A quantile regression analysis on corporate governance and the cost of bank loans: a research note

2015 ◽  
Vol 14 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Wuchun Chi ◽  
Huichi Huang ◽  
Hong Xie
Keyword(s):  
Interest Rate ◽  
Quantile Regression ◽  
Ordinary Least Squares ◽  
Regression Method ◽  
Bank Loan ◽  
Content Type ◽  
Loan Rate ◽  
Prior Literature ◽  
Quantile Regression Method ◽  
The Relationship

Purpose – This paper aims to investigate whether there is heterogeneity in the relationship between the bank loan interest rate and its determinants using the quantile regression method and to reconcile some conflicting findings in prior literature. Design/methodology/approach – First, the effects of 18 determinants were examined on the bank loan interest rate using the ordinary least squares method (OLS). Second, it was investigated whether the relationship between the loan rate and its determinants is heterogeneous across quantiles of loan rates using the quantile regression method. Findings – Considerable heterogeneity was found in the relationship between the loan rate and its determinants. Specifically, a determinant that is beneficial for the bank loan rate, on average, as revealed by the OLS method may become unimportant or even detrimental for firms located at extremely high or low loan rate quantiles. By revealing extreme heterogeneity in the relationship between the loan rate and some of its determinants, the authors potentially explain two conflicting findings in prior literature. Originality/value – The conventional OLS method masks the heterogeneity in the relationship between the bank loan interest rate and its determinants. Quantile regression can be used to supplement the OLS estimates to gain a more detailed and complete picture of the relationship between the dependent variable and explanatory variables.

Reporting of discontinued operations and dividend payout policy

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Binod Guragai ◽  
Trent Henke ◽  
Glen Young
Keyword(s):  
Financial Reporting ◽  
Payout Policy ◽  
Ordinary Least Squares ◽  
Dividend Payout ◽  
Content Type ◽  
Different Types ◽  
Prior Literature ◽  
Dividend Increases ◽  
The Relationship ◽  
Discontinued Operations

Purpose This study aims to examine the relationship between the types of discontinued operations (i.e. income-increasing versus income-decreasing) and a firm’s dividend payout policy. The authors extend our analysis to examine whether equity investors react differently to dividend payout changes that are preceded by the reporting of different types of discontinued operations. Design/methodology/approach Ordinary least squares regressions are used to test the association between discontinued operations and dividend payouts. The investor response test uses cumulative abnormal return around the announcement of dividend payout changes. Findings The authors find that firms temporarily increase (decrease) their dividend payout in the quarter following the reporting of income-increasing (income-decreasing) discontinued operations. The authors further find that these results are stronger when the magnitude of the income increase or income decrease is larger and when firms report disposal gains or losses. Although prior literature finds evidence that dividend increases are associated with a significant positive market reaction, the results show that investors do not react positively to dividend increases that are preceded by reporting income-increasing discontinued operations. Originality/value This study adds to the literature on the effects of financial reporting (i.e. the types of discontinued operations) on a firm’s payout policy (i.e. dividend payout). The authors also add to the literature that examines investors’ perceptions of a firm’s payout changes when such changes are transitory in nature.

Bank capital and liquidity creation: new evidence from a quantile regression approach

2018 ◽  
Vol 44 (12) ◽  
pp. 1382-1400 ◽  
Author(s):  
Manel Mazioud Chaabouni ◽  
Haykel Zouaoui ◽  
Nidhal Ziedi Ellouz
Keyword(s):  
Quantile Regression ◽  
Instrumental Variables ◽  
Ordinary Least Squares ◽  
Panel Regression ◽  
Bank Capital ◽  
Content Type ◽  
Novel Approach ◽  
Regression Approach ◽  
New Evidence ◽  
The Relationship

