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Journal Cover Studies in Economics and Finance
  [SJR: 0.289]   [H-I: 9]   [4 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [335 journals]
  • Water-Depletion and Single-State Municipal Bond Fund Risk
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose This article investigates the relationship between single-state municipal bond fund risk and water scarcity in the United States. Design/methodology/approach We compare risk profiles of funds from states with limited water resources with those from states without this issue. Findings We find that, as expected, funds from Southern and Western states, which suffer from water scarcity, are riskier than funds from other regions within the mainland United States. Although we are concerned with which funds are riskier, we note that funds from the Northeast are significantly less risky than funds from other regions. Originality/value Due to limited water resources, crumbling water infrastructure and continuous water-rights legal battles, water resources in the United States have become a highly sought-after commodity. In this study, we contribute to the discussion on the many repercussions of water scarcity on financial assets.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:49Z
      DOI: 10.1108/SEF-02-2016-0038
  • Financial Development, Oil Dependence and Economic Growth: Evidence from
           the Republic of Yemen
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose This paper aims to examine the validity of the question of whether or not oil dependence has a negative impact on the relationship between financial development and economic growth in Yemen. Design/methodology/approach The ARDL approach for cointegration is used to examine the relationship between financial development and economic growth by capturing the impact of oil dependence on this relationship. The Granger causality test, based on a VECM framework, is employed to investigate the causal relationships between financial development and economic growth. Findings The most interesting finding is the negative sign of interaction term between financial development and oil dependence, which implies that the positive effect of financial development on economic growth decreases with the increasing oil dependence. The result of the VECM Granger causality test revealed the existence of unidirectional causality running from financial development to economic growth. Research limitations/implications The short sample period and the worry of losing degrees of freedom limited us when including control variables in the model. If the data is available in the future, other control variables can be added. Practical implications The government should reduce the level of oil dependence in Yemen by diversifying the country’s economy. Accelerating the pace and efficiency of the financial sector will bear fruitful returns in this regard. The government could achieve this strategy by playing a more proactive role in encouraging the expansion of credit to enable the financial sector to provide a more efficient intermediary role in mobilizing domestic savings and channeling them to productive investments across various economic sectors. Originality/value This is the first study to examine the impact of oil dependence on the finance-growth nexus in Yemen. A new indicator for oil dependence is also proposed.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:47Z
      DOI: 10.1108/SEF-07-2014-0137
  • How does household debt affect financial asset holdings? Evidence from
           euro area countries
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose The paper investigates the impact of financial liabilities on households’ holdings of financial assets. The debt-to-income ratio of the household sector increased from 75 per cent in 2000 to 99 per cent in 2010 in the euro area on average and the rapid accumulation of household debt has induced the need to study how indebtedness affects the behaviour of households beyond their borrowing decisions. Design/methodology/approach The paper uses the first wave of the Household Finance and Consumption Survey (HFCS) from 2009-2010 covering euro area countries. The paper estimates a system of equations for households’ financial liabilities and assets, taking account of endogeneity and selection bias. Findings The results indicate that higher household liabilities are related to lower holdings of financial assets. The results are confirmed by a large number of robustness tests. The findings support the hypothesis that credit availability reduces precautionary savings as income shocks can be smoothed by borrowing, meaning fewer assets are held for self-insurance against consumption risk. Practical implications The results are obtained from a recession period when households faced aggregate shocks while credit constraints were tighter than during good times. The implications of lower incentives to keep financial assets by indebted households is that they are actually more vulnerable to aggregate shocks as they have fewer resources available when they are hit by a negative shock. Originality/value This is the first paper to investigate the effect of liabilities on financial assets using household level data. The paper takes a holistic view and models financial assets and liabilities jointly while controlling for endogeneity and selection bias.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:45Z
      DOI: 10.1108/SEF-02-2016-0031
  • The ‘celebrities’ in finance: a citation analysis of finance
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose This paper examines ten highly ranked journals in finance and identifies the most published authors, most cited articles, top publishing countries, top publishing universities, top publication years, and the most discussed topics using keywords. Design/methodology/approach Using Web of Science™, all available data about each journal’s published articles were extracted. A total of 6,029 articles containing 23,521 keywords and 208,905 cited references were analysed. Findings Results indicate that Viscusi, Chemmanur and Statman are the most published authors. The most cited article is Fama and French’s 1993 article Common risk factors in the returns on stocks and bonds with 522 citations. The most cited author is Eugene Fama with 2,848 citations followed by Michael Jensen with 1,367 citations. USA and England contributed more articles than any other country where University of California System ranked 1st. ‘Information’, ‘risk’ and ‘market’ were the most discussed topics. Findings from this study reveal not only the popular authors, articles and topics in the scholarly finance literature but also the lesser known areas of research which may need attention. Originality/value It is the first large-scale citation analysis study of its kind, representing data from 178 years of combined publication history.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:44Z
