Template-Type: ReDIF-Article 1.0 Author-Name: Stoyu I. Ivanov Title: DISCRETIONARY DELETIONS FROM THE S&P 500 INDEX: EVIDENCE ON FORECASTED AND REALIZED EARNINGS Abstract: The literature in the area of index changes finds evidence that index changes are information free events. However, Denis, McConnell, Ovtchinnikov and Yu (2003) find evidence contrary to this theory. This study extends the work of Denis, McConnell, Ovtchinnikov and Yu (2003) in an attempt to complete the assessment of the information hypothesis of index changes. Denis, McConnell, Ovtchinnikov and Yu (2003) address only index additions and do not examine index deletions in their study. Our contribution is in filling this void in the literature by examining forecasted and realized earnings of firms discretionary deleted from the S&P 500 index in the period October 1989 – December 2007. The study finds that contrary to the prediction of the information hypothesis the earnings forecasts and actual earnings of firms discretionary removed from the S&P 500 index on average increase. Classification-JEL: G12; G14 Keywords: S&P 500 discretionary deletions, S&P 500 changes, earnings forecasts Journal: The International Journal of Business and Finance Research Pages: 1-9 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:1-9 Template-Type: ReDIF-Article 1.0 Author-Name: Ranjini L. Thaver Author-Name: E. M. Ekanayake Title: THE IMPACT OF APARTHEID AND INTERNATIONAL SANCTIONS ON SOUTH AFRICA'S IMPORT DEMAND FUNCTION: AN EMPIRICAL ANALYSIS Abstract: In this paper we ascertain South Africa’s aggregate import demand function over the period 1950 to 2008 utilizing the bounds testing approach to cointegration, and the unrestricted error-correction model. Our study empirically investigates the impact of apartheid (1950-1994), in particular the period of international sanctions (1981-1994) against the apartheid government, on South Africa’s imports. Further, we utilize the autoregressive distributed lag model to estimate short-run and long-run import elasticities. Our results reveal that imports depend positively on the levels of domestic economic activity and foreign exchange reserves but negatively on relative prices. In addition, apartheid has had a significant short-run negative impact on import demand, but is insignificant in the long-run. Furthermore, international sanctions affected import demand positively in the short-run, but negatively in the long-run We argue that appropriate public policy is necessary to reduce the economy’s reliance on imports of capital and intermediate goods, especially oil, while simultaneously diversifying its exports base. Strengthening trade relations with other developing countries will give it an exchange rate advantage, improve its balance of payments, create macroeconomic stability, growth, and with that, alleviate unemployment and poverty in South Africa. Classification-JEL: F14, F31 Keywords: South Africa, aggregate import demand, real exchange rates, elasticity Journal: The International Journal of Business and Finance Research Pages: 11-22 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:11-22 Template-Type: ReDIF-Article 1.0 Author-Name: Dirk Swagerman Author-Name: Ivan Novakovic Title: MULTI-NATIONAL EVIDENCE ON CALENDAR PATTERNS IN STOCK RETURNS: AN EMPIRICAL CASE STUDY ON INVESTMENT STRATEGY AND THE HALLOWEEN EFFECT Abstract: This research tries to find evidence for the Halloween effect by presenting an assessment of the profitability of the Sell in May, and go away investment strategy associated with this phenomenon. We present significant proof of the existence of the Halloween effect; it was observed in 29 of the 31 countries under study. There appears to be a difference in the seasonal returns between developed and emerging markets. Attention is also paid to the Halloween effect at the industry level. Here, a comparison between the Sell in May, and go away investment strategy and the buy-and-hold strategy proves the first to be superior. Classification-JEL: G110, G120 Keywords: January Effect, Investment Decisions Journal: The International Journal of Business and Finance Research Pages: 23-42 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:23-42 Template-Type: ReDIF-Article 1.0 Author-Name: Md Hamid Uddin Title: CORPORATE SPIN-OFFS AND SHAREHOLDERS' VALUE: EVIDENCE FROM SINGAPORE Abstract: A Parent company occasionally spins off a wholly owned subsidiary or division, if it helps improve operational efficiency, reduce