Large Market Value Research Articles

Empirical Study and Reflection on the Impact of COVID-19 Pandemic on Chinese A-share Market--Based on Fama French Five-factor Model

The COVID-19 pandemic has caused severe imbalances in the global economy and intensified stock market turmoil worldwide. Based on Fama-French five-factor model, this paper studies Chinas A-share market changes before and after the epidemic. The stocks treated by ST (special treatment) and * ST (delisting warning) are screened, excluding companies and banking stocks with shortlisting time. The equities are finally divided into groups using the two-by-three grouping approach. According to the median of the total market value of stocks, the entire sample is separated into two categories: modest market value (S) and large market value (B). The samples are classified into three categories based on the book-to-market ratio's 30% and 70% quantiles: high (H), medium (N), and low (L). Comparing the different times of the impact of the five factors on stock earnings is conducive to explaining the changes in the factors affecting the stock price of listed companies before and after the epidemic. It is possible to analyze which factors have declined and fluctuated after the epidemic, resulting in a decline in stock prices, a slowdown in the growth of listed companies, or even a recession. The analysis of the five-factor model can clarify which factors have led to the decline in stock prices after the beginning of the epidemic, which is conducive to the formulation of related policies and plans by listed companies and makes up for the decline in stock prices and the slowdown in company growth caused by the corresponding decline, which has apparent practical value.

Contemporary Chinese Romantic Fiction: Analyzing the “Female Young Werther and Male Charlotte” Genre

On the one hand, to a certain extent, romantic fictions satisfy female readers’ fantasies about love. On the other hand, these novels are also a kind of embodiment of social values. They play an important role in contemporary popular culture. In Chinese mainland today, a large number of romantic fictions have been adapted into films or drama series with large market value. However, contemporary Chinese romantic fiction has not attracted much academic attention. In order to address the lack of academic research in this area, this study mainly focuses on the characters in contemporary Chinese romantic fictions, especially female characters, as well as the social value of these novels. This paper takes the Female Young Werther and Male Charlotte (FYW&MC) genre as an example to analyze and discuss the character image and social value of contemporary Chinese romantic fiction. Here, I divide the FYW&MC genre into three subtypes and select three representative works, Qiyue and Ansheng, Cry Me A Sad River, and The Best of Us, as case studies to analyze and explain the social value and character image of the FYW&MC genre. In addition, readers’ emotional responses towards the works or characters are also among the points of concern in this study.

<em>Sterculia urens</em>: Traditionally important medicinal tree

Non Timber Forest Produces (NTFPs) are basic needs and income generation opportunities for forest based tribal communities. Many multi-purpose tree species make broad their opportunity from only the single species. Sterculia urensis one of the important NTFPs species having myriads of uses. Gum exudate of this tree is having large market value. This review is to highlight the importance of S. urens to the tribal peoples of India. S. urens can be very important species for tribal communities for food security, medicinal and employments generation for their sustainable livelihood development.

Does short‐selling affect mutual fund shareholdings? Evidence from China

AbstractTaking the gradual lifting of short‐sale bans in China as natural experiments, the paper shows that mutual funds reduce the number of shares in shortable stocks compared to short‐selling forbidden stocks after short‐selling reforms, and their selling is more intensive in stocks with higher valuation, larger market value, higher profitability, more media coverage or better corporate governance. These strategies are not just short‐term reactions, nor are they applied by other institutional investors. Short‐sellers process negative information to dampen overvaluation or spread pessimistic beliefs which undervalue high quality, so mutual funds’ negative reaction towards short‐selling is stronger among overvalued or high‐quality stocks.

Sikap Pelaku Pariwisata terhadap Potensi Wisata Syariah di Obyek Wisata Telaga Ngebel Ponorogo

Islamic tourism is based on the consideration that tourism has a very large potential market value and will provide great benefits to the people. Even the halal tourism segment is not only for Muslim tourists but also for non-Muslim tourists. This study examines the attitudes of tourism stakeholders toward the potential for Islamic tourism in Ngebel Lake tourism site, Ponorogo. To achieve the objectives, a qualitative approach is applied in this study. This study uses primary data collected through semi-structured interviews involving around 10 respondents consisting of tourists, business actors in the fields of restaurants, hotels and also policy makers (government). Thematic analysis is used as an analysis technique. The results of the study revealed that in general, respondents showed positive support for the potential for implementing Islamic tourism. The study also found that the readiness of implementing Islamic tourism in Ngebel tourism can be seen from the availability of Muslim-friendly facilities such as halal food, places of worship (musholla / mosque), Qibla direction signs and also Muslim friendly accommodation. In addition, the socialization strategy for Islamic tourism needs to be implemented. The study suggests the need to socialize the importance of the halal certification label, especially on food products in order to provide comfort for tourists who come to Ngebel as result it will have implications for increasing tourists.

