mandated disclosures under ias 36 impairment of assets and ias 38 intangible assets value relevance and impact on analysts forecasts abstractdrawing on a large sample of european firms we examine whether variant compliance levels with mandated disclosures under ias 36 impairment of assets and ias 38 intangible assets are value relevant and affect analysts forecasts our results indicate a mean median compliance level of about 84 86 but high variation among firms and disclosure levels regarding ias 36 being much lower than those regarding ias 38 in depth analysis reveals that non compliance relates mostly to proprietary information and information that reveals managers judgment and expectations furthermore we find a positive negative relationship between average disclosure levels and market values analysts forecast dispersion results however hold more specifically for disclosures related to ias 36 and these also improve analysts forecast accuracy our findings add knowledge regarding the economic consequences of mandatory disclosures have an appeal to regulators and financial statement preparers and reflect on th

does shari ah screening cause abnormal returns empirical evidence from islamic equity indices islamic equity funds are subject to the screening criteria for stock selection imposed by the principles of islamic jurisprudence shari ah equities must pass three basic screens revenue source business activity and financial factors to be included in an islamic fund however screening criteria are not universal especially for the financial factors one can use financial ratios based on either the book value of total assets or the market value of equity for screening of stocks this may not only result in a different portfolio composition but also entail diverse rebalancing and monitoring costs the performance of 29 islamic equity indices ieis versus conventional indices from four major international index providers using different shari ah screening criteria are analyzed in a single as well as in a multi equation framework the use of a multi equation framework has the added advantage of utilizing the information content of different screening criteria adopted by different index providers the empirical findings suggest that the difference in screening criteria does not significantly affect the performance of ieis returns deviation if any stems from the relative riskiness of the iei as compared with the relevant benchmark work needs to done to streamline the quantitative screening criteria to avoid confusion among the investing public

bank lending channel in a dual banking system why are islamic banks so responsive we examine the interest rate sensitivity of both deposits and credits at islamic and conventional banks in turkey we find that the bank lending channel is especially operative for islamic banks impulse responses for conventional and islamic banks reveal that islamic bank depositors sensitivity to policy rate changes is substantially larger than that of conventional bank depositors next to heavily dependence on deposit funding we consider that inertia in islamic bank deposit rates impedes these banks to keep those depositors who consider the opportunity cost of monetary policy rates is unbearable on the lending side we obtain similar results implying that tight monetary policy leads to a larger contraction in islamic bank credits this finding is a reflection of the favourable attitude of islamic banks towards small and medium sized enterprise sme financing when similar relationships are analysed for currency and inflation shocks we again find larger responses for islamic banks showing the cyclical nature of sme credits

on the comparative performance of socially responsible and islamic mutual funds this is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment sri and islamic mutual funds the analysis proceeds in two stages in the first the performance of the two categories of funds is measured using partial frontier methods in the second stage we use quantile regression techniques by combining two variants of the free disposal hull fdh methods order m and order in the first stage of analysis and quantile regression in the second stage we provide detailed analyses of the impact of different covariates across methods and across different quantiles in spite of the differences in the screening criteria and portfolio management of both types of funds variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance we established that for the most inefficient funds the superior performance of sri funds is significant in contrast for the best mutual funds this evidence vanished and even islamic funds perform better than sri these results show the benefits of performing the analysis using quantile regression

portfolio optimization with stochastic dominance constraints abstract we consider the problem of constructing a portfolio of finitely many assets whose return rates are described by a discrete joint distribution we propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return rate we develop optimality and duality theory for these models we construct equivalent optimization models with utility functions numerical illustration is provided

new strategies and a new paradigm for shariah compliant portfolio optimization in this paper we analyze the effects of different strategies to construct shariah compatible financial portfolios the difference between conventional and current shariah portfolio management is the application of sector screens and financial screens by which the asset universe is reduced yet here different schools of scholars define different screening rules leading to significant differences with respect to compliance but also with respect to performance after analyzing this discrepancy we propose several new strategies to apply the inconsistent rule systems and a new paradigm for defining shariah compliance under this new paradigm compliance is attributed to the portfolio and not to the individual assets of the universe we report results of an empirical study analyzing the potentials of these strategies and of the paradigm we can show that under the proposed concepts shariah compliant portfolios can be realized which have return and risk profiles comparable to the conventional non constrained portfolios

