Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study

This paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of US stocks that are added to or deleted from the Dow Jones Sustainability World Index over the period 2002?C2008. The impacts are measured in terms of stock return, risk and liquidity. We cannot find any strong evidence that announcement per se has any significant impact on stock return and risk. However, on the day of change, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. Liquidity deteriorates after the announcement day and bounces back significantly near the day of change. Systematic risk shows little change after announce- ments. But, idiosyncratic risk is higher after announcements. The overall results support Harris and Eitan??s (The Journal of Finance 41(4), 815?C829, 1986) price pressure hypothesis, which posits that event announcement does not carry information and any shift in demand (and hence the corresponding price change and liquidity change) is temporary.     

Do Foreign Investors Promote Stock Price Efficiency in Emerging Markets?

This paper examines the role of foreign investors in promoting stock price efficiency in emerging stock markets relying on the fact that stock prices in these markets are influenced by both local and global factors. We employ a data sample of Vietnamese‐listed firms on the Ho Chi Minh City stock exchange over the period from 2006 to 2015. We utilize the panel data estimation analysis. The results show that foreign investors accelerate the incorporation of available information into local stock prices. The finding reinforces the important role of foreign investors in domestic stock markets of emerging economies.     

Do Investors Value a Firm’s Commitment to Social Activities?

Previous empirical research has found mixed results for the impact of corporate social responsibility (CSR) investments on corporate financial performance (CFP). This paper contributes to the literature by exploring in a two stage investor decision-making model the relationship between a firm’s innovation effort, CSR, and financial performance. We simultaneously examine the impact of CSR on both accounting-based (financial health) and market-based (Tobin’s Q) financial performance measures. From a sample of top corporate citizens, we find that: (1) a firm’s social responsibility commitment (CSR) contributes to its financial performance; (2) after controlling for investment in innovation activities, CSR continues to have a positive impact on a firm’s financial performance; (3) the customer dimension of CSR has a positive effect on both CFP measures, whereas the employee dimension indicates a significant impact only on financial heath; and (4) the community relation dimension of CSR only affects the market-based CFP measure of firms with high innovation intensity.     

How Have the Emerging Stock Exchanges in Africa Responded to Market Reforms?

Abstract

In this paper, we focus on how the stock markets in Africa have responded to the reform process. We identify three main types of reforms implemented in these markets since the 1990s, namely revitalization of the regulatory framework, modernization of trading systems, and relaxation of restrictions on foreign investors. We invoke market microstructure theory to hypothesize the expected response of the markets in terms of efficiency and volatility to the three types of reforms. Econometric methods are applied to test the hypotheses on a sample of ten stock exchanges, for the period 1988:01-1999:12. The evidence generally suggests that there are benefits of investments to improve market microstructure. For example, a comparative analysis across the sample demonstrates that markets with advanced trading technology, tight regulatory system and relaxed foreign investors' participation show greater efficiency and lower market volatility. Although direction of causality between efficiency and volatility varies across the markets, in general, we infer that reforms, which reduce volatility, reap higher efficiency. However, in some markets, the effects of the reforms are too recent to show any clear response pattern.     

Do Private Equity Investors Create Value for Italian Initial Public Offerings?

This study analyses the role of private equity (PE) backing in initial public offerings (IPOs) using a dataset of 227 companies that went public on the Milan Stock Exchange between January 1995 and December 2007. The evidence rejects the certification and monitoring hypotheses and provides considerable support for the market power hypothesis. In accordance with Chemmanur and Loutskina (2006) , we suggest that PE investors exploit their relationships with the key IPO market players to attract attention to the IPOs of firms backed by PE, thus obtaining a higher equity valuation (both in the IPO and in the secondary market).     

Stock Market’s Reaction to Disclosure of Environmental Violations: Evidence from China

The stock market’s reaction to information disclosure of environmental violation events (EVEs) is investigated multi-dimensionally for Chinese listed companies, including variables such as pollution types, information disclosure sources, information disclosure levels, modernization levels of the region where the company locates, ultimate ownership of the company, and ownership held by the largest shareholder. Using the method of event study, daily abnormal return (AR) and accumulative abnormal return (CAR) are calculated under different event window for examining the extent to which the stock market responds to the EVEs. Furthermore, statistical significance of the difference in stock market reaction is compared between event firms with different characteristics. The relationship between CAR and its impact factors is examined by multivariate analysis. The findings reveal that the average reduction in market value is estimated to be much lower than the estimated changes in market value for similar events in other countries, demonstrating that the negative environmental events of Chinese listed companies currently have weak impact on the stock market.     

Is There Long Memory in Indian Stock Market Returns? An Empirical Search

The issue of long memory, though has important theoretical and practical implications, has not received much attention in India. This article examines the issue of long memory in mean of the stock returns by employing a set of sophisticated time-series tests including a bias reduced log periodogram test of Andrews and Guggenberger. The study used daily values of 29 major indices including sectoral indices traded on the National Stock Exchange and Bombay Stock Exchange from April 2003 to March 2012, which provide insights into relation between composition of indices and long memory. The findings of the study suggest significant presence of long memory in mean returns of the medium- and small-sized indices and weaker evidences for large cap indices. Further, the study identifies a relationship between presence of long memory and market structure variables. The use of linear models in the presence of long memory would result in incorrect inferences, and this calls for investigation of appropriate long memory model to generate profits in Indian stock market.     

Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?

The paper extends the evidence on factors determining stock prices on emerging markets by focusing on the most advanced stock market in Central and Eastern Europe, the Polish market. Besides market, size and value factors, we investigate whether liquidity is a priced risk factor, addressing the hypothesis of its particular relevance in emerging markets. Our results support existing evidence for developed markets regarding market, size, and value factors. Contrary to the expectation that liquidity is a priced factor on emerging markets, we do not find evidence supporting this hypothesis. Analyzing specific market characteristics, we consider possible explanations behind these findings.     

