scholarly journals To explore the mystery of the idiosyncratic volatility of the A-share market

2021 ◽  
Vol 235 ◽  
pp. 03025
Author(s):  
Zhuoling Ran ◽  
Xuehao Huang ◽  
Mingjia Xie
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Cross Sectional ◽  
Monthly Data ◽  
Rolling Window ◽  
Financial Research ◽  
The Relationship ◽  
A Share

Return and risk are inevitable topics in financial research. This paper explores the relationship between IVOL (idiosyncratic volatility) and cross-sectional return (risk premium and excess return) of the Chinese A-share market. With the monthly data of 237 months from January 2001 to September 2019 of Ashare of Shanghai and Shenzhen stock exchange, IVOL of each stock by the regressions is conducted through rolling window based on the four factors model of Carhart. Whether there is a significant positive or negative relationship between the IVOL and the cross-sectional return of the stock by combination analysis and crosssection regression are tested in the paper. The research shows that, after excluding the influence of financial crisis and stock disaster, from January 2001 to September 2019, there is a significant positive relationship between the special volatility and cross-sectional return in Chinese A-share market under normal market conditions, and there is no so-called “mystery of the special volatility”.

scholarly journals Cash conversion cycle and corporate performance: evidence from Romania

2018 ◽  
Vol 184 ◽  
pp. 04009
Author(s):  
Ciprian Cristea ◽  
Maria Cristea
Keyword(s):  
Regression Analysis ◽  
Multiple Regression Analysis ◽  
Cash Flow ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Management Effectiveness ◽  
Cross Sectional ◽  
Liquidity Management ◽  
Cash Conversion Cycle ◽  
The Relationship

Cash conversion cycle is considered one of the most important measures of management effectiveness, especially the cash flow and liquidity management. This study examines the relationship between cash conversion cycle and corporate profitability for the non-financial companies, from several industries, listed on the Bucharest Stock Exchange for a period of fifteen years from 2002 to 2016. The findings from a cross sectional multiple regression analysis pointed out a negative relationship between cash conversion cycle and the performance of firms. Based on the results from this paper it has been concluded that managers can improve the profitability of their firms by decreasing the number of days in cash conversion cycle.

scholarly journals The Relationship Between Accrual-Based Earnings Management and Real Earnings Management: Reference to the Polish Capital Market

2020 ◽  
Vol 20 (2) ◽  
pp. 66-81
Author(s):  
Michał Comporek
Keyword(s):  
Earnings Management ◽  
Empirical Research ◽  
Capital Market ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Discretionary Accruals ◽  
Research Area ◽  
Real Earnings Management ◽  
Cross Sectional ◽  
The Relationship

Abstract Research background: The literature on the subject matter emphasizes the lack of empirical research on the relationships between accrual-based earnings management (AEM) and real earnings management (REM), while studies conducted so far are characterized by highly ambiguous results. Purpose: The main aim of the paper is to present the results of empirical research on the relationships between the AEM and REM practices used to create financial results in industrial public companies listed on the WSE. Research methodology: The research sample concerns 72 listed companies whose shares were traded on the Warsaw Stock Exchange (WSE) for a minimum 13 years in the adopted reference period of 2003–2017. The estimation of AEM and REM practices was made by using: the Jones model, the Kang-Sivaramakrishnan model and the Roychowdhury methodology. Results: The empirical results allowed showing the existence of a statistically significant, negative relationship between discretionary accruals and the abnormal level of an operational cash flow indicator, as well as between discretionary accruals and the total REM indicator. An in-depth cross-sectional analysis showed the existence of significantly differentiated relationships between the studied variables in individual branches of industry. Novelty: Research on the relationship between AEM and REM practices in the context of the Polish capital market has not been carried out so far, hence it can be considered a new research area in which there is a justified need to deepen theoretical and empirical research on the EM phenomenon.

scholarly journals DOES DEFAULT RISK MATTER FOR INVESTORS IN REITS

2020 ◽  
Vol 24 (5) ◽  
pp. 1-14
Author(s):  
Yezhou Sha ◽  
Zilong Wang ◽  
Ziwen Bu ◽  
Nick Mansley
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Default Risk ◽  
Negative Relationship ◽  
Investment Strategy ◽  
Idiosyncratic Volatility ◽  
Asset Growth ◽  
Capm Beta ◽  
The Relationship

We investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum. We also evaluate a large number of potential explanations for the negative relationship between default risk and subsequent stock returns. We do not find robust evidence that the default risk premium can be explained by firm size, book-to-market equity, asset growth and idiosyncratic volatility. However, CAPM beta shows some promise in explaining the default risk premium. Our results shed further light on the role of default risk in investment in REITs.

