Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.

Dynamics and determinants of dividend policy in Pakistan (evidence from Karachi stock exchange non-financial listed firms)

Abstract: This study examines the dynamics and determinants of dividend payout policy of 320 non-financial firms listed in Karachi Stock Exchange during the period of 2001 to 2006. It is also one of the very first examples which try to identify the potential dynamics and determinants of dividend payout in Pakistan by using the well established dividend models in context of emerging market. For dynamic equation we used the extended model of Lintner, Fama and Babiak and ‘Proposed’ model in dynamic setting. The results consistently support that Pakistani listed non-financial firms rely on both the change in dividends and change in net earnings which clearly demonstrate that the firms rely on both current earning per share and past dividend per share to set their dividend payments. However the study clearly shows that dividend tends to be more sensitive to current earnings than prior dividends. The listed non financial firms having the high speed of adjustment and low target payout ratio show the instability to smoothing their dividend payments. To find out the determinants of dividend payout policy dynamic panel regression has been performed. Firstly, profitable firms with more stable net earnings can afford larger free cash flows and therefore pay larger dividends. Furthermore the ownership concentration and market liquidity have the positive impact on dividend payout policy. Besides, the slack and leverage have the negative impact on dividend payout policy. The market capitalization and size of the firms have the negative impact on dividend payout policy which clearly shows that the firms prefer to invest in their assets rather than pay dividends to its shareholders.

Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets

Abstract: This paper investigates various economic state variables as systematic influences on U.S. and Japanese stock market returns, and compares their influence on stock returns. For this purpose, we employed a VAR analysis. We found that economic news about risk premiums, term premiums, and the growth rate in industrial production is most significant in U.S. stock market returns. However, unlike in Hamao′s study, we found that international factors, such as changes in oil prices, are most significant in Japanese stock market returns. The difference between our findings and those of Hamao is primarily due to the difference in sample period and empirical methodology. We provide some evidence of changes in the economic environment for the Japanese stock market around 1985. J. Japan. Int. Econ., September 1995 9(3), pp. 290–307. Faculty of Business and Commerce, Keio University, 15-45, Mita 2-chome, Minato-ku, Tokyo 108, Japan. Department of Finance, Carlson School of Management, University of Minnesota, Minneapolis, Minnesota 55455.

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.

A Theory of Common Stock Returns Over Trading and Non-Trading Periods

Abstract: CONVENTIONAL THEORY ASSUMES THAT the same return process operates over all trading and non-trading periods. There are reasons to assume that the return sequence when an organized market is formally open may differ from the return sequence during closed periods. For example, during a trading day, stock prices fluctuate as orders are executed. During nights, weekends, holidays, and holidayweekends there are no transactions, but a share's value from close to open on the next trading day may still change to reflect revised expectations about a firm's productivity. In fact, capital changes and important news items are usually announced after the stock exchange closes.' The purpose of this paper is to develop and test a general stochastic process for common stock returns that is applicable over any arbitrary time interval for which the return is computed. During a trading day we propose that the stochastic process of stock transaction returns is an autoregressive jump process. This process consists of a calendar time diffusion process and a jump process in which the magnitudes of the jumps may be autocorrelated. Over non-trading periods, it is assumed that the same diffusion process operates, but a separate jump process is specified for overnights, holidays, weekends, and holiday-weekends. The resultant multiple component jump process is used to investigate returns over days, weeks, and months. Several statistical analyses using actual transaction data over different time intervals lend support to the proposed theory. The following analysis is divided into four parts. Section II specifies the general model for common stock returns over any arbitrary time interval. Section III describes the data, defines the return computations, and provides summary statistics for all returns. In Section IV, hypotheses consistent with the theory are set forth and empirical tests are presented. Section V contains a summary and concluding remarks.

Marketability of common stocks in canada and the u.s.a.: a comparison of agent versus dealer dominated markets

Abstract: THIS PAPER presents the results of an analysis of the price of marketability services on the Toronto Stock Exchange (TSE) and compares them with previously published findings concerning the price of marketability on the New York Stock Exchange (NYSE) and the U.S. over-the-counter market (OTC). More specifically, the paper examines the determinants of bid-ask spreads on the TSE and their behavior relative to spreads in the NYSE and OTC markets. In the next section, we present some background concerning the methods of market making employed in the TSE, NYSE and OTC and discuss several tentative, working hypotheses concerning the determinants of bid-ask spreads. In Section III, the discussion turns to the empirical analysis of spreads on the TSE. This is followed in Section IV by a comparison of previously published results from the NYSE and OTC markets. Finally, in Section V some implications of the analysis are discussed. In brief, we will argue that the comparative results support the conclusion that the price of marketability services is higher in the TSE than in either the NYSE or OTC market. In this context, the word "higher" does not simply imply that spreads on the TSE are absolutely wider, but rather that they are wider holding factors that influence spreads constant from market to market. The question of the relative merits of various methods of organizing trading in common stocks is receiving considerable attention in the U.S. at the present time and promises to be a topic of debate for some time to come.' Unfortu