Capital Market Data Research Articles

Is Bowman’s paradox an empirical artifact? Evidence from Asian emerging countries

PurposeThis study aims to reconcile and address Bowman’s paradox empirical criticism from the lens of financial theory, corporate strategy and their econometric adversaries based on three issues, i.e. risk conceptualization, measurement and econometric modeling in Asian emerging countries (AEC).Design/methodology/approachThe study is conducted on panel data sampling from 2,872 firms across four Asian Emerging Countries (AEC) and employs a two-stage least squares (2SLS) estimation technique. We proposed a theoretical framework based on triangulation that outlines four risk-return relationships based on proxies derived from capital market and firm-level data and used different econometric models to answer Bowman’s paradox ongoing criticism.FindingsThe empirical results negate the empirical artifact viewpoint in AEC. The risk-return relationship estimated on firm accounting-based ratios or its combination with market-based measures supports Bowman’s paradox and thus upholds the corporate strategy point of view. Whereas the risk-return relationship based on market-based ratios upholds the financial theory point of view. However, the results are mixed when risk is subdivided into systematic and business risk. Our results are robust across standard deviation and semi-standard deviation-based measures of risk, and there is no evidence of a non-linear relationship.Originality/valueA compelling debate exists that Bowman’s paradox is an empirical artifact. We provide an innovative approach that aims to reconcile and address the ongoing debate by employing diverse risk-return proxies and econometric models in Asian emerging countries. Methodological issues such as endogeneity, sample biases, temporal fluctuations, downside risk variations, multiple moments of a variable and model misspecification are also addressed. This triangulation enhances the robustness of our analysis, providing a comprehensive perspective on AEC and laying the groundwork for future researchers to explore Bowman’s paradox through alternative measures and models.

An empirical analysis of sustainability disclosure and its impact on firm performance: a study of companies in the agriculture sector listed on the Indonesian stock exchange

Abstract The agriculture sector plays a key role in the Indonesian economy, contributing significantly to the nation’s Gross Domestic Product (GDP) and providing livelihoods to a substantial portion of the population. In the last decades, there has been an increasing appreciation of the importance of sustainability within this sector. However, research exploring the influence of sustainability on company performance within the Indonesian agriculture sector remains limited, highlighting the ongoing need for further research. This study investigates how companies in the Indonesian Stock Exchange’s Agriculture Sector use sustainability disclosure to signal their sustainability practices and how this relates to their firm performance. The sample data of this study comprised of 135 observations of 44 companies listed in the Agriculture Sector from 2020 to 2022. Research data was collected from three sources: the sustainability report, the company’s annual report, and publicly available capital market data. The research data was analysed empirically using multiple linear regression analysis. The results indicate that the relationship between sustainability disclosure and financial performance unfolds as follows: Environmental, Social and Governance (ESG) factors positively influence financial performance, as measured by ROA and Return on Equity (ROE), yet exhibit no significant impact on firm performance when measured by Return on capital employed (RoCE). However, it’s noteworthy that, apart from book value, which unexpectedly displays a substantial negative relationship with both Return on Asset (ROA) and Return on Equity (ROE), all other control variables align with our expectations. Specifically, current assets, Earnings per Share (EPS), and net profit are consistent with our positive expectations, while current debt and leverage conform to our anticipated negative results.

Big oil in the transition or Green Paradox? A capital market approach

In an environment of intensifying pressure to decarbonize, firms in the oil and gas industry have announced initiatives to reduce carbon emissions including ambitious net zero goals. Critics argue that such announcements lack substance and are mainly designed to conceal ongoing investment in fossil fuels. Given the difficulty to validate such announcements, we use capital market data to estimate the transition to a lower carbon state. Our empirical analysis reveals an increased exposure to oil price changes inconsistent with decarbonization but consistent with the Green Paradox - increased investment due to stranded asset risk. The evidence for an increased exposure to clean energy is mixed and clearly not offsetting the increased oil exposure. Canadian companies appear to be leading the transition whereas US and European companies appear to be laggards.

