Deviations from fundamental value and future closed-end country fund returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Luis Berggrun ◽  
Emilio Cardona ◽  
Edmundo Lizarzaburu
Keyword(s):  
Control Variable ◽  
Asset Returns ◽  
Weak Form ◽  
Share Price ◽  
Local Market ◽  
Impulse Response Functions ◽  
Content Type ◽  
Vector Autoregressive ◽  
Causality Tests ◽  
Fundamental Value

PurposeThis article examines whether deviations from fundamental value or closed-end country fund's discounts or premiums forecast future share price returns or net asset returns.Design/methodology/approachThe main empirical (econometric) tool is a vector autoregressive (VAR) model. The authors model share price returns and net asset returns as a function of their lagged values, the discounts or premiums, and a control variable for local market returns. The authors also conduct Dickey Fuller and Granger causality tests as well as impulse response functions.FindingsIt was found that deviations from fundamental value do predict share price returns. This predictability is contrary to weak-form market efficiency. Premiums or discounts predict net asset returns but weakly.Originality/valueThe findings point to the idea that the closed-end fund market is somewhat predictable and inefficient (in its weak form) since the market appears to be able to anticipate a fund's future returns using information contained in the premiums (or discounts). In particular, the market has the ability to anticipate future behaviour because growing premiums forecast declining share price returns for one or two periods ahead.

Returns and volatility spillovers among cryptocurrency portfolios

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ismail Olaleke Fasanya ◽  
Oluwatomisin Oyewole ◽  
Temitope Odudu
Keyword(s):  
Design Methodology ◽  
Asset Returns ◽  
Volatility Spillover ◽  
Content Type ◽  
Vector Autoregressive ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
Major Market ◽  
Daily Data ◽  
Variance Decompositions

PurposeThis paper examines the return and volatility spillovers among major cryptocurrency using daily data from 10/08/2015 to 15/04/2018.Design/methodology/approachThe authors employ the Dielbold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the cryptocurrency market.FindingsThe authors show that there is substantial difference between the behaviour of the cryptocurrency portfolios return and volatility spillover indices over time. The authors find evidence of interdependence among cryptocurrency portfolios given the spillover indices. While the return spillover index reveals increased integration among the currency portfolios, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.Originality/valueThis study makes a methodological contribution by adopting Dielbold and Yilmaz (2012) approach to quantify the returns and volatility transmissions among cryptocurrencies. To the best of our knowledge, little or no study has adopted the Dielbold and Yilmaz (2012) methodology to investigate this dynamic relationship in the cryptocurrencies market. The Dielbold and Yilmaz (2012) approach provides a simple and intuitive measure of interdependence of asset returns and volatilities by exploiting the generalized vector autoregressive framework, which produces variance decompositions that are unaffected by ordering.

Dynamic effect of Tobin's Q on price-to-earnings ratio

2014 ◽  
Vol 40 (6) ◽  
pp. 634-643 ◽  
Author(s):  
Vichet Sum
Keyword(s):  
Granger Causality ◽  
Dynamic Effect ◽  
Wald Test ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Causality Test ◽  
Content Type ◽  
Vector Autoregressive ◽  
Ratio Change ◽  
Pe Ratio

Purpose – The purpose of this paper is to investigate the dynamic effect of Tobin's q ratio on price-to-earnings (PE) ratio. Design/methodology/approach – The objective of this study is to investigate the dynamic effect of Tobin's q on PE ratio. To achieve this objective, a vector autoregressive analysis (Equation (1)) is employed to analyze the quarterly data from 1951Q4 to 2012Q4 to determine the generalized impulse response functions and perform the variance decomposition of Tobin's q ratio on PE ratio. The Granger causality Wald test is performed to determine if Tobin's q ratio causes PE ratio and vice versa. Findings – Based on the analysis of the quarterly market-level data from 1951Q4 to 2012Q4, the results show that PE ratio significantly drops immediately following the shock to the change in Tobin's q ratio. The results from the Granger-causality test indicate that Tobin's q ratio change causes PE ratio to drop. There is not a reverse causation from PE ratio to Tobin's q ratio change. The variance decomposition results reveal that Tobin's q ratio change forecasts about 67.53 to 67.78 percent of PE ratio at the two-quarter to eight-quarter horizons. Originality/value – Up to this point, there is not a single study in the literature investigating the relationship between Tobin's q and PE ratios. Consequently, the current study is set up to investigate the dynamic effect of Tobin's q ratio on PE ratio. A major contribution of this study is to provide empirical evidence of the dynamic effect of Tobin's q ratio on PE ratio.

