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Article
Publication date: 1 March 1978

Haim Levy and Marshall Sarnat

The research reported in this paper was undertaken as part of the International Institute of Management's on‐going research into the impact of the capital market's valuation of…

183

Abstract

The research reported in this paper was undertaken as part of the International Institute of Management's on‐going research into the impact of the capital market's valuation of firms' shares on corporate policy. This paper treats a basic theoretical issue in the valuation of the firm, i.e. the impact of bankruptcy risk on a firm's optimal financial strategy.

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Management Research News, vol. 1 no. 3
Type: Research Article
ISSN: 0140-9174

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Article
Publication date: 1 February 1991

LeRoy D. Brooks

A capital budgeting decision procedure appropriate for choosing the continuance, replacement, or abandonment of an asset‐in‐place is examined. The optimal replacement decision on…

107

Abstract

A capital budgeting decision procedure appropriate for choosing the continuance, replacement, or abandonment of an asset‐in‐place is examined. The optimal replacement decision on an asset already in service requires simultaneous consideration of project life, project chaining, and possible abandonment points for both the asset‐in‐place and the replacement asset. The additional information required for the suggested procedure over the traditional replacement procedure is generally manageable and a practical solution procedure is feasible.

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Managerial Finance, vol. 17 no. 2/3
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 January 2000

Kavous Ardalan

It is now common for finance textbooks to discuss the concepts of the CAPM, diversification benefit, and systematic risk, as measured by beta. The purpose of this paper is to…

1067

Abstract

It is now common for finance textbooks to discuss the concepts of the CAPM, diversification benefit, and systematic risk, as measured by beta. The purpose of this paper is to clarify aspects of these concepts and make the textbooks readers aware of them. In particular, this paper seeks to: (1) clarify the notion that “diversification reduces risk,” (2) provide geometric expositions and algebraic expressions of portfolio benefits in the context of both total risk and market risk, and (3) improve the interpretation of beta.

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Humanomics, vol. 16 no. 1
Type: Research Article
ISSN: 0828-8666

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Article
Publication date: 1 March 2004

Joseph Cheng and Vigdis W. Boasson

As the economic and financial characteristics of countries change, so would be their betas and correlations of their investment returns with that of the U.S. Such changes are…

707

Abstract

As the economic and financial characteristics of countries change, so would be their betas and correlations of their investment returns with that of the U.S. Such changes are expected to be particularly significant for emerging market nations as they strive for rapid industrialization and modernization. OLS estimator for the beta coefficient would not be the Best Linear Unbiased Estimator (BLUE) if beta is non‐stationary or changes from period to period. This paper proposes a special type of time weighted least square method (TWLS), which assigns greater weights on the regression errors in more recent periods, for estimating the current beta. This TWLS approach can tackle the problem of intertemporal heteroscedasticity and thus yields a beta that is more efficient. The breakthrough lies on the viability of the method without a‐priori knowledge or estimation of the values of the weights. This yields a significant practical advantage since the weights are unobservable in the real world. Since the Time Weighted Method estimator is the coefficient estimator of beta value for the latest period in the sample, statisticians who base their forecasts on the beta estimates derived from the Time Weighted Least Square can expect to outperform those relying on beta values obtained from conventional estimation. We use a sample of daily returns of thirty‐one emerging markets stock over the period of January 1, 2000 through December 31, 2002. We find that most of the tstatistics for the variances are significant at the 95 per cent level, indicating that the Var(s)’s are not zero for nearly every emerging‐markets. This implies that the betas for these markets do shift over time.

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Managerial Finance, vol. 30 no. 3
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 May 1983

In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of…

16785

Abstract

In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of material poses problems for the researcher in management studies — and, of course, for the librarian: uncovering what has been written in any one area is not an easy task. This volume aims to help the librarian and the researcher overcome some of the immediate problems of identification of material. It is an annotated bibliography of management, drawing on the wide variety of literature produced by MCB University Press. Over the last four years, MCB University Press has produced an extensive range of books and serial publications covering most of the established and many of the developing areas of management. This volume, in conjunction with Volume I, provides a guide to all the material published so far.

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Management Decision, vol. 21 no. 5
Type: Research Article
ISSN: 0025-1747

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Article
Publication date: 1 February 1992

Katerina Lyroudi and Don A. Taylor

The 1990s may be viewed as the decade of economic globalization. The projected EEC integration in 1992 has already lead to an increase in direct foreign investment (DFI) and…

65

Abstract

The 1990s may be viewed as the decade of economic globalization. The projected EEC integration in 1992 has already lead to an increase in direct foreign investment (DFI) and acquisition activity in Europe. Many firms would like to participate in the new market that will emerge in 1992. In addition, the collapse of the Berlin Wall and the subsequent reunification of the two Germanies have signalled a new era for Eastern Europe. These events will forge a new Europe of approximately 520 million people with nearly $5 trillion in combined gross national product, versus the $4 trillion economy of the United States and the $2 trillion economy of Japan.

