Industry Returns Research Articles

The Russia-Ukraine Conflict, Crude Oil Price, and Transportation Industry Yield

The Russia-Ukraine Conflict had a serious impact on the economy of Russia and Ukraine and even the world, among which oil, banking, entertainment, and other industries were hit hard. Through the fluctuation of the transportation industry index during the Russia-Ukraine Conflict, this paper concluded that the Russia-Ukraine Conflict had a negative impact on the transportation industry in the short term. But in the longer term, the transport index soon leveled off. This paper finds that the global crude oil price index has a significant impact on the transportation industry only in the short term, and the fluctuation is particularly severe in the early stage of the outbreak of Conflict. This paper uses time-series model, VAR and ARMA-GARCH, to capture the impact of this external shock on the yield and volatility of transportation industry. Based on VAR estimation results, this paper finds that the VAR system we use is stationary processes. Further research finds that, through ARMA-GARCH model estimation, the change of international crude oil price will lead to the fluctuation of production of transportation industry. But this effect is delayed, which also reflects the time lag of financial market transmission. In this paper, we find that global crude oil prices have a significant impact on the inventory returns of the transportation industry in the short run. At the beginning of the conflict, returns were volatile, with the magnitude of the oscillations decreasing over time, and while the returns of the transport index were negatively affected by fluctuations in oil prices in the short term, the conflict had little impact on stock returns in the long term.

Impact of the Covid-19 Outbreak on Stocks in Hong Kong, Macau and North America - An Empirical Analysis Based on the Hospitality Industry

The WHO declared the Covid-19 outbreak a "public health emergency" in early 2020, deeming it a serious threat to the global economy. This study builds industry indices for North America and Hong Kong and Macau using weighted averages of nine well-known listed companies in North America and fourteen companies in Hong Kong and Macau with Asian representation. Based on the event study method, the impact of the Covid-19 epidemic on the stock returns of listed companies in the global hospitality industry was examined. In terms of empirical results, Covid-19 has a significant positive impact on Hong Kong and Macau hospitality industry returns, whereas Covid-19 has a significant negative impact on North American hospitality industry returns. As a consequence, the magnitude of the decline can be attributed primarily to the measures taken to control the Covid-19 pandemic. In the face of emergencies, regulators and investors can make informed decisions by studying the impact of the epidemic on capital markets.

UK, US, and China’s Stock Market Reactions to The Russia-Ukraine War: An Inspection across Industries

The Russia-Ukraine crisis is expected to have a considerable impact on the global economy. By applying the event study approach, we examine the effect of the war on the UK, the US, and China across ten major industries over different lengths of the event window around 22 February 2022. The observed significant cumulative abnormal returns (CAR) in specific industries, along with the differences between nations, are comprehensively analyzed with actual situations faced by each country. Through comparisons, the UK is concluded to be mainly more affected by the crisis than the US and China, especially in the material, information technology, and consumer staples industries. Notably, all three countries are observed to have positive and significant CARs across the event window, which provides strong evidence of the adverse impact of the Russia-Ukraine war on the global energy supply. In other industries, the harmful effects of the crisis vary from countries. This study could provide a new, broad inspection of the ongoing crisis at a macro level and a substantial information reference for policymakers.

Impact Measurement of Investment Returns: A Case Study of Coal Industry in Indian CPSEs

Investment return may be defined as a recital gauge which is used to compute the effectiveness of an investment. In addition, it helps to assess the competency of dissimilar investments at a dot of occasion. Return on investment is an endeavour to straightforwardly calculate the income of a finicky investment in relative to the outlay of its investment. In this background, the present research paper is an attempt to study the impact of investment returns of coal industry in Indian CPSEs during 2010-11 to 2019-20. Overall, the coal industry has generated positive returns in terms of ROA, ROCE, and ROE. The sub-period analysis reveals that on the average, investment returns in terms of ROA and ROCE have decreased from 1st half to 2nd half, while investment returns in terms of ROE has improved from 1st half to 2nd half of the study. Moreover, all the investment ratios (except ROCE in the 2nd half) show relatively stable performance. Furthermore, 1st half shows better consistency in ROA and ROCE as compared to that in the 2nd half, while ROE marginally shows better consistency in the 2nd half as compared to that in the 1st half. The noteworthy positive impact in ROE implies that coal industry plays a crucial position in the monetary enlargement of the Indian economy. Hence, the Govt. must take essential steps earn more returns on investment and thus helps in the economic development of the country.

