Template-Type: ReDIF-Article 1.0 Author-Name: Bienvenido S. Cortes Author-Name: Zheng Yao Ooi Title: THE IMPACT OF SBA LENDING ACTIVITY ON MICROPOLITAN STATISTICAL AREAS IN THE U.S. SOUTHEAST Abstract: This study examines the economic impact of Small Business Administration (SBA) guaranteed lending activity on the 12 states comprising the Southeast region (Alabama, Arkansas, Florida, Georgia, Kentucky, Louisiana, Mississippi, North Carolina, South Carolina, Tennessee, Virginia, and West Virginia) for the 1990-2015 period. Past studies find that the effect of Small Business Administration loans on regional economic performance, particularly in low-income areas, is positive but negligible. The study adds to the literature by focusing on a government-defined geographic unit called the micropolitan statistical area (which consists of at least one county with an urban core population of 10,000-50,000). The objective is to measure and evaluate the effect of Small Business Administration loans on various indicators of micropolitan area economic activity (gross regional product, employment, and income growth), while also controlling for other determinants of local economic growth. The study applies fixed effects regression model on a cross-section of 153 micropolitan areas for three subperiods in 1990-2015. It finds that micropolitan area economic growth in the Southeast region is dependent on Small Business Administration -guaranteed lending, industrial composition, human capital, and demographic factors Classification-JEL: R11, O16 Keywords: Micropolitan Statistical Area, SBA, Fixed Effects Journal: The International Journal of Business and Finance Research Pages: 1-8 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:1-8 Template-Type: ReDIF-Article 1.0 Author-Name: Lamia Bouattour Boulifa Author-Name: Slim Khouaja Title: VALUE CREATION IN BANKS AND INFORMATIONAL CONTRIBUTION OF VALUE EFFICIENCY Abstract: This paper investigates the contribution of cost, profit and value efficiency in explaining bank performance for a sample of U.S. listed bank holding companies from 2004 to 2006. In the first stage of the analysis, we estimated efficiency scores and made a descriptive analysis. We found a strong correlation between profit and value efficiency scores although these two concepts are not necessarily associated with cost minimization objective. In the second stage, we measured bank performance using; first, stock return as an indicator of market sensitivity and second, EVA as shareholder value creation indicator. We used OLS and Panel regression models to assess the informational contribution of these efficiency concepts. Our results show that market indicators are not very sensitive to bank efficiency. Thus, shareholder value creation can better be explained by value efficiency rather than profit or cost efficiency Classification-JEL: G21, G32 Keywords: Shareholder Value, Cost, Profit and Value Efficiency, Stochastic Frontier, EVA, Banking, Market Performance Journal: The International Journal of Business and Finance Research Pages: 9-19 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:9-19 Template-Type: ReDIF-Article 1.0 Author-Name: Abdelaziz Hakimi Author-Name: Khemais Zaghdoudi Author-Name: Taha Zaghdoudi Author-Name: Nesrine Djebali Title: WHAT THREATENS TUNISIAN BANKING STABILITY? BAYESIAN MODEL VERSUS PANEL DATA ANALYSIS Abstract: This paper aims to investigate the main determinants of Tunisian bank stability. To achieve this goal; we have used a dataset of ten (10) Tunisian banks during the period 1990-2015. These banks are the most dynamic and the most involved in the financing of the economy. The econometric strategy used in this paper was based on two approaches. The first one performed the Bayesian Model Average (BMA) to detect the most important indicators influencing bank stability. The second one was based on panel data analysis involving random effect regression. Results of these two methods have indicated that Tunisian bank stability is more sensitive to capital adequacy ratio, liquidity risk and the interaction between credit risk and liquidity risk. The capital adequacy ratio is positively and highly significantly associated with the dependent variable (Z-Score). However, liquidity risk and interaction variables exert a negative and significant effect on bank stability. These results have important policy implications. Banks and policy makers should continue to strengthen the capital adequacy ratio since it significantly contributes to improving bank stability. However, they should pay attention to liquidity risk as the main determinant of bank instability Classification-JEL: C63, E44, G21, G28 Keywords: Bank Stability, Bank Specifics, Industry Specifics, Macroeconomics, Bayesian Model, Panel Data, Tunisia Journal: The International Journal of Business and Finance Research Pages: 21-37 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:21-37 Template-Type: ReDIF-Article 1.0 Author-Name: Jack J.W. Yang Author-Name: Chien-Tsung Li Title: CAN SKEWED GARCH-TYPE DISTRIBUTIONS IMPROVE VOLATILITY FORECASTS DURING GLOBAL FINANCIAL CRISIS? Abstract: This paper is related to the work of Patton (2011), who proposed the required robust loss functions MSE and QLIKE for imperfect fluctuations in the proxy variables, as well as the use of GW and MCS test for statistical analysis. In the same volatility model, the use the GW test pairing for comparing volatility forecasts of skewed and non-skewed error distributions. With the exception of EGARCH, the results produce no clear evidence of better prediction by a non-skewed distribution. In the same volatility model, the comparison of six different error distribution functions for volatility forecast showed no consistent result. In addition to the APARCH model with skewed Student-t distribution, the remaining results favored in nonskewed error distribution function for better prediction. In the comparison of all 30 models for forecasting volatility, better prediction models were all based on APARCH with