Template-Type: ReDIF-Article 1.0
Author-Name: Praveen Kumar Das
Author-Name: S P Uma Rao
Title: VALUE PREMIUMS AND THE JANUARY EFFECT: INTERNATIONAL EVIDENCE
Abstract: Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically meaningful for all three major non-U.S. markets. Consistent with Loughran (1997), our study suggests that January value premium is more pronounced in large stocks and high January value premium is mostly driven by superior returns of value stocks in January. In particular, value premium for January month is nearly three to nine times that of non-January months. Annualized value premiums for January (non-January months) for Japan, the U.K. and France are 28.08% (9.12%), 15.36% (2.04%), and 30.96% (3.48%). The annualized excess January value premium ranges from 13.32% for the U.K. to 27.48% for France with 18.96% for Japan. Results are robust with respect to alternative value-growth indicators as well as sample periods.
Classification-JEL: G12
Keywords: Value premium, International, January effect
Journal: The International Journal of Business and Finance Research
Pages: 1-15 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-1.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:1-15

Template-Type: ReDIF-Article 1.0
Author-Name: Chang-Jui Lin 
Title: AN EXAMINATION OF BOARD AND FIRM PERFORMANCE: EVIDENCE FROM TAIWAN
Abstract: This article discusses the impact of duality and board structure in corporate governance on corporate performance. The results showed that, regarding Tobin's Q, outside independent directors have a positive impact while other variables have no impact on corporate performance. Similar results were achieved using ROA and ROE for analysis. Duality, board size, and family-controlled directors had a negative impact on ROA and ROE. Supervisory directors, outside independent directors and inside directors had a positive impact on ROA and ROE. The analysis of large companies showed duality, board size, and family-controlled directors yielded a negative impact on ROA and ROE. Both supervisory directors and inside directors had positive impacts on ROA and ROE. Outside independent directors had positive impacts on ROE but no impact on ROA. No variable had an impact on Tobins' Q. The results from small and medium-sized companies indicate that supervisory directors, outside independent and inside directors had positive impacts on ROA and ROE. Other variables did not yield impacts on ROA and ROE. Finally, most of the variables had no impact on Tobins' Q.
Classification-JEL: G34, L25
Keywords: corporate governance, board structure, duality, corporate performance
Journal: The International Journal of Business and Finance Research
Pages:  17-34
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-2.pdf
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Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:17-34

Template-Type: ReDIF-Article 1.0
Author-Name: Stoyu I. Ivanov
Author-Name: Jeff Whitworth
Author-Name: Yi Zhang
Title: THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS
Abstract: We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because deep-in-themoney ETF options have considerably higher implied volatility than deep-in-the-money index options. The observed difference in implied volatility is not due to a difference between the realized return distributions of the underlying ETFs and indices. Differences in implied volatility for ETF and index options also do not appear to be explained by discrepancies in net buying pressure, as theorized by Bollen and Whaley (2004).
Classification-JEL: G11; G12
Keywords: exchange-traded funds, index options, implied volatility, open interest
Journal: The International Journal of Business and Finance Research
Pages: 35-44  
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-3.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:35-44

Template-Type: ReDIF-Article 1.0
Author-Name: Joseph J. French 
Title: THE DYNAMIC INTERACTION BETWEEN FOREIGN EQUITY FLOWS AND RETURNS: EVIDENCE FROM THE JOHANNESBURG STOCK EXCHANGE
Abstract: This research examines the dynamic relationship between foreign portfolio equity flows and equity returns on the Johannesburg Stock Exchange (JSE). The primary objective of this research is to uncover how equity market returns influence foreign cross border portfolio equity flows and in turn how those portfolio flows affect equity returns. To understand the linkages between equity flows and market returns, the current research employs vector autoregressive models and presents the results of variance decompositions, impulse response functions and causality tests. The results show that foreign equity flows are ‘pulled’ into South Africa by high returns on the JSE. This finding is consistent with a broad literature on other emerging markets. This research also finds causal link between net equity flows and
returns, indicating that the evolution of the JSE is independent of foreign portfolio activity.
Classification-JEL: F21; G15; G11
Keywords: Portfolio flows, International investment, Africa
Journal: The International Journal of Business and Finance Research
Pages: 45-56 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-4.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:45-56

Template-Type: ReDIF-Article 1.0
Author-Name: Chiaju Kuo
Author-Name: Yung-Yu Lai
Author-Name: Shaio Yan Huang
Author-Name: Chung-Jen Fu
Title: INTERNAL CORPORATE GOVERNANCE MECHANISMS: EVIDENCE FROM TAIWAN ELECTRONIC COMPANIES
Abstract: This study’s focuses on the effects of directors and employee stock bonus plans on electronic companies listed on the Taiwan Stock Exchange Corporation. In addition, the paper examines the appropriate internal corporate governance mechanisms for firms. The evidence shows firms with different scale measured by paid-in capital, need different corporate governance mechanisms. That is, raising directors’ ownership may enhance corporate governance mechanisms for small firms. Appointing
independent directors voluntarily may enhance corporate governance mechanisms for middle size firms. Furthermore, large firms may enhance corporate governance mechanisms by raising all directors’ ownership, appointing independent directors voluntarily, or decreasing the proportion of managers serving concurrently as directors. Independent directors appear to have more effects on middle size and large firms.
Classification-JEL: G34, G35,M48
Keywords: corporate governance, independent directors, independent supervisors
Journal: The International Journal of Business and Finance Research
Pages: 57-74 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-5.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:57-74

