scholarly journals Firm attributes and share price fluctuation of deposit money banks listed in Nigeria

2019 ◽  
Vol 15 (2) ◽  
pp. 77-92
Author(s):  
Adamu Adamu Idris ◽  
Oyindamola Olusegun Ekundayo ◽  
Abdulateef Yunusa
Keyword(s):  
Ordinary Least Squares ◽  
Share Price ◽  
Least Squares Regression ◽  
Share Prices ◽  
Explanatory Variables ◽  
Ex Post ◽  
Ex Post Facto ◽  
Asset Growth ◽  
Combined Impact ◽  
Firm Attributes

This paper examined firms’ attributes impact on the fluctuation of share prices of listed deposit money banks in Nigeria. Ex-post facto research design was employed, and 13 deposit money banks firms were selected out of 15 from 2006-2016. Descriptive statistics were presented, and correlation analysis was conducted to understand the degree of relationship among the variables. Ordinary least Squares regression was used to ascertain the combined impact of the explanatory variables on the share prices. The study finds four firms’ attributes (dividend ratios, book value, growth and liquidity) to have statistically significant effect on share prices. Companies with high dividends and asset growth as well as low liquidity and book values are more likely to experience higher share prices; hence, the need for investors to be aware of these attributes in making investment decisions. The findings contribute to the existing literature by extending the study to the banking industry.

Discretionary Risk Disclosures

2003 ◽  
Vol 78 (2) ◽  
pp. 449-469 ◽  
Author(s):  
Bjorn N. Jorgensen ◽  
Michael T. Kirschenheiter
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Voluntary Disclosure ◽  
Cash Flows ◽  
Share Price ◽  
Risk Disclosure ◽  
Share Prices ◽  
Ex Post ◽  
Partial Disclosure ◽  
Future Cash Flows

We model managers' equilibrium strategies for voluntarily disclosing information about their firm's risk. We consider a multifirm setting in which the variance of each firm's future cash flow is uncertain. A manager can disclose, at a cost, this variance before offering the firm for sale in a competitive stock market with risk-averse investors. In our partial disclosure equilibrium, managers voluntarily disclose if their firm has a low variance of future cash flows, but withhold the information if their firm has highly variable future cash flows. We establish how the manager's discretionary risk disclosure affects the firm's share price, expected stock returns, and beta, within the framework of the Capital Asset Pricing Model. We show that whereas one manager's discretionary disclosure of his firm's risk does not affect other firms' share prices, it does affect the other firms' betas. Also, we demonstrate that a disclosing firm has lower risk premium and beta ex post than a nondisclosing firm. Finally, we show that ex ante, the expected risk premium and expected beta of each firm are higher under a mandatory risk disclosure regime than in the partial disclosure equilibrium that arises under a voluntary disclosure regime.

scholarly journals Improving estimations in quantile regression model with autoregressive errors

2018 ◽  
Vol 22 (Suppl. 1) ◽  
pp. 97-107 ◽  
Author(s):  
Bahadır Yuzbasi ◽  
Yasin Asar ◽  
Samil Sik ◽  
Ahmet Demiralp
Keyword(s):  
Quantile Regression ◽  
Regression Model ◽  
Simulation Experiment ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
White Noise Process ◽  
Respiratory Mortality ◽  
Explanatory Variables ◽  
Quantile Regression Model ◽  
Regression Approach

An important issue is that the respiratory mortality may be a result of air pollution which can be measured by the following variables: temperature, relative humidity, carbon monoxide, sulfur dioxide, nitrogen dioxide, hydrocarbons, ozone, and particulates. The usual way is to fit a model using the ordinary least squares regression, which has some assumptions, also known as Gauss-Markov assumptions, on the error term showing white noise process of the regression model. However, in many applications, especially for this example, these assumptions are not satisfied. Therefore, in this study, a quantile regression approach is used to model the respiratory mortality using the mentioned explanatory variables. Moreover, improved estimation techniques such as preliminary testing and shrinkage strategies are also obtained when the errors are autoregressive. A Monte Carlo simulation experiment, including the quantile penalty estimators such as lasso, ridge, and elastic net, is designed to evaluate the performances of the proposed techniques. Finally, the theoretical risks of the listed estimators are given.

Ex-post stock return behaviour of corporate restructurings and corporate control

2016 ◽  
Vol 15 (4) ◽  
pp. 484-498
Author(s):  
Dongnyoung Kim ◽  
Tih Koon Tan
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
Content Type ◽  
Tracking Stocks ◽  
Ex Post ◽  
Corporate Restructurings ◽  
Tracking Stock ◽  
And Control

Purpose This paper aims to investigate the correlation between stock returns of the parent and newly created entity and the degree of return skewness in parents in the three different corporate restructurings. Design/methodology/approach Using a sample of spin-offs, equity carve-outs and tracking stocks, ordinary least squares regression is used to test the relationship between stock return correlation as well as stock return skewness and the type of corporate restructurings. Findings Tracking stock offering has the largest correlation in stock returns, whereas spin-off has the least correlation in stock returns. Also, the result from the skewness test is not consistent with the hypothesis that the stock returns skewness is positively related to the degree of ownership and control. Originality/value This is one of the few papers looking at the three corporate restructurings and their return skewness.

