Issue #3 (Volume 14 2017)
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ReleasedDecember 05, 2017
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Articles37
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95 Authors
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143 Tables
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59 Figures
- abnormal returns (ARs)
- accounting and financial measures
- adjusted EVA
- assessment methods
- asset allocation
- bank profitability
- banks
- barrier option
- Bessel diffusion process
- Bessel functions
- bird in the hand
- Black-Litterman model
- Bombay Stock Exchange
- budgeting
- business success
- calendar anomalies
- calendar days approach
- capital flows
- capital structure
- cash holding
- cluster
- compare
- compensation fund
- corporate governance
- cost of capital
- credit
- deferred tax adjustment
- development
- dividend policy
- dividend policy of ports
- earnings
- earnings quality
- econometric models
- economic crisis
- economics
- economic security
- economic value added
- efficiency
- emerging stock market
- ESOP
- estimation
- event study
- exchange rate
- expatriates
- expected shortfall
- extreme value
- factors
- financial and economic crisis
- financial flows
- financial indicators
- financial institutions
- financial liberalization
- financial orientation
- financial performance
- financial ratios
- financial ratio system
- financial services
- financial state
- financial statements
- financial strength
- financial sustainability
- finished goods
- firm value
- foreign ownership
- fraud
- free cash flow
- GARCH model
- generalized hyperbolic distributions
- GJR-GARCH
- global economy
- global financial crisis
- government control
- government subsidy
- Greece
- Green’s function
- growth opportunity
- high-yield bonds
- higher education institutions
- IFRS
- individual investors
- infinitesimal operator
- influences
- infrastructure projects
- innovation
- insurance premium
- inventory
- investing strategy
- investment
- investment attractiveness
- investment capacity of the economy
- investment of pension savings
- investment protection
- investment risks
- investment strategies
- investment strategy
- irregular-reporting banks
- KOSDAQ
- KOSPI
- life cycle
- life insurance market
- Lévy-Khintchine formula
- management accounting
- market failure
- market manipulation
- market misconduct
- market returns
- MENA region
- mergers and acquisitions (M&As)
- microenterprises
- microfinance
- microinsurance
- model
- modified Jones model
- money lenders
- multiplicative effect
- Nigerian Stock Exchange
- nonlinear Granger causality
- optimization
- ORTOFIN
- payout
- pension payments
- pension reform
- performance-matched discretionary accruals model
- planning
- port activity
- portfolio theories
- predicting
- productivity
- public-private partnership
- publicly traded
- Qatar
- raw materials
- region
- REITs
- replacement rate
- responsibility centers
- risk
- Russia
- Saudi Arabia
- savings
- semi-monthly effect
- shareholders wealth
- shareholder value
- share prices
- simulation
- simulative modeling
- singular parabolic operator
- social protection of the population
- spectral risk measures
- spectral theory
- stabilizing effect
- state failure
- stock exchange
- stock market
- stock returns
- strategic profitability
- structural break co-integration
- structural equation model
- STVECM
- the prestige
- the Stock Exchange of Thailand
- trade
- trading days approach
- Ukraine
- unadjusted EVA
- value investing
- VECM
- Vietnamese listed firms
- volatility
- volatility risk premium
- work-in-process
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Inventory management, cost of capital and firm performance: evidence from manufacturing firms in Jordan
Ashraf Mohammad Salem Alrjoub , Muhannad Akram Ahmad doi: http://dx.doi.org/10.21511/imfi.14(3).2017.01Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 4-14
Views: 2812 Downloads: 2064 TO CITE АНОТАЦІЯSeveral studies have examined the relationship between inventory management and firm performance. However, most of these studies ignore the impact of inventory types on the relationship. Moreover, the relationship is influenced by some factors such as cost of capital which has not been considered. This study examines the moderating effect of cost of capital on the relationship between inventory types and firm performance. The data of 48 firms for the period 2010-2016 which formed 279 firm-year observations were used in this study. With the use of Pearson correlation and panel Generalized Method of Moments (GMM) estimation, the findings show that inventory management with consideration of its types influence firm performance in the long term. In addition, it is also found that cost of capital moderates the relationship between inventory management and firm performance. However, the interaction between cost of capital and inventory types has different implications. It is suggested that firms should consider cost of capital when making decision on inventory types and align their inventory control to fit in to the changes in their business environment.
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Shareholders wealth and mergers and acquisitions (M&As)
Justice Kyei-Mensah , Chen Su , Nathan Lael Joseph doi: http://dx.doi.org/10.21511/imfi.14(3).2017.02Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 15-24
Views: 1597 Downloads: 300 TO CITE АНОТАЦІЯWe re-examine the abnormal returns (ARs) around merger announcements using a large sample of 8,945 announcements. We estimate the ARs using the Carhart (1997) four-factor model under the standard ordinary least square (OLS) method and the Glosten et al.’s (1993) asymmetric GARCH specification (hereafter, GJR-GARCH). Under the OLS method, acquirers do not generate significant cumulative ARs (CARs) in line with prior work. Our new results, however, show that under the GJR-GARCH estimation, acquirers generate positive and significant cumulative CARs. We attribute the gains to the use of the GJR-GARCH estimation method, as the GJR-GARCH method is more effective in capturing conditional volatility and asymmetry in the excess returns.