APPLICATION OF FUZZY TIME SERIES WITH FIBONACCI RETRACEMENT FOR FORECASTING STOCK PRICE PT. BANK RAKYAT INDONESIA

Stock can be defined as securities that indicate the ownership of a person or legal entity to the company issuing the shares. Good stocks for long-term investment are stocks that have good fundamentals and large market capitalization. The purpose of investing is to make a profit. In investing in stocks, investors need to know the risk management that can affect the ups and downs of a stock. Forecasting or forecasting is an analysis to predict everything related to the production, supply, demand, and use of technology in an industry or business. One of the forecasting methods is using fuzzy time series. The primary purpose of fuzzy time series is to predict time series data that can widely use on any real-time data, including capital market data. In this study, we will discuss the evolution of the time series model in overcoming fluctuations that often occur in stock prices by using a fuzzy time series that combines a stock analysis approach, namely Fibonacci retracement. The stock data used in this study is the close price of BBRI for October 2021 to March 2022. Forecasting results for 1 April 2022 are IDR 4660.49 with a Mean Absolute Percentage forecasting accuracy value of 1.034%.

ASSESSMENT OF THE RELATIONSHIP BETWEEN MARKET-BASED FINANCIAL SYSTEM AND GROSS DOMESTIC PRODUCT PAR CAPITA, KENYA.

This study assessed the relationship of market-based financial system development indicators and Gross Domestic Product par capita in Kenya. for the period running from 1997 to 2007. The Gross Domestic Product was as low as 1.2% in the first macroeconomic stability in the period running from 1997 to 2001 and was as high as 7.0% in the second macroeconomic stability in the period running from 2002 to 2007. Data capture was by census technique and checking of secondary material on Kenya National Bureau of Statistics(KNBS), Nairobi Security Exchange(NSE), and Capital Market Authority(CMA), Data analysis and interpretation was through descriptive statistics and inferential statistics. The financial indicators of a market-based financial system were characterised as size, activity and efficiency indicators. Stock market capitalization/GDP, private bond market capitalization/GDP, public bond market capitalization/ GDP were size indicators. Stock market total value traded / GDP was activity indicator. Stock market turn- over ratio was efficiency indicator. This study was in relation to literature review which depicts some financial indicators as being counterproductive to each other and in their contribution to GDP per capita. In the first macroeconomic stability (1997-2001), the bank based financial system was79% against 21% of the market based financial system. In the second macroeconomic stability (2002-2007), the bank based financial system was 54% against 46% of the marked based financial system. Financial indicators (Public bond capitalization Ksh.bn/GDP, Market Capitalization Ksh.bn/GDP, turnover ratio and total value traded) as significant predictor of GDP per capita and significantly correlated to GDP par capita in Kenya.

A földrajzi tér által kínált kockázatcsökkentési lehetőségek magyarországi perspektívából

This study illustrates the effectiveness of geographical diversification using mainly domestic and foreign capital market data. The paper uses twenty-five years of historical capital market prices to show how the neglect of geographical diversification results in a deterioration in investment decision-making. The study shows that even the world’s largest capital markets are worth investing in cross-border capital markets because geographical spatiality can offer significant diversification benefits.

Constructs for Assessing Integrated Reports—Testing the Predictive Validity of a Taxonomy for Organization Size, Industry, and Performance

The lack of an agreed valid measurement of integrated reporting (<IR>) among organizations poses a constant problem to empirical researchers. Lueg and Lueg proposed an <IR> score that rates and categorizes reports according to their compliance with the principles of <IR>. This study tested and validated their proposed coding catalogue, constructs, and taxonomy using capital market data and multivariate statistics. These findings suggested that this <IR> score and the corresponding taxonomy for classifying reports has a high predictive validity and can be used by future researchers to measure <IR>. In particular, this <IR> score confirmed that integrated thinking reports tend to be published by large organizations in controversial industries with an above-average performance (Adj. R2 = 42.2%). The findings also suggested that the construct form of the integrated report contributes more explanatory power than the construct content. In this regard, the results indicated that only full implementers of <IR> show associations with performance, unlike organizations that partially comply with the <IR> principles.

Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice

The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.

Disclosure of Critical Audit Matters, Audit Risk and Audit Opinion

We explore the association between the number of critical audit matters and auditing opinion based on the Chinese capital market data. In addition, we investigate the effect of audit risk on the relationship between the number of critical audit matters and auditing opinion. Using 6,662 firm-year observations listed in the Chinese capital market from 2017-2019, we find that the number of critical audit matters has significantly positive association with clear audit opinion. Specially, the greater the number of critical audit matters, the more likely getting clear audit opinion. We also find that the audit risk restricts the effect of the critical audit matters on the audit opinion. Lastly, we find that Big4 accounting firms are less likely to be influenced by the number of critical audit matters; the audit complexity restricts the effect of the critical audit matters on the audit opinion; the more board members, the less effect of the number of critical audit matters on the audit opinion. We also use several robustness tests to strengthen the conclusion. Our research may contribute to the understanding of the new audit standard.

