conditions index (FCI) for the South African economy, to enable the gauging of financial conditions and to better understand the macro-financial linkages in the country. Design/methodology/approach The FCI is constructed using monthly data over the period 1966 to 2011, and is based on a set of sixteen financial variables, which include variables that define the state of international financial markets, asset prices, interest rate spreads, stock market yields and volatility, bond market volatility and monetary aggregates. We explore different methodologies for constructing the FCI, including full sample and rolling-window principal components analysis (PCA). We furthermore investigate whether it is beneficial to purge the FCI of the real effects of inflation, economic growth and interest rates, and evaluate the performance of our constructed FCIs by comparing their ability to pick up turning points in the South African business cycle, and by running in-sample causality (forecast) tests. Findings We find that the estimated FCIs are good predictors of economic activity; with the rolling-window FCI being the ‘best’ performing index. Causality tests indicate that this FCI is a good in-sample predictor of industrial production growth and the Treasury Bill rate, but a weak predictor of inflation. Practical implications We find that the resulting FCI can act as an ‘early warning system’. This in turn may serve to indicate that monetary policy should take broader financial conditions into account. Originality/value This study offers three main contributions to the existing literature on financial conditions in South Africa: (i) we construct an FCI over a sample period that is three decades longer than existing indices; (ii) our FCI comprises a wider coverage of financial variables than others; and (iii) we make use of rolling-window estimation techniques, that allow us to account for parameter instability and to capture the real-time constraints faced by a policymaker.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:59 GMT
      DOI: 10.1108/SEF-07-2013-0098
  • Reconsidering the role of Tobin’s Q: nonlinearities and the
           adjustment of investment expenditure
    • Authors: Mark J. Holmes, Nabil Maghrebi
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose Conventional wisdom suggests that Tobin’s Q criterion is an important explanation of investment behaviour that bridges the financial and real sides of the economy. However, the empirical evidence in support of Q as a means of explaining aggregate business investment is rather weak. We answer a number of questions about the relationship between investment expenditure and Q. In particular, is the relationship governed by nonlinearities? If so, what is the nature of the nonlinearities present? Design/methodology/approach The rationale for paying closer attention to nonlinearities is based on the presence of information asymmetries and possible dependence of adjustments on nonlinearities with respect to factors such as fixed costs, threshold effects and irreversibility, which are entertained in the investment literature. Using the nonlinear VECM procedure advocated by Hansen and Seo, we show that in the context of the US economy, investment has a long-run relationship with Q that is based on threshold error-correction. Findings There are asymmetries present with respect to error correction or the speed of adjustment towards long-run equilibrium. We find that investment expenditure only responds significantly to long-run disequilibrium from Q during a particular regime. Such a regime is characterised by long-run disequilibrium based on high or rising investment expenditure compared with a relatively weak stock market. Originality/value We provide new insights into the relationship between Tobin’s Q and real investment. In contrast to previous work, we find that error correction based on the adjustment of real investment is regime-specific, and function of the size of departures from long-run equilibrium. The tests also allow for the identification of periods when error correction has occurred. Not only are these insights significant for future research on financial crises, market volatility and the impact of debt, but for policymaking purposes as well.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:58 GMT
      DOI: 10.1108/SEF-08-2014-0151
  • Over-investment, the marginal value of cash holdings and corporate
    • Authors: Chih Jen Huang, Tsai-Ling Liao, Yu-Shan Chang
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose This paper examines how investors’ valuation of cash holdings is related to firm level investment. Design/methodology/approach As prior studies note that holding excess cash serve as a driver to would-be over-investing and that over-investment imposes substantial agency costs on shareholders, we focus on the value implications of holding cash in the presence of over-investment from the perspective of shareholders. Findings By examining the publicly traded companies on Taiwan stock market, we uncover that cash is valued less in firms with over-investment than in those with under-investment and the magnitude of over-investment is negatively related to the marginal value of cash holdings (MVCH). It reveals that investment activities impact the value that shareholders place on cash holdings. Moreover, our further tests indicate that higher block holdings and the presence of independent directors on boards can effectively mitigate the negative impact of over-investment on the MVCH. Practical implications This paper enhances the understanding of the valuation implications of cash reserves held by firms with over-investment and the effectiveness of governance structures in containing the detrimental effect of investment-related agency costs on the value of holding cash. Originality/value (1) This paper provides pioneering evidence reflects that a source of value loss in over-investing firms is that outside shareholders do not receive the full value of cash resources owned by the firm; and (2) This paper extends the literature on corporate governance by assessing the role of governance mechanisms in reversing the negative relation between over-investment and the MVCH.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:58 GMT
      DOI: 10.1108/SEF-07-2013-0101
  • On informational efficiency of the banking sector: a behavioral model of
           the credit boom
    • Authors: David Peon, Anxo Calvo, Manel Antelo
