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  • Blackwell Science Ltd
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  • 11
    Electronic Resource
    Electronic Resource
    Efficiency, Ownership and Market Structure, Corporate Control and Governance in the Turkish Banking Industry (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Turkish banks are quite heterogeneous in terms of organizational form, ownership structure, size, age, portfolio concentration, growth prospects and attitude toward risk. They also exhibit strong variations in performance as measured by several efficiency indices. In the light of theoretical advances in corporate finance and financial institutions, this paper is an in-depth cross-sectional analysis of the Turkish banking sector, which explores the various bank, market and regulatory characteristics that may explain the efficiency variations across banks. Consistent with the related hypotheses investigated, the results indicate that a number of independent bank characteristics are significantly correlated with various efficiency measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2003.05533.x
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  • 12
    Electronic Resource
    Electronic Resource
    Equity Rights Issues in Spain: Flotation Costs and Wealth Effects (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper analyses the flotation costs and the share price reaction of equity offerings in Spain. The results report a positive relationship between relative flotation costs and the underwriting of an issue, and a negative relationship between such costs and ownership concentration. Fixed flotation costs and a negative relationship with the gross offer proceeds are also observed. On average, there is a negative share price reaction on the date of the ‘previous communication’ to the Comisión Nacional del Mercado de Valores. The different sub-samples analysed according to the underwriting of the issue and the discount offered reveal no statistical differences.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2003.05302.x
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  • 13
    Electronic Resource
    Electronic Resource
    Assessing the Economic Significance of Return Predictability: A Research Note (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The predictability of stock returns is often assessed using classical statistical significance from predictive regressions. Statistical inference, however, can belie the economic importance with which investors regard various predictors. This paper examines the influence that predictors have on an investor's optimal portfolio allocations. The results show that return predictability is sufficient to induce horizon effects in optimal allocations. After incorporating estimation risk, however, little evidence of predictability remains. We also assess the relative importance of three predictor variables. While dividend yield is the most important predictor, optimal allocations are also sensitive to the term spread and the relative bill rate.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2003.05482.x
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  • 14
    Electronic Resource
    Electronic Resource
    Deflators, Net Shareholder Cash Flows, Dividends, Capital Contributions and Estimated Models of Corporate Valuation (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2003.05514.x
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  • 15
    Electronic Resource
    Electronic Resource
    Voluntary Disclosure of Nonproprietary Information: A Complete Equilibrium Characterization (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The so-called disclosure principle is a ‘puzzle’ in the accounting literature: Game theoretic models of financial markets show that in equilibrium firms should disclose all their private information. Yet, the result is not convincing. Researchers have therefore built sophisticated models in order to demonstrate for which reasons the disclosure principle might fail. This note shows that even in the original model there are multiple equilibria. In those equilibria good types disclose and bad types do not. The commonly known full disclosure equilibrium is a limit point of the equilibrium set.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2003.05494.x
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  • 16
    Electronic Resource
    Electronic Resource
    Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper analyzes stock returns and volatility relations between the Istanbul Stock Exchange (ISE) and the global market as represented by stock markets in the US, the UK, Japan and Germany. Results from monthly data and multivariate cointegration tests suggest that the ISE became significantly integrated in the global market only in the period following market liberalization in late 1989. We also find evidence based on GARCH estimations that capital liberalization actually mitigated, rather than intensified, volatility in the ISE. Our results further suggest that the Asian crisis in mid-1997 and the consequent Russian economic meltdown in mid-1998 are partly responsible for the recent excessive volatility in the Turkish market. The results also identify the US and the UK markets as dominate sources of volatility spillovers for the ISE, even in the period following the Asian-Russian crises. Consequently, it appears that the two matured markets of the US and the UK shoulder significant responsibility for the stability and financial health of smaller emerging markets like the ISE.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05499
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  • 17
    Electronic Resource
    Electronic Resource
    On the Use of the Log CAR Measure in Event Studies (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Cross-sectional averages of log returns have been used to measure shareholder wealth effects in several event studies. No adequate explanation of the implied portfolio strategy has ever been provided in the literature. We argue that the method is biased or does not portray a realistic portfolio strategy. It should therefore be used with caution in the event-study' literature.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05487
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  • 18
    Electronic Resource
    Electronic Resource
    The Time Series Properties of Financial Ratios: Lev Revisited (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper re-evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non-linear mean-reverting processes. Financial ratios are widely employed as explanatory variables in accounting and finance research with applications ranging from the determinants of auditors’ compensation to explaining firms’ investment decisions. An implicit assumption in this empirical work is that the ratios are stationary so that the postulated models can be estimated by classical regression methods. However, recent empirical work on the time series properties of corporate financial ratios has reported that the level of the majority of ratios is described by non-stationary, I(1), integrated processes and that the ratio differences are parsimoniously described by random walks. We hypothesize that financial ratios may follow a random walk near their target level, but that the more distant a ratio is from target, the more likely the firm is to take remedial action to bring it back towards target. This behavior will result in a significant size distortion of the conventional stationarity tests and lead to frequent non-rejection of the null hypothesis of non-stationarity, a finding which undermines the use of these ratios as reliable conditioning variables for the explanation of firms’ decisions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05201
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  • 19
    Electronic Resource
    Electronic Resource
    Cross-sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this paper we examine the stationarity of all the rates comprising the USD, GBP, DM and JPY spot and forward term structures. Instead of focussing on short maturity interest rates, as most other papers do, we perform a detailed analysis of the whole range of spot and forward interest rates of the 4 main currencies. We investigate the issue of stationarity within the framework of an equilibrium interest rate model such as Vasicek (1977), that defines the cross-sectional and time series properties that interest rates of various maturities must satisfy. We show that within a one-factor interest rate model, such as Vasicek, all interest rates are restricted to exhibit the same mean reverting behaviour. This restriction allows us to apply more powerful panel unit root tests. This methodology increases considerably the number of observations available and as a result the power of the unit root tests. The higher power of these tests allows us to demonstrate that there does exist mean reversion on the spot and forward US interest rates and the forward DM and GBP interest rates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05364
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  • 20
    Electronic Resource
    Electronic Resource
    Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper addresses the important relationship between stock index and stock index futures markets in an international context. By simply examining the spot-futures relationship within a single country as most of the extant literature does and thus ignoring possible market interdependencies between countries, the dynamics of price adjustments may be misspecified and thus findings misleading. The main contribution of the paper is to improve our understanding of the pricing relationship between spot and futures markets in the light of international market interdependencies. Using a multivariate VAR-EGARCH methodology, the paper investigates stock index and stock index futures market interdependence, that is lead-lag relationships and volatility interactions between the stock and futures markets of three main European countries, namely France, Germany and the UK. In addition, the paper explicitly accounts for potential asymmetries that may exist in the volatility transmission mechanism between these markets. The main conclusions of the paper imply that investors need to account for market interactions across countries to fully and correctly exploit the potential for hedging and diversification.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.05409
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