Showing papers on "Stock exchange published in 2013"

A Bayesian regularized artificial neural network for stock market forecasting

Abstract: In this paper a Bayesian regularized artificial neural network is proposed as a novel method to forecast financial market behavior Daily market prices and financial technical indicators are utilized as inputs to predict the one day future closing price of individual stocks The prediction of stock price movement is generally considered to be a challenging and important task for financial time series analysis The accurate prediction of stock price movements could play an important role in helping investors improve stock returns The complexity in predicting these trends lies in the inherent noise and volatility in daily stock price movement The Bayesian regularized network assigns a probabilistic nature to the network weights, allowing the network to automatically and optimally penalize excessively complex models The proposed technique reduces the potential for overfitting and overtraining, improving the prediction quality and generalization of the network Experiments were performed with Microsoft Corp and Goldman Sachs Group Inc stock to determine the effectiveness of the model The results indicate that the proposed model performs as well as the more advanced models without the need for preprocessing of data, seasonality testing, or cycle analysis

Preserving Socioemotional Wealth in Family Firms: Asset or Liability? The Moderating Role of Business Context:

Abstract: We ask whether choices aimed at preserving socioemotional wealth (SEW) represent an asset or a liability in family-controlled firms. Specifically, we consider one major SEW-preserving mechanism—having as chief executive officer (CEO) a member of the controlling family—and hypothesize that this choice is (1) an asset in business contexts, such as industrial districts, in which tacit rules and social norms are relatively more important, but (2) a potential liability in contexts like stock exchange markets, where formal regulations and transparency principles take center stage. The results from our empirical analysis confirm these hypotheses.

Applying Artificial Neural Networks to prediction of stock price and improvement of the directional prediction index – Case study of PETR4, Petrobras, Brazil

Abstract: Predicting the direction of stock price changes is an important factor, as it contributes to the development of effective strategies for stock exchange transactions and attracts much interest in incorporating variables historical series into the mathematical models or computer algorithms in order to produce estimations of expected price fluctuations. The purpose of this study is to build a neural model for the financial market, allowing predictions of stocks closing prices future behavior negotiated in BM&FBOVESPA in the short term, using the economic and financial theory, combining technical analysis, fundamental analysis and analysis of time series, to predict price behavior, addressing the percentage of correct predictions of price series direction (POCID or Prediction of Change in Direction). The aim of this work is to understand the information available in the financial market and identify the variables that drive stock prices. The methodology presented may be adapted to other companies and their stock. Petrobras stock PETR4, traded in BM&FBOVESPA, was used as a case study. As part of this effort, configurations with different window sizes were designed, and the best performance was achieved with a window size of 3, which the POCID index of correct direction predictions was 93.62% for the test set and 87.50% for a validation set.

Environmental Disclosure and Financial Characteristics of the Firm: The Case of Denmark

Abstract: Drawing on the importance of social accounting for sustainable development, we study practices of environmental disclosure on the websites of companies listed on the Copenhagen Stock Exchange. The first part of this paper produces and discusses descriptive evidence on environmental reporting practices by listed companies with respect to the content of disclosed information. We then undertake an explanatory task in order to identify the factors that determine environmental reporting for firms listed on the Copenhagen Stock Exchange. Firm size, financial leverage, the market-to-book ratio, and profitability are significantly associated with the breadth environmental disclosure. Copyright © 2012 John Wiley & Sons, Ltd and ERP Environment.

Separation of ownership and control in

Abstract: This article tests the separation of ownership and control in South African-listed companies that leads to the divergence of interest between shareholders and directors. Where listed companies are owned by so many shareholders that their diffused shareholding results in negligible control over the directors who manage the assets of the company, it is likely that the directors will manage and direct the company to maximise their self-interest to the detriment of the interest of the shareholders. The separation of ownership and control and the maximisation of self-interest are central themes in the agency theory. Researching their validity in a South African context where the market is less liquid and the stock exchange is significantly smaller can add a valuable contribution to the continuing debate on corporate governance in the country. The article analyses 186 listed South African companies using data extracted over four years to test whether there is separation of ownership and control and whether such separation leads to the maximisation of self-interest. Data were extracted for the years 2005 and 2006, using the shareholding in 2006 to determine control, and for the years 2009 and 2010, using the shareholding in 2010 to determine control. Directors’ remuneration as a percentage of assets was used as a proxy for the maximisation of directors’ interest, and profit attributable to shareholders as a percentage of assets was used as a proxy for the maximisation of shareholders’ interest. These proxies were used to test the impact of control during the two controlling periods, namely 2006 and 2010. The article finds that the majority of listed companies in South Africa are controlled by a dominant shareholder. However, there are still a significant number of companies where the directors have de facto control. Contrary to the expectation that companies controlled by directors will aim to maximise directors’ remuneration, or companies controlled by shareholders will aim to maximise profit attributable to shareholders, this article finds the opposite to be true. This is possibly an indication that the controlling parties might consider factors other than their direct financial self-interest, or that there is an inherent cost associated with control.