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Financial sustainability of private higher education institutions: the case of publicly traded educational institutions
Sami Al Kharusi , Sree Rama Murthy Y. doi: http://dx.doi.org/10.21511/imfi.14(3).2017.03Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 25-38
Views: 1876 Downloads: 607 TO CITE АНОТАЦІЯPublic and private education can unlock different doors and help to flood the country with a rising power, sunlight and sustainable development. Hence, this paper argued that there is a need to sustain both public and private higher education. Financial difficulties restrict private higher education from balancing their budget and maintain a balance between a quality education and maximization of shareholders wealth. This paper outlines and analyzes a critical business model for higher education institutions, Dhofar University and Majan College, both of which are publicly traded in Muscat Securities Market. Both the educational institutions are critically examined from profitability, liquidity, long term solvency and asset management perspective using appropriate financial ratios. Five year forecasts of financial statements up to 2021 are estimated to evaluate the financial stability of the two educational institutions. The paper uses Monte Carlo simulation technique to examine the issue of financial sustainability. Overall the finding shows positive financial results for Majan College compared to Dhofar University. The key take away from the analysis is that educational institutions should be funded primarily by equity and not by debt to survive, sustain and provide high quality education.
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Financial & investment strategies to captivate S&P 500 volatility premium
Alexandros Garefalakis , George Alexopoulos , Michael Tsatsaronis , Christos Lemonakis doi: http://dx.doi.org/10.21511/imfi.14(3).2017.04Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 39-53
Views: 1437 Downloads: 455 TO CITE АНОТАЦІЯSo as to enhance the risk of balanced execution of their portfolios, speculators look to broaden by including new resources, new sorts of monetary instruments or even new resource classes. Like wares, volatility rose as an unmistakable resource class and included the speculation portfolios particularly by multifaceted investments.
This paper examines the volatility premium of S&P 500 record choices and contrasts with different venture methodologies in view of offering alternative structures, for example, straddles and strangles utilizing diverse measures or risk and return. The outcomes demonstrate that the speculation procedures used to catch the instability premium through offering choices structures give higher exhibitions contrasted with the S&P 500 benchmark index. -
A new method of measuring stock market manipulation through structural equation modeling (SEM)
Maruf Rahman Maxim , Abu Sadat Muhammad Ashif doi: http://dx.doi.org/10.21511/imfi.14(3).2017.05Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 54-61
Views: 1236 Downloads: 563 TO CITE АНОТАЦІЯThis paper proposes a new model of measuring a latent variable, stock market manipulation. The model bears close resemblance with the literature on economic well-being. It interprets the manipulation of a stock as a latent variable, in the form of a multiple indicators and multiple causes (MIMIC) model. This approach exploits systematic relations between various indicators of manipulation and between manipulation and multiple causes, which allows it to identify the determinants of manipulation and an index of manipulation simultaneously. The main reason of stock market manipulation comes from the fact that information availability is not universally equal. The manipulation is thus critically linked to the creation, arrival and dissemination of information or rumors/mis-information. Thus, the immediate impact of manipulation is on the time profile of returns, or excess returns, from an asset and the excess volatility of returns in excess of the volatility explained by the fundamentals. In this basic setup, the model used these two variables as the indicators of stock market manipulation. The main intuition of the MIMIC approach is that some variables, or statistics, related to peace are indicators of manipulation, while others signify effects or outputs of causal factors, or inputs, of manipulation. In other words, distinction can be made between causes of manipulation and indicators of manipulation. The causal factors used in this model are classified into five different domains namely pure economic factors as determinants of manipulation, labor market conditions, international factors, quality of governance factors and systematic risk factors.
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Profitability of commercial banks revisited: new evidence from oil and non-oil exporting countries in the MENA region
Nermeen Abdullah , Yong Tan doi: http://dx.doi.org/10.21511/imfi.14(3).2017.06Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 62-73
Views: 4277 Downloads: 1366 TO CITE АНОТАЦІЯThis paper investigates the determinants of commercial bank profitability in oil and non-oil countries of the Middle East and North Africa (MENA) region using data from 11 countries over the period 2004–2014. Since banks are under no obligation to fill reports to Bankscope database, irregular reporting banks are omitted from the sample and the model is re-estimated using only regular reporting banks, and a comparative analysis between total banks’ sample and regular reporting banks’ sample is provided. Using the two-step system GMM and fixed effects models, the results indicate that credit risk is negative and highly significant when irregular reporting banks are omitted from the sample, particularly in the non-oil group, unlike the oil countries case, which indicates that adding irregular reporting banks to the sample could lead to bias in some estimated coefficients if they constitute a considerable percentage of the total banks’ sample. Diversification is a key determinant for profitability in oil countries. No enough evidence to support the impact of financial inclusion and financial openness on bank profitability. In addition, the global financial crisis has significantly affected bank profitability in oil countries. Several policy implications are provided to the bank management to follow based on each country group.
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Orientation to finance (ORTOFIN) and its relationship with residential status
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 74-81
Views: 1070 Downloads: 192 TO CITE АНОТАЦІЯThe two of factors Orientation towards Finance (ORTOFIN) Scale tests the financial information and personal financial planning of the respondents. The Scale helps in identifying the personal financial management behavior of a general and non-specific nature. The present study was undertaken to test the relationship between status of residence and financial orientation using ORTOFIN Scale. Towards this the ORTOFIN scale was administered on 167 resident employed Indians and 62 expatriates working in Saudi Arabia. Since most of the expatriates work in unique situations that are often beset with risks, they have to face an uncertain future. This unique situation was hypothesized, would induce in them a different type of financial behavior, distinct from those who are settled and work in the home country. Results of the study, however, show that there is no relationship between the status of residence and financial orientation of the respondents. The results of the study are of great significance and of practical implication to those financial institutions with which expatriates are associated.