information asymmetry, reduce tax liability, and improve corporate governance. Therefore, it is suggested that corporate spin-offs create shareholders' value. It is also suggested that spin-off decisions may result in redistribution of wealth from debt holders to shareholders, because a part of the total assets of parent company are transferred to a newly incorporated independent company that replaces the wholly owned subsidiary or division. This study examines the value effect of 25 such corporate spin-off events that occurred in Singapore. Results show that parent shareholders gain about 15.73 percent value after spin-offs. Of which, 6.62 percent gain occurs in spin-off stocks while the remaining 9.11 percent occurs in parent stocks. The finding is consistent with the argument that corporate spin-offs have economic benefits to help increase shareholders' value. It is also found that total spin-off value gain is significantly correlated with the debt asset ratio of parent firms, which sheds light on the possibility of wealth redistribution from the bondholders to shareholders due to change in parent capital structure after spin-off. Classification-JEL: G14 Keywords: Spin-offs, Shareholder Value, Parent Stock, Spin-off Stock, and Divestiture. Journal: The International Journal of Business and Finance Research Pages: 43-58 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:43-58 Template-Type: ReDIF-Article 1.0 Author-Name: Ohannes G. Paskelian Author-Name: Stephen Bell Author-Name: Chu V. Nguyen Title: CORPORATE GOVERNANCE AND CASH HOLDINGS: A COMPARATIVE ANALYSIS OF CHINESE AND INDIAN FIRMS Abstract: In this study, we examine the impact of concentrated ownership on cash valuation and the level of cash holdings in firms the emerging nations of China and India. Agency theories suggest that firms with high levels of concentrated ownership are subject to greater extraction of private benefits from cash holdings. Our study utilizes Chinese firms data from 1993-2006 and Indian firms data from 2003-2006. We examine the relationship between firm valuation and cash holdings with different levels of governmental ownership concentration, family ownership levels and foreign ownership levels. Our findings show that Chinese firms with high levels of government ownership have larger cash holdings suggesting more opportunities for private benefits extraction thus leading to lower firm valuation. In contrast, we find that Indian firms with high level of family ownership have low cash holdings and record better performance. Chinese investors view governmental ownership as a determinant that reduces firm value. Indian investors see high levels of family ownership as a factor that enhances firm value. This study enhances the body of knowledge concerning the nature of cash holdings and firm value in emerging nations of China and India. Classification-JEL: G31, G34 Keywords: Cash Holdings, ownership structure, corporate governance, Chinese firms, Indian firms, firm valuation. Journal: The International Journal of Business and Finance Research Pages: 59-73 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:59-73 Template-Type: ReDIF-Article 1.0 Author-Name: Olajide S. Oladipo Title: FOREIGN DIRECT INVESTMENT (FDI): DETERMINANTS AND GROWTH EFFECTS IN A SMALL OPEN ECONOMY Abstract: In an attempt to attract foreign direct investment, many African countries embarked on various reforms. Nigeria, like many African countries, took some steps towards trade reforms and macroeconomic regime and introduced measures aimed at improving the FDI regulatory framework. In the form of stocktaking, this study examines the determinants of FDI, the causal relationship among factors affecting economic growth in Nigeria, including the formal investigation of the export-led and FDI-led growth hypotheses in Nigeria for the period between 1970 and 2005. We found that Nigeria’s potential market size, the degree of export orientation, human capital, providing enabling environment through the provision of infrastructural facilities, and macroeconomic stability are important determinants of FDI flows. Further, our results confirms that foreign direct investment leads to economic growth and that government consumption expenditure, openness to international trade and human capital are complementary to economic growth. Controlling for domestic investment growth as well as other factors, causality tests show support for both the export-led growth and FDI-led growth hypotheses for