      DOI: 10.1108/SEF-02-2016-0048
  • Improved VaR forecasts using extreme value theory with the Realized GARCH
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose We forecast daily Value-at-Risk (VaR) for international stock indices, using the conditional extreme value theory (EVT) with the Realized GARCH model. The predictive ability of this Realized GARCH-EVT model is compared with those of the standalone GARCH models, and the conditional EVT specifications with standard GARCH models. Design/methodology/approach We use daily data on returns and realized volatilities for thirteen international stock indices, for the period 1 January 2003 to 8 October 2014. One-step-ahead VaR forecasts are generated using six forecasting models: GARCH, EGARCH, Realized GARCH, GARCH-EVT, EGARCH-EVT and Realized GARCH-EVT. The EVT models are implemented using the two-stage conditional EVT framework of McNeil and Frey (2000). The forecasting performance is evaluated using multiple statistical tests to ensure the robustness of the results. Findings We find that regardless of the choice of the GARCH model, the two-stage conditional EVT approach provides significantly better out-of-sample performance than the standalone GARCH model. The standalone Realized GARCH model does not perform better than the GARCH and EGARCH models. However, using the Realized GARCH model in the first stage of the conditional EVT approach leads to a significant improvement in the VaR forecasting performance. Overall, among the six forecasting models, the Realized GARCH-EVT model provides the best forecasts of daily VaR. Originality/value To the best of our knowledge, this is the earliest implementation of the Realized GARCH model within the conditional EVT framework. Additionally, we use a data set with a reasonably long sample period (around 11 years) in the context of high-frequency data based forecasting studies. More significantly, our data set has a cross-sectional dimension that is rarely considered in the existing VaR forecasting literature. Therefore, our findings are likely to be widely applicable, and are robust to the data snooping bias.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:42Z
      DOI: 10.1108/SEF-05-2015-0139
  • Does investor sentiment affect price-earnings ratios?
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose A large number of empirical studies investigate the determinants of price-earnings (P/E) ratio by focusing on fundamental factors. However, there has been an increasing concern that stock valuation is also driven by investor sentiment. This paper extends the existing literature by exploring whether investor sentiment impacts the P/E ratio. Design/methodology/approach The paper examines the determinants of P/E ratio by applying latent variable models with investor sentiment as a latent variable and several fundamental factors as control variables. Investor sentiment is proxied by trading volume, advance-decline ratio, and price volatility. Findings Using annual data of the U.S. industries over the period of 1998-2014, the current paper produces new empirical evidence that investor sentiment significantly affects the P/E ratio. This result is robust to the inclusion of several control variables that have been documented to explain the P/E ratio. Practical implications The findings have important implications for investors since downplaying sentiment can lead to significant errors in making equity investment choices based on the P/E ratio. Originality/value The analytical framework of the current paper is differentiated from the conventional analysis in which the P/E ratio is regressed against control variables and proxies for sentiment, thus falling into the trap of implicitly presupposing that proxies are perfect measures of investor sentiment. Since all proxies may have measurement errors to the true but unobservable investor sentiment, the current paper employs latent variable models to shed new light on the influence of investor sentiment on the P/E ratio.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:35Z
      DOI: 10.1108/SEF-09-2015-0229
  • The Role of Toeholds on Asymmetric Information in Mergers and Acquisitions
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose This paper examines empirically the role of toeholds in reducing asymmetric information in mergers and acquisitions by establishing a relationship between the toehold and some relevant characteristics of the acquiring and the target firm. Design/methodology/approach A regression analysis is conducted in order to examine the relation between the dependent variable (the toehold) and a set of independent variables. A multinomial logit model is used to test for the occurrence of toeholds. A probit selection model and two-step Heckman correction tests are used to correct the data and to check for robustness of the results. Findings The regression results for acquisitions with prior toeholds are consistent with the studied hypotheses that asymmetric information is more observed in foreign acquisitions, in different industries, with tender offers, and with higher levels of intangible assets. A negative relationship is found between toehold size and the number of competing bidders. Originality/value -. Consistent with previous literature, the study finds that majority of bidders abstain from purchasing a toehold before entering a bid contest. The study also emphasizes the role of intangible assets in assessing the efficacy of toeholds under asymmetric information. The ratio of target intangible assets to target total serves as a proxy for asymmetric information. Regression results are consistent with the hypotheses that asymmetry of information is observed when the acquiring and the target firm operate in different countries and industries.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:33Z
      DOI: 10.1108/SEF-04-2015-0113
  • Joint Liability in a Classic Microfinance Contract: Review of Theory and
    • Abstract: Studies in Economics and Finance, Volume 34, Issue 2, June 2017.
