Template-Type: ReDIF-Article 1.0 Author-Name: Li-Hua, Lin Author-Name: Szu-Hsien Lin Author-Name: Ya-Chiu Angela Liu Title: STOCK REPURCHASE ANNOUNCEMENTS AND STOCK PRICES EVIDENCE FROM TAIWAN Abstract: This paper uses an event study methodology to examine the stock price behavior surrounding announcements of stock repurchases made by Taiwan firms from 2000 to 2008. Our analysis shows that stock prices go up in response to stock repurchase announcements. We also find the announcement effects between various industries to be significantly different; the announcement effect is greatest in the financial industry and least in the electronics industry. Finally, firms which fully executed stock repurchases were confirmed to have experienced a relatively large stock price decline in the pre-announcement period compared with those which executed less than 10% stock repurchases; however, there is no significant difference in their announcement effects. Classification-JEL: G14 Keywords: Stock repurchases, event study, abnormal return, cumulative abnormal return Journal: The International Journal of Business and Finance Research Pages: 1-12 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 Author-Name: Sarra Ben Slama Zouari Author-Name: Abdelkader Boudriga Author-Name: Neila Boulila Taktak Title: DETERMINANTS OF IPO UNDERPRICING: EVIDENCE FROM TUNISIA Abstract: This paper empirically analyzes the short run performance of Tunisian initial public offerings (IPO). It sheds light on the determinants of IPO’s in a context of a frontier market characterized by high information asymmetry, low information efficiency, thin trading and the presence of noise traders. Using a sample of 34 Tunisian IPO’s from the period 1992-2008, we find an average market adjusted initial return for the first three trading days of about 17.8 percent. The factors significantly related to the underpricing are retained capital, underwriter’s price support, oversubscription, listing delay and the offer price. Age of the firm, its size and the size of the offer do not seem to reduce the amount of money left on the table by issuers. It appears also that underpricing is driven by irrational investors (ipoers) seeking for short-run capital gains. These results remain unchanged after controlling for the presence of institutional investors, price discount and the existence of liquidity contract. Overall, the results show that investors rely mainly on side information to value IPOs. Classification-JEL: G14; G3 Keywords: Initial public offerings, Short-run underpricing, Underwriter’s price support. Journal: The International Journal of Business and Finance Research Pages: 13-32 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:13-32 Template-Type: ReDIF-Article 1.0 Author-Name: Ming-Hui Wang Author-Name: Mei-Chu Ke Author-Name: Day-Yang Liu Author-Name: Yen-Sheng Huang Title: DIVIDEND POLICY AND THE LIFE CYCLE HYPOTHESIS: EVIDENCE FROM TAIWAN Abstract: This paper examines the dividend policy for firms listed on the Taiwan Stock Exchange and test the life cycle hypothesis. The sample involves 6031 observations of dividend payments over the 16-year period 1992-2007. Consistent with the prediction of the life cycle hypothesis, the results indicate that dividend payers (cash dividends, stock dividends, or both) are associated with higher profitability, higher asset growth rate, and higher market-to-book ratio than non-payers (none dividends). The median return on assets (ROA) is 7.03% for dividend payers and -0.93% for non-payers. Similarly, the median market-to-book ratio is 1.69 for dividend payers as opposed to 0.80 for non-payers. Moreover, the results indicate that stock-dividend payers are associated with higher asset growth rate, but lower ratio of retained earnings to total equity than those for cash-dividend payers. In particular, stock-dividend payers are associated with higher asset growth rate and lower return on assets, lower retained to total equity ratio than those for cash-dividend payers. These results are consistent with the life cycle hypothesis of dividend payment in that younger firms with higher growth potential but lower profitability tend to distribute more stock dividends than cash dividends. When firms become more mature as characterized by lower growth potential but higher profitability tend to distribute more cash dividends as opposed to stock dividends. Classification-JEL: G32; G35 Keywords: dividend policy, cash dividend, stock dividend, life cycle hypothesis Journal: The International Journal of Business and Finance Research Pages: 33-52 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:33-52 Template-Type: ReDIF-Article 1.0 Author-Name: Olubayo Thomas Olajide Author-Name: Taiwo Asaolu Author-Name: Charles Ayodele Jegede Title: THE IMPACT OF FINANCIAL SECTOR REFORMS ON BANKS PERFORMANCE IN NIGERIA Abstract: This study examined the impact of financial reforms on banks’ organizational performance in Nigeria between 1995 and 2004. It specifically determined the effects of policies of interest rates deregulation, exchange rate reforms and bank recapitalization on banks performance, and analyzed how banks internal characteristics and industry structure affect the performance of Nigerian banks. The study utilized panel data econometrics in a pooled regression, where time-series and cross-sectional observations were combined and estimated. The result of econometric panel regression analysis confirmed that the effects of government policy reforms, bank specific characteristics and industry structure has mixed effects on banks profitability level and net interest margin of Nigerian banks. Bank specific characteristics appear to have significant positive influence on bank’s profitability and efficiency level, while industry stricture variables appeared not to have contributed meaningfully to the profitability and efficiency performance of banks in Nigeria Classification-JEL: F2; G21; E1 Keywords: Nigeria, Financial Reforms, Banks Performance Journal: The International Journal of Business and Finance Research Pages: 53-63 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:53-63 Template-Type: