bluuebunny/crossref_metadata_2025 huggingface dataset:
The disclosure of Islamic values – annual report. The analysis of Bank Muamalat Indonesia’s annual report
Authors: Syafri Harahap Sofyan
Published: June 2007

In a capitalist system, an annual report that includes financial statement is assumed to provide sound information concerning a given company. The annual report offers a background to a company, its financial position, operational results, and its performance. According to radical economics, a financial statement serves the interests of capitalists (Belkaoui, 1984). Annual reports are also value free and are not concerned with issues such as justice or ethics. Indeed, current trends in accounting have raised some questions concerning the paradigm of traditional accounting theory and especially its bias its bias concerning capitalist interests. The emergence of Employee Reporting, Value Added Accounting, Socio‐Economic Accounting, and Environmental Accounting, to name just a few, is evidences of the shortcomings of the capitalistic accounting system in establishing both just and fair principles among company stakeholders. This has therefore led to a demand for a new approach towards accounting disclosure including among others things: a clear account of how a company treats its employees, society, the environment, and the beliefs of employee’s. Even tough the standard formulated by AAOIFI (1998) based on capitalistic accounting, are still in a theoretical stage of development they can be used as a starting point that may help lead to an improved set of disclosure criteria that can be used by an Islamic bank or organization. This paper will discuss the empirical evidence derived from one such Islamic organization. Bank Muamalat Indonesia, has compiled information using capitalistic accounting standards so as to clarify its financial position and results of operations to stakeholders. It is hypothesized though, that the current disclosure system employed gives no indication of justness or fairness and so is incompatible with Islamic value. The paper argues Muslim researcher sold aim to move from utilizing capitalistic practice primarily concerned with the disclosure of financial indicators and towards a system that also consider justice, fairness, and ethical practices.
Recent development in econometric analysis of model selection
Authors: Hossain Zakir , Ishaq Bhatti M.
Published: June 2007

This paper briefly introduces the concept of model selection, reviews recent development in the area of econometric analysis of model selection and addresses some of the crucial issues that are being faced by researchers in their routine research problems. The paper emphasizes on the importance of model selection, particularly the information criteria and penalty functions based model selection procedures which are useful for economists and finance researchers.
An evaluation of ISO 9000 registration practices: a case study of sports goods industry
Authors: Awan Hayat M. , Ishaq Bhatti M.
Published: June 2007

Recently, ISO 9000 and its associated versions are rapidly becoming a “license to compete” worldwide. Its standards are generic in the way that they can be applied to all functions and all industries in various areas of human endeavor. They have been described as the “one size fits all” standards. In developing countries like Pakistan, adoption and implementation of ISO 9000 quality management system is slow due to lack of awareness and initiatives. The present study is an attempt to analyze different practices of ISO 9000, like its status, problems faced (before, during and after implementations), benefits gained, its impact, certification cost, the next step after ISO’s 9000 certification, critical success factors, the role of training, consultancy, top management support, use of ISO 9000 in the international markets, future prospects and in particular, general practices of ISO 9000 in the Sports Industry of Pakistan. In this study, detailed case studies clearly explain the current status and existing practices of ISO 9000 in the sports industry.
Predictability and volatility of stock returns
Authors: Mavrides Marios
Published: June 2007

This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive Conditional Heteroskedastic (ARCH) approaches. We find that in all three markets dividendprice ratios and/or dividend growth rates predict returns. Moreover, there is persistence in the variance of stock returns attribute to the innovations related to the same variables.
Intradaily behavior of listed and unlisted security basket indices in the emerging Greek stock market
Authors: Markellos Raphael N. , Mills Terence , Siriopoulos Costas
Published: June 2007

This paper employs three months of observations sampled at 60‐second intervals to analyze the behavior of two basket indices from the emerging Athens Stock Exchange: the General Index of the Main (Listed) Securities Market and the Index of the Secondary (Unlisted) Securities Market. The empirical analysis employs robust regression using dummy variables to uncover a rich variety of time‐of‐day regularities in the first four moments of the distribution of returns, the tail behavior, and the dynamic and cross‐dynamic behavior of the two markets. Markets tend to behave differently during their opening and closing, while results are invariably sensitive to outliers. Overall, the results are comparable to those reported for developed equity markets. However, in contrast to other studies, we find no conclusive evidence of long‐memory in either the mean or variance process. ARMA models of seasonally differenced absolute returns were used as a simple but effective way of dealing with the strong regularity in volatility.
Excess volatility? the Australian stock market from 1883 to 1999
Authors: Heaney Richard
Published: June 2007

