Journal of Economics, Finance and Administrative Science
URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4090
La Journal of Economics, Finance and Administrative Science (JEFAS), de la Universidad ESAN, es una publicación académica de acceso abierto que presenta investigaciones revisadas por pares en administración, economía y finanzas, con un enfoque en el contexto latinoamericano e iberoamericano. Fundada en 1992 como Cuadernos de Difusión, en 2009 cambió de nombre a su actual denominación como JEFAS. Ha evolucionado en colaboración con importantes editoriales, como Elsevier y actualmente Emerald Publishing. La revista publica investigaciones de alta calidad sin costo para los autores, con el respaldo de ESAN y su compromiso con la difusión del conocimiento científico y académico, y la práctica gerencial.
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Ítem Solo Metadatos The impact of rating classifications on stock prices of Brazilian companies(Universidad ESAN. ESAN Ediciones, 2021-06-30) Pagin, Fernanda; Gomes, Matheus da Costa; Antônio, Rafael Moreira; Júnior, Tabajara Pimenta; Gaio, Luiz EduardoPurpose. This paper aims to identify if there is an impact of the rating announcements issued by the agencies on the returns of the stocks of Brazilian companies listed on Brasil Bolsa Balcão, from August 2002 to August 2018, identifying which types of announcement (upgrade, downgrade or the same initial classification) cause variations in prices around the date of disclosure of the rating. Design/methodology/approach. The event study methodology was applied to verify the market reaction around the announcement dates in a 21-day event window (−10, +10). The market model was used to calculate the abnormal returns (ARs), and subsequently, the accumulated ARs. Findings. The hypotheses tests allowed to verify that the accumulated ARs are different, before and after the three types of rating announcements (upgrades, downgrades and the same classification); in upgrades, the mean of accumulated ARs increases in the days before the event, while in downgrades, this increase occurs after the event. This paper concluded that the rating announcements have an impact on the return of stock of the Brazilian market and that the market reaction occurs most of the time before the event happens, which indicates that the market can anticipate the information contained in the changes in credit ratings. Practical implications. The results have considerable implications for portfolio managers, institutional investors and traders. It facilitates investment decision-making in the face of rating classification announcements. Market participants can pay more attention to their investment strategies and asset allocation during periods of risk rating announcements. Additionally, traders can understand the form of investment strategy for superior earnings. Originality/value. The importance of the study is related to the fact that the results may explain the causes of specific movements in the Brazilian financial market related to a source of information that may or may not be able to influence the decisions of the financial agents that operate in this market. The justification is centred on the idea that, for investors who somehow react to the announcements, it is relevant to understand the impact of rating classifications on companies, as access to such information allows for more conscious decision-making.Ítem Solo Metadatos Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence(Universidad ESAN. ESAN Ediciones, 2015-12-01) Kok, Sook Ching; Munir, QaiserThis study examines the weak-formefficientmarkethypothesis (EMH)for the Finance Sector inMalaysian Stock Exchange, by exploring and scrutinizing the firm-level efficiency over for the period from 1 st January 1997 to 31st December 2014. For this purpose, we apply panel nonlinear unit root test that accounts for heterogeneity, and panel stationarity test to allow for the presence of structural breaks and crosssectional dependence (CSD). The main findings of this study suggest the following: first, there is a strong CSD among the price series of finance stocks; second, unlike the traditional panel unit root tests that provide mixed-results, the panel stationarity test which incorporates structural breaks and CSD suggests that these series are characterized as random walk processes implying the Finance Sector is weak-form efficient. The finding of weak-form efficiency has salient implications in terms of capital allocation, stock price predictability, forecasting technique, and the impact of shocks to stock prices.Ítem Solo Metadatos Seasonal anomalies in the market for American depository receipts(Universidad ESAN. ESAN Ediciones, 2019-12-01) Lobão, JúlioPurpose – The literature provides extensive evidence for seasonality in stock market returns but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap this paper aims to examine a number of seasonal effects in the market for ADRs. Design/methodology/approach – The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy variables for the time period of interest to capture excess returns. For comparison the same analysis on two US stock market indices is conducted. Findings – The results show the presence of a highly significant pre-holiday effect in all return series which does not seem to be justified by risk. Moreover turn-of-the-month effects monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs. Research limitations/implications – Overall the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover the findings lend support to the idea that emerging markets are less efficient than developed stock markets. Originality/value – This is the most comprehensive study to date for indication of seasonal anomalies in the market for ADRs. The authors use an extensive sample that includes recent significant financial events such as the 2007/2008 financial crisis and consider ADRs with different characteristics which allows to draw comparisons between the differential price dynamics arising in developed market-based ADRs and in the ADRs whose underlying securities are traded in emerging markets.