The Teacher Behavior Checklist: The Mediation Role of Teacher Behaviors in the Relationship Between the Students’ Importance of Teacher Behaviors and Students’ Effort

2020 ◽  
pp. 009862832097989
Author(s):  
Michael T. Geier
Keyword(s):  
Critical Thinking ◽  
Negative Relationship ◽  
Teacher Behavior ◽  
Teacher Behaviors ◽  
Stepwise Multiple Linear Regression ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
The Relationship ◽  
Teaching Implications

Background: Previous research suggests a relationship between teacher behaviors and students’ effort. However, it is not clear what role the students’ expectations (i.e., importance of teacher behaviors) play in this relationship. Objective: Utilizing the teacher behavior checklist, this study sought to investigate whether teacher behaviors mediate the relationship between the importance students set on teacher behaviors and students’ effort. Further, the study explored which specific behaviors influence students’ effort. Method: Cross-sectional survey data were analyzed ( N = 159) using mediation analysis and stepwise multiple linear regression. Results: There was evidence that teacher behaviors mediate the relationship between the importance students set on teacher behaviors and students’ effort. Four of the 28 teacher behaviors had a significant relationship to students’ effort: creative and interesting, enthusiastic about teaching, happy/positive/humorous, and promotes critical thinking. Conclusion: Knowing students’ expectations (i.e., the importance of teacher behaviors) is essential to increasing students’ effort. Teaching Implications: Happy/positive/humorous had a negative relationship with students’ effort, while creative and interesting, enthusiastic about teaching, and promotes critical thinking showed a positive relationship with students’ effort.

scholarly journals The Relationship between Liquidity and Firms’ Profitability: A Case Study of Karachi Stock Exchange

2017 ◽  
Vol 9 (1) ◽  
pp. 54 ◽  
Author(s):  
Nazish Bibi ◽  
Shehla Amjad
Keyword(s):  
Regression Analysis ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Return On Assets ◽  
Current Ratio ◽  
Factors Affecting ◽  
Operating Income ◽  
Secondary Sources ◽  
Individual Variables ◽  
The Relationship

The purpose of this paper is to investigate the relationship between firm’s liquidity and profitability; and to find out the effects of different components of liquidity on firms’ profitability.The relationship between liquidity and firms’ profitability is empirically examined by collecting the data of 50 listed firms of Karachi Stock Exchange, Pakistan. Panel data has been collected from secondary sources for the year 2007 to 2011 .Net operating income and Return on assets are used measure of firm’s profitability. Liquidity of the firm is measured by using cash gap in days and current ratio. Firm size measured by net sales, total assets and market capitalization .The study applies regression analysis to determine factors affecting profitability. Incremental tests are carried out to see the importance of individual variables in the model.The results of correlation and regression analysis showed that there is a significant negative relationship between cash gap and return on assets while current ratio has significant positive relationship with profitability. Results further indicate that log of sales and log of total assets has positive significant relationship with profitability. The findings of this study are based on firms listed on the Karachi Stock Exchange (KSE). Hence, the results cannot be generalizable to those firms which are not listed on Karachi stock exchange. The sample of the study comprises only the merchandising and manufacturing firms. Banks are excluded due to their nature of work.

Investigating the Relationship Between Ownership Structure and Investment Efficiency in Emerging Markets: Evidence From the Egyptian Stock Market

2018 ◽  
Vol 8 (4) ◽  
pp. 1
Author(s):  
Ahmed Sayed Rashed ◽  
Ebitihj Mostafa Abd ◽  
Esraa Fathi Mohamed Ismail ◽  
Doaa Mohamed Abd El Samea
Keyword(s):  
Ownership Structure ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Negative Relationship ◽  
Institutional Ownership ◽  
Managerial Ownership ◽  
Investment Efficiency ◽  
Outside Director ◽  
Director Ownership ◽  
The Relationship

This paper aims to examine the relationship between Ownership Structure Mechanisms (Managerial Ownership, Institutional Ownership, Block holder Ownership and Outside Director Ownership) and Investment Efficiency by using panel data analysis. To investigate this relationship used the multiple regression models. Findings of investigation of 35 firms listed on the Egyptian Stock Exchange in the period 2006 to 2015 by balanced Panel model representative. Results indicated that Managerial Ownership isn’t related with investment efficiency. In contract, institutional ownership, block holder ownership and outside director ownership have a negative relationship with investment efficiency. In addition, the researcher found that control variables (Firm size, Debt ratio, Tobin’s Q) not related to investment efficiency. These findings imply that the Majority of Egyptians firms relies on institutional without individual ownership and then reduces much of possible from agency problems and decreasing information asymmetry and facilitating the monitoring of investment decisions.

