Huy N.A. Pham, Vikash Ramiah, Imad Moosa and Justin Hung Nguyen
The purpose of this paper is to test the effects of financial regulatory announcements on risk and return in the Vietnamese equity market.
Abstract
Purpose
The purpose of this paper is to test the effects of financial regulatory announcements on risk and return in the Vietnamese equity market.
Design/methodology/approach
The event study methodology is used for the return analysis, and asset pricing models are adjusted for the risk analysis. Various robustness tests are used, including the Corrado non-parametric ranking test and the Chesney et al. non-parametric conditional distribution test, as well as GARCH, TARCH, EGARCH and PARCH specifications for the risk models.
Findings
The authors find evidence for both negative and positive reactions as well as risk shifting behaviour in the form of a diamond risk structure.
Originality/value
This paper fills a major gap in the literature by investigating the market’s reaction to bank regulatory announcements across financial and non-financial sectors in the Vietnamese equity market.
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Minhua Yang, Vikash Ramiah, Vijay Pereira, Yama Temouri and Abhishek Behl
This paper documents and links firm- and country-level outcomes to the United Nations Sustainable Development Goals (UNSDGs) by portraying how the Chinese economy has fared during…
Abstract
Purpose
This paper documents and links firm- and country-level outcomes to the United Nations Sustainable Development Goals (UNSDGs) by portraying how the Chinese economy has fared during the COVID-19 crisis. It does so by shedding light on the factors that determine the effectiveness of health policies implemented in China.
Design/methodology/approach
Unlike the prior literature, in which lagging performance measures are used, the authors use leading indicators with event study methodology to develop effectiveness scores and identify the determinants of effectiveness, including financial variables, firm infection, geographical location of the spread, travel bans, lockdown periods, policies of home quarantine, health innovations and other innovative measures undertaken by the Chinese authorities.
Findings
The detailed disaggregated results show many dimensions where abnormal returns are indeed associated with various health policies and that the effectiveness, influenced by firm size, profitability, firm infection and location. The results remain robust when the authors control for various event windows and models and provide evidence of a strong UNSDG link, which the authors draw up a list.
Research limitations/implications
Apart from the quantitative analysis approach, future studies can complement and add further insights by utilizing qualitative research approaches.
Practical implications
The results offers robust evidence for policy-makers and firm managers on how a crisis of such proportions and subsequent health policies is affecting different firms and why.
Social implications
The study shows how COVID-19 health policies open a new dimension in terms of energy demand reduction and lower emissions, factors linking to the UNSDGs.
Originality/value
The study is the first to show detailed disaggregated results across many dimensions where abnormal returns are indeed associated with various health policies and that the effectiveness, influenced by firm size, profitability, firm infection and location.
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Yun Shen, Damien Wallace, Vikash Ramiah and Krishna Reddy
This study examines the influence of CEO characteristics on firm innovation within the Australian market, using R&D expenditure as a proxy for innovation. The aim is to analyze…
Abstract
Purpose
This study examines the influence of CEO characteristics on firm innovation within the Australian market, using R&D expenditure as a proxy for innovation. The aim is to analyze how factors such as CEO gender, educational background and dual roles (CEO-chairman) impact firms' R&D investment across various industries.
Design/methodology/approach
Panel and Tobit regression models are employed to assess the relationship between CEO characteristics and R&D expenditure. The study controls for endogeneity and applies firm-level control variables to ensure robustness, examining CEO traits like gender, educational qualifications and CEO-chairman duality.
Findings
The study reveals that CEO gender and educational level significantly impact firm innovation, particularly R&D expenditure, compared to other characteristics like CEO-chairman duality. Female CEOs and those with PhD degrees are associated with higher R&D spending, with variations across industries such as basic materials and healthcare.
Research limitations/implications
The study is limited by its focus on Australian firms and the time span of 2006–2016. Additionally, mixed results for CEO-chairman duality and CEO location may reduce the generalizability of the findings across all industries on the ASX.
Practical implications
The findings highlight the importance of gender diversity and CEO education in driving firm innovation. Companies aiming to enhance competitiveness and performance through R&D activities, especially in industry-specific contexts, should consider these CEO characteristics.
Originality/value
This study provides novel insights by analyzing the impact of CEO characteristics, such as gender and education level, on firm innovation in the underexplored Australian market. By using R&D expenditure as a proxy for innovation and employing both panel and Tobit regression models, it highlights the significance of CEO traits, particularly in specific industries. The findings emphasize the stronger influence of CEO gender and educational level compared to CEO-chairman duality and location, offering valuable implications for gender diversity and industry-specific innovation strategies in enhancing firm competitiveness.
