Measurement of market Kvålseth, Tarald O
PloS one,
07/2022, Volume:
17, Issue:
7
Journal Article
Peer reviewed
As measures of concentration, especially for market (industry) concentration based on market shares, a variety of different measures or indices have been proposed. However, the various indices, ...including the two most widely used ones, the concentration ratio and the Herfindahl-Hirschman index (HHI), lack an important property: the value-validity property. An alternative index with this and other desirable properties is introduced. The new index makes it permissible to properly assess the extent of the concentration and make order and difference comparisons between index values as being true representations of the real concentration characteristic (attribute). Computer simulation data and real market-share data are used in the analysis. It is shown that the new index has a close functional relationship with the HHI index and has a firm theoretical relationship with market power as measured by the price-cost margin. Corresponding modifications to existing merger guidelines are presented.
•Investigate the relationship between ESG ratings and stock price crash risk.•Statistically and economically significant negative relationship for Chinese firms.•Results consistent with agency-theory ...based explanations.
While several studies evidence that firm social responsibility lowers stock crash risk, few investigate this for China. Further, few studies investigate the aggregate role of environmental, social, and corporate governance responsibilities, rather than just social responsibility alone. Additionally, unlike previous studies, we consider both stakeholder and agency explanations. We investigate the relationships between environmental, social, and corporate governance (ESG) ratings and stock price crash risk, finding a statistically and economically significant negative relationship for Chinese firms. Results are consistent with agency-theory based explanations. Results will be of interest to scholars interested in the general impact of promotion of public goods on firm performance, as well as to researchers and investors interested in the Chinese institutional environment.
In empirical corporate finance, firm size is commonly used as an important, fundamental firm characteristic. However, no research comprehensively assesses the sensitivity of empirical results in ...corporate finance to different measures of firm size. This paper fills this hole by providing empirical evidence for a “measurement effect” in the “size effect”. In particular, we examine the influences of employing different proxies (total assets, total sales, and market capitalization) of firm size in 20 prominent areas in empirical corporate finance research. We highlight several empirical implications. First, in most areas of corporate finance the coefficients of firm size measures are robust in sign and statistical significance. Second, the coefficients on regressors other than firm size often change sign and significance when different size measures are used. Unfortunately, this suggests that some previous studies are not robust to different firm size proxies. Third, the goodness of fit measured by R-squared also varies with different size measures, suggesting that some measures are more relevant than others in different situations. Fourth, different proxies capture different aspects of “firm size”, and thus have different implications. Therefore, the choice of size measures needs both theoretical and empirical justification. Finally, our empirical assessment provides guidance to empirical corporate finance researchers who must use firm size measures in their work.
The transition from industrial to service economy resulted in a wider adoption of asset-light strategies and technology-enabled business models. In the last ten years, digital companies have ascended ...to the top of the most valuable firms lists. Various aspects of digital business models have been exhaustively discussed in management literature, but their economic dimension remains under-researched.We analyze how strategy and business model add value and propose using historical volatility of valuation multiples for ranking companies by the degree of investors’ understanding of a firm’s strategy and business model in addition to ratings of companies by market capitalization. This ranking, in our view, is particularly helpful in analyzing business models of digital companies where most of the value is in intangible assets and economic goodwill. We also propose a way of expanding this research topic in the future.
This paper explores and elucidates the concept of Cryptocurrency. It contributes a framework of digital money and also provides an analysis of the price range, which influences Cryptocurrency volume ...and market capitalisation. Findings from the OLS analysis show that the low price genre influences the volume and market capitalization of Cryptocurreny. Based on the results, the paper develops a price, volume and market capitalization framework for Cryptocurrency. The findings provide a practical and conceptual contribution for investors and future researchers on the concept of digital currency.
This paper explores and elucidates the concept of Cryptocurrency. It contributes a framework of digital money and also provides an analysis of the price range, which influences Cryptocurrency volume ...and market capitalisation. Findings from the OLS analysis show that the low price genre influences the volume and market capitalization of Cryptocurreny. Based on the results, the paper develops a price, volume and market capitalization framework for Cryptocurrency. The findings provide a practical and conceptual contribution for investors and future researchers on the concept of digital currency.
This paper includes an analysis of the economic and financial markets of the emerging countries of the European Union. The evolution of these markets is captured primarily in the context of the ...phenomena of globalization and deglobalization, but also in view of the economic, social and political conjunctures that these countries have experienced during the twenty years of transition from border markets to economies integrated with the European market. The study includes a descriptive analysis applied to the selected markets over a period of twenty years, based on the selected methodology. Analyzing on a long-term the evolution of the markets of Romania, Hungary, Poland and Greece through a comparative approach, the paper highlights similarities and differences in the developments of the Emerging European markets, as well as the degree of reaction to the major events that had an impact on the economic and financial environment of the European Union.
We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for ...establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy profitability is inversely related to turnover, and strategies based on size, value, and profitability have the greatest capacity to support new capital. Transaction costs always reduce strategy profitability, increasing data-snooping concerns.
In this paper, we examine convergence of stock markets. Our empirical exercise is based on 11 different panels, which together consist of 120 countries. The richness of the dataset allows us to ...disaggregate countries into panels, such as high income, middle income, low income, OECD, CSI, and developing country panels. In addition, we construct regional panels, such as those representing the Arab States, East Asia and the Pacific, South Asia, Latin America and the Caribbean, and Sub-Saharan Africa. Our main finding is that, based on the conditional convergence model, convergence of stock market capitalization and stocks traded is found for four panels, namely the high and low-income panels, the OECD panel, and the Sub-Saharan African panel. The speed of convergence is high, in most cases between 20% and 30%.
Purpose: The available literature on various sectors to examine the impact of earnings on dividend payments, indicates that still, extensive research lacks in the financial sector of Pakistan. The ...rationale behind paying higher dividends has been observed in emerging countries like Pakistan to maintain a strong financial footing. This study aims to investigate various factors that can influence dividend payouts. Design/Methodology/Approach: ARDL approach has been used to establish a long-term impact of selected variables on dividend payouts. Data of 50 financial listed firms for 2000-2021 has been used to subsume the impact of earnings-related variables on the dividend payouts of the financial companies of Pakistan. Findings: Results indicate that market capitalization, ROA, EPS, and firm size have a significant and positive impact on dividend decisions, while leverage generates a significant inverse impact on dividend declarations. The study also indicates discretionary accruals (a factor in earnings management under IAS) do not impact dividends significantly. ROE has no impact on the volume of dividends due to the specific nature of the firms under study. Implications/Originality/Value: The study demonstrates a conjecture that the financial sector must maintain its dividends not only to retain its old stakeholders but also to recruit new ones.
