nep-cfn New Economics Papers
on Corporate Finance
Issue of 2021‒04‒05
six papers chosen by
Zelia Serrasqueiro
Universidade da Beira Interior

  1. An Argument Against Stock-Picking and Market-Timing: An Empirical Approach By Enrique Rafael González Pozo
  2. The Impact of Family Control and Internal Governance Mechanisms on Dividend Policy: The Case of Companies Listed on the Moroccan Stock Market By Adil El Mallouky; Khalid Elouafa
  3. Institutional Ownership, External Auditor Reputation, Financial Leverage, and Earnings Management By Kutha, Ngakan Made; Susan, Marcellia; Institute of Research, Asian
  4. Asymmetric Information and Corporate Lending: Evidence from SMEs Bond Markets By Alessandra Iannamorelli; Stefano Nobili; Antonio Scalia; Luana Zaccaria
  5. Comparative Analysis of Financial Sustainability Using the Altman Z-Score, Springate, Zmijewski and Grover Models for Companies Listed at Indonesia Stock Exchange Sub-Sector Telecommunication Period 2014 – 2019 By Fauzi3, Samrony Eka; , Sudjono; Saluy, Ahmad Badawi; Institute of Research, Asian
  6. Liquidity Risk and Stock Return in Latin American Emerging Markets By Francisco Javier Vasquez-Tejos; Prosper Lamothe Fernández

