Template-Type: ReDIF-Article 1.0
Author-Name: Omar Gharaibeh 
Author-Name: Graham Bornholt
Author-Name: Michael Dempsey
Title: Evidence on Industry Cost of Equity Estimators
Abstract:  Given that prior research into industry cost of equity indicates that CAPM-derived estimates are no worse
than estimates from more complex models, we investigate the bias of the standard CAPM approach for
each industry separately, and examine the effectiveness of alternative beta estimators. We find that constant
betas produce better estimates of cost of equity for particular industries (mostly either ‘defensive’ or ‘highrisk’
industries). The paper succeeds in offering a meaningful assessment of the empirical reality of the
CAPM, as well as offering guidance concerning the appropriate practical application of the CAPM when
estimating industry cost of equity.
Classification-JEL: G10, G12, G31, G32
Keywords: Cost of Equity, Defensive Industries, Constant Beta
Journal: The International Journal of Business and Finance Research
Pages: 1-15
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-1.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:1-15

Template-Type: ReDIF-Article 1.0
Author-Name:  Benjamin B Boozer
Author-Name: S. Keith Lowe
Author-Name: Robert J. Landry III
Title: Personal Financial Decisions:  A Study of Changes in Homestead Exemption Levels and Consumer Bankruptcy Choices
Abstract:  This study examines the impact of changes in homestead exemption levels upon the consumer bankruptcy
filing rate. This relationship is examined through the creation of an interrupted time-series multiple
regression model. Regression analyses were implemented using several predictor variables to detect any
relationship between changes in homestead exemption levels and their effect on the applicable dependent
variable. Four dependent bankruptcy variables were employed: per capita total consumer-bankruptcy
filings, per capita Chapter 7 consumer-bankruptcy filing rate, per capita Chapter 13 bankruptcy filing rate,
and Chapter 7 consumer-bankruptcy filings as a percentage of aggregate consumer-bankruptcy filing rates.
Analyses indicate that consumers clearly prefer utilizing a Chapter 7 discharge method over Chapter 13.
Additionally, these consumers do not find changes in homestead exemption levels as a source of wealth
insurance to the extent that filings are significantly increased. Finally, consumer filing rates do not appear
to be positively affected by the wealth effect that a risk-averse consumer might choose in bankruptcy choice.
Classification-JEL: G, K
Keywords: Bankruptcy, Chapter 7, Chapter 13, Homestead Exemption
Journal: The International Journal of Business and Finance Research
Pages: 17-26
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-2.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:17-26

Template-Type: ReDIF-Article 1.0
Author-Name: Sami Al Kharusi
Author-Name: Robert O. Weagley
Title: Weak Form Market Efficiency During the 2008 Financial Crisis:  Evidence from the Muscat Securities Market
Abstract:  This paper examines the weak-form market efficiency of the Muscat Securities Market in Oman before,
during, and after the 2008 global financial crisis using daily observations from the Muscat Securities
Market index. The data were divided into three different periods: pre-crisis from January 1, 2007 to June
8, 2008, crisis from June 9, 2008 to January 22, 2009 and post-crisis from January 23, 2009 to January
17, 2011. The parametric tests of serial correlation using the Ljung and Box (1978) Q-Statistics and the
variance ratio test of Lo and Mackinlay (1988) were used to test weak-form market efficiency. Findings of
both methodologies revealed that the Muscat Securities Market was inefficient at the weak form during
all three time periods: pre-crisis, crisis and post-crisis for most lags. Moreover, using adjusted returns
provided more efficient lags than using the raw data. The results from this period of volatility are
consistent with previous research testing weak-form market efficiency.
Classification-JEL: G01
Keywords: Muscat Securities Market, Financial Crisis, Serial Correlation, Variance Ratio Test, Weak-Form Market Efficiency
Journal: The International Journal of Business and Finance Research
Pages: 27-42
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-3.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:27-42