THE IMPACT OF CORONAVIRUS ON FINANCIAL MARKETS OF DEVELOPED COUNTRIES

According to the World Health Organization, tens of millions of confirmed cases and hundreds of thousands of confirmed deaths have been registered worldwide. COVID-19, a kind of coronavirus, has emerged as one of the most serious dangers to the global economy and financial markets in human history. The Covid-19 virus's introduction has caused a global reduction in economic activity, perhaps posing new dangers to financial stability. This study aims to look into and reveal the effect of coronavirus on two financial markets. Ten advanced countries' capital market and money market data with the time interval from March 2020 to November 2020 has been used in this study. Six indices of these financial market Shares, Mutual Funds, Treasury Bills, Certificates of Deposits, Bonds, and Mortgages worked as samples. The research has been conducted on advanced nations USA, Norway, Canada, Germany, Ireland, Sweden, Singapore, Netherlands, Australia, and Switzerland. Panel Regression Analysis, Spearman's rank correlation, and ANOVA are used to estimate the study results. The scholar constructs a weekly panel data of COVID- 19 confirmed cases and financial market indices. The second purpose is to calculate the Risk on the six chosen indices of these markets. COVAR methodology is used to measure the risks among capital market and money markets indices. Interestingly, this research noticed that all financial markets impacted by the coronavirus while the capital market has recorded maximum fluctuations and the stock market show minimum volatility. The final results give a detailed understanding of financial market indices. It will support future research on other money and Capital markets indices and investors after the Coronavirus period. KEYWORDS: Coronavirus, Financial Markets, COVAR, COVID-19 Confirmed Cases. Capital Market. Money Market, Developed economies,

The Mediation Effect Firm Performance on Green Innovation and Firm Value: Evidence the Mining Industry

Global warming is currently an issue that is widely discussed of both the accounting literature and others. The topic of environmental performance is gaining increasing attention from academics and politics when it is associated with each country’s policies regarding environmental damage. Purpose: This article to investigate both the direct and indirect the effect of green innovation and firm value on financial performance as mediating variable Design/methodology/approach: The samples in this study are applied using purposive sampling ad obtained total sample of PROPER participating companies listed in Indonesia Stock Exchange during the year of 2012-2018. The data used in this study are secondary data obtained from annual report. Companies are listed on the Indonesia Stock Exchange in mining industry in 2012-2018. The variable green innovation was measured by using PROPER, the financial performance was measured by ROA and the firm value were measured by Tobin’s Q. Data processing uses SEM-PLS with WarpPLS 6.0 with the consideration that SEM-PLS is a reliable tool for testing predictive models. Several studies using capital market data in Indonesia have found data with abnormal distribution, so data using PLS is appropriate. Result of the study: The authors find that the green innovation has a positive effect on the firm value and financial performance full mediate the effect green innovation and firm value. Research limitations: this article only examines green innovation using the PROPER measure while the green innovation measure is thought to be related to company value such as ISO 14001, content analysis is not discussed at all in this article and the research sample is limited to mining companies. This scope may not be able to describe the overall conditions in Indonesia. Originality/value: This study comprehensively examines both direct and indirect effect of green innovation with financial performance and firm value, which is rarely examined in extant studies.

The COVID-19 Outbreak and Stock Market Return: Evidence from Indonesia

This study investigates the impact of Coronavirus disease 2019 (COVID-19) outbreak on stock market returns in Indonesia stock exchange. Number of positive cases, mortality, recovery, and capital market data were collected for 136 days since the first case was announced in Indonesia (2 March 2020). Panel data regression was employed to test the research hypothesis. The results show that COVID-19 has a negative impact on Indonesian stock market returns. The growth of positive case and deaths decreased the market returns. Meanwhile, the increase of recovered cases is a positive signal for the capital market but it has not contributed to the rise of stock prices and market returns.