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller’s test suggests the possibility of excess volatility, time series analysis identifies a long‐run relationship between share market value and dividends, consistent with the share market reverting to its fundamental discounted cash flow value over time.
International interest rate linkages: implications for monetary policy
Authors: Laopodis Nikiforos T.
Published: June 2007

The paper explores the implications for monetary policy from the greater integration of major capital markets since 1980 using long‐term interest rates. The empirical approach is the multivariate vector moving average GARCH model, which examines the nature of the spillover mechanism across markets. The results have shown that since 1990 there has been a stronger linkage among major bond markets at the volatility level. Evidence that globalization has seriously affected the behavior of interest rates and made them more synchronized across countries is suggested from the way disturbances in a major market spill over fast and heavily, at times, to other related markets thereby affecting the conduct of monetary policy in all involved parties. This happens because investors now have more information about and choices of bonds from many countries and that makes them efficient in their assessment of assets. Therefore, their concerted actions generate more volatility as they continuously rebalance their global portfolios.
Market valuation of Dot Com companies; R&D versus hype
Authors: Gollotto Jamie C. , Kim Sungsoo
Published: June 2007

This article empirically examines whether the ratio of research and development (R&D)spending to sales and marketing spending has an impact on the valuation of Dot Com companies. These companies are currently trading in today’s stock market. Previous research has not been able to link the lofty market value of Dot Com companies to a distinguishable trait. Many theories have been proposed without empirical findings to support them. We find those Dot Com companies with higher ratios of R&D spending are more likely to have higher stock market values in the subsequent year than those with lower ratios. A sensitivity test shows that the results are qualitatively the same even after market correction of high‐tech stock.
The early performance of non‐US banking equities on the NYSE
Authors: Schaub Mark
Published: June 2007

The finance literature extensively documents the abnormal positive returns of unseasoned initial public offerings (IPOs) in the early trading. Neuberger and LaChapelle (1983), McDonald and Fisher (1972), Neuberger and Hammond (1974), Reilly (1977), Logue (1973), Ibbotson (1975), Ibbotson and Jaffe (1975), Ritter (1984), Miller and Reilly (1987), and Ibbotson, Sindelar and Ritter (1988) are but a few studies providing convincing evidence of initial price volatility in IPOs which, after some period of time, tends to level off. Some IPO studies, particularly Neuberger and LaChapelle (1983), Logue (1973), and Friend (1967), intentionally ignore institutional IPOs. Logue (1973) states that banking issues create a downward pricing bias because the market has already accurately priced the assets of financial institutions. Alli, Yau and Yung (1994) provided evidence that banking IPOs enjoyed significantly less positive abnormal returns in the early trading than a control sample of industrial firms. This study examines the early stock price movements of the 32 non‐US banking equities issued on the New York Stock Exchange (NYSE) from January 1986 through May 2001 and finds that virtually no underpricing exists in the early trading for those issues – a vast deviation from the results of most IPO and ADR event studies, but a strong indication that banking IPOs do create a downward pricing bias when considered in IPO studies with securities from different industries. All new foreign equity issues in this study are traded as American Depository Receipts (ADRs) except the Canadian stocks.
Institutionalization and promotion of saving habits through Bai‐Muajjal mode of financing
Authors: Alam Mohammed N.
Published: June 2007

Points out that the small and cottage industry (SCI) sector is often neglected despite its potential for contributing to economic development, especially in the third world; and reports an investigation of the use of the Bai‐Muajjal (BM) method of financing in the Bangladesh SCI sector. Explains the theoretical basis and methodology of the study, the possible sources of funds for SCI owners, the particular characteristics of Islamic banks and the fund investment methods they offer. Describes the BM lending activities of one such bank with 40 “grass root level” SCIs (poultry farming and handloom industry), which require borrowers to create groups, undergo monitoring and open savings accounts; and assesses their effects on SCI owners’ saving habits and the mobilization of savings towards productive ends. Identifies many social and economic advantages in the BM system and welcomes it as a way to channel savings productively and reduce poverty.
Capital inflow, growth sustainability and financial debacles
Authors: Ghosh B.N.
Published: June 2007

