scholarly journals Does Innovation Explain the Skewness of Stock Returns?

2021 ◽  
Vol 24 (2) ◽  
pp. 12-31
Author(s):  
Ahmed Baig ◽  
Hassan Anjum Butt ◽  
Abrar Fitwi ◽  
Joey Smith
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Fixed Effects ◽  
Stock Return ◽  
Stock Exchanges ◽  
Firm Level ◽  
Input And Output ◽  
Development Expenditure ◽  
Using Data ◽  
The Impact

This paper investigates the impact of firm-level innovation on the skewness of stock returns. Using data on a broad sample of equities from the major US stock exchanges, we find that innovative companies exhibit strong positive skewness. Our results are robust to both input and output measures of innovation as we find that increases in both firm-level research and development expenditure (R&D), as well as the number of patents, are positively associated with future stock return skewness. Our results hold using both systematic and idiosyncratic measures of skewness while controlling for various stock characteristics, time, and industry-fixed effects.

scholarly journals Extreme Temperatures and Firm-Level Stock Returns

2021 ◽  
Vol 18 (4) ◽  
pp. 2004
Author(s):  
Jingbin He ◽  
Xinru Ma
Keyword(s):  
Stock Returns ◽  
Fixed Effects ◽  
Extreme Temperature ◽  
Weather Conditions ◽  
Ordinary Least Squares ◽  
Extreme Temperatures ◽  
Least Squares Regression ◽  
Firm Level ◽  
Induced Mood ◽  
The Impact

By linking stock returns with weather conditions from 2007 to 2019 in China, we study how firm-level stock returns react to extreme temperatures. Based on a multivariate ordinary least squares regression model with fixed effects, empirical results show that firm-level stock returns decrease with exposure to extreme temperatures. We further explore the heterogeneity in the temperature-return relation to enrich our understanding of the economic mechanism behind it. The impact of extreme temperatures on abnormal stock returns is more pronounced in smaller, younger, more volatile, less profitable firms and firms with more intangible assets. The results indicate that the investor mood likely plays a role in the extreme temperature effect. The impact of extreme temperatures holds after addressing a series of concerns. Overall, our paper provides additional firm-level evidence on the environment-induced mood effect in the stock market.

Epidemics and Chinese firms' stock returns: is COVID-19 different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Quang Thi Thieu Nguyen ◽  
Dao Le Trang Anh ◽  
Christopher Gan
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Stock Exchange ◽  
Market Performance ◽  
Disease Outbreaks ◽  
Stock Exchanges ◽  
Content Type ◽  
Event Study Method ◽  
Economic Shock ◽  
The Impact

PurposeThis study investigates the Chinese stocks' returns during different epidemic periods to assess their effects on firms' market performance.Design/methodology/approachThe study employs an event study method on more than 3,000 firms listed on Shanghai and Shenzhen stock exchanges during periods of SARS, H5N1, H7N9 and COVID-19FindingsEpidemics' effect on firms' stock returns is persistent up to 10 days after the event dates. Although the impact varies with types and development of the disease, most firms experience a negative impact of the epidemics. Among the epidemics, COVID-19 has the greatest impact, especially when it grows into a pandemic. The epidemics' impact is uneven across industries. In addition, B-shares and stocks listed on Shanghai Stock Exchange are more negatively influenced by the epidemic than A-shares and those listed on Shenzhen Stock Exchange.Research limitations/implicationsThe results of the study contribute to the limited literature on the effects of disease outbreaks as an economic shock on firm market performance. Given the possibility of other epidemics in the future, the study provides guidance for investors in designing an appropriate investing strategy to cope with the epidemic shocks to the market.Originality/valueThe research is novel in the way it compares and assesses the economic impact of different epidemics on firms and considers their impact at different development stages.

Does the second wave of COVID-19 undermine corporate immunity? International evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Huy Viet Hoang ◽  
Cuong Nguyen ◽  
Khanh Hoang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Fixed Effects ◽  
Management Strategies ◽  
The United States ◽  
Least Square ◽  
Content Type ◽  
The Impact ◽  
Second Wave ◽  
Practical Implications

