Robert D. Brooks, Amalia Di Iorio, Robert W. Faff, Tim Fry and Yovina Joymungul
The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns.
Abstract
Purpose
The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns.
Design/methodology/approach
Using a dynamic econometric approach that allows for both asymmetry and time‐varying risk exposures in both the exchange rate variable and the market variable, a large sample of Australian firms were tested over the period of January 2001 and December 2005. The data were analysed using three different classification methods, forming portfolios according to industry sector, size deciles, and censoring deciles.
Findings
Although the evidence of exchange rate exposure is limited across the sample of industries, the following were found: a time‐varying asymmetric effect primarily in the utilities sector, time‐varying exposure in the materials and energy sectors, and an asymmetric effect in the technology sector. Further, some time‐varying asymmetric exchange rate exposure was found across most size and censoring deciles and also substantial evidence of a positive asymmetric effect in the market beta across all three classification methods.
Originality/value
This approach varies from previous studies in this area that only allow for asymmetry and time variation in exchange rate exposures. The paper also examines the Australian stock market, a market which has not been extensively tested in this area of empirical research.
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In recent years, two distinct methods have emerged for the replenishment of distribution sites from a central manufacturing source. At the 1985 annual conference in Philadelphia…
Abstract
In recent years, two distinct methods have emerged for the replenishment of distribution sites from a central manufacturing source. At the 1985 annual conference in Philadelphia of the American Production & Inventory Control Society, the two methods were each reviewed by the industrial consultants credited with their development: Robert Goodell Brown explained his method of “Fair Shares” allocation, while André Martin dealt with “Distribution Resource Planning” (DRP). The two approaches are described in a simply way and the strong and weak points of their practical application are summarised. Most companies would be better off using fair shares, a few using DRP, but all companies must understand both if they are to be able to make the right selection in their own circumstances.
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Parichat Sinlapates and Thawaree Chinnasaeng
This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or…
Abstract
This study aims to investigate whether the zero-investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or ESG100 stocks. The study period is from January 2016 to December 2020, a total of 60 months. The dividend yield is employed for categorizing the stock into value and growth stocks. The strategy of buying value stocks and short-selling growth stocks is then applied. The results show that investing using the zero-investment portfolio strategy can generate higher returns in an investment portfolio that consists of ESG100 stocks than in an investment portfolio that consists of all stocks in the SET. The optimal holding periods for investing in portfolios that consist of stocks in the SET are 6 months, 9 months, and 12 months, and the optimal holding periods for a portfolio that consists of ESG100 stocks is 6 months. To explain excess returns of stocks in the SET, the Fama and French (2015) five-factor model is employed. There is no relation between risk factors and excess returns for the holding period of 6 months and 12 months. However, excess return is found to have a negative relation with the market risk premium factor for a 9-month holding period. The excess returns of ESG100 stocks are also inversely correlated with investment factors for a holding period of 6 months.
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Maria Teresa Medeiros Garcia and Ricardo António Abreu Oliveira
The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from…
Abstract
Purpose
The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from 2003 to 2015. Previous research evidence suggests that stocks trading at a lower price relative to their fundamentals (value stocks) tend to outperform stocks that trade at higher prices (growth stocks) in the long run. Although this market anomaly has been studied immensely worldwide, especially for the US stock market, there is no clear evidence whether such an assertion is applicable in less-renowned countries.
Design/methodology/approach
The paper utilises Fama and Macbeth (1973) regressions and its model extensions.
Findings
This paper finds a significant value premium in these countries, which is compatible with previous studies conducted worldwide.
Originality/value
To the best of the authors’ knowledge, this is the first attempt to examine this asset pricing anomaly in the PIIGS.
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Adrian Klammer and Stefan Gueldenberg
Although still under-researched and characterized by a fragmented understanding, unlearning and forgetting have recently received increased scholarly attention. The purpose of…
Abstract
Purpose
Although still under-researched and characterized by a fragmented understanding, unlearning and forgetting have recently received increased scholarly attention. The purpose of this systematic literature review is to survey and evaluate key works in the field of organizational unlearning and forgetting. Through analyzing and synthesizing common themes, this paper aims to highlight research gaps and avenues for future research.
Design/methodology/approach
This paper follows a systematic approach of identifying, analyzing and synthesizing pertinent literature in the field of organizational unlearning and forgetting. In total, 63 works were thoroughly reviewed.
Findings
This paper highlights different levels and scopes, as well as antecedents and consequences of organizational unlearning and forgetting. Even though unlearning and forgetting has gained increased attention, researchers still need to provide robust conceptual and empirical evidence to advance the field.
Originality/value
By structuring the analysis and synthesis around various constructs, theories, typologies and related themes, this paper outlines several research gaps and proposes avenues for further research. Additionally, this systematic literature review resulted in the development of a framework based on the intentionality and depth of knowledge loss, which allows future researchers to position their research and differentiate themselves from other literature in the field.
