Template-Type: ReDIF-Article 1.0 Author-Name: Charalambos Michael Title: SECURITIZATION MARKETS AND CENTRAL BANKING: POLICY ANNOUNCEMENT EFFECTS Abstract: European and US monetary authorities designed policies to revive the issuance of asset backed securities (ABS) after the financial crisis of late 2007 and keep consumer and business funding uninterrupted. I examine how policy announcements affected excess ABS spreads, that is, spreads of newly issued ABS over and above broader financial market spreads, in the context of event studies. Though policy announcements effectively reduced and stabilized excess ABS spreads by late 2009, the volume of new issuance remained significantly low. Classification-JEL: E58, G1 Keywords: Securitization, ABS Spreads, TALF, Central Banking Journal: The International Journal of Business and Finance Research Pages: 1-18 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: Faisal Alzaidi Title: NEWLY ADOPTED CORPORATE GOVERNANCE MECHANISM IMPACT ON THE PERFORMANCE OF PUBLIC JAPANESE OVERSEAS ACQUIRERS Abstract: This paper investigates relationships between two main corporate governance components namely the AntiTakeover Provisions (ATPs) as external component and Ownership Concentration as internal component and the short/long term performance of the Nikkei-listed Japanese cross-border acquirers during the last decade specifically from 2004 to the end of 2013. Market based cumulative abnormal returns (CARs) are used to represent the short term performance. The accounting based metric Return on Assets (ROA) is used to represent long term performance. Based on 222 events, a quantitative methods of events study and regression analysis were employed to reveal the relationships. The study found a negative, weak and statistically not significant relationship between the ATPs and short/long term performance. The other finding is that the relationship between ownership concentration and short/long term performance is almost negligible. These findings imply that the newly adopted corporate governance mechanism in Japan is still not as effective as in other developed markets such as USA and might need more time to reap tangible results Classification-JEL: G34, G14 Keywords: Anti-Takeover Provisions, Cumulative Abnormal Return, Corporate Governance, Ownership Structure, Events Study, Regression Analysis Journal: The International Journal of Business and Finance Research Pages: 19-28 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p: Template-Type: ReDIF-Article 1.0 Author-Name: Bala Arshanapalli Author-Name: William Nelson Title: TESTING FOR STOCK PRICE BUBBLES: A REVIEW OF ECONOMETRIC TOOLS Abstract: This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles. For demonstrative purpose, the tools were applied to historical stock price and dividend data starting from 1871 through 2014. The earliest tools developed were Shiller’s variance bound tests and West’s two step procedure. Though these tools are useful in detecting asset prices, they are subject to some serious econometric issues. To address these limitations, Cointegration methods were used to detect asset price bubbles. Unfortunately, if there are collapsing bubbles, Cointegration techniques cannot identify multiple bubbles. To overcome this Phillips, Shi and Yu (2015) developed a right tailed Augmented DickeyFuller test. This test not only identifies multiple bubbles but also dates the starting and ending period of a bubble. Availability of such real time monitoring tool would significantly help investors, retirees, and portfolio managers to rebalance their portfolios during such bubble periods Classification-JEL: G12, G14 Keywords: Stock Price Bubble, Cointegration, and Right Tail ADF Journal: The International Journal of Business and Finance Research Pages: 29-42 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:29-42 Template-Type: ReDIF-Article 1.0 Author-Name: Ranjini L. Thaver Author-Name: Jimmie Lopez Title: UNEMPLOYMENT AS A DETERMINANT OF GOLD PRICES: EMPIRICAL EVIDENCE Abstract: This objective of this econometrics study is to utilize Pesaran’s (2001) Bounds Test to cointegration to study the relationship between gold prices and the US unemployment rate, using three different periods of monthly observation, Model I: 1978-2016, Model II: 1990-2016, and Model III: 2008-2016. Results reveal that there is a long run relationship between the price of gold and unemployment in Models II and III, with Model III representing the strongest and most significant relationship. During 2008-2016 the price of gold increases by 4.7% for every 1% change in the unemployment rate, ceteris paribus. The short run adjustment process however, is stronger between 1990-2016 than between 2008-2016. On the other hand, there is no observed no long run cointegrated relationship between the price of gold and unemployment during the 1978-2016 period. This direct relationship between gold price and unemployment has not been studied in the literature, so further work in this area may lead to greater insight into the impact of this macroeconomic variable on the price of gold Classification-JEL: E42, L7, N5 Keywords: Cointegration, Gold, Unemployment, Exchange Rate, VIX Journal: The International Journal of Business and Finance Research Pages: 43-52 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:43-52 Template-Type: ReDIF-Article 1.0 Author-Name: Jedediah Baker Title: FORECASTING VOLUME AND PRICE IMPACT OF EARNINGS SURPRISES USING GOOGLE INSIGHTS Abstract: This paper examines the predictability of price and volume movements using Google Insights on equities exhibiting earnings