Antonios Antoniou, Gregory Koutmos and Gioia Pescetto
This paper investigates the possibility that futures markets attract noise traders who engage in positive feedback trading, an especially destabilizing form of noise trading. The…
Abstract
This paper investigates the possibility that futures markets attract noise traders who engage in positive feedback trading, an especially destabilizing form of noise trading. The hypothesis is tested using data from four major national index futures markets. The empirical evidence is consistent across all index futures markets under examination. Specifically, there is significant evidence of positive feedback trading. More importantly, the feedback trading pattern exhibits significant long memory in the sense that it depends on longer lags of past prices. Because volatility is asymmetric, the implication is that feedback trading is also asymmetric, being more prevalent during down markets so that mispricing is more likely during those periods that feedback traders are more active.
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Antonios Antoniou, Gioia M. Pescetto and Ibrahim Stevens
The paper seeks to investigate conditional correlations and conditional volatility spillovers across international stock markets and industrial sectors from the perspective of the…
Abstract
Purpose
The paper seeks to investigate conditional correlations and conditional volatility spillovers across international stock markets and industrial sectors from the perspective of the UK investor.
Design/methodology/approach
Utilizing the DCC model, the paper extracts the time‐varying conditional correlations between the UK, US and European stock markets and industrial sectors. It also uses the multivariate generalized autoregressive conditional heteroscedasticity (MVGARCH) to assess the transmission of volatility from the US and European stock markets to the UK.
Findings
The findings suggest that the UK equity market is more integrated with Europe, in terms of both aggregate stock markets and sectors. Correlations are higher during bear markets and tend to fall during periods of recovery. The sectoral analysis also provides interesting insights into the dynamics of volatility transmission across sectors.
Research limitations/implications
The results suggest that the search for a better understanding of the dynamics of correlations between markets and sectors must continue.
Practical implications
The investigation raises interesting questions for investors and regulators, as well as theoretical finance. For example, the finding that correlations increase in bear markets suggests that hedging strategies need to be revisited. The existence of sectoral idiosyncratic volatility offers further evidence that arbitrage may at times become more risky and thus limited.
Originality/value
The findings from analysing both market‐wide and sectoral integration raises the overarching question of whether studies of market integration and portfolio diversification, as well as the authorities overseeing financial stability, should be focusing on sectoral rather than market‐wide analysis.
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Antonios Antoniou, Yilmaz Guney and Krishna Paudyal
This paper aims to investigate the determinants of choice between private and public debt for British and German listed companies.
Abstract
Purpose
This paper aims to investigate the determinants of choice between private and public debt for British and German listed companies.
Design/methodology/approach
The paper is based on three strands of theories: the “liquidation and renegotiation” hypothesis; the “moral hazard and adverse selection” hypothesis; the “flotation cost” hypothesis. The regression analysis was adopted to test these hypotheses. The specific econometric method used for panel data is generalised method of moments (GMM).
Findings
The evidence records a few similarities in debt‐mix structure of German and UK firms but it also detects some important differences. Therefore, the paper concludes that the relation between dependent and explanatory variables is country‐dependent. This can be attributed to the differences in corporate governance mechanisms and institutional features of the countries.
Research limitations/implications
The limitation mainly has come from data unavailability for public debt. Future research could be to extend the number of countries to have a better idea for the impact of institutional factors on corporate debt‐mix.
Practical implications
The findings confirm that the debt ownership decision of listed firms is not only the result of their own characteristics but also the outcome of legal and financial environment and corporate governance traditions in which they operate. The way managers decide about the type of debt financing is not universal. Furthermore, the factors such as liquidation and renegotiation, moral hazard and adverse selection, flotation costs are found to be significantly relevant while deciding the mix of corporate debt.
Originality/value
This study offers a unique comparison of the evidence from a bank‐based economy (Germany) and a market‐based economy (UK) that should have direct implications on the choice between bank debt and public debt. Firms with a long‐run debt ownership target attain it through an adjustment process. The authors are not aware of any other study on debt ownership that controls for endogeneity using the GMM technique.
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Antonios Rovolis and Andreas Feidakis
This paper aims to examine the determinants of the capital structure of real estate investment trusts (REITs) across the world and explore whether this structure is characterized…
Abstract
Purpose
This paper aims to examine the determinants of the capital structure of real estate investment trusts (REITs) across the world and explore whether this structure is characterized by any common factors.
Design/methodology/approach
Endogenous and exogenous factors that affect the financial management of real estate firms are identified in the analysis. “Regular” (static) panel data regression analysis, as well as dynamic panel data techniques, is applied to a panel of listed real estate firms from 2005 to 2010.