Trade openness and economic development in the UAE: an asymmetric approach

2016 ◽  
Vol 43 (4) ◽  
pp. 587-597 ◽  
Author(s):  
Abdulrahman Al-Shayeb ◽  
Abdulnasser Hatemi-J
Keyword(s):  
Impulse Response ◽  
Trade Openness ◽  
Gdp Per Capita ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Content Type ◽  
Causality Tests ◽  
Per Capita ◽  
The Impact ◽  
Asymmetric Causality

Purpose The purpose of this paper is to offer a review of the trade policy in the UAE. It also investigates the dynamic interaction between trade openness and GDP per capita in this emerging economy. Design/methodology/approach The asymmetric generalized impulse response functions and the asymmetric causality tests developed by Hatemi-J are used. Findings The results from asymmetric generalized impulse response functions indicate that a positive permanent shock in the trade openness results in a significant positive response in the cumulative sum of the positive component of the GDP per capita. Such a response is not found for the negative shocks in the trade openness. Furthermore, neither a positive nor a negative shock in the GPD per capita results in any significant response in the trade openness. These empirical findings are also supported by the implemented asymmetric causality tests. Originality/value This is the first attempt that investigates the impact of trade openness on economic performance in the UAE. Unlike previous literature on the topic, this paper allows for asymmetric impacts in the empirical model.

scholarly journals The rise and fall of the energy-carbon Kuznets curve: evidence from Africa

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Olatunji Shobande ◽  
Simplice Asongu
Keyword(s):  
Carbon Emissions ◽  
Critical Role ◽  
Panel Cointegration ◽  
Kuznets Curve ◽  
Empirical Estimation ◽  
Content Type ◽  
Vector Autoregressive ◽  
Panel Granger Causality ◽  
Panel Cointegration Test ◽  
Causality Tests

PurposeThis paper provides an analysis of the energy-carbon Kuznets curve hypothesis (CKC) using a second-generation panel methodology.Design/methodology/approachSpecifically, the authors investigate whether energy consumption, natural resources and governance explain the CKC proposition. The study’s empirical strategy is based on the Westerlund panel cointegration test, augmented mean group (AMG) and vector autoregressive (VAR) panel Granger-causality tests.FindingsThe results suggest that the CKC hypothesis is incomplete without these mechanisms, as they play a critical role in reducing carbon emissions in Africa. The authors recommend improving the environmental standards and proper regulatory and monitoring systems to reduce carbon emissions and promote sustainable development in the continent.Originality/valueThe study revisits the CKC hypothesis with particular emphasis on governance and more robust empirical estimation techniques.

VECTOR AUTOREGRESSION EVIDENCE ON MONETARISM: A FOCUS ON SOME DEVELOPING ECONOMIES IN SOUTH ASIA

2006 ◽  
Vol 51 (01) ◽  
pp. 53-66 ◽  
Author(s):  
MUDABBER AHMED ◽  
U. L. G. RAO
Keyword(s):  
Time Horizon ◽  
Developing Economies ◽  
Impulse Response Functions ◽  
Policy Changes ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Causality Tests ◽  
Long Time ◽  
Variance Decompositions ◽  
Medium Time

The objective of this paper is to test the validity of two views of monetarism in Bangladesh, India, and Pakistan. A Structural Vector Autoregressive (SVAR) model is developed and the objective is accomplished by conducting Granger causality tests and estimating variance decompositions and impulse response functions. The first view of monetarism that changes in the quantity of money cause, lead and are positively related to changes in prices at least in the medium to long time horizon is supported in Bangladesh, India, and Pakistan. The second view of monetarism that changes in the quantity of money cause, lead and are positively related to changes in output at least in the short to medium time horizon is not supported. The implication of such a result is that an expansionary monetary policy only fuels prices with insignificant effects on output. It supports the view of real business cycle theorists who postulate that policy changes only affect prices.

The impact of technological progress on employment in Egypt

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Amira Mohamed Emara
Keyword(s):  
Technological Progress ◽  
Design Methodology ◽  
Developed Countries ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Skill Levels ◽  
Content Type ◽  
Vector Autoregressive ◽  
Service Sectors ◽  
The Impact

PurposeThis study aims to investigate the effect of technological progress on employment in Egypt in the period 1990–2019.Design/methodology/approachThe study applies a vector autoregressive (VAR) model and uses patents as a measure of innovation outputs.FindingsThe study concludes, as shown by impulse response functions, that a shock to patents affects employment negatively in Egypt throughout the period, as expected.Originality/valueSince there is still no decisive answer about the impact of technological progress and innovation on employment, this study attempts to contribute to this debate. Most existing studies focus on how technological change affects workers with different job types and skill levels, covering manufacturing and service sectors, mainly in developed countries, but there is still little research on its effect on employment at the macrolevel and in developing countries.