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose We examine the informational efficiency in retail credit markets to test whether behavioral biases (excessive optimism) by some participants in the banking industry might explain how credit booms are fueled by the banking sector. Design/methodology/approach We analyze the conditions for the EMH approach to be extended to bank-based systems. We offer a simple model of herding and limits of arbitrage that follows a three-step behavioral approach (Shleifer, 2000). The model is based on duopolistic Cournot competition, where one bank is unbiased and the other is boundedly rational in terms of excessive optimism. Findings We show why solely behavioral biases by participants in the banking industry explain how it feeds a credit bubble. According to our model, optimistic banks would lead the industry while it would be rational for unbiased banks to herd under conditions we derive. An important finding is the role of limits of arbitrage in the banking sector: there would be no incentives for rational banks to correct the misallocations of their biased competitors. Practical implications It might be a valid contribution to the current debate on macroprudential regulation. Would tests of rationality and correlated behavior provide evidence on the pervasiveness of behavioral biases in the banking industry suggested by our model, then banking regulation should account for it. Originality/value We introduce an alternative approach to analyze informational efficiency in the banking industry that, to the best of our knowledge, had not been raised so far. The model shows how behavioral biases might guide retail credit markets and why limits of arbitrage would be more pervasive in bank-based financial systems than in market-based ones.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:57 GMT
      DOI: 10.1108/SEF-04-2013-0050
  • Does the financial crisis influence the month and the trading month
           effects? Evidence from the Athens Stock Exchange.
    • Authors: Evangelos Vasileiou, Aristeidis Samitas
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose The aim of this paper is to examine the month and the trading month effects under changing financial trends. We choose the Greek stock market to implement our assumptions because during the period 2002-12 there are clear and long term periods of financial growth and recession. Thus we examine whether the financial trends influence not only the Greek stock market’s returns, but also its anomalies. Design/methodology/approach Daily financial data from the Athens Exchange General Index for the period 2002-2012 are used. The sample is separated into two sub-periods: (i) the financial growth sub-period (2002-7), and (ii) the financial recession sub-period (2008-12). We applied several linear and non-linear models in order to find which is the most appropriate and the results suggested that the T-GARCH model better fits our sample. Findings The empirical results show that changing economic and financial conditions influence the calendar effects. The trading month effect, especially, completely changes in each fortnight following the financial trend. Regarding the January effect, which is the most popular month effect, the results confirm its existence during the growth period, but during the recession period we find that it fades. Therefore, by examining the aforementioned calendar effects in different periods of time, we may reach different conclusions, perhaps because we ignore the financial trends’ influence. Research limitations/implications The empirical results confirm our assumption that a possible explanation for the controversial empirical findings regarding the calendar anomalies may be the different financial trends. However, these are some primary results that are confirmed only for the Greek case. Further empirical research for deeper stock markets and/or a group of countries may be useful in order to reach conclusions regarding the financial trends’ influence on the calendar anomalies patterns. Practical implications The findings are helpful to anyone who invests and deals with the Greek stock market. Moreover, they may pave the way for an alternative calendar anomalies research approach, proving useful for investors who take these anomalies into account when they plan their investment strategy. Originality/value This paper contributes to the literature by presenting an alternative methodological approach regarding the calendar anomalies study and a new explanation for the calendar effects existence/fade through time by examining the calendar anomalies patterns under a changing economic environment and financial trends.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:56 GMT
      DOI: 10.1108/SEF-01-2014-0002
  • Economic growth and market-based financial systems: a review
    • Authors: Sheilla Nyasha, Nicholas M Odhiambo
      Abstract: Studies in Economics and Finance, Volume 32, Issue 2, June 2015.
      Purpose This paper surveys the existing literature on the causal relationship between market-based financial development and economic growth – in both developed and developing countries, highlighting the theoretical and the empirical evidence. Design/methodology/approach The paper divides financial development into bank-based and market-based financial development; and it closely reviews the international literature on the relationship between market-based financial development and economic growth. Findings The direction of causality between market-based financial development and economic growth varies from one country to another, depending on various country-specific characteristics, datasets and the methodology used by the researcher. On balance, there is predominant support for the supply-leading response, where the development of the market-based financial sector is expected to precede the development of the real sector. Originality/value This review differs fundamentally from previous reviews, in that it divides financial development into bank-based and market-based financial development; and it focuses closely on market-based financial development and economic growth. The majority of the previous studies on this subject failed to make such a distinction – thereby focusing mainly on the general causal relationship between the overall financial development and economic growth. To the best of our knowledge, this may be the first review of its kind to survey the existing research in detail on the causal relationship between market-based financial development and economic growth, in both developed and developing countries.
