Template-Type: ReDIF-Article 1.0
Author-Name: Swarn Chatterjee
Title: IMMIGRANTS HAVE LOWER PARTICIPATION RATES IN U.S. FINANCIAL MARKETS?
Abstract: This paper uses data from the National Longitudinal Survey to examine the differences in individual financial market participation among native-born and immigrant Americans. The results indicate that when compared with natives, immigrants are less likely to own financial assets. A decomposition analysis of financial asset ownership reveals that income gap along with differences in educational attainment as well as the wealth and risk tolerance are the biggest contributors to this disparity. Additionally, income, wealth, inheritance, and educational attainment are positive predictors of financial market participation. Age, income, net worth and number of years of stay in the United States are positively associated with increase in financial wealth of immigrants across time.
Classification-JEL: D14, G11, N30
Keywords: Immigrants, Household finance, Investor behavior, Stock market participation
Journal: The International Journal of Business and Finance Research
Pages: 1-13
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-1.pdf
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Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:1-13

Template-Type: ReDIF-Article 1.0
Author-Name: José E. Gómez-Gonzalez
Author-Name: Nicholas M. Kiefer
Title: BANK FAILURE: EVIDENCE FROM THE COLOMBIAN FINANCIAL CRISIS
Abstract: Bank-specific determinants of bank failure during the financial crisis in Colombia are identified and studied using duration analysis. The process of failure of banks and related financial institutions during that period can be explained by differences in financial health and prudence across institutions. The capitalization ratio is the most significant indicator explaining bank failure. Increases in this ratio lead to a reduction in the hazard rate of failure at any given moment in time. This ratio exhibits a non-linear component. At lower levels of capitalization small differences in capitalization are associated with larger differences in failure rates. Our results thus provide empirical support for existing regulatory practice. Other important variables explaining bank failure dynamics are the bank´s size and profitability.
Classification-JEL: C41; E4; E58; G21; G23; G38
Keywords: Financial institutions, bankruptcy, liquidation, capitalization, supervision, duration
hazard function.
Journal: The International Journal of Business and Finance Research
Pages: 15-31
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-2.pdf
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Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:15-31

Template-Type: ReDIF-Article 1.0
Author-Name: Jayoti Das
Author-Name: Cassandra DiRienzo
Title: THE NONLINEAR IMPACT OF GLOBALIZATION ON CORRUPTION
Abstract: Some researchers have argued that globalization has increased the opportunity for corrupt practices, while others state that globalization has lead to a decrease in corruption as countries wishing to join the global economy must comply with international anti-corruption rules and regulations. This study empirically explores this paradox using the Corruption Perceptions Index (CPI) and the Konjunkturforschungsstelle (KOF) globalization Index. The results suggest that a nonlinear relationship exists between globalization and corruption. Specifically, the results of this study suggest that the effect of globalization on corruption is dependent on the level of globalization with the highest corruption levels realized at moderate or transitioning levels of globalization.
Classification-JEL: F0, D73
Keywords: globalization, corruption, KOF globalization index
Journal: The International Journal of Business and Finance Research
Pages: 33-46
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-3.pdf
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Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:33-46

Template-Type: ReDIF-Article 1.0
Author-Name: Hans-Peter Burghof
Author-Name: Felix Prothmann
Title: CAN STOCK PRICE MOMENTUM BE EXPLAINED BY ANCHORING?
Abstract: Using German stock data from 1980 to 2008, this study tests whether stock price momentum can be explained by anchoring – a specific form of non-rational behavior. Three different empirical tests indicate that anchoring is the driver of the 52-week high strategy which is long in stocks with a price at or close to their one year high price and short in stocks with a price far from their 52-week high. With sorting and regression approaches, it is further shown that the 52-week high strategy itself largely dominates the momentum strategy and that the distance of a stock’s price to its 52-week high price is a better predictor of future returns than the momentum criterion.
Classification-JEL: G12, G14
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 47-69
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-4.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:47-69

Template-Type: ReDIF-Article 1.0
Author-Name: Dejun Xie
Title: THEORETICAL AND NUMERICAL VALUATION OF CALLABLE BONDS
Abstract: This paper studies the value of a callable bond and the bond issuer’s optimal financial decision regarding whether to continue the investment on the market or call the bond. Assume the market investment return follows a stochastic model, the value of contract is formulated as a partial differential equation system embedded with a free boundary, defining the level of market return rate at which it is optimal for the issuer to call the bond. A fundamental solution of the partial differential equation is derived, and used to formulate the value of the bond. A bisection scheme is implemented to solve the problem numerically.
Classification-JEL: D4, D46 G14, G15
Keywords: Callable Bonds, optimal financial decision, stochastic model
Journal: The International Journal of Business and Finance Research
Pages: 71-82
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-5.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:71-82