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The impact of microfinance on microenterprises
Sanya Olugbenga , Polly Mashigo doi: http://dx.doi.org/10.21511/imfi.14(3).2017.08Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 82-92
Views: 1517 Downloads: 1078 TO CITE АНОТАЦІЯThe provision of and access to financial services, particularly credit, can contribute greatly to the development of microenterprises in South Africa. Such provision has been an issue ignored by conventional banks or formal financial institutions. The problem associated with this ignorance includes high transaction and operation costs, lack of collateral, and the inability to obtain information about microenterprises resulting in difficulties to extend such credit. Microfinance therefore becomes an alternative to conventional banking and a mainstream and sustainable development activity for extending credit to microenterprises. However, the benefits of microfinance, which include, among others, the ability to provide the much-needed financial support for microenterprises, have not been fully harnessed in South Africa. The objective of this article is to evaluate the impact of microfinance on microenterprises in a typical South African township and to propose specialized financial mechanisms to support and improve the provision of credit to microenterprises. The article draws on the findings of a study undertaken in the Ga-Rankuwa township located in the Tshwane Metropolitan area in the Gauteng province of South Africa. It further draws on a wide range of extensive review of literature that documents the impact of microfinance on microenterprises. A case study approach is adopted and mixed method research paradigm (qualitative and quantitative) is used to gather information. Structured questionnaires and interviews were used to solicit information from the randomly selected microfinance institutions and microenterprises in the Ga-Rankuwa township.
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Company’s financial state forecasting: methods and approaches
Shynara Jumadilova , Nurlan Sailaubekov , Dana Kunanbayeva doi: http://dx.doi.org/10.21511/imfi.14(3).2017.09Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 93-101
Views: 980 Downloads: 193 TO CITE АНОТАЦІЯPlanning company’s activity is a complex process, in which foresight is of great importance. The paper presents a method to predict financial state of a company using available financial data. For the prediction of quantitative indicators of the company currently there are different ways to build predictive models, such as simple and multiple regressions, autoregressive model and others. In this paper, to predict financial indicators of the company we use econometric modeling techniques. Tools to check the time series for the seasonality and stationarity are used in constructing the models. To check the reliability of the analysis techniques applied backtesting. To apply the developed method we used the values of financial indicators of the Kazakh national oil producing company. However, the method can be used for any company despite its size, industry, and so on. Albeit the method proposed is universal one and enables to predict financial state at any company, it has certain shortcomings and should be used along with fun¬damental analysis tools. The method proposed in the paper illustrated adequate results with sufficient accuracy according to the backtesting results. Therefore, based on the results of forecasting the financial state indicators, one can conduct a financial analysis of the expected state in upcoming period and use the derived values for future planning.
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Detecting false financial statements: evidence from Greece in the period of economic crisis
Michail Pazarskis , George Drogalas , Kyriaki Baltzi doi: http://dx.doi.org/10.21511/imfi.14(3).2017.10Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 102-112
Views: 1385 Downloads: 542 TO CITE АНОТАЦІЯThe purpose of this study is the examination of the financial fraud in Greek companies, listed on the Athens Exchange for the period of 2008-2015 during the economic crisis in Greece. The data of all the listed companies that were used comprise financial statements, reviews in the reports by the auditors and the figures and information based on the reports of the Athens Exchange. A total of twelve companies were found and they comprise the primary research sample with fraud in their financial statements (FFS), while another twelve companies were employed as a control sample (non-FFS) for various comparisons. From thirty financial ratios, several statistical tests to the sample and the control sample are applied in order to create a model that will use ratios as “predictors” in the analysis of financial statements for fraud. The model is accurate in classifying the total sample correctly with accuracy rates exceeding 90 percent. The results demonstrate that the model functions effectively in detecting FFS in a period of economic crisis and could be used as a tool to the banking system, from internal and external auditors and taxation or other state authorities.
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A comparison of two models to measure business success in microinsurance
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 113-125
Views: 1032 Downloads: 283 TO CITE АНОТАЦІЯMicroinsurance is an insurance product offered to low-income earners charactrized by low profitability resulting from low premiums and high transaction costs. Insurance companies are socially challenged to also include this market segment in their portfolio of insurance products to contribute to economic development and servicing the low-income market. Business success in the microinsurance segment is, therefore, more than calculating profits. This article offers guidance to measure business success in this market. Two models were constructed to measure business success: one generalized and the other an industry specific model. These models are compared to determine which one would be the more suitable to employ as a tool to measure business success in the microinsurance industry. The analysis indicated that the generalized model is better model to use. However, the industry specific model also proves to be valuable and is more suitable for specific company applications than general industry analysis.
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The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 126-134
Views: 977 Downloads: 268 TO CITE АНОТАЦІЯThe paper deals with the spectral methods to calculate the value of the double barrier option generated by the Bessel diffusion process. This technique enables us to calculate the option price in the form of a Fourier-Bessel series with the corresponding ratio. The autors propose a simple method to estimate options using the Green’s expansion function for boundary value problem for a singular parabolic equation. Thus, the accuracy of the estimation coincides with the accuracy of the convergence of the Fourier-Bessel series.