Inflation hedging and protection characteristics of infrastructure and real estate assets

2015 ◽  
Vol 33 (1) ◽  
pp. 19-44 ◽  
Author(s):  
Daniel Wurstbauer ◽  
Wolfgang Schäfers
Keyword(s):  
Real Estate ◽  
Asset Returns ◽  
Content Type ◽  
Causality Tests ◽  
Short Run ◽  
Short And Long Term ◽  
Infrastructure Investments ◽  
Real Estate Assets ◽  
Inflation Hedging

Purpose – Similar to real estate, infrastructure investments are regarded as providing a good inflation hedge and inflation protection. However, the empirical literature on infrastructure and inflation is scarce. Therefore, the purpose of this paper is to investigate the short- and long-term inflation-hedging characteristics, as well as the inflation protection associated with infrastructure and real estate assets. Design/methodology/approach – Based on a unique data set for direct infrastructure performance, a listed infrastructure index, common direct and listed real estate indices, the authors test for short- and long-term inflation-hedging characteristics of these assets in the USA from 1991-2013. The authors employ the traditional Fama and Schwert (1977) framework, as well as Engle and Granger (1987) co-integration tests. Granger causality tests are further conducted, so as to gain insight into the short-run dynamics. Finally, shortfall risk measures are applied to investigate the inflation protection characteristics of the different assets over increasingly long investment horizons. Findings – The empirical results indicate that in the short run, only direct infrastructure provides a partial hedge against inflation. However, co-integration tests suggest that all series have a long-run co-movement with inflation, implying a long-term hedge. The causality tests reveal reverse unidirectional causality – while real estate asset returns are Granger-caused by inflation, infrastructure asset returns seem to cause inflation. These findings further confirm that both assets represent a distinct asset class. Ultimately, direct infrastructure investments exhibit the most desirable inflation protection characteristics among the set of assets. Research limitations/implications – This study only presents results based on a composite direct infrastructure index, as no sub-indices for sub-sectors are available yet. Practical implications – Investors seeking assets that are sensitive to inflation and mitigate inflation risk should consider direct infrastructure investments in their asset allocation strategy. Originality/value – This is the first study to examine the ability of direct infrastructure to assess inflation risk.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

The impact of intellectual capital on firm performance: a study of Indian firms listed in COSPI

2018 ◽  
Vol 19 (5) ◽  
pp. 935-964 ◽  
Author(s):  
Neha Smriti ◽  
Niladri Das
Keyword(s):  
Firm Performance ◽  
Intellectual Capital ◽  
Value Creation ◽  
Generalized Method Of Moments ◽  
Value Added ◽  
Secondary Data ◽  
Share Price ◽  
Content Type ◽  
Listed Firms ◽  
The Impact

Purpose The purpose of this paper is to examine the effect of intellectual capital (IC) on financial performance (FP) for Indian companies listed on the Centre for Monitoring Indian Economy Overall Share Price Index (COSPI). Design/methodology/approach Hypotheses were developed according to theories and literature review. Secondary data were collected from Indian companies listed on the COSPI between 2001 and 2016, and the value-added intellectual coefficient (VAIC) of Pulic (2000) was used to measure IC and its components. A dynamic system generalized method of moments (SGMM) estimator was employed to identify the variables that significantly contribute to firm performance. Findings Indian listed firms appear to be performing well and efficiently utilizing their IC. Overall, human capital had a major impact on firm productivity during the study period. Furthermore, the empirical analysis showed that structural capital efficiency and capital employed efficiency were equally important contributors to firm’s sales growth and market value. The growing importance of the contribution of IC to value creation was consistently reflected in the FP of these Indian companies. Practical implications This study has robust theoretical grounds and employs a validated methodology. The present study extends knowledge of IC among academicians and managers and highlights its contribution to value creation. The findings may help stakeholders and policymakers in developing countries properly reallocate intellectual resources. Originality/value This study is the first study to evaluate IC and its relationship with traditional measures of firm performance among Indian listed firms using dynamic SGMM and VAIC models.

Good times, bad times: the stock market performance of firms that own high value brands

2016 ◽  
Vol 50 (5/6) ◽  
pp. 670-694 ◽  
Author(s):  
Kevin Voss ◽  
Mayoor Mohan
Keyword(s):  
Chief Executive Officers ◽  
Stock Price ◽  
Ad Hoc ◽  
Chief Executive ◽  
Share Price ◽  
Content Type ◽  
Price Performance ◽  
Stock Market Performance ◽  
Using Data ◽  
Executive Officers

Purpose The purpose of the this paper is to correct a deficiency in the published literature by examining the share price performance of firms that own high-value brands in uptrending, downtrending and sideways markets. Design/methodology/approach The authors examined stock price performance for an index of firms that owned brands in the Interbrand list of the “Best Global Brands” from 2001 through 2009 using the Fama-French method. Findings The authors’ index outperformed the Standard & Poor’s 500 when the market was up or downtrending, but not when it moved sideways. Research limitations/implications The authors find that an index of firms that own the produced better returns than the Standard & Poor’s 500 market index. Owning highly valued brands may be a marketplace signal to the investing community regarding the firm’s management acumen. Practical implications Owning high-value brands seems to influence share price performance, a metric used to judge chief executive officers. Thus, brand investments align with the shareholders’ interest. The authors help alleviate the perception (Challagalla et al., 2014) that marketing managers make investments on an ad hoc basis. Originality/value For the first time, the authors evaluate the effect of owning one or more of the world’s most valuable brands on the market value of common stock using data from downtrending, uptrending and no-trend periods. This research is also among the first to introduce volatility into the Fama-French method and it is an important explanatory variable. This paper’s approach has interesting comparisons to other papers taking a similar analytical approach.

Sign in / Sign up

Export Citation Format

Share Document