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Ali Abbas, Imad Moosa and Vikash Ramiah
This paper is about the effect of human capital on foreign direct investment (FDI). The purpose of this paper is to find out if developing countries with high levels of human…
Abstract
Purpose
This paper is about the effect of human capital on foreign direct investment (FDI). The purpose of this paper is to find out if developing countries with high levels of human capital (educated people and well-trained labour force) are more successful in attracting FDI. The underlying hypothesis has been tested repeatedly without reaching a consensus view or providing an answer to the basic question. This is to be expected because FDI is determined by a large number of factors, making the results sensitive to the selected set of explanatory variables, which forms the basis of the Leamer (1983) critique of the use of multiple regression to derive inference. Furthermore, confirmation bias and publication bias entice researchers to be selective in choosing the set of results they report.
Design/methodology/approach
The technique of extreme bounds analysis, as originally suggested by Leamer (1983) and modified by Sala-i-Martin (1997), is used to determine the importance of human capital for the ability of developing countries to attract FDI. The authors use a cross-sectional sample covering 103 developing and transition countries.
Findings
The results show no contradiction between firms seeking human capital and cheap labour. No matter what proxy is used to represent human capital, it turns out that the most important factor for attracting FDI is the variable “employee compensation”, which is the wage bill, implying that multinational firms look for cheap and also skilled labour in the host country.
Originality/value
In this paper, the authors follow the procedure prescribed by Leamer (1983), and modified by Sala-i-Martin (1997), using extreme bounds analysis to distinguish between robust and fragile determinants of FDI, with particular emphasis on human capital. Instead of deriving inference from one regression equation by determining the statistical significance of the coefficient on the variable of interest, the extreme bounds or the distribution of estimated coefficients are used to distinguish between robust and fragile variables. This means that emphasis is shifted from significance, as implied by a single regression equation, to robustness, which is based on a large number of equations. The authors conduct tests on three proxies for human capital to find out if they are robust determinants of FDI and also judge the degree of robustness relative to other determinants.
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Yama Temouri, Vijay Pereira, Glenn W. Muschert, Vikash Ramiah and Michael Babula
The purpose of this paper is to examine the role of intellectual capital and knowledge management in the entrepreneurial success of firms through a research model which is…
Abstract
Purpose
The purpose of this paper is to examine the role of intellectual capital and knowledge management in the entrepreneurial success of firms through a research model which is subsequently tested empirically.
Design/methodology/approach
The paper utilises the knowledge-based perspective to formulate three sets of hypotheses which the authors subsequently test in the empirical analysis on data derived from the Orbis database, which includes over 1-million data points from approximately 240,000 firms across 174 geographic subdivisions of economic regions in 14 European countries, from 2010 to 2013. The analysis utilises probit model regressions on the likelihood of becoming a high-growth firms (HGF), in the presence of a number of control factors including firm age, firm size, tangible assets, foreign ownership, competitiveness (via Herfindahl index), return on assets, industry sector and country location.
Findings
Findings from our analysis suggest that investments in intangible assets and generating patents from research and development (R&D) efforts is positively related to the likelihood of becoming a HGF. In addition, cluster membership seems to be a positive influence on becoming a HGF, however the moderating impact of intangible investments and patents is less clear in clusters.
Research limitations/implications
The authors highlight the mixed effects from cluster membership and the beneficial impact from intellectual capital and knowledge management in achieving high growth firm status.
Originality/value
The authors derive and test our research model, which outlines the interrelationship of the various factors leading to firms becoming high-growth firms. The results suggest that there may be further fruitful ground for future investigation in the intersections of knowledge management and intellectual capital concepts within entrepreneurial contexts.
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Xiaoming Xu, Vikash Ramiah, Imad Moosa and Sinclair Davidson
The purpose of this paper is to: first, test if information-adjusted noise model (IANM) can be applied in China; second, quantify noise trader risk, overreaction, underreaction…
Abstract
Purpose
The purpose of this paper is to: first, test if information-adjusted noise model (IANM) can be applied in China; second, quantify noise trader risk, overreaction, underreaction and information pricing errors in that market; and third, explain the relationship between noise trader risk and return.
Design/methodology/approach
The authors use a behavioural asset pricing model (BAPM), CAPM, the information-adjusted noise model and model proposed by Ramiah and Davidson (2010).
Findings
The findings show that noise traders are active 99.7 per cent of the time on the Shenzhen A-share market. Furthermore, our results suggest that the Shenzhen market overreacts 41 per cent of the time, underreacts 18 per cent of the time and information pricing errors occur 40 per cent of the time.
Originality/value
Various methods have been applied to the Chinese stock market in an effort to measure noise trading activities and all of them failed to account for information arrival. Our study uses a superior and alternative model to detect noise trader risk, overreaction and underreaction in China.
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Vikash Ramiah and Michael Graham
The purpose of this paper is to show that the consequences of terrorist attacks are beyond what is reported in the media. Equity investors can be adversely affected by these…
Abstract
Purpose
The purpose of this paper is to show that the consequences of terrorist attacks are beyond what is reported in the media. Equity investors can be adversely affected by these incidents. The authors' work justifies the war on terror.
