이 논문은 과거의 산업 포트폴리오 수익률이 어떻게 확률추세(stochastic trend)로부터 전체 주식시장과 두 가지 거시경제 변수(경기동행지수와 산업생산)들을 예측할 수 있는 지를 알아보는 데에 초점을 두고 있다. 먼저, 산업들의 포트폴리오 수익률과 전체 주식시장 수익률이 VAR모형을 토대로 볼 경우 Granger 인과관계를 갖고 있는지를 살펴보았다. 이 분석의 결과에서 건설, 금속, 무역, 반도체, 보험, 비금속광물, 서비스, 섬유, 식료, 운수/창고, 유통, 의류, 자동차부풀, 전기전자, 정유, 조선, 종이/목재, 증권, 컴퓨터, 통신, 화학 등 21개 업종은 각 산업별 포트폴리오 수익률이 전체 주식시장 수익률을 수준에서 통계적으로 유의한 영향을 주고 있음을 알 수 있었다. 이들 21개의 산업별 포트폴리오 수익률은 경제적으로도 중요한 의미를 지니고 있다. 즉, 당월(t)의 비금속광물과 정유, 금속 포트폴리오 수익률 등은 다음 월(t+1)의 전체 주식시장 수익률과 음(-)의 상관관계를 갖고 있는 것을 알 수 있었다. 이는 역사적인 데이터를 살펴볼 때, 이들 산업 제품의 가격의 상승은 향후 경제에 악영향을 주기 때문인 것이다. 반면에, 의류 및 무역 등의 경우에는 반대로 이들 산업들의 포트폴리오 수익률이 전체 주식시장 수익률과 양의 상관관계를 나타내 이들 산업들에 있어서 높은 수익률은 향후 경제가 상승국면이 예상됨을 나타내어 주고 있다. 이와 같은 산업별 포트폴리오 수익률과 거시경제변수 간의 높은 상관관계를 토대로 하여 전체 주식시장 수익률 예측을 가능하게 하는 업종 정보(sector information)의 점진적 확산(slow diffusion) 현상이 발생하게 되는 것이다.

종빈돈의 번식효율 증진을 위해 후보종빈돈의 분만후 포유기간, 등지방두께 등이 번식능력에 영향을 미치는 요인을 조사ㆍ분석하여 우수한 후보 종빈돈의 조기선발에 활용코자 수행한 결과는 다음과 같다. 1. 분만모돈의 포유기간이 17∼21일일 때에 등지방두께는 19.19mm였고, 포유기간이 22∼26일 일때에는 16.52mm로 포유기간이 길수록 분만모돈의 이유시 등지방두께는 유의적으로 얇았다.(p<0.01). 2. 분만모돈의 포유기간이 17∼21일인 경우에 발정

A capital investment problem is essentially one of determining whether the anticipated cash inflows from a proposed project are sufficiently attractive to invest funds in the project. The net present value(NPV) criterion and internal rate of return(IRR) c

본 연구는 해외근무자들의 이문화 적응, 역할외 행동 및 조기귀환의도와 관계가 있는 개인적 특성들을 살펴 보았다. 특정 기업집단에서 파견한 관리자들을 대상으로 하여, Global Leadership Institute에서 개발한 해외근무자들의 개인적 특성 개념 및 측정항목들을 중심으로 데이터를 수집하고, 분석하였다. 그 결과는 다음과 같이 요약해 볼 수 있다. 해외근무자들의 이문화 적응은 그 구성요소에 따라 관련 개인적 특성들이 차이가 나타났다. 예컨데 일반적 적응의 경우, 문화적 유연성이 가장 유의한 관계를 보였고, 사회적 적응의 경우는 사교성과 학습지향성이 한계적이나마 관계가 있는 것으로 나타났으며, 직무적응의 경우에는 다면적 리더십과 학습지향성이 통계적으로 유의한 관계를 보였다. 한편 해외근무자의 역할외 행동은 영향력 주체에 대한 신념이 가장 유의한 개인적 특성으로 나타났고, 조기귀환의도는 협동적 갈등해소 스타일, 영향력 주체에 대한 신념이 통계적으로 유의한 관계를 갖는 것으로 나타났고, 다면적 리더십과 학습지향성은 한계적이나마 관계가 있는 것으로 나타났다. 끝으로 이러한 연구결과가 갖고 있는 한계, 시사점 및 향후 연구과제들에 대한 논의를 하였다.

