scholarly journals ADVERTISING, RESEARCH AND DEVELOPMENT, AND CAPITAL MARKET RISK: HIGHER RISK FIRMS VERSUS LOWER RISK FIRMS

2012 ◽  
Vol 13 (4) ◽  
pp. 724-744 ◽  
Author(s):  
Miao-Ling Chen ◽  
Chi-Lu Peng ◽  
An-Pin Wei
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Capital Market ◽  
Lower Risk ◽  
Idiosyncratic Risk ◽  
Senior Management ◽  
Limited Resources ◽  
Advertising Research ◽  
Senior Executives ◽  
Firm Risk

This study examines how a firm's advertising and R&D affects the firm's β-risk and idiosyncratic risk, which are metrics of interest to both finance executives and senior management. Due to the existence of a non-normal and heteroscedasticity dataset, we use quantile regression to analyze the sample to understand the full behavior of our non-normally distributed datapoints. The evidence of this study shows that: (1) Advertising is significantly associated with lower β-risk for firms with lower, median and higher β-risk. (2) R&D significantly increases β-risk for firms with median and higher β-risk firms. (3) Advertising is significantly associated with lower idiosyncratic risk for firms with higher idiosyncratic risk. (4) R&D is significantly associated with higher idiosyncratic risk for firms with median and higher idiosyncratic risk. In summary, our evidence shows that both advertising and R&D have a stronger effect on firms with higher β- and idiosyncratic risk than on those with lower β- and idiosyncratic risk, respectively. Our findings are useful to help both management executives and investors. Firm managers can allocate limited resources more efficiently to reduce their firm risk; investors could exert their influence on firm's senior executives to make decisions that are beneficial to stock returns.

scholarly journals The Impact of Unsystematic Risk on Stock Returns in an Emerging Capital Markets (ECM’s) Country: An Empirical Study

2017 ◽  
Vol 9 (1) ◽  
pp. 189
Author(s):  
Mohamed Masry ◽  
Heba El Menshawy
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Exchange ◽  
Predictive Ability ◽  
Idiosyncratic Risk ◽  
Weekly Basis ◽  
Future Return ◽  
Emerging Capital Markets ◽  
The Impact ◽  
Egyptian Stock Exchange

In this study, we aim to introduce behavior of unsystemayic risk and its forecasting ability in prediction of future return in Egyptian Stock Exchange (ESE) as an Emerging Capital market (ECM), over the period of 2006 to 2015. We measure equally weighted unsystemayic volatility by following the Campbell’s (2001) Indirect Method, by considering market size and weekly basis. Our results reveal that unsystemayic risk is the biggest component of total volatility and show no trend, although market volatility has a slow decreasing trend in this period. We also find that small size stocks have slightly higher volatility than the big size stocks but both portfolios have similar idiosyncratic risk behavior. Finally, our analyses about the predictive ability of various measures of unsystematic risk provide evidence that unsystematic risk volatility is not a significant predictor for future return in ESE.

Followership: A Classroom Exercise to Introduce the Concept

2017 ◽  
Vol 2 (4) ◽  
pp. 281-288 ◽  
Author(s):  
Marc Hurwitz
Keyword(s):  
Graduate Students ◽  
Multicultural Training ◽  
Senior Management ◽  
Organizational Success ◽  
Work Output ◽  
Senior Executives ◽  
Classroom Activity ◽  
Media Messages ◽  
Classroom Exercise

Followership is valuable for personal and organizational success, whether success is measured by satisfaction with work, improved team relationships, obtaining promotions, or quality and quantity of work output. Furthermore, senior executives and coaches recognize it as a critical skill. Despite this, creating effective followership training in the classroom is challenging because of media messages that preference leadership, internal schemas held by students that ignore followership, and cultural biases against it. This article presents a memorable kinaesthetic, visual classroom activity that introduces followership in a theory-agnostic way. The exercise begins with students introducing each other as leaders or followers, and then debriefing that activity using the Describe, Analyze, and Evaluate methodology from multicultural training. Over a 10-year period, the exercise has successfully engaged undergraduate and graduate students, MBA candidates, and working professionals from frontline to senior management.

Impact of corporate social responsibility intensity on firm-specific risk and innovation: evidence from Japan

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Megumi Suto ◽  
Hitoshi Takehara
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Research And Development ◽  
Manufacturing Industry ◽  
Corporate Sustainability ◽  
Idiosyncratic Risk ◽  
Firm Level ◽  
Content Type ◽  
Specific Risk ◽  
Corporate Social

Purpose The purpose of this paper is to investigate investors’ perception of corporate social responsibility (CSR) and its risk-mitigating effects on firm-level innovation in Japan from 2006 to 2017. The authors examine the influence of CSR intensity on firm-specific risks, focusing on the risk-moderating effect of CSR on innovation. Design/methodology/approach The authors conducted a simple slope analysis and panel data regressions with input and output innovation measures and idiosyncratic risk based on an asset-pricing model. Findings The results demonstrate that CSR intensity not only reduces firm-specific risk directly but also indirectly by negatively moderating the relationship between firm-level innovation and idiosyncratic risk. Research limitations/implications Signaling trust to capital markets, CSR engagements in the manufacturing industry are clearly important for innovative firms with active research and development undertakings. Practical implications Corporate managers should further expand their efforts to make non-financial disclosures available, considering the interactions between CSR intensity and research and development financial risk. Originality/value In the context of Japanese firms, this study demonstrates the interaction between CSR practices and innovation activities from the perspective of long-term management of corporate sustainability.

scholarly journals Firm Risk and Proxy Fights: Evidence from SOX

2018 ◽  
Vol 7 (2) ◽  
pp. 96
Author(s):  
Fang Chen ◽  
Jian Huang ◽  
Han Yu
Keyword(s):  
Risk Taking ◽  
Idiosyncratic Risk ◽  
Total Risk ◽  
Firm Risk ◽  
Exogenous Shock ◽  
Sarbanes Oxley ◽  
Proxy Fights

The Sarbanes Oxley Act of 2002 (SOX) is documented to curb executive risk-taking and firm risk. Utilizing SOX as an exogenous shock on firm risk, we find that proxy fight threats are positively related to a firm’s total risk and idiosyncratic risk. Specifically, although firm risk generally decreases post-SOX, high proxy fight threats mitigate this change in firm risk. We also find that although firms adopt more conservative policies such as decreasing their leverage and payout post-SOX, these changes are mitigated by proxy fight threats. In sum, our findings indicate that proxy fights act as an external disciplinary mechanism, encourage executive risk-taking, and increase firm risk.

scholarly journals Treynor Ratio to Measure Islamic Stock Performance in Indonesia

2019 ◽  
Vol 8 (1) ◽  
pp. 1-13
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Capital Market ◽  
The Other ◽  
Islamic Finance ◽  
Ratio Model ◽  
Stock Performance ◽  
Measurement Results ◽  
Domestic Products ◽  
Very High

Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua. [Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]

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