The determinants of corporate hedging

Abstract: This study examined the determinants of corporate hedging based on samples taken from non-financial firms on the United Kingdom’s Financial Times Stock Exchange FTSE 250. In this study, derivative usage is used as the proxy for risk management. The research model was estimated using the univariate binomial probit model and the Heckman two-stage regression model. The result indicates that executives with options on company’s shares prefer risk-taking and choose not to hedge. The study also found that corporate hedging is positively related to (1) level of firms’ leverage and (2) proportion of total turnover spent for interest payment. These results suggest that firms that face higher probability of financial distress are using derivatives as risk management tool to stabilised firms’ cash flows. Finally, this study also found that large firms are more likely to use derivatives due to the benefits of economies of scale.

The Conditional Relation between Beta and Returns

Abstract: The Capital Asset Pricing Model (CAPM) of Sharpe (1964), Lintner (1965), and Black (1972) (SLB) states that, in equilibrium, the expected return on a security is a positive linear function of its beta, and beta suffice to describe the cross-section of expected returns. The empirical studies on the validity of the positive beta-return relationship of the SLB model have been extensively carried out for the past four decades using average realized stock returns and an index of security returns to proxy for expected returns of stocks and market portfolio respectively. Early studies have supported the positive linear relationship between beta and return (e.g., Lintner (1965)). However, studies conducted after Fama and MacBeth (1973) (FM) have found inconsistent evidence on this relationship. For example, Fama and French (1992) conclude that the relationship between beta and average return is flat. In the Tokyo Stock Exchange (TSE), Nimal and Horimoto (2005) report that the beta and average return relationship is not significant in all months and even it is negatively significant in non-January months in some periods. Also in Sri Lankan context Samarakoon (1997) finds negative beta-return relationship and Anuradha (2008) reports insignificant beta-return relation in the Colombo Stock Exchange (CSE). The question is whether the inconsistent evidence on the relationship between beta and average return is sufficient to conclude that the movements of realized return are not systematically related with their betas1). Pettengill, The Conditional Relation between Beta and Returns

Restoring the Tower of Babel: How Foreign Firms Communicate with US Investors

Abstract: We examine the readability of text and the use of numbers in the annual filings and earnings press releases of foreign firms listed on US stock exchanges. We find that foreign firms generally write clearer text and present relatively more numerical data than their US firm counterparts. More importantly, we find that the readability of the text and use of numbers increases as the foreign firms get geographically further from the US. It also increases as the foreign firm’s home country has greater differences in accounting standards or investor protection laws relative to the US. Further corroborating our results, we also find that these communication efforts are partially successful. Within a country, firms that produce relatively more readable disclosures attract relatively more US institutional ownership. Collectively our results suggest that foreign firms are responding to a perceived reluctance on the part of US investors to own them and attempt to lower the investors’ information disadvantage or psychological distance by providing clearer and more concrete disclosures.

The Impact of Corporate Governance and Financial Leverage on the Value of American Firms

Abstract: This study examines the impact of corporate governance and financial leverage on the value of American firms. This study also seeks to extend the findings of Gill and Mathur (2011a). A sample of 333 firms listed on New York Stock Exchange (NYSE) for a period of 3 years from 2009-2011 was selected. The co-relational and non-experimental research design was used to conduct this study. Overall, findings show that larger board size negatively impacts the value of American firms, and CEO duality, audit committee, financial leverage, firm size, return on assets, and insider holdings positively impact the value of American firms. The impact of corporate governance and financial leverage differs between manufacturing and service industries. Results show that board size negatively impacts the value of American manufacturing firms, and CEO duality, audit committee, financial leverage, firm size, and insider holdings positively impact the value of American manufacturing firms. Findings also show that board size negatively impacts the value of American service firms, and financial leverage and return on assets positively impact the value of American service firms. This study contributes to the literature on the factors that affect firm value. The findings may be useful for financial managers, investors, and financial management consultants.

How does the stock market react to the announcement of green policies

Abstract: We investigate the impact of 19 announcements of environmental regulation on the equities listed on the Australian Stock Exchange over the period 2005–2011. Using a well-established event study methodology, we assess whether these announcements are value constructive or destructive for equity investors. Additionally, we estimate the change in systematic risk following the announcements. Our results show that the Australian market was particularly sensitive to the carbon pollution reduction scheme (CPRS) announcement. A cumulative abnormal return of −31% was recorded in the alternative energy sector after Australia submitted its target range to the Copenhagen Accord. We observe that a move towards a greener nation has a mixed effect on abnormal returns with apparent sector-by-sector differences. Green policies appear to affect the long-term systematic risk of industries, leading to the diamond risk phenomenon.