In this paper, the authors use the spectral theory to calculate the price of derivatives of financial assets considering that the processes described are by Markov and can be considered in Hilbert spaces. In this work, the authors use the diffusion process to find derivatives prices by introducing them through the Bessel functions of first kind. They also examine the Sturm-Liouville problem where the boundary conditions utilize the Bessel functions and their derivatives. All assumptions lead to analytical formulae that are consistent with the empirical evidence and, when implemented in practice, reflect adequately the passage of processes on stock markets.
The authors also focus on the financial flows generated by Bessel diffusion processes which are presented in the system of Bessel functions of the first order under the condition that the linear combination of the flow and its spatial derivative are taken into account. Such a presentation enables us to calculate the market value of a share portfolio, provides the measurement of internal volatility in the market at any given time, and allows us to investigate the dynamics of the stock market.
The splitting of Green’s function in the system of Bessel functions is presented by an analytical formula which is convenient for calculating the price level of options.
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Government subsidy, strategic profitability and its impact on financial performance: empirical evidence from Indonesia
Aminullah Assagaf , Yusliza Mohd Yusoff , Rohail Hassan doi: http://dx.doi.org/10.21511/imfi.14(3).2017.13Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 135-147
Views: 1509 Downloads: 343 TO CITE АНОТАЦІЯThis paper examines the moderating impact of capital structure on the relationship between government subsidy, strategic profitability and financial strength of state-owned enterprises in Indonesia. A purposive sampling is used and data were collected from seven state-owned enterprises over the period of 2005 to 2016. The empirical evidence provided by this paper indicates that government subsidy has a significant negative impact on the financial strength, which means that the state-owned enterprises are difficult to manage the company independently if the government continues to provide subsidies or additional capital. This study also found that strategic profitability has a significant positive impact on the financial strength, which means there are opportunities for management to perform profitability practice of earnings management as strategic to enhance the level of financial strength of the company. However, capital structure is strengthening the relations of ‘government subsidy’ and ‘real earnings management’ with the financial strength. So far, it is still little known how ‘capital structure’ affects the relationship between government subsidy and financial strength, specifically in the case of state-owned enterprises.
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Inefficiency of pension investment regulation: case of Russia
Alexander Nepp doi: http://dx.doi.org/10.21511/imfi.14(3).2017.14Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 148-159
Views: 924 Downloads: 178 TO CITE АНОТАЦІЯInflation risks are one of the major factors faced by funded pension systems. Investment risks affect such key parameters of pension systems as the amount of pension contributions and payments. In order to limit the exposure of pension systems to such risks, governments have introduced instrumental and geographical restrictions on pension investments. These measures are particularly popular in developing countries.
This article discusses the efficiency of pension investment regulation in Russia and demonstrates the inadequacy of the current regulatory measures. Authors show that the negative investment results of pension market players were caused by inefficient government regulation. Authors also show that pension market players should be given more freedom in their investments and that instrumental and geographical restrictions should be removed. Was proposed to diversify investment portfolios into stocks traded on the leading stock markets, which would allow to increase investment returns and maintain the risk at the current level. Thus, it would be reasonable to invest 76% of funds into foreign assets, which will increase pension benefits and the replacement rate by 2.54 times. If we keep the geographical barriers but lift the restrictions on equity investments, the growth will be 1.34 times. -
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange
Shakila B. , Prakash Pinto , Iqbal Thonse Hawaldar doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.01Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 160-172
Views: 2628 Downloads: 776 TO CITE АНОТАЦІЯSemi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.
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The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia
Hao Fang , Yen-Hsien Lee , Jen-Sin Lee , Wei-Jui Chen doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.02Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 173-188
Views: 834 Downloads: 193 TO CITE АНОТАЦІЯThis study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.
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Investment capacity of the economy during the implementation of projects of public-private partnership
Oksana N. Berduygina , Andrey I. Vlasov , Evgeny A. Kuzmin doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.03Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 189-198
Views: 1162 Downloads: 475 TO CITE АНОТАЦІЯThe article considers the peculiarities of the mechanism of public-private partnership. An important problem of the research is to find an optimal ratio in the investment distribution when the arising positive externalities are maximized. In the critical literature review, the assumption was made that the balance between the market and state methods of regulation allows reaching the sustainable growth from the point of view of the use of resources. This hypothesis is developed in the analysis of the multiplicative effect through the index of GDP investment capacity. The research approach is based upon the study of the regression dependencies: multidimensional optimization is solved by the method of configurations with performing the iteration procedure. The obtained results show that the state contribution into the total investment potential of the projects of public-private partnership is traditionally low. The maximal investment capacity of the economy can be reached when maintaining the structure of investment distribution at the ratio 0.09/0.91 for the public and private sectors, respectively. The practical use of the optimization model allows to introduce the flexible mechanism of coordination of the terms of project financing.
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The prestige of stock exchanges and corporate cash holding in transition economies: a study on Vietnamese listed firms
Do Thi Thanh Nhan , Ngo Minh Vu , Pham Ha , Drahomíra Pavelková doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.04Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 199-209
Views: 999 Downloads: 221 TO CITE АНОТАЦІЯThe main purpose is to examine the relationship between corporate cash holding level and the prestige of the stock exchanges. And the other determinants in the listing requirements impact on cash holding level will be indicated. The paper uses a sample of 577 listed firms excluding the financial institutions on the Vietnamese stock exchange over the period 2007–2015. The results show that the listed firms on the stock exchange with higher prestige hold larger amount of cash reserve and vice versa. The study shows that there is a statistically significant connection between cash holding and the listing requirements such as profitability, dividend and information disclosure. The findings have implications on the cash management of listed firms in the stock exchanges with dissimilar prestige.