Findings
Empirical results showed that factors such as tangibility, size of the company, growth opportunities, assets turnover affect positively the financial leverage of REITs; conversely, other determinants, being debit's cost, GDP, and long-term interest rates, are negatively correlated with the financial gearing of the REITs.
Practical implications
This paper identifies factors that determine the capital structure of REITs around the world. Firm executives and policy makers in different countries may wish to adjust their policies (regarding capital structure) according to the empirical findings.
Originality/value
This study, using a comprehensive dataset from all over the world, investigates whether there are solid and mutual factors that can characterize the capital structure of REITs.
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Carmen María Hernández-Nicolás, Juan Francisco Martín-Ugedo and Antonio Minguez-Vera
The construction industry has traditionally been a male-dominated economic sector. Barely 10% of managers are women. On the other hand, this sector is considered an engine of the…
Abstract
Purpose
The construction industry has traditionally been a male-dominated economic sector. Barely 10% of managers are women. On the other hand, this sector is considered an engine of the economy. For these reasons, it is important to examine the influence of women CEOs on financial variables of firms in the construction industry.
Design/methodology/approach
The empirical study is carried out using a sample from the Iberian Balance Sheet Analysis System record (“Sistema de Análisis de Balances Ibérico”, SABI). The sample includes 8,492 Spanish companies from the construction sector. The methodology employed is a three-stage least squares (3SLS) analysis. This methodology controls for the endogeneity of explanatory variables. It is employed in accordance with the peculiar characteristics of the sample, which includes data for only one year.
Findings
The results show that firms with a woman CEO have a lower level of debt, whatever the terms of the maturity of the debt are. In contrast to most previous evidence, firms managed by women are found to be less profitable.
Originality/value
The paper gives evidence of the influence of the CEO's gender on the performance (return and risk) of a firm. It provides original empirical evidence for the male-dominated construction sector. An extensive search identified no literature in which the researchers had focused on the construction industry.
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Karina Puebla, Karina Arcaute, Rolando Quintana and Ryan B. Wicker
The purpose of this paper is to investigate the effects of aging, pre‐conditioning, and build orientation on the mechanical properties of test samples fabricated using…
Abstract
Purpose
The purpose of this paper is to investigate the effects of aging, pre‐conditioning, and build orientation on the mechanical properties of test samples fabricated using stereolithography (SL) and a commercially available resin.
Design/methodology/approach
American Society for Testing and Materials (ASTM) Standard D638 Type I specimens were manufactured in a Viper si2 SL system using WaterShed™ 11120 resin. The specimens were manufactured in two different build setups, designed to fit batches of 18 or 24 specimens with different build orientations. The specimens were randomly tested in tension, and a design of experiments (DOE) was used to determine the effect of aging (4, 30 or 120 days), pre‐conditioning (ambient, desiccant, or ASTM recommended conditioning), and build orientation (flat, on an edge, or vertical) on the ultimate tensile stress (UTS) and elastic modulus (E) of SL fabricated samples. Additionally, the fractured samples were imaged using scanning electron microscopy (SEM) to characterize the fractured surfaces.
Findings
Results showed that aging, pre‐conditioning, and build orientation each had an effect on the mechanical properties of the SL samples. In general, the samples aged at the shortest time frame (4 days) and the samples preconditioned according to ASTM recommendations had the lowest values of UTS. Regarding the effect of build orientation, the specimens built flat (with layers oriented along the thickness of the sample) had the lowest UTS and E values and the mechanical properties were statistically different from those built vertically or on an edge. The specimens built in the vertical orientation (with layers oriented along the length of the sample) had the highest values of UTS and E, yet the mechanical properties of the samples built on an edge (with layers oriented along the width of the sample) were not statistically different from the samples built vertically. SEM images of the fractured specimens showed fracture surfaces typical of polymers with a mirror zone and changes in surface texture from smooth to coarse.
Research limitations/implications
The research was limited to a single commercially available resin. Through a statistical DOE approach, statistically significant differences in mechanical properties of SL fabricated samples were found as functions of aging, pre‐conditioning, and build orientation. These results can assist the ASTM F42 Committee with developing test standards specific to SL and the additive manufacturing community.
Originality/value
The statistical analyses presented here can help identify and classify the effects of fabrication, storage, and conditioning parameters on mechanical properties for SL fabricated parts. Understanding how the mechanical properties of SL resins are affected by different parameters can help improve the use of SL for a variety of applications including direct manufacturing of end‐use products.
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Pedro Donoso, Marcela Munizaga and Jorge Rivera
Purpose — New methods of measuring user satisfaction in transport services have been proposed and applied in the literature. In this paper, we compare three alternative measures…
Abstract
Purpose — New methods of measuring user satisfaction in transport services have been proposed and applied in the literature. In this paper, we compare three alternative measures for estimating user satisfaction: the numerical rating, the ordinal rating and the choice.