counterfactual decomposition of changes in wage distributions using quantile regression we propose a method to decompose the changes in the wage distribution over a period of time in several factors contributing to those changes the method is based on the estimation of marginal wage distributions consistent with a conditional distribution estimated by quantile regression as well as with any hypothesized distribution for the covariates comparing the marginal distributions implied by different distributions for the covariates one is then able to perform counterfactual exercises the proposed methodology enables the identification of the sources of the increased wage inequality observed in most countries specifically it decomposes the changes in the wage distribution over a period of time into several factors contributing to those changes namely by discriminating between changes in the characteristics of the working population and changes in the returns to these characteristics we apply this methodology to portuguese data for the period 1986 1995 and find that the observed increase in educational levels contributed decisively towards greater wage inequality copyright 2005 john wiley sons ltd

islamic banking and finance recent empirical literature and directions for future research this paper examines the recent empirical literature in islamic banking and finance highlights the main findings and provides a guide for future research early studies focus on the efficiency production technology and general performance features of islamic versus conventional banks whereas more recent work looks at profit and loss sharing pls behaviour competition risks as well as other dimensions such as small business lending and financial inclusion apart from key exceptions the empirical literature suggests no major differences between islamic and conventional banks in terms of their efficiency competition and risk features although small islamic banks are found to be less risky than their conventional counterparts there is some evidence that islamic finance aids inclusion and financial sector development results from the empirical finance literature dominated by studies that focus on the risk return features of mutual funds finds that islamic funds perform as well if not better than conventional funds there is little evidence that they perform worse than standard industry benchmarks some recent evidence however suggests that islamic bond sukuk issuance destroys value for shareholders

market based empirical research in accounting a review interpretation and extension a decade and a half of the most concerted and ambitious research effort in accounting history is evaluated here it is the search into the relationship between publicly disclosed accounting information and the consequences of the use of this information by the major group of usersequity investors as such consequences are reflected in characteristics of common stocks traded in major exchanges this research effort known as market based accounting research mbar obtained its impetus from major developments in finance theory during the late 1950s and early 1960s these were the portfolio selection theory and its offspring the capital asset pricing model capm and the concept of informationally efficient capital markets ecm subsequent developments in information economics agency theory and optimal incentive signaling models were quickly incorporated into mbar while the impetus to this line of research came from other disciplines accounting was not only a beneficiary but also to a modest extent a benefactor mbar is relevant to the study of capital market efficiency the capm information economics and regulation this contribution distinguishes mbar from most accounting areas whose contributions to other disciplines are negligible in

tail dependence risk exposure and diversification potential of islamic and conventional banks this paper undertakes a rolling window comparative analysis of risks for portfolios consisting of gcc islamic and conventional bank indices we draw our empirical results by employing canonical dr

does the shariah screening process matter evidence from shariah compliant portfolios abstract this study compares the performance of market weighted shariah compliant portfolios scps with conventional benchmark portfolios cbps from the usa canada europe the gcc and japan portfolios are constructed from constituent level monthly price data using the shariah screening criteria as proposed by msci ftse dow jones s p and aaoifi the unique scp construction approach used in this study removes any concerns of performance deviation due to the portfolio construction methodology rebalancing timing and management skills for security selection or market timing empirical results indicate that scps are generally less risky than cbps we also find that shariah screening standards are insignificant in their effect on return performance scps using the bvta approach usually report a little better nominal and risk adjusted returns than scps using the mve approach for financial screening the negligible difference in risk adjusted performance and rebalancing based on different criteria indicate a need for greater consistency in applying shariah screening standards

efficiency of mutual funds and portfolio performance measurement a non parametric approach abstract in finance portfolio performance assessment is an important area of research the two popular indices of performance are the jensen s alpha and the sharpe index however there are a number of shortcomings of the above measures that have been highlighted in the literature we propose a new measure of performance that seeks to address the limitations of the earlier indices the new index is calculated by employing a well known method in operations research called data envelopment analysis we show the benefits of the proposed approach and assess the performance of mutual funds we compare the results with traditional indices of performance an interesting result we obtain is that the mutual funds are all approximately mean variance efficient

on the determinants of local government performance a two stage nonparametric approach abstract this article analyzes the efficiency of local governments in the comunitat valenciana spain and their main explanatory variables the analysis is performed in two stages firstly efficiency is measured via nonparametric activity analysis techniques specifically we consider both data envelopment analysis dea and free disposable hull fdh techniques the second stage identifies some critical determinants of efficiency focusing on both political and fiscal policy variables in contrast to previous two stage research studies our approach performs the latter attempt via nonparametric smoothing techniques rather than econometric methods such as ols or tobit related techniques results show that efficiency scores especially under the nonconvexity assumption fdh are higher for large municipalities thus there is empirical evidence to suggest that resources may be better allocated by large municipalities however the inefficiency found is not entirely attributable to poor management as second stage analysis reveals both fiscal and political variables to be explicably related to municipality performance moreover the explanatory variables impact on efficiency is robust to the chosen technique either convex dea or nonconvex fdh

