International Journal of Monetary Economics and Finance (9 papers in press)
Book-built IPO of Punjab National Bank Housing Finance Company Limited.
by Pankaj AGARWAL, SHALINI AGGARWAL
Abstract: A company going public is a complicated process to execute. The ?nitial public offer (IPO) process is an elaborate exercise with intertwined regulatory, financial valuation, managerial and marketing aspects. It starts from the need for funds, Board decision to go public, appointment of intermediaries, preparation of offer document, pricing, compliances, marketing, bidding, allotment till final listing. This case takes the reader through the entire journey of a real-life IPO of PNBHFCL. Financial firms often tap equity markets to improve their capital adequacy for regulatory compliance. With this objective, Punjab National Bank Housing Finance Company Limited successfully brought out their IPO in India in October 2016. The case is expected to serve as an authentic and comprehensive account of a real-life IPO in India, all put together in a single document.
Keywords: IPO; Book Building; Merchant Bankers; Lead Managers; Offer Document.
Static and Dynamic Working Capital Management: the Direct and Indirect Impacts on Profitability and Market Value
by Sareeya Wichitsathian
Abstract: This paper investigated the impact of working capital management on firms performance, profitability and market value. This study divided working capital management into two dimensions which are static working capital management and dynamic working capital management. The main focus of this study was 381 listed companies in the Stock Exchange of Thailand (SET). Secondary data collected from 2013 to 2017 was analysed by using the path analysis method. The results manifested in three aspects, (1) the direct effects of the static working capital management on the market value, (2) the direct effects of the dynamic working capital management on the profitability and market value, and (3) the indirect effects of the static and dynamic working capital management on the market value through profitability. The results also suggested a profitability and market value increase when the listed companies have a high current ratio and short cash conversion cycle.
Keywords: Static Working Capital Management; Dynamic Working Capital Management; Profitability; Market Value.
Ownership Concentration and Fund Performance in Conventional and Shariah Malaysian Mutual Funds
by Mohd Fikri Sofi
Abstract: This study investigates the ownership concentration comprises managerial ownership, director ownership, and institutional ownership between Conventional and Shariah mutual fund (SMF) toward enhancing fund performance by employing the traditional method of considering a non-linear causal relationship. Overall, the results support the notion of a non-linear relation between managerial ownership and fund performance. Although the ownership by managers is more concentrated and significantly different in SMF, the positive relation is more pronounced in conventional fund. More importantly, the relation remains strong non-linear significantly and jointly determined by fund performance in a two-way relationship when endogeneity, simultaneity, and heterogeneity unobserved issues are considered. The study also finds that institutional ownership with conflicting interest in mutual fund signals negative effect on fund performance. The findings suggest that ownership by managers plays an effective role of agency control and valueenhancing at certain depth of concentration to align the interest between managers and shareholders.
Keywords: Ownership Concentration; Managerial ownership; Mutual Fund; Shariah Mutual Fund; Fund Performance.
Stock Returns Indicator: Case of Tadawul
by I. Tlemsani
Abstract: The key objective of this research is to identify the most suitable financial variable indicator of future stock returns. Therefore, four financial variables are analysed to determine which variable leads to the highest stock returns; book to market value of equity (BMVE), sales to price (SP), debt equity (DE) and firm size (FS). A sample of 30 listed companies in KSA