scholarly journals Informational content of options around analyst recommendations

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Qingxia Wang ◽  
Robert Faff ◽  
Min Zhu
Keyword(s):  
Stock Returns ◽  
Probit Model ◽  
Analyst Recommendations ◽  
Content Type ◽  
Put Options ◽  
Model Free ◽  
Risk Managers ◽  
New Evidence ◽  
Option Market

PurposeMore studies have investigated the relation between option measures and stock returns during scheduled corporate events. This study adds to the literature and investigates the informational role of options concerning stock returns following unscheduled corporate news events. The authors focus on individual analysts' recommendation changes rather than consensus revisions, as the recommendation consensus might discard a large amount of potentially valuable information in the aggregation process.Design/methodology/approachBased on the econometric model, the authors follow Bakshi et al. (2003) to construct the model-free option implied measures. The authors further decompose the implied option variance into upside and downside components. In such a way, the different informational roles of call and put options can be distinguished. A variety of regression analyses are conducted to examine the predictive power of option implied measures, and the ordered probit model is used to test the tipping hypothesis of analyst recommendations.FindingsThis study’s results show that the option market impounds the “valuable” firm-specific news; thus, the pre-event option market is strongly related to stock returns around recommendations even though recommendation changes are largely “unscheduled”. At the same time, these results suggest that upside (good) and downside (bad) implied volatilities contain distinctive information on subsequent stock returns.Originality/valueThis study provides new evidence that an increase in upside (downside) volatility around analyst recommendation changes would increase the probability that analysts upgrade (downgrade) the stock. The findings provide implications for investors and risk managers in making investment decisions.

State legitimacy and tax compliance among small and medium scale enterprises: a case study of Dodowa district, Ghana

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abraham Gyamfi Ababio ◽  
Arthur Gnonsio Mangueye
Keyword(s):  
Sample Selection ◽  
Tax Compliance ◽  
Probit Model ◽  
Content Type ◽  
Medium Scale ◽  
State Legitimacy ◽  
Negative Effect ◽  
Sizable Proportion

Purpose Improving tax compliance would drive the needed development in Ghana. Small and medium scale enterprises (SME) constitute a sizable proportion of the Ghanaian economy but its contribution to tax revenue is below expectation. This study aims to determine whether SME's perception of state legitimacy affects tax compliance. Design/methodology/approach A structured questionnaire was administered to 200 SMEs randomly drawn from Dodowa in the Shai-Osudoku District of Greater Accra Region. Descriptive statistics and the Probit model with sample selection were used to analyse the data. Findings The study found that SME's perception of government legitimacy exerts a significant negative effect on reducing profit to avoid tax liability (ß = −0.0305, p < 0.05). Other factors such as education and fear of fines and penalties were also found to reduce the likelihood that the firm would reduce profit to avoid high tax liability. Still, tax knowledge had a positive effect on this behaviour. Practical implications This study would help deepen policymakers' knowledge of how to improve tax compliance among SMEs in Ghana. Originality/value The originality of this work is that it explicitly models the role of fiscal exchange theory in explaining tax compliance among SMEs in Ghana by using robust methodology.

scholarly journals Exploring eudaimonia through meaningful work narratives within work integration social enterprises

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tamara Bilbija ◽  
Jack Stout Rendall
Keyword(s):  
Labour Market ◽  
Meaningful Work ◽  
Well Being ◽  
Social Enterprises ◽  
Content Type ◽  
Professional Workers ◽  
Professional Employees ◽  
Work Integration ◽  
New Evidence

Purpose The purpose of this paper is to provide new evidence on the different dimensions of well-being that can occur in work integration social enterprises (WISEs). This study aims to call for a future discussion on the role of meaningful work (MW) and its impact upon well-being beyond satisfaction. Design/methodology/approach Explorative interviews were undertaken with professional workers and beneficiaries within a Spanish WISE. These interviews aimed to uncover similarities and differences across aspects of what makes work meaningful to them as workers. Both eudaimonic and hedonic dimensions of well-being were used to analyse the data. Findings Different groups of employees show that professional employees (those working in the WISE, not because of their disadvantages in the labour market) create their narratives based on MW experiences (eudaimonic well-being), whereas beneficiaries (those working in the WISE because of their disadvantages in the labour market) often describe how satisfied they are at work (hedonic). Originality/value The concept of MW within WISEs to achieve well-being for both beneficiaries and professional workers could be enhanced through discussion of the different types of well-being that are being realised in such settings. Engaging with the concept of “eudaimonia” helps the authors to achieve this aim.