      Purpose To investigate the role of joint liability in improving the repayment performance of a microfinance program Design/methodology/approach Systematic review of the theoretical and empirical literature. Findings The theoretical literature has shown using models of peer selection peer monitoring and peer pressure that joint liability overcomes both the informational and enforcement failures present in credit markets for poor. However, the empirical literature does not yield a clear answer on how much of the success of microfinance programs can be attributed to the effect of joint liability alone without considering the effect of other instruments used by microfinance programs. Further, it is seen that joint liability does not work in isolation but its effect is dependent on social, cultural and economic environment. Research limitations/implications An important future research agenda could be to study the roles of different overlapping mechanisms in group lending and to look at their interactions. Practical implications The concept of joint liability works well both in the rural and urban areas but different social, cultural and economic factors should be analyzed before initiating a microfinance program. In developed regions focus should be on strengthening peer selection and peer monitoring as information problems are prevalent and in underdeveloped regions the major problem is of strategic default so focus should be on strengthening social sanctions. Originality/value The paper reviews the existing literature on- “whether and how”- joint liability lending works in inefficient credit markets and comes up with practical implications for the microfinance sector.
      Citation: Studies in Economics and Finance
      PubDate: 2017-04-20T11:20:31Z
      DOI: 10.1108/SEF-02-2016-0040
  • The Impact of Global Financial Market Uncertainty on the Risk-Return
           Relation in the Stock Markets of G7 Countries
    • First page: 2
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose To investigate the effect of global financial market uncertainty on the relation between risk and return in G7 stock markets. Design/methodology/approach Market uncertainty is quantified using a probability based measure derived from a regime-switching model in which the state transition probabilities are time-varying in response to leading economic indicators. Time variation in the risk return relation is estimated using a GARCH-M model. Findings While the regime-switching model successfully distinguishes between crisis and normal states, there remains substantial variability through time in the level of uncertainty about which state prevails. Results show a strong negative relation exists between this uncertainty and the reward-to-variability ratio across all G7 stock markets. This finding is qualitatively consistent at both monthly and weekly horizons. Originality/value Extant evidence on the risk-return relation is conflicting. Most papers assume the relation is time constant. Allowing the reward-to-variability ratio to vary through time in response to return regime uncertainty increases our understanding of asset pricing. It also has important implications for asset allocation decisions by investors.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:46Z
      DOI: 10.1108/SEF-05-2013-0069
  • Returns to acquirers of listed and unlisted targets: An empirical study of
           Australian bidders
    • First page: 24
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose The paper evaluates the robustness of the listing effect in Australia, that is, whether acquisitions of private firms create more value to the bidding firm’s shareholders than acquisitions of publicly-listed firms. Design/methodology/approach We analyze the market reaction to the announcement of takeover bids initiated by Australian public firms on private and public targets over the period 1990-2011. Our analysis controls for a wide range of bidder, deal and target country characteristics that are likely to correlate with the target’s listing status and acquirer abnormal returns. We also use a selection model to address the endogenous choice of the target’s listing status. Findings The results indicate that bidders experience significantly higher abnormal returns of about 1.7% in the 11-day event window when the target is a private firm. We show that this result is broad-based and persistent. It does not appear to depend on whether the target is small or large; whether it is related or unrelated to the bidder’s industry; whether it is in the resources sector or not; and whether the transaction is domestic or cross-border. We find some evidence that bidder returns might be stronger for larger acquisitions, for unrelated targets, and in poor market conditions such as in the wake of the recent global financial crisis. Research limitations/implications The research would benefit from the inclusion of the bidding firm’s ownership and governance characteristics. Practical implications The results support the view that market frictions contribute to make private firms attractive targets. Originality/value The analysis confirms the pervasiveness of the listing effect in a market characterized by a lesser degree of competition, higher search costs, and the significance of the natural resources sector.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:45Z
      DOI: 10.1108/SEF-10-2015-0234
  • Taxation in a mixed economy: The case of China
    • First page: 49