A portfolio strategy of stock market based on mean-MF-X-DMA model

In this study, the multifractal detrended moving-average cross-correlation analysis (MF-X-DMA) is combined with the Mean-Semi-Variance model to establish a Mean-MF-X-DMA model. This model is used to construct portfolio strategies by the stocks with the larger market value in each sector of the Standard and Poor's 500 Index (S&P 500). The empirical test shows that: firstly, there are long memory and obvious multifractal characteristics in each stock returns; secondly, the portfolio strategy based on Mean-MF-X-DMA model performs better than the traditional portfolio model, such as returns, Sharpe ratio, βcoefficient and utility for different risk preference investors; finally, the risk will be lower when the time scale is smaller under the same expected returns.

The performance of bidding companies in merger and acquisition deals: An empirical study of domestic acquisitions in Hong Kong and Mainland China

Several interdisciplinary studies based on 2007–2008 global financial crisis to measure the causes of crisis, for e.g. firm value, stock market efficiency, corporate governance and macroeconomic performance, and relate all sources of crisis to prior studies. This paper examined the post financial crisis impact the short-term market responses of Hong Kong domestic acquisitions by separating target companies into two samples: Hong Kong targets and Mainland China targets from period of 2012–2016. We have used asset pricing models to estimate the market reaction to the acquisition announcement. We have also analysed the impact of several bid and firm characteristics on bidders’ short-term operating performances. Our findings suggest that: (i) acquisition events in both target markets, bidders earn significant positive abnormal returns but market responses of Mainland China target acquirers are much better. There is an inverse relationship between bidders’ post-acquisition abnormal returns and the level of competition in their targets’ market; (ii) companies bidding for Hong Kong targets obtain higher abnormal returns with cash-financing acquisitions, large relative size targets, single acquisitions, related acquisitions, small market value, more free cash flows, low leverage and high profitability; (iii) firms acquiring Mainland China targets benefit more from stock payment takeover events, large relative size target, multiple acquisitions, related acquisitions, large market value, less free cash flows, high leverage and high profitability.

Does Short-Selling Affect Mutual Fund Shareholdings?

Using the gradual lifting of the short-sale ban in the Chinese stock market from 2010 to 2019 as natural experiments, the paper studies mutual funds’ strategies towards short-sales. The difference-in-difference regressions consistently show that mutual funds hold fewer shares when stocks are allowed to sell short, and their shareholding reduction towards short-selling is more intensive in stocks with higher valuation, larger market value, higher profitability, higher investment rate or more media coverage. These results are robust in short-term and long-term sample, annual data and classified funds. Our findings suggest that mutual funds generally dislike short-selling activities, and since short-sellers process negative information to alleviate stocks’ overvaluation, or spread pessimistic beliefs to undervalue high-quality stocks, mutual funds’ dislike towards short-selling reinforces in overvalued or high-quality stocks.

Face Detection using Support Vector Mechine with PCA

Face recognition is a popular subject in biometrics research which has distinct advantages because of its non-contact process. This technology has gained popularity because of its large application value and market value, like video surveillance system for real time tracking of suspicious object. In this paper we focus on the image face which has to be correctly recognized using support vector Machine (SVM) techniques with Principle Components Analysis (PCA) which extract the features and reduce dimensionality. Also we have used KNN classifier. The SVM with PCA produces more accurate result compare to other methods. This paper achieved 92% successful recognition rate for detecting different face databases.

How redistributive institutions affect pay inequality and heterogeneity among top managers

Abstract In recent years, many scholars have investigated the incredible rise of executive pay and the role of institutions as moderators of this trend. We argue that a crucial problem for attempts to moderate these increases remains the heterogeneity among top managers. Redistributive institutions can better target pay inequality among management than institutions that treat all managers or companies the same. To show this, we use a novel data set of executive pay across 17 OECD countries. We compare the effect of different institutional factors: corporate and personal income taxation, union bargaining power, and regulation (shareholder protection). We find that redistributive institutions such as personal income tax and union bargaining power seem to be more effective in addressing this heterogeneity in pay and in moderating remuneration in firms with very large market value than smaller firms.

