It is a well-known fact in finance that classical mean-variance optimization often leads to highly concentrated portfolios. Giving equal weights to all portfolio assets will instead allow for maximum nominal diversification. More sophisticated ways of nominal diversification are the maximum diversification approach proposed by Choueifaty & Coignard (2008) or the equal weighting of total risk contributions known as “risk parity”. Instead of looking for nominal diversification, investors may...

This study compares the performance of various daily and intraday range based estimators for crude oil futures, which is one of the most liquid futures traded at Multi Commodity Exchange India Limited (MCX) for the period from July 2005 to July 2011. Findings show that the intraday realized range based estimator performed best as compared to the daily range based and classical estimator in terms of both efficiency and bias. Results of volatility estimation and forecasting performance show that realized...

GAAP allows unusual or infrequent items to be reported as special items in order to distinguish transitory earnings from permanent earnings. However, special items have been shown to hide permanent losses. IFRS prohibits special items reporting to promote inter-company comparability. This study examines if special losses contain relevant information by using intra-industry information transfer methodology with a sample of 563 material asset impairment losses reported as special items over the period...

Motivated by liquidity risk issues from the 2007 financial crisis, this paper investigates the relationships between liquidity risk, regulation, supervision and bank performance by using a panel data of EU27 countries over 2001-2011. This study finds that liquidity risk is negatively associated with bank performance. Capital regulation, official supervision, and restriction on bank activity policies are positively related to bank performance while deposit insurance, private monitoring practices have...

Since the global financial crisis of 2008 and the European sovereign debt crisis of 2009, the banking system in EU and in the Eurozone in particular has been under-performing and weak. The EU bank stress tests were conducted for capital adequacies and to avoid systemic risks. The first test results indicated that of over 120 banks, seven banks failed the stress tests. Spain, with 27 tested banks, made up the biggest portion of the test banks. In this paper we examine using nonlinear LOGIT and PROBIT...

Adopting a sample of the initial 243 IPOs from the emerging Growth Enterprise Market of China (GEMC) over the 2009 to 2011 period, this study develops a regression model to investigate the relationships between these factors and suggests that the firm’s net profit and its growth rate substantively determine the IPO volume. In addition, this study adopts probit models to test the influence of the four factors on IPO likelihood, and shows that: 1) fundraising amount, as one of the most significant...

Offer price band is a crucial component of the book building process in the Initial Public Offering process of a firm. Extant research shows that investor sentiment plays a prominent role in IPO markets. We therefore suggest that investor sentiment plays a significant role in determining the offer price range. The determinants of offer price band have not been studied in the IPO literature. We fill this lacuna by studying the Indian IPO market. We hypothesise that investor sentiment will positively...

The value creation of firms via engaging in better corporate social performance is an inconclusive area as well as is scarcely researched especially in the context of Japan. In this study, we examine whether the engagement in a higher degree of corporate social performance will reduce financial constraints. The findings show that overall, a higher degree of corporate social performance is negatively associated with financial constraints. The study also indicates that the financially distressed firms...

The paper examines the impact of corruption on the share of government expenditure, related to the provision of public goods in health, education, and military sectors. The paper introduces a theoretical model that applies “the Samuelson rule of public good provision” to illuminate how corruption increases the cost of providing public goods and hypothetically leads to the underprovision of public goods in some specific sectors. The paper then provides an empirical investigation on how an increase...

Generally, the maximization of tax revenue is incompatible with the maximization of Gross Domestic Product (GDP). Many economists would agree with the proposition that “high taxes are bad for economic growth” and use the tax multiplier to analyze this negative correlation frequently. But tax revenue and GDP of Hebei Province have achieved both developments since 1995 (the tax-sharing reform) and the tax elasticity has been more than 1 in the recent year. How to explain this contradiction from...