Template-Type: ReDIF-Article 1.0
Author-Name: Surya Chelikani
Author-Name: Frank P. D'Souza
Title: The Effect of Regulation Fair Disclosure on Market Integration
Abstract:  The recent market crises have focused interest on methods to improve the functioning of financial
markets. Before implementing new regulations, it is necessary to evaluate the effects of previous
regulations. Regulatory changes such as Fair Disclosure have an effect on information dissemination and
price discovery. This paper uses the information share of individual markets, to measure changes in the
information contribution of markets before and after implementation of Regulation Fair Disclosure. Most
of the existing studies focus on the price discovery process and the information contribution or share of
the individual markets. This paper uses this information share as a metric to test the effect of a particular
regulation. Employing cointegration analysis, this study measures the changes in the information share,
impulse response functions, and tests whether Regulation Fair Disclosure has achieved its intended goal
of greater informational parity and market integration. Results show that Fair Disclosure has increased
the information share of satellite markets and achieved greater market integration.
Classification-JEL: G, G12, G14, G18, G19
Keywords: Market Integration, Information Share, Regulation Fair Disclosure, Cointegration, Informational Efficiency, Market Efficiency
Journal: The International Journal of Business and Finance Research
Pages: 43-62
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-4.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:43-62

Template-Type: ReDIF-Article 1.0
Author-Name: Hafezali Iqbal Hussain
Title: Do Firms Time the Equity Market in a Non-Linear Manner?  Evidence from the UK
Abstract:  We provide an empirically motivated study to test the market timing theory of capital structure. The
objective is to understand how managers in the United Kingdom finance their deficit. In line with the extant
literature, we find that managers place greater reliance equity issues to finance deficit during periods of
overvaluation and correspondingly increase debt issues when equities are undervalued. We further find
that managers time the equity market in a surprisingly unique manner. Managers attempt to time issues in
a non-linear manner whereby the increase in reliance on equity issues is only evident when the extent of
overvaluation is not excessive. In addition, firms finance deficits with higher proportions of debt when
equity prices are acutely suppressed. Our findings raise some important questions, which lead to serious
implications on equity market-timing as a viable explanation for capital structure decisions. Furthermore,
it poses serious implications questioning the debt-equity ratio preference of managers when resorting to
external financing.
Classification-JEL: G32
Keywords: Equity Market Timing, Capital Structure
Journal: The International Journal of Business and Finance Research
Pages: 63-74
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-5.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:63-74

Template-Type: ReDIF-Article 1.0
Author-Name: Ozge Uyger
Author-Name: Gulser Meric
Author-Name: Ilhan Meric
Title: Market Reaction to Acquisition Announcements after the 2008 Stock Market Crash
Abstract:  Market reaction to mergers and acquisitions is a popular research topic in finance. It has been well
documented in empirical literature that target companies earn significant abnormal market returns in
corporate acquisitions. However, the effects of stock market crashes, and the effects of whether the acquirer
is a domestic firm or a foreign firm, on target firm abnormal returns have not been studied sufficiently. In
this paper, we make a contribution to the extant literature on these subjects by studying the abnormal
market returns earned by U.S. target firms acquired by domestic and foreign firms after the 2008 stock
market crash. Our test results indicate that U.S. targets that were acquired by other U.S. firms earned
significantly higher abnormal returns, compared with targets acquired by foreign firms, after the crash.
We also find that the target companies earned greater abnormal returns in non-friendly acquisitions than
in friendly acquisitions during this period.
Classification-JEL: G01, G34
Keywords: Financial Crisis, Mergers and Acquisitions
Journal: The International Journal of Business and Finance Research
Pages: 75-82
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-6.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:75-82

Template-Type: ReDIF-Article 1.0
Author-Name: Jack J.W. Yang 
Author-Name: Tsung-Shin Wu
Title: Price and Volume Reactions to Cash Dividend Announcements:  Evidence from Taiwan
Abstract: Are stock market investors concerned with obtaining abnormal returns by acquiring certain information?
This paper studied the effect of ex-dividend date for cash-dividend policy. We try to demonstrate the
existence of abnormal returns by examining stock trading situations before and after the ex-dividend date.
We find that abnormal returns exist for listed Taiwan firms before and after the ex-dividend date. If an
investor buys the stock of a firm who adopts a cash-dividend payout at the closing price 11 days before the
ex-dividend date, and sells them at the closing price 10 days after the ex-dividend date, the investor will
obtain an average 2.13% abnormal return, regardless of the transaction cost. This paper further analyzes
whether firms adopting cash-dividend payouts have different abnormal returns on stock price performance
depending on different variables. Yilmaz and Gulay’s (2006) method of analyzing abnormal returns of stock
prices was adopted. Further studies were undertaken of the three dimensions of cash-dividend payout ratio,
stock trading turnover rate, and the firm size.
Classification-JEL: G12, G14
Keywords: Cash Dividend, Abnormal Returns, Event Study
Journal: The International Journal of Business and Finance Research
Pages: 83-96
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-7.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:83-96