Readability of MD&A Extracted from iXBRL: Computational Linguistic Approach

This paper clarifies determinants of the readability of Management and Discussion & Analysis (MD&A) section from annual reports of Japanese companies extracted from Inline Extensible Business Reporting Language (iXBRL). Previous studies have focused on English-language information, with no studies discussing the characteristics of Japanese MD&A using large-sample data. Thus, we extracted the character information Japanese companies from iXBRL and analysed the readability using text mining. We found that 1) companies with large market value at the end of the term and companies with a high age have low readability, 2) companies with a large market value at the end of the term and companies with many foreign segments have many characters, and 3) companies with high age have fewer characters. Further, MD&A in Japan had greater readability than comparable United States documents. Our results suggest that firms with asymmetric information use simpler words for shareholders and, further, are conscious of shareholders who have poor Japanese. The academic contribution of this paper is to show the usefulness of iXBRL as well as the readability of Japanese MD&A using large-sample data through a computational linguistic approach. In addition, this research compares the results of Li (2008), which targeted the United States, with the results for Japan.

The predictive power of Japanese candlestick charting in Chinese stock market

Abstract This paper studies the predictive power of 4 popular pairs of two-day bullish and bearish Japanese candlestick patterns in Chinese stock market. Based on Morris’ study, we give the quantitative details of definition of long candlestick, which is important in two-day candlestick pattern recognition but ignored by several previous researches, and we further give the quantitative definitions of these four pairs of two-day candlestick patterns. To test the predictive power of candlestick patterns on short-term price movement, we propose the definition of daily average return to alleviate the impact of correlation among stocks’ overlap-time returns in statistical tests. To show the robustness of our result, two methods of trend definition are used for both the medium-market-value and large-market-value sample sets. We use Step-SPA test to correct for data snooping bias. Statistical results show that the predictive power differs from pattern to pattern, three of the eight patterns provide both short-term and relatively long-term prediction, another one pair only provide significant forecasting power within very short-term period, while the rest three patterns present contradictory results for different market value groups. For all the four pairs, the predictive power drops as predicting time increases, and forecasting power is stronger for stocks with medium market value than those with large market value.

Estimation of VWAP in the Korean Stock Market and its Implications

This paper conducts an empirical analysis for the estimations of volume-weighted price of the Korean stock market and provides the implications of the estimation errors regarding the characteristics of the market and the corresponding securities. We employ fast Fourier transformation strategy and traditional simple average strategy and compare the performances of the two methods using five minute interval intra-day data of KOSPI50 stocks. Estimations errors of the two methods from Ex Post real VWAP are computed and the relationships between the errors and other market variables are examined. We find that larger market value leads to smaller error whereas average trading in dollar has negative relationship with the estimation error. We also look at the behavior of institutional traders and the order execution mechanism to explain our statistical findings.

VALUATION OF FIRMS USING ACCOUNTING VARIABLES

ABSTRACT This study provides an empirical examination of whether we can predict the market value of publicly traded companies by means of accounting and cash flow variables. We address two research questions in this paper. First, we determine if accounting variables can be used to estimate a significant portion of the total variability of the market value. Second, after dividing the companies into three equally sized groups (small, mid, and large market value companies), we validate whether we can value sub-groups separately in a similar way using accounting information. Our sample consists of 1694 actively exchange-traded non-financial companies, each with market value along with other 23 independent variables. Our results confirm the ability of using as few as five variables to explain more than 90% of the variation in large firm’s market value. For small and mid-sized firms, five variables explain less than 50% of the variation in market values. Keywords valuation, market value, small companies

Drinking cheaply: the demand for basic wine in Italy

The wine market has evolved dramatically over the last three decades. The premium wine segment has expanded significantly to the detriment of basic wines. Nevertheless, in traditional wine producing and consuming countries, inexpensive wines still account for a large market share, both in volume and value. Marketing strategies for such wines are changing in an attempt to tap this increasingly crowded market segment. Despite its importance, the basic wine segment has not been studied in‐depth and is often assumed to have no product differentiation. This paper tried to ascertain the existence of a possible degree of heterogeneity within nonpremium wines and to measure, by means of elasticity computation, the relationships among categories of wines aggregated with criteria that go beyond price. A demand system (censored QUAIDS) was estimated, using a statistically representative panel of 6,773 Italian households, to see to what extent, if any, substitution occurs in home consumption of basic wines, which is the main channel of distribution of inexpensive wines in Italy. Although price is an important lever in supply policies, our results also suggest the importance of packaging, such as carton as an alternative to glass.