PurposeThis study compares the impact of the COVID-19 pandemic on stock returns in the first two waves of infection across selected markets, given built-in corporate immunity before the global outbreak.Design/methodology/approachThe data are collected from listed firms in five markets that have experienced the second wave of COVID-19 contagion, namely the United States (US), Australia, China, Hong Kong and South Korea. The period of investigation in this study ranges from January 24 to August 28, 2020 to cover the first two COVID-19 waves in selected markets. The study estimates the research model by employing the ordinary least square method with fixed effects to control for the heterogeneity that may confound the empirical outcomes.FindingsThe analysis reveals that firms with larger size and more cash reserves before the COVID-19 outbreak have better stock performance under the first wave; however, these advantages impede stock resilience during the second wave. Corporate governance practices significantly influence stock returns only in the first wave as their effects fade when the second wave emerges. The results also suggest that in economies with greater power distance, although stock price depreciation was milder in the first wave, it is more intense when new cases again surge after the first wave was contained.Practical implicationsThis paper provides practical implications for corporate managers, policymakers and governments concerning crisis management strategies for COVID-19 and future pandemics.Originality/valueThis study is the first to evaluate built-in corporate immunity before the COVID-19 shock under successive contagious waves. Besides, this study accentuates the importance of cultural understanding in weathering the ongoing pandemic across different markets.

scholarly journals Analysis of supporting indicators for innovation in Romania compared to neighboring EU countries

2018 ◽  
Vol 184 ◽  
pp. 04020
Author(s):  
Bungau Constantin ◽  
Gherghea Ion Cosmin
Keyword(s):  
Research And Development ◽  
Innovation Process ◽  
Developed Countries ◽  
Firm Level ◽  
Industry Collaboration ◽  
Development Expenditure ◽  
Scientists And Engineers ◽  
Domestic Spending ◽  
University Industry

The paper presents a comparative study of indicators which targeting the facilities and support for the innovation process. The study targets indicators regarding human resources, support structure / infrastructure and legislative provisions. The analysis is carried out over the last 5 years, comparing the indicators in Romania and the neighboring countries (Bulgaria, Hungary, Austria, Slovakia and Poland) and highly developed countries (Germany and France). Based on this study, will be drawing conclusions for improvement of these indicators. The indicators that will be taken into consideration are: Availability of scientists and engineers, Researchers, Quality of the education system, Researchers in Research and Development, Research and development expenditure, Firm-level technology absorption, University-industry collaboration in Research & Development, Quality of scientific research institutions, Gross domestic spending on Research and Development, Property rights, Intellectual property protection.

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

scholarly journals Predicting Stock Return of UAE Listed Companies Using Financial Ratios

2019 ◽  
Vol 8 (2) ◽  
pp. 214
Author(s):  
Arindam Banerjee
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Share Price ◽  
Financial Ratios ◽  
P Value ◽  
Dividend Yield ◽  
Value Analysis ◽  
Return On Equity ◽  
Equity Ratio ◽  
The Impact

Over the past few decades, numerous research across the globe has been conducted to examine the impact of firm performance on its stock return. The findings of these studies have been varied. In spite of the long standing research in this area, several attempt towards exploring this relationship has led to limited success owing largely to the existence of volatility across different stock markets. The variance in the volatility in these markets make it extremely difficult to obtain a uniform measure. A volatile stock market makes it difficult for the accounting and financial variables to accurately predict the stock returns (Feris & Erin, 2018).  The primary aim of this paper is aimed to investigate whether financial ratios can be used as a predictor of stock returns in the context of United Arab Emirates (UAE). The sample of the study includes thirty companies from the Dubai Financial Market (DFM) and Abu Dhabi stock exchange (ADX). Data is collected for the period of 2017. This research comprises of five independent variables namely, Earning Per Share ratio (EPS), Price Earning ratio (PE), Return on Equity ratio (ROE), Dividend Yield ratio (DY) and Debt Equity ratio (DE) and stock return is taken as the dependent variable. The study examines which among the given ratios can better predict stock returns both in the short run and the long run. The analysis is based on the regression analysis and correlation matrix. The results of correlation test revealed less multicollinearity between the variables and the regression results showed that Dividend Yield and the Return on Equity are statistically significant to predict the stock returns. However, Earning Per Share, Price Earning and Debt Equity could not predict the stock returns and thus can be safely considered as statistically insignificant. The t-stats test and p-value analysis were key indicators for arriving at the conclusion. The study can significantly benefit investors who can examine closely the dividend yield and return on equity while selecting an optimal portfolio. 

Lending relationships, credit ratings and bank loan spreads: evidence from Indonesian listed companies

2020 ◽  
Vol 16 (4) ◽  
pp. 455-479
Author(s):  
Yane Chandera ◽  
Lukas Setia-Atmaja
Keyword(s):  
Fixed Effects ◽  
Credit Ratings ◽  
Listed Companies ◽  
Bank Loan ◽  
Least Squares Regression ◽  
Firm Level ◽  
Content Type ◽  
Lending Relationships ◽  
Loan Spreads ◽  
The Impact