ReDIF-Article 1.0 Author-Name: Sasatra Sudsawasd Title: WHICH COUNTRIES ARE THE TARGETS FOR ANTI-DUMPING FILINGS? Abstract: This study examined the relationship between anti-dumping filings and macroeconomic indicators of a targeted country. Focus was placed on trade policy indicators using panel data drawn from 97 countries over the period 1995 to 2005. It was determined that the number of anti-dumping filings decreased with a targeted country’s liberal trading regime success. For (targeted) developed countries, greater overall trade-flow expansions and applied tariff reductions for non-agricultural products had a negative impact on the number of anti-dumping charges. On the contrary, trade policies in (targeted) developing countries were found to have no significant impact on the decision to file anti-dumping lawsuits by filing countries. Classification-JEL: F10; F13 Keywords: Anti-dumping, Trade policy Journal: The International Journal of Business and Finance Research Pages: 65-76 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:65-76 Template-Type: ReDIF-Article 1.0 Author-Name: Luu Tien Thuan Title: THE RELATIONSHIP BETWEEN THE UNITED STATES AND VIETNAM STOCK MARKETS Abstract: This paper uses the Generalized Autoregressive Conditional Heteroscedasticity - Autogressive Moving Average (GARCH-ARMA) and the Exponentially General Autoregressive Conditional Heteroscedasticity- Autogressive Moving Average (EGARCH-ARMA) models to examine the relationship between United States and Vietnam stock markets. The paper analyzes 1,483 daily observations from 2003-2009. The study finds that the U.S. market has a positive and significant influence on the Vietnam market. Specifically, the S&P 500 Index has a positive and strong significant influence to the VN-Index return in recent years. However, there is no evidence of a volatility effect of the S&P 500 Index on the VN-Index. To support the initial findings, the study performs robustness tests to examine the effect of Dow Jones Index on the VN-Index return and shows similar results. Not only do these findings provide additional evidence that Vietnam is a viable market economy but also indicates that fund managers’ should consider movement of the U.S. stock market before making Vietnam investment decisions. Classification-JEL: E50, G1 Keywords: Index, stock market, volatility effect. Journal: The International Journal of Business and Finance Research Pages: 77-89 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:77-89 Template-Type: ReDIF-Article 1.0 Author-Name: Raymond Posey Author-Name: Alan K. Reichert Title: TERMS OF LENDING FOR SMALL BUSINESS LINES OF CREDIT: THE ROLE OF LOAN GUARANTEES Abstract: This study examines the role of loan guarantees in lines of credit granted to small businesses. Since there is evidence of simultaneity among lending terms, two-stage instrumental variable procedures are used to obtain consistent parameter estimates. The findings suggest the presence of a loan guarantee is associated with lower interest rates and smaller lines of credit and that loan guarantees and collateral are to some extent substitutes in that loans guarantees are a close substitute for collateral but collateral does not always serve as a close substitute for loan guarantees. Furthermore, firms with longer banking relationships and/or fewer banking relationships are less likely to have loan guarantees. Classification-JEL: G2 Keywords: Term of lending, bank relationships, line of credit Journal: The International Journal of Business and Finance Research Pages: 91-102 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:91-102 Template-Type: ReDIF-Article 1.0 Author-Name: Ling T. He Author-Name: K. Michael Casey Title: ON THE PRICING OF DUAL CLASS STOCKS: EVIDENCE FROM BERKSHIRE HATHAWAY Abstract: This study focuses on determining whether short-term market inefficiencies exist that can be periodically exploited by investors. Berkshire Hathaway’s dual class stock with differential voting rights and one- way conversion option provides a unique opportunity to investigate this issue while controlling for other exogenous variables that could bias the findings. Given the investor attention directed toward Berkshire Hathaway, and the company’s famous CEO Warren Buffett, this company’s stock should always trade in an efficient market. The results suggest that Berkshire Hathaway class B shares tend to have significantly higher opening prices and Berkshire Hathaway class A shares tend to have higher closing prices, although both A and B shares have similar average daily returns. Price dynamics may create unique arbitrage opportunities for investors. However, the higher overnight returns for B shares may be offset by higher volatility embedded in the B shares. Classification-JEL: G11; G12; G14 Keywords: Dual class stock, market efficiency, asset pricing, volatility Journal: The International Journal of Business and Finance Research Pages: 103-112 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:103-112 Template-Type: ReDIF-Article 1.0 Author-Name: Ariful Hoque Title: TRANSACTION COST DISCOVERY BY DECOMPOSITION OF THE ERROR TERM: A BOOTSTRAPPING APPROACH Abstract: There is agreement regarding the fundamental role of transaction costs in determining currency options market efficiency. However, the estimation of transaction costs in this relationship is controversial. In this study, a bootstrapping approach is adapted to decompose the error term of the put-call parity regression analysis in order to estimate transaction costs. The currency option market is more than 95 percent efficient with the estimated transaction costs. This robust transaction cost calculation will be valuable to traders and researchers as it eliminates dependence on crude proxies for transaction costs. Classification-JEL: G13; G14 Keywords: Transaction costs, error term decomposition, put-call parity, serial correlation, ARCH Journal: The International Journal of Business and Finance Research Pages: 113-121 Volume:5 Issue: 1 Year: 2011 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n1-2011/IJBFR-V5N1-2011-9.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:113-121