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Managerial Finance, vol. 18 no. 2
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 February 1992

Carl B. McGowan, Henry W. Collier and Colin M. Young

The objective of this paper is to demonstrate how to use the Elton, Gruber, and Padberg [1978] model to construct optimal portfolios and to facilitate the use of this paradigm by…

214

Abstract

The objective of this paper is to demonstrate how to use the Elton, Gruber, and Padberg [1978] model to construct optimal portfolios and to facilitate the use of this paradigm by providing an example of how the technique is used. The EGP model uses the risk‐adjusted, excess return for an asset to determine the optimal portfolio for a given risk‐free rate of return. This paper shows exactly how to calculate the optimal portfolio and provides a True Basic@ program to do so. The data used are constructed from Capital International Indexes taken from various issues of Barrons from March 1978 to December 1986.

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Managerial Finance, vol. 18 no. 2
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 26 November 2019

Debashis Mazumdar, Mainak Bhattacharjee and Jayeeta Roy Chowdhury

This chapter seeks to analyze the development across the length and breadth of the Indian financial system in the post-reform period, based on the “flow of funds” accounts…

Abstract

This chapter seeks to analyze the development across the length and breadth of the Indian financial system in the post-reform period, based on the “flow of funds” accounts estimates by RBI. Besides, this chapter also analyzes the integration of the Indian capital market with the stock markets of the United States, the United Kingdom, Japan, China, Hong Kong, and Singapore using the movements in their stock prices during 1998–2015. Moreover, this chapter is intended for examining the potential implication financial integration, particularly the financial openness of India, on volatility spillover and financial contagion in as much as these two issues have emphatic significance in the determination of the relevant policy roadmap. Our findings broadly confirms the expectations by revealing significantly positive correlations in stock prices, in returns to investments in stock markets, and in mean returns and risk. The integration of the capital markets is also manifested in the cyclical fluctuations of the stock price indices, signifying the underlying sensitivity to random shocks.

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The Gains and Pains of Financial Integration and Trade Liberalization
Type: Book
ISBN: 978-1-83867-004-7

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Article
Publication date: 27 April 2010

Gilbert Nartea and Chris Eves

This paper seeks to examine the benefits of further diversifying a global portfolio of financial assets with New Zealand farm real estate (FRE).

1036

Abstract

Purpose

This paper seeks to examine the benefits of further diversifying a global portfolio of financial assets with New Zealand farm real estate (FRE).

Design/methodology/approach

The paper compares efficient sets generated with and without FRE using portfolio theory.

Findings

The results show that given the predominantly negative correlation between FRE and financial assets, the risk‐return tradeoffs of portfolios of financial assets can be improved significantly. The diversification benefits measured in terms of risk reduction, return enhancement, and improvement in the Sharpe performance ratios are robust under a number of FRE risk‐return scenarios as well as under high and low inflationary periods. Using five and ten‐year rolling periods it also finds that FRE is a consistent part of risk efficient portfolios. Consistent with the results reported in Lee and Stevenson, for the UK real estate the risk reduction benefits of diversifying with FRE are larger than the risk enhancement benefits.

Practical implications

The results suggest that FRE takes on a consistent role of risk‐reducer rather than a return‐enhancer in a globally diversified portfolio. FRE appears to deserve more serious consideration by investment practitioners that it has been accorded in the past.

Originality/value

The study examines the role of direct real estate in a globally diversified portfolio of financial assets.

Details

Journal of Property Investment & Finance, vol. 28 no. 3
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 13 May 2022

Fatima N. Ali Taher and Mohammad Al-Shboul

This paper examines the impact of dividend policy on stock market liquidity, and whether the dividend payouts has an asymmetric effect on stock liquidity.

1251

Abstract

Purpose

This paper examines the impact of dividend policy on stock market liquidity, and whether the dividend payouts has an asymmetric effect on stock liquidity.

Design/methodology/approach

A multivariate panel-data regression analysis is conducted for a sample of the largest 411 nonfinancial US firms. Three main hypothesis are tested: (1) whether dividend payouts impact affect stock liquidity, (2) whether low and high dividend payments can asymmetrically effect on stock liquidity and (3) whether the presence of the GFC has an impact the relationship between dividend payments and stock liquidity.

Findings

The study finds that dividend policy is adversely associated with stock liquidity. This supports the prediction of the liquidity-dividend hypothesis. The authors also report that stock liquidity asymmetrically responds to changes in dividend payouts, confirming the prediction of the dividend-signaling approach. More specifically, higher dividend payments decrease stock liquidity by a lower magnitude than the increase in stock liquidity resulting from lower dividend payments. Finally, the presence of the GFC weakened the relationship between dividend payments and stock liquidity.

Research limitations/implications

The paper can help in performing future research by using different dataset covering the COVID-19 crisis.

Practical implications

The paper allows market participants to better understand the impact of dividend policy and its asymmetric effects on stock liquidity. The authors’ analyses can direct investors and regulators to adopt new supervisory devices to create an appropriate level of dividend payouts that helps to effectively support the level of stock liquidity.

Social implications

The paper intends to support the business community and to make strong contributions to the economic development and the welfare of the community.

Originality/value

The originality comes from its new evidence as it can help in assessing the importance of dividend policy and its asymmetric impact on stock liquidity in the full sample and during the GFC. The paper is helpful in performing future analyses using a new sample period for another set of data as well as accounting for COVID-19 pandemic crisis.

Details

Journal of Economic Studies, vol. 50 no. 3
Type: Research Article
ISSN: 0144-3585

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