American J. of Finance and Accounting http://www.inderscience.com/browse/index.php?journalID=229&year=2010&vol=2&issue=2 Inderscience Publishers Ltd en-uk American J. of Finance and Accounting 1752-7767 1752-7775 © 2010 Inderscience Publishers Ltd editor@inderscience.com https://www.inderscience.com/images/files/coverImgs/ajfa_scoverajfa.jpg http://www.inderscience.com/browse/index.php?journalID=229&year=2010&vol=2&issue=2 http://www.inderscience.com/link.php?id=37058 After the Big 6 merger exercise in 1998, PriceWaterhouseCoopers (PWC) has become the industry market leader that provides high quality audit services. Consequently, it has acquired a greater capacity to develop expertise and provide better quality audit services. It is expected that PWC charges fee premiums in return on investment for the capacity building. This study investigates how audit fee (AF) premiums and how it relates to auditors' industry specialisation and reputation. The study utilises data of 679 Bursa Malaysia listed companies in 2001 and 796 in 2005. AF premiums are calculated using the Simunic (1980) AF model. Industry specialisation is determined based on the number of audit clients at 20% threshold. Results indicate PWC obtains highest average AFs, hence, maintains its industry leadership. Results show that PWC does not charge AF premiums over and above the amount charged by the Big 5/4 regardless of whether they are industry specialists or not, except on smaller clients. An analysis of audit fee premiums of the merged audit firm in Malaysia
Mohd-Mohid Rahmat, Takiah Mohd Iskandar, Mohammad Noor Hisham Osman
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 95 - 118
After the Big 6 merger exercise in 1998, PriceWaterhouseCoopers (PWC) has become the industry market leader that provides high quality audit services. Consequently, it has acquired a greater capacity to develop expertise and provide better quality audit services. It is expected that PWC charges fee premiums in return on investment for the capacity building. This study investigates how audit fee (AF) premiums and how it relates to auditors' industry specialisation and reputation. The study utilises data of 679 Bursa Malaysia listed companies in 2001 and 796 in 2005. AF premiums are calculated using the Simunic (1980) AF model. Industry specialisation is determined based on the number of audit clients at 20% threshold. Results indicate PWC obtains highest average AFs, hence, maintains its industry leadership. Results show that PWC does not charge AF premiums over and above the amount charged by the Big 5/4 regardless of whether they are industry specialists or not, except on smaller clients.

]]> 10.1504/AJFA.2010.037058 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 95 - 118 Mohd-Mohid Rahmat Takiah Mohd Iskandar Mohammad Noor Hisham Osman Faculty of Economics and Business, School of Accounting, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor Darul Ehsan, Malaysia. ' Faculty of Economics and Business, School of Accounting, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor Darul Ehsan, Malaysia. ' Faculty of Economics and Management, Department of Accounting and Finance, Universiti Putra Malaysia, UPM Serdang 43400, Selangor, Malaysia industry specialisation audit fee premiums audit reputation audit industry leadership Malaysia return on investment ROI capacity building. 2010-11-22T23:20:50-05:00 2 2 95 118 2010-11-22T23:20:50-05:00 http://www.inderscience.com/link.php?id=37059 The purpose of this study is to evaluate the performance and pricing efficiency of the Dow Jones DJIM Turkey Exchange Traded Fund (DJIMTR), the world's first exchange-traded fund launched to track an Islamic market index. Using the daily data set, it is found that relative to its traditional index fund counterpart, DJIMTR tracks the benchmark index with a lower tracking error; thus reflecting the performance of the benchmark index more effectively. Our performance proxies, mean returns and risk adjusted returns, also demonstrate that DJIMTR outperforms its traditional index fund counterpart. In addition, as a result of various tests performed through VAR models, it is found that pricing deviation in the DJIMTR is of a temporary nature, meaning that 'the DJIMTR is efficiently priced'. In the regression model, the significant factors that explain transient premiums' size are identified as transaction cost, trading volume, intraday volatility and institutional ownership ratio. The results of the study are expected to provide new insights for founders who are planning to create mutual funds to track Islamic market indexes and to guide individual investors targeting Islamic indexes in their investment decisions. Are exchange-traded funds effective instruments to invest in Islamic markets? Early evidence from Dow Jones DJIM Turkey ETF
Onur Gozbasi, Ekrem Erdem
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 119 - 142
The purpose of this study is to evaluate the performance and pricing efficiency of the Dow Jones DJIM Turkey Exchange Traded Fund (DJIMTR), the world's first exchange-traded fund launched to track an Islamic market index. Using the daily data set, it is found that relative to its traditional index fund counterpart, DJIMTR tracks the benchmark index with a lower tracking error; thus reflecting the performance of the benchmark index more effectively. Our performance proxies, mean returns and risk adjusted returns, also demonstrate that DJIMTR outperforms its traditional index fund counterpart. In addition, as a result of various tests performed through VAR models, it is found that pricing deviation in the DJIMTR is of a temporary nature, meaning that 'the DJIMTR is efficiently priced'. In the regression model, the significant factors that explain transient premiums' size are identified as transaction cost, trading volume, intraday volatility and institutional ownership ratio. The results of the study are expected to provide new insights for founders who are planning to create mutual funds to track Islamic market indexes and to guide individual investors targeting Islamic indexes in their investment decisions.