surprise and the association with pre-announcement information searching. The motivation for this paper is to answer two primary research questions. First of all, using more recent stocks earnings surprise, is Google search data a good indicator of investor interest prior to the earnings announcement? Second does the Google data add to the predictability of post earnings volume and pricing direction? Data on earnings surprise were taken from Yahoo Finance and Google search volume data were taken from the Google trends website. While the results found in the analyses above are not highly convincing regarding Google trends data and price movement from earnings surprise, the results on the volume models yielded promising (i.e. significant) results. Moreover, Mean Absolute Error was reduced by approximately 8% when incorporating the Google trends data on volume predictions Classification-JEL: G17 Keywords: Predictability, Volume Movements, Earnings Surprise, Google Journal: The International Journal of Business and Finance Research Pages: 53-62 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:53-62 Template-Type: ReDIF-Article 1.0 Author-Name: Lamia Bouattour Boulifa Author-Name: Dalenda Rzig Khouaja Title: COULD BASEL III CAPITAL AND LIQUIDITY REQUIREMENTS AVOID BANK FAILURE? Abstract: The aim of this study is to examine the contribution of the Basel III requirements in reducing bank failure risk through three different measures: the new long-term liquidity ratio (Net Stable Funding Ratio: NSFR), the Leverage ratio and the capital Tier One ratio. We use data on U.S. commercial banks during the 2008-2010 subprime crisis period. Our results depend on bank size: small banks are more sensitive to their fundamentals than large banks when it comes to failure risk. For large banks, no more safety is driven from the Leverage ratio or from the NSFR when Tier One ratio is applied. We also find that Leverage ratio considering off-balance sheet can be a complementary constraint for reducing bank regulatory arbitrage Classification-JEL: G01, G20, G21, G28 Keywords: Financial Crisis, Bank Failure, Liquidity Creation, Basel III, Regulation, NSFR Journal: The International Journal of Business and Finance Research Pages: 63-71 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:63-71 Template-Type: ReDIF-Article 1.0 Author-Name: Y. Abdul Karimu Tossa Title: ESTIMATING AND ANALYZING THE TECHNICAL EFFICIENCY OF BANKS IN GHANA Abstract: This study examined the Technical Efficiency (TE) of commercial banks in Ghana and the determinants of TE in the banking sector. Data Envelopment Analysis (DEA), Random-Effects Tobit regression and Ordinary Least Square (OLS) were the statistical tools used on a sample of 21 banks operating between 2009 and 2013. The results showed that there were more technically inefficient banks in the country than there were technically efficient ones. Another revelation was that, on the average, TE varied directly in proportion to bank size within the two upper quartiles but large banks did not benefit from economy of scales as an edge over small banks. Finally, Gross Domestic Product (GDP) per capita, inflation, credit risk, size and operating cost negatively influenced efficiency while market concentration had a positive influence on efficiency. In our recommendations, we admonished Bank managers to minimize their operating cost and credit risk. Similarly, we recommended that government limit inflation. Finally, we upheld the continuation of the policy of higher capitalization that the Bank of Ghana had been pursuing Classification-JEL: G21 Keywords: Bank, Technical Efficiency, DEA, Determinants Journal: The International Journal of Business and Finance Research Pages: 73-90 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:73-90 Template-Type: ReDIF-Article 1.0 Author-Name: David Nickerson Title: ASSET PRICE VOLATILITY AND EFFICIENT DISCRIMINATION IN CREDIT MARKET EQUILIBRIUM Abstract: Significant variation in the terms and volume of lending across classes of borrowers distinguished only by qualities independent of credit risk is often interpreted as evidence of inefficient or inequitable discrimination in credit markets. Increasing accuracy in the measure of credit risk renders common theories of lending discrimination and credit rationing based on lender preferences or asymmetric information increasingly implausible. We consider a traditional model of lending with complete markets, in which equilibria may exhibit disparate loan terms or access to credit across such classes of borrowers, despite common knowledge about the parameters describing the market. Rather than evidence of inefficient equilibria owing to discrimination, however, such equilibria can arise solely from the influence of asset price volatility on participants strategically exercising the options embedded in standard debt contracts. Extending substantially different loan terms or even rationing credit to different classes of borrowers can be a rational response by value-maximizing lenders when borrower classes are correlated with the degree of price volatility exhibited by the otherwise similar assets being financed by members of each of these classes. We discuss our results in the context of actual credit markets Classification-JEL: G13, G15, O16 Keywords: Credit Rationing, Debt Contracts, Discrimination, Stochastic Differential Game Journal: The International Journal of Business and Finance Research Pages: 91-101 Volume: 10 Issue: 4 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n4-2016/IJBFR-V10N4-2016-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:91-101