Determinants of changes in share prices in banking sector of Pakistan

2014 ◽  
Vol 30 (2) ◽  
pp. 121-130 ◽  
Author(s):  
Shahid Mohammad Khan Ghauri
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Small Sample Size ◽  
Small Sample ◽  
Share Price ◽  
Content Type ◽  
Share Prices ◽  
Effect Regression ◽  
Asset Growth ◽  
The Impact

Purpose – Over the past many years ago, lot of work has been completed by the researchers trying to understand the relationship between different factors and stock exchange prices. The author has tried to explain different factors that affect share prices. The purpose of this paper is to know about the impact of size, dividend, profitability, asset growth of 15 Pakistani banks on share price on the basis of previous behavior of all the variables with each other. Design/methodology/approach – A sample of 15 banks has been selected from Karachi stock exchange for the period of 2008-2011, Arch-Garch and unit root cannot be applied to check the stationarity and volatility due to small sample size. The analysis utilized fixed effect regression model, the test includes regressing the dependent variable SP (share price) and independent variables size, DY (dividend yield), ROA (return on asset), and AG (asset growth). Findings – Results show that “size” has a positive significant relationship with the share price while the other variables have insignificant relationship. Originality/value – This paper helps in determination of the factors that affect share price fluctuations in banking sector of Pakistan. The similar affects can be observed in financial sector in other countries.

scholarly journals Board diversity and corporate voluntary disclosure (CVD) in the annual reports of Bangladesh

2016 ◽  
Vol 6 (4) ◽  
pp. 48-55 ◽  
Author(s):  
Md. Abdur Rouf
Keyword(s):  
Voluntary Disclosure ◽  
Ordinary Least Squares ◽  
Annual Reports ◽  
Least Squares Regression ◽  
Board Diversity ◽  
Explanatory Variables ◽  
Leadership Structure ◽  
Board Leadership Structure ◽  
Female Director ◽  
The Relationship

This is an exploratory study designed to investigate the extant and nature of corporate voluntary disclosure (CVD) in corporate annual reports of Bangladesh. Specifically, examine the relationship between board diversity and corporate voluntary disclosures. The paper is based on a sample of 106 listed non-financial companies in Dhaka Stock Exchanges (DSE) from the period 2007-2011 and all the companies are selected by Judgment Sampling. The study is used ordinary least squares regression model to examine the relationship between explanatory variables and voluntary disclosure. Using an unweighted relative disclosure index for measuring voluntary disclosure, the empirical results indicate that Percentage Female Director (PFD), Board Leadership Structure (BLS) and Total Assets (TA) are positively association with corporate voluntary disclosure (CVD). In contrast, the extent of corporate voluntary disclosure is negatively associated with a Percentage of equity owned by the insiders to all equity of the firm higher management ownership.

scholarly journals VALUE RELEVANCE OF ACCOUNTING INFORMATION AND SHARE PRICE: AN EMPIRICAL STUDY ON MANUFACTURING FIRMS IN NIGERIA

2020 ◽  
pp. 64-77
Author(s):  
OC Ogbodo ◽  
Benjamin Osisioma
Keyword(s):  
Value Relevance ◽  
Stock Exchange ◽  
Accounting Information ◽  
Manufacturing Firms ◽  
Least Square ◽  
Share Price ◽  
Manufacturing Companies ◽  
Causality Test ◽  
Ex Post ◽  
Ex Post Facto

This study assessed the relationship between the value relevance of accounting information and share price with a focus on manufacturing companies listed on the Nigerian Stock Exchange (NSE). The Ex-post facto research design was used. Ordinary Least Square (OLS) regression analysis and Granger Causality test was used to test the hypothesis with the aid of E-View 9.0. The results of this study revealed that there is a significant positive relationship between Dividend per Share and the Share Price. The researcher recommends among others that standard setters, the stock market regulators and listed manufacturing firms in Nigeria should continuously devise ways of improving the quality of accounting information published in financial statements to maintain and increase their value relevance to the investors and other stakeholders.

scholarly journals The Nexus Between Government Revenue and Economic Growth in Nigeria

2020 ◽  
Vol 34 (1) ◽  
pp. 35-45
Author(s):  
Fineboy Ikechi Joseph ◽  
Cordelia Onyinyechi Omodero
Keyword(s):  
Economic Growth ◽  
Value Added ◽  
Ordinary Least Squares ◽  
National Bureau ◽  
Ex Post ◽  
Research Designs ◽  
Ex Post Facto ◽  
Secondary Form ◽  
The Government ◽  
The Relationship

AbstractThe aim of the study is to examine the relationship between government revenues and the economic growth of Nigeria. The study employs exploratory and ex-post facto research designs while using secondary form of data spanning from 1981 to 2018 collected from the Federal Inland Revenue Services (FIRS), National Bureau of Statistics and CBN statistical bulletin. The relationship is tested by using Ordinary Least Squares (OLS) regression technique. The result reveals that federally received revenue and Value Added Tax (VAT) have a moderate positive relationship with the economic growth. The study provides evidence that there is a need for the government to formulate relevant revenue policies that will boost government income in order to have more favourable implication on the economy.

