Template-Type: ReDIF-Article 1.0 Author-Name: Chun-Pin Hsu Author-Name: Chun-Wen Huang Author-Name: Alfred Ntoko Title: Does Foreign Investment Worsen the Domestic Stock Market During a Financial Crisis? Evidence from Taiwan Abstract: Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a riskbased approach to investigate whether the stocks most favored by foreign investors are riskier than those least favored by foreign investors. We distinguished our sample stocks into foreign most-favored and foreign least-favored groups and classified our data periods into a financial crisis period and an aftermath period. We then estimated the 1% VaRs and expected maximum losses through a GARCH– extreme value theory–copula methodology for the foreign most-favored and least-favored groups. The empirical results indicated that the foreign most-favored group had lower 1% VaRs than the foreign least-favored group during both the financial crisis and its aftermath. However, the foreign mostfavored group had higher expected maximum losses than the foreign least-favored group. Thus, although stocks favored by foreign investors may not be riskier in general, investing in these stocks could still occasion disaster in an extreme event. Classification-JEL: G01, G11, G15 Keywords: Foreign Portfolio Investment, Multivariate Copula, GARCH, Extreme Value Theory Journal: The International Journal of Business and Finance Research Pages: 1-12 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:1-12 Template-Type: ReDIF-Article 1.0 Author-Name: Guangdi Chang Author-Name: Yi-Tsuo Chang Title: Time-Varying Risk Premia for Size Effects on Equity REITS Abstract: We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We also investigate how macroeconomic factors affect the size premia. We reexamine the size effect by using Fama-French three-factor model to demonstrate that the size effect exists in EREITs market. We investigate time-varying volatility for size effect by using a sample of publicly traded EREITs with GARCH family models. We find variation of the size premia partially results from volatility the bond market term spread and the volatility of short-term interest rates. The unexpected shock from fluctuation of the bond market term spread lowers the volatility of the size premia on EREITs return. We also find the big-sized EREITs are a good investment when default risk premium fluctuates dramatically. Classification-JEL: E52, G12, G32 Keywords: Equity REITs, Size Effect, GARCH, VAR, Volatility, Leverage Effect Journal: The International Journal of Business and Finance Research Pages: 13-28 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:13-28 Template-Type: ReDIF-Article 1.0 Author-Name: Hwei Cheng Wang Author-Name: Chiulien C. Venezia Author-Name: Yung-I Lou Title: Determinants of Chief Executive Officer Compensation Abstract: This study examines the level and structure of CEO compensation of 2,448 CEO’s from 1,622 firms spanning a range extending from 1997 through 2002. Based on agency and expectancy theories, this study tests the hypotheses that corporate diversification is associated with CEO compensation. The results found that the higher degree of international diversification, higher accounting earning performance, higher investment opportunities, and larger firm size, resulted in CEO’s receiving higher levels of compensation. In contrast, the higher the degree of industrial diversification, the fewer levels of total compensation, long-term compensation, and stock options corporate CEO’s received. In addition, this study finds that both international and industrial diversification is associated with a greater use of current compensation, as well as a greater reliance on accounting-based, rather than stock return earning (market-based measures) of firm performance. Classification-JEL: M4, M12 Keywords: CEO Compensation, Corporate Diversification, International Diversification, Industrial Diversification, Firm Performance, Investment Opportunity, Stock Ownership Journal: The International Journal of Business and Finance Research Pages: 29-42 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:29-42 Template-Type: ReDIF-Article 1.0 Author-Name: Yahn-Shir Chen Author-Name: Yahn-Shir Chen Title: I-Ching Huang Abstract: This study is the first to compare the financial performance of audit firms at different life cycle stages in distinct market segments. In terms of market segmentation, total samples are categorized into three subsamples: large, medium, and small audit firms. Based on the Taiwanese auditing industry data set, this study validates that organizational life cycles exist in audit firms, which includes young, adult, and old stages. Further, this study documents that financial performance of the three sub-samples is different at each life cycle stage. Finally, financial performance of the three sub-samples varies at the same life cycle stage. With results, this study contributes knowledge to the business-related literatures. Classification-JEL: M41 Keywords: Audit Firms, Organizational Life Cycles, Market Segmentation, Financial Performance Journal: The International Journal of Business and Finance Research Pages: 43-62 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:43-62 Template-Type: ReDIF-Article 1.0 Author-Name: Steve Fan Author-Name: Linda Yu Title: Accrual Anomaly and Idiosyncratic Risk: International Evidence Abstract: In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust to different model selections, such as portfolio approach and regression analysis, across countries. Our results support the mispricing explanation of accrual anomaly around the world. Classification-JEL: G12, G15 Keywords: Journal: The International Journal of Business and Finance Research Pages: 63-75 