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose The purpose of this paper is to investigate how Chinese firms’ ownership structure is related to their effective tax rate. The People’s Republic of China provides an interesting environment to examine the corporate income tax. Government has significant ownership stakes in the for-profit economy and State-owned Enterprises are liable to the corporate income tax. This is very different to most other economies where State-Owned Enterprise tends to dominate the not-for-profit economy and pays no corporate income tax. Government ownership also varies between the central government and local government in addition to State Asset Management Bureaus. This provides a rich institutional background to examining the corporate income tax. Design/methodology/approach A panel data analysis approach is employed to examine relationship between ownership structure and effective tax rates of all public firms in China from 1999-2009. Findings We report that effective tax rates do appear to vary across the ownership types, but that SOEs pay a statistically higher effective tax rate than to non-State-owned. In addition, Local government owned State-owned Enterprise pay higher effective tax rates than central government and SAMB owned State-owned Enterprise. We also investigate Zimmerman’s (1983) political cost hypothesis. Unfortunately these results are econometrically fragile with the statistical significance of those results varying by empirical technique. Originality/value This paper provides insight into government ownership and taxation in China.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:42Z
      DOI: 10.1108/SEF-08-2015-0183
  • Determination of China’s Foreign Exchange Intervention: Evidence
           from the yuan/dollar market
    • First page: 62
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose The paper investigates the determinants of China’s daily intervention in the foreign exchange market since the 2005 reform aimed at moving the RMB exchange rate regime towards greater flexibility. Design/methodology/approach The paper uses bivariate probit models to test whether China’s intervention decision is driven by three sets of factors, comprising Model I (basic model), Model II and Model III. Findings Evidence from the models suggests that medium-term Chinese interventions tend to be leaning-against-the-wind, while long-term interventions are leaning-with-the-wind. Furthermore, by analysing exchange rate volatility this paper finds that intervention is used by the Chinese central bank to ensure that there are no big swings in the RMB exchange rate. Originality/value The paper will be of value to other researchers attempting to understand the policy of the central bank and, in particular, the factors that can lead to interventions during periods of financial crisis.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:48Z
      DOI: 10.1108/SEF-10-2015-0249
  • Short selling regulation, return volatility and market volatility in the
           Athens Exchange
    • First page: 82
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose The relationship between short selling, market volatility and liquidity remains an object of intensive research. However, empirical evidence has yet to provide a conclusive elucidation of this relationship by examining aspects of market fragmentation in the form of different market settings, different timing, and different stocks under coverage, among others. This paper contributes to the debate by investigating the impact of short selling on market volatility and liquidity in the Athens Exchange under three different periods of short sales restrictions. Design/methodology/approach Two hypotheses are tested using econometric methodologies (co-integration and Granger-causality tools). Findings The empirical results indicate that when short selling is allowed, aggregate stock returns are in the short-term more volatile, but the liquidity of the market is not significantly affected. This might be the result of significant imbalances between supply and demand of stock caused by short selling restrictions, leading to market price fluctuations Research limitations/implications The analysis of empirical evidence needs further expansion and association with institutional firm-level and country-level elements to provide a more comprehensive understanding of the impact of short selling on market volatility and liquidity Practical implications Stock market regulation involving short selling restrictions have different implications according to extent and degree of stringency of the restrictions as well as the market on which they are imposed. That is especially important for the assessment of the market impact of the recent European Union regulation on short selling that has been imposed upon all EU member-States alike. Originality/value First-time empirical evidence is provided on the impact of short selling regulations on market volatility and liquidity of ATHEX highlighting the potential effectiveness of regulation policy
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:50Z
      DOI: 10.1108/SEF-06-2015-0157
  • The Effect of Holding Company Affiliation on Bank Risk and the 2008
           Financial Crisis
    • First page: 105