scholarly journals Impact of overall equipment effectiveness on return on investment in the Nigerian cement manufacturing industry

2021 ◽  
Vol 2 (1) ◽  
pp. 87-94
Author(s):  
Ugbomhe O. Ugbomhe ◽  
◽  
Ebomah Ernest Monday ◽  
Keyword(s):  
Return On Investment ◽  
Manufacturing Industry ◽  
Empirical Test ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
Ex Post ◽  
Formidable Challenge ◽  
Cement Manufacturing ◽  
Key Indicators ◽  
The Impact

The formidable challenge of maintenance of heavy duty equipment for the day-to-day manufacturing activities informed this research investigation. The study examined the impact of overall equipment effectiveness on return on investment in the Nigerian cement manufacturing industry. It focused on the key indicators of overall equipment effectiveness and their impact on return on investment. Ex-post facto research design was adopted in conducting the empirical investigation. The firms in the industry quoted in the Nigeria Stock Exchange (NSE) were studied. Longitudinal data of 15 years observation (2005-2019) were obtained and analyzed with ordinary least squares regression (system-OLS). The key indicators of overall equipment effectiveness subjected to empirical test proved positively significant to return on investment at the Coefficient values a1, a2 & a3 > 0; Prob.-values a1, a2, & a3 < 0.05 and t-Statistic values a1, a2, & a3 absolutely ≥ 2. These analysis results suggested that machine availability rate (MAR), machine production rate (MPR), product quality rate (PQR) variables of overall equipment effectiveness have significant linear effect on ROI. Based on these results, the study therefore recommends among others for top management’s support and commitment to proactive and continuous improvement production facilities maintenance for improved overall equipment effectiveness and sustainable corporate performance of firms in the industry.

scholarly journals Budget Evaluation and Economic Development in Nigeria

2021 ◽  
Vol 2 (2) ◽  
pp. 51-62
Author(s):  
Christy Twaliwi ◽  
Georgina Obinne Ugwuanyi ◽  
Udeme Okon Efanga
Keyword(s):  
Economic Development ◽  
Due Process ◽  
Ordinary Least Squares ◽  
Strict Adherence ◽  
Capital Budget ◽  
Economic Progress ◽  
Ex Post ◽  
Ex Post Facto ◽  
The Government ◽  
Budget Evaluation

The major goal of this research was to see how budget assessment affected Nigeria's economic progress. The inspiration stemmed from a number of inconsistencies in the Nigerian economy's budget preparation and execution. This study employed an ex-post-facto design, with data gathered from the Central Bank Statistical Bulletin and the Federal Ministry of Finance for analysis. A model based on empirical and theoretical reviews was developed to attain this wide purpose. The model's dependent variable was the Human Development Index (HDI), while the model's independent variables were the government's capital budget, recurrent budget, and yearly budget implementation rate. To evaluate data, the researchers used the Ordinary Least Squares (OLS) Model. Budget assessment had a favorable and considerable influence on Nigeria's economic progress, according to the inferential findings. According to the report, Nigeria's government should make an effort to raise capital and recurring expenditures in its yearly budget, since both have a substantial influence on economic development. Finally, the government should make an effort to put in place effective budget monitoring and assessment equipment that will increase the rate of budget implementation while simultaneously ensuring strict adherence to due process.

scholarly journals The impact of mandatory IFRS adoption on banks’ share prices: Evidence from the OECD countries

2021 ◽  
Vol 22 (11) ◽  
pp. 1310-1326
Author(s):  
Rustam R. ABDURAUPOV ◽  
Feruz N. SULTANOV ◽  
Abdulla G. IBRAGIMOV
Keyword(s):  
Financial Reporting ◽  
Oecd Countries ◽  
Ordinary Least Squares ◽  
Share Price ◽  
Reporting Standards ◽  
Information Risk ◽  
Share Prices ◽  
Financial Reporting Standards ◽  
Ifrs Adoption ◽  
The Impact

Subject. The adoption of International Financial Reporting Standards (IFRS) was a significant milestone to unify financial reporting standards. However, there are many conflicting views regarding the impact of IFRS implementation on the investment attractiveness of banks. This put us on analyzing the sensitivity of changes in the equity securities market in terms of information risk and adoption of IFRS. Objectives. The article aims to explore the relationship between the harmonization of accounting and international standards and the banks’ share prices in eleven OECD countries by analyzing panel data within 1997–2015. Methods. For the study, we used a set of tests, such as the Ordinary Least Squares regression, Hausman specification test, Variance Inflation Factor, Unit Root test, Panel-Corrected Standard Error regression, and the Breusch-Pagan test. Results. The obtained results indicate a positive impact of the IFRS adoption on the change in prices for bank shares. In particular, changes in stock prices averaged 64 units. This is explained by the benefits of applying IFRS, which include positive investor expectations, improved financial reporting quality and comparability across countries, and reduced information risk. Conclusions. The hypothesis of bank share price increase after the IFRS adoption is true for the OECD countries.

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