strategic information manipulation in duopolies abstract this paper studies a duopoly market in which firms can draw inferences concerning uncertain market demand from observations of their outputs and market price firms may adjust their outputs away from myopically optimal levels to affect the informativeness of the market price because firms quantities are observed firms can manipulate the extent to which belief revision occurs rather than the direction in which beliefs are revised as in signal jamming models we develop conditions and present examples under which the value of information is positive and negative and under which firms will increase or decrease quantity to manipulate information journal of economic literature classification numbers d80 l13

ethical screening and financial performance the case of islamic equity funds whether ethical screening affects portfolio performance is an important question that is yet to be settled in the literature this paper aims to shed further light on this question by examining the performance of a large global sample of islamic equity funds iefs from 1984 to 2010 we find that iefs underperform conventional funds by an average of 40 basis points per month consistent with the underperformance hypothesis in line with popular media claims that islamic funds are a safer investment iefs outperformed conventional funds during the recent banking crisis however we find no such outperformance for other crises or high volatility periods based on fund holdings based data we provide evidence of a negative curvilinear relation between fund performance and ethical screening intensity consistent with a return trade off to being more ethical

technological change technological catch up and capital deepening relative contributions to growth and convergence we decompose labor productivity growth into components attributable to 1 technological change shifts in the world production frontier 2 technological catch up movements toward or away from the frontier and 3 capital accumulation movement along the frontier the world production frontier is constructed using deterministic methods requiring no specification of functional form for the technology nor any assumption about market structure or the absence of market imperfections we analyze the evolution of the cross country distribution of labor productivity in terms of the tripartite decomposition finding that technological change is decidedly nonneutral and that both growth and bipolar international divergence are driven primarily by capital deepening jel o30 o47 d24

assessing the performance of alternative investments using non parametric efficiency measurement approaches is it convincing abstract dea based performance assessment in the alternative investment fund industry is often motivated by the fact that dea is capable of simultaneously handling multiple input risk and multiple output return measures thereby still offering a single real number as a performance index without utilizing subjective weights to aggregate these inputs and outputs this paper aims at investigating whether dea based performance indexes previously used to assess alternative investment fund performance are actually able to satisfy these properties and to contrast the findings using a dea based performance index with those using a traditional financial performance index

price and quantity experimentation a synthesis this paper compares experimentation about product differentiation in a linear setting under four market structures quantity setting and price setting monopoly cournot and bertrand duopoly quantity setting firms always experiment by raising their quantities and the monopolist experiments relatively more than the duopolists a price setting monopolist does not experiment the value of information to bertrand duopolists may be positive or negative depending on the degree of product differentiation when information is valuable price setting duopolists experiment by lowering prices a numerical example indicates that the intensity of experimentation is higher in a cournot duopoly than in a bertrand duopoly c 2001 elsevier science by all rights reserved

experimentation and learning in a differentiated products duopoly abstract this paper explores price setting behavior in the context of a duopoly in which firms are uncertain about the degree of product differentiation firms learn from the difference in their realized demands in light of the price differential the informativeness of this market experiment is shown to be increasing in size of the price differential in markets with highly substitutable products price dispersion is enhanced as firms adjust their prices so as to generate more information in markets with highly differentiated products firms compress their prices as they prefer to reveal less about the extent of product differentiation journal of economic literature classification numbers d43 d83 l13

the economic side effects of dangerous drug announcements immediately prior to the passage of the 1962 food and drug administration amendments there were a number of drugs recalled from markets worldwide announcements about the dangerous side effects of these drugs were associated with lower share prices for their manufacturers and the industry as a whole we perform several analyses to sort out alternative explanations for the observed declines we find that dangerous drug announcements had no effect on the sales of other drugs and did not affect the share values of european drug makers doing little business in the united states we also find that share price reductions associated with recalls in the 1970s and 1980s were confined to the manufacturers of the recalled drugs these patterns are consistent with the hypothesis that drug company shareholders viewed the recalls in the early 1960s as signals of an increase in the cost of compliance with new and more stringent drug testing requirements