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Market reaction and fundamental signal in Indonesia
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 210-217
Views: 839 Downloads: 194 TO CITE АНОТАЦІЯThe random reaction in capital market by different perceptions and other factors makes it difficult for investors to get their optimum return. The objective of this study is to provide an empirical evidence about how the market will react by fundamental signal from the perspective of life cycle theory, free cash flow theory, and bird in the hand theory. The study presents the analysis of covariate for hypotheses testing with 241 firms as the sample which are listed in Indonesia Stock Exchange for period 2010–2015. This study finds that the life cycle theory and free cash flow theory are not absolute theories to explain the market reaction for any firms, because each firm has its own characteristics. The findings show that share prices shall react differently depending on each characteristics of the firm. The bird in the hand theory seems applicable in any case of firms, since the informational contents by dividend can deliver good signal to investors in capital market. Excluding the smaller and younger firms, this study proves that dividend is still a better way in determining the reaction of share prices, since each type of firms has its own types of dividend payers with different share prices.
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Tests of quantitative investing strategies of famous investors: case of Thailand
Paiboon Sareewiwatthana , Patarapon Janin doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.06Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 218-226
Views: 1347 Downloads: 650 TO CITE АНОТАЦІЯThis research studied quantitative investing strategies of famous investors in the Stock Exchange of Thailand from 2002 to 2016. This study found that the Graham’s net nets, Dreman’s contrarian, Fisher’s super stock, O’Neil’s CANSLIM, Slater’s zulu principle, Neff’s Cheapo, O’Shaughnessy’s tiny titans, Greenblatt’s magic formula, Carlisle’s acquirer’s multiple and Piotroski’s F-score strategies beat the market (SET TRI). It also found that the Benjamin Graham’s net nets strategy which used the market capitalization of less than two thirds of net current assets value (NCAV) criterion produced the highest return among the strategies used. However, the Tobias Carlisle’s Acquirer’s multiple strategy which used EBIT to enterprise value (EBIT/EV) to sort stocks for 30 stocks yielded the highest risk-adjusted return.
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The impact of the deferred tax adjustment on the Economic Value Added (EVA) measure
Melissa Naicker doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.07Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 227-242
Views: 1218 Downloads: 1869 TO CITE АНОТАЦІЯEconomic Value Added (EVA) is a value-based accounting measure used by companies to measure the amount of value created for shareholders. EVA requires the conversion of accounting values to economic values. This conversion process is known as the EVA adjustment. If accounting values are not converted to economic values, the value of the EVA can be distorted. Previous studies have shown that companies are experiencing difficulties in implementing EVA adjustments. To reduce these difficulties, companies have decided to limit their EVA adjustments to ten or even fewer. The research problem is that if the appropriate adjustments are not made, an inaccurate EVA measure will be calculated.
The aim of the research is to measure whether deferred taxes impact EVA. The study is conducted within a quantitative research paradigm. Secondary data analysis was carried out on JSE-listed food producers over a seven-year period, from 2004 to 2010. The unadjusted EVA was compared to the adjusted EVA measure to determine the before and after effects of deferred taxes on EVA. The findings of the study revealed that deferred taxes either understated or overstated the value of the EVA during the period 2004–2010. In addition, the results from the regression analysis revealed an overall significance for all deferred tax predictors. The results from the study showed that deferred tax had a significant impact on the value of EVA. Therefore, the study recommends that companies implement the deferred tax adjustment on EVA.
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The effects of the International Financial Reporting Standards (IFRS) adoption on earnings quality: evidence from Korea
Jee Hoon Yuk , Wook Bin Leem doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.08Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 243-250
Views: 1025 Downloads: 262 TO CITE АНОТАЦІЯThis study investigates whether earnings quality of Korean listed firms was substantially improved after the IFRS adoption in long-term aspect and which firms listed in KOSPI or KOSDAQ market had been more enjoyed the benefit. Prior studies related to this subject don’t provide consistent results and have a limitation of insufficiency of research periods. Therefore, this study analyzes the positive effect of the IFRS adoption in Korea using long-term based approach and comparative analysis on each Korean stock market. Furthermore, this study considered Korean specific institutional environment in which main financial statements prepared and disclosed by listed firms were changed from individual financial statements to consolidated financial statements after the IFRS adoption. Results of the study found that earnings quality of Korean listed firms had been significantly improved during 5 years after the IFRS adoption. In addition, earnings quality on consolidated financial statements of KOSDAQ listed firms has improved more than that of KOSPI listed firms. The results provide meaningful implications to evaluate the effects of IFRS adoption on earnings quality and to assess accomplishment of fundamental purpose of the IFRS adoption in Korea.
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Investment attractiveness of the port industry in crisis conditions
Svitlana Ilchenko , Ganna Glushko doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.09Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 251-260
Views: 960 Downloads: 157 TO CITE АНОТАЦІЯHistorically, the maritime industry in Ukraine, which previously was subordinated to the Ministry of Transport of Ukraine and whose successor is the Ministry of Infrastructure of Ukraine, was complex of different organizations (shipping companies, ports, ship-repairing and shipbuilding factories and other related and auxiliary enterprises). They had their own organizational structures, goals and tasks and in some way interacted with each other. Such organization was aimed, first of all, at achieving target production indicators formed by the state authorities. In fact, such structure of maritime industry can be regarded as vertically integrated. When the issue of increasing the economic efficiency of the main component of the maritime industry (of the ports) was raised, the main efforts were aimed at minimizing the costs of their functioning. This led to the creation of horizontally integrated (in whole or in part) companies in the maritime industry. The driving factor for their implementation should be the transformation of organizational and economic mechanisms of regulation of the port’s activity from the point of view of a clearly defined anti-crisis character.
