Cumulative Stock Research Articles

Does ICT Investment Affect Market Share and Customer Acquisition Cost? A Comparative Analysis of Domestic and Foreign Banks Operating in India

Competitive banks aggressively invest in information and communication technologies (ICT) to enhance their market share and reduce Customer Acquisition Costs (CAC). This study examines the impact of cumulative stock of ICT investment on (a) deposit and loan market share and (b) CAC of banks operating in India. The analysis uses a longitudinal dataset of 84 domestic and 70 foreign banks from 2000 to 2020, employing a two-step system Generalized Method of Moment (GMM). It is found that ICT investment adversely affects the market share of domestic banks, indicating a need for these banks to strategically invest more in CAC. Conversely, foreign banks are able to increase their market share through ICT investment and reduced CAC, thereby demonstrating greater efficiency in utilizing ICT. The study underscores the strategic importance of cumulative stock of ICT investment for banks. Nonetheless, it is emphasized that ICT investment must be complemented with innovative marketing strategies to enhance customer experience, reduce CAC, and increase market share. Overall, while foreign banks are able to leverage ICT to boost efficiency, domestic banks must leverage ICT to implement targeted marketing strategies and strive to enhance their customer service.

Shadow loans and regulatory arbitrage: Evidence from China

This paper examines how Chinese banks used on-balance sheet shadow loans for regulatory arbitrage and whether the financial market priced in the banks’ use of shadow loans and the resulting vulnerabilities in 2014–2022. It finds that banks chose to window dress their regulatory capital ratio by using shadow loans when their capital adequacy ratio was close to the regulatory minimum. It also shows that banks with a higher shadow loan ratio or a lower breakeven non-performing loan ratio obtained from reverse stress testing faced higher wholesale funding costs. Finally, after the announcement of a rare bank failure event, more vulnerable banks witnessed lower cumulative stock and bond returns.

Projected global mercury supply, demand, and excess to 2050 based on impacts of the Minamata Convention

There is a crucial need to understand the outlook for changes in mercury supply and demand in response to the 2017 entry into force of the Minamata Convention on Mercury. If demand exceeds supply there will be a shortage, but if supply exceeds demand there will be excess mercury, and ultimately the need to prepare for the final disposal of elemental mercury. This study estimates global mercury supply and demand from 2010 to 2050, by region, and projects excess mercury based on recent trends and consideration of impacts of the Convention. The analysis notes a downward trend in both supply and demand, but the supply of mercury from primary mining has not decreased as much as initially expected, while mercury recovery from by-products of nonferrous production has not yet been implemented extensively. Under a business-as-usual projection, there is excess supply until a shortage appears around 2030, but a surplus returns after 2035, and there is a projected excess supply of 59 tons annually in 2050. Relying on the level of mercury recovery in the nonferrous sector, global cumulative stock of excess mercury is projected at 14,439–20,943 tons in 2050.

The Value Effect of ESG Ratings during the COVID-19 - Empirical Evidence from Chinese A-Share Market

Since 2020, the scale of ESG responsible investment in China has developed rapidly, and during the epidemic, the city was affected by the closure of roads. Although it is difficult to influence consumers' choice in the product market in the short term, investors in the stock market can "vote with their feet" in a timely manner, so how do investors perceive the ESG rating of the company? What is their perception of a company's ESG rating? This paper examines the role of ESG ratings in China's A-share market during the crisis, using the Xin Guan epidemic as an entry point, and concludes that (1) ESG ratings are significantly and positively correlated with short-term cumulative stock excess returns, and that company carbon intensity plays a moderating role in ; (2) in the long run, higher ESG ratings reduce stock price volatility; and (3) the epidemic enhances the correlation between ESG ratings and company stock price volatility. correlation level between ESG ratings and company share price volatility.

Can cost‐effectiveness analysis of control measures for persistent chemicals be improved? A critical evaluation of approaches for assessing “effectiveness”

AbstractPersistence, that is the ability of a chemical to accumulate in the environment over time, is a core concern triggering regulatory action under the European chemicals legislation REACH. Due to lacking quantitative information about environmental impacts and damage costs, cost‐effectiveness analysis (CEA) has been applied for evaluating the performance of regulatory control measures. Different indicators for assessing the effectiveness of a control measure have been used, (i) the expected aggregate emission reduction, (ii) the change of the environmental mass at steady‐state, and (iii) the change of the cumulative environmental stock. This paper examines the conceptual characteristics of these indicators when being used in CEA. The analysis elaborates on an illustrative example of three persistent chemicals with different intrinsic properties. We find that estimates of aggregate emission reduction and of the change of steady‐state mass misrepresent the environmental pollution burden of persistent chemicals because they ignore the time path of pollution in the environment. This can induce misleading conclusions on the relative cost‐effectiveness of control measures and can lead to an erroneous prioritization of measures. Cumulative stock estimates, while not being equivalent to quantitative risk or impact assessment, capture the time path of pollution in environmental media and, therefore, provide an approximation of the environmental impact potential of persistent chemicals. This is a prerequisite for a concern‐driven evaluation of risk‐management measures for persistent chemicals.