The purpose of this study is to analyze and test the effect of financial ratios and macroeconomics on Islamic stock returns listed in Jakarta Islamic Index (JII) other than to assess whether investment risk can be an intervening variable in this study. The type of research is explanatory in nature with a quantitative descriptive approach. The data used is based on secondary sources with a sample group of 29 companies listed on JII for a 5-year period ending 31 December 2018. The data obtained were analyzed by using SEM (Structural Equation Model) with AMOS (Analysis Moment of Structural) 21 program. The results of the study show that only financial ratios affect sharia stock returns and investment risk, while the mediation test found that investment risk does not act as a mediating variable between financial ratios and macroeconomics and Islamic stock return. These findings indicate that the role of the company’s financial health is very important. Besides affecting the rate of return obtained, the company’s financial health can also reflect the level of risk that investors will accept in the future. By improving financial performance properly, a company will have a positive impact on various interested parties and minimize the level of investor losses.

Past literatures have not studied the impact of real-world events or information on the return and volatility of virtual currencies, particularly on the COVID-19 event, day-of-the-week effect, daily high-low price spreads and information flow rate. The study uses the ARMAGARCH model to capture Bitcoin’s return and conditional volatility, and explores the impact of information flow rate on conditional volatility in the Bitcoin market based on the Mixture Distribution Hypothesis (Clark, 1973). There were 3,064 samples collected during the period from 1st of January 2012 to 20th April, 2020. Empirical results show that in the Bitcoin market, a daily high-low price spread has a significant inverse relationship for daily return, and information flow rate has a significant positive relationship for condition volatility. The study supports a significant negative relationship between information asymmetry and daily return, and there is a significant positive relationship between daily trading volume and condition volatility. When Bitcoin trades on Saturday & Sunday, there is a significant reverse relationship for conditional volatility and there exists a day-of-the-week volatility effect. Under the impact of COVID-19 event, Bitcoin’s condition volatility has increased significantly, indicating the risk of price changes. Finally, the Bitcoin’s return has no impact on COVID-19 events and holidays (Saturday & Sunday).

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of timevarying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can’t do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

In this paper, we propose the new time-varying coefficient GARCH-in-Mean model. The benefit of our model is to allow the risk-return parameter in the mean equation to vary over time. At the end of 2019 to the beginning of 2020, the world witnessed two shocking events: COVID-19 pandemic and 2020 oil price war. So, we decide to use the daily data from December 2, 2019 to May 29, 2020, which cover these two major events. The purpose of this study is to find the dynamic movement between risk and return in four major oil markets: Brent, West Texas Intermediate, Dubai, and Singapore Exchange, during COVID-19 pandemic and 2020 oil price war. For the European oil market, our model found a significant and positive risk-return relationship in Brent during March 26-April 21, 2020. For the North America oil market, our model found a significant positive risk return relationship in West Texas Intermediate (WTI) during March 12-May 8, 2020. For the Middle East oil market, we found a significant and positive risk-return relationship in Dubai during March 12-April 14, 2020. Lastly, for the South East Asia oil market, we found a significant positive risk return relationship in Singapore Exchange (SGX) from March 9-May 29, 2020.

The study empirically examines the effects of loan portfolio diversification on bank risk and return in the nascent banking market of Vietnam. Loan portfolio diversification is captured through the Hirschman-Herfindahl index and the Shannon Entropy with sectoral exposures. We access each bank’s financial reports to collect the required data, especially the breakdown of sectoral loan portfolios, thus constituting a unique dataset. To compute bank return, we use the traditional accounting indicators, including return-on-assets, return-on-equity, and net-interest margin. For bank risk, we utilize the loan-loss provisions and non-performing loans relative to gross customer loans. Using a sample of 30 commercial banks over the period from 2008 to 2019 and the system generalized method of moments estimator for the dynamic panel, we indicate the downsides of portfolio diversification. Concretely, we observe that all diversification measures exhibit significantly negative signs in all regressions across different bank return proxies. At the same time, the estimates display the significant and positive impact of diversification on the non-performing loan ratio. Hence, sectoral loan portfolio diversification significantly hampers bank performance in both aspects of lower return and higher credit risk. The results are robust across a rich set of bank performance and portfolio diversification measures.

