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J. of Management Development     Hybrid Journal   (Followers: 5, SJR: 0.318, h-index: 23)
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: 7)
J. of Organizational Change Management     Hybrid Journal   (Followers: 22, 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: 12, SJR: 1.069, h-index: 31)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 14, 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: 8, 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: 638, SJR: 0.442, h-index: 8)
Library Management     Hybrid Journal   (Followers: 730, SJR: 0.948, h-index: 12)
Library Review     Hybrid Journal   (Followers: 660, 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: 20, SJR: 0.211, h-index: 4)
Mental Health Review J.     Hybrid Journal   (Followers: 15, 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: 559, 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: 92, SJR: 0.378, h-index: 12)
On the Horizon     Hybrid Journal   (SJR: 0.398, h-index: 12)
Online Information Review     Hybrid Journal   (Followers: 168, SJR: 0.712, h-index: 30)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 6, SJR: 0.387, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 9, 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: 71, SJR: 0.486, h-index: 22)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 269, SJR: 0.554, h-index: 14)
Property Management     Hybrid Journal   (Followers: 2, 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: 33, 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: 12)
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: 14, SJR: 0.518, h-index: 3)
Safer Communities     Hybrid Journal   (Followers: 38, 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: 2, SJR: 0.228, h-index: 4)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 2, 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: 4)
Strategic Direction     Hybrid Journal   (Followers: 1, 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: 9, 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: 90, SJR: 0.349, h-index: 6)
The Electronic Library     Hybrid Journal   (Followers: 816, SJR: 0.799, h-index: 23)
The Learning Organization     Hybrid Journal   (Followers: 6, SJR: 0.433, h-index: 20)

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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  [311 journals]
  • The golden target: analyzing the tracking performance of leveraged gold
    • Authors: Tim Leung
      First page: 278
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The main objective of this study is to understand the tracking errors of leveraged exchange-traded funds on gold, and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach The authors formulate and solve a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark. Findings The results suggest that market-traded LETFs do not track a leveraged position in gold effectively over a long horizon, and the dynamic leveraged futures portfolio achieves lower tracking errors over multiple years. Research limitations/implications The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold ETF, in order to achieve a desired leveraged exposure in spot gold. Practical implications The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold ETF, in order to achieve a desired leveraged exposure in spot gold. Originality/value – The main contribution of the paper is the use of gold futures to dynamically replicate a gold benchmark with any given leverage ratio, and the detailed comparison of the tracking performance of LETFs versus optimal static and dynamic futures portfolios.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:26:49Z
      DOI: 10.1108/SEF-01-2015-0009
  • FVA and CVA under margining
    • Authors: Lixin Wu, Chonhong Li
      First page: 298
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose To provide a framework of replication pricing of derivatives and identify FVA and CVA as price components. Design/methodology/approach We propose the notion of bilateral replication pricing. In the absence of funding cost, it reduces to unilateral replication pricing. The the absence of funding costs, it introduces bid-ask spreads. Findings The valuation of CVA can be separated from that of FVA, so-called split up. There may be interdependence between FVA and the derivatives value, which then requires a recursive procedure for their numerical solution. Research limitations/implications We have assume deterministic interest rates, constant CDS rates and loss rates for the CDS. We have also not dealt with re-hypothecation risks. Practical implications The results of this paper allow user to identify CVA and FVA, and mark to market their derivatives trades according to the recent market standards. Originality/value For the first time, a line between the risk-neutral pricing measure and the funding risk premiums is drawn. Also, the notion of bilateral replication pricing extends the unilateral replication pricing.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:26:36Z
      DOI: 10.1108/SEF-08-2014-0162
  • Lipper’s rating and the performance of unit trusts in Malaysia
    • Authors: Ahmad Ridhuwan Abdullah, Nur Adiana Hiau Abdullah
      First page: 322
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The purpose of this paper is to examine the risk-adjusted performance of rated funds and determine the usefulness of Lipper Leader rating of unit trusts in Malaysia during the period 2000 to 2010. Design/methodology/approach The paper utilizes the Sharpe ratio, Treynor ratio, Jensen’s alpha and Fama-French 3-factor model to measure performance. Findings During the period of study, the performance of the market index and risk free rate outperformed that of 68 equity unit trust funds in the 3-year, 5-year, and 10-year investment horizons. The ranking, based on four performance measures, corresponds to Lipper rating for the lowest rated and leader funds, but not for the 3- and 4-key rated funds. Further, there is a significant difference in the performance of the 5-key, 4-key and 3-key rated funds which outperform the lowest rated funds, indicating that Lipper rating is able to distinguish superior and inferior unit trust funds. Research limitations/implications Some of the limitations in this study are that the indexes could be self-constructed. The existing index might not represent the asset allocation of the funds concerned. Additional variables might have to be considered when examining fund performance as they should correspond to the characteristics of a fund. Practical implications The results indicate that Lipper rating classification could identify the highest and lowest performing funds. Therefore, investors could use this rating to make informed investment decisions without undertaking time consuming analysis to ascertain the good and bad quality funds in the market. Originality/value The contribution of this study is that it analyzes the effectiveness and capability of Lipper Leader rating in identifying quality funds in the context of an emerging market. Performance comparison between Lipper Leader rating and methods used in portfolio theory bridges the theory-practice gap between practitioners and academics. To date, there have been no attempts to study and compare the ratings of advisory firms with theoretical performance measures, particularly in the context of Malaysia.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:24Z
      DOI: 10.1108/SEF-05-2012-0064
  • Financial development and economic growth: empirical evidence from India
    • Authors: madhu sehrawat, A K Giri
      First page: 340
