•Innovate Account for macro-financial regimes in the specific case of Shariah-compliant equity investing.•Used the Markov Regime Driven Style allocation (MRDS) strategy for Shariah-compliant ...portfolio construction.•Backtest the MRDS on the Shariah-compliant equities from the S&P 500 universe over the period 1986–2016.•Results suggest that MRDS improves the level and stability of relative performance, as compared to single-style portfolios.•The MRDS strategy also mitigates risk by reducing the volatility, value-at-risk, and drawdowns.
This study proposes the Markov Regime Driven Style allocation (MRDS) strategy for Shariah-compliant portfolio construction, a forward-looking methodology that merges economic forecasting with Shariah-compliant investment principles. By using Shariah-compliant equities from the S&P 500 universe over the period 1986–2016, we find that a Shariah-compliant investor can achieve stable performance by dynamically allocating across investment styles determined from the macro-financial information, as compared with various single style strategies. The MRDS improves both the level and stability of relative performance. This strategy also successfully mitigates risk by reducing volatility, value-at-risk, and portfolio drawdowns.
This research attempts to investigate the effect of audit quality on firm value in the high corporate governance context. In addition, this study seeks to examine the role of institutional ...shareholders as a moderating variable on the relationship between audit quality and firm value. Dataset includes the 95 (out of 575) Thai listed companies which fully and completely implement the Corporate Governance Code (CG Code) voluntary disclosure recommended by OECD (Organisation for Economic Co-operation and Development) in 2021. Multiple linear regression and Hayes’s regression-based analysis are done using market capitalization as the dependent variable. The research results illustrate that audit quality relates to firm value in a negative way, while profitability and institutional shareholders relate to firm value in a positive manner. Moreover, the interaction effect between audit quality and institutional shareholders wields a significant negative impact on the association between audit quality and firm value, which indicates that the negative effect of audit quality on firm value is stronger when more firm shares are owned by institutional shareholders. The results of this study would potentially be very useful to managers, financial advisors, and policymakers to observe the nature and vagaries of audit quality in high corporate governance environment, especially when institutional shareholders hold a significant proportion of firm shares. The study offers practical suggestions and recommendations for audit quality and institutional shareholders, which are essential for overall operating efficiency and firm value. The outcomes can help improve corporate governance practices, which in turn enhance the share price and profits.
The financial literature shows that, on average, larger firms earn lower returns. This study examines the relationship between market capitalization and stock returns, as well as the size growth ...potential of firms according to their economies of scale (size and size potential are not correlated). According to generally accepted beliefs, larger firms do earn lower returns on average. This study adds to the literature by finding that firms’ size potential (according to their economies of scale) is also negatively related to firms' average returns. This new information is significant–both statistically and economically.
Purpose: This research aims to explore the psychological biases in the investment behavior of Pakistani investors, which refers to the natural inclination of investors towards specific financial ...products based on certain perceptions developed through information or news relating to the issuer of financial products
Design/Methodology/Approach: A sample of twelve actively participating investors were selected in this research contacted through telephone in which the conversations were tape-recorded with the consent of the interviewee. It was then transcribed and coded into Ms. Word, or themes were developed.
Findings: Thematic analysis was conducted over the responses received; the results suggest that due to lack of training, knowledge relating to an investment in financial products, the behavior of investors is highly biased; partly either because of their association in the form of employment with issuing authorities or because of the news or information floated relating to financial products of the various companies.
Implications/Originality/Value: The study has many practical implications; the financial managers and consultants can design financial management behavior practical learning approach to reduce biases. Also, stock stockbrokers, investors identify such biases and reduce their impact. Furthermore, this study highlights the philosophical paradigm through ontological and epistemological understanding.
The current stage of development of the cryptocurrency market is characterized by a number of structural properties and transformations that cause increased interest in cryptocurrency as a means of ...payment. This payment option allows you to speed up the money transfer operations, requires significantly lower commissions, is not tied to time intervals, effectively solves the problem of settlements with foreign partners in any currencies, and overcomes inflationary risk. The presence of these advantages determines the relevance of studying the cryptocurrency market in order to determine the prospects for improving the modern practice of non-cash electronic payments in Ukraine, which, in turn, will contribute to increasing the level of competitiveness of domestic enterprises. The aim of the publication is to build and implement an algorithm for comparative analysis of the spatio-temporal characteristics of cryptocurrency assets, the use of which will allow to make a reasonable choice of cryptocurrency as a non-cash means of payment. This algorithm contains the following main steps: analysis of the current state and main trends in the development of the cryptocurrency market; determination of a set of basic characteristics with the help of which it is possible to describe cryptocurrency as an object in a multidimensional statistical space; classification of cryptocurrency assets; development of recommendations for the final choice of cryptocurrency as a means of non-cash payments. A comparative analysis of cryptocurrencies is carried out by indicators of risk, profitability, and market capitalization. Classification and ordering of objects in the multidimensional feature space are carried out using cluster analysis algorithms. The structure of the system of cryptocurrency objects in multidimensional space is preliminarily analyzed using agglomerative methods, then a reasonable decision is made on the optimal number of clusters and an iterative clustering algorithm is applied. A division of cryptocurrency objects into four consecutive periods has been obtained, the stability of the composition and structure of the resulting groups in dynamics has been studied. As a result, groups whose characteristics are acceptable from the point of view of the ultimate goal of the study are identified. Within these groups, the cryptocurrencies that can be used for non-cash payments have been identified.
