JEFAS Vol. 22 Nº 43 (2017)
URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4131
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Ítem Solo Metadatos The role of liquidity in asset pricing: the special case of the Portuguese Stock Market(Universidad ESAN. ESAN Ediciones, 2017-12-01) Miralles-Quirós, María del Mar; Miralles-Quirós, José Luis; Oliveira, CeliaPurpose – The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach – The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings – The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market. Research limitations/implications – These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications – The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision. Originality/value – The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debatestock market. Moreover, the authors have to highlight that previous evidence almost.Ítem Solo Metadatos The use of the recognition heuristicas an investment strategy in European stock markets(Universidad ESAN. ESAN Ediciones, 2017-12-01) Lobão, Júlio; Pacheco, Luís; Pereira, CarlosPurpose – People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied to financial markets, the recognition heuristic predicts that investors acquire the stocks that they are aware of, thereby inflating the price of the most recognized stocks. This paper aims to study the profitability against the market of the most recognized stocks in Europe. Design/methodology/approach – In this paper, the authors perform a survey and use Google Trends to study the profitability against the market of the most recognized stocks in Europe. Findings – The authors conclude that a recognition heuristic portfolio yields poorer returns than a market portfolio. In contrast, from the data collected on Google Trends, weak evidence was found that strong increases in companies monthly search volumes may lead to abnormal returns in the following month. Research limitations/implications – The applied investment strategy does not account for transaction costs, which may jeopardize its profitability given the fact that it is necessary to revise the portfolio on a monthly basis. Despite the results obtained, they are useful to understanding the performance of recognition heuristic strategies over a comprehensive time horizon, and it would be interesting to depict its viability during different market conditions. This analysis could provide additional information about a preferable scenario for employing our strategies and, ultimately, enhance the profitability of recognition heuristic strategies. Practical implications – Through the exhaustive analysis performed here on the recognition heuristic in the European stock market, it is possible to conclude that no evidence was found for the viability of exploring this type of strategy. In fact, the investors would always gain better returns when adopting a passive investment strategy. Therefore, it would be wise to assume that the European market presents at least a degree of efficiency where no investment would yield abnormal returns following the recognition heuristic. Originality/value – The main objective of this paper is to study the performance of the recognition heuristic in the financial markets and to contribute to the knowledge in this field. Although many authors have already studied this heuristic when applied to financial markets, there is a lack of consensus in the literature.Ítem Solo Metadatos The financial services industry and society: the role of incentives/punishments, moral hazard, and conflicts of interests in the 2008 financial crisis(Universidad ESAN. ESAN Ediciones, 2017-12-01) Murray, Noel; Manrai, Ajay K.; Manrai, Lalita AjayPurpose – This paper aims to present an analysis of the role of financial incentives, moral hazard and conflicts of interests leading up to the 2008 financial crisis. Design/methodology/approach – The study’s analysis has identified common structural flaws throughout the securitization food chain. These structural flaws include inappropriate incentives, the absence of punishment, moral hazard and conflicts of interest. This research sees the full impact of these structural flaws when considering their co-occurrence throughout the financial system. The authors address systemic defects in the securitization food chain and examine the inter-relationships among homeowners, mortgage originators, investment banks and investors. The authors also address the role of exogenous factors, including the SEC, AIG, the credit rating agencies, Congress, business academia and the business media. Findings – The study argues that the lack of criminal prosecutions of key financial executives has been a key factor in creating moral hazard. Eight years after the Great Recession ended in the USA, the financial services industry continues to suffer from a crisis of trust with society. Practical implications – An overwhelming majority of Americans, 89 per cent, believe that the federal government does a poor job of regulating the financial services industry (Puzzanghera, 2014). A study argues that the current corporate lobbying framework undermines societal expectations of political equality and consent (Alzola, 2013). The authors believe the Singapore model may be a useful starting point to restructure regulatory agencies so that they are more responsive to societal concerns and less responsive to special interests. Finally, the widespread perception is that the financial services sector, in particular, is ethically challenged (Ferguson, 2012); perhaps there would be some benefit from the implementation of ethical climate monitoring in firms that have been subject to deferred prosecution agreements for serious ethical violations (Arnaud, 2010). Originality/value – The authors believe the paper makes a truly original contribution. They provide new insights via their analysis of the role of financial incentives, moral hazard and conflicts of interests leading up to the 2008 financial crisis.Ítem Solo Metadatos Liderazgo orientado a la gente en call centers(Universidad ESAN. ESAN Ediciones, 2017-12-01) León, Federico R.; Morales, Oswaldo; Ramos, Juan D.; Goyenechea, Álvaro; Rojas, Paul A.; Meza, José; Burga-León, AndrésPurpose – Call centers generate stress and absenteeism in staff and the literature suggests that peopleoriented leadership is the right way of supervision for such a situation. This study compared its effects versus those of other types of leadership. Methodology – Absentee data of 379 representatives of customer services of a Peruvian call center were analyzed and the representatives answered a questionnaire about the Framework of Values in Competition and its four types of leadership. Day and night work shifts were compared. Results – It was observed that absenteeism declines with people-oriented leadership although only during the day shift and the addition of leadership oriented to change results and control devalues models. Limitations/implications – Future studies should cover the performance of the worker. The findings suggest a need to re-focus the theoretical focus on environmental contingencies that affect leadership effectiveness. Originality/value – Leadership theorists will ask themselves in what circumstances the multiple leadership is effective. Call center managers will appreciate the organizational value of people-oriented leadership at the first level of supervision.Ítem Solo Metadatos Efectos de la realización de un megaevento deportivo sobre una economía local: el caso de los Juegos Mundiales 2013 Cali(Universidad ESAN. ESAN Ediciones, 2017-12-01) Aguado, Luis F.; Osorio, Ana M.; Arbona, Alexei; Peña-Vinces, Jesús C.Purpose – A summary of the economic impact resulting from the celebration of a sporting mega-event in the city of Cali Colombia is carried out in this article. Design/methodology/approach – The impacts are estimated by means of the systematic effects produced by the activities of investment/expenditure of the identified agents and the consequent multiplying effects captured from an input-output model. Findings – The World Games represented a new income flow to the city of Cali of $101.036 million pesos (=US$53.4 mill.) and 9.598 jobs were created (=7711 full-time jobs). Additionally 2174 foreign tourists and 11250 national tourists were attracted to the city. Originality/value – The article contributes with innovative aspects methodologically speaking useful for future studies of economic impact in cities with low tourismlocated in developing countries.Ítem Solo Metadatos The valuation performance of mathematically-optimised equity-based composite multiples(Universidad ESAN. ESAN Ediciones, 2017-12-01) Nel, Soon; Le Roux, NiëlPurpose – This paper aims to examine the valuation precision of composite models in each of six key industries in South Africa. The objective is to ascertain whether equity-based composite multiples models produce more accurate equity valuations than optimal equity-based single-factor multiples models. Design/methodology/approach – This study applied principal component regression and various mathematical optimisation methods to test the valuation precision of equity-based composite multiplesmodels vis-à-vis equity-based single-factor multiples models. Findings – The findings confirmed that equity-based composite multiples models consistently produced valuations that were substantially more accurate than those of single-factor multiples models for the periodbetween 2001 and 2010. The research results indicated that composite models produced up to 67 per cent more accurate valuations than single-factor multiples models for the period between 2001 and 2010 which represents a substantial gain in valuation precision. Research implications – The evidence therefore suggests that equity-based composite modelling may offer substantial gains in valuation precision over single-factor multiples modelling. Practical implications – In light of the fact that analysts’ reports typically contain various different multiples it seems prudent to consider the inclusion of composite models as a more accurate alternative. Originality/value – This study adds to the existing body of knowledge on the multiples-based approach to equity valuations by presenting composite modelling as a more accurate alternative to the conventionalsingle-factor multiples-based modelling approach.