information transparency and coordination failure theory and experiment we examine the effect of higher order beliefs on the ability of decentralized decision makers to coordinate and take advantage of improvements in information transparency that can increase welfare theories that address this question have not been empirically explored we study coordination in a laboratory experiment with privately informed decision makers economic outcomes in the setting depend both on agents rational beliefs regarding economic fundamentals and on their rational beliefs regarding the beliefs of other agents increasing information transparency mitigates uncertainty about economic fundamentals but may increase strategic uncertainty precipitating multiple equilibria and less efficient group outcomes we provide evidence that sometimes the equilibrium attained by creditors is inferior from a welfare perspective to other available equilibria risk dominance appears to determine equilibrium selection in our setting

a critical review of sustainable business indices and their impact most studies into the performance of socially responsible investment vehicles have focused on the performance of sustainable or socially responsible mutual funds this research has been complemented recently by a number of studies that have examined the performance of sustainable investment indices in both cases the majority of studies have concluded that the returns of socially responsible investment vehicles have either underperformed or failed to outperform comparable market indices although the impact of sustainable indices to date has been limited the recent launch of sustainable indices by dow jones and ftse suggests that more attention is being paid to the subject by financial markets investors and companies this development raises a number of important issues which are reviewed in this article a the performance of indices compared with their benchmark indices b the methodologies employed in compiling the indices and c the impact of the indices on companies and the investment community the article concludes with a number of suggestions for areas that merit future research

entry deterrence and experimentation under demand uncertainty abstract we examine the effect of a threat of entry on experimentation about demand by an incumbent monopolist when there is a fixed cost of entry we show that experimentation may itself be used as a tool for entry deterrence and derive conditions under which experimentation reduces the probability of entry these conditions depend on the entry rule which in turn depends on entry costs we show that if experimentation does not deter entry the monopolist incumbent experiments less we also characterize experimentation and entry in the linear uniform example and show that cost of entry and experimentation do not have a monotonic relationship

a robust nonparametric approach to evaluate and explain the performance of mutual funds the topic of the measurement of mutual funds performance is receiving an increasing interest both from an applied and a theoretical perspective beside the traditional financial literature a growing body of studies has started to apply the tools of frontier analysis for benchmarking comparisons in portfolio analysis our paper contributes to this literature proposing a robust nonparametric approach for analysing mutual funds it is based on the concept of order m frontier cazals c florens j p simar l 2002 nonparametric frontier estimation a robust approach journal of econometrics 106 1 25 and on a probabilistic approach daraio c simar l 2005 introducing environmental variables in nonparametric frontier models a probabilistic approach journal of productivity analysis 24 1 93 121 to find out the factors explaining mutual funds performance within this framework a decomposition of conditional efficiency is proposed and its usefulness for economic interpretation analysed our approach is illustrated by using us mutual funds data grouped for category by objective economies of scale slacks and market risks are investigated a comparison of traditional nonparametric and robust performance measures is also offered

monopoly competition and information acquisition abstract an incumbent monopolist is uncertain about its linear demand but can acquire public information at a cost we determine how an entry threat affects the firm s information acquisition if returns to scale are constant and the state contingent demands become more dispersed as output increases then entry reduces information acquisition if however either the incumbent or entrant has increasing returns or if the state contingent demands are nonlinear or fail increasing dispersion then entry can increase information finally entry can hurt consumers although entry always increases output it can decrease information consumers sometimes prefer a better informed monopoly to a duopoly

offering versus choice in 401 k plans equity exposure and number of funds records of over half a million participants in more than 600 401 k plans indicate that participants tend to allocate their contributions evenly across the funds they use with the tendency weakening with the number of funds used the number of funds used typically between three and four is not sensitive to the number of funds offered by the plans which ranges from 4 to 59 a participant s propensity to allocate contributions to equity funds is not very sensitive to the fraction of equity funds among offered funds the paper also comments on limitations on inferences from experiments and aggregate level data analysis how much and how to save for retirement is one of the most important financial decisions made by most people defined contribution dc pension plans such as the popular 401 k plans are important instruments of such savings by 2001 year end about 45 million american employees held 401 k plan accounts with a total of 1 75 trillion in assets holden and vanderhei 2001 an important characteristic of these plans is that the participant has responsibility over his savings among a plan s various funds how responsibly do the participants behave in particular how sensitive are participants choices to possible framing effects associated with the menu of choices they are offered to explore these questions this paper analyzes a data set recently provided by the vanguard group consisting of records of more than half a million participants in about 640 dc plans these plans offer between 4 and 59 funds in which participants can invest all plans offer at least one stock fund 635 plans