Perbandingan Buyback Stock Perusahaan Swasta dan Perusahaan Badan Usaha Milik Negara (BUMN) saat Pandemi Covid-19

This study aims to analyze the differences between the Abnormal Stock Returns Trading Volume Activity of private and state-owned companies before and after the announcement of stock buybacks in the midst of the Covid-19 pandemic. The samples used were private companies and BUMN that carried out Buyback Stock during the Covid-19 pandemic. This research uses secondary data in the form of daily company stock price data, daily company trading volume data, as well as outstanding share data from private companies and BUMN listed on the Indonesia Stock Exchange. The calculation of expected return uses the Market Adjusted Model method. Testing the hypothesis using the paired sample t-test difference test. The results of this study are sig. (tailed) on the abnormal return variable, the probability value is greater than 0.05 (0.080 and 0.893 > 0.05) or the average cumulative abnormal return of private companies is greater than the average. Abnor¬¬mal cumulative stock returns of BUMN companies. On the trading volume activity variable, the results show the TVA significance value is smaller than 0.05, namely 0.043 and 0.43. so that it is stated that the cumulative average trading volume activity of BUMN companies is greater than the average cumulative trading volume activity of private companies

Momentum investing: evidence from the US tourism and hospitality

PurposeThe present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector.Design/methodology/approachThe paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were formed and evaluated by their cumulative stock returns over the past J periods and holding the position for the next K periods. In total, nine formation and holding periods were used, represented by 3, 6 and 12. For example, strategy 3–3 (that is, strategy with J = 3 and K = 3) refers to the strategy that stocks are ranked based on their previous three months and then held for the next three months.FindingsThe findings demonstrated that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US hospitality and tourism sector. These results are robust to size, different formation and holding combinations, beta and turnover.Research limitations/implicationsRegarding the research limitations, this paper only considers the US tourism and hospitality sector. Therefore, the extension of results to other developed and developing markets should be taken carefully. Also, this paper relies only on the methodology of Jegadeesh and Titman (1993). Other methodologies could be suitable avenues for future research.Practical implicationsInvestors and portfolio managers who seek for earning abnormal returns by investing in the US HT stocks can attain their hopes by constructing portfolios based on existing guidelines in the literature and adopting a short-term reversal trading strategy or by buying past losers and selling past winners of the US tourism and hospitality stocks.Originality/valueThis research contributes to the hospitality finance literature by offering the investors who are interested in the US hospitality and tourism sector an uncomplicated trading rule that uses real return data and is expected to generate actual returns. Moreover, the momentum strategy of Jegadeesh and Titman (1993) is never used in the hospitality finance literature.

Long-run expected stock returns

We predict individual stock returns over horizons from 1 month to 10 years using machine learning. Cumulative stock returns are significantly predictable in the cross-section over all horizons. One-month ahead predicted returns explain only a quarter of the variation in 10-year predicted returns, suggesting that predicted returns at different horizons follow distinct dynamics. Predictors related to turnover and volatility are influential at all horizons. Momentum, cash flow and size related predictors are mostly important at shorter horizons, while dividend yield, value and long-term reversal related predictors are more important at longer horizons.

Pandemic-induced fear and stock market returns: Evidence from China

We construct a pandemic-induced fear (PIF) index to measure fear of the COVID-19 pandemic using Internet search volumes of the Chinese local search engine and empirically investigate the impact of fear of the pandemic on Chinese stock market returns. A reduced-bias estimation approach for multivariate regression is employed to address the issue of small-sample bias. We find that the PIF index has a negative and significant impact on cumulative stock market returns. The impact of PIF is persistent, which can be explained by mispricing from investors' excessive pessimism. We further reveal that the PIF index directly predicts stock market returns through noise trading. Investors' Internet search behaviors enhance the fear of the pandemic, and pandemic-induced fear determines future stock market returns, rather than the number of cases and deaths caused by the COVID-19 pandemic.