PurposeThis study examines the impact of firm-bank relationships on bank loan spreads and the mitigating role of firm credit ratings on that impact.Design/methodology/approachThe study sample consists of Indonesian publicly listed companies for the period 2006 to 2016; bank-loan data was extracted from the Loan Pricing Corporation Dealscan database. For the degree of firm-bank relationships, the data on each loan is manually computed, using five different methods taken from Bharath et al. (2011) and Fields et al. (2012). All of the regression analyses are controlled for the year fixed effects, heteroscedasticity, and firm-level clustering. To address the endogeneity issues, this study uses several methods, including partitioning the sample, running nearest-neighbour and propensity score matching tests, and using instrumental variables in two-staged least-squares regression models.FindingsIn line with relationship theory and in opposition to the hold-up argument, this study finds that lending relationships reduce bank loan spreads and that the impact is more noticeable among non-rated Indonesian firms. Specifically, each additional unit in the total number of years of a firm-bank relationship and the number of previous loan contracts with the same bank are associated with 7.34 and 9.15 basis-point decreases, respectively, in these loan spreads.Practical implicationsCorporations and banks should maintain close, long-term relationships to reduce the screening and monitoring costs of borrowing. Regulators should create public policies that encourage banks to put more emphasis on relationships in their lending practices, especially in relation to crisis-prone companies.Originality/valueTo the best of the authors’ knowledge, this is the first study to examine the impact of lending relationships on bank loan spreads in Indonesia. The study offers insights on banking relationships in emerging markets with concentrated banking industries, underdeveloped capital markets and prominent business-group affiliations.

scholarly journals Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018 ◽  
Vol 10 (10) ◽  
pp. 3361 ◽  
Author(s):  
Junru Zhang ◽  
Hadrian Djajadikerta ◽  
Zhaoyong Zhang
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Return ◽  
Return Volatility ◽  
Chinese Stock Market ◽  
Stock Return Volatility ◽  
News Release ◽  
Volatility Persistence ◽  
Google Search ◽  
The Impact

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

scholarly journals Impact of Economic Policy Uncertainty on Trade Credit Provision: The Role of Social Trust

2020 ◽  
Vol 12 (4) ◽  
pp. 1601 ◽  
Author(s):  
Peng Liu ◽  
Daxin Dong
Keyword(s):  
Economic Policy ◽  
Fixed Effects ◽  
Trade Credit ◽  
Social Trust ◽  
Alternative Measure ◽  
Policy Uncertainty ◽  
Firm Level ◽  
Economic Policy Uncertainty ◽  
The Impact

This paper explores the impact of economic policy uncertainty (EPU) on trade credit while taking into account the interactive role of social trust. The analysis is based on the panel data econometric model with fixed effects. Using firm-level data across 16 economies from 1995Q1 to 2015Q1, we find that (i) there exists a negative and highly significant relationship between economic policy uncertainty and the provision of trade credit; (ii) this relation is weaker for firms in countries with higher levels of social trust; and (iii) the effects of EPU and social trust are both more substantial for firms in more financially constrained industries. The impact of social trust is not a result of people’s high confidence in government, an effective legal system of enforcing contracts, a high-quality institutional system or an excellent system of protecting shareholders. Our result is robust if we exclude business cycle effects or use an alternative measure of financial constraints.

Firm-level agreements, employment strategies and temporary workers

2020 ◽  
Vol 42 (1) ◽  
pp. 194-212
Author(s):  
Saverio Minardi
Keyword(s):  
Fixed Effects ◽  
Selection Process ◽  
Temporary Employment ◽  
Least Square ◽  
Temporary Workers ◽  
Firm Level ◽  
Data Set ◽  
Content Type ◽  
Collective Agreements ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of two-tier firm-level collective agreements on firms’ propensity to use temporary employment, accounting for the process of self-selection of firms into different bargaining levels in the Italian context. It further examines which firm-level characteristics drive this process of selection. Design/methodology/approach The empirical analysis uses a panel data set of Italian firms for the years 2005, 2007, 2010 and 2015. Estimations are produced and compared through ordinary least square regression, random-effects and fixed-effects models. Findings Results show that enterprises adopting two-tier firm-level agreements (TTFA) are associated with lower levels of temporary workers. However, a longitudinal analysis suggests that introducing a TTFA does not impact firms’ propensity to employ temporary workers. This novel finding highlights the presence of a selection process based on firm-level time-constant characteristics. The paper argues that these characteristics refer to management orientation toward high-road rather than low-road employment strategies. Further evidence is brought in support of this claim, showing that firms’ propensity toward the provision of training for their labor force partially explain the process of selection. Originality/value The study is the first to analyze the impact of secondary-level collective agreements on firms’ reliance on temporary employment, offering new evidence on the causes of the expansion of temporary employment. It further highlights the relevance of employers’ strategies in shaping the impact of the bargaining structure.

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