Purpose
This study aims to explore the possibility that securities markets in selected African countries of Egypt, Kenya, Nigeria and South Africa play a significant role in capital accumulation ...using panel data analysis. This is done by exploring the relationship between gross fixed capital formation on the one hand and financial market development indicators on the other hand. Thus, the study aims to examine if stock market size and liquidity are determinants of capital accumulation.
Design/methodology/approach
The analysis is based on annual times series from 1991 through 2017 spanning four African stock markets. The analysis utilizes the fixed-effect and random-effect econometric models. The Durbin–Wu–Hausman test is used to choose between the two models.
Findings
The key results indicate that stock market capitalization is a positive determinant of gross fixed capital formation. The market value traded and turnover have no relationship with capital formation. Therefore, the role of stock African stock markets in promoting capital accumulation and, subsequently, industrial growth in Africa is seriously questioned.
Originality/value
Only a handful of studies have examined the role of the African securities market in promoting capital accumulation. This study is unique in which it focuses on the leading stock markets in the four corners of Africa. The markets are from Egypt in the north, South Africa from the south, Nigeria from the west and Kenya from the east. These four markets account for a significant segment of all African markets.
Introduction
The coronavirus 2019 (COVID-19) pandemic led to a marked decrease in elective surgical volume and orthopaedic device sales. The aim of this paper was to quantify this decrease and the ...related financial impact on the largest hip/knee arthroplasty companies by: (1) tracking individual hip/knee company valuations; (2) calculating aggregate changes in overall hip/knee arthroplasty market valuations; and (3) quantifying quarterly hip/knee revenues relative to prior years.
Materials and methods
Financial data on the top five hip/knee arthroplasty companies by size between January 1, 2019, and October 1, 2020, was collected from a Wall Street financial database, S&P Capital IQ. Changes in valuation of these companies were compared against benchmark market indices, the S&P500 and Vanguard Healthcare ETF. U.S. hip/knee arthroplasty-specific revenue for Q1 and Q2 of 2019 and 2020 was collected from Securities Exchange Commission 10-Q forms. Quarterly revenue changes were calculated using 1-2Q19 revenues as baselines and aggregate to approximate the overall hip/knee arthroplasty market.
Results
The top five hip/knee companies lost $179.2 billion (32.7% loss) in market value from pre COVID-19 market highs to COVID-19 market lows (March 2020), while S&P500 and Vanguard Healthcare ETF decreased 36.1 and 33.2%, respectively. From market lows to October 2020, arthroplasty companies rallied 38.6% while the S&P500 and Vanguard Healthcare ETF regained 43.5 and 56.4% respectively. Notably, this occurred while aggregate 1Q/2Q20 revenue lagged 7.1/41.8% relative to 2019, with an overall decrease of $1.58B (24.8%).
Conclusions
Similar to the overall market and healthcare sector, the top five hip/knee arthroplasty companies have recovered from their COVID market lows. Our results reveal that the valuations of hip/knee companies remained robust during COVID, even as revenues fell, likely due to strong investor confidence in the industry outlook and the greater overall healthcare system utilization.
•Having a greater number of InfoSec IP (i.e., patents and copyrights) increases firm performance (i.e., ROI and market Capitalization).•Having a diverse InfoSec patent portfolio increases firm ...performance.•Diversity of InfoSec patent portfolio strengthens the positive associations between the number of InfoSec IP and firm performance.
The appropriate valuation of information security (InfoSec) intellectual property (IP) is of interest to both business scholars and investors. This topic is important because InfoSec IP is a complementary knowledge resource that can complement a firm's existing and new products, services, business models, and operations. This paper attempts to understand the marginal effects of having additional InfoSec IP on a firm's performance in terms of return on investment and market capitalization. We collected objective InfoSec IP data from the United States Patent Office, the United States Copyright Office, and Compustat. Specifically, our data includes various types of IP, including patents, copyrights, and patent portfolios. We exclude IT-security firms in this study because we are interested in the effect of InfoSec IP on non-IT security firms. We include panel regression models using fixed effects that test the interplays between the various types of InfoSec IP and a firm's performance. In addition, we conduct generalized moment method and Heckman correction model analyses to alleviate potential endogeneity and sampling biases. Our results suggest that InfoSec IP is positively related to both return on investment and market capitalization. Further, we find that diverse InfoSec IP portfolios strengthen the effects of a firm's InfoSec patents and copyrights on market capitalization.
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.
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