Relationship between corporate governance and audit switching: Iranian evidence

2017 ◽  
Vol 59 (5) ◽  
pp. 673-686
Author(s):  
Mahdi Salehi ◽  
Ali Asgar Alinya
Keyword(s):  
Corporate Governance ◽  
Design Methodology ◽  
Stock Exchange ◽  
Listed Companies ◽  
Panel Analysis ◽  
Cross Sectional ◽  
Content Type ◽  
Effective Factors ◽  
Dependent Variables ◽  
The Relationship

Purpose This paper aims to investigate the relationship between corporate governance and auditors switching of listed companies on the Tehran Stock Exchange. Design/methodology/approach To achieve the objectives of this study, 12 hypotheses developed which and tests the relationship between corporate governance and selecting and switching auditors in Iran during 2008-20014 by selecting 116 listed companies on the Tehran Stock Exchange. To test the hypotheses, the cross-sectional time-series nature of research variables data, panel analysis is used. Also, to investigate the relationship between independent and dependent variables in each year, the logistic regression is used. Findings The results of the study indicate that there is a weak relationship between corporate governance auditors switching. Therefore, it could be concluded that there are some other effective factors on which selecting and switching auditors in studied companies are more dependent. Originality/value The current study is almost the first study which has been conducted in Iran, so the results of the study may be beneficial to the Iranian conditions as well as other developing countries.

scholarly journals Relationship Between Deferred Tax Category and Stock Prices in Pharmacy

2018 ◽  
Vol 66 (6) ◽  
pp. 1469-1475
Author(s):  
Petr Habanec
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Accounting Standards ◽  
Earning Management ◽  
International Accounting ◽  
International Accounting Standards ◽  
Deferred Tax ◽  
The Relationship

The paper deals with relationship between stock prices and deferred tax category. Joos, Pratt and Young provided evidence that book‑tax differences are correlated with earning management. In this paper is confirmed negative relationship between stock prices and deferred tax. The relationship is assessed on sample of companies making business in pharmacy (CZNACE‑C‑21). The relationship between deferred tax category and stock prices is assessed on a sample of companies in the time series from 2005 to 2015. Sample consists of companies listed on Frankfurt stock exchange and reporting in accordance with international accounting standards IAS/IFRS. The stock prices dataset is based on Morningstar database. The results are compared with the results of author ’s previous study concerning the deferred tax materiality.

scholarly journals PENGARUH LEVERAGE TERHADAP PROFITABILITAS PADA INDUSTRI MAKANAN DAN MINUMAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

2009 ◽  
Vol 2 (1) ◽  
pp. 69
Author(s):  
Henny Setyo Lestari ◽  
Rahmawati Rahmawati
Keyword(s):  
Performance Management ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Operating Costs ◽  
Earning Capacity ◽  
Food And Beverage ◽  
Equity Ratio ◽  
Operating Leverage ◽  
Relationship Of ◽  
The Relationship

<p>This study aims to analyze and determined the relationship of leverage on corporate profitability.The study wanted to analyze the relationship between financial leverage, operating leverage, combined leverage, and debt equity ratio of earning per share. The aim is to explain how the earning capacity gain is influenced by the performance management fixed operating costs and fixed financial costs. In addition this study also explains the relationship between Debt Equity Ratio and Earning Per Share.<br />In this study, selected on food and beverage manufacturing subindustry listed on the Indonesia Stock Exchange during a periode of 11 years from 1999 — 2009. Using Kruskal Wallis testing, spearman correlation analysis and the classical assumption of normality. The result showed that the data DFL, DOL, and DCL didn't differ significantly in manufacturing subindustry. fry the DER and EPS data show that differ significantly in manufacturing subindustry of food and beverages. In addition these studies show that the DFL and DCL have a positive relationship to the EPS, while the DOL and the DER ha.s'a negative relationship to the EPS.</p><p><strong>Keywords : DCL, DER, DFL, DOL, Earning Per Share, Leverage, and Profitability</strong></p>

scholarly journals Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

2019 ◽  
Vol 5 (1) ◽  
Author(s):  
Moinak Maiti
Keyword(s):  
Factor Model ◽  
Stock Exchange ◽  
Investment Decision ◽  
Idiosyncratic Risk ◽  
Idiosyncratic Volatility ◽  
Sri Lankan ◽  
Cross Sectional ◽  
Volatility Risk ◽  
And Performance ◽  
Three Factor

AbstractThe present study focused on one of the important South Asian nations—Sri Lanka—to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and French’s (J Financ Econ 33:3–56, 1993) three-factor model and performance of the model. Fama–MacBeth’s cross-sectional regression, residual graphs and GRS test all confirm the superiority of four-factor model over 2 three-factor models. For all MC- and IVOL-based portfolios, idiosyncratic volatility is negatively related to the expected returns and positively related for all PB-based portfolios. Finally, study findings confirm that there is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock exchange. Hence, investor should compensate for holding such risk factors in the portfolio.

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