Cobalt demand driven by the new electric vehicle sales in China: scenario analysis based on Bass model

Battery electric vehicles and plug-in hybrid electric vehicles grow rapidly and the cumulative stock of them has exceeded 5 million by 2020 in China. The trend of massive automotive electrification is expected to continue because of China's ambitious goal of carbon neutrality, for which cobalt is a critical and expensive material. Under this background, we combine Bass model and scenario analysis to project the cobalt demand driven by the new electric vehicles sales from 2021 to 2030. Results show that (1) In the next ten years, the highest annual cobalt demand comes in 2023, 2026, and 2029 under the pessimistic, neutral, and optimistic scenario, respectively; (2) under the pessimistic scenario, the highest annual cobalt demand for the 70\% market share of ternary lithium battery will reach 26.31 kt, while 39.82 kt and 60.99 kt under the neutral and optimistic scenarios, respectively. Under each scenario, the highest annual cobalt demand in the case of 70\% market share is 16.67\% higher than the 60\% market share case and 40\% higher than the 50\% case; (3) promoting less cobalt intensive battery chemistries, such as NCM811 and NCA, brings forward the peak demand two years earlier under the pessimistic scenario and one year earlier under the neutral scenario. Policy implications are provided based on these results to alleviate the supply pressure of cobalt for China.

Plastic pollution and economic growth: The influence of corruption and lack of education

Green economic growth led by technological solutions is often mentioned as a solution for mitigating plastic pollution. However, economic growth appears to be in contradiction to planetary boundaries. By developing two worldwide socio-economic models, for forecasting inadequately managed plastic waste up to the year 2050 across 217 countries and territories, we demonstrate the adverse ecological impacts of the lack of regulatory processes and educational environmental programs. We used country-by-country data from the World Bank for the model estimates. The global cumulative stock of plastic waste that is inadequately managed is predicted to increase from 61–72 million metric tons (MT) in 1990 to 5109–5678 MT by 2050. Four scenario analyses told different stories: The business-as-usual (BAU) scenario, mitigation scenario 1: Capping GDP, mitigation scenario 2: Extending education, and mitigation scenario 3: Fighting corruption. In “capping GDP,” the annual amount of inadequately managed plastic waste slightly increases and reaches 64–119 million MT/year in 2050 instead of 61–110 million MT/year in the BAU scenario. In the “extending education” scenario, the amount decreases by 34% compared to the BAU scenario in 2050. In the “fighting corruption” scenario, the amount decreases by 60%. We provide further details in the country-by-country predictions

The Stock-Bond Correlation

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock–bond correlation simply by extrapolating the historical correlation of monthly returns; they assume that this correlation best characterizes the correlation of future annual or multiyear returns, but this approach is decidedly unreliable. The authors introduce four innovations for generating a reliable prediction of the stock-bond correlation. First, they show how to represent the correlation of single-period cumulative stock and bond returns in a way that captures how the returns drift during the period. Second, they identify fundamental predictors of the stock-bond correlation. Third, they model the stock–bond correlation as a function of the path of some fundamental predictors rather than single observations. Finally, they censor their sample to include only relevant observations, in which relevance has a precise mathematical definition. <b>TOPICS:</b>Portfolio management/multi-asset allocation, risk management, statistical methods <b>Key Findings</b> ▪ The stock-bond correlation is a critical component of many investment activities, such as forming optimal portfolios, designing hedging strategies, and assessing risk. ▪ Most investors estimate the correlation of longer-interval returns by extrapolating the correlation of past shorter-interval returns, but this approach is decidedly unreliable. ▪ By applying recent advances in quantitative methods, it is possible to generate reliable predictions of the correlation of longer-horizon stock and bond returns.

The Cross-section of Long-run Expected Stock Returns

Abstract We predict cumulative stock returns over horizons from 1 month to 10 years using a tree-based machine learning approach. Cumulative stock returns are significantly predictable in the cross-section over all horizons. A hedge portfolio generates 250 bp/month at a 1 year horizon and 110 bp/month at a 10 year horizon. Individual stock returns are significantly predictable at all horizons in panel data. Cashflow and momentum related predictors are mostly important at shorter horizons while dividend yield and value related predictors are more important at longer horizons. By contrast, variables related to turnover and volatility are influential at all horizons.

Safety Assessment on Long-term Radiological Impact of the Improved KAERI Reference Disposal System (the KRS+)

The Korea Atomic Energy Research Institute (KAERI) has developed geological repository systems for the disposal of high-level wastes and spent nuclear fuels (SNFs) in South Korea. The purpose of the most recently developed system, the improved KAERI Reference Disposal System Plus (KRS+), is to dispose of all SNFs in Korea with improved disposal area efficiency. In this paper, a system-level safety assessment model for the KRS+ is presented with long-term assessment results. A system-level model is used to evaluate the overall performance of the disposal system rather than simulating a single component. Because a repository site in Korea has yet to be selected, a conceptual model is used to describe the proposed disposal system. Some uncertain parameters are incorporated into the model for the future site selection process. These parameters include options for a fractured pathway in a geosphere, parameters for radionuclide migration, and repository design dimensions. Two types of SNF, PULS7 from a pressurized water reactor and Canada Deuterium Uranium from a heavy water reactor, were selected as a reference inventory considering the future cumulative stock of SNFs in Korea. The highest peak radiological dose to a representative public was estimated to be 8.19×10-4 mSv‧yr-1, primarily from 129I. The proposed KRS+ design is expected to have a high safety margin that is on the order of two times lower than the dose limit criterion of 0.1 mSv‧yr-1.