Purpose The purpose of this paper is to examine the effect of bank capital on liquidity creation. Especially, the authors test two competing hypotheses: the “risk absorption” hypothesis and the “financial fragility-crowding out” hypothesis that describe such association in the context of UK and French banking industry. Design/methodology/approach The authors use data collected from Bankscope for commercial banks pertaining to the aforementioned countries. The sample period ranges from 2000 to 2014. Liquidity creation was measured using a novel approach proposed by Berger and Bouwman (2007). This study uses the quantile regression (QR) and the instrumental variables QR, along with classical ordinary least squares (OLS) and panel regression, to deal with the mixed results reported by previous papers. Findings Using OLS and panel regression, the authors first find that bank capital negatively affects liquidity creation which supports risk absorption hypothesis. Second, the result from QR confirms the negative association between the aforementioned variables and shows that the effect is homogenous across quantiles of liquidity creation distribution. The result remains unchanged when using the QR with instrumental variables to address the potential problem of endogeneity. Originality/value This paper sheds more lights on the relationship between bank capital and liquidity creation by using a novel estimation approach based on the QR methodology.

Board characteristics and real performance in Malaysian state-owned enterprises (SOEs)

2017 ◽  
Vol 66 (8) ◽  
pp. 1064-1086 ◽  
Author(s):  
Fekri Ali Shawtari ◽  
Muslim Har Sani Mohamad ◽  
Hafiz Majdi Abdul Rashid ◽  
Abdullah Moh’d Ayedh
Keyword(s):  
Quantile Regression ◽  
Ordinary Least Squares ◽  
Performance Measure ◽  
Influential Factor ◽  
New Developments ◽  
Content Type ◽  
Board Characteristics ◽  
Real Performance ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to investigate the relationship between board characteristics and real performance among state-owned enterprises (SOEs) in Malaysia in a longitudinal period following the introduction of transformation policy. Design/methodology/approach The study deviates from prior research in utilising a real performance measure rather than traditional measures of performance. The authors adopt the quantile regression approach to examine the impact of board characteristics on real performance in a comparison using ordinary least squares. Findings The results of quantile regression reveal that the impact of board mechanisms on real performance was not as expected. Specifically, board size and duality had a bearing on real performance. Board independence also is considered as influential factor through the time. However, such effects were not homogenous across different quantiles. The dummy year variable to compare the period pre- and post-transformation policy reveals that the dummy year is not significant, indicating that performance post-transformation is indifferent compared to the pre-transformation policy period. Practical implications It is important for government to reconsider the policies embedded in the transformation policy. This study provides insights on the enhancement of board effectiveness and new developments regarding GLCs. Originality/value This is an early to attempt to measure real performance and its link to board characteristics in SOEs post-transformation policy.

scholarly journals The Nonlinear Links Between Urbanization And CO2: Evidence From Unconditional Quantile And Threshold Regression

2021 ◽  
Author(s):  
Mustafa Kocoglu ◽  
Ashar Awan ◽  
Ahmet Tunc ◽  
Alper Aslan
Keyword(s):  
Carbon Dioxide ◽  
Quantile Regression ◽  
Carbon Dioxide Emissions ◽  
Carbon Dioxide Emission ◽  
Regression Method ◽  
Marginal Effect ◽  
Threshold Regression ◽  
Impact Of Urbanization ◽  
Quantile Regression Method ◽  
The Relationship

Abstract The extant literature has provided empirical evidences about the relationship between urbanization and environment, however, a little attention has been paid to non-linear relationship among them. This study aims to measure the effects of urbanization on carbon dioxide emission using quantile and threshold regression method. To this end, the study employed threshold analysis and quantile regression method and analyzed the variation of such non-linearity for different levels of carbon dioxide using quantile regression. The results illustrate that a single threshold and two regimes exist and the threshold for urbanization is 29.56%. Across both regimes, the elasticity estimates form an inverted U-shape impact of urbanization on the carbon dioxide emission. The increase in the marginal effect of urbanization on carbon dioxide emissions up to the median level and a declining trend after this level implies that environmental quality significantly improves for emerging country.

scholarly journals The Simulation Study to Test the Performance of Quantile Regression Method With Heteroscedastic Error Variance

CAUCHY ◽  
2017 ◽  
Vol 5 (1) ◽  
pp. 36
Author(s):  
Ferra Yanuar
Keyword(s):  
Quantile Regression ◽  
Least Squares ◽  
Least Squares Method ◽  
Simulated Data ◽  
Error Variance ◽  
Ordinary Least Squares ◽  
Regression Method ◽  
Data Consistency ◽  
Interval Width ◽  
Quantile Regression Method