In capital budgeting practices, investment project evaluations based on the net present value (NPV) and the internal rate of return (IRR) represent the traditional evaluation techniques. Compared with the traditional methods, the modified internal rate of return (MIRR) gives the opportunity to evaluate an investment in certain projet, while taking the changes in cash flows over time and issuing shares such as dividing shares, bonuses, and dividend for each end of the investment year into account. Therefore, this study aims to evaluate an investment in the Malaysian construction sector utilizing financial data for 39 public listed companies operating in the Malaysian construction sector over the period from Jan 1, 2007, to December 30, 2018, based on the MIRR method. Stochastic was studied in this study to estimate the estimated probability by applying the Markov chain model to the MIRR method where the transition matrix has two possible movements of either Good (G) or Bad (B). it is found that the long-run probability of getting a good investment is higher than the probability of getting a bad investment in the long-run, where were the probabilities of good and bad are 0.5119, 0.4881, respectively. Hence, investment in the Malaysian construction sector is recommended.

The purpose of this paper is to examine a financial distress premium in the emerging market. A risk-return trade-off of negative book equity (NBE) and distress firms is empirically analyzed using data from the Stock Exchange of Thailand. This research employs Ohlson’s (1980) bankruptcy model as a measurement of distress risk. The results indicate that distress firms outperform solvent firms in the Thai market and deny distress anomaly often found in the developed market. Fama-Frech (1993) three-factor model and Carhart (1997) four-factor model verify the existence of a distress premium in the Thai capital market. Risk-seeking investors demand greater compensation for bearing risks of distress firms’ going concern. This paper provides fresh evidence that default risk is a significant explanatory factor in pricing stocks in the emerging market. Also, this study sheds light on the role of NBE firms in asset pricing. Most studies eliminate NBE firms from their sample. However, NBE firms yield superior average cross-sectional returns, albeit with higher volatility. Investors are rewarded with distress risks associated with NBE firms. The outperformance of NBE firms is statistically significant when compared to the overall market. The NBE premium disappears when factoring size, value, and momentum in time-series analysis.

This paper aims to explore the relationship between the quality of the audit and the level of stock return co-movement in the context of the Vietnamese emerging market. The empirical study is designed based on the quatitative method and deductive approach. The panel datasetincludes 256listed firmsfrom different industries,with 1115 firm-year observations on Ho Chi Minh City Stock Exchange for the period from 2014 to 2018. In the research, we built the econometric regression model, using stock return synchronicity and audit quality as the dependent and independent variable, respectively. Some control variables are also added to the econometric regression models as they are well-documented in prior research to have an effect on stock price synchronicity. To improve the accuracy of the regression coefficients, besidetheOrdinary Least Squares, we employ theRandom Effects Modeland theFixed Effects Model for better statistical analysis of panel data set. The resultsshow that the quality of the audit is positively correlated to stock price synchronicity. This finding suggests that stock returns of companies with higher quality of the audit are more synchronous with the market. Results for other control variables also support our reasoning for the main findings.

This study examines the effect of fintech on retail banks stock return listed in Indonesia Stock Exchange for the period of 2016-2018 as today’s new technology lead to the emergence of fintech companies playing the same role as retail banks in the financial industry. This study is conducted quantitatively using monthly data from January 2016 to October 2018 and uses fintech as independent variable, proxied by fintech funding frequency and fintech funding value. Data transformation is conducted due to data volatility. The data of fintech funding, both frequency and value, is transformed into standardized fintech funding and growth of fintech funding. The data is obtained from Crunchbase, while the data of stock returns is obtained from Investing. This study further analyzes the data using Fama French Three-Factor Model and panel data regression. We found that fintech has no significant effect on retail banks’ stock returns listed in Indonesia Stock Exchange for the period of 2016-2018. The findings of the study provide some useful insights in understanding fintech companies’ current position to retail banks in Indonesia. This study also suggests banking institutions, fintech companies, policy-makers, and others to take advantageous steps in building inclusive financial sectors.