The effect of regulating political connections: Evidence from China's board of directors ban

There is a great deal of variation in how countries regulate the relationships between politicians and public-traded firms, but little evidence about how such policies affect firm performance. In 2013, China passed a new regulation that banned politicians from serving on the boards of directors of companies. Using a novel data set that links board members, government officials, and forced resignations, I estimate the effect of the policy on firm performance and stock returns. I find that the loss of a high-level politician significantly reduces a firm’s cumulative stock return and future profits. The effect is driven by officials from government-controlled public sectors and is larger when the firm is in low-marketized areas. The analysis provides important evidence about the efficacy of a commonly used policy tool for reducing political influence in the private sector.

Pengaruh Pengungkapan Corporate Social Responsibility (CSR) dan Kinerja Keuangan Perusahaan terhadap Cumulative Abnormal Return (CAR) (Studi Empiris pada Perusahaan Manufaktur yang Terdaftar di BEI Tahun 2010-2011)

This study aims to examine the influence of corporate social responsibility disclosure and financial performance of the company to the cumulative abnormal return (CAR). The disclosure of social responsibility will be measured by Corporate Social Disclosure Index (CSDI), the financial performance is proxied to the return on equity (ROE), and the cumulative abnormal return (CAR) is a Cumulative Stock Return from April 2011 until March 2013. The analyzed database is a secondary database, which in time series form of manufacturing company in period year from 2010 until 2011. The result of statistical test shows that the corporate social responsibility has a positive and significant impact on ROE, and also ROE have positive effect on Cumulative Abnormal Return (CAR). But, the influence of corporate social responsibility to the cumulative abnormal return (ROE) is rejected.

The Stock-Bond Correlation

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual or multi-year returns, but this approach is decidedly unreliable. The authors introduce four innovations for generating a reliable prediction of the stock-bond correlation. First, they show how to represent the correlation of single period cumulative stock and bond returns in a way that captures how the returns drift during the period. Second, they identify fundamental predictors of the stock-bond correlation. Third, they model the stock-bond correlation as a function of the path of some fundamental predictors rather than single observations. And fourth, they censor their sample to include only relevant observations, in which relevance has a precise mathematical definition.

Psychological Capital: Impacts on Asset Management

Drawing together the areas of behavioral finance and positive psychology, the present research sought to investigate whether the psychological capital of investment fund managers is associated with fund performance in a context of financial instability. The theoretical propositions were presented and evaluated empirically through primary data on investment fund manager profiles and secondary data on the cumulative stock fund returns. The results indicate that funds managed by managers with greater resilience and optimism obtained a higher return than the mean profitability in a period of market instability.

Does Lead Time in CEO Succession Matter? Evidence From Planned Versus Unexpected CEO Departures

This paper investigates whether and how lead time in CEO succession matters by comparing disruption costs in firms with planned retirements to those with unexpected CEO departures due to death or illness. Using a comprehensive manually-collected dataset of CEO turnovers from 1999 to 2008, I find evidence that firms with planned CEO retirements have significantly longer lead time and lower disruption costs. Specifically, longer lead time is associated with more favorable cumulative stock performance and firm operating performance around the outgoing CEO’s departure. In fact, firms can save approximately $136 million when there is lead time to plan for succession.

The Missing Profitability Premium in China's A-Shares: Explanations Based on Profitability Predictability and Market Frictions

We find profitability measures fail to explain future stock returns of China’s A-shares. In addition, although profitability growth significantly and positively correlates with the cumulative stock return in the following year, profitability measures do not predict profitability growth, suggesting the lack of profitability sustainability helps explain the missing profitability premium. Furthermore, we also find that firms with higher profitability have lower stock price delay, are more liquid, and attract more investor attention. Because we find that investors require a premium for holding stocks with higher market frictions and that profitability measures significantly and negatively predict the component of future stock returns explained by market frictions, our results suggest that the required premium for holding stocks with market frictions may conceal the potential profitability premium. Overall, our results suggest both the unsustainable profitability and lower price delay premium of firms with higher profitability are responsible for the missing profitability premium for China’s A-shares. The policy implications of the findings are discussed.