Therefore, the goal of the study was to develop and justify the feasibility of using a model that will determine the effectiveness of the strategy of investment into the development of the organizational and economic mechanism of regulation of the port activity. The calculations of determining the best variant of an investment project under different external conditions are presented. In calculations based on certain criteria (appropriate levels of capitalization and effective dividend policies), we took into account the factors related to the expectations of the crisis in Ukraine, Ukraine’s unpreparedness to enter the new technological phase, the loss of scientific and technical personnel, inflationary phenomena and instability of the national and world currencies.
In addition, within the framework of the developed model, the authors propose an algorithm that makes it possible to select the characteristics and determine the parameters of optimization of the organizational and economic mechanism of regulation of the port activity under the conditions of long-term continuation of the crisis situation. -
Foreign ownership and firm-level stock return volatility in Taiwan
Yi-Chein Chiang , Ming-Han Chan doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.10Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 261-269
Views: 1008 Downloads: 259 TO CITE АНОТАЦІЯWith the increasing presence of foreign investors and their importance in the stock markets, the authors investigate the effects of foreign ownership on stock return volatility by using Taiwanese firm-level data covering a period from 1994 to 2014. The results demonstrate that foreign ownership is negatively correlated with stock return volatility during the whole sample period, the so-called stabilizing effect. For the sub-sample test, this effect is the largest during the period 2002–2007, the years following Taiwan joins WTO. However, the stabilizing effect did not exist after the global financial crisis in 2008 and recent years. The results are also robust after correcting the potential endogeneity issue.
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The role of high-yield bonds in strategic asset allocation over the Great Recession
Georgios Menounos , Constantinos Alexiou , Sofoklis Vogiazas doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.11Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 270-279
Views: 1060 Downloads: 231 TO CITE АНОТАЦІЯBy utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio.
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Evaluating the performance of the Motley Fool’s Stock Advisor™
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 280-290
Views: 2830 Downloads: 1148 TO CITE АНОТАЦІЯSince March 2002, The Motley Fool’s founders, David Gardner and Tom Gardner, have published monthly stock recommendations under Motley Fool’s premium Stock Advisor service. In this paper, the authors investigate whether analysts’ recommendations can add value for investors by examining the performance of portfolios constructed based on Motley Fool’s recommendations. They evaluate the announcement effect on share price corresponding to the publication of stock recommendations. Additionally, the researchers examine holding period returns for a portfolio imitating the actions of Stock Advisor. They find portfolios composed of recommendations through Stock Advisor added value initially upon recommendation and across extended holding periods. Additionally, the authors find that the Stock Advisor sample outperforms other sample portfolios on a risk-adjusted basis and over several subperiods. The findings contribute to the literature on the usefulness of analysts’ recommendations in adding value to investors’ portfolios.
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How financial liberalization impacts stock market volatility in Africa: evidence from Nigeria
Patrick Olufemi Adeyeye , Olufemi Adewale Aluko , Oladapo Fapetu , Stephen Oseko Migiro doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.13Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 291-301
Views: 1013 Downloads: 231 TO CITE АНОТАЦІЯUnderstanding the impact of financial liberalization on stock market is important for decision making by investors. The neo-classical economists believe that financial liberalization reduces stock market volatility while the post-Keynesian economists argue that financial liberalization increases volatility of the stock market. This study investigates the effect of financial liberalization on the volatility of an emerging stock market in Africa, with particular focus on the Nigerian stock market. The estimation results reveal that financial liberalization has a significant positive impact on return volatility, thus indicating that it increases stock market volatility. Also, the study finds no evidence of asymmetry in the stock market.
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Methods of assessment of efficiency of creating regional innovative clusters for dynamic development of economics
Raisa Kozhukhіvska , Nataliya Parubok , Nataliya Petrenko , Svitlana Podzihun , Irina Udovenko doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.01Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 302-312
Views: 1152 Downloads: 182 TO CITE АНОТАЦІЯThe deployment of a systemic economic crisis in Ukraine was conditioned by the aggravation of the socio-economic situation in certain regions and the build-up of structural deformations in the economy and the preservation of an inefficient model of production organization. This situation requires the search for a new model of economic growth, which is based on the use of competitive advantages of regions and a combination of industrial, scientific and managerial potential of the domestic economy.
Clustering is a form of internal integration that can provide both sustainability and a synergistic effect of counteracting global competition for today.
The research of the foundations of the formation of a modern cluster theory is a significant theoretical and practical interest for the further development of a successful model of cluster policy in Ukraine. In addition, the important place in this judgment is the fact that this theory is in the stage of active formation and development.
The purpose of the article is to study, analyze and develop the methods of assessment of efficiency of creating regional innovative clusters for dynamic development of economics. The article considers the methods of quantitative evaluation of clusters performance based on the analysis of effects of reducing transaction expenses, capital value, marketing expenses, innovation diffusion and employment of infrastructure in common.
It was established that the application of innovative cluster approach is one of the most efficient tools in the fulfillment of tasks of enterprise modernization and ensuring the development of innovative sectors of economy. Cluster effects for regional economies are relative and, in general, can be used for estimating total cluster effect.