The present paper is a phenomenological study of capital inflow, economic growth and financial crisis in the Southeast Asian countries in general and Malaysia in particular. The paper seeks to explain how unregulated capital inflow in an open economy leads to unsustainable growth It comes to the broad conclusion that although capital inflow is conducive to economic growth, it may also generate the problem of macroeconomic vulnerability and unsustainability, and in such a situation, the occurrence of financial crisis may not be an uncommon possibility.
Flawed public policies and industrial loan defaults: the case of Bangladesh
Authors: Ziaul Hoque Mohammad
Published: June 2007

Outlines the massive loan default problems faced by the Bangladesh banking industry and discusses the importance of consistent and adequate public policy in reducing them. Critically reviews the government’s industrial, fiscal, monetary and tariff policies since independence in 1971, referring to relevant research; and relates them to the loan repayment performance of industrial borrowers. Castigates its excessive bureaucratic controls, lack of co‐ordination or consistency and over‐supply of credit; and its failure to recognize entrepreneurs’ general lack of experience. Puts at least part of the blame for industrial loan defaults down to “flawed” policies.
Portfolio investment of the OIC countries and their implications on trade
Authors: Kabir Hassan M.
Published: June 2007

Summarizes the net capital flows from industrial to developing/transitional countries 1970‐1996 and recent changes in their equity and bond markets; and identifies the factors affecting these portfolio flows and risk/return behaviour in OIC stock markets. Uses monthly stock return data from ten OIC countries to demonstrate that despite their volatility they might offer opportunities for portfolio diversification; and uses cointegration methods to investigate the dynamic relationships between them. Discusses the causes of the Asian currency crisis and its impact on these stock marekts; and considers what trade and development policies OIC countries should adopt to improve their economies.
Corporate insurance market in the People’s Republic of China: some macro and micro perspectives
Authors: Zou Hong
Published: June 2007

This paper analyses the development, regulation and future trend of the corporate insurance market in the People’s Republic of China (PRC). Using data for 212 Chinese listed companies over the period 1997‐99, this study provides some preliminary empirical evidence regarding the property insuring behaviour of Chinese companies. I find that the level of property insurance spending in Chinese companies is inversely related to company size and leverage. Additionally, the purchase of property insurance appears to vary according to geographical location and industry sectors. However, foreign ownership does not appear to have important influences on the managerial property insurance decisions in the Chinese corporate sector. The findings of this study could thus have important implications for various groups (e.g., corporate lenders and foreign insurers) that are interested in the Chinese corporate sector and insurance markets.
The determinants of the demand for life insurance in an emerging economy – the case of China
Authors: Hwang Tienyu , Gao Simon
Published: June 2007

In the past two decades, many emerging economies have been witnessed the strong growth of their life insurance industry. While research in the demand for life insurance has attracted much attention since the 1960s, most studies have focused on cross‐country studies or well‐established markets in developed countries. As a result of cross‐national variations in life insurance consumption, it has been argued in the literature that factors shaping the demand for life insurance are complex and varied from one country to another. This paper aims to examine key determinants of the demand for life insurance in China with a view to explaining the rapid growth of the life insurance industry in China since its economic reform in 1978. Empirical investigation using a time series data analysis has shown that the main factors which have influenced people in China to purchase life insurance products are directly associated with the successful economic reform leading people to progress to higher layers of economic security, the increase in the level of education and the change in social structure. However, this research has not found a negative effect of inflation on life insurance consumption, even China experienced high inflation in the mid‐1990s.
Future trends and challenges of financial risk management in the digital economy
Authors: Li Steven
Published: June 2007

In this paper, the future trends and challenges of financial risk management are considered. First, the historical developments and current status of financial risk management are assessed. Then, key features of the financial industry in the digital economy are discussed. It is argued that the technology innovations, particularly in computing and telecommunication, will continue to have an important influence on the future development of financial risk management. Based the past and present of financial risk management as well as the general trends in the financial industry, some future trends and challenges of financial risk management in the digital economy are discussed. Finally, some implications for financial institutions, corporations and emerging economies are given.
IPO‐related organizational change and long‐term performance: considerations of Dutch corporate officers
Authors: von Eije J.H. , de Witte M.C. , van der Zwaan A.H.
Published: June 2007

Mainstream literature on long‐term performance of initial public offerings focuses on long‐term underperformance. Because underperformance is an anomalous phenomenon, many authors search for explanations based on financial market imperfections. More recently, however, the attention shifts from underperformance to long‐term performance in general. This induces the search for other than financial market imperfections in explaining under‐ or outperformance. This article presents the idea that in many companies the preparation for the IPO and the IPO itself may bring organizational change. It searches for IPO‐related organizational change in The Netherlands with interviews of Dutch corporate officers. The research shows that an IPO primarily changes financial management and financial reporting, but that other types of organizational change may also be relevant. Moreover, long‐term stock market performance was on average higher in companies where IPO‐related organizational changes were reported than in companies where the changes were not reported.
Pricing of IPOs and their after issue performance in the Indian equity market
Authors: Jaitly Shailesh
Published: June 2007