Approach — We analysed these measures considering their differences and limitations and the models that use these measures as dependent variables. We developed and applied a methodology to build these models. It comprises a preliminary qualitative analysis and a quantitative survey to identify the most relevant attributes of the satisfaction function, and a stated preference survey to obtain information of the alternative satisfaction measures for modelling purpose.
Findings — The ordinal rating may be a better user response to estimate satisfaction than score and choice based on its characteristics. The results obtained in the application reinforced this approach.
Research limitations — It is assumed that choice, score and ordinal valuation depend upon a latent stochastic satisfaction function of the same attributes. Further research is needed to analyse this assumption and how these responses vary according to the context for decision and exogenous factors, including the response scale of ratings.
Practical implications — Gathering alternative satisfaction responses simultaneously from users allowed for the consistency analysis and filtering of data, which greatly benefited the model estimation process.
Originality/value — The paper provides a methodology to estimate user satisfaction models in transit services, which can be applied in other transport services. The conceptual analysis and the application suggest that ordinal ratings are key user responses to uncover the underlying satisfaction function.
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Maria Elisabete Duarte Neves, Sofia Reis, Pedro Reis and António Gomes Dias
This paper aims to analyze the impact of the adoption of ISO 14001 and ISO 9001 on the performance of Portuguese companies. The sample includes the companies listed on Euronext…
Abstract
Purpose
This paper aims to analyze the impact of the adoption of ISO 14001 and ISO 9001 on the performance of Portuguese companies. The sample includes the companies listed on Euronext Lisbon, with economic, financial and specific information – the specific being environmental information and quality information – for the period between 2015 and 2019, which corresponds to the post-Troika period when some economic growth started to be witnessed. The specific information of each area is translated into the environmental certification by the ISO 14001 standard, the quality certification by the ISO 9001 standard, and sustainability reports.
Design/methodology/approach
To achieve this aim, four variables were used as a measure of the companies' performance, Return on Assets (ROA), Return on Equity (ROE); Tobin's Q and EBITDA Margin. With this data, different panel models were tested to validate if ISO 9001 and ISO 14001 certifications impact Portuguese listed companies performance. Specifically, the authors have used the Generalized Method of Moments, GMM-System, an estimation method proposed by Arellano and Bover (1995) and Blundell and Bond (1998).
Findings
The results show that, in general, the environment and quality variables fail to explain the dependent variables, that is, ISO certifications do not provide positive or negative variations in the performance of companies, suggesting that they are not yet as much for civil society, as well as for current or potential shareholders. When used as an independent variable, certification according to the ISO 14001 or 9001 standards, negative and significant oscillations were verified in the dependent variable, MgEBITDA, suggesting that only for managers this variable is determinant, but with a negative impact, given the high costs, it entails without pressure from other stakeholders.
Originality/value
This study is the first to analyze the impact of the adoption of ISO 14001 and ISO 9001 on Portuguese companies' performance. This empirical study aims to show all investors, managers, regulators and civil society itself the long path that still needs to be taken toward sustainability.
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Allison S. Gabriel, David F. Arena, Charles Calderwood, Joanna Tochman Campbell, Nitya Chawla, Emily S. Corwin, Maira E. Ezerins, Kristen P. Jones, Anthony C. Klotz, Jeffrey D. Larson, Angelica Leigh, Rebecca L. MacGowan, Christina M. Moran, Devalina Nag, Kristie M. Rogers, Christopher C. Rosen, Katina B. Sawyer, Kristen M. Shockley, Lauren S. Simon and Kate P. Zipay
Organizational researchers studying well-being – as well as organizations themselves – often place much of the burden on employees to manage and preserve their own well-being…
Abstract
Organizational researchers studying well-being – as well as organizations themselves – often place much of the burden on employees to manage and preserve their own well-being. Missing from this discussion is how – from a human resources management (HRM) perspective – organizations and managers can directly and positively shape the well-being of their employees. The authors use this review to paint a picture of what organizations could be like if they valued people holistically and embraced the full experience of employees’ lives to promote well-being at work. In so doing, the authors tackle five challenges that managers may have to help their employees navigate, but to date have received more limited empirical and theoretical attention from an HRM perspective: (1) recovery at work; (2) women’s health; (3) concealable stigmas; (4) caregiving; and (5) coping with socio-environmental jolts. In each section, the authors highlight how past research has treated managerial or organizational support on these topics, and pave the way for where research needs to advance from an HRM perspective. The authors conclude with ideas for tackling these issues methodologically and analytically, highlighting ways to recruit and support more vulnerable samples that are encapsulated within these topics, as well as analytic approaches to study employee experiences more holistically. In sum, this review represents a call for organizations to now – more than ever – build thriving organizations.