The spread of COVID-19 in stock returns along global value chains

ABSTRACT This paper examines the performance of industries in the trade network in international stock markets during the onset of COVID-19. In general, the value of all industries in G20 countries declines significantly in the pandemic. Stock returns of industries in the central positions of global value chains exhibit remarkable resilience despite the economic hardship caused by COVID-19. This pattern is more pronounced when the disruptions caused by social distancing requirements are considered. We postulate that this is related to the essential services provided by the central industries.

Application of Fama-French five factor model in US clothing industry during COVID-19

During the COVID crisis, the US clothing industry has suffered a great plunge due to vast store closures and business discontinuation. People must understand in what aspects this crisis impacted on the clothing industry. This paper aims to analyze the impact of COVID-19 on US clothing industry return and risk. We used data in a one-year span before and during COVID-19, respectively, from the Kenneth French Data Library. This study applies the Fama & French 5-factor asset pricing model and adopts the multiple linear regression method for analysis. We tried to identify which factors in the model explained the COVID returns and how their explanatory power changes before and during COVID. It is interesting to evaluate that size, value, and investment factors were all insignificant before the crisis, but all turned significant during COVID-19. Also, discovering that growth stocks outperformed value stocks during the crisis was not the case before the crisis. It could be attributed to investors' speculation intent becoming stronger amid the distressing environment of the pandemic. Firms in clothing industries were investing conservatively due to a shortage in cash flows in extreme uncertainty. Small stocks performed better than big stocks during the crisis. It speculates that bigger-size firms were shattered more as they occupied greater market share and thus undertook more loss than smaller-size firms. In short, during the COVID period, small stocks, growth stocks, and conservative stocks performed more strongly and were thus more favourable to investors.

The impact of COVID-19 on cultural industries: An empirical research based on stock market returns.

The COVID-19 virus has challenged the development of the cultural industries seriously, so far, however few studies have used empirical methods to analyze the impact of the pandemic on the overall cultural industries. Based on the panel data of listed companies, this paper explores the impact of COVID-19 on cultural industries from the perspective of stock market returns. The empirical results show that the pandemic has a significant negative impact on the stock market returns of cultural industries, but the degrees of impact on various creative sub-sectors are significantly different. The findings also indicate that digitalization can effectively reduce the negative impact of COVID-19 on cultural companies, and the epidemic has bigger negative impacts on small and newly-established cultural companies. Moreover, we find that the stock market returns of cultural industries have an inverted U-shaped relationship with the daily growth in total confirmed cases and in total cases of death caused by COVID-19, indicating that the negative marginal impact of COVID-19 on the cultural industries increases firstly and then gradually decreases. Finally, implications for companies and governments are presented respectively based on the findings.

기업의 ESG 활동과 주가동조성

In this study, the effect of the level of ESG activity of companies, which is receiving worldwide attention, on stock price informativeness, is to be confirmed through empirical analysis. Specifically, in this study, the effect of ESG activity on stock price informativeness was empirically analyzed through stock price synchronicity to determine how the ESG activity performance of an individual company had an effect on the volatility of market returns and industrial returns. If investors judge a company’s ESG activities and performance as useful accounting information for forecasting future prospects, they will make investment decisions with more weight on the company’s ESG information when forming future earnings expectations. In this case, the level of stock price movement will be low due to the high explanation of the company’s ESG information. On the other hand, ESG activities and performance will facilitate the use of future vision and information for investors, which will improve the flow of information to the market, and increase information efficiency, which will improve stock price information. The research sample was December settlement companies in the KOSPI market and KOSDAQ market from 2018 to 2021, targeting non-financial listed corporations, and ESG, the main independent variable, was subjected to empirical analysis targeting KOSPI 200 ESG constituents. As a result of empirical analysis, a company’s ESG activity showed a significant positive(＋) correlation with stock price movement. This shows that ESG-active companies have high information efficiency because the unique information of individual companies is sufficiently reflected in the stock price. In other words, it can be judged that companies that actively engage in ESG activities have a high level of information environment and that sufficient information is reflected in their stock prices. The implication of this study is that it will be helpful for creditors and investors to make investment decisions by considering ESG management activities and performance information of companies as ethical management and transparency based on the results of this study. And it is expected that it will be able to induce ESG management activities of companies.