This study investigates the pricing of new issues in the Indian equity market during the period shortly following the deregulation of the market for new issues. We evaluate the importance of book value and market value estimates in determining issue prices as well as prices on the first day of trading. We also use variables that may reduce uncertainty (age to proxy for awareness of the company) and information asymmetry (the extent of the promoter’s contribution to the new issue) in order to test whether uncertainty and information asymmetry have an impact on pricing of new issues. Results indicate that pricing of new issues appears to be consistent with rational decision‐making. We also examine the extent of underpricing of IPOs in India by calculating the rate of return earned by the subscribers on the first day the shares trade publicly. The first day return is, on average, 72 per cent. We then simulate what this return would have been if the government regulations had still been in place. With government restrictions, the first day’s return would have been 160 per cent. These results are consistent with the expectations that removal of restrictions results in lower returns to subscribers and lower cost of capital for the issuing firm. Finally, we examine whether there are differences in first day returns or other variables for companies that issue shares at a price above the government benchmark and the companies that issues shares at prices below the benchmark. Results indicate that there are no significant differences in first day returns between the two groups of companies. There are, however, significant differences between the two groups with respect to relative size of the issue and the difference between the forecasted and current book value. This indicates that the CCI price might be used as a benchmark, which is, then adjusted upwards or downwards to place greater emphasis on expected performance.
Initial public offerings: evidence from the UK
Authors: Burrowes Ashley , Jones Kevin
Published: June 2007

This investigation into the performance of Initial Public Offerings on the new Alternative Investment Market reveals that the expected high level of underpricing, that is usually associated with the risky nature of small, young and growing companies, is not supported by the evidence in this study. Raw and market adjusted figures reveal that IPOs listed on AIM at the London Stock Exchange appear to be only conservatively mispriced when contrasted to main board IPO listings in the US, UK and other countries. Due diligence listing requirements could be offsetting the otherwise risky nature of these small, young and growing companies. Finally AIM is discussed in terms of meeting its own targets and its ability to attract international listings.
Long‐run performance of privatized government monopolies: Australian experience
Authors: Steen Adam , Kendall Keith
Published: June 2007

This paper considers the post‐listing returns performance of government‐issued Initial Public Offerings (IPOs) in Australia during the period 1989 to 1998. While several studies have considered the performance of government IPOs, most of their attention has been focused on the immediate return performance. Little analysis has been undertaken on the longer‐term performance of government IPOs. It is found in this paper that government IPOs, considered as a whole, are no more underpriced than non‐government IPOs. However, when IPOs involving government monopolies are considered separately from other government IPOs, it appears that their returns are less than those of nongovernment IPOs initially but that these returns rapidly rise giving government IPOs a better long‐term return than non‐government IPOs. It is proposed that this pattern of returns could reflect the allocation process that favors retail investors to the disadvantage of institutional investors.
Interactions of corporate financing and investment decisions: the financing present value (“FPV”) approach to evaluating investment projects that change capital structure
Authors: Wood J. Stuart , Leitch Gordon
Published: June 2007

Proposed projects whose financing will cause capital structure to change across time cannot be accurately evaluated by the ordinary Weighted Average Cost of Capital‐Net Present Value technique. The required rate of return on a new project depends on the firm’s capital structure through the effect of capital structure on the required rates of debt and equity suppliers. But the capital structure depends on these required rates, which are themselves functions of capital structure. There is no general analytical solution to this circularity, so the ordinary weighted average cost of capital cannot capture the effects of changing capital structure on the cost of capital, and the computed NPV is not correct: the wealth of the shareholders will change by a different amount, and may have a different sign as well.
Region and industry effects on the equity returns of emerging markets
Authors: Sener Tulin , Salavitabar Hadi
Published: June 2007

The accelerating globalization of business and integration of financial markets are affecting the equity investment environment of emerging markets (EMS). For the study period, we do not observe statistically significant region or industry effects on the returns of the EMS country equity indexes. All measurements indicate a high degree of integration for EMS regions and broad industry categories. The relative size of region and industry effects and Pearson correlations, however, indicate the dominance of region effects over industry effects. In the EMS world, as a starting step, regional diversification will be more efficient than industrial diversification.
Subset of emerging equity markets performance in international equity markets at time of currency crises
Authors: Mulugetta Abraham , Mulugetta Yuko , Unsal Fahri
Published: June 2007

