1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

Earnings Management and Investor Protection: An International Comparison

From Efficient Markets Theory to Behavioral Finance

Giving Content to Investor Sentiment: The Role of Media in the Stock Market

We investigate whether investor sentiment affects the cross-section of stock returns in China A-share market.The evidence shows that the sensitivity of stock returns to sentiment changes is different. When an index of investor sentiment takes high values,low tangible assets,high Debt-asset ratio,and non-dividend-paying stocks earn relatively higher returns,when sentiment is low,the aforementioned categories of stocks earn relatively lower returns.When sentiment is high,low-price,unprofitable and high book-market ratio stocks earn relatively higher returns and vice versa,but which is insignificant.The capitalization, volatility and institutional ownership appear to have no significant cross-section effect of investor sentiment on its characteristic Portfolio return.

Investor Sentiment and the Cross-Section of Stock Returns

This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

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The Role of Macroeconomic Variables on Stock Market Index in China and India

This study analyzes the effectiveness of Modified Jones Model in detecting earnings management among the initial public offerings that are listed between 1985 – 2005 in the Dhaka Stock Exchange (DSE). Prior research documented that the Modified Jones model is effective in detecting earning management in mostly developed economies. However recently an empirical research of Korean stock exchange revealed that the Modified Jones model was not effective in detecting earnings management in the context of Korea. Our findings are similar to the Korean experience. Results of our study confirmed that Modified Jones model is not effective in detecting earnings management in the context of Bangladesh. We employed the modified Jones model to detect earning management in context of Bangladesh capital market and found out that it was not found very effective as the explanatory power of the model was only about 9 percent. This study then attempted to extend the modified Jones model and found it to be very successful. The inclusion of few factors such as revenue, depreciation expenses, retirement benefit expenses, asset disposal gains/losses with the modified model was very effective in detecting earning management in the context of Bangladesh. The explanatory power of the model was increased to about 84 percent. Therefore it is concluded that the modified Jones model is not effective in gauging the extent of earnings management practiced by the IPO firms in the Bangladesh capital market.

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Is Modified Jones Model Effective in Detecting Earnings Management? Evidence from A Developing Economy

This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986–1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January-effect observed in US markets.

KLSE Long Run Overreaction and the Chinese New Year Effect

This study compares the performance of the Syariah Index (SI) and the Composite Index (CI) of the Kuala Lumpur Stock Exchange (KLSE) during the period April 1999 to January 2002. Both the raw and risk-adjusted returns were calculated for the indices for the whole and two subperiods. Results based on the raw returns revealed that generally, the KLSE SI and CI recorded the same level of returns. Tests using performance measures of Adjusted Sharpe Index, Treynor Index and Adjusted Jensen Alpha revealed that there were also no significant difference in the (risk-adjusted) performance of both indices. We therefore conclude that Syariah-approved stocks were not more favourable than the other stocks in the KLSE.

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Zamri Ahmad

Papers

The Role of Macroeconomic Variables on Stock Market Index in China and India

Is Modified Jones Model Effective in Detecting Earnings Management? Evidence from A Developing Economy

KLSE Long Run Overreaction and the Chinese New Year Effect

A study of performance of the KLSE Syariah Index

Behavioural finance perspectives on Malaysian stock market efficiency