Does a firm’s geographic feature matter for stock returns? Evidence from the Chinese A-share market

ABSTRACT This study reveals a new stock return predictability that relates to firms’ geographic features in the Chinese A-share market. Using a text-based measure of the degree of localness to capture the economic ties between firms and their provinces, we find that low-localized firms are slow to incorporate local information into stock prices. Specifically, there is a significant lead-lag effect in stock returns between high- and low-localized firms in the same region, and a portfolio that exploits this pattern can generate a monthly alpha of about 1%. This effect cannot be explained by geographic or industry return momentum, investors’ inattention, and limits to arbitrage. We find that this return predictability is mainly driven by investors’ limited information-processing capacity, and the evidence of predictability is stronger among low-localized firms with highly complicated business structures.

Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective

Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.

Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion

We show that endogenous variation in risk aversion over the business cycle can jointly explain financial market responses to high-frequency monetary policy shocks with standard asset pricing moments. We newly integrate a work-horse New Keynesian model with countercyclical risk aversion via habit formation preferences. In the model, a surprise increase in the policy rate lowers consumption relative to habit, raising risk aversion. Endogenously time-varying risk aversion in the model is crucial to explain the large fall in the stock market, the cross-section of industry returns, and the increase in long-term bond yields in response to a surprise policy rate increase.

Higher moments and industry momentum returns

ABSTRACT Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data on 48 US industry return series from Kenneth French’s data library to calculate realised skewness and kurtosis and to construct double-sort trading strategies over dynamic trading horizons up to 24 months. The results reveal that the lowest-skewness group earns the strongest industry momentum returns over most trading horizons, while kurtosis is positively related to industry momentum returns. Additional testing reveals that these relations are uncaptured by the market, size, value, investment, profitability, and firm-level momentum risk factors in common asset pricing models.

Policy uncertainty sensitivity, COVID-19 and industry returns in the United States

This paper examines if industries with higher economic policy uncertainty (EPU) sensitivity also respond differently to the evolution of COVID-19 pandemic. Initially, industries are allocated into decile portfolios according to their sensitivity to the US-EPU shocks, then portfolio returns are conditioned against changes in daily cases and deaths, respectively. After controlling for the standard risk-factors of equity returns, neither the cases nor deaths can load significantly against the returns of portfolio with the highest negative EPU exposure. However, industries which respond positively to the US-EPU shocks also respond positively to increases in cases and deaths.

Economic policy uncertainty and industry return predictability – Evidence from the UK

This paper examines whether local, regional, and global policy uncertainty shocks predict the sector returns of the UK stock market. Consistent with the market integration literature, we find global policy uncertainty shock is the major predictor of sector returns. Our second contribution is that the predictability of returns is dependent on the state of the business cycle. Finally, the evidence of predictability is strongest at the 6-month horizon, revealing that the impact of policy uncertainty shocks lasts for a few months. Our findings hold even after controlling for well-known risk factors and different sub-samples of data.

Financial Inclusion in Microfinance- A Case of North East India

Microfinance has played an important role in the process of financial inclusion of the people left out by the financial system due to the unviable nature of clients and low returns for the banking industry. The present study attempts to explore the secondary data with respect to microfinance published annually by NABARD from 2008 to 2019. This study attempts to look into the trends of financial inclusion in India under the microfinance sector in North-Eastern India. The research question is” when the region has similar problems of huge infrastructure gaps, political, law and order problems, how has this sector moved over the years. This is a descriptive study on the following variables viz; bank linkage, saving, credit linkage, credit disbursement, credit outstanding, and non-performing assets of self-help groups handling microfinance.

The stock market tips

We investigate the influence of public companies on their local economies through the spending of their employees on local goods and services. Using the taxicab industry in New York City as a laboratory, we find that tips paid for taxis taken near firms’ headquarters are higher on the days the firms’ stock returns are higher. This effect is short-lived, is stronger for firms offering greater stock-based compensation, and varies across industries. In addition, tipping increases gradually following the initial public offerings (IPOs) of firms, and this increase becomes significant at the end of the IPO lock-up period. Idiosyncratic stock returns are more strongly associated with tipping than are aggregate stock market or industry returns, suggesting that the increase in tipping with stock returns is due to firm-level factors. The number of taxis taken near firms’ headquarters, too, increases with their stock returns. Additional tests suggest that these findings are non-spurious.