Working capital management and profitability: Evidence from Ghanaian listed manufacturing firms

Abstract: Working capital management plays a vital role in the success of businesses because of its effect on profitability and liquidity. The purpose of this study is to examine the relationship between working capital management practices and profitability of listed manufacturing firms in Ghana. The study used secondary data collected from all the 13 listed manufacturing firms in Ghana covering the period from 2005-2009. Using panel data methodology, the study finds a significantly negative relationship between profitability and accounts receivable days. However, the firms’ cash conversion cycle, current asset ratio, size, and current asset turnover significantly positively influence profitability. The study suggests that managers can create value for their shareholders by creating incentives to reduce their accounts receivable to 30 days. It is further recommended that, enactments of local laws that protect indigenous firms and restrict the activities of importers are eminent to promote increase demand for locally manufactured goods both in the short and long runs in Ghana. Key words: Manufacturing firms, working capital management, Ghana stock exchange, cash conversion cycle, profitability.

The impact of internal attributes of corporate governance on firm performance

Abstract: Purpose – The purpose of this paper is to investigate whether internal attributes of corporate governance such as board size, outside directors, CEO duality, managerial ownership, and ownership concentration affect the performance of Pakistani firms.Design/methodology/approach – Panel econometric technique namely pooled ordinary least squares is used to estimate the relationship between internal governance mechanisms and performance measures (i.e., return on assets, return on equity, earnings per share, and market‐to‐book ratio) using the data of non‐financial firms listed on the Karachi stock exchange Pakistan during 2004‐2008.Findings – The empirical results indicate that board size is positively, whereas outside directors and managerial ownership are negatively related to the return on assets, earnings per share, and market‐to‐book ratio. Ownership concentration is positively related to all measures of performance used in this study. CEO duality is positively related to earnings per share only. As far ...

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Abstract: This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite direction in the euro area and Japan, whilst there is evidence of bidirectional feedback in Switzerland and Canada. The results of the time-varying correlations also show that the dependence between the two variables has increased during the recent financial crisis. These findings imply limited opportunities for investors to diversify their assets during this period.

The Effect of Firm Size on Firms Profitability in Nigeria

Abstract: Firms in a market economy vary widely in size, profitability, and survival. What are the factors determining these observed variables and how they operate has been active topic of research in industrial organization and more generally in developing country where Nigeria is one of them. Firm size has been considered as an important determinant of firm profitability. In this study, the effect of firm size on the profitability of manufacturing companies listed in the Nigerian Stock Exchange was analyzed by using a panel data set over the period 2000-2009. Profitability was measured by using Return on Assets, while both total assets and total sales were used as the proxies of firm size. According to the results of the study, firm size, both in terms of total assets and in terms of total sales, has a positive impact on the profitability of manufacturing companies in Nigeria. Keywords: Firm Size, Profitability, Manufacturing Companies, Nigeria Stock Exchange.

Pengaruh Faktor Good Corporate Governance, Free Cash Flow, dan Leverage Terhadap Manajemen Laba

Abstract: The aim of this research is to provide empirical evidence on the impact of good corporate governance, free cash flow, and leverage ratio on earnings management. Good corporate governance is measured by audit committee’s size, the proportion of independent commissioners, institutional ownership, and managerial ownership. Discretionary accrual is the proxy of earning management. This research used 14 textile companies listed in Indonesia Stock Exchange, selected using purposive sampling method, during the research period 2007-2011. Data were analyzed using multiple regression method. Based on the result of analysis concluded that all components of good corporate governance (audit committee’s size, the proportion of independent commissioners, institutional ownership, and managerial ownership), have no significant effect on earnings management, while leverage ratio has a significant effect on earnings management, and free cash flow has a negative and significant effect on earnings management. It means that companies with high free cash flow will restrict the practice of earnings management.

The impact of corporate governance on working capital management efficiency of American manufacturing firms

Abstract: Purpose – The purpose of this study is to investigate the impact of corporate governance on working capital management efficiency. This study also seeks to extend the findings of Gill and Shah.Design/methodology/approach – This study applied a co‐relational research design. A sample was selected of 180 American manufacturing firms listed on the New York Stock Exchange (NYSE) for a period of 3 years (from 2009‐2011).Findings – The findings of this study indicate that corporate governance plays some role in improving the efficiency of working capital management.Research limitations/implications – This is a co‐relational study that investigated the association between corporate governance and working capital management efficiency. There is not necessarily a causal relationship between the two, although the paper provides some conjectures to the findings. The findings of this study may only be generalized to firms similar to those that were included in this research.Originality/value – This study contributes ...