  1. By: Enrique Rafael González Pozo (Universidad Privada Boliviana)
    Abstract: This paper’s objective is to demystify the world of investing, first by showing and exposing the results the greatest money managers in the Wall Street have obtained over the last years compared to the performance of their benchmark indexes. Index investing represents a passive investment strategy of holding hundreds of stocks instead of the active management approach used by these experts. After exposing said results, a theoretical framework will be presented that explains why money managers have such a difficult time outperforming their benchmark indexes. Later on, a back-test experiment will be presented and thoroughly explained showing five different hypothetical investment scenarios over several 20-year periods with the attempt to quantify the potential benefit of perfectly timing the market and compare it to the cost of waiting for a better time to invest. The results find shows that the cost of waiting is much greater that the potential benefit of perfectly timing the market and the best alternative would be to invest available cash immediately regardless of market or economic outlook.
    Keywords: Market -Timing, Market Efficiency Hypothesis, Portfolio Management, Investment.
    JEL: G32
    Date: 2020–11
  2. By: Adil El Mallouky (INREDD - Innovation, Responsabilités et Développement Durable - UCA - Université Cadi Ayyad [Marrakech]); Khalid Elouafa (INREDD - Innovation, Responsabilités et Développement Durable - UCA - Université Cadi Ayyad [Marrakech])
    Abstract: The purpose of this work is to examine the determinants of the dividend distribution policy, more particularly we will highlight the effect of the involvement of family shareholders in the company and the internal governance mechanisms on the dividend payment decisions of companies listed on the Moroccan stock exchange. To answer our research questions, we used a TOBIT model estimate based on a sample of 160 observations per year-listed company over the period 2015-2018. The results of this study indicate anegative relationship between family ownership and the dividend payout ratio. In addition, the presence of a family CEO has a negative effect on the level of dividenddistributed. In contrast,we note that the use of control mechanisms by pyramid structures does not have a significant impact on dividend distribution. In terms of the effect of the characteristics of governance mechanisms on dividend payments, we find a positive association between the presence of a second institutional block holder and dividend distribution. We also find a negative relationship between the duality of the board of directors and the distribution of dividends, while the presence of independent directors on the boardof directors has no significant impact on the distribution ofdividends.
    Abstract: El objetivo de este trabajo es examinar los determinantes de la política de distribución de dividendos, más concretamente destacaremos el efecto de la implicación de los accionistas familiares y los mecanismos de gobierno interno en las decisiones de pago dividendos de empresas cotizadas en la Bolsa de Marruecos. Para responder a nuestras preguntas de investigación, utilizamos una estimación utilizando un modelo TOBIT en una muestra compuesta por 160 observaciones de años de empresa durante el período 2015-2018. Los resultados de este estudio muestran una relación negativa entre la propiedad de la vivienda y la proporción de pago de dividendos. Además, la presencia de un CEO familiar tiene un efecto negativo en el nivel de dividendos distribuidos. Además, encontramos que el uso de mecanismos de control a través de estructuras piramidales no tiene un impacto significativo en la distribución de dividendos. En cuanto al efecto de los mecanismos de gobernanza en el pago de dividendos, encontramos una asociación positiva entre la presencia de un segundo tenedor de bloque institucional y la distribución de dividendos. También revelamos una relación negativa entre la dualidad del directorio y la distribución de dividendos, además la presencia de directores independientes en el directorio no tiene un impacto significativo en la distribución de dividendos.
    Abstract: L'objectif de ce travail est d'examiner les déterminants de la politique de distributions de dividendes, plus particulièrement nous allons mettre en exergue l'effet de l'implication de l'actionnariat familial et les mécanismes internes de gouvernance sur les décisions de paiement de dividendes des sociétés cotées en bourse au Maroc. Pour répondre à nos questions de recherche nous avons utilisé une estimation à l'aide d'un modèle TOBIT portant sur échantillon composé 160 observations années-entreprises durant la période 2015-2018. Les résultats de cette étude montrent une relation négative entre la propriété familiale et le ratio de distribution de dividendes. En outre, la présence d'un PDG familial à un effet négatif sur le niveau de dividendes distribués. Par ailleurs, nous constatons que le recours à des mécanismes de contrôle par des structures pyramidales n'a pas d'impact significatif sur la distribution de dividendes. En termes de l'effet des mécanismes de gouvernance sur les paiements de dividendes, nous trouvons une association positive entre la présence d'un second détenteur de bloc institutionnel et la distribution de dividendes. On révèle également une relation négative entre la dualité du conseil d'administration et la distribution de dividendes, par ailleurs la présence des administrateurs indépendants au sein du conseil d'administration n'a pas d'impact significatif sur la distribution de dividendes.
    Keywords: conflits d’agence.,mécanismes de gouvernance,implication de l’actionnariat familial,politique de distribution de dividendes,agency conflicts,corporate governance mechanisms,involvement of family shareholders,dividend policy
    Date: 2020
  3. By: Kutha, Ngakan Made; Susan, Marcellia; Institute of Research, Asian
    Abstract: Profits show the performance of managers before the related parties, such as investors and creditors. Therefore, managers often incorrectly state them in the published annual financial reports to protect their reputation. Undoubtedly, this action needs to be reduced by the governance mechanism, like supervision by institutions as the owner and audit by the external public accountant firm. To control these two effects on profits management, additionally, this study employs financial leverage. This study aims to prove the impact of institutional ownership, the external auditor reputation, and financial leverage on profits management. The population and the samples are the non-financial companies establishing the LQ45 index from 2014 to 2018, getting taken by the simple random sampling technique. Also, the regression model performs as the technique to examine the data. By denoting the testing of the hypothesis results and the discussion section, this study summarizes that institutional ownership and reputable external auditor effectively decrease profits management. Additionally, although firms have much debt, they cut the tendency to manage their profits because of applying transparency.
    Date: 2021–02–04
  4. By: Alessandra Iannamorelli (Bank of Italy); Stefano Nobili (Bank of Italy); Antonio Scalia (Bank of Italy); Luana Zaccaria (EIEF)
    Abstract: Using a comprehensive dataset of Italian SMEs, we find that differences between private and public information on firm creditworthiness affect the decision to issue traded debt securities. Specifically, holding public information constant, firms with better private fundamentals are more likely to access bond markets. Additionally, credit conditions improve for issuers following the bond placement, compared with a matched sample of non-issuers. Thus, our evidence supports 'positive' (rather than adverse) selection in corporate bond markets. This is consistent with a model where banks offer more flexibility than markets during financial distress and firms use market lending to signal credit quality to outside stakeholders.
    Date: 2021
  5. By: Fauzi3, Samrony Eka; , Sudjono; Saluy, Ahmad Badawi; Institute of Research, Asian
    Abstract: This study aims to compare the best bankruptcy prediction models between Altman, Springate, Zmijewski and Grover models against companies listed on the Indonesian stock exchange in the telecommunications sub-sector for the 2014-2019 period. The purposive sampling method is used to obtain a sample of companies with the following criteria: Companies listed on the Indonesian stock exchange, the telecommunications sub-sector, the company has conducted an IPO in 2010, the company is obedient in reporting annual reports from 2014 - 2019 and the company is free from delisting issues. There are 4 companies that meet the purposive sampling criteria, namely PT. Telkom TBK, PT. Indosat TBK. PT. XL Axiata TBK and PT. Smartfren TBK. The data used in this research is secondary panel data. The results showed that only PT. Telkom which is in a healthy financial condition. Meanwhile, PT. Indosat, PT. XL Axiata and PT. Smartfren is consistently in an unhealthy condition based on the analysis of the Altman and Springate models. The calculation of Zmijewski's model and Grover's model gave inconsistent results. Comparative testing of the four bankruptcy analysis models resulted in the Altman, Springate and Grover models recording accurate results but Altman modelling is the best because it is an accurate, consistent, and tested model both descriptively and statistically.
    Date: 2021–02–02
  6. By: Francisco Javier Vasquez-Tejos (Universidad Mayor de Chile); Prosper Lamothe Fernández (Universidad Mayor de Chile)
    Abstract: This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets. In the present study, five liquidity risk measures with a multiple regression model; three have been widely used in previous studies and two were from recently proposed measures. We found evidence of an inverse relationship between liquidity risk and stock performance, which indicates that there exist rewards for investing in less liquid positions and therefore originate new investment strategies. In general, lesser developed or smaller markets have a disadvantage for this type of study, due to lack of access to historical information on stock purchase and sales.
    Keywords: Liquidity Risk, Stock Returns, Emerging Markets, Latin America, Liquidity Risk Measurements.
    JEL: G32
    Date: 2020–11

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