This study examines the behaviors of eight Asian emerging market Single Country‐Closed End Funds’ (SCCEFs) market prices, net asset values (NAV) and price to net asset value ratios from January 5, 1996 to February 25, 2000, bracketing the period of the Asian currency crisis. The purpose of the study is to discern the degree of change of SCCEFs’ market prices and net asset values (NAV) in conjunction with changes in certain objective economic factors as explanatory variables, particularly changes in exchange rates, that may shed light on the probable reasons for the stickiness of market prices and yet speedy adjustment of NAVs. Results of statistical analysis suggest asymmetric information holding explanation to be the major reason for the observed phenomenon that can be exploited for profitable SCCEF investment decisions.
Using the time weighted method to estimate betas of emerging markets
Authors: Cheng Joseph , Boasson Vigdis W.
Published: June 2007

As the economic and financial characteristics of countries change, so would be their betas and correlations of their investment returns with that of the U.S. Such changes are expected to be particularly significant for emerging market nations as they strive for rapid industrialization and modernization. OLS estimator for the beta coefficient would not be the Best Linear Unbiased Estimator (BLUE) if beta is non‐stationary or changes from period to period. This paper proposes a special type of time weighted least square method (TWLS), which assigns greater weights on the regression errors in more recent periods, for estimating the current beta. This TWLS approach can tackle the problem of intertemporal heteroscedasticity and thus yields a beta that is more efficient. The breakthrough lies on the viability of the method without a‐priori knowledge or estimation of the values of the weights. This yields a significant practical advantage since the weights are unobservable in the real world. Since the Time Weighted Method estimator is the coefficient estimator of beta value for the latest period in the sample, statisticians who base their forecasts on the beta estimates derived from the Time Weighted Least Square can expect to outperform those relying on beta values obtained from conventional estimation. We use a sample of daily returns of thirty‐one emerging markets stock over the period of January 1, 2000 through December 31, 2002. We find that most of the tstatistics for the variances are significant at the 95 per cent level, indicating that the Var(s)’s are not zero for nearly every emerging‐markets. This implies that the betas for these markets do shift over time.
Mergers and acquisitions of banks in Malaysia
Authors: Shanmugam Bala , Nair Mahendran
Published: June 2007

The recent wave of mergers and acquisitions in the financial institutions all over the developed nations has also taken its toll in Malaysia. Factors such as globalization, liberalization and information technology developments have contributed to the need for a more competitive, resilient and robust financial systems in Malaysia. This is added by the recent 1997 Asian financial crisis, which contributed for speeding the mergers and acquisitions process in the Malaysian banking sector. The end result is the formation of ten anchor banks from a total of 54 financial institutions as at end of 2001. This paper has explored the causes and the process of the mergers and acquisitions as well as the future implications in the Malaysian banking system.
Tax implications of mergers and acquisitions involving financial institutions
Authors: Kasipillai Jeyapalan
Published: June 2007

In recent years, there have been a significant number of mergers and acquisitions (M&As) among financial institutions in American, European as well as in Asian countries. The Malaysian government too has encouraged mergers among financial institutions since the 1997‐98 financial crisis so as to create stronger and more viable business entities. Through M&As Malaysian financial institutions are expected to emerge more resilient to withstand the pressures and challenges arising from the increasingly globalized business environment. Numerous tax considerations arise as a result of mergers and acquisitions (M&As) and this has financial implications for the new entities. This paper examines broad tax issues involving M&As. The types of taxes that would become payable include income tax, real property gains tax and stamp duty. Income tax effects include deductibility of payments for termination of employees, legal fees, bad debts and treatment of business losses as well as capital allowances. Aspects involving stamp duty payment are also analyzed. Mergers and acquisitions inevitably involve a transfer of shares or property and as such the property gains tax issues are also addressed.
Integrating the operational and financial components of the short‐term company plan
Authors: Dellepiane Nicola
Published: June 2007