Multiple Large Shareholder Structure and Governance: The Role of Shareholder Numbers, Contest for Control, and Formal Institutions in Chinese Family Firms

AbstractThe principal–principal (PP) perspective of corporate governance shows that multiple large shareholder (MLS) structure has competing monitoring and entrenchment governance effects. We argue that the dominant effect depends on contest for control among large shareholders and the number of large shareholders involved. Using data from Chinese family listed companies from 2004 to 2007, this study shows inverse U-shaped relationships between contest for control and corporate market value, as measured by Tobin's Q, and between the number of large shareholders and corporate market value. Findings indicate that at low to medium levels of contest for control or number of large shareholders, formal institutions can strengthen MLS structure's monitoring effect and can help this effect last longer. As a whole, the findings extend the institution-based view in the context of family corporate governance by showing that formal institutions can shape the ability of MLS structure to exert governance.

Stock Performance after Securities Analyst's Rating Downgrades

Securities analysts disclose their opinion on stocks and write reports indicating how they believe the target firm will perform against the market index. Many brokerage firms issue ratings based on five scales, namely, ``strong buy'', ``buy'', ``neutral'', ``sell'' and ``strong sell''. Empirically, it is known that firms downgraded from `strong buy' to `buy' lose value regardless of the fact that the analyst's signal is still positive. We investigate characteristics of firms that lose large market value in the post-downgrade period. Using data-mining approach, we found higher pre-downgrade volatility is strongly associated with the negative return in the post-downgrade period. Among high volatility firms, small capitalization stocks and stocks with inferior sentiment are particularly vulnerable to such downgrades. The result is consistent with the hypothesis in the field of Finance, i.e. the higher the disagreement level among investors in the market more overvalued the stock remains.

Guns and Trafficking in Crack-Cocaine and Other Drug Markets

This article examines the relationship between gun possession and the nature of an offender’s involvement in drug markets. The analyses are based on data obtained from drug offenders who participated in the 1997 Survey of Inmates of State and Federal Correctional Facilities. The authors find that participants in crack-cocaine markets are more likely to possess guns than participants in powdered-cocaine, opiate, and marijuana markets, particularly if they are street-level crack dealers. However, participants in barbiturates and amphetamine markets also have high rates of gun possession. The authors also find relatively high levels of gun possession among traffickers who handle stashes of moderately large market value, who have central roles in the trade, and who are members of drug organizations. Finally, offenders who are young, female, African American, and from lower economic status are more likely to traffic in crack cocaine than in other drugs.

The European Union (EU)-African, Caribbean and Pacific (ACP) Strategic Economic Partnership Agreement (EPA): Weakening or Deepening African Development

The European Union (EU)-African, Caribbean and Pacific (ACP) Economic Partnership Agreement (EPA) is a package put together to accelerate the integration of ACP into the global market economy. Africa with a large attractive market value is faced with the challenge of development. While admitting that networking and partnering with international organizations and donor agencies appeared to be a possible way of recovering from such challenges, the paper argued instructively that Africa countries lacked the capacity to effectively compete such as to attract the needed benefits to her continent from the Agreement. Using the dependency theory, attempt was made to analyze and identify the consequences of the Agreement as it pertains to the strengthening or weakening of African developmental process. Major constraints that currently affect the continent which will certainly make the Agreement implementation to be skewed in favor of the EU countries were also identified. It concluded by asserting that Africa will pay the prize by becoming dumping ground for EU finished products.

Portfolio Returns and Target Prices

In this paper we examine the profitability of trading strategies based on target prices embedded in equity research reports. We adopt target prices as information signals to build our portfolio strategy. At the first stage, we exploit implicit returns (difference between the current price and the target price) as a buying or short selling signal to open every transaction in the portfolio. Next, we use raw and adjusted target prices as a closing transaction signal. We build three different strategies to verify if the overshooting of target prices revealed by several studies could affect the profitability of a trading strategy based on these target prices. We have formed four portfolios within every strategy to verify whether analysts' target prices have any investment value. We find that all strategies deliver positive abnormal returns against the market. In particular, the highest and lowest implicit return classes exhibit the highest stock returns and abnormal returns. In the last part control these returns for systematic risk, factors through the CAPM and the Fama & French three factor model. The positive performances of our strategies persist and, in particular, our strategies beat the market with consistent abnormal returns in all the four implicit return classes analyzed. From the three factors equation, it seems that analysts tend to advise buying stocks with risk above the average market risk, with growth profile and with large market value. Conversely analysts advise selling value stocks and those with a negative beta.