]]> 10.1504/AJFA.2010.037059 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 119 - 142 Onur Gozbasi Ekrem Erdem Department of Business, Erciyes University, Kayseri 38039, Turkey. ' Department of Economics, Erciyes University, Kayseri 38039, Turkey ETFs exchange-traded funds index funds Islamic funds Islamic market indexes performance evaluation Islamic finance DJIMTR pricing efficiency transaction costs trading volume intraday volatility institutional ownership ratio investment decisions. 2010-11-22T23:20:50-05:00 2 2 119 142 2010-11-22T23:20:50-05:00 http://www.inderscience.com/link.php?id=37060 There are many tools that can be used to measure/evaluate the performance of a company and one of the most popular tools is using the financial ratios. This paper will explore the use of a combination of two different techniques using the time series data of share and market prices collected from Shariah compliance companies and cross-sectional financial ratios data of Shariah compliance companies. Share prices from 201 Shariah compliance companies listed in the Bursa Malaysia stock exchange were collected from 2000 to 2005 with their respective 2005 financial ratios. The Jensen Alpha technique is employed to classify the Shariah compliance companies in the Main Board Bursa Malaysia into two categories, i.e. performing and non-performing. Next, multiple discriminant analysis (MDA) technique is employed in identifying the ratio(s) that significantly influence the performing and non-performing companies. The MDA result shows that shareholders fund/share or net tangible asset ratio could differentiate significantly the non-performing and performing Shariah compliance companies. Evaluating company's performance using multiple discriminant analysis: the case of Shariah compliance companies
Nuradli Ridzwan Shah Mohd Dali, Hamdi Hakeim Mudasir, Suhaila Abdul Hamid
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 143 - 154
There are many tools that can be used to measure/evaluate the performance of a company and one of the most popular tools is using the financial ratios. This paper will explore the use of a combination of two different techniques using the time series data of share and market prices collected from Shariah compliance companies and cross-sectional financial ratios data of Shariah compliance companies. Share prices from 201 Shariah compliance companies listed in the Bursa Malaysia stock exchange were collected from 2000 to 2005 with their respective 2005 financial ratios. The Jensen Alpha technique is employed to classify the Shariah compliance companies in the Main Board Bursa Malaysia into two categories, i.e. performing and non-performing. Next, multiple discriminant analysis (MDA) technique is employed in identifying the ratio(s) that significantly influence the performing and non-performing companies. The MDA result shows that shareholders fund/share or net tangible asset ratio could differentiate significantly the non-performing and performing Shariah compliance companies.

]]> 10.1504/AJFA.2010.037060 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 143 - 154 Nuradli Ridzwan Shah Mohd Dali Hamdi Hakeim Mudasir Suhaila Abdul Hamid Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia, Bandar Baru Nilai 71800, Negeri Sembilan, Malaysia. ' Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia, Bandar Baru Nilai 71800, Negeri Sembilan, Malaysia. ' Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia, Bandar Baru Nilai 71800, Negeri Sembilan, Malaysia MDA multiple discriminant analysis CAPM capital asset pricing model Jensen Alpha Wilks' lambda company performance Shariah compliance companies firm performance Malaysia stock market financial ratios. 2010-11-22T23:20:50-05:00 2 2 143 154 2010-11-22T23:20:50-05:00 http://www.inderscience.com/link.php?id=37061 This paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. On the other hand, this study finds that the well-known January effect does not affect the performance of ETFs. Moreover, this paper demonstrates that a semi-strong seasonality effect on ETFs' risk exists in November and that ETFs achieve their best index replication in this month. The combination of substantial average performance and low average risk and tracking error signals an opportunity for investors to gain sufficient returns by exposing themselves in modest or low volatility and tracking failure. A straightforward relationship between risk and tracking error is also revealed. Finally, the study indicates that the trading activity of ETFs is lacking in any seasonal pattern but there is some evidence on the direct conjuncture between risk and volume. This connection implies that ETF investors sell their shares when their investments in ETFs are over risky. Searching for seasonal patterns in exchange traded funds' trading characteristics
Gerasimos G. Rompotis
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 155 - 180
This paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. On the other hand, this study finds that the well-known January effect does not affect the performance of ETFs. Moreover, this paper demonstrates that a semi-strong seasonality effect on ETFs' risk exists in November and that ETFs achieve their best index replication in this month. The combination of substantial average performance and low average risk and tracking error signals an opportunity for investors to gain sufficient returns by exposing themselves in modest or low volatility and tracking failure. A straightforward relationship between risk and tracking error is also revealed. Finally, the study indicates that the trading activity of ETFs is lacking in any seasonal pattern but there is some evidence on the direct conjuncture between risk and volume. This connection implies that ETF investors sell their shares when their investments in ETFs are over risky.