The impact of institutional factors on corporate mechanism of cash adjustment – New evidence from emerging Asia

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Santanu Das ◽  
Ashish Kumar ◽  
Asit Bhattacharyya
Keyword(s):  
Financial Development ◽  
Cash Holdings ◽  
Content Type ◽  
Adjustment Mechanism ◽  
Management Policies ◽  
New Evidence ◽  
Corporate Cash Holdings ◽  
Adjustment Dynamics ◽  
Country Specific

PurposeThe purpose of this study is to understand how the business environment of a country has an impact on cash management policies of the firms and also to investigate if there is any asymmetry in cash adjustment dynamics when a firm deviates from its long-term target of cash holdings.Design/methodology/approachUsing a sample of seven emerging Asian countries in the period 2001–2019, the authors investigate the role of country specific variables in the corporate cash holdings and their cash adjustment mechanism. They use the panel data regression method to estimate the results.FindingsThe authors find that the overall financial development of a country has a significant impact on corporate cash holdings and cash adjustment dynamics. When a firm has excess cash, the speed of adjustment towards the target is faster as compared to when it has deficit cash holdings. Further, when a firm holds excess cash, it adjusts towards the target using cash from investments; in case of deficit cash holdings, the adjustment happens via cash from financing activities.Practical implicationsThe results of the study are helpful to corporate managers as these are important references to them to understand and design cash management policies by considering factors that are measured at the country level. It also provides them a clearer understanding about the role of corporate board and information asymmetry in cash holdings.Originality/valueThis is the first study which examines the role of country-specific variables on corporate cash holdings and their adjustment mechanism of firms in emerging Asia. Further, the study extends the literature by providing new evidence that there is asymmetry in cash adjustment dynamics of firms after controlling for the overall financial development of a country.

New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

2020 ◽  
Vol 9 (3) ◽  
pp. 1-25
Author(s):  
Faisal Khan ◽  
Sharif Ullah Jan
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Research Study ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Economic Factors ◽  
Monthly Data ◽  
New Evidence

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskedasticity models were applied: GARCH(1,1) for capturing different volatility dynamics, GARCH-M for pricing of risk, and EGARCH for asymmetric and leverage effect. The findings of the study are as follows: Firstly, the authors untie that pricing of risk is subject to considerable variations with respect to firm size. Secondly, in the process of detecting whether the firm size matters in the case of asymmetry and leverage effect, they find that it is indeed the case. Thirdly, size effect plays a substantial role in determining various volatility dynamics. Finally, they uncover that economic factors affect stock returns differently based on firm size, signifying the role of size effect.

scholarly journals Fifteen years of customer engagement research: a bibliometric and network analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Linda D. Hollebeek ◽  
Tripti Ghosh Sharma ◽  
Ritesh Pandey ◽  
Priyavrat Sanyal ◽  
Moira K. Clark
Keyword(s):  
Network Analysis ◽  
Stock Returns ◽  
Brand Management ◽  
Critical Role ◽  
Intellectual Structure ◽  
Customer Engagement ◽  
Content Type ◽  
Brand Engagement ◽  
Theoretical Perspectives

Purpose In recent years, customer engagement (CE) with brands, which has been shown to yield enhanced firm sales, competitive advantage and stock returns, has risen to occupy a prominent position in brand management research and practice. Correspondingly, scholars have explored CE’s conceptualization, operationalization and its nomological networks as informed by different theoretical perspectives. However, in spite of important advances, the knowledge structure of the overall corpus of CE research remains tenuous. Therefore, the purpose of this paper is to explore the intellectual structure of CE research. Design/methodology/approach Based on this gap, this study deploys bibliometric and network analysis to map CE’s literature-based landscape. Using bibliometric analysis, important CE-publishing journals, authors and influential CE articles (2005–2020) are uncovered. Using network analysis, prominent CE themes are also unearthed. Findings The results document key CE-publishing journals and authors and their respective contributions to the literature. Five CE themes are also identified, including CE measurement/methods, online CE, CE’s value co-creating capacity, CE conceptualization and customer/consumer brand engagement. Further, an agenda for future CE research is provided based on the presented network analysis results. Practical implications The reported findings generate important implications for brand managers. For example, the identified critical role of online (vs offline) CE offers a range of strategic opportunities, as outlined. Originality/value This paper offers a pioneering bibliometric and network analysis of the CE literature, thus mapping the field. From the identified CE themes, important avenues for further CE research are also identified.

scholarly journals The role of liquidity in asset pricing: the special case of the Portuguese Stock Market

2017 ◽  
Vol 22 (43) ◽  
pp. 191-206 ◽  
Author(s):  
María del Mar Miralles-Quirós ◽  
José Luis Miralles-Quirós ◽  
Celia Oliveira
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Emerging Market ◽  
Methodological Approach ◽  
Model Framework ◽  
Content Type ◽  
Previous Evidence

Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market. Research limitations/implications These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision. Originality/value The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.