Template-Type: ReDIF-Article 1.0
Author-Name: Surya Chelikani
Author-Name: Frank D’Souza
Title: THE IMPACT OF SARBANES-OXLEY ON MARKET EFFICIENCY: EVIDENCE FROM MERGERS AND ACQUISITIONS ACTIVITY
Abstract: One of the main goals of the Sarbanes Oxley Act of 2002 (SOX) is to ensure a greater flow of timely and accurate accounting information to investors. While there has been a lot of criticism of SOX, mostly with regard to compliance costs, very little light has been shed on the impact of SOX on market efficiency. The type of funding (stock vs. cash) used in mergers has been shown to be highly correlated with the level of firm mispricing. We thus use merger data gathered in the pre and post-SOX years to reveal a significant shift from stock type mergers (popular during periods of high misvaluation) to cash type mergers. We use logistic regression analysis to show that the implementation of SOX, resulted in greater reliability of market information, lower levels of mispricing and hence a more efficient market. In addition, our results also provide evidence that the SOX imposed compliance costs are not as burdensome as critics claim.
Classification-JEL: G34, G38
Keywords: Sarbanes Oxley, Mergers and Acquisitions, Market Efficiency
Journal: The International Journal of Business and Finance Research
Pages: 75-88
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-6.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:75-88

Template-Type: ReDIF-Article 1.0
Author-Name: Shih Yung Wei
Author-Name: Jack J. W. Yang
Title: THE IMPACT OF SHORT SALE RESTRICTIONS ON STOCK VOLATILITY: EVIDENCE FROM TAIWAN
Abstract: Governments implement policies to stabilize stock markets in times of financial crisis. The most common intervention is to forbid short sales. For instance, around the financial crisis of 2008, eleven governments announced restrictions on naked short sales in their stock markets. In light of the Greek credit crisis in 2010, Germany also disallowed naked short sales. Opinions were widely divided regarding the appropriateness of government to interfere in markets. This paper studies the influence of volatility asymmetries caused by the Taiwanese government’s naked short sale restrictions. Intraday data is used to analyze the issue by way of EGARCH models. We find the high liquidity associated with large stocks increases asymmetric volatility. However, asymmetric volatility of middle and small sized stocks decreases around the naked short sale ban.
Classification-JEL: C22; C58; G18;
Keywords: Asymmetric volatility, Information exposure, Naked short sale, Firm size, EGARCH
Journal: The International Journal of Business and Finance Research
Pages: 89-98 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-7.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:89-98

Template-Type: ReDIF-Article 1.0
Author-Name: Juan Otero-Serrano 
Title: DOES FIRM DIVERSIFICATION REPRESENT A VALUE ADDED FOR STOCKHOLDERS?
Abstract: This study empirically tests the effect of diversification on firm performance, controlling for factors influencing returns other than diversification. This study also investigates if the diversification effect has the same impact on firm performance at different points in time. The sample used consists of all firms
with available data from Compustat Industry Segment Database and Research Files for the period between 1979 and 2006. Carhart (1997) four-factor model results suggest that diversification is related to firm performance. Diversified firms show a general trend of underperforming non-diversified firms. Results also suggest that the diversification effect may change through time. The evidence presented may help managers and stockholders in considering the effects of diversification on firm value when making decisions.
Classification-JEL: G11; G34
Keywords: Diversification strategy, firm performance
Journal: The International Journal of Business and Finance Research
Pages: 99-113 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-8.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:99-113

Template-Type: ReDIF-Article 1.0
Author-Name: Po-Cheng Wu 
Title: MULTI-FACTOR APPROACH FOR PRICING BASKET CREDIT LINKED NOTES UNDER ISSUER DEFAULT RISK
Abstract: This article proposes a multi-factor approach to incorporate issuer default risk into basket credit linked note (BCLN) pricing based on the Gaussian copula. The numerical analysis demonstrates that the issuer default risk increases the fair coupon rate. Contradicting the common belief that a positive default correlation between reference entities and an issuer increases the possibility of double losses and disfavors the BCLN holder, thereby driving up the BCLN coupon rate, analytical results reveal that a positively correlated issuer default mitigates this increase, while a negatively correlated issuer default increases the coupon rate further.
Classification-JEL: G01; G12; G13
Keywords: Basket credit linked notes, issuer default risk, default correlation, factor copula, financial crisis
Journal: The International Journal of Business and Finance Research
Pages: 115-128 
Volume:5
Issue: 4
Year: 2011
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v5n4-2011/IJBFR-V5N4-2011-9.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:115-128