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This paper empirically investigates the effect of the coronavirus pandemic (COVID-19) on the Indian financial market and firm betas, perhaps the first paper to do so. The results…
Abstract
Purpose
This paper empirically investigates the effect of the coronavirus pandemic (COVID-19) on the Indian financial market and firm betas, perhaps the first paper to do so. The results will be helpful for investors tracking betas during future the coronavirus waves.
Design/methodology/approach
A conditional capital asset pricing model (CAPM) and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model is used to estimate time-varying daily betas of the 50 largest Indian stocks spread across 16 industries over five years (Nov 2017 to May 2021), including the two waves of COVID-19 in India.
Findings
The results show that the betas increased during the COVID wave-1 (2020) but not during COVID wave-2 (2021). Moreover, the increase is more pronounced for consumer goods, infrastructure, insurance and information technology, unlike energy (oil and gas, power and mining) industries. Further, there are positive abnormal residual returns during the COVID waves. The results will be helpful for investors tracking betas during future COVID-19 waves.
Originality/value
This is perhaps the first paper to study the firm betas in light of the COVID-19 pandemic.
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Kléber Formiga Miranda and Márcio André Veras Machado
This study examines the investment horizon influence, mediated by market optimism, on earnings management based on accruals and real activities. Based on short-termism, the…
Abstract
Purpose
This study examines the investment horizon influence, mediated by market optimism, on earnings management based on accruals and real activities. Based on short-termism, the authors argue that earnings management increases in optimistic periods to boost corporate profits.
Design/methodology/approach
The authors analyzed non-financial Brazilian publicly traded firms from 2010 to 2020 by estimating industry-fixed effects of groups of short- and long-horizon firms to compare their behavior on earnings management practices during bullish moments. For robustness, the authors used alternate measures and trade-off analyses between earning management practices.
Findings
The findings indicate that, during bullish moments, companies prioritize managing their earnings through real activities management (RAM) rather than accruals earnings management (AEM), depending on their time horizon. The results demonstrate the trade-off between earnings management practices.
Research limitations/implications
This study presents limitations when using proxies for earnings management and investor sentiment.
Practical implications
Investors and regulators should closely monitor companies' operations, especially during bullish market conditions to prevent fraud.
Originality/value
The study addresses investor sentiment mediation in the earnings management discussion, introducing the short-termism approach.
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This paper aims to present an interview carried out by Stephen Denning, who asks Roger L. Martin, the author of the recent explosive book Fixing the Game and Dean of Rotman School…
Abstract
Purpose
This paper aims to present an interview carried out by Stephen Denning, who asks Roger L. Martin, the author of the recent explosive book Fixing the Game and Dean of Rotman School of Management at the University of Toronto, to explain why the private sector's 35‐year addiction to “maximizing shareholder value” has been disastrous for shareholders, for employees, the personal lives of executives, for the economy and for society at large.
Design/methodology/approach
In the interview Martin outlines the forces at work that preserve a dysfunctional system of maximizing the return for shareholders instead of focusing on customer value.
Findings
The paper reveals that there are many special interests that are devoted to maintaining the shareholder value doctrine, even at the risk of the survival of the firm.
Practical implications
Executives who mouth the shareholder value mantra need to realize that they are playing a game they cannot win on behalf of faceless, nameless shareholders who behave unilaterally and capriciously.
Originality/value
The paper reveals Martin's advice for private‐sector leaders who want to get back to doing real business, which is: focus on activities that provide value to customers and stop playing with earnings to hit Wall Street's consensus number.
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Jose Luis Hervas Oliver and Juan Ignacio Dalmau Porta
The purpose of this paper is to provide a strategic framework and tool to measure and value intellectual capital (IC) in regional clusters.
Abstract
Purpose
The purpose of this paper is to provide a strategic framework and tool to measure and value intellectual capital (IC) in regional clusters.
Design/methodology/approach
A theoretical cluster strategic framework is presented and cluster fundamentals are discussed for proper model development. Design methodology was used to construct a model which achieves the aforementioned purpose.
Findings
The paper provides a comprehensive model to describe, map, measure and value IC on clusters and systematically control the IC evolution.
Research limitations
The system provided is not an exhaustive use of all the available measures. A more comprehensive practical application on several clusters would be necessary to validate and readapt the model.
Practical implications
A very useful tool of information and practical assessment for IC is provided to cluster agents and policymakers to establish proper strategic initiatives. New ideas about IC measurement in clusters are provided to academia.
Originality/value
So far, no IC cluster model has been designed. This paper fulfils an IC measurement model to help individuals involved in clusters, such as mangers, policymakers, etc.