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The purpose of this paper is to examine the relationship between financial development and economic growth in India using annual data from 1982-2012. Design/methodology/approach The stationarity properties are checked by ADF, DF-GLS, KPSS and Ng- Perron unit root tests. The long- and short-run dynamics are examined by using the autoregressive distributed lag (ARDL) approach to co-integration. Findings The co-integration test confirms a long run relationship in financial development and economic growth for India. The analysis of ARDL test results reveals that both bank-based and market-based indicators of financial development have a positive impact on economic growth in India. Hence, the results support the supply-leading hypothesis and highlight the importance of financial development in economic growth. The findings also indicate that the Indian bank-centric financial sector has the potential for economic growth through credit transmission. Research limitations/implications The present study recommends appropriate reforms in financial markets to attain sustainable economic growth. The findings are useful for policy makers who want to maintain a parallel expansion of financial development and growth. Originality/value To date, there are hardly any studies that use both market-based as well as bank-based indicators as proxies of financial development and analyze their role in economic growth in India. So the contribution of the paper is to fill this gap in literature.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:43Z
      DOI: 10.1108/SEF-10-2013-0152
  • Jump-diffusion option pricing models: evidence from recent financial
    • Authors: VIPUL KUMAR SINGH
      First page: 357
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose Objective of this research paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black-Scholes model relative to market, for pricing Nifty index options of India. The specific period chosen for this study canvasses the extreme up and down limits (jumps) of the Indian capital market. And as, equity markets keep on facing high and low tides of financial flux amid new economic and financial considerations. With this backdrop, the paper focuses on finding an impeccable option-pricing model which can meet the requirements of option traders and practitioners during tumultuous periods in the future. Design/methodology/approach Envisioning the fact the all option pricing models normally does wrong valuation relative to market. For estimating the structural parameters that governs the underlying asset distribution purely from the underlying asset return data we have used the non-linear least square method. As an approach we analyzed model prices by dividing the option data into fifteen moneyness-maturity groups - depending on the time to maturity and strike price. The prices are compared analytically by continuously updating the parameters of two models using cross-sectional option data on daily basis. Estimated parameters then used to figure out the forecasting performance of models with corresponding Black-Scholes and market - for pricing day-ahead option prices and implied volatility. Findings The outcomes of the paper reveal that the jump-diffusion models are a better substitute of classical Black-Scholes, thus improving the pricing bias significantly. But compared to jump-diffusion model of Merton’s, the model of Bates’ can be applied more uniquely to find out the pricing of three popularly traded categories; deep-out-of-the-money (DOTM), out-of-the-money (OTM) & at-the-money (ATM) of Nifty index options. Practical implications The outcome of this research work reveals that the jumps are important components of pricing dynamics of Nifty index options. Incorporation of jump-diffusion process into option pricing of Nifty index options leads to a higher pricing effectiveness, reduces the pricing bias, and gives values closer to the market. Since the models have been tested in extreme conditions to determine the dominant effectuality, the outcome of this paper helps traders in keeping the investment protected under normal conditions. Originality/value The specific period chosen for this study is very unique; it canvasses the extreme up and down limits (jumps) of the Indian capital market and provides the most apt situation for testifying the pricing competitiveness of the models in question. To testify the robustness of models, they have been put into a practical implication of complete cycle of financial frame.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:11Z
      DOI: 10.1108/SEF-08-2012-0099
  • Optimum portfolio selection using a hybrid genetic algorithm and analytic
           hierarchy process
    • Authors: Maghsoud Solimanpur, gholamreza mansourfar, farzad ghayour
      First page: 379
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose Portfolio selection is a multi-objective decision-making problem in financial management. Purpose of this paper is to present a multi-objective model to the optimum portfolio selection using genetic algorithm and analytic hierarchy process. Design/methodology/approach The proposed approach solves the problem in two stages. In the first stage, the portfolio selection problem is formulated as a zero-one mathematical programming model to optimize two objectives, namely return and risk. A genetic algorithm (GA) with multiple fitness functions called as MFFGA is applied to solve the formulated model. The proposed GA results in several non-dominated portfolios being in the Pareto (efficient) frontier. A decision-making approach based on analytic hierarchy process (AHP) is then used in the second stage to select the portfolio from among the solutions obtained by GA which satisfies a decision-maker's interests at most. Findings The proposed decision-making system enables an investor to find a portfolio which suits for his/her expectations at most. The main advantage of the proposed method is to provide prima-facie information about the optimal portfolios lying on the efficient frontier and thus helps investors to decide the appropriate investment alternatives. Originality/value The value of the paper is due to its comprehensiveness in which seven criteria are taken into account in the selection of a portfolio including return, risk, beta ratio, liquidity ratio, reward to variability ratio (RVAR), Treynor’s ratio (TR), and Jensen’s alpha.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:33Z
      DOI: 10.1108/SEF-08-2012-0085
  • On informational efficiency of the banking sector: a behavioral model of
           the credit boom
    • Authors: David Peon, Anxo Calvo, Manel Antelo
      First page: 158
      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
      First page: 181
      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
  • Over-investment, the marginal value of cash holdings and corporate
    • Authors: Chih Jen Huang, Tsai-Ling Liao, Yu-Shan Chang
      First page: 204
      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
  • Reconsidering the role of Tobin’s Q: nonlinearities and the
           adjustment of investment expenditure
    • Authors: Mark J. Holmes, Nabil Maghrebi
      First page: 222
      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
  • Economic growth and market-based financial systems: a review
    • Authors: Sheilla Nyasha, Nicholas M Odhiambo
      First page: 235
      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
  • Identifying an index of financial conditions for South Africa
    • Authors: Kirsten Thompson, Renee Van Eyden, Rangan Gupta
      First page: 256
      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
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