The operational component of a company’s short‐term plan (amounts of products to be delivered and sold to various markets at prices that vary according to markets, sales channels, types of customers and quantities sold, levels of utilization of production capacity, assignment of resources to the manufacturing of different products, amounts of raw materials purchased from different sources, stocks of raw materials and finished products) gives rise to a series of cash inflows and outflows which are not synchronized. The financial component of a company’s short‐term plan has to indicate how to compensate the imbalances, in time, generated by the operational plan, between availabilities and requirements of cash, and indicate the sources of financing to be used and how to temporarily invest cash surpluses. The approach, too often followed in companies, that defines the financial component of a company’s short‐term plan as a consequence of the operational component of the plan, ignores the potential interactions between them and the possibility of defining simultaneously a more economic interfunctionally integrated plan. A model is presented for the decisions in the operational component and a model for the decisions in the financial component. If these models are used separately, they can be integrated resorting to an iterative approach that mutually adapts their separate solutions in order to define the company plan. However, the best approach is to build a model that integrates the two separate models into one structured in a way that can define the optimal integrated short‐term operational and financial plan. The lack of integration between the operational and the financial components of the short‐term company plan is a common weak point in the existing literature and practice.
The benefits of holding cash: a real options approach
Authors: Cossin Didier , Hricko Tomas
Published: June 2007

Companies need to decide on the optimal amounts of cash to hold. Although this problem has long been acknowledged as a major issue for corporations, new advances in the finance literature have not been fully implemented in this area. We propose here what we believe is the first modelization of a real options approach to determine the financial benefits of holding cash. We measure the benefits of holding cash if raising new capital takes time, is costly and if the firm faces the risk of having to issue underpriced securities to obtain that capital. We show that the methodology proposed leads to non‐intuitive results that warrant further research in the field and should attract academics’ as well practitioners’ attention.
Short term banking management in France: a portfolio perspective
Authors: Tournois Guy
Published: June 2007

Today we are in an “information society”. Live information is strategic both for the customer and the portfolio manager. This means that the best way to fight against risk is to act and react very quickly. This way of thinking leads to short‐term planning process. This paper presents the place of portfolio management in the short‐term planning process in France. Today, portfolio management is greatly influenced by institutional organisation and new technologies. New competences are needed, new competitors and new strategies appear (for bankers) and generate a new organisation of this industry as a whole.
Towards a microeconomic approach of the balanced scorecard
Authors: Laitinen Erkki K.
Published: June 2007

The study develops a mathematical model of the firm to derive theoretical foundations for the balanced scorecard concept (BSC). The model is based on several parts which are integrated into a company model. This model includes the demand function, the production function and the objective function of the firm which are depicted by traditional microeconomic concepts. Demand is presented as a function of price and customer relationship management (CRM) costs. Production is assumed to depend on labor, capital, and development and learning (D&L) costs. Simple dynamics is included both in the demand and production function. The strategy of the firm is depicted by the objective function based on profit and net sales. The output variables of the model are classified as the four perspectives of BSC. The effects of the objectives (strategies) on the importance (shadow prices) of the constraints are analysed. It is shown that a change in the objectives may alter the order of their importance. Thus, a change in the strategy should be accompanied with a change in the focus of BSC. Furthermore, non‐financial and financial performance ratios may change in opposite directions, when the strategy is shifted towards revenue maximization. Thus, inconsistencies with the interpretation of cause and effects may emerge, when the strategy is shifted. Numerical examples are presented to demonstrate the results.
Estimates of time‐varying term premia for New Zealand and Australia
Authors: Gordon Michael
Published: June 2007

Forward rates in the money market are systematically higher than realised spot rates, reflecting an unobservable term premium. This paper uses a Kalman filter specification to produce time‐varying estimates of the term premia in New Zealand and Australia. Three time series specifications are used to examine the properties of the premia, such as the average size, volatility, and the degree of mean reversion. Compared to the constant term premia estimates, the time‐varying estimates explain significantly more of the difference between forward and spot rates. The results suggest that the premium in New Zealand is slowly mean‐reverting, while the Australian premium reverts quickly to the mean. It is not clear whether the method of monetary policy implementation affects the term premium, although in New Zealand the premium has been smaller and less variable since the introduction of the Official Cash Rate in March 1999. A related finding is that the size of the term premium is correlated with the volatility of short‐term rates.
The relaxation of foreign ownership limits and market integration: the case of Thailand
Authors: Choi Daniel F.S. , Clovutivat Woramon
Published: June 2007