<div><p class="Keywords">The purpose of this article was to describe the ability of the quantile regression method in overcoming the violation of classical assumptions. The classical assumptions that are violated in this study are variations of non-homogeneous error or heteroscedasticity. To achieve this goal, the simulated data generated with the design of certain data distribution. This study did a comparison between the models resulting from the use of the ordinary least squares and the quantile regression method to the same simulated data. Consistency of both methods was compared with conducting simulation studies as well. This study proved that the quantile regression method had standard error, confidence interval width and mean square error (MSE) value smaller than the ordinary least squares method. Thus it can be concluded that the quantile regression method is able to solve the problem of heteroscedasticity and produce better model than the ordinary least squares. In addition the ordinary least squares is not able to solve the problem of heteroscedasticity.</p></div>

Racial dissimilarity and diversity climate effect organizational identification

2016 ◽  
Vol 35 (5/6) ◽  
pp. 314-327 ◽  
Author(s):  
Brooklyn Cole ◽  
Raymond J. Jones ◽  
Lisa M. Russell
Keyword(s):  
Organizational Identification ◽  
Turnover Intentions ◽  
Ordinary Least Squares ◽  
Important Variable ◽  
Hierarchical Regression ◽  
Diversity Climate ◽  
Climate Effect ◽  
Content Type ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to empirically examine the relationship between psychological diversity climate (PDC) and organizational identification (OID) when influenced by racial dissimilarity between the subordinate and supervisor. Design/methodology/approach Ordinary least squares hierarchical regression analysis was run for hypotheses testing. Findings Three of the four hypothesized relationships were supported. Support was found for the direct relationship between PDC and OID. The moderator race was significant thus also supported. The moderator of dissimilarity was not supported. Finally the three-way interaction with race and dissimilarity was supported. Practical implications OID is an important variable for overall organizational success. OID influences a wealth of organizationally relevant outcomes including turnover intentions. Considering higher turnover exists for minority employees, understanding how diversity climate perceptions vary by employee race and therefore impact OID differently, helps managers when making decisions about various initiatives. Originality/value This study is the first the authors know of to investigate the impact of dissimilarity on the PDC-OID relationship.

The impact of executives’ perceptions of environmental threats and organizational slack on innovation strategies

2016 ◽  
Vol 7 (2) ◽  
pp. 216-230 ◽  
Author(s):  
Chengyuan Wang ◽  
Biao Luo ◽  
Yong Liu ◽  
Zhengyun Wei
Keyword(s):  
Cognitive Theory ◽  
Environmental Changes ◽  
Ordinary Least Squares ◽  
Organizational Slack ◽  
Least Squares Regression ◽  
Content Type ◽  
Environmental Threats ◽  
Innovation Strategies ◽  
The Impact ◽  
The Relationship

Purpose The paper aims to study the relationship between executives’ perceptions of environmental threats and innovation strategies and investigate the moderating effect of contextual factor (i.e. organizational slack) on such relations. It proposes a dualistic relationship between executives’ perceptions of environmental threats and innovation strategies, in which different perceptions of environmental threats will lead to corresponding innovation strategies, and dyadic organizational slack can promote such processes. Design/methodology/approach The paper is based on a survey with 163 valid questionnaires, which were all completed by executives. Hierarchical ordinary least-squares regression analysis is used to test the hypotheses proposed in this paper. Findings The paper provides empirical insights about that executives tend to choose exploratory innovation when they perceive environmental changes as likely loss threats, yet adopt exploitative innovation when perceiving control-reducing threats. Furthermore, unabsorbed slack (e.g. financial redundancy) positively moderates both relationships, while absorbed slack (e.g. operational redundancy) merely positively influences the relationship between the perception of control-reducing threats and exploitative innovation. Originality/value The paper bridges the gap between organizational innovation and cognitive theory by proposing a dualistic relationship between executives’ perceptions of environmental threats and innovation strategies. The paper further enriches innovation studies by jointly considering both subjective and objective influence factors of innovation and argues that organizational slack can moderate such dualistic relationship.

