EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK

We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in systematic risk is increasing in the ratio of event‐related to pre‐event information quality. Our results have implications for all empirical work attempting to model security returns around firm and macroeconomic announcements.     

Family characteristics and convenience food expenditure in urban Korea

This study uses a sample of 39 025 urban families from the 1996 Korean Family Income and Expenditures Survey to examine the relationship between family characteristics and expenditure on convenience foods. Results indicate that age and education of the family's head, number of children, presence of children under the age of six, the wife's labour force participation, and area of residence were significant in predicting the level of expenditure on convenience foods. The present study points to and gives a rationale to differences in some of the effects as compared with those found in Western countries.     

哈佛商学院“杠杆”的双刃剑效应

在过去两年中,随着更多的投资者通过借债来试图增加其投资收益,市场已形成了庞大的流动性“工厂”。在此过程中,稳定的国际经济环境、衍生品的广泛使用以及较低的借贷成本,都起到了推动作用。由于总体市场杠杆作用有所增加,其对市场的影响已经远远抵消了美联储(Fed)2004年至2006年连续17次加息的攻势。     

Ethical orientations of managers in Malaysia

In view of the heightened societal attention to the ethical aspects of business behaviour, there has been, in recent years, a great deal of discussion regarding individual and organisational factors influencing managerial decision making. The main focus of this paper is on understanding the attitudes of managers toward ethical dimension of their choices and judgments, as also the forces that pressurise, provide them with opportunities, or contribute to shaping their intentions, for ethical or unethical actions. Findings reported here are based on a questionnaire-survey of 381 managers from 41 commercial organisations in Malaysia.Dr. J. L. Gupta is Professor at National Institute of Bank Management (NIBM), Pune, India. He has authored two books on management and has published several research articles on the subject of Leadership and Ethics. His teaching and research interests lie in the areas of Organisational Behaviour and Human Resource Development.Mohamed Sulaiman is Professor of Management at University of Science Malaysia (USM), Penang. He has authored several research monographs and published articles in reputed business journals. His teaching and research interests lie in the areas of Corporate Policy and Strategic Management, Organisation Design and Marketing. Dr Mohamed Sulaiman is currently the Dean of School of Management, USM.     

Return and volatility transmission between world oil prices and stock markets of the GCC countries

This paper investigates the return links and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we analyze the optimal weights and hedge ratios for oil-stock portfolio holdings. On the whole, our results point to the existence of substantial return and volatility spillovers between world oil prices and GCC stock markets, and appear to be crucial for international portfolio management in the presence of oil price risk.     

RST–GCBR‐CLUSTERING‐BASED RGA–SVM MODEL FOR CORPORATE FAILURE PREDICTION

Corporate bankruptcy is perceived as a shocking event. Several researchers focused on the prediction of these phenomena using various methods aiming to avoid high generated costs. In this paper, a new hybrid approach is proposed to deal with corporate failure prediction. Based on financial ratios as input data and in order to predict if the business unit will fail or not, our approach integrates rough set theory, Gaussian case‐based reasoning‐clustering, real‐valued genetic algorithm with support vector machines. This combination is justified by a high accuracy rate, reaching 100% at 1 year before failure and 94.0925% at 3 years before failure. Copyright © 2011 John Wiley & Sons, Ltd.     

Accounting earnings response coefficient: An extension to banking shares in Asia Pacific countries

This paper reports new finding on earnings response coefficients for banking firms on how disclosures on total earnings and disaggregated fee earnings are used by investors to change share prices prior to earnings disclosures. The information relating to total earnings influences share prices significantly in all four banking sectors studied, all of which have sufficiently liberalized capital markets. Australian investors appear to use information on disaggregated non-interest fee income to revise share prices significantly: not so in other markets. The investors in Malaysia and South Korea appear to consider changes in fee income as bad news with negative price impact, anomalous to theory. The Australian investors appear to regard both total and fee incomes as equally important whereas investors in other markets either ignore or consider changes in fee income as bad news for share valuation. This study extends the literature on this topic from non-bank to banking firms.     

Least squares estimator for regression models with some deterministic time varying parameters

Here we study the least squares estimates in some regression models. We assume that the evolution of the parameter is linearly explosive (i.e. polynomial), or stable (i.e. sinusoidal). We prove the strong consistency, and establish the rate of convergence.