A földrajzi diverzifikáció szerepe a globális tőkepiacokon

This study illustrates the effectiveness of geographical diversification using capital market data. The paper uses historical capital market prices to show how the neglect of geographical diversification results in a deterioration in investment decision-making. In addition, the correlations between the capital markets of the former socialist countries are presented, which in many cases can be explained by real economic processes and geopolitical events. Quantitative, real-time financial and statistical data provided by capital markets can also be used to justify the dependence systems between countries and groups of countries, but the method can also be used in many cases to show the economic and geopolitical changes between countries. The study shows how concentrated the world’s stock markets are, which means that smaller capital markets cannot separate themselves from economic events, money and capital market news, or events of the largest ones.

Economics of Technology, Securities and Capital Markets

In this survey, I focus on the economic implications of FinTech innovation for securities and capital markets. I outline the key economic issues that have emerged in this area, review the literature that has studied these issues, and discuss open questions. The survey is structured around the key technological developments that affect capital market infrastructure and data analytics. The topics include electronic trading venues and high-frequency trading, blockchain technology, cloud computing, and machine learning and artificial intelligence. We further discuss new investment and financing tools, which were enabled by recent technological advances, such as exchange-traded funds and blockchain-based assets.

품질경쟁력 우수기업의 장기성과

Quality management started from eliminating defective products in the manufacturing process to secure quality, and then developed into statistical quality control. Currently, this means a total quality management (TQM) system, in which all of a firm’s activities affecting quality are included. Many countries are aware that the competitiveness of their countries depends upon the quality competitiveness of enterprises. Countries around the world established similar national award since the United States has enacted the Malcolm Baldrige National Quality Award to improve the quality competitiveness of domestic companies. Korea also operates the national quality awards system, such as ‘National Quality Grand Award’, ‘National Quality Grand Award’ and ‘Excellent Quality Competitiveness Enterprises’. Among these awards, ‘Excellent Quality Competitiveness Enterprises (EQCE)’ has the advantage of sustainable quality improvement in that companies can conduct self-diagnoses by applying specific criteria, and companies can earn the award without duplicate restrictions. The purpose of this paper is to compare the long-run performance of the excellent quality competitiveness enterprise (EQCE) awarding companies relative to matching non-awarding companies in the Korean stock market. The contribution of this paper is as follows. Firstly, while prior studies have examined the comparison using accounting performance, this study compares economic performance. Accounting evaluation is based upon the accounting ratio, which is extracted from financial statements. Financial statements evaluate past financial status and management performance of firms. However, economic performance is based on capital market data, which is assumed to evaluate present and future performance of firms. Secondly, this paper employs stock returns as a measure of financial performance using capital market data. Moreover, current study diversifies the performance measure by using not only stock returns but also operating performance and Tobin’s Q. Thirdly, the existing studies have compared the accounting performance of the sample firms with the average accounting value of the whole manufacturing industry firms. Since a lot of empirical evidence has shown that the effect of macro-economic variables are different by industries, it is necessary to analyze the performance comparison of firms by each industry. This paper compares the performance of sample firms with those of matching firms, which are chosen according to the most similar size among which the sample firms belong. Fourthly, many previous studies have reported that investment and capital financing behaviors of companies are different by the economic expansion and contraction periods. Thus, the company performance is also likely to vary depending on the economic phases. Current study compares the financial performance of companies with matching firms by classifying the sample period according the economic phases of expansion and contraction. The samples consist of 42 EQCE awarding firms and their corresponding matching firms from 2003 to 2014. The first proxy of long-run performance is stock returns of the firm, which is commonly used in measuring firm performance. The second proxy of long-run performance is operating performance of (EBITDA/TA), where the EBITDA is the earnings before interest, taxes, depreciation and amortization, and TA is the total assets of the firm. The third proxy of long-run performance is Tobin’s Q of (MVE+PS+DEBT)/TA, where the MVE is the market value of equity, PS is the market value of preferred stock, DEBT is the book value of debt, and TA is total assets of the firm. The two-tailed T-test results of mean difference of sample firms and comparable firms indicate that the matching firms are adequately chosen to their corresponding sample firms.

Analysis of Venture Capital Investment in Therapeutic Otolaryngologic Devices, 2008-2017

This cross-sectional analysis characterizes venture capital investments in otolaryngologic devices by therapeutic area using data from a private capital market data provider from 2008 through 2017.

No-arbitrage Private Market Equity Prices and Transaction Costs: Generalized IPCPL Theory and Private Market Empirical Tests

Implied private company pricing line theory (IPCPL theory) is based on the fundamental assumption — taken from modern asset pricing theory — that no arbitrage opportunities exist between pricing of privately- and publicly-held equity. More specifically, IPCPL theory is based on the assumption that no arbitrage opportunities exist resulting from differences in equity sale transaction costs across private and public equity markets, while holding risk exposures and sensitivities constant. This study generalizes IPCPL theory to explain and predict the relationship between equity prices set under conditions where equity transaction costs differ across any market setting — including differences both within and across private and public markets — and then presents preliminary empirical evidence from private capital market data that is largely consistent with the theory.