Template-Type: ReDIF-Article 1.0
Author-Name: Philip Maymin
Title: THE HAZARDS OF PROPPING UP: BUBBLES AND CHAOS
Abstract: In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper shows that government intervention and propping up are likely to lead to long-term bubbles and even wildly chaotic behavior. The discontinuities occur when the committed capital reaches a critical amount that depends on just two parameters: the market impact of trading and the target exposure percentage.
Classification-JEL: G28; G11; G12; G13
Keywords: Government Policy and Regulation financial distress, market stabilization
Journal: The International Journal of Business and Finance Research
Pages: 83-93
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-6.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:83-93

Template-Type: ReDIF-Article 1.0
Author-Name: Hamid Shahrestani
Author-Name: Nahid Kalbasi Anaraki
Title: HOW DOES THE CANADIAN STOCK MARKET REACT TO THE FED'S POLICY?
Abstract: This study examines how the Canadian stock market reacts to the Fed’s policy. Although many research studies have measured the bilateral correlation among national stock markets, rarely have they investigated this correlation within a Free Trade Zone (FTZ). We use a Vector Error Correction Model (VECM) accounting for monetary and exchange rate policies to measure the long-term elasticity of Toronto Stock Exchange (TSE) not only to the Fed’s policy, through the movements of Federal Fund Rate (FFR), but also to the parity value of the Canadian-U.S. dollar exchange rate. The estimated results suggest that TSE is sensitive to both FFR, and the conversion rate of the US-Canadian dollar. The variance decomposition technique helps us to determine the main factors contributing to the movements of TSE. We
also use multivariate dynamic forecasts to predict TSE.
Classification-JEL: G1
Keywords: Stock market integrity, financial turmoil, North America Free Trade Agreement (NAFTA), Federal Fund Rate (FFR), Vector Error Correction Model (VECM), Toronto Stock Exchange (TSE).
Journal: The International Journal of Business and Finance Research
Pages: 95-104
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-7.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:95-104

Template-Type: ReDIF-Article 1.0
Author-Name: Naser Abdelkarim
Author-Name: Said Alawneh
Title: THE RELATIONSHIP BETWEEN CORPORATE GOVERNANCE AND THE PERFORMANCE OF PALESTINIAN FIRMS: AN EMPIRICAL STUDY
Abstract: This paper investigates the relationship between performance and corporate governance in Palestine. Firm performance is measured by Tobin’s Q, whereas corporate governance is determined based on the level of ownership concentration. Prior research in developed economies provides evidence that ownership concentration has a significant impact on firm performance, while evidence in emerging economies is inconclusive. However, in Palestine there is no prior empirical research on this
relationship. This paper reports the results of an empirical study of a sample of firms listed at Palestine Securities Exchange during the period (2003-2006). The sample of the study consists of (16) firms, which represent around 50% of all listed firms. The paper reports a series of regressions that account for different specifications of firm valuation and ownership concentration. The results indicate that ownership concentration has a good explanatory power of market value change as measured by Tobin's q for years 2003 and 2006 but not for years 2004 and 2005. This paper provides some evidence, although not decisive, that ownership concentration is
negatively related to firm value. This evidence invites further research in this area before deciding on the need for ownership de- concentration in Palestinian firms.
Classification-JEL: G30, G34, L25
Keywords: Corporate Governance, Ownership Concentration, Financial Performance, Tobin's Q, Market Value and Book Value
Journal: The International Journal of Business and Finance Research
Pages: 105-120
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-8.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:105-120

