Template-Type: ReDIF-Article 1.0 Author-Name: Godfred Adjapong Afrifa Author-X-Name-First: Godfred Adjapong Author-X-Name-Last: Afrifa Author-Name: Ishmael Tingbani Author-X-Name-First: Ishmael Author-X-Name-Last: Tingbani Title: Working capital management, cash flow and SMEs' performance Abstract: The paper presents comprehensive evidence on the relationship between working capital management (WCM) and SMEs' performance by taking into consideration of the plausible effect of cash flow. The paper adopts a panel data regression analysis on a sample of 802 British quoted small and medium enterprises listed on the alternative investment market for the period from 2004 to 2013. The results of the study demonstrate the importance of cash flow on SMEs' WCM and performance. According to our findings, WCM has a significantly negative impact on SME performance. However, with the available cash flow, we find a significantly positive relationship. Additionally, our evidence revels that the cash flow constrained (non-constrained) SMEs are able to enhance their performance through decreased (increased) investment in WCM. Overall, the results demonstrate the importance of cash flow availability on SMEs' working capital needs. Our findings suggest that in an event of cash flow unavailability (availability) managers should strive to reduce (increase) the investment in working capital in order to the improve performance. This current study incorporates the relevance of cash flow in assessing the association between WCM and firm performance. Journal: Int. J. of Banking, Accounting and Finance Pages: 19-43 Issue: 1 Volume: 9 Year: 2018 Keywords: working capital management; WCM; performance; small and medium enterprises; SMEs; cash flow. File-URL: http://www.inderscience.com/link.php?id=89421 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:19-43 Template-Type: ReDIF-Article 1.0 Author-Name: Chaiyuth Padungsaksawasdi Author-X-Name-First: Chaiyuth Author-X-Name-Last: Padungsaksawasdi Author-Name: Robert T. Daigler Author-X-Name-First: Robert T. Author-X-Name-Last: Daigler Title: Volume weighted volatility: empirical evidence for a new realised volatility measure Abstract: We introduce a new conceptually superior realised volatility estimator, volume weighted volatility (VWV), which effectively measures demand-based volatility, rather than only measuring the variability of a price series. We compare the VWV to other return- and range-based measures using the stock index futures, with our results supporting the empirical uniqueness of VWV. First, regressions show that the VWV provides unique information. Second, VWV is (only) weakly associated with other volatility measures for the smallest four volatility quintiles. Third, correlograms illustrate that the VWV is less persistent than the other measures, leading to more unique volatility values. Finally, the VWV most closely approximates the normal distribution. Journal: Int. J. of Banking, Accounting and Finance Pages: 61-87 Issue: 1 Volume: 9 Year: 2018 Keywords: realised volatility; volume; volume weighted average price; VWAP. File-URL: http://www.inderscience.com/link.php?id=89423 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:61-87 Template-Type: ReDIF-Article 1.0 Author-Name: Eleftherios Aggelopoulos Author-X-Name-First: Eleftherios Author-X-Name-Last: Aggelopoulos Title: Branch manager characteristics and efficiency during capital controls Abstract: This paper investigates the impact of manager characteristics on bank branch efficiency during the extreme economic event of capital controls. A unique branch-level data set comprising of accounting and personal managerial information of a representative Greek systemic bank is utilised. A profit-oriented bootstrapped DEA model is run for both the total branch network of the bank under investigation and a homogeneous group of its branches, covering the period from January 2016 to February 2017. It is found that university graduate managers outperform on average their colleagues with a secondary education level regardless of the sample used. In the case of the homogeneous sample, more experienced managers can tackle adverse crisis effects on branch performance more effectively than inexperienced managers; this is even more applicable to the large branches. In this homogeneous branch framework, management experience can satisfactorily compensate for educational limitations caused by a manager not having higher education qualifications. Journal: Int. J. of Banking, Accounting and Finance Pages: 44-60 Issue: 1 Volume: 9 Year: 2018 Keywords: banking; bank branch efficiency; manager characteristics; experience level; educational background; accounting information; profit and loss statements; bootstrap DEA; capital controls; Greece. File-URL: http://www.inderscience.com/link.php?id=89424 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:44-60 Template-Type: ReDIF-Article 1.0 Author-Name: Louisa Chen Author-X-Name-First: Louisa Author-X-Name-Last: Chen Author-Name: Thanos Verousis Author-X-Name-First: Thanos Author-X-Name-Last: Verousis Title: A contingent claims approach to the determinants of the stock-bond return relationship Abstract: This paper decomposes the two effects on a firm's stock and bond returns - the effect of firm's future cash flow and the effect of business risk to study the relationship between the returns of stocks and bonds issued by the same firm. Based