计量经济分析 = Econometric analysis

The science of the total environment

Investor Psychology and Security Market Under- and Overreactions

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Handbook of the Economics of Finance

This study examines the impact of CEO duality on board independence and extends the knowledge by exploring whether the type of firm, the presence of family blockholding, or concentrated founder ownership moderates this impact. The analysis shows that CEO duality improves board independence. The empirical results support the theory of reputation and show that family-owned business group firms encourage board independence if firms have a duality leadership structure compared with non-family business groups, stand-alone, state-owned, and foreign-owned firms. The entrenchment effect of controlling shareholding on board independence overcomes the alignment effect of CEO duality and the results are significant for firms with low information costs and high level of monitoring.

Does CEO duality affect board independence? The moderating impact of founder ownership and family blockholding

Assessing IS/IT systems value creation is a prerequisite for organisations adopting such systems. While the focal point of connected research is predominantly on instruments, models, and methodologies, only moderate attention has been given to understand and improve the value realisation process of IS. We adopted the DeLone and McLean model of IS success for the design of a value realisation model of IS in the financial services domain. While this model has been originally contrived for the area of information systems, it basically conquers the process of value realisation. In executing so, it is not only well-founded but its practical application can been broadened to other areas too. Hence, this paper presents a re-specification of DeLone and McLean's IS success model as a value creation model, examining it empirically in the context of financial services. A conceptual framework is proposed from a comprehensive review of IS success and value creation literature that evaluates IS success and value. Six variables are employed to measure IS system success and value in financial services industries. This conceptual FS-IS value creation model is tested and validated using data collected from banking and non-banking Indian financial companies. Primary contributions of the study include a new financial services information system success value model and a validated rating scale to measure information system constructs and performance for use by banking and non-banking companies.

The development and application of information system driven value creation in Indian financial services sector

In the era of health for all, the performance of health care professionals is critical in determining the quality of health care services. Amidst the shortage of health workforce, these professionals carry out activities outside the job described ones. This paper attempts to group the activities carried by the medical officers and staff nurses working in Primary Health Centres (PHC) located in the state of Tamil Nadu. A survey is conducted among 149 respondents using questionnaires to understand job performance. The results of factor analysis indicate that the in- role activities and extra role activities group into five categories such as information sharing, maintenance of medical standards, medical service to patients, helping supervisors and co-workers and helping in functioning of PHC. The results highlight that the health care professionals working in the rural public health care sector stretch an extra mile in serving the patients. These professionals exhibit altruism towards supervisors, co-workers and patients and show organizational spontaneity by considering it as an integral part of their job routine.

Do healthcare professionals cross the border to serve rural population

In this study an attempt has been made to create a link between corporate governance, intellectual capital efficiency and firm performance. The sample is BSE SENSEX firms from the year 2013 to 2015. Data has been collected from PROWESS database of Centre for Monitoring Indian Economy (CMIE). Intellectual capital efficiency has been estimated using VAIC (value added intellectual capital) methodology. Previous research suggests measuring intellectual capital through the Market to book ratio and Tobin Q ratio. In the current study an attempt has been made to measure the intellectual capital efficiency through VAIC method which derives interesting insights. The results show that corporate governance affects a firm’s intellectual capital efficiency i.e. if a firm has good corporate governance system in place, it will attract efficient human capital for the firm and in turn a firm’s profitability will increase over a period of time. Among the corporate governance variables, BSH (block shareholding), CEO duality (if the CEO and the chairman of the firm) and board size seem to have a significant impact on a firm’s operational and financial performance measured by return on assets and return on equity respectively. The results pertaining to the effect of intellectual capital efficiency on firm performance show that capital employed efficiency (CEE) and human capital efficiency (HCE) have a significant impact on a firm’s return on equity. The study supports stewardship theory of corporate governance.

Linkages Among Corporate Governance, Intellectual Capital Efficiency and Firm Performance: An Empirical Analysis from Emerging Market

The extent to which movements in nominal interest rates change with anticipated inflation has been keenly researched ever since Fisher (1930) first pointed out that efficient capital markets should compensate for changes in the purchasing power of money. In the Indian context, this relationship was not given much focus until the beginning of 1990s due to the administered interest rate mechanism. Since the beginning of economic reforms and the liberalization of capital market, the interest rates were allowed to float, except the Bank Rate and the interest rate on savings deposits and the question of determining the interest rates became a big issue. Hence, this study examines the short-run and long run comovements of interest rates and inflation using cointegration analysis and error correction model. The results show that inflation causes 91-day Treasury bill yield and MIBOR indicating that the interest rates are now more market determined and there is evidence of Fisher's hypothesis.

M. Thenmozhi

Papers

Does CEO duality affect board independence? The moderating impact of founder ownership and family blockholding

The development and application of information system driven value creation in Indian financial services sector

Do healthcare professionals cross the border to serve rural population

Linkages Among Corporate Governance, Intellectual Capital Efficiency and Firm Performance: An Empirical Analysis from Emerging Market

Long-Run Relatinship Between Interest Rates and Inflation: An Error Correction Model