The paper explores the return migration choice of graduates, which takes place during the transition from higher education to the labor market. Graduate students, after a short time in temporary migration to cities for studying, have to make a decision of returning back home or staying in migration in urban areas for working. Drawing on the mechanism identified in the literature on internal migration, this empirical research tests the effects of two factors: place attractiveness and social supports factors on graduates’ decision to return migration to hometown. A binary logit regression analysis was conducted with data from 502 surveyed graduates in Hanoi, Vietnam. The analysis of the motives reported by graduates indicates that return migration decisions cannot be reduced to a single dimension. Perceived attractiveness of a region such as quality of living environment, job opportunities, and social context of individuals positively impact on student’ decision to return migration after graduation. The research results imply that, in a collectivistic country like Vietnam, students’ choice of future career is strongly influenced by their social context, and choosing a place to work is not simply a matter of earning a higher salary or enjoying better working conditions, but is also related to family issues.

Purpose: Prior studies empirically examine how financial flexibility is related to required returns by using realized returns and considering cash holdings as net debts, but they fail to find consistent results. Conjecturing that inappropriate proxy of required returns and aggregation of cash and debts caused the inconsistent results, this study revisits this topic by using a refined proxy of required returns and separating cash holdings from debts. Research design, data and methodology: This study uses a multivariate regression model to investigate the relationship between required returns on cash holdings and financial leverage. The required returns are estimated using the return decomposition method by vector autoregression model. Empirical tests use US stock market data from1968 to 2011. Results: Empirical results reveal that both cash holdings and leverage are positively related to required returns. The positive relation is stronger in economic downturns than in economic upturns. Conclusions: Three major findings are drawn. First, risky firms prefer large cash balance. Second, information shocks in the realized returns caused failure of prior studies to find consistent positive relationship between leverage and realized returns. Third, cash and leverage are related to required returns in the same direction; therefore, cash cannot be considered as negative debts.

The study investigates the effect of the widened daily stock price limits on the usefulness of accounting information in Korea: 1) whether investors place a higher importance on audit quality, an indicator of the reliability of accounting information, and 2) whether there are differences in the relationships between audit quality and stock-price earning-rates two years before and after June 15, 2016. This study employs samples of two years (2013 to 2015) before the widening and two years after the widening (2016 to 2017). The samples are limited to the companies listed on the Korea Stock Exchange, accounting settled in December, collected from Fn-Guide and TS-2000 of the Korea Listed Companies Association. The results show that the positive association between audit quality and stock return was increased during the later period, compared to the preceding period. This tendency was more evident in companies with higher debt ratios and companies with lower levels of income smoothing, which is considered to have higher risks. The findings suggest that it is the first study evaluating the effect of widening daily stock price limits, made on June 15, 2015, on the usefulness of audit quality information by examining the relevance between audit quality and stock return.

The objectives of this study are threefold: 1) to identify the concepts of earnings, stock return and liquidity risks on public shareholding industrial companies listed in the Amman Stock Exchange, 2) to investigate the relationship between earnings, stock return, strength and direction of this relationship, and 3) to find out the effect of liquidity risks at stock return and the effect of liquidity risks on the relationship between earnings and stock return on Jordanian public shareholding industrial companies. To achieve the objectives, an analytical descriptive approach was used. As the data on the public shareholding industrial companies listed in the Amman Stock Exchange were accredited by 52 companies for the period between 2014-2019, data validation tests and their suitability for analysis were considered. A linear regression test was used to test the study hypotheses on the statistical analysis program. The results show that there is a positive and significant correlation at significance level between the earnings and stock return. The results of the study also showed that there is a statistically significant negative effect at significance level of liquidity risk on stock return. In addition, it was demonstrated that liquidity risks have significant negative effects on the relationship between earnings and stock returns.

Purpose: This study reexamines the test on the pricing of accruals quality. Theory suggests that information risk is a priced risk factor. Using accruals quality as the proxy for information risk, researchers have tested the pricing of information risk. The results are inconsistent potentially because of the information shock in the realized returns that are used as the proxy for expected returns. Based on this argument, this study revisits this issue excluding information-shock-free measure of expected returns. Research design, data and methodology: This study estimates expected returns using the vector autoregression model. This method extracts information shocks more thoroughly than the methods in prior studies; therefore, the concern regarding information shock is minimized. As risk premiums are larger in recession periods than in expansion periods, recession and expansion subsamples were used to confirm the robustness of the main findings. For the pricing test, this study uses twostage cross-sectional regression. Results: Empirical results find evidence that accruals quality is a priced risk factor. Furthermore, this study finds that the pricing of accruals quality is observed only in recession periods. Conclusions: This study supports the argument that accruals quality, as well as the pricing of information risk, is a priced risk factor.