on the contingent claims option pricing theory, we employ the firm-level data and an event study methodology, and generate hypotheses regarding the stock-bond return relationship. We show that, by controlling for firm's leverage and firm's future cash flow has a simultaneous positive effect on the firm's stock and bond returns, whereas firm's business risk has a decoupling effect on stock and bond returns. In addition, we provide evidence for the 'flight to quality' hypothesis at a firm-specific level. Our findings complement the literature of stock and bond correlation within a theoretical framework. Journal: Int. J. of Banking, Accounting and Finance Pages: 1-18 Issue: 1 Volume: 9 Year: 2018 Keywords: stock-bond return relationship; contingent claims analysis; capital structure; firm performance; business risk; finance theory. File-URL: http://www.inderscience.com/link.php?id=89425 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: Dimitrios I. Vortelinos Author-X-Name-First: Dimitrios I. Author-X-Name-Last: Vortelinos Author-Name: Konstantinos Gkillas Author-X-Name-First: Konstantinos Author-X-Name-Last: Gkillas Title: Intraday realised volatility forecasting and announcements Abstract: This paper examines the importance of macroeconomic announcements, nonlinearity and combining, to realised volatility forecasting in equity-, energy- and commodities-mini-futures markets, by using intraday frequency data. We use three evaluation criteria to detect whether the predictions are more accurate on the out-of-sample announcement days or on the all out-of-sample days. The forecasting evaluation dataset starts from 14 October 2009 to 14 October 2011. The findings indicate that there are some announcements on which nonlinear and combined models forecast realised volatility more accurately in announcement days. Journal: Int. J. of Banking, Accounting and Finance Pages: 88-118 Issue: 1 Volume: 9 Year: 2018 Keywords: forecasting; macro-economic announcements; nonlinearity; combining; mini-futures markets. File-URL: http://www.inderscience.com/link.php?id=89426 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:88-118 Template-Type: ReDIF-Article 1.0 Author-Name: Matthias Nnadi Author-X-Name-First: Matthias Author-X-Name-Last: Nnadi Author-Name: Daniel Aghanya Author-X-Name-First: Daniel Author-X-Name-Last: Aghanya Title: Evaluation of merger premium and firm performance in Europe Abstract: This paper investigates whether the deal premium affects the performance of the acquiring firms in European mergers and acquisitions (M%As) deals for the period 2000-2013. We find a significant reduction in short-term performance of the acquiring firms after the M%As, reflecting the overpayment hypothesis. Our result also indicates that the negative effect on the performance of the acquiring firms is less pronounced in the long-term. The result confirms the synergy hypothesis and the existence of quadratic relationship between high premium and performance. Our findings are robust as we control for firm and time trends. The findings of our study have implications for companies engaging in acquisitions in Europe. Journal: Int. J. of Banking, Accounting and Finance Pages: 119-140 Issue: 2 Volume: 9 Year: 2018 Keywords: mergers; premiums; performance; acquisition; Europe; returns. File-URL: http://www.inderscience.com/link.php?id=92131 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:2:p:119-140 Template-Type: ReDIF-Article 1.0 Author-Name: Anastasios Petropoulos Author-X-Name-First: Anastasios Author-X-Name-Last: Petropoulos Author-Name: Nikolaos E. Vlachogiannakis Author-X-Name-First: Nikolaos E. Author-X-Name-Last: Vlachogiannakis Author-Name: Dionysios Mylonas Author-X-Name-First: Dionysios Author-X-Name-Last: Mylonas Title: Forecasting private sector bank deposits in Greece: determinants for trend and shock effects Abstract: In this work, we employ a Markov regime switching autoregressive model (MS-AR) to project private sector bank deposits in Greece, where low uncertainty regimes are followed by high uncertainty regimes or vice versa. MS-AR models are a well-established method for modelling effectively nonlinear financial time series, which entail non-homogeneous observed data and where the patterns of the entailed temporal dynamics may change over time. Our empirical evidence suggests that such a model has a superior out of sample predictive performance compared to a broadly used time series model. Essentially, our model outperforms in forecasting both the evolution of outflow rates and the absolute level of customer deposit balances over time, while its superiority relative to peer models is even more pronounced during periods of systemic shock in a country. Our model specification can be employed not only in performing baseline forecasting of the deposit growth rate, but also in modelling volatility shocks in the deposit time series. Essentially, our model can be used as an integrated part of a capital or liquidity stress testing framework by supervisory, macroprudential or monetary policy authorities, in assessing the resilience of a certain bank or of the whole banking sector. Journal: Int. J. of Banking, Accounting and Finance Pages: 141-169 Issue: 2 Volume: 9 Year: 2018 Keywords: private sector bank deposits; regime switching; forecasting; bank run; Greece. File-URL: http://www.inderscience.com/link.php?id=92132 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:2:p:141-169 