Do CEO’s traits matter in innovation outcomes?

Journal of International Entrepreneurship - The study investigates the influence of CEO attributes on innovation outcomes on all firms listed on the SBF120 index between 2001 and 2013. We provide...     

Do Immigrant Nurses in Canada See a Wage Penalty? An Empirical Study

The purpose of this study is to analyse the labour market for female immigrant nurses in Canada and to address the following question: does a nurse with foreign educational credentials have the same earning potential compared with a nurse who was educated in Canada? This is part of a more general question on economic discrimination against immigrants. Using data from the confidential master files of the 2001 Canadian Census on Individuals, this study finds that nurses educated outside of Canada do face wage penalties. This indicates that their credentials might not be fully recognized and/or valued in the Canadian labour market for registered nurses. This result is important to the business world since it suggests the possibility of a general finding that immigrant credentials may not be readily transferable and compensated in a new country. This can result in qualified workers not being able to gain meaningful employment and this source of labour might not be adequately used to fill jobs in industries facing labour shortages.     

Earnings Quality in Private SMEs: Do CEO Demographics Matter?

This study investigates the impact of CEO demographics on earnings quality for private SMEs. Using a 2012 sample of 30,476 French firms, we first find strong empirical support for a gender effect: female‐run firms engage in less earnings management than do male‐run firms. This result is consistent with female CEOs being more risk averse than their male counterparts are when making financial decisions. Second, CEO age is negatively correlated with the magnitude of discretionary accruals, and the relationship between gender and earnings quality is stronger for older CEOs. Overall, our findings suggest that CEO demographics affect the quality of accounting information.     

Do feminists still respond negatively to female nudity in advertising? Investigating the influence of feminist attitudes on reactions to sexual appeals

To test the belief that feminism and sexualization of women in advertising stand in opposition, this study employed a large US national sample (N = 1298) to examine how consumers’ feminist attitudes differentiate and predict their ethical judgment and ad-related evaluations of sexual images of women in advertisements. The results indicate that (1) consumers with higher feminist attitudes evaluated sexual ads more favorably than those having lower feminist attitudes, and (2) consumers’ feminist attitudes positively predict ad-related evaluations with full mediation of ethical judgment. These findings, which diverge from previous research, may indicate that contemporary feminists view sexual images of women differently than in previous decades. Theoretical and practical implications are described.     

How Does Stock Market React to Dividend Surprises? Evidence from Emerging Markets of India and Russia

In this article the authors empirically investigate information content of dividends announcements and average reaction of emerging markets of India and Russia to dividend surprises on the postcrisis period 2010 to 2014. The study applies an analysts’ expectations-based approach rarely used in academic literature. The authors conclude that the Russian market on average reacts negatively to good and bad dividend surprises; good dividend surprises on average trigger positive abnormal returns on Indian stocks, whereas bad and no surprises are associated with negative reactions of the Indian market. Results of the study are discussed from the perspective of dividend signaling theory, market efficiency, and investor behavior.     

China''''s Market in 2000: Will Price Continue to Drop?

Until November 1999, the consumption priceof Chinese residents had been dropping for20 months. In the year 2000, what will it comeabout?The Wind of "China's Accession to WTO"Discouraged the Auto Marketl999 saw the worst of China's auto marketin recent three years. In November the same yearwhen an agreement was concluded between Chinaand the U.S.on China's accession to the WTO,the China's auto market was disappointed.Although many manufacturers declaredimmediately that no car price dro…     

Do You See What I See? A Simulation Analysis of Order Bundling within a Transparent User Network in Geographic Space

The Physical Internet (PI) concept presents a radical change with the aim to revert the unsustainable practices that are used for transporting goods. It identifies dedicated freight flows and transforms them into transparent open logistics networks which can be accessed by other users, such as shippers and carriers. In this paper, we test the universal network openness in which the users can tap into the PI network and place orders that will be assigned to the nearest available transport service and consequently delivered to the order sender. The objective of our paper is to investigate the impact of inserting extra service points into existing dedicated freight flows of a service‐driven company. We simulate different transparency levels and routings to new pickup locations and evaluate the impact in terms of altered lead times, covered distances, and fill rates. The novel aspects presented herein are (1) deliveries based on decentralized location detection of the nearest order sender, (2) dynamically changing speed parameters of agents within specific geographic clusters based on their geo‐locations in order to account for congestion levels, (3) more realistic routing strategies that consider the urban layout, and (4) transparent querying of nearest agents in space and time that meet specific conditions such as current ongoing processes, available capacity, and position. Finally, we identify the impact from a general/holistic perspective that emerges once extra orders are assigned to the service‐driven company's fleet.     

Does the Market Value Corporate Philanthropy? Evidence from the Response to the 2004 Tsunami Relief Effort

This study investigates the market reaction to corporate press releases announcing donations to the relief effort following the December, 2004 tsunami in Southeast Asia. Based on a sample of 79 U.S. companies, results indicate a statistically significant positive 5-day cumulative abnormal return. While differences in the timing of the press releases do not appear to have influenced market reactions, the amount of the donations did. Overall, the results appear to support Godfrey’s (Academy of Management Review 30, 777–798; 2005) assertion that philanthropic giving must be perceived as being a genuine manifestation of the firm’s underlying social responsiveness in order to increase firm value.     

Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach

This study investigates the effect of introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao, Ching, and Wan, 2011) to construct counterfactuals of the spot market volatility, based mainly on cross‐sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time‐series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1167–1190, 2013