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Item Metadata only Is the health care price inflation in US urban areas stationary? Evidence from panel unit root tests(Universidad ESAN. ESAN Ediciones, 2018-06-01) Murthy, Vasudeva; Okunade, AlbertPurpose – This study aims to investigate, for the first time in the literature, the stochastic properties of the US aggregate health-care price inflation rate series, using the data on health-care inflation rates for a panel of 17 major US urban areas for the period 1966-2006. Design/methodology/approach – This goal is undertaken by applying the first- and second-generation panel unit root tests and the panel stationary test developed recently by Carrion-i-Silvestre et al. (2005) that allows for endogenously determined multiple structural breaks and is flexible enough to control for the presence of cross-sectional dependence. Findings – The empirical findings indicate that after controlling for the presence of cross-sectional dependence, finite sample bias, and asymptotic normality, the US aggregate health-care price inflation rate series can be characterized as a non-stationary process and not as a regime-wise stationary innovation process. Research limitations/implications – The research findings apply to understanding of health-care sector price escalation in US urban areas. These findings have timely implications for the understanding of the data structure and, therefore, constructs of economic models of urban health-care price inflation rates. The results confirming the presence of a unit root indicating a high degree of inflationary persistence in the health sector suggests need for further studies on health-care inflation rate persistence using the alternative measures of persistence. This study’s conclusions do not apply to non-urban areas. Practical implications – The mean and variance of US urban health-care inflation rate are not constant. Therefore, insurers and policy rate setters need good understanding of the interplay of the various factors driving the explosive health-care insurance rates over the large US metropolitan landscape. The study findings have implications for health-care insurance premium rate setting, health-care inflation econometric modeling and forecasting.Item Metadata only Effects of institutional quality and the development of the banking system on corporate debt(Universidad ESAN. ESAN Ediciones, 2018-06-01) Tresierra, Alvaro Edmundo; Reyes, Sergio DavidPurpose – This study aims to determine if the quality of national institutions and banking development condition the maturity of debt depending on the horizon of short or long term. Design/methodology/approach – Analysis is performed on a sample of 116 nonfinancial companies from Peru and Brazil. The measures of quality of national institutions and banking development were obtained from World Bank data and included factorial analysis for dynamic considerations. Findings – The findings, through the treatment of pointed indicators, the factor analysis and the subsequent estimation of a dynamic econometric model, called GMM-SYS, show that institutional quality fosters the maturity of long-term debt and banking development boots short-term financial relations. Research limitations/implications – Evaluating different measures of the quality of national institutions and banking development is necessary to demonstrate the robustness of the results beyond the sample evaluated in Latin America. Practical implications – The research allows to understand the interaction between national institutions and system banking through debt maturity, and this is useful for establishing common target between both groups. Social implications – It is important for corporate finance to understand the mechanisms of the interaction between national institutions and system banking, because this affects internal decisions of firms regarding financial implications. Originality/value – The treatment of measures of national institutions and banking development include dynamic considerations, and the application of this study in Latin America provides new findings regarding these kind of indexes and their interaction with firms¨ features such as debt maturity.Item Metadata only Modeling and forecasting abnormal stock returns using the nonlinear Grey Bernoulli model(Universidad ESAN. ESAN Ediciones, 2018-06-01) Doryab, Bahar; Salehi, MahdiPurpose – This study aims to use gray models to predict abnormal stock returns. Design/methodology/approach – Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model. Findings – Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models. Originality/value – The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market.Item Metadata only Determinantes y pronóstico de la actividad bursátil del mercado accionario colombiano(Universidad ESAN. ESAN Ediciones, 2018-06-01) Agudelo, David; Agudelo, Diego A.; Peláez, JuliánPurpose – To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016. Design/methodology/approach – ARMA time series models were used, including several explanatory variables recommended by previous literature. Findings – We find that stock market activity can be predicted to a large extent by its lags, and that positive returns in the last three months, emissions and the VIX index are also explicative variables, as suggested by empirical studies in other countries and theoretical models of market microstructure. These results are robust by using alternative measures of trading activity, total number of trades and turnover. Originality/value – The main contribution of this study is the analysis of the trading activity of the Colombian Stock Market, a critical variable for monitoring the development of any financial market.Item Metadata only Is gold a hedge or a safe haven? An application of ARDL approach(Universidad ESAN. ESAN Ediciones, 2018-06-01) Shakil, Mohammad Hassan; Mustapha, Is'haq Muhammad; Tasnia, Mashiyat; Saiti, BuerhanPurpose – The argument whether gold is a hedge or haven is a debatable Issue. Mainly hedge is a class of asset that is negatively correlated with another asset or portfolio on average. On the other hand a safe haven is an asset or portfolio which is negatively correlated with another asset or portfolio at the time of market turmoil. Therefore the purpose of this research is to take Saudi Arabiaas an example to examine the relationship of gold price in Saudi Arabia with key determinants such as the stock market index oil prices exchange rate interest rate and consumer price index (CPI) by application of the autoregressive distributed lag model (ARDL). Design/methodology/approach – The ARDL analysis was employed by using six variables based on the application of monthly time series data that were collected from 2011 to 2015. Findings – From the present analysis it has been discovered that gold is useful as a portfolio hedge and as a hedge against inflation because it is not affected by the CPI. External factors for example financial crisis may be harmful to the CPI thus adding a certain percentage of gold in the investment portfolio may assist in decreasing the level of risk at the time of financial turmoil. Originality/value – Because gold seems to be a useful portfolio hedge as well as an inflation hedge government policies to curb the import of gold may be futile. The present research suggests that policies that directly address the causes of inflation and provide alternative investment opportunitiesfor retail investors may better serve the objective of decreasing gold imports.Item Metadata only Estrategias competitivas y gestión deportiva: una perspectiva de la Teoría Basada en Recursos aplicada al sector del fútbol(Universidad ESAN. ESAN Ediciones, 2018-06-01) Quispe, Julio; Rivera, JaimePurpose – This research uses the Resource-based Theory as the basis for a model that allows integrating organizational actions with the variables that can moderate directly or indirectly their impact on the high performance of football clubs. Design/methodology/focus – An empirical test was developed in three phases. The first was the linear regression technique. Second a multivariate analysis of covariance (MANCOVA) and the third procedure a regression by least squares in two phases. The objective of using these last two procedures was to evaluate the joint effect of the independent variables on the dependent variables as well as the effects of interaction between them. Findings – The direct and indirect relationships between the organizational and decisional variables foreseen in the model are validated. It also validates the importance of promotional actions of the club to achieve competitiveness based on its performance or results. Limitations/implications – Future research could be replicated in other countries using larger samples with more complex statistical techniques. Also it could be tested if the relationships found can vary according to the cultures or other variables not contemplated in this study can be used. Practical implications – The questionnaire used is a reliable source of information for marketing managers of football clubs since the scales can be used as guides to assess and diagnose their performance-based competitiveness potential. Social implications – Football clubs have a direct development and impact on society. Therefore the implications in the club will fall on the immediate environment (fans and society). Originality/value – This research provides several fundamental contributions to the literature on organizational competitiveness in the sports sector with specific application to football clubs. This is one of the few studies that show that competitiveness is the result of motivational and organizational dynamics and that the success of clubs is based on a more complex phenomenon than just attendance at events. Also it is an investigation in an emerging country which extends the theoretical and practical applicability of the phenomenon studied.