Template-Type: ReDIF-Article 1.0
Author-Name: Ikechukwu Kelikume
Title: Interest Rate Chanel of Monetary Transmission Mechanism:  Evidence from Nigeria
Abstract: The interest rate channel of monetary transmission is the link through which variations in Central Bank
real interest rates influence aggregate output and prices. To check fluctuation in prices, the Central Bank
of Nigeria has kept the monetary policy rate stable at 12 percent for the past three years with the view that
stability in interest rates will provide the needed incentive for domestic investment to thrive. The long run
linkage between real interest rates, inflation and output in a developing country like Nigeria calls for
empirical investigation. This study tests the interest rate channel of monetary transmission in Nigeria to
enable us establish the extent of stickiness in interest rates in realizing macroeconomic policy goals. The
study made use of co-integration and error correction mechanisms in investigating the channel through
which nominal interest rates influence long run economic aggregates. The study made use of secondary
time series data with quarterly frequency from Q1:1996 to 2013:Q3. Results obtained would help track the
speed with which monetary policy changes transmits to the economy and the speed of adjustment from the
short run to the long run.
Classification-JEL: E42, E43, E52
Keywords: Monetary Policy, Interest Rate, Monetary Transmission Mechanism
Journal: The International Journal of Business and Finance Research
Pages: 97-107
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-8.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:97-107


Template-Type: ReDIF-Article 1.0
Author-Name: Chin-Wen Huang
Title: Influence of External Factors on the Taiwan Stock Exchange
Abstract: Due to the small market size and the low trading volume, emerging markets are, in general, shallow and
easily affected by external factors such as the capital flows from foreign portfolio investment and the stock
market fluctuations of their major trading partners. This study attempts to investigate how foreign portfolio
investment and the trading partner’s equity market affect the local stock market and whether such impacts
are persistent through time. Adopting the GARCH-EVT-Copula approach, this study takes the Taiwan Stock
Exchange as an example to examine (1) the time varying dependencies between the changes in the Taiwan
Stock Exchange Capitalization Weighted Stock Index and the changes in foreign portfolio investment
volume, and (2) the time varying dependencies between the changes in Taiwan Stock Exchange
Capitalization Weighted Stock Index and the changes of the China A-Shares market aggregation index. The
empirical results indicated that although foreign portfolio investment started as a strong force in moving
the market, it became less influential during the financial crisis period. The stock movements from an
emerging market’s top trading partner, however, become more influential as the international trading
volume between the two increased and did not weaken even during the financial crisis period.
Classification-JEL: G01, G11, G15
Keywords: Foreign Portfolio Investment; GARCH; EVT; Copula
Journal: The International Journal of Business and Finance Research
Pages: 109-120
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-9.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:109-120

Template-Type: ReDIF-Article 1.0
Author-Name: Raoudha Bejaoui
Author-Name: Houssam Bouzgarrou
Title: Determinants of Tunisian Bank Profitability
Abstract:  The aim of this study is to examine the persistence of profit and the effect of bank-specific determinants of
Tunisian bank profitability. To account for profit persistence, we apply a dynamic panel model, using
Generalized Methods of Moments (GMM) system for 16 Tunisian commercial banks, divided into 11
deposit banks and 5 development banks during the period 1999-2010. The estimates show that the evidence
for profit persistence is positive and significant for both deposit and development banks during the period
2005-2010. However, we find that deposit banks are more competitive than development banks. Therefore,
abnormal profit persists for Tunisian banks, but development banks enjoy more regulatory protection than
deposit banks. We find a positive relationship between capital and profitability. This implies that the capital
market is not perfect in the Tunisian banking sector. The liquidity risk management by Tunisian banks
shows that the overuse of deposits to finance loans is likely to weigh on the profitability of the banks.
Finally, we show that credit risk management is negatively related to bank profitability and that deposit
and development banks suffer from the bad quality of their loans and the lack of provisions over the period
1999-2010.
Classification-JEL: G21, C23, L25
Keywords: Bank Profitability, Imperfect Markets, Dynamic Panel
Journal: The International Journal of Business and Finance Research
Pages: 121-131
Volume: 8
Issue: 4
Year: 2014
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v8n4-2014/IJBFR-V8N4-2014-10.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:121-131