The Thai stock market maintains two separate listings for common stocks which have reached foreign ownership limits. Prices on the Foreign Board are typically traded at a premium relative to prices on the Main Board. The price premium is both a measure and evidence of market segmentation. Thai commercial banks were faced with financial and operational difficulties in the wake of the 1997 financial crisis. To rescue the banking industry, the Thai government relaxed the foreign ownership limit for a ten‐year period. We show in this paper that the Thai banking industry was segmented before the crisis; but when the foreign ownership limits were removed, the banking industry was integrated.
Management accounting in the new economy: from “tangible and production‐focused” to “intangible and knowledge‐driven” MAS by
integrating BSC and IC
Authors: Wingren Tom
Published: June 2007

This paper is focused on studying homogenous structure for tangible and intangible measurement systems. The aim is (1) to develop a conceptual homegenous structure for the combined tangible and intangible measurement and management system, (2) to present the connection between tangible and intangible measurement and management systems (3) to discuss the benefit of a developed system. The literature on intellectual capital (IC) advocates the use of an IC measurement system and stresses the importance of strategic planning and development. This paper describes how the structure of BSC can beutilized for both tangible and intangible measurement systems. The paper also illustrates the link between tangible and intangible systems. From the prior research a conceptual framework for the BSC‐based IC with causalities between perspectives is presented in the paper and used in the developed system. The paper is a conceptual analysis and provides a new innovative model for empirical testing.
The association between benchmarking and organizational performance: an empirical investigation
Authors: Maiga Adam S. , Jacobs Fred A.
Published: June 2007

This study examines the effect of four measures related to benchmarking and its successful implementation on organizational performance, controlling for size and industry. The four benchmarking measures are (1) internal preliminary competitive analysis, (2) external preliminary competitive analysis, (3) degree of organizational commitment, and (4) prior benchmarking experience (Elnathan et al. 1996). Data for the study was obtained from 157 U.S. manufacturing business units using a questionnaire instrument. The results indicate that three of the benchmarking measures have a positive effect on organizational performance that is significant. Prior experience with benchmarking, the commitment of the organization to benchmarking and internal preliminary competitive analysis meaningfully enhance firm performance.
A critical view on corporate governance and its performance measurement and evaluation systems
Authors: Pesqueux Yvon
Published: June 2007

Performance measurement and evaluation systems cannot be taken as “pure” tools because they are the product of a given society. That is why they take their meanings and their sense from this society. They are particularly linked with corporate governance which is also linked with the contemporary developments of capitalism seen as a political order. That is why performance measurement and evaluations sytems in today’s companies are the production of a social game which has to be understood. Key indicators like shareholder’s value and actors like auditing firms play a specific role which has to be evaluated. This paper will introduce the discussion about these systems (and moreover management tools) as the production of their society from a posture taken from Political Philosophy. They will be evaluated in relation which what is capitalism today (which has to be understood in relation with what it was yesterday). That is why notions like shareholder’s value will be linked with the increasing weight of investments funds and with the systematic search for financial surplus. It will be induced that all these “concrete” notions build a system and are reciprocally re‐enforced. A special mention will be made to auditing firms as a cartel. Corporate governance will, as well as auditing firms, be presented as the concretisation of a new social game.
Enabling integration in complex contexts: the role of process based performance measurement systems
Authors: Beretta Sergio
Published: June 2007

Managing firms in complex contexts demands high levels of integration. In order to satisfy this increasing need, firms facing competitive environments are extensively investing in IT, namely in ERP systems. As matter of fact, the mere implementation of ERP systems can only support one of the dimensions through which integration is enacted: the information dimension. Other dimensions (cognitive and managerial) have to be reinforced in order to get effective integration. Moving from the proposition of a multidimensional concept of organizational integration, the paper analyses the integrative properties of process based performance measurement systems. It is contended that process based performance measures, on the one hand, make processes visible and relevant to people, so addressing their decisions and actions in an integrative perspective; on the other hand, the same measures drive performance improvement based upon effective integration. The paper is structured in three parts. The first part proposes a multidimensional view of the concept of integration. The second part presents a framework for the design of process based performance measurement systems. The third part discusses the case of a large multinational chemical company that has re‐focused its performance management systems on the process dimension, after the partially successful implementation of a company wide ERP system.
Bank stock return sensitivities to the long‐term and short‐term interest rates: a multivariate GARCH spproach
Authors: Elyasiani Elyas , Mansur Iqbal
Published: June 2007