Quality investing and the cross-section of country returns

2016 ◽  
Vol 33 (2) ◽  
pp. 281-301 ◽  
Author(s):  
Adam Zaremba
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Quality Metrics ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Content Type ◽  
Country Level ◽  
The Cross ◽  
Practical Implications

Purpose The main purpose of this study is to examine the role of quality as a determinant of a cross-sectional variation in country-level stock returns. The study attempts to address the question: Is there any special premium for top-quality stock markets with decent profitability, indebtedness and liquidity ratios? Design/methodology/approach The computations are based on the listings of 66 country portfolios over the period between 2000 and 2013. Long/short country portfolios from sorts on characteristics related to quality are examined with asset-pricing models. Findings The inter-market variation in returns may be explained with profitability and debt ratios: the more profitable and the less indebted is the stock market, the better is its performance. Moreover, the performance of country-level value, size and momentum strategies may be improved by double sorting on quality characteristics. Practical implications The practical implications include such issues as the global asset allocation, the development of investment products, asset pricing and investment performance measurement. The country selection strategies that are based on leverage and profitability prove to be a useful tool for investors with a global investment mandate. Furthermore, additional sorting on quality metrics may markedly improve the performance of inter-market value, size and momentum strategies. Originality/value This paper examines the role of quality metrics related to financial leverage, profitability and liquidity in explaining the cross-sectional variation in country returns.

The role of firm location and agglomeration economies on export propensity: the case of Portuguese SMEs

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rosa Portela Forte ◽  
Ana Rita Sá
Keyword(s):  
Small And Medium Enterprises ◽  
Probit Model ◽  
Agglomeration Economies ◽  
Export Intensity ◽  
Content Type ◽  
Congestion Costs ◽  
Export Spillovers ◽  
Medium Enterprises ◽  
High Congestion

PurposeThe present study seeks to assess whether the firm's location and agglomeration economies affect the firm's export propensity.Design/methodology/approachThis work is based on a sample of 20,234 Portuguese manufacturing small and medium enterprises (SMEs) and resort to the estimation of a probit model.FindingsEmpirical results show that the location and agglomeration economies have an important role in determining the firm's export propensity. In particular, the study concludes that SMEs located in coastal areas or close to the border are more likely to export. Furthermore, the study also concludes that specialization economies are an important driver of small and medium-sized firms' export propensity while export spillovers are particularly relevant for micro firms. However, urbanization, measured through firms density in NUTS3 region, negatively affects firms' export propensity, which may be due to high congestion costs in the regions with a high firms density.Originality/valueThis study focus on the determinants of the decision to export or the export propensity, particularly the external factors such as the firm's location and agglomeration economies. This is a relatively neglected topic in the literature that has focused on the determinants of export intensity.

Innovation drivers in Ecuadorian manufacturing

2019 ◽  
Vol 17 (4) ◽  
pp. 510-539
Author(s):  
María Engracia Rochina-Barrachina ◽  
Jorge Antonio Rodríguez
Keyword(s):  
Design Methodology ◽  
Organizational Innovation ◽  
Probit Model ◽  
Manufacturing Firms ◽  
Content Type ◽  
Innovation Activities ◽  
Different Types ◽  
Innovation Strategies ◽  
Over Time

Purpose The purpose of this paper is to study which are the drivers of different types of innovations for manufacturing firms. The considered innovation types are product, process, organizational and marketing innovations. In addition, this study also aims to understand why most types of innovation (with the exception of organizational innovation) have decreased over time. Design/methodology/approach The two non-overlapping waves of the Ecuadorian National Innovation Activities Survey 2013 and 2015 (NIAS) are used. To identify the determinants of the different types of innovations and to check whether the decisions to innovate are correlated, a tetravariate probit model is used. Findings The results obtained point to some relevant differences in terms of the drivers of the different types of innovation. In addition, it is also evident that with the passage of time, certain problems that may be reducing the incentives to innovate have become more acute. Originality/value The study adds new empirical evidence to the literature on the role of investments in incorporated technology in innovation in developing countries. In particular, for Ecuadorian firms, the acquisition of incorporated technology in capital goods seems to be very relevant. This highlights the existence of a supply-driven innovation strategy. However, there is also room for innovation strategies driven by demand conditions.

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