Nigeria. Classification-JEL: F21, F23, O55 Keywords: Foreign Direct Investment, Exports, Growth Journal: The International Journal of Business and Finance Research Pages: 75-88 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:75-88 Template-Type: ReDIF-Article 1.0 Author-Name: Ilhan Meric Author-Name: Christine Lentz Author-Name: Wayne Smeltz Author-Name: Gulser Meric Title: EVIDENCE ON THE PERFORMANCE OF COUNTRY INDEX FUNDS IN GLOBAL FINANCIAL CRISIS Abstract: During the October 9, 2007-March 9, 2009 period, the U.S. stock market experienced the worst bear market in its history since the Great Depression. Empirical studies show that exchange-traded country index funds can provide portfolio diversification benefits to investors in bull markets. However, they may not be good investment opportunities in bear markets. In this paper, we demonstrate that most country index funds had worse performance than the U.S. S&P 500 Index and they provided little or no diversification benefits to U.S. investors during the October 9, 2007-March 9, 2009 bear market. Classification-JEL: G11; G15; G21; G28 Keywords: Financial crisis, bear market, country index funds, Sharpe and Treynor portfolio performance measures, principal components analysis, portfolio diversification Journal: The International Journal of Business and Finance Research Pages: 89-101 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:89-101 Template-Type: ReDIF-Article 1.0 Author-Name: Lucia Gibilaro Author-Name: Gianluca Mattarocci Title: PREDICTORS OF NET TRADE CREDIT EXPOSURE: EVIDENCE FROM THE ITALIAN MARKET Abstract: In light of multiple motivations for the use of trade credit, firms tend to supply and receive trade credit at the same time, so the choice to engage in one of these activities could influence the other. Many studies proposed in the literature define models of trade credit and provide empirical evidence, looking mainly at only one aspect of trade policy at a time. The few studies comparing gross and net exposure models are based on a limited set of variables or on a limited time horizon. In the context of one of the more relevant world markets (Italy), this paper compares models for gross and net exposure, demonstrating a significant difference in the statistical fitness of the two models and in the characteristics of the explanatory variables. The results demonstrate the existence of a strict relationship between trade credit and debt choices and suggest some unique features of net models compared to gross ones. Classification-JEL: G31,G32, C31 Keywords: trade credit, Italy Journal: The International Journal of Business and Finance Research Pages: 103-119 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:103-119 Template-Type: ReDIF-Article 1.0 Author-Name: William S. Chang Title: THE DIFFERENT PROPORTION OF IC COMPONENTS AND FIRMS’ MARKET PERFORMANCE: EVIDENCE FROM TAIWAN Abstract: The study adjusts Pulic’s (2000) intellectual capital approach, “Value Added Intellectual Coefficient (VAICTM), to measure firms’ value creation and market performance. The research here adds two new intellectual capital components, Research and Development (R&D) expenditure and intellectual property, into Pulic's approach. Data were collected from 2005-2007 annual reports of companies listed on the Taiwan Stock Exchange Corporation (TSEC) and Market Observation Post System (MOPS). The results support the hypothesis that firms’ intellectual capital has a positive impact on market performance and its profitability in a modified VAIC method. The author finds that R&D expenditure and intellectual property (TCE) capture additional information about value creation. Furthermore, firms with a different intellectual capital contribution create a different market performance. Thus, in the knowledge-based economy, not only should the value of intellectual capital (IC) be considered, but also the allocation of IC. Finally, both information technology (IT)- and Non-IT corporations must value and manage their intellectual capital, particularly R&D and intellectual property, in order to create long-term competitiveness and create a higher market return. Classification-JEL: G30 Keywords: Intellectual capital, R&D expenditure, intellectual property, VAICTM Journal: The International Journal of Business and Finance Research Pages: 121-134 Volume:4 Issue: 4 Year: 2010 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n4-2010/IJBFR-V4N4-2010-9.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:121-134