]]> 10.1504/AJFA.2010.037061 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 155 - 180 Gerasimos G. Rompotis KPMG, 3 Stratigou Tombra Street, Aghia Paraskevi, Athens 153 42, Greece; National and Kapodistrian University of Athens, 25 Ypsilantou Street, Peristeri GR 12131, Athens, Greece ETFs exchange traded funds seasonality ETF performance return tracking error volume risk seasonal patterns. 2010-11-22T23:20:50-05:00 2 2 155 180 2010-11-22T23:20:50-05:00 http://www.inderscience.com/link.php?id=37062 This paper analysed the effects of profitability and equity capital on bank efficiency of commercial banks in the developing countries. To achieve the objectives, the stochastic frontier approach is used in the first stage of the analysis to obtain cost and profit efficiency scores. In the second stage, the efficiency scores obtained are regressed with a measure of bank's equity capital and profitability by using the Tobit regression model. The results show that equity to total assets ratio has a negative effect on efficiency indicating that either the use of debts in financing bank operations or less regulatory condition contribute to higher efficiency. The results also found that return on assets have a positive effect on profit efficiency suggesting the needs for efficient utilisation of banks assets. Bank efficiency, profitability and equity capital: evidence from developing countries
Sok-Gee Chan, Mohd Zaini Abd Karim
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 181 - 195
This paper analysed the effects of profitability and equity capital on bank efficiency of commercial banks in the developing countries. To achieve the objectives, the stochastic frontier approach is used in the first stage of the analysis to obtain cost and profit efficiency scores. In the second stage, the efficiency scores obtained are regressed with a measure of bank's equity capital and profitability by using the Tobit regression model. The results show that equity to total assets ratio has a negative effect on efficiency indicating that either the use of debts in financing bank operations or less regulatory condition contribute to higher efficiency. The results also found that return on assets have a positive effect on profit efficiency suggesting the needs for efficient utilisation of banks assets.

]]> 10.1504/AJFA.2010.037062 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 181 - 195 Sok-Gee Chan Mohd Zaini Abd Karim Institute of China Studies, University of Malaya, Kuala Lumpur 50603, Malaysia. ' Institute for Economic Analysis and Forecasting, College of Arts and Sciences, Universiti Utara Malaysia, Sintok 06010, Kedah, Malaysia bank efficiency profitability equity capital stochastic frontier tobit regression developing countries profit efficiency cost efficiency total assets return on assets banking industry. 2010-11-22T23:20:50-05:00 2 2 181 195 2010-11-22T23:20:50-05:00 http://www.inderscience.com/link.php?id=37063 This study addresses the relationship between cash-out and cash-in mortgage refinancings and the stock market. Liquefying home equity is the major reason for the cash-out refinancings, whereas the cash-in refinancings are primarily for an earlier mortgage payoff. This study analyses responses of each type of refinancing to innovations in the stock market, mortgage rates, effective maturity and home appreciation rates and the relative importance of these innovations to refinancing activities using orthogonalised impulse response and variance decomposition matrixes from vector autoregression. We find that changes in stock prices do appear to impact mortgage refinancing decisions. Cash-out vs. cash-in refinancings: their dynamic relationships with stock market and real estate factors
Ling T. He, K. Michael Casey
American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 196 - 207
This study addresses the relationship between cash-out and cash-in mortgage refinancings and the stock market. Liquefying home equity is the major reason for the cash-out refinancings, whereas the cash-in refinancings are primarily for an earlier mortgage payoff. This study analyses responses of each type of refinancing to innovations in the stock market, mortgage rates, effective maturity and home appreciation rates and the relative importance of these innovations to refinancing activities using orthogonalised impulse response and variance decomposition matrixes from vector autoregression. We find that changes in stock prices do appear to impact mortgage refinancing decisions.

]]> 10.1504/AJFA.2010.037063 American J. of Finance and Accounting, Vol. 2, No. 2 (2010) pp. 196 - 207 Ling T. He K. Michael Casey College of Business, University of Central Arkansas, 201 Donaghey Avenue, COB 211L, Conway, AR, USA. ' College of Business, University of Central Arkansas, 201 Donaghey Avenue, COB 102E, Conway, AR, USA cash-out refinancing cash-in refinancing mortgage refinancing dynamics stock market real estate factors mortgage rates home appreciation rates vector autoregression stock prices. 2010-11-22T23:20:50-05:00 2 2 196 207 2010-11-22T23:20:50-05:00