Specifics of IFRS Adoption by Central and Eastern European Countries: Evidence from Research

AbstractThe paper reviews recent literature on the specifics of adoption of International Financial Reporting Standards (IFRS) by the new EU members from the Central and Eastern Europe. Despite being members of the EU or OECD, the transition to a standard developed economy has not yet finished. The first part of the paper presents macroeconomic statistics and capital market data, which underline a unique economic structure of the region (relative unimportance of capital markets for raising capital, strong dependence on foreign direct investments) combined with the lacks in institutional environment. Under such conditions, the economic consequences of IFRS adoption can be unpredictable and adverse. The second part of the paper analyses the reflection of specifics of the IFRS adoption in the CEE region in research studies covered by the Thomson Reuters’ Web of Science database. The analysis reveals (a) cross-country disproportion in the research coverage of the area; (b) relatively low coverage of the IFRS research focusing on these transition countries in top journals.

Specifics of IFRS Adoption by Central and Eastern European Countries: Evidence from Research

Abstract The paper reviews recent literature on the specifics of adoption of International Financial Reporting Standards (IFRS) by the new EU members from the Central and Eastern Europe. Despite being members of the EU or OECD, the transition to a standard developed economy has not yet finished. The first part of the paper presents macroeconomic statistics and capital market data, which underline a unique economic structure of the region (relative unimportance of capital markets for raising capital, strong dependence on foreign direct investments) combined with the lacks in institutional environment. Under such conditions, the economic consequences of IFRS adoption can be unpredictable and adverse. The second part of the paper analyses the reflection of specifics of the IFRS adoption in the CEE region in research studies covered by the Thomson Reuters’ Web of Science database. The analysis reveals (a) cross-country disproportion in the research coverage of the area; (b) relatively low coverage of the IFRS research focusing on these transition countries in top journals.

Corporate governance and provisions under IAS 37

PurposeThe purpose of this paper is to illustrate the extent of disclosure of provisions reported under IAS 37 provisions, contingent liabilities and contingent assets and explore the relation between provisions and corporate governance.Design/methodology/approachThe current research utilizes a panel data analysis using a sample of 1,078 firm-year observations from Borsa Istanbul between the years 2005 and 2010.FindingsOverall findings indicate that 62 percent of 1,078 firm-year observations recognize provisions, and among those, only 32 percent provide IAS 37’s full disclosure requirements. Firms that recognize provisions have larger board of directors and are more likely to be characterized with concentrated ownership and institutional owners. Also, firms with larger board of directors, greater independence and concentrated ownership have higher total provision/total debt ratios. Finally, firms that make full disclosure of provisions are more likely to have larger boards, higher ownership concentration and institutional owners and less likely to have CEO duality.Research limitations/implicationsAs with all research, there are several limitations of this study. The study suffers from a lack of literature about provisions under IAS 37. The lack of literature directly focusing on provisions or IAS 37 appears to be one of the main limitations as well as one of the main contributions. Since this study focuses on one country, the comparison is not possible. Further research may contribute to literature by the use of other emerging economy’s capital market data. Moreover, further research can cover any other mandatory disclosure information specified in IASs/IFRSs and can provide comparative results about the compliance and strictness of the mandatory disclosure regime.Practical implicationsThis study can be of interest to government, investors, business management, regulatory bodies, educators, researchers, accountants, auditors and scholars particularly in the field of accounting by seeking to make theoretical and practical contributions in the area of accounting disclosures and also serves as benchmark for future researches on corporate disclosures. Also this study provides significant insights to accounting regulators who set disclosure requirements.Originality/valueAccurate corporate reporting is a necessary tool for the short- and long-term survival of the firms, hence the capital markets. Studying the level of disclosure will enable us to have additional insights about corporate reporting and will enhance the understanding of the nature of corporate reporting in developing countries. Disclosure practices by developing countries were empirically investigated in the past; however, the relation between provisions under IAS 37 and corporate governance has been unexplored in the literature. Thus, to the best of the authors’ knowledge, this is a pioneering research on provisions and corporate governance structure.