Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination

In this paper, we examine the price discovery and volatility spillovers between eight mature market economies (MMEs) and eight emerging market economies (EMEs) from January 2003 to July 2014, covering three sub-periods—prior to the 2007–09 global financial crisis (GFC), during the crisis, and post-crisis. The results of price discovery indicate that MMEs lead EMEs in the pre-crisis and post-crisis periods. All MMEs are cointegrated with China in the pre-crisis period but not in the post-crisis period. Dynamic cointegration results reconfirm our findings from Johansen’s co-integration test. The asymmetric dynamic conditional correlation (ADCC-GARCH) coefficients suggest a regional pattern among MMEs and EMEs, except in the case of European MMEs with South Africa. Employing BEKK-GARCH model, we find that volatility spillovers of MMEs with China and of Italy with EMEs weakened in the post-crisis period as compared to the pre-crisis period implying that the GFC damaged the information transmission process, particularly for China and Italy. While China is a large economy with strong trade linkages with the rest of the world, Italy is one of the larger European economies which was in relatively greater distress during the EDC. The findings have implications for policy makers and investors.

     

Frequent acquirers and management compensation

We find positive contemporaneous, short-, and long-run effects of an increase in the acquisition rate on management compensation. A positive bidirectional causality exists between acquisition frequency and management compensation. A higher firm value is likely to associate with higher acquisition frequency. Acquisition rate has a positive impact on the market share. Acquirers with lower market share are more likely to become frequent acquirers. A causal order follows from lower market share to higher acquisition frequency to higher firm value to higher management compensation. The impact of acquisition frequency on management compensation is higher for value-enhancing acquirers relative to value-destroying acquirers.     

Interval-Valued Intuitionistic Fuzzy WASPAS Method: Application in Reservoir Flood Control Management Policy

Interval-valued intuitionistic fuzzy sets (IVIFSs) are very flexible tool to cope with the uncertainty arises in multi-criteria decision making (MCDM) problems. In recent times, MCDM problems with interval-valued intuitionistic fuzzy information have achieved more attention from researchers in different areas and consequently, several MCDM methods have been extended for IVIFSs. In this paper, a novel approach based on WASPAS method is developed under IVIFSs. The developed method is based on the operators of IVIFSs, some amendments in the classical WASPAS method and a new process for calculation of criteria and decision experts’ weights. In process for calculating weights, new procedures is propoesd to compute the decision experts’ weights and criteria weights based on interval-valued intuitionistic fuzzy information measures (entropy, divergence and similarity measures) to achieve more realistic weights. Innovative information measures are developed based on the exponential function for IVIFSs to determine the weights of the criteria and decision experts. Since the uncertainty is an unavoidable feature of MCDM problems, the developed method can be a constructive tool for decision-making in an uncertain environment. Further, an uncertain decision making problem of reservoir flood control management policy is implemented with interval-valued intuitionistic fuzzy information, which reveals the effectiveness and reliability of the proposed IVIF-WASPAS method. To validate the result, comparative analysis with existing methods and sensitivity analysis are presented under interval-valued intuitionistic fuzzy environment.     

Financial development and top income shares in OECD countries

We examine the causal impact of financial development (FD) on top income shares for a panel of 14 OECD countries—five Anglo‐Saxon countries, eight continental European countries, and Japan—over a 110‐year period. In our main General Method of Moments estimates, we find that a 1‐percentage‐point change in FD increases the top 1% income share by 0.2%. In distribution terms, a 1‐SD incr=ease in FD increases the top 1% income share by around 0.4 of an SD. The effects are robust to various measures of top income shares and FD and alternative estimation techniques, including nonparametric estimation. FD is typically viewed in positive terms in that it makes it easier to access credit and facilitates economic growth. Our results are important because they contribute to understanding of the potential negative effects of FD.     

Conditional convergence in US disaggregated petroleum consumption at the sector level

We test for convergence in disaggregated petroleum consumption at the sector level for the United States using the recently proposed GARCH unit root test, suitable for high frequency data. We find evidence of convergence for just over half of the series, including total petroleum consumption in each sector and approximately three quarters of the disaggregated petroleum consumption series in transportation.     

Corporation Diversification and Firm Performance: Evidence from Vietnamese Listed Firms

We examine the effect of corporate diversification on the performance of firms listed on the Vietnamese stock exchanges, using 2744 firm year observations over the period from 2007 to 2012. We find that corporate diversification has a negative impact on firm performance. Our results are robust to various econometric estimation techniques including fixed effect, instrumental fixed effect, Heckman selection model and system generalised method of moments. In the Vietnamese context, the lack of an efficient corporate governance system may encourage firms to follow corporate diversification strategies, thus impairing their performance.     

A note on assessing the relation between CEO characteristics and stock performance: Alpha Above Replacement

Many studies examine the relation between stock performance and CEO characteristics. We approach the topic in a different way, using the alphas generated by the Fama‐French three‐factor model as the dependent variable in a CEO characteristic model. We find several traits are significantly related to alpha. CEOs who are younger, own a larger fraction of firm equity and hold a graduate degree provide greater alphas. CEOs who are also the founder of the firm deliver larger alphas. Our results provide useful information for boards assessing the performance of CEOs and considering CEO succession.     

Excess Control, Corporate Governance and Implied Cost of Equity: International Evidence

We investigate whether the separation between ownership and control rights can be costly to controlling shareholders and firms in terms of capital-raising costs. Using estimates of the cost of equity capital implied by analyst earnings forecasts and growth rate for a sample of 1,207 firms from nine Asian and 13 Western European countries, we find strong, robust evidence that the cost of equity is increasing in excess control, while controlling for other firm-level characteristics. This core finding persists after controlling for legal institutions variables.