The suggested variants of assessment of potential cluster effects will provide opportunities of carrying out a more complete cluster estimation and selection of the most efficient projects for increasing the efficiency of regional innovation clusters and dynamic development of economics. -
The mediating role of growth opportunity in good corporate governance-stock return relationship
Rakha Wardhana , Bambang Tjahjadi , Yani Permatasari doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.02Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 313-321
Views: 1141 Downloads: 347 TO CITE АНОТАЦІЯImproving the welfare of its owner or shareholder and maximize shareholder value through increased firm’s value should be one of the goals in establishing a company. Consequently, it becomes essential for the company to continue to increase its value in order to retain the trust of its shareholders, for instance by conducting good corporate governance (GCG). On the other hand, from the owner’s point of view, it is important to not only evaluate the corporate governance, but also to take a look at firm’s growth opportunity, because it basically reflects the management’s productivity. Studies related to the influence of corporate governance on stock return have been extensively done before. Similarly, this research is related to the influence of growth opportunity on stock return. However, it is still difficult to find studies that combine these three variables, therefore this study aims to know the influence of good corporate governance on stock return directly and indirectly through firm’s growth opportunity by using sample data of 92 observation Corporate Governance Perception index lists in Indonesia Stock Exchange for 2010–2014. The analysis method of this research is the quantitative approach by hypothesis testing through path analysis performed with SmartPLS 3.0. The direct hypothesis result showed that: (1) good corporate governance did not have a significant influence on firm’s growth opportunity while; (2) it also had a negative influence and did not have a significant influence on stock return, and (3) firm’s growth opportunity had a significant influence on stocks return. However, the indirect hypothesis result showed that firm’s growth opportunity could not mediate the relationship between good corporate governance and stock return.
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Simulative model for evaluation of investment processes in the regions of Ukraine
Ivan Blahun , Lesia Dmytryshyn , Halyna Leshuk doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.03Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 322-329
Views: 892 Downloads: 165 TO CITE АНОТАЦІЯTo analyze and evaluate the investment processes in the regions of Ukraine, it is suggested to use a simulative model that, unlike existing ones, allows to take into account the influence of macroeconomic factors and to predict the future development of the economic system of the regions taking into account their investment potential. The examination of the assessed simulative models of the investment processes in the regions of Ukraine for adequacy is carried out using the determination coefficient and Fisher’s criterion, by which the influence of the most significant economic variables of social and economic development of the regions on the investments formation is determined. Research of the investments impact on the dynamics of economic systems indicators of the regions has shown that 86% of the constructed models are adequate. The presence of statistically significant estimates of model parameters confirms the effectiveness of the proposed approach for conducting research on the analysis and forecasting of the patterns of significant indicators formation of investment activity at the regional level, as well as their impact on indicators of social and economic development.
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Analysis of Ukrainian life insurance market and its tendencies
Diana Tretiak doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.04Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 330-338
Views: 824 Downloads: 221 TO CITE АНОТАЦІЯLife insurance is the most important type of personal insurance. The paper analyzes main indicators characterizing the current state of life insurance in Ukraine and its impact on domestic insurance market in general. Trends in insurance premiums and insurance payouts are identified, and concentration of this insurance market segment is examined. Life insurance in the context of its main forms is analyzed. Solutions to the existing problems are determined and recommendations are provided to improve life insurance market in Ukraine.
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Retraction: Exchange rate intervention and trade openness on the global economy with reference to Brazil, Russia, India, China and South Africa (BRICS) countries
Desti Kannaiah , T. Narayana Murty doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.05Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 339-352
Views: 936 Downloads: 199 TO CITE АНОТАЦІЯRetracted on the 17th of April, 2020 by the Journal’s owner request dated April 12th 2020. The type of retraction – plagiarism.
The owner of the journal was asked to retract this article because of plagiarism. The request came from the author of the dissertation, which was published a year before the publication of the article. The author insisted that there was significant plagiarism in the article that could not be adjusted.
Editorial staff carried out an investigation into plagiarism in the article published. When the manuscript was submitted to the Journals for consideration, the authors signed the Cover letter and attested to the fact that their manuscript is an original research and has not been published before. After that, the manuscript was accepted for consideration by the Managing Editor and was tested for plagiarism using the iThenticate program. Plagiarism was not detected. Later, after the article complaint and the statement of plagiarism, we used all the sources and resources provided by the complainant, the article was re-tested for plagiarism, and plagiarism was established with a similarity index of 69%.
According to the results of the investigation, the editorial board decided to retract the article on April 17, 2020.
The authors were notified of such a decision and reported that they accept and do not dispute the retraction decision.
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Economic security in investment projects management: convergence of accounting mechanisms
Nataliia Ostapiuk , Oleksandra Karmaza , Mykola Kurylo , Gennady Timchenko doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.06Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 353-360
Views: 1160 Downloads: 206 TO CITE АНОТАЦІЯImplementation of business processes in Ukraine has become more structured in recent years. If previously the only goal was to get the most profitable investment and pay-off in the short term, and the attention to drawbacks and considerable riskiness of these projects was given already in case of their occurrence, now there is another management approach. Thus, the decision to attract additional funds involves a detailed analysis of the potential and existing risks of the project. The management focuses on continuous monitoring of the project implementation. Accordingly, it is necessary to develop an effective mechanism to evaluate an investment project, the effectiveness of its implementation, but from the perspective of the company’s economic security aimed at identifying and diversifying risks.
