[Show abstract][Hide abstract] ABSTRACT: The paper reviews the literature on internal and external corporate governance mechanisms in China. Chinese regulatory bodies have made considerable efforts to improve the corporate governance of listed firms. However, research has shown that most of the governance instruments that are effective in developed nations are less effective in China. We attribute the ineffectiveness to the large stake of the state in listed firms, strong political connections between listed firms and the government, and the lack of a truly independent judicial system. Some suggestions for making corporate governance more effective in China are provided.
Asian-Pacific Economic Literature 05/2011; 25(1):15-28. DOI:10.1111/j.1467-8411.2011.01283.x · 0.41 Impact Factor
[Show abstract][Hide abstract] ABSTRACT: This paper studies the performance and the survivorship of New Zealand IPOs for the period 1991 to 2005. We find that the commonly reported features of IPOs, such as underpricing and underperformance, exist in New Zealand, with the level of underpricing declining in recent years. We find that the operating performance of companies in our sample does not change significantly after listing. Underpricing, size and operating performance are found to influence IPO market performance, while higher risk and new start-up companies have lower operating performance after listing. In relation to survivorship, the majority of delisted firms are merger and acquisition targets rather than failed firms. Interestingly, acquired firms have better market performance and have been operating longer than the surviving firms, while failed firms tend to have higher market volatility, change their management more often, and be issued in the hot market periods.
International Review of Financial Analysis 06/2010; 19(3):172-180. DOI:10.1016/j.irfa.2010.02.006 · 0.88 Impact Factor
[Show abstract][Hide abstract] ABSTRACT: The long-run performance of Chinese IPOs is investigated using 897 A-share IPOs listed on the two Chinese stock exchanges from 1996 to 2002. Significantly positive abnormal returns are found up to three years after listing by using the cumulative abnormal return measure, the buy-and-hold abnormal return measure, and the Fama-French three-factor model. Since the series of reforms in 1999-2000, outperformance has shown clear signs of decreasing. Cross-sectional analysis supports the view that the reasons for the outperformance of IPOs are the privatized nature of the new issues and the inequality of supply and demand. However, the uncertainty of the reforms reducing state ownership has made investing in IPOs less attractive in the long run.
Chinese Economy 01/2010; 43(5):62-88. DOI:10.2753/CES1097-1475430505
[Show abstract][Hide abstract] ABSTRACT: The sale price appraisal ratio (SPAR) method, which takes the ratios of the current house prices and their previous assessed values to construct an index, has been applied in New Zealand since the 1960s. This paper uses housing market transaction data for 12 cities in New Zealand (1994-2004) to develop monthly SPAR house price indices. These indices were subjected to a variety of statistical tests and benchmarked against the comparable monthly quality controlled weighted repeat sales indices. Finally, the paper provides some useful suggestions for future research based on the SPAR index and other alternative house price indices, such as the assessed value (AV) method.
[Show abstract][Hide abstract] ABSTRACT: We consider whether popular moving average and trading range breakout technical trading rules are profitable on a subset of the US stocks with certain size, liquidity and industry characteristics. We find these rules are rarely profitable during the period 1990 to 2004, however there is some evidence that they are more profitable for smaller, less liquid stocks. There is no evidence to any industry bias in applying these rules and when a rule does produce statistically significant profits on a stock, these profits tend to be greater for longer decision period rules.
[Show abstract][Hide abstract] ABSTRACT: We investigate acquiring firms of 1148 M&A in the two Chinese stock markets. Using the market model, the CAPM model and the buy-and-hold method, we find significantly positive abnormal returns before (6Â months) and upon M&A announcements, while the long-run abnormal returns (6Â months) after M&A are insignificant. Cash is the dominant payment method and the competition during M&A is low. The cross-sectional analysis shows that the political advantages of acquiring firms have a significantly positive impact on the acquirers' performance, while the economic advantages do not. Finally, cross-provincial M&A and better corporate governance create value to acquiring firms.
[Show abstract][Hide abstract] ABSTRACT: We show that candlestick charting, the oldest known form of technical analysis, is not profitable in the Japanese equity market
over the 1975–2004 period. Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply intertwined
with Japanese culture and is very popular in Japan. However, there is no evidence candlestick technical trading strategies
add value in either the entire 30 year period, in three 10 year sub-periods or in bull or bear markets.
Review of Quantitative Finance and Accounting 02/2008; 31(2):191-207. DOI:10.1007/s11156-007-0068-1
[Show abstract][Hide abstract] ABSTRACT: We investigate the profitability of the quantitative market timing technique of candlestick technical analysis in the U.S. equity market. Despite being used for centuries in Japan and now having a wide following amongst market practitioners globally, there is little research documenting its profitability or otherwise. We find that these strategies are not generally profitable when applied to large U.S. stocks. Basing trading decisions solely on these techniques does not seem sensible but we cannot rule out the possibility that they compliment some other market timing techniques.
[Show abstract][Hide abstract] ABSTRACT: This paper examines the degree of financial integration that exists in East Asian equity markets using the International Capital Asset Pricing Model methodology. We employ three market portfolios to test for integration: the weighted average equity index of all sample countries, the Japanese market index and the US market index. The study shows that the level of financial efficiency and the integration of sample countries is high and has improved significantly during 1991 to 2005, and they are more financially integrated within the region and with the Asian leading market (Japan) than with the world leading market (the USA). Copyright 2006 Blackwell Publishing Ltd
[Show abstract][Hide abstract] ABSTRACT: This study investigates the effect of monetary policy shocks in New Zealand and Australia on their respective exchange rates from 1985 to 1998 using vector autoregression methodology. The results show that monetary policy shocks do contribute to the variability of both exchange rates, but these movements are not always consistent with theory. In particular, there is little support for the overshooting hypothesis. Also the results show that the exchange rates do not always move in the direction normally anticipated, particularly for New Zealand. A contraction in monetary policy may lead to a depreciation of the domestic currency rather than an appreciation.
[Show abstract][Hide abstract] ABSTRACT: We apply cointegration methodology to the New Zealand and Australian 90-day, three-year and 10-year debt and futures markets. We compare traditional methods of calculating hedge ratios with those computed by using univariate and multivariate error correction models. We use out-of-sample forecasting to determine which approach is the most effective. Contrary to recent research, our results show that univariate and multivariate error correlation models do not outperform more traditional methods of constructing hedges. Copyright 1999 by MIT Press.