price reaction of ethically screened stocks a study of the dow jones islamic market world index this paper investigates the short term effects on the price of the ethically screened stocks of the dow jones islamic market world index djimwi quarterly revisions using a sample of 8 250 stocks from may 1999 through june 2012 we find a significant price reaction of the ethically screened stocks following additions and deletions the results show that additions deletions from emerging stock markets tend to experience a greater and significantly positive negative price response than additions deletions from the developed markets further tests reveal that the price reactions following djimwi revisions are likely to be driven by shifts in investor sentiment rather than changes in firm fundamentals

an alternative conditioning scheme to explain efficiency differentials in banking abstract we investigate whether specialization ownership type or size bias bank efficiency the approach we apply focusing on the entire distributions of efficiency scores sheds light on the firms precise relative positions when controlling for these firms characteristics results suggest that conclusions related to this topic should consider these techniques given efficiency scores generated by nonparametric techniques are clearly dependent on each other in the statistical sense

a positive theory of flexibility in accounting standards abstract we develop a positive theory of accounting standards when standards generate network externalities and differ in the amount of reporting discretion or flexibility they provide firms we evaluate expected value maximizing firms preferences between two standards regimes rigid and flexible as the number of firms subject to each standard varies as the organization of the securities market varies and as the mapping from the underlying economics of the firms transactions to the accounting reports produced under the two standards vary we also compare firms preferences between the two regimes to the preferences of profit maximizing traders in the firms securities

intra industry information transfers associated with earnings releases abstract the impact that a firm s earnings releases have on the stock prices of other firms in its industry is examined for an identifiable sub set of firms the results are consistent with a significant information transfer occurring between the earnings release firm and the other firms in its industry this subset is identified by examining the impact of the release on the stock price of the announcing firm the magnitude of this impact is more significant for a sample of firms which have a larger percentage of their revenues in the same line of business as the earnings release firm vis a vis a sample with a lower percentage of their revenues from the same line of business alternative interpretations of the empirical results are also discussed the research findings have implications for information content and market efficiency research and for research on policy issues associated with disclosure regulation

socially responsible investing in the united states socially responsible investing sri has emerged in recent years as a dynamic and quickly growing segment of the u s financial services industry involving over 2 trillion in professionally managed assets its conceptual origins can be found in the early history of civilization with it s modern roots in the 1960s this paper provides an overview of the breadth and depth of the concept and practice of socially and environmentally responsible investing describes the investment strategies that together define sri as currently practiced in the u s offers several observations about some of the factors fueling its dramatic growth and presents data showing that investors who choose to invest in a socially and environmentally responsible manner can do so without giving up investment returns sri has matured to a point where virtually any investment need can be met through portfolio design that integrates an investor s personal values institutional mission and or social priorities the socially responsible investment industry in the unitedstates is a young phenomenon even referring to it as an industry ten years ago may have been a bit of a stretch while it has grown dramatically in recent years it is an area of work of study and of practical application that continues to evolve in many significant ways one intriguing example of the ongoing development of the field can be found in the analysis of the language used to describe it the terms social investing socially responsible investing ethical investing socially aware investing socially conscious investing green investing values based investing and mission based or mission related investing all refer to the same general process and are often used interchangeably

intra industry information releases a recursive systems approach abstract this paper investigates the extent of intra industry information transfers associated with the half yearly earnings announcements of a sample of australian firms the omitted factor interpretation of foster s 1981 results is examined using a recursive systems specification of the return generating process to model extra market return covariation in cross section although some aspects of the results do appear sensitive to the alternative methodologies the overall conclusion is consistent with foster 1981 and supports the existence of intra industry information transfers associated with firms earnings releases

energy regulation in china objective selection potential assessment and responsibility sharing by partial frontier analysis to cope with the excessive growth of energy consumption the chinese government has been trying to strengthen the energy regulation system by introducing new initiatives that aim at controlling the total amount of energy consumption a partial frontier analysis is performed in this paper to make a comparative assessment of the combinations of possible energy conservation objectives new constraints and regulation strategies according to the characteristics of the coordination of existing regulation structure and the optimality of regulation strategy four scenarios are constructed and regional responsibilities are reasonably divided by fully considering the production technology in the economy the relative importance of output objectives and the total amount controlling is compared and the impacts on the regional economy caused by the changes of regulation strategy are also evaluated for updating regulation policy