      Citation: Studies in Economics and Finance
      PubDate: Fri, 17 Apr 2015 00:21:53 GMT
      DOI: 10.1108/SEF-03-2014-0053
  • Flight to quality' An investigation of changing price spreads in
           commercial real estate markets
    • Authors: Franz Fuerst et al
      First page: 2
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose This paper uses sales transaction data in order to examine whether flight from risk phenomena took place in the US office market during the financial crisis of 2007-2009. The effect of the crisis on the pricing of asset quality attributes is investigated. Design/methodology/approach Hedonic regression procedures are used to test the hypothesis that the spread between the pricing of low quality and high quality characteristics increased during the crisis period compared to the pre-crisis period. Findings The results of the hedonic regression models suggest that the price spread between Class A and other properties grew significantly during the downturn. Research limitations/implications Our results are consistent with the hypothesis of an increased price spread following a market downturn between Class A and non-Class A offices. The evidence suggests that the relationships between the returns on Class A and non-Class A assets changed during the period of market stress or crisis. Practical implications These findings have implications for real estate portfolio construction. If regime switches can be predicted and/or responded to rapidly, portfolios may be rebalanced. In crisis periods, portfolios might be reweighted towards Class A properties and in positive market periods, the reweighting would be towards non-Class A assets. Originality/value This is one of the first studies that address the flight to quality phenomenon in commercial real estate markets during periods of financial crisis and market turmoil.
      PubDate: Wed, 28 Jan 2015 01:22:10 GMT
      DOI: 10.1108/SEF-10-2013-0155
  • House price cycles in emerging economies
    • Authors: Alessio Ciarlone et al
      First page: 17
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose In this paper, I investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe, over the period 1995-2011. Design/methodology/approach Linking housing valuations to a set of conventional fundamental determinants – relative to both the supply and the demand side of the market, institutional factors and other asset prices – and modelling short-term price dynamics – which reflect gradual adjustment to underlying fundamentals – I draw conclusions about the existence, and the basic nature, of house price overvaluation (undervaluation). Findings Overall, I find that actual house prices in the sample of emerging economies are not overly disconnected from fundamentals. Rather, they tend to reflect a somewhat slow adjustment to shocks to the latter. Moreover, the evidence that housing valuations may be driven by overly optimistic (or pessimistic) expectations is in general weak. Research limitations/implications Residential property prices used in the empirical analysis have many limitations: while some series are derived using a hedonic pricing method, others are based on floor area prices collected by national authorities; while some countries publish house prices in national currency per-square metre (or per apartment or per dwelling), others calculate an index number scaled to some base year; while some countries publish statistics for the whole national territory, others produce data only for the capital city or for the largest cities in the country; data from national sources refer to different types of residential property; finally, available time series are relatively short, which may adversely affect the robustness of estimation results. Practical implications The decomposition suggested in the paper has important implications: it would be paramount, in fact, for policymakers to implement market-specific diagnoses, and to find the right policy instruments that can ideally distinguish between the two underlying components driving house price short-run dynamics. Originality/value Very small body of empirical literature on housing market developments in emerging economies, especially if focused on the comparisons between the actual dynamics of housing valutations and the equilibrium one.
      PubDate: Wed, 28 Jan 2015 01:22:03 GMT
      DOI: 10.1108/SEF-11-2013-0170
  • New evidence on alliance experience and acquisition performance: short-run
           pain, long-run gain'
    • Authors: Yiwei Fang et al
      First page: 53
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose This study builds on organizational learning theory, and proposes a complex strategy by combining strategic alliance with subsequent acquisitions to penetrate new product markets. We empirically examine whether and to what extent preacquisition alliance experience affects the short-term and long-term stock performance of acquiring firms. Design/methodology/approach We collect data on acquisitions in which the acquirers have experience from preacquisition alliance activities in their targets’ respective industry. We focus on diversifying acquisitions to ensure that preacquisition alliance experience is the major source of organizational learning. We use a standard event study to examine acquirers’ abnormal returns and adopt a Fama-French calendar-time portfolio approach to gauge long-run abnormal stock performance. In addition, we employ regression analysis to investigate the alliance-acquisition relationship, controlling a set of variables capturing firm and acquisition characteristics. Findings We document that in the short run, alliance experience may not always benefit acquirers’ stock performance surrounding the acquisition announcements. In particular, for acquiring firms experiencing negative cumulative abnormal returns (CARs), investors value alliance experience negatively. However, for up to 36 months after acquisitions, acquirers with alliance experience outperform their counterparts in almost every acquisition category regardless of the short-term announcement returns. Originality/value The current paper uses a large-scale representative sample to investigate the dynamic interaction between alliances and acquisitions as two organizational forms for firms to grow. Our findings indicate that firms can deliberately learn from their alliance activities and later on enter new markets through acquisitions. More important, we find that, at least for some acquirers, preacquisition alliance activities are associated with worse short-term stock price performance because of possible information spillover and lifted entry barriers. We confirm that short-term pain nets long-term gains for acquirers heading into new markets.