Template-Type: ReDIF-Article 1.0
Author-Name: Rafiu Oyesola Salawu
Title: THE EFFECT OF CAPITAL STRUCTURE ON PROFITABILITY: AN EMPIRICAL ANALYSIS OF
LISTED FIRMS IN NIGERIA
Abstract: This study investigates the influence of the capital structure on profitability of quoted companies in Nigeria. The study used secondary data from 1990 to 2004 collected from the selected Annual Report and Accounts of 50 non-financial quoted companies, and Fact Books published by the Nigerian Stock Exchange. The Pooled Ordinary Least Squares (OLS) model, Fixed Effect Model (FEM) and Random Effect Model (REM) were used in the analysis. The results indicate that profitability present a positive correlation with short-term debt and equity and an inverse correlation with long-term debt. Furthermore, the results show a negative association between the ratio of total debt to total assets and profitability. The result suggests that firms in Nigeria depend on external financing. In the Nigerian case, a high
proportion (60%) of the debt is represented in short-term debt. The study suggests that companies should implement an effective and efficient credit policy, which will improve the performance level of the turnover and growth. Finally, the top echelon of company management should take interest in the issue of capital structure and constantly monitor its form and adaptability.
Classification-JEL: G32
Keywords: Pooled Ordinary Least Squares, Fixed Effect Model, Random Effect Model, capital structure, profitability
Journal: The International Journal of Business and Finance Research
Pages: 121-129
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-9.pdf
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Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:121-129 
Template-Type: ReDIF-Article 1.0
Author-Name: Jian-Hsin Chou
Author-Name: Chien-Yun Chang
Author-Name: Chen-Yu Chen
Title: THE USE OF TERM STRUCTURE INFORMATION IN THE HEDGING OF JAPANESE GOVERNMENT BONDS
Abstract: This paper employs the Kalman filter to explore the impact of term structure variables in the hedging of Japanese Government Bonds (JGBs) with treasury futures. The term structure factors (level parameter 0 β , slope parameter 1 β , and curvature parameter, 2 β ) are based on Nelson and Siegel (1987) model. The out-of-sample hedging performance is also provided by moving window technology. The empirical results show the existence of significant relationships among the term structure factors, the earlier hedge ratio, and the optimal hedge ratio. However, the time-varying hedge ratio (which includes the term structure variables from the information set) did not provide good out-of-sample hedging effectiveness. Nevertheless, the out-of-sample results did demonstrate that the performance of the timevarying
hedge ratio with term structure variables is better than a hedge ratio with a naive hedge or OLS model in the 7–10-year Japanese Government Bond index.
Classification-JEL: G12, G15, G32
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 131-145
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-10.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:131-145

Template-Type: ReDIF-Article 1.0
Author-Name: Yang-Cheng Lu
Author-Name: Jehn-Yih Wong
Author-Name: Hao Fang
Title: HERDING MOMENTUM EFFECT AND FEEDBACK TRADING OF QUALIFIED FOREIGN INSTITUTIONAL INVESTORS IN THE TAIWAN STOCK MARKET
Abstract: This study extends the herding measures proposed by Warmers (1999), Lakonishok, Shleifer and Vishny (1992) and Borensztein and Gaston (2003) for stocks overbought and oversold by institutional investors as well as the information content related to institutional herding proposed by Nofsinger and Sias (1999). Our analysis further develops a herding measure related to the overbought herding measure, oversold herding measure, and overbought–oversold in dollar ratio for Qualified Foreign Institutional Investors (QFIIs) in the Taiwan stock market. Our results show that the short-term overbought herding measure and the mid-to-long-term oversold in dollar ratio by QFIIs are associated with herding effects resulting from positive feedback trading among QFIIs. The short-to mid-term overbought in dollar ratio by QFIIs is associated with clear herding effects, primarily resulting from the price-impact of herding. The results of this study contribute to the literature on herding measured by the buying number and dollar amounts of institutional investor. The results are also to be integrated with a series of research studies regarding reactions to information on securities markets.
Classification-JEL: G11, G14, G21, C21
Keywords: herding, feedback trading, cascading, momentum, QFIIs.
Journal: The International Journal of Business and Finance Research
Pages: 147-167
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-11.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:147-167

Template-Type: ReDIF-Article 1.0
Author-Name: Myojung Cho
Author-Name: John Shon
Author-Name: Yuan Xie
Title: CORPORATE DISCLOSURES AFTER THE EPTEMBER 11 TERRORIST ATTACKS
Abstract: We examine the actions that insurance firms take immediately after the September 11 attacks to reduce information asymmetries. We find that voluntary disclosure behavior is positively related to the magnitude of the September 11-related loss. Conditioning for the loss, disclosure behavior also systematically varies with firm leverage. However, these disclosures do not seem to impact the bid-ask spreads of the disclosing firms, perhaps because of the higher levels of uncertainty related to the extreme nature of the attacks. The study sheds light on the reactions of management during crisis events and the effect (or lack thereof) of such actions on firms’ information environment.
Classification-JEL: G14, G22, M40
Keywords: Corporate disclosure, terrorist attacks, bid-ask spread, crisis management
Journal: The International Journal of Business and Finance Research
Pages:169-174
Volume:3
Issue: 2
Year: 2009
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v3n2-2009/IJBFR-V3N2-2009-12.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:169-174