Search

Purpose: Using agency theory and impression management theory, this study examines the impact of financial performance (FP) and corporate governance (CG) mechanisms on the extent of intellectual capital disclosures (ICDs) and the three components within the CEO statement – human capital (HC), structural capital (SC) and relational capital (RC). Design/methodology/approach: This study employs a sample of non-financial SPF-120 French listed firms to capture the relevant variables; it collects data for 2010–2017, using a panel data technique to run the random effects regressions. Findings: The study finds that FP, measured using both market (Tobin's q) and accounting (return on equity and return on assets) indicators, plays a vital role in the extent of ICDs and the three components in the CEO statement published by SPF-120 companies. This confirms its impact on the decision-making needs of stakeholders. Among the CG mechanisms, this study finds that cultural diversity and gender diversity affect some ICD components. Moreover, CEO characteristics such as age, education and role duality affect ICD, while institutional ownership drives the extent of such disclosures. Practical implications: Our findings have comprehensive implications for managers of French listed firms, the Autorité des Marchés Financiers, and stakeholders in general. Originality/value: This study provides significant insights by investigating the impact of FP, CG and company characteristics on the extent of the ICDs published in CEO statements. [ABSTRACT FROM AUTHOR]

Purpose: The present study sought to investigate whether tax management influences the cost of equity of Brazilian companies listed in Brazil, Methodology: The study included the analysis of the Proxie Book-Tax Differences (BTD) as a tool for identifying tax management, as suggested in the work of Moreira e Silva (2019), as well as the control variables, which are the return on equity (ROE), market value (QTOBIN), company size (LNAT) and company financial leverage (ALV). For data collection, the Bloomberg® database and the Reference Form available on the B3 website were used. For that, it was used the Multiple Linear Regression of the data type in balanced panel, resulting in a final sample formed by 630 observations. Results: Through the BTD proxie, referring to the difference between accounting profit and tax profit, and used to capture tax management in this research, it was not possible to identify any relationship with the cost of equity. Thus, for the purposes of this research, the theoretical adequacy and the statistical models used did not show that good tax management practices have a positive or negative effect on the cost of equity. Contributions of the Study: It is observed that Brazilian studies did not analyze the effect of tax management on the cost of equity in Brazilian companies using the Book-Tax Differences (BTD) indicator as a tool for identifying tax management and its influence on the cost of capital. So, this research followed the recommendation suggested by Moreira e Silva (2019), to analyze this cost with another indicator, in this case, Book-Tax Differences (BTD). According to the results, it was not possible to identify any relationship with the cost of equity, thus contributing to the consolidation of the findings by Goh et al. (2016) and Moreira e Silva (2019) who present CashETR as the best metric for tax management, given that the results presented using the variables ETR and BTD, demonstrated that the cost of capital required by investors was unrelated to the fiscal aggressiveness of companies. Bolsa e Balcão (B3) in the period from 2014 to 2018. [ABSTRACT FROM AUTHOR]

This paper investigates six different equity pricing factors' performance in explaining the diversely constructed equity portfolio returns in Turkish markets between 2000 and 2018. For this purpose, we perform time-series regressions of the test portfolio returns formed by different methods on six equity pricing factors based upon market return, firm size, book-to-market ratio, operating profitability, investment, and momentum variables. The results are fivefold. First, even after controlling for six factors, we observe that some portfolios still have abnormal returns. Second, all test portfolios have high sensitivities to the market factor. Third, the portfolios incorporating small companies are more sensitive to SMB factor than portfolios incorporating big companies. Fourth, the significance of HML, RMW, and CMA factors in explaining portfolio returns depends heavily on how the test portfolios are constructed. Finally, the WML factor is not statistically significant in explaining the test portfolio returns; however, this finding can be explained by the fact that the momentum return has not been used as a ranking variable when constructing the test portfolios. [ABSTRACT FROM AUTHOR]