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:63-75 Template-Type: ReDIF-Article 1.0 Author-Name: Eruc Asare Title: The Impact of Financial Liberalization on Private Investment in Ghana Abstract: Ghana’s financial sector policies have largely been influenced by changes in global economic thoughts. Prior to the 1980s when it was fashionable in the development literature to advocate for interventionist policies, the country’s financial system was heavily regulated beyond the mere enforcement of contracts and fraud preventions. Later in the 1980s when the new orthodox became the order of the day, the country once again began a major policy experiment with these policies. The objective of this study is to examine the effects of the financial sector reforms on private investment in Ghana. To achieve this, a simple econometric model was developed and estimated using data from 1980 – 2007. It came out from the study that private investment responded marginally to the financial liberalization policies in Ghana. The general conclusion of the study is that financial liberalization will not have favorable effects on private investment unless foreign and unproductive assets such as cash and gold are channeled to the banking sector in developing countries. Classification-JEL: G11, G21, F62 Keywords: Financial Engineering, Investment, Interest Rates, Financial Deepening, Liberalization, Economic Growth Journal: The International Journal of Business and Finance Research Pages: 77-90 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:77-90 Template-Type: ReDIF-Article 1.0 Author-Name: Ling T. He Title: Mean Reversion of Volatility Around Extreme Stock Returns: Evidence from U.S. Stock Indexes Abstract: This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concentration, and they are measured by three basic statistical measures, variance/standard deviation, skewness, and kurtosis, respectively. The results of this study illustrate remarkable reversions in volatility momentum, concentration, and level between periods of preand post-extremely high stock returns. Evidence of this study also supports some strong volatility reversions after extremely negative stock returns. The findings are helpful to investing professionals and financial policy makers to expand their understanding of different aspects of volatility structure and their change cycles. The knowledge may enhance effectiveness of portfolio managers in risk management after busts of stock price bubbles. Classification-JEL: G10 Keywords: Volatility Reversion, Volatility Momentum, Volatility Concentration, Volatility Level Journal: The International Journal of Business and Finance Research Pages: 91-101 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:91-101 Template-Type: ReDIF-Article 1.0 Author-Name: Helmi Hamdi Author-Name: Rashid Sbia Title: Are Investment and Savings Cointegrated? Evidence from Middle East and North African Countries Abstract: The aim of this paper is to empirically examine the relationship between saving and investment for 6 Middle East and North African Countries for the period 1980-2008. To this end, we use panel cointegration analysis and Error Correction Model. The long run estimation reveals causality between investment and saving for the entire sample. The Granger causality tests confirm this result and validate the presence of bidirectional causal relationship between investment and saving. However, the short run estimation shows no causality between the two variables for the entire sample. At the individual level, saving Granger cause investment for Bahrain and Saudi Arabia only. Classification-JEL: C32, E21, E22 Keywords: Investment, Saving, Cointegration, Causality Journal: The International Journal of Business and Finance Research Pages: 103-113 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:103-113 Template-Type: ReDIF-Article 1.0 Author-Name: Steven Freund Author-Name: Dev Prasad Author-Name: Frank Andrews Title: Security Selection Factors: Novice Versus Experienced Investors Abstract: In this study, we examine the differences in the factors perceived to be significant in the security selection process between novice and experienced investors. We apply the direct inquiry approach to two distinct groups: One group is composed of students enrolled in traditional face-to-face introductory investments classes, while the other group consists of students enrolled in the online sections of the same course. The online students tend to be generally older part-time students with greater investment experience. Based on their prior investment experience, we further break both face-to-face and online samples into two cleaner sub-samples of novice and experienced investors. We find that the novice face-to-face students tend to select variables with non-financial but firm-specific characteristics, while the novice online students select technical analysis type variables as most relevant. For the experienced students, the faceto- face classes are more similar to the online classes in their pre-course selection of variables. Both faceto- face and online experienced students identify technical analysis as well as fundamental analysis characteristics as important. The post-course survey shows that the face-to-face and online students overlap more in their highest-ranking variables compared to the pre-course survey, irrespective of their prior investment experience. Classification-JEL: G02, G11 Keywords: Investment Factors, Security Selection, Individual Investors, Experienced Investors, Novice Investors Journal: The International Journal of Business and Finance Research Pages: 115-126 Volume: 7 Issue: 4 Year: 2013 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v7n4-2013/IJBFR-V7N4-2013-9.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:115-126