Инвестиционная привлекательность проектов по разработке нефтяных месторождений в условиях налогового маневра. Оценка на примере Западно-Сибирского экономического района

The West Siberian economic region remains a territory with high potential of liquid hydrocarbons production, which serve as a reserve for long-term development not only for this region, but for Russia as a whole. Experts claim that Western Siberia provides 70% of Russia’s oil production and accounts for 61% of the mineral extraction tax revenues. According to forecasts of the Ministry of Energy, if oil production is not stimulated, then by 2035 the volume of oil production will significantly reduce and budget revenue will decrease by 4.1 trillion rubles. At present, in order to increase the investment attractiveness of the industry, changes in tax and customs legislation are being introduced. However, the effects of the reforms are not obvious. Employing scenario analysis, the case method and financial modeling on the basis of publicly available information, we assess the impact of changes in tax and customs legislation on the investment attractiveness of oil field development projects. The main hypothesis of the study about the positive impact of the tax maneuver on the attractiveness of projects was partially confirmed. However, in all considered scenarios the internal rate of return does not exceed 13%. This is significantly lower than the global average rate of return for oil and gas industry. This points to the need for further adjustments to the tax and customs legislation to ensure sustainable growth and development of the oil and gas industry. The model created to assess the impact of alternative tax regimes on the investment attractiveness of hydrocarbon exploration and development projects can also be used to identify potential benefits and tax consequences for both the investor and the state.

Spillover effects and nonlinear correlations between carbon emissions and stock markets: An empirical analysis of China's carbon-intensive industries

This study analyzes the correlations between carbon emissions and related industry stock markets in China. We propose a carbon-intensive industry index firstly. According to the Spillover Index, the two markets interact and the carbon-intensive stock market acts as an information receiver in most cases. We apply the Multifractal Cross-Correlation Analysis, Detrended Cross-Correlation Coefficient, and the modified Time-lagged Detrended Cross-Correlation to characterize the nonlinear correlations between carbon allowance price returns and the stock returns of carbon-intensive industries. The carbon emission trading market is found to be more volatile and inefficient than the stock market; the properties of the carbon trading pilot explain the direction and magnitude of the nonlinear correlations. The level of intervention by the government authority affects the magnitude of correlations; the strongest dynamic return spillovers and the most persistent time-lag cross-correlations were observed in the Shenzhen pilot—the most market-oriented carbon emission trading pilot in China. The allowance allocation method plays an important role in deciding the direction of the nonlinear correlations. Our empirical results show the stock returns of carbon-intensive industries and the carbon allowance price returns were positively cross-correlated in Shenzhen and Shanghai pilots, while the cross-correlations were negative in Beijing, Guangdong, and Hubei pilots.

Practical Analysis of Long-Term Impacts of Hotels Strategic Responses and How to Overcoming in the Covid-19 Crisis?

Abstract: This study explores the interplay between public measures adopted by the governments to combat COVID-19 and the performance of the hospitality industry. Overall, our findings show that most of the government interventions were associated with a negative response in the returns of the hospitality industry, a response that became more negative as the COVID-19 pandemic evolved. The main research shows that labour actions, especially plans for temporary employment regulations, innovation and differentiation strategies, and reorientation to closer markets and obtaining information from official sources as a guarantee of their certainty, are the measures that have a greater impact on the possibilities of recovering hotel activity. In addition, government measures that contribute to the improvement of the financial situation of firms can also play a relevant role in hotel recovery. The aims to identify the possible shift in importance of hotel choice and satisfaction attributes during the Covid-19 pandemic. To explore a shift of importance, a qualitative thematical analysis was chosen. Further, guest reviews were collected from two major OTAs. The resumption of activities during and after the pandemic, comparing the COVID-19 pandemic with previous public health crises, and measuring the impact of the pandemic in terms of economics. However, the ongoing Covid-19 pandemic has decelerated and changed the hotel industry globally. For many guests, it is the first time, they travel after the hotel industry almost stopped globally, with lockdowns and curfews. A hotel company is interconnected with various partners in the supply chain, thus, the problem in hotel operation is transferred upstream the supply chain. provisions to cope with the new reality, including safety measures, technology application, quality of service, marketing communication, human resource management, and the supply chain management. Keywords: COVID-19, pandemic, hospitality industry, tourism, systematic, hotel business, safety, WHO, variants, Crisis management, Lockdown, healthcare, hotel management, AI

Do national cultures matter for tourism development? Some international evidence

This research examines whether a destination’s national culture has a substantial effect on tourism development. It focuses on six national culture proportions of Hofstede (2010). To account for probable asymmetric and non-linear associations among factors, the study tests a quantile regression by utilizing panel data from 101 nations and finds that most national cultures are non-linearly and statistically significant in explaining diverse quantiles of international traveler arrivals and international tourism receipts, whereas they do not do so for travel and leisure industry returns. We show that masculinity and indulgence negatively affect traveler arrivals, while power distance positively affects traveler arrivals.