Design/methodology/approach
Using event study methodology, the authors test how abnormal returns have changed for industrial portfolios in Indonesia following the recent terrorist attacks in the USA, the UK, Spain, India and even Indonesia. The authors adjust the CAPM to test whether systematic risks are altered around these events.
Findings
The findings show that equity portfolios were adversely affected by the September 11 attacks and Bali bombings. The domestic terrorist attack generated the worst outcomes. It appears that systematic risk has increased by the amount of terrorist risk. Other attacks in London, Madrid and Mumbai were minimal.
Originality/value
This study shows how domestic and international terrorist events affect the risk and return in an Asian capital market.
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Vikash Ramiah, Thomas Morris, Imad Moosa, Michael Gangemi and Louise Puican
This paper aims to investigate the impact of 75 announcements of environmental policies on British equities over the period 2003 to 2012. In particular, the research has the…
Abstract
Purpose
This paper aims to investigate the impact of 75 announcements of environmental policies on British equities over the period 2003 to 2012. In particular, the research has the following specific objectives: finding out whether there is wealth creation/destruction for investors as a result of the announcements of green policies and identifying changes in risk structure following the introduction of green policies.
Design/methodology/approach
Using event study methodology and non-parametric tests, the authors attempt to find out whether announcements of environmental/sustainability policies are value constructive or destructive for equity investors. The CAPM is fitted with interaction variables to measure the change in systematic risk following announcements.
Findings
The results show that the UK market is particularly sensitive to domestic, international and nuclear announcements. Cumulative abnormal returns in the range of 30-40 per cent were recorded in certain sectors. Consistent with the emerging literature, the authors observe that environmental policies induce changes in the systematic risk of businesses, both in the short run and the long run.
Originality/value
To the best of authors’ knowledge, the literature does not provide any answer as to how the risk and return of British equity portfolios change following the announcement of green policies in the aftermath of the Kyoto Protocol on climate change. Furthermore, the literature does not differentiate among various categories of announcements (domestic, international and nuclear). Therefore, this paper bridges the gap in the literature on these two grounds.
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Vikash Ramiah, Imad Moosa, Ben O'Neill, Milica Backulja, Amel Yacoub, Terry Hallahan and John Vaz
The structure of the Malaysian fund market presents a unique setting in which to examine behavioural and cultural differences in the performance of fund managers. The purpose of…
Abstract
Purpose
The structure of the Malaysian fund market presents a unique setting in which to examine behavioural and cultural differences in the performance of fund managers. The purpose of this paper is to utilise Taylor's extension of the tournament model of Brown et al. who argued that using an exogenous (endogenous) benchmark induces losing (winning) managers to gamble. This presents two competing testable hypotheses that are investigated in the current study.
Design/methodology/approach
The authors use a sample of Malaysian unit trusts covering the period 1982 to 2010, applying the non‐parametric cross‐product ratio methodology to test all Malaysian funds and determine whether there is empirical evidence of tournament behaviour. The authors separate Malaysian funds into two main categories (conventional and Islamic) to find out whether different fund types affect the behaviour of the funds as a whole.
Findings
Overall, Taylor's theory does not hold in the Malaysian fund market, as conventional funds display tournament behaviour regardless of the benchmark used. However, Islamic funds do not display any significant tournament behaviour.
Originality/value
The current study uses a non‐parametric approach to look for evidence of tournament (gaming) behaviour in the performance of fund managers in Malaysia. In doing so, the authors extend the tournaments literature by examining the performance of three data sets pertaining to the performance and evidence of tournament behaviour in: all managed funds in Malaysia; Islamic funds; and conventional funds. A major motivation for choosing the Malaysian data of unit trusts is to investigate and examine the behaviour of funds operating in an economy that is an emerging market in the rapidly expanding Asian economy; is a market that has a reporting period in line with the calendar year; and is an economy with a strong presence of Islamic funds (Shariah) and Muslim population.
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Vikash Ramiah, Yilang Zhao and Imad Moosa
This paper aims to document the measures taken by Australian corporate treasurers in the areas of cash, inventory, accounts receivable, accounts payable and risk management to…
Abstract
Purpose
This paper aims to document the measures taken by Australian corporate treasurers in the areas of cash, inventory, accounts receivable, accounts payable and risk management to survive the global financial crisis (GFC).
Design/methodology/approach
Using qualitative techniques like interviews and a survey questionnaire, this paper summarises the various measures adopted by working capital managers.
Findings
The results show that more than half of the participants in the survey altered their working capital management practices during the crisis. Capital expenditure was curtailed, as they aimed at preserving their cash levels while reducing inventory levels. Credit worthiness of institutions became more important, and there was a general decline in credit availability. The results also show that Australian working capital managers exhibit behavioural biases, particularly overconfidence.
Originality/value
It is the first paper that uses open-ended questions to capture the effects of the GFC on working capital management in Australia.