Research background: The role of supplementary pension systems in providing adequate income in old-age is increasing significantly. They are frequently analysed, but rather in terms of architecture, product forms, assets under management or tax incentives than in terms of their efficiency, costliness or readability for individuals. Purpose of the article: The first aim of this paper is to evaluate individual retirement products in Poland regarding their linguistic readability and transparency, investment efficiency and costliness. Moreover, we examine whether there is any correlation between the analyzed characteristics of contracts that would suggest an intentional strategy by financial institutions to hide low efficiency and high costs. The second aim of the article is to assess which individual retirement products are similar to each other and which are significantly different. The research covers two types of individual retirement products (IKE and IKZE) offered at the beginning of 2017. Methods: We used the 'Jasnopis' linguistic analysis tool to assess the difficulty level of the language used in the contracts and we conducted desk-research to analyse their transparency. We indicated the costliness and efficiency of the products by calculating the 5-year cost ratios and real average 5-year rates of return. To examine the relations between the characteristics of pension contracts, we used the Spearman's rank correlation coefficient and then verified its significance with a non-parametric test. Moreover, to identify groups of products that are similar to or different from each other, Ward's method was used. The study includes nearly 90% of all individual retirement products offered in Poland. Findings & value added: For both types of retirement products studied (IKE and IKZE), we found that the more readable a contract is, the higher its rate of return is and the higher the costs charged are. Moreover, the more readable a contract is, the more transparent it is. The findings of the study provide financial institutions, the supervisor and creators of social policy with information on market imperfections and recommendations how to improve the individual retirement products offered on the market. Our research makes a unique contribution to the multidimensional research of supplementary pension systems. It also develops the understanding of how to successfully use linguistic tools in complex analyses of financial services. The results of the hierarchical cluster analysis proved that both IKE and IKZE products differ substantially and their features generally do not depend on the type of the financial provider. [ABSTRACT FROM AUTHOR]

Purpose - This paper aims to examine the relationship between cash holdings (CH) and expected equity return in a sample of firms of Pacific alliance countries. Design/methodology/approach - This paper constructed a panel of Pacific alliance firms for the period ranging from 2010 to 2016. This paper estimated different specification models using multivariate regression, and the statistical technique used to validate the hypothesis was panel data. Findings - Results showed that there is a positive relationship between CH and expected equity return (r). The relationship between CH and systematic risk (ß) was estimated and this paper found a positive and statistically significant association. Findings suggest that corporate liquidity contains underlying information that contributes to explain the expected equity return, which, if ignored, can produce quite misleading results. Originality/value - The results of this study have both academic and practical implications. First, the findings of the research contribute to a better understanding of the asset pricing models in emerging countries. On the other hand, the results obtained in this study can serve shareholders to make better estimations of the expected equity return, so investors can improve the risk-return trade-off due to the model allow a better estimation of the risk-return relation. [ABSTRACT FROM AUTHOR]

Profitability is important for insurance companies as it is indicator of whether they are able to continue their activities and fulfill their obligations to policyholders. The aim of this study is to find out most important firm-specific and macroeconomic variables affecting profitability of non-life insurance companies in Turkey. The study for non-life insurance companies covers the period between 2006 and 2017 for 21 companies. ROA is used as measure of profitability. According to the fxed effects panel data model results: there is statistically significant positive relationship with size, liquidity, investment yield, age, GDP growth rate, interest rate and profitability while there is negative relationship with premium growth rate, loss ratio, leverage ratio, solvency and profitability. [ABSTRACT FROM AUTHOR]

