Mean Reversion of Stock Returns of an Emerging Market: Empirical Evidence from Botswana Stock Exchange

2009 ◽  
Author(s):  
Mobarek Asma
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Stock Exchange ◽  
Emerging Market ◽  
Mean Reversion

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

scholarly journals Geography Of Stock Returns: Evidence From An Emerging Market

2013 ◽  
Vol 29 (3) ◽  
pp. 711
Author(s):  
Omar Farooq ◽  
Molk Kadiri Hassani
Keyword(s):  
Stock Returns ◽  
Important Determinant ◽  
Stock Exchange ◽  
Emerging Market ◽  
Font Size ◽  
Large Dataset ◽  
Corporate Headquarters ◽  
Prior Literature

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">Does location of corporate headquarters matter for stock returns? Do investors prefer to invest in firms located near them? This study aims to answer these questions by using a large dataset of stock returns for firms listed at the Bombay Stock Exchange during the period between 2003 and 2007. Our results show that stock returns of firms show a strong degree of co-movement with stock returns of other firms located in the same city as them. Interestingly, we also show that this degree of co-movement goes down with firms located in the neighboring cities. We also show that stock returns of firms exhibit the least degree of co-movement with firms that are located farther from the neighboring cities. Furthermore, our results show that this degree of co-movement in stock returns is increasing over the period of time. Our results are consistent with prior literature that considers location as an important determinant of stock returns.</span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

scholarly journals External Auditors’ Quality, Leverage, and Tax Aggressiveness: Empirical Evidence From The Indonesian Stock Exchange

2018 ◽  
Vol 33 (2) ◽  
Author(s):  
Eko Suyono
Keyword(s):  
Empirical Evidence ◽  
Stock Exchange ◽  
Emerging Market ◽  
Tax Compliance ◽  
Theoretical Concept ◽  
Manufacturing Companies ◽  
Tax Aggressiveness ◽  
Purposive Sampling ◽  
External Auditors ◽  
Research Fields

<pre><strong>Abstract</strong><strong></strong></pre><pre><strong> </strong></pre><pre>This study aims to analyze whether external auditors’ quality and leverage affect tax aggressiveness.  Tax aggressiveness is one of the main issues with regard to tax compliance by corporations as taxpayers, particularly in developing counties such as Indonesia.  Implementing purposive sampling approach, this study ended-up with 76 manufacturing companies listed on the Indonesian Stock Exchange for the 2012-2016 periods as a sample (i.e., 380 observations). By using OLS regression, the findings show that both external auditors’ quality and leverage affect negatively on tax aggressiveness in-line with the theoretical concept and majority of previous studies.  Therefore, this study contributes to the development of financial accounting and taxation research fields, particularly by providing empirical evidence from emerging market on the link between external auditors’ quality, leverage, and tax aggressiveness.  </pre><p class="DefaultCxSpFirst"> </p><p class="DefaultCxSpLast"><strong>Keywords:</strong> external auditors’ quality, leverage, tax aggressiveness, tax compliance</p><p align="center"><strong><em> </em></strong></p><p align="center"><strong><em>Abstrak</em></strong></p><p align="center"><em> </em></p><p><em>Penelitian ini bertujuan untuk menganalisis apakah kualitas auditor eksternal dan leverage berpengaruh terhadap agresivitas pajak.  Agresivitas pajak merupakan salah isu utama yang berhubungan dengan ketaatan pajak perusahaan-perusahaan selaku wajib pajak badan, khususnya di negara-negara berkembang termasuk Indonesia.  Dengan menggunakan pendekatan  purposive sampling, penelitian ini berhasil mendapatkan 76 perusahaan manufaktur yang tercatat di Bursa Efek Indonesia untuk periode 2012-2016 sebagai sampel (380 observasi).  Dengan menggunakan regresi OLS, hasilnya menunjukkan bahwa kualitas auditor eksternal dan leverage berpengaruh negative terhadap agresivitas pajak sesuai dengan beberapa teori yang mendasari penelitian ini dan mayoritas hasil-hasil penelitian terdahulu.  Dengan demikian, penelitian ini berkontribusi terhadap pengembangan penelitian-penelitian di bidang akuntansi keuangan dan perpajakan, dengan memberikan bukti empiris dari negara berkembang mengenai hubungan antara kualitas auditor eksternal, leverage, dan agresivitas pajak.   </em></p><p><em> </em></p><strong><em>Kata Kunci:</em></strong><em> kualitas auditor ekxternal, leverage, agresivitas pajak, ketaatan pajak</em>

Price Behaviour Around Dividend Announcements in the Indian Equity Market in the Existence of Corporate Dividend Tax

2017 ◽  
Vol 18 (2) ◽  
pp. 402-415 ◽  
Author(s):  
Chanchal Chatterjee ◽  
Paromita Dutta
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Model ◽  
Cash Dividend ◽  
Developed Economies ◽  
Dividend Announcements ◽  
Abnormal Stock Returns ◽  
Dividend Tax

This article empirically examines the price behaviour around cash dividend announcements of the firms listed on the National Stock Exchange of India Ltd (NSE) in order to understand whether dividend announcements really influence stock returns in the market and carry meaningful information to the investors in the existence of corporate dividend tax. The article uses standard ‘event study’ methodology based on market model on a sample of 210 dividend announcements. Subsample analysis is employed for further analysis of firms of different categories. The study finds that cash dividend announcements do not necessarily generate abnormal stock returns in an emerging market, such as India. The whole sample is further divided into various subsamples on the basis of firm size and the size of payout ratio. The study finds that large payout firms experience greater stock returns compared to the smaller payout firms just after the dividend announcements. However, stock returns following dividend announcements do not vary across firm size. This article provides evidence to the managers about the non-linkage between cash dividend announcements and stock returns in an emerging market like India. This finding is contrary to the findings of many other studies that are based on the data of the developed economies.

scholarly journals Predictability of stock returns using financial ratios: empirical evidence from Colombo stock exchange

2016 ◽  
Vol 4 (2) ◽  
pp. 44
Author(s):  
A. A. V. I. Wijesundera ◽  
D. A. S. Weerasinghe ◽  
T. P. C. R. Krishna ◽  
M. M. D. Gunawardena ◽  
H. R. I. Peiris
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Stock Exchange ◽  
Financial Ratios

scholarly journals Dinamika Abnormal Return Saham pada Perusahaan Terdaftar di BEI

2018 ◽  
Vol 1 (1) ◽  
pp. 77
Author(s):  
Ganisya Kirana
Keyword(s):  
Positive Affect ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Multiple Regression ◽  
Abnormal Return ◽  
Stock Return ◽  
Stock Exchange ◽  
Independent Variables ◽  
Regression Test ◽  
Abnormal Stock Returns

AbstrakThe purpose of this research was to get empirical evidence about the effect of the issuance of islamic bonds (sukuk) and conventional bonds on the abnormal stock returns. The independent variables used are islamic bonds (sukuk) and conventional bonds. The dependent variable used in this study is the abnormal stock return in observations from 2008-2016.The population in this study are all issue islamic bonds (sukuk) and conventional bonds on the Indonesia stock exchange, those are 13 companies with criterias issuing islamic bond (sukuk) and conventional bonds, this obtained 30 samples used in this study. And the samples are the compaines listed during the period 2008-2014. The sampling is done by purposive sampling.The result showed based on multiple regression test for islmaic bonds (sukuk) and conventional bonds that positive affect the abnormal stock return  Keywords: Islamic bonds (sukuk) conventional bonds, and abnormal stock returns.

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