Effect of Managerial Ownership, Financial Leverage, Profitability, Firm Size, and Investment Opportunity on Dividend Policy and Firm Value

Abstract: This study aim was to examine and analyzing effect of managerial ownership, financial leverage, profitability, firm size, and investment opportunity on dividend policy, and effect of all that variables on firm value. Populations were all manufacturing companies that go-public and listed at Indonesian Stock Exchange during 2006-2011 periods and a sample was decided by census method. Research results showed that managerial ownership and investment opportunity affect on dividend policy, while financial leverage, profitability, and firm size has no effect on dividend policy. These results further explained that research variables, namely managerial ownership, financial leverage, profitability, firm size, investment opportunity, and dividend policy affect firm value. Keywords: : Dividend policy, Firm value, Firm characteristics, Indonesia Stock Exchange

Determinants and features of voluntary disclosure in the Chinese stock market

Abstract: This paper offers in-depth analysis of the determinants and features of voluntary disclosure based on information in the annual reports of 1066 Chinese firms listed on the Shanghai and Shenzhen Stock Exchanges. This extensive sample represents about 80% of all public companies in China. Our findings suggest that voluntary disclosure in China is positively related to firm size, leverage, assets-in-place, and return on equity and is negatively related to auditor type and the level of maturity or sophistication of the intermediary and legal environments. We also find some evidence to suggest a quadratic convex association between state ownership and voluntary disclosure. However, our analysis provides no evidence that extensive disclosure benefits public companies in China in the form of a lower cost of equity.

Integrating piecewise linear representation and weighted support vector machine for stock trading signal prediction

Abstract: Piecewise linear representation (PLR) and back-propagation artificial neural network (BPN) have been integrated for the stock trading signal prediction recently (PLR-BPN). However, there are some disadvantages in avoiding over-fitting, trapping in local minimum and choosing the threshold of the trading decision. Since support vector machine (SVM) has a good way to avoid over-fitting and trapping in local minimum, we integrate PLR and weighted SVM (WSVM) to forecast the stock trading signals (PLR-WSVM). The new characteristics of PLR-WSVM are as follows: (1) the turning points obtained from PLR are set by different weights according to the change rate of the closing price between the current turning point and the next one, in which the weight reflects the relative importance of each turning point; (2) the prediction of stock trading signal is formulated as a weighted four-class classification problem, in which it does not need to determine the threshold of trading decision; (3) WSVM is used to model the relationship between the trading signal and the input variables, which improves the generalization performance of prediction model; (4) the history dataset is divided into some overlapping training-testing sets rather than training-validation-testing, which not only makes use of data fully but also reduces the time variability of data; and (5) some new technical indicators representing investors' sentiment are added to the input variables, which improves the prediction performance. The comparative experiments among PLR-WSVM, PLR-BPN and buy-and-hold strategy (BHS) on 20 shares from Shanghai Stock Exchange in China show that the prediction accuracy and profitability of PLR-WSVM are all the best, which indicates PLR-WSVM is effective and can be used in the stock trading signal prediction.

International Journal of Sciences: Basic and Applied Research (IJSBAR)

Abstract: Investments on the capital market depends on the current political situation of the country, as well as on the movements of the global economy. In countries with unstable political situation, the performance of the stock exchange declines, unlike politically stable countries, where stock exchange operation is carried out continuously, the stock exchange is a mirror and a barometer of general developments in a society. The economic crisis that spread all around the world in 2008, triggered the strongest negative effect on the capital markets, both on the trading volume and on securities' prices. Prices of securities were falling overnight and stock indices also. In most cases an absurd situation occurred, where although companies showed good financial results and had promising investment activities, stock prices were still falling because of the euphoric panic that investors would lose their ventures, so they sought to take the last chance to save what can be saved.

Impact of intellectual capital on organisational performance

Abstract: Purpose – The purpose of this paper, which is written in two parts, is to investigate empirically if intellectual capital (IC) has an impact on the financial aspects of organisational performance as well as attempting to identify the IC components that may be the drivers for the leading financial indicators of listed companies. The study sought evidence from the companies of the Hong Kong Stock Exchange.Design/methodology/approach – Using data of all the constituent companies of the Hang Seng Index of the Hong Kong Stock Exchange from 2001 to 2005 and the VAIC™ methodology used in the measurement of IC by Pulic, regression models were constructed to examine the relationships between IC and the selected financial performance measures of these companies. The research hypotheses and research method are detailed in Part 1 of the paper. In this paper – Part 2, the results and findings of the investigation are analysed and discussed.Findings – The results of the analysis revealed no conclusive evidence to suppo...