Audit committee characteristics and the moderating effect of Malaysian code of corporate governance on IPO liquidity

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Amal Mohammed Al-Masawa ◽  
Rasidah Mohd-Rashid ◽  
Hamdan Amer Al-Jaifi ◽  
Shaker Dahan Al-Duais
Keyword(s):  
Corporate Governance ◽  
Initial Public Offerings ◽  
Audit Committee ◽  
Ordinary Least Squares ◽  
Moderating Effect ◽  
Least Squares Regression ◽  
Content Type ◽  
Code Of Corporate Governance ◽  
The Impact ◽  
The Relationship

Purpose This study aims to investigate the link between audit committee characteristics and the liquidity of initial public offerings (IPOs) in Malaysia, which is an emerging economy in Southeast Asia. Another purpose of this study is to examine the moderating effect of the revised Malaysian code of corporate governance (MCCG) on the link between audit committee characteristics and IPO liquidity. Design/methodology/approach The final sample consists of 304 Malaysian IPOs listed in 2002–2017. This study uses ordinary least squares regression method to analyse the data. To confirm this study’s findings, a hierarchical or four-stage regression analysis is used to compare the t-values of the main and moderate regression models. Findings The findings show that audit committee characteristics (size and director independence) have a positive and significant relationship with IPO liquidity. Also, the revised MCCG positively moderates the relationship between audit committee characteristics and IPO liquidity. Research limitations/implications This study’s findings indicate that companies with higher audit committee independence have a more effective monitoring mechanism that mitigates information asymmetry, thus reducing adverse selection issues during share trading. Practical implications Policymakers could use the results of this study in developing policies for IPO liquidity improvements. Additionally, the findings are useful for traders and investors in their investment decision-making. For companies, the findings highlight the crucial role of the audit committee as part of the control system that monitors corporate governance. Originality/value To the authors’ knowledge, this work is a pioneering study in the context of a developing country, specifically Malaysia that investigates the impact of audit committee characteristics on IPO liquidity. Previously, the link between corporate governance and IPO liquidity had not been investigated in Malaysia. This study also contributes to the IPO literature by providing empirical evidence regarding the moderating effect of the revised MCCG on the relationship between audit committee characteristics and IPO liquidity.

The moderating effect of culture on the relationship between accountability and professional scepticism

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Medhat Endrawes ◽  
Shane Leong ◽  
Kenan M. Matawie
Keyword(s):  
Cultural Values ◽  
Design Methodology ◽  
Middle Eastern ◽  
Cognitive Effort ◽  
Planning Stage ◽  
Content Type ◽  
Big 4 ◽  
Prior Literature ◽  
The Impact ◽  
The Relationship

Purpose This study aims to examine whether accountability and culture have an impact on auditors’ professional scepticism. It also examines whether culture moderates the effect of accountability on auditors’ professional scepticism. Design/methodology/approach Three of the Big 4 firms in Australia and Egypt participated in an audit judgement experiment, which required them to indicate their beliefs about the risk of fraud and error at the planning stage of a hypothetical audit and evaluate the truthfulness of explanations provided by the client management. The authors examined whether their professional scepticism was influenced by accountability. Findings The results indicate professional scepticism differs significantly between cultures in some situations. The fact that culture influences scepticism suggests that even when auditors use the same standards (such as ISA 240 and ISA 600), they are likely to be applied inconsistently, even within the same firm. The authors, therefore, recommend that international bodies issue additional guidance on cultural values and consider these cultural differences when designing or adopting auditing standards. Originality/value To the best of the authors’ knowledge, this is the first study that examines whether culture moderates the impact of accountability on auditors’ professional scepticism using Egyptian and Australian (Middle Eastern and Western) auditors. Prior literature suggests that individuals subject to accountability pressure increase their cognitive effort and vigilance to detect fraud and error. As the authors find evidence that culture moderates accountability pressure and as accountability affects scepticism, they add to the literature suggesting that culture can influence professional scepticism.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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