In these past two centuries, capitalism has driven substantial economic growth. However, this growth has not been responsible for the "thrivability" of our planet in terms of society and the environment. This economic model now threatens the continuation of the human species on planet Earth. In 2015, The United Nations created a paradigm shift. All the countries committed to reach 17 Sustainable Development Goals (SDGs) by 2030. Trillions of dollars are going to be invested annually in these goals. But a question remains as to how we can obtain the necessary funds. Long-term pension and insurance funds (including social security) are the perfect candidates: they need long-term investments to back up their commitments. A perfect match! Alas, each dollar invested in the SDGs will not bring high yields, because of "externalities" that are not taken into account. The prospective investor only receives economic profits, while others (government or the public) get the environmental and social benefits. The SDGs represent more than just economic goals, therefore, a dialogue with the capitalist model cannot happen. It will only work if there is an approximation, or new factors/metrics, incorporated into that model that can translate social and environmental benefits into monetary terms. If the SDGs become the business of governments, then they could facilitate an approximate solution. Governments must do this, as they manage the SDGs, and the regulation. If each country issues a special long-term bond which can cover SDG investments with a high yield, it may suffice to return a pension or a social security to the entire population. The cost of the plan is the difference between the rate of the bond yield and the return to the owner of said bond. National accountants know how to make this happen. This way, we finance the SDGs, and create a pension and jobs for millennials and future generations. [ABSTRACT FROM AUTHOR]

This article seeks to contribute to the existing critical debates on money and debt by advancing three main arguments. First, largely due to such debates' tendency for description, the article argues that in in the heterodox literature on money and debt there is no convincing critical theory of money creation. For this reason the authors introduce the theory of capital as power and how it can help us theorize the consequences of present money creation. Second, the authors demonstrate how the capitalization of money creation by a minority of investors not only leads to the political chase for unsustainable economic growth, but also how there is a differential distribution of interest upwards that helps generate greater economic inequality in the United States. Third, they argue that in an era of declining growth, dominant owners of capital seek to recapture their expected return on investments by extracting a greater share of the national income from the vast majority of citizens through a fiscal politics of austerity. [ABSTRACT FROM AUTHOR]

Noncommunicable diseases (NCDs) are a broad challenge for decision-makers. NCDs account for seven out of every 10 deaths globally, with 42 percent occurring prematurely in individuals under age 70. Despite their heavy toll, NCDs are underfunded, with only around two percent of global funding dedicated to the disease set. Country governments are responsible for funding targeted actions to reduce the NCD burden, but among other priorities, many have yet to invest in the health-system interventions and policy measures that can reduce the burden. This article examines “investment cases” as a potential mechanism for catalyzing attention to—and funding for—NCDs. In Jamaica, using the UN inter-agency OneHealth Tool, we conducted an economic analysis to estimate the return-on-investment from scaling up strategic clinical interventions, and from implementing or intensifying policy measures that target NCD risk factors. In addition, we conducted an institutional and context (ICA) analysis, interviewing stakeholders across sectors to take stock of promising policy pathways (e.g., areas of general consensus, political appetite and opportunity) as well as challenges to implementation. The economic analysis found that scaling up clinical interventions that target CVD, diabetes, and mental health disorders, and policy measures that target tobacco and alcohol use, would save over 6,600 lives between 2017–2032, and avert JMD 81.3 billion (USD 640 million) in direct and indirect economic costs that result from mortality and morbidity linked to NCDs. The ICA uncovered government economic growth targets and social priorities that would be aided by increased attention to NCDs, and it linked these targets and priorities to the economic analysis. [ABSTRACT FROM AUTHOR]

The following is one of many concluding sections from the whole system book 'Global System Change: A Whole System Approach to Achieving Sustainability and Real Prosperity'. The foundation for the strong positions taken here is established in more detailed and heavily referenced sections earlier in the book. Global and national financial systems strongly contribute to major problems, including concentration of wealth, unemployment and environmental degradation. Excessive speculation and high equity returns degrade society in many ways. This section summarizes important actions needed to implement a sustainable financial system that serves and truly benefits society. Non-judgment is a key system change principle emphasized throughout the book. The criticism in this section and throughout the book is never focused on individual leaders. It always is on the flawed economic and political systems that compel well-intentioned leaders to take actions that harm the environment and society. [ABSTRACT FROM AUTHOR]