six different error distribution functions. However, with a 90% confidence level, according to MCS tests, they all were included in the set of better volatility prediction models. A return with skewness, leptokurtic, and thick tail does not necessarily have the best performance in volatility prediction in the skewed error distribution Classification-JEL: C58, G01 Keywords: Volatility Forecast, Mode Confidence Set (MCS), Global Financial Crisis, Giacomini and White Test (GW Test) Journal: The International Journal of Business and Finance Research Pages: 39-50 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:39-50 Template-Type: ReDIF-Article 1.0 Author-Name: Chris, C. Hsu Title: HOW FUEL PRICE SHOCKS AFFECT AIRLINE STOCK RETURNS: AN EMPIRICAL STUDY OF MAJOR US CARRIERS Abstract: This study investigated how airline stock prices respond to fuel price shocks using the asymmetric Glosten-Jagannathan-Runkle GARCH (GJR-GARCH (1,1)) model. Six airlines were selected, based on their service regions: American Airlines, Delta Air Lines, and United Airlines are larger international carriers that use various types of aircraft in their fleets and provide services in major continents, whereas Southwest Airlines, JetBlue Airways, and US Airways emphasize domestic market services and primarily use single-aisle aircraft. West Texas Intermediate Crude Oil (WTI) prices were adopted as the index of fuel prices. Based on our empirical results, a fuel price shock triggered fluctuations in airline stock returns. Moreover, American Airlines, Delta Air Lines, United, Airlines and US Airways experienced statistically significant negative relationships between their stock returns and fuel price shocks. Also, fuel price shocks significantly impacted airline stock returns during periods in which fuel prices increased but did not correlate with them during those in which such prices fell Classification-JEL: G11, G14 Keywords: Fuel Shocks, GJR-GARCH, Airline Stock Return, Return Volatilities Journal: The International Journal of Business and Finance Research Pages: 51-59 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:51-59 Template-Type: ReDIF-Article 1.0 Author-Name: Ping Wang Title: THE EFFECT OF ACCOUNTING-BASED DEBT COVENANT DISCLOSURES ON SHAREHOLDER WEALTH Abstract: This study examines whether disclosures of the terms of accounting-based debt covenants affect shareholder wealth. Specifically, I focus on market reaction at the time of the announcement of technical default. I find that firms that disclosed the terms of the covenants in prior Securities and Exchange Commission (SEC) filings experience less negative price response during the three-day window surrounding the announcements. I also provide evidence that the market reaction to technical default varies systematically with the size of the debt contract over total liabilities, which I use as a proxy for the materiality of the contract. Further analyses show that through such disclosure, first, there is less shareholder wealth loss, in particular, at firms where the contracts are less material, and, second, the relation between market reaction to technical default and the materiality of the contract is significant only when the contracts are material. These findings have financial reporting implications for standard setters Classification-JEL: M41, M48 Keywords: Shareholder Wealth, Debt Covenants, Technical Default, Voluntary Disclosures, Materiality Journal: The International Journal of Business and Finance Research Pages: 61-78 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:61-78 Template-Type: ReDIF-Article 1.0 Author-Name: Chih-Wen Yang Author-Name: Chun-An Li Author-Name: Sam Ting-Hsin Hsu Title: INVESTOR ATTENTION, PSYCHOLOGICAL ANCHORS, AND THE STEALTH INDEX Abstract: We categorize the stocks in the Taiwan share market by size, value, and growth, then form the portfolio index for each group according to the Taiwan Stock Exchange’s weighted index method. Li and Yu’s (2012) measurement method for investors’ under- and overreactions, as well as Fama and French’s (1993) three-factor analysis, are utilized to examine under- and overreactions regarding shares that cannot be observed by investors. The empirical results indicate that aside from the existence of under- and overreactions in the Taiwan Stock Exchange’s weighted index, the indices formed according to stock size, value, and growth also contribute to price reactions. Li and Yu (2012) measure investors’ reactions based on anchoring and limited attention. This study discovers that aside from a highly exposed market index, various stocks’ non-observable weighted indexes also demonstrate the under- and overreaction phenomenon. This indicates that share prices would still be affected by both limited attention to other important information and the investor’s anchoring Classification-JEL: G12, G14 Keywords: Underreaction, Overreaction, Three-Factor Model Journal: The International Journal of Business and Finance Research Pages: 79-92 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:79-92 Template-Type: ReDIF-Article 1.0 Author-Name: Jed Baker Title: U.S. AND COSTA RICA STOCK MARKET COINTEGRATION Abstract: This paper tests the stationarity and cointegration of the historical daily data on the S&P 500 and the Costa Rican Bolsa Nacional de Valores (BNV). Both the Engle-Granger and Johansen Cointegration Tests are used to estimate this relationship. Results suggest that S&P 500 data and BNV are cointegrated although causal indicators between the two methods are contradictory. Specifically, the Granger Causality test suggests the S&P 500 is causal of BNV movement, while the coefficients in the error corrected model of the Johansen test are insignificant between S&P lags and BNV movement Classification-JEL: G15 Keywords: International Financial Markets, Financial Market Cointegration Journal: The International Journal of Business and Finance Research Pages: 93-104 Volume: 11 Issue: 2 Year: 2017 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:93-104