As such, the accounting system of the enterprise’s economic safety management is presented as to the investment projects execution based on the convergence of budgeting, management, financial accounting and elements of the economic analysis and control. The proposed system of investment project management is based on the definition of responsibility centers during the investment project implementation. The developed plan of actions and methods is aimed at creating effective tools for identifying risk factors and monitoring the investment projects effectiveness. Such a system provides an opportunity to operate an investment project promptly and flexibly, following clearly defined management tasks within the chosen strategy of enterprise’s economic security.
System management of investment project, which is a part of the overall business management, contributes to the achievement of goals set by the company at a given level of risks and financial performance.
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Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets
Sharif Mozumder , M. Humayun Kabir , Michael Dempsey doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.07Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 361-380
Views: 987 Downloads: 150 TO CITE АНОТАЦІЯThe authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those of a traditional tail-based unconditional extreme value (EV) approach. Using the futures data of leading markets the authors find that ES and SRM often differ in recognizing the risk profiles of different assets. While EV (extreme value) is often found to be more consistent than Lévy models, Lévy measures often perform better than EV measures when compared with empirical values. This becomes increasingly apparent as investors become more risk averse.
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Does Employee Stock Ownership Plan matter? An empirical note
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 381-388
Views: 1476 Downloads: 285 TO CITE АНОТАЦІЯEmployee Stock Ownership Plan (ESOP) is a company program to provide incentives to managers to increase shareholder wealth and to align interests between the shareholders and the management. This ESOP is one of the most effective efforts to reduce conflicts of interest between the owners and the managers. ESOP program is basically intended to provide motivation and incentives for employees, so that employees will have a sense of concern (sense of belonging) to the company. Productivity is a reflection of the level of efficiency and effectiveness of work in total in a company. Productivity becomes very important, because it can describe the performance of a company. Performance is defined as the size or level at which individuals and organizations can achieve goals effectively and efficiently. This study aims to examine the effect of ESOP variables on company performance by using productivity as a mediating variable in non-financial companies in Indonesia Stock Exchange. The sample used in this research is companies that implement ESOP in the period 2000–2015. In this study, the company’s performance is measured by using return on assets, return on equity and Tobin’s Q, while productivity is measured by using sales per employee, cash flow per employee, and total assets turnover. Based on the results, it can be concluded that Employee Stock Ownership Program (ESOP) has a positive and significant impact on productivity.
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Why do financial services companies pay dividend? Evidence from Qatar Stock Exchange
Sumathi Kumaraswamy , Bora Aktan , Zainab Hafedh Al Halwachi doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.09Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 389-403
Views: 1049 Downloads: 175 TO CITE АНОТАЦІЯThis study identifies the dividend policy determinants of banks and other financial institutions listed on Qatar Stock Exchange (QSE) for a period from 2009 to 2015 through studying the impact on eight factors on banks’ dividends per share. Three models were adopted to investigate the determinants of the dividend policy and the factors that affect a bank’s decision to pay out dividends. The findings indicate that the previous year’s dividends per share, earnings per share, cash flow per share, firm size and return on average equity are positively related to the current year’s dividends per share, as hypothesized. The study shows that the leverage position, bank’s life cycle and growth opportunities are negatively related to the dividend payment. The study also reveals that banks and financial institutions in Qatar do a bit of “earnings smoothing” when comparing the earnings figures with the cash flow.
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Investor compensation fund: an optimal size for countries with developed stock markets and Ukraine
Inna Shkolnyk , Eugenia Bondarenko , Myroslav Ostapenko doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.10Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 404-425
Views: 1222 Downloads: 212 TO CITE АНОТАЦІЯA compensation fund is an effective mechanism for ensuring the protection of individual investors’ investments on the stock market, which confirms the experience of different countries both with the developed stock market and with the emerging markets (USA, UK, France, Czech Republic, Bulgaria, Ireland, Malta).
The formation of a steady interest of individual investors in stock market instruments is stimulated by the implementation of a mechanism for guaranteeing such investments. The stock market of Ukraine faces the problem of attracting additional financing, while individual investors have fairly large amounts of monetary resources that are not involved in the transactions with financial instruments due to the high level of distrust caused by the crisis phenomena on both the global and the national financial markets. The creation of the Ukrainian compensation fund for investment protection involves the development and implementation of a nationwide system for protecting the property interests of investors on the stock market, which requires compensatory payments to the clients of all professional market participants as a result of certain risks.
The main condition for effective functioning of the compensation fund of the stock market is determined by its size, which must meet the following conditions of optimality: to ensure the minimum level of the fund’s risks, to take into account the amounts of contributions for the current period, the amount of maintenance costs and to fulfil the requirements for the financial stability of the fund. A modified Markowitz portfolio model was used to build the model.
The building of the target function and constraints was carried out by using the Statistica software toolkit. The target function and constraints were presented as polynomials of the third degree and calculated with the help of the multiple nonlinear regression. As a result of calculations, an optimization model was developed for determining the size of the compensation fund taking into account these conditions.
The model’s testing was carried out by using the examples of the Deposit Guarantee Fund (DGF) and compensation funds of the United States, Great Britain, France, Czech Republic, Bulgaria, Ireland and Malta. As a result of calculations we determined the size of the compensation fund, which guarantees a minimum level of the fund’s risk taking into account the amount of contributions for the current period, the amount of maintenance costs and requirements to the financial stability of the fund.