Template-Type: ReDIF-Article 1.0 Author-Name: Georgios Chatzinas Author-X-Name-First: Georgios Author-X-Name-Last: Chatzinas Author-Name: Simeon Papadopoulos Author-X-Name-First: Simeon Author-X-Name-Last: Papadopoulos Title: Trade-off vs. pecking order theory: evidence from Greek firms in a period of debt crisis Abstract: The aim of the present study is to examine which of the two main rival theories of capital structure (<i>trade-off and pecking order</i> theories) better explains the behaviour of the Greek firms' capital structure during debt crisis. The sample consists of accounting data for 142 non-financial listed in Athens stock exchange (ASE) firms for a period from 2008 to 2014. Using panel data analysis, three regressions are estimated for three periods: 2008-2014, 2008-2010 and 2011-2014. The statistical analysis: 1) supports that <i>trade-off</i> theory better explains the firms' capital structure during the total period and the second sub-period, while the combination of <i>pecking order</i> theory and <i>trade-off</i> theory during the first sub-period, 2) indicates that the change of the economic conditions due to the memorandum of understanding (MoU), signed between the Greek Government and its creditors and the debt crisis may led the firms to adjust their capital structure, 3) provides evidence that during 'regular' economic conditions, both capital structure theories are applied, while in economic conditions of a severe debt crisis that is accompanied by changes in tax rates, the <i>trade-off</i> theory is dominant. Journal: Int. J. of Banking, Accounting and Finance Pages: 170-191 Issue: 2 Volume: 9 Year: 2018 Keywords: capital structure; trade-off theory; pecking order theory; debt crisis; Greece. File-URL: http://www.inderscience.com/link.php?id=92133 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:2:p:170-191 Template-Type: ReDIF-Article 1.0 Author-Name: Golam Sarwar Author-X-Name-First: Golam Author-X-Name-Last: Sarwar Author-Name: Cesario Mateus Author-X-Name-First: Cesario Author-X-Name-Last: Mateus Author-Name: Natasa Todorovic Author-X-Name-First: Natasa Author-X-Name-Last: Todorovic Title: A guide to survival of momentum in UK style portfolios Abstract: In this study we estimate the survival time of momentum in six UK style portfolio returns from October 1980 to June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time for each of the six style portfolios. Discrepancies between these empirical mean survival times and those implied by theoretical models [Random Walk and ARMA (1, 1)] show that there is scope for profiting from momentum trading. We illustrate this by forming long-only, short-only and long-short trading strategies that exploit positive and negative momentum and their average survival time. These trading strategies yield considerably higher Sharpe ratios than the comparative buy-and-hold strategies at a feasible level of transaction costs. This result is most pronounced for the long/short strategies. Our findings remain robust during the 2007/2008 financial crisis and the aftermath, suggesting that Kaplan-Meier estimator is a powerful tool for designing a profitable momentum strategy. Journal: Int. J. of Banking, Accounting and Finance Pages: 192-224 Issue: 2 Volume: 9 Year: 2018 Keywords: momentum survival; style portfolios; Kaplan-Meier estimator; trading strategies; UK. File-URL: http://www.inderscience.com/link.php?id=92134 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:2:p:192-224 Template-Type: ReDIF-Article 1.0 Author-Name: Sarveshwar Kumar Inani Author-X-Name-First: Sarveshwar Kumar Author-X-Name-Last: Inani Title: The relative efficiency of the crude oil futures market: evidence from India Abstract: The purpose of this study is to identify the extent of relative efficiency of the futures contracts of crude oil, traded in the multi commodity exchange of India limited. This study examines the price discovery process in the short-run and long-run by using daily data from 1 April 2006 to 30 June 2015. Stationarity and cointegration tests reveal that spot and futures prices are I(1) and cointegrated. Granger causality test has been employed to examine the short-run price discovery, which shows a bi-directional causality with a dominance of the futures market. Three different information share techniques-component share method of Gonzalo and Granger (1995), information share method of Hasbrouck (1995) and modified information share of Lien and Shrestha (2009) - have been used to measure the relative efficiency of the spot and futures market in the long-run. These results (short-run and long-run) indicate that the price discovery takes place in the futures market. Relative efficiency and the price discovery have crucial implications for optimal portfolio allocation and forecasting of future spot prices. These findings might be useful for the regulators, government, exchange and policy makers to form market structure policies and guidelines for the commodity markets in emerging economies. Journal: Int. J. of Banking, Accounting and Finance Pages: 225-243 Issue: 2 Volume: 9 Year: 2018 Keywords: price discovery; relative efficiency; vector error correction model; VECM; Johansen cointegration; information share; common factor methods; futures market; India. File-URL: http://www.inderscience.com/link.php?id=92135 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:9:y:2018:i:2:p:225-243