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose Purpose: The organizational form of financial institutions is related to their level of risk, leverage, liquidity and capitalization. High level of risk and leverage and lower levels of liquidity and capitalization are considered to be the root causes of the 2008 financial crisis. The purpose of this paper is to investigate, if banks affiliated to holding company structure contributed more to the root causes of crisis than unaffiliated banks. Design/methodology/approach Design/methodology/approach: The paper isolates the effect of holding company association by restricting sample to one bank holding companies and individual banks. A comparative analysis of independent and holding company affiliated banks is performed. Univariate analysis and multivariate regressions are used to compare the risk, leverage, liquidity and capitalization of affiliated and independent banks. Findings Findings: The paper finds that holding company affiliation is linked to several root causes of the 2008 financial crisis. Specifically, holding company affiliation results in higher levels of home mortgage loans underwritten and under-performing, higher leverage, lower liquidity and lower capitalization for the subsidiary bank. Practical implications Practical Implications: The paper demonstrates that affiliated banks use their higher leveraged positions to engage in riskier home mortgage lending, sacrificing both liquidity and capital adequacy. These findings can help policy makers to focus on the group of banks that are part of holding company affiliation and implement such policies and regulations so as to avoid any re-occurrence of financial crisis. Originality/value This paper is the first to link the structural differences in banks to the root causes of financial crisis and to isolate the effect of holding company affiliation through sample selection. The paper will be valued to other researchers who try to isolate the effect of holding company affiliation and those studying the causes of the financial crisis of 2008.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:48Z
      DOI: 10.1108/SEF-05-2016-0104
  • Credit Ratings, Relationship Lending, and Loan Market Efficiency
    • First page: 122
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose Using the small-business loan market, this paper tests whether a structural shift in access to borrowers’ financial information (i.e. credit ratings) improves market efficiency, thereby improving entrepreneurs’ access to external capital. Design/methodology/approach This research employs the National Survey of Small Business Finance in a conditional logistic regression framework to tease out the marginal propensity to grant lines of credit given the firm’s credit rating – treating both of the events, line of credit and credit ratings, as endogenous variables. This methodology overcomes potential reverse causality issues. Findings Results show that information brokers have allowed small firms to break away from long-term monopolistic lending relationships, hence contributing to more informationally efficient markets. Small businesses benefit from better informed lenders by having better access to capital. Also, women appear less likely to receive a line of credit even after adjusting for credit ratings. Practical implications This research highlights the importance of credit report awareness/monitoring by entrepreneurs as the small-business credit rating grows rapidly. Relationship lending is not enough to reach optimal financing costs. These paper calls for a more regulated credit rating industry to reduce potential moral hazards. Originality/value This paper tests whether bank lending relationships (soft information) still matter after accounting for credit ratings (hard information). Additionally, this study measures the extent to which information sharing by data services bureaus, a proxy for informational efficiency, has increased allocation efficiency in the small-business loan market.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:44Z
      DOI: 10.1108/SEF-06-2016-0149
  • Determinants of Stock Market Development: A Review of the Literature
    • First page: 143
      Abstract: Studies in Economics and Finance, Volume 34, Issue 1, March 2017.
      Purpose The paper provides a comprehensive review of the literature on the determinants of stock market development. Design/methodology/approach The paper divides the existing studies into theoretical and the empirical literature. Then it analyses these studies in turn. Findings Based on the theoretical literature, the determinants of stock market development can be broadly classified into two groups: macroeconomic factors and institutional factors. The theory and the empirics predict different ways in which macroeconomic factors affect stock market development. The real income and its growth rate foster stock market development, while the banking sector, interest rate, and private capital flows can foster or inhibit it. Inflation and exchange rates have adverse effects on stock market development. In terms of the institutional factors, the literature indicates that different legal origins and stock market integration can have positive or negative impact on stock market development. In addition, factors such as legal protection of investors, corporate governance, financial liberalisation and trade openness contribute positively to the development of the stock market. Research limitations/implications From the survey, it is imperative that policies which aim at enhancing institutional quality, financial integration, real income growth, macroeconomic stability, capital inflows, among others, will certainly promote stock market development within and across countries. Although the empirical studies have incorporated a large set of variables in their models, the theoretical studies do not contain rich models of stock market development. It is understandable that a theoretical model which contains a large set of the determinants of stock market development may be difficult to solve. However, such a model seems very appealing and will provide a unification of the existing literature. Originality/value The originality of the paper lies in the fact that it is the first to undertake a survey of the determinants of stock of stock market development in the literature. Our hope is that this paper will spur further theoretical and empirical research on the determinants of stock market development.
      Citation: Studies in Economics and Finance
      PubDate: 2017-01-23T12:26:43Z
      DOI: 10.1108/SEF-05-2016-0111
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