This study employs a multivariate GARCH model to investigate the relative sensitivities of the first and the second moment of bank stock return distribution to the short‐term and long‐term interest rates and their respective volatilities. Three portfolios are formed representing the money center banks, large banks, and small banks, respectively. Estimation and testing of hypotheses are carried out for each of the three portfolios separately. The sample includes daily data over the 1988‐2000 period. Several hypotheses are tested within the multivariate GARCH specification. These include the hypotheses of: (i) insensitivity of bank stock return to the changes in the short‐term and long‐term interest rates, (ii) insensitivity of bank stock returns to the changes in the volatilities of short‐term and long‐term interest rates, and (iii) insensitivity of bank stock return volatility to the changes in the short‐term and long‐term interest rate volatilities. The findings indicate that short‐term and long‐term interest rates and their volatilities do exert significant and differential impacts on the return generation process of the three bank portfolios. The magnitudes and the direction of the effect are model‐specific namely that they depend on whether the short‐term or the long‐term interest rate level is included in the mean return equation. These findings have implications on bank hedging strategies against the interest rate risk, regulatory decisions concerning risk‐based capital requirement, and investor’s choice of a portfolio mix.
Financial services for the poor: assessing microfinance institutions
Authors: Koveos Peter , Randhawa Dipinder
Published: June 2007

The objective of this study is to analyze the framework within which microfinance institutions (MFIs) deliver their services and provide an assessment of their operations and financial management. These institutions are examined because of their current importance to a special group of consumers, primarily the poor and disenfranchised in the developing world, and of their future promise as an economic development solution. Since the objective of these institutions is somewhat unique, the manner of their assessment must also differ from that used to assess the performance of traditional financial intermediaries. In particular, assessment of MFIs must recognize their dual (bank and development instrument) status. Their efficiency, then, must be analyzed in terms of its economic (or financial) dimension as well as its social dimension. The first dimension may be examined with traditional measures, while examination of the second requires measures that reflect the MFI’s social objectives. In order to accommodate the special nature of MFIs, this study proposes the use of a Balanced Scorecard approach. It contributes to the study of financial institution performance by examining a non‐traditional group of institutions using a variety of assessment measures. The findings should be of value to those interested in the financial sector as well as those involved in public policy decision making.
Risk analysis: a case study of the Greek bond mutual funds
Authors: Artikis George P.
Published: June 2007

The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation of the market portfolio, first the General Index of the Athens Stock Exchange, secondly the new Bond Index, while, in turn, the results from these two applications are compared with each other. The research concludes that the proposed Bond Index approximates the market portfolio (Greek bond market) much better than the General Index of the Athens Stock Exchange.
Value relevance of institutional investors
Authors: Karathanassis George , Philippas Nikolaos , Tsionas Efthymios G. , Hevas Demosthenes
Published: June 2007

In this paper we investigate the influence of institutional investors on share prices using data from companies quoted on the Athens Stock Exchange. For finance theorists the value of an investment, real or financial, is a function of its expected benefits and the riskiness of these benefits. Whatever influences are exerted by the structure of equity ownership are diversified away by efficient risk‐averse investors. Managerial and agency theorists argue that the particular ownership structure may have an effect on share value or returns. Their arguments are based (mainly) on the consequences of the separation of ownership from control. In addition to traditional methods of estimation we have used Chamberlain’s (1982) multivariate panel data estimator, which allows for arbitrary patterns of error autocorrelation and parameter temporal behavior. Among all alternative methods of estimation used, only this one produced a statistically significant and econometrically well specified relationship between share prices and institutional shareholdings.
Re‐examination of the reinvestment rate assumptions
Authors: Karathanassis G.A.
Published: June 2007

The paper compares the Net Present Value and the Internal Rate of Return Methods paying particular attention to Mutually Exclusive Projects. In addition it looks into the reinvestment rate assumption concept. Using a different approach to those used to‐date, it is shown that the reinvestment assumption should not concern analysts, provided they use the Net Present Value Method.
Performance evaluation of the bond mutual funds operating in Greece
Authors: Artikis Panayiotis G.
Published: June 2007

The present article aims to evaluate the performance of thirty‐nine domestic bond mutual funds operating in the Greek financial market over the period 15/3/1999‐31/12/1999. The ranking of the sample mutual funds is different between the average daily return, and the total risk. On the basis of the coefficient of variation the sample mutual funds are classified in nine categories. The performance of thirty‐three mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the other hand, the performance of twenty‐five mutual funds is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The Bond Index appears to approximate the market portfolio closer than the General Index of the ASE. Twenty‐seven from the sample mutual funds show values for alpha coefficient different than zero value that is assumed by the capital asset pricing model.