      PubDate: Wed, 28 Jan 2015 01:22:01 GMT
      DOI: 10.1108/SEF-07-2014-0130
  • Traders and time: who moves the market'
    • Authors: Fabrizio Ferriani et al
      First page: 74
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose This research is aimed to investigate the impact of different categories of traders on price and volume durations at Euronext Paris. The two series are respectively related to the instantaneous volatility and the market liquidity, hence they are particularly suited to test microstructure hypotheses. Design/methodology/approach We adopt a Log-ACD model to include the information on the traders’ identity at the transaction level. We use high frequency data and we study how the informed traders and the liquidity provider affect the arrival of market events. We also check the robustness of our results by testing different distributions and controlling for microstructure effects. Findings We find that informed traders and the liquidity provider exert a dominant role in accelerating the market activity. This result depends on the state of the market, i.e. it is effective only during periods of high frequency of transactions. The estimates for price durations show that a high instantaneous volatility can be mainly ascribed to a great concentration of informed traders. Informed traders are also found to shorten volume durations by clustering small size orders to disguise their private signal. For both durations, the liquidity provider is also found to foster the market activity, likely because of his contractual duties. Originality/value The article is of interest for researchers in the field of market microstructure as well as for specialists in the high frequency trading. Our results provide an empirical confirmation of information models which theorize an accelerating effect for informed trading. To the best of our knowledge, this is the first contribution to study the impact of traders'categories at the transaction level and with different definitions of durations.
      PubDate: Wed, 28 Jan 2015 01:22:06 GMT
      DOI: 10.1108/SEF-03-2014-0065
  • The performance of bid-ask spread estimators under less than ideal
    • Authors: Michael Bleaney et al
      First page: 98
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose The bid-ask spread is important for many reasons. Because spread data are not always available, many methods have been suggested for estimating the spread. Existing papers focus on the performance of the estimators either under ideal conditions or in real data. The gap between ideal conditions and the properties of real data is usually ignored. The consistency of the estimates across various sampling frequencies is also ignored. This paper investigates the performance of estimators of the bid-ask spread in a wide range of circumstances and sampling frequencies. Design/methodology/approach The estimators and the possible errors are analysed theoretically. Then we perform simulation experiments, reporting the bias, standard deviation and root mean square estimation error of each estimator. More specifically, we assess the effects of the following factors on the performance of the estimators: the magnitude of the spread relative to returns volatility, randomly varying of spreads, the autocorrelation of mid-price returns, and mid-price changes caused by trade directions and feedback trading. Findings The best estimates come from using the highest frequency of data available. The relative performance of estimators can vary quite markedly with the sampling frequency. In small samples, the standard deviation can be more important to the estimation error than bias; in large samples, the opposite tends to be true. Originality/value There is a conspicuous lack of simulation evidence on the comparative performance of different estimators of the spread under the less than ideal conditions that are typical of real-world data. This paper aims to fill this gap.
      PubDate: Wed, 28 Jan 2015 01:22:05 GMT
      DOI: 10.1108/SEF-04-2014-0075
  • Volatility behaviour of stock index futures in China: a bivariate GARCH
    • Authors: Yang Hou et al
      First page: 128
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015.
      Purpose This paper aims to investigate the volatility transmission and dynamics in CSI 300 index futures market. Design/methodology/approach This paper applies the bivariate Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH models using high frequency data. Estimates for the bivariate GARCH models are obtained by maximising the log-likelihood of the probability density function of a conditional Student’s t distribution. Findings Our empirical analysis yields a few interesting results: (i) There is a one-way feedback of volatility transmission from the CSI 300 index futures to spot returns, suggesting index futures market leads the spot market; (ii) Volatility response to past bad news is asymmetric for both markets. (iii) Volatility can be intensified by the disequilibrium between spot and futures prices; (iv) Trading volume has significant impact on volatility for both markets. These results reveal new evidence on the informational efficiency of the CSI 300 index futures market compared to earlier studies. Originality/value This paper shows that the CSI 300 index futures market has improved in terms of price discovery one year after its existence compared to its early days. This is an important finding for market participants and regulators. Further, this study considers the volatility response to news, market disequilibrium and trading volume. The findings are thus useful for financial risk management.
      PubDate: Wed, 28 Jan 2015 01:22:08 GMT
      DOI: 10.1108/SEF-10-2013-0158
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