Franklin Templeton Investments is a worldwide asset management company that provides services to clients in more than 170 countries. Unlike investment funds, mutual funds do not have legal personality, therefore they are merely baskets that associate assets. High past equity returns are not a guarantee of future earnings. Individual funds are often praised for the positive results they have achieved in the past, but even experienced portfolio managers cannot guarantee future returns despite their past successes in the market. The main purpose of this paper is to compare the competitiveness of Franklin Templeton fund managers. Among the time-tested indicators and suitable markers for our research on the validation of an active mutual fund with its benchmark index, the information ratio and sharp ratio have been included in the present study. Recent studies suggest that fund managers cannot achieve better results than those set in their benchmark. Managers do not utilize a simple set-up with a given portfolio, and thus their competitiveness would seem to compare unfavorably to results achieved by so-called passive investment. It can be noted that over the course of 15 years, the longest single time period that was analyzed, out of 22 equity funds, only four sets of results exceeded the benchmark. However, if regular fees are also taken into consideration to reflect more pragmatically the benefits for the investor, none of the funds analyzed in the present study failed to overcome the set benchmark during this period. [ABSTRACT FROM AUTHOR]

In this paper, I aim to explore the effect of good governance on equity returns, and empirically investigate if governance at the country level has asset pricing implications and contributes to the idiosyncrasy of price jumps. Jumps are found to be far less systematic than the smooth (non-jump) component of country price indexes. Hence, if jumps are more idiosyncratic, governance should primarily affect the jump risk component. This is good news for international investors, because diversification provides insurance against jumps. Relying on an equilibrium asset-pricing model in an economy under jump diffusion, I decompose the moments of the returns of international stock markets into a diffusive (systematic) risk and a (idiosyncratic) jump risk part. For a balanced panel of 52 countries, my results suggest that governance is an important determinant of (idiosyncratic) jump risk. Stock markets in poorly governed countries are characterized by higher volatility and more negative return asymmetry, primarily driven by the higher jump risk. Regulatory quality, the government effectiveness and the control of corruption appear to be most important. Results are robust to the inclusion of various controls for other country- or market-specific characteristics. [ABSTRACT FROM AUTHOR]

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibility multiperiod mean semiabsolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with the return rate on a risky asset by its credibilitic expected value and semi- absolute deviation. Since the proposed model is a nonlinear dynamic optimization problem with path dependence, we design a novel forward dynamic programming method to solve it. Finally, we provide a numerical example to demonstrate the performance of the designed algorithm and the application of the proposed model. [ABSTRACT FROM AUTHOR]

This project has been conducted at the Dairy Products Company of Ciego de Avila, with the purpose of estimating the investment necessary for a new line for the production of yogurt, based on an alternative that contributes to reduce heat losses, energy consumption and risks to the safety and health of the job. The new technological flow proposed, based on a new microlocalization, is viable and projects favorable criteria of effectiveness, economic efficiency of the investment and distribution in plant. The new distribution of the production line implies a technological investment that amounts to 118 349.5 pesos. The economic indicators of the inversion's efficiency, estimated for a 10-year scenario and less favorable prices of products, are competitive, reporting a net present value of $ 36 019.05, a positive amount, and an internal rate of return of 10.09%, higher than the interest rate of the National Bank of Cuba. [ABSTRACT FROM AUTHOR]

R3 has built a global consortium to focus on the application of distributed-ledger technology (DLT), which can help banks combat low return on equity and alleviate pressure on their operating costs. The authors explain the conditions that led to interest in DLT and introduce Corda, R3’s shared ledger for recording and managing financial agreements. [ABSTRACT FROM AUTHOR]

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk. [ABSTRACT FROM AUTHOR]

Research background: The liquidity of assets in the financial market is understood generally as costs, and the easiest way in which different types of assets can be converted into cash, or to put it simply, sold at the currently available price on the market. For a considerable period of time this category had not been duly considered in the framework of modern finance theory. As a result, a number of basic models constructed within the framework of this theory in its classical form did not include problems with liquidity. This applies to a number of aspects related to liquidity, with one of the most important being the relationship between the liquidity of trading in shares and the results obtained from these rates of return. Purpose of the article: The aim of the article is to determine whether the rate of return on shares increases with the increase in share liquidity and the incremental rate of return on this account decreases with increasing liquidity. The applied research methodology is similar to that described by Pastor and Stambaugh (2003). The model used in the empirical study is the expanded model of Fama and Francha (1993) for the liquidity factor. Methods: In this paper I present various factors which will affect the liquidity. The paper will also provide the results of research concerning the relations between spread and stock return on the Warsaw Stock Exchange (WSE). The evidence drawn from WSE stock returns over the period 2004-2012 indicates that Amihuda measure and other variables have a significant effect on stock return using the multifactorial Pastor-Stambaugh model. Findings & Value added: In the case of the Polish market, it can be stated that in the analysis based on the Pastor-Stambaugh model not all the variables included in this model are statistically significant. However, directional parameters associated with liquidity risk were statistically significant in all analyzed periods, which allows us to confirm the hypothesis that liquidity has a significant influence on the rate of return on shares listed on the Stock Exchange in Warsaw. [ABSTRACT FROM AUTHOR]

This paper analyses the relation between firms' life cycles stages according to Dickinson's (2011) definition and accounting and financial ratios. We applied multinomial logistic regression analysis on a sample of 1,515 observations of public companies listed on BM&FBOVESPA between 2005 and 2012. Based on the literature about firms' life cycle stages (YAN; ZHAO, 2010; MILLER; FRIESEN, 1984; FAMA; FRENCH, 2001) the accounting and financial ratios used were dividends distribution, leverage, market-to-book, return on equity, firm size and revenue growth. The results show that leverage, dividends distribution, market-to-book, return on equity, firm size and revenue growth could be used as explanatory factors to classify firms' life cycle stages. [ABSTRACT FROM AUTHOR]

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples. [ABSTRACT FROM AUTHOR]

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant. [ABSTRACT FROM AUTHOR]

Financial decisions are among the most important life-shaping decisions that people make. We review facts about financial decisions and what cognitive and neural processes influence them. Because of cognitive constraints and a low average level of financial literacy, many household decisions violate sound financial principles. Households typically have underdiversified stock holdings and low retirement savings rates. Investors overextrapolate from past returns and trade too often. Even top corporate managers, who are typically highly educated, make decisions that are affected by overconfidence and personal history. Many of these behaviors can be explained by well-known principles from cognitive science. A boom in high-quality accumulated evidence–especially how practical, low-cost ‘nudges’ can improve financial decisions–is already giving clear guidance for balanced government regulation. [ABSTRACT FROM AUTHOR]

Summary Global food markets demand adherence to food standards by farmers in developing countries, such as GlobalGAP and organic certifications. This paper analyzes the adoption and profitability of certified farming, using farm-level data of 386 Ghanaian small-scale pineapple farmers. We employ an endogenous switching regression model to examine the adoption and impact of organic certification on the return on investment (ROI) in pineapple farming. The empirical results indicate that both organic and GlobalGAP certification achieve a positive ROI. However, organic-certified farming yields a significantly higher ROI than GlobalGAP-certified farmers, mainly due to the price premium on the organic market. [ABSTRACT FROM AUTHOR]

Ecological rehabilitation is subject to a variety of risks affecting the likely return on investment. We propose an options approach to allocating scarce conservation funds that explicitly allows for the irreversibility of investment and risks to investment payoffs. The approach captures ecosystem dynamics from extinction debt, as well as ecological and climatic risks at the project scale. Climatic risks are introduced through three channels: the effects of climate change on species loss, future rehabilitation benefits and frequency of catastrophic events. Our results suggest that allocating voluntary rehabilitation contracts on the basis of real options criteria increases cost-efficiency and delivers greater value for money for the Government when compared with the conventional cost-effectiveness criterion as it is illustrated for the case of Box Gum Grassy Woodland rehabilitation in Australia. [ABSTRACT FROM AUTHOR]

The article focuses on study related to estimation of financial return on a veterinary education. Topics discussed include tangible and intangible benefits provided on practicing veterinary medicine, estimation of financial return by estimating net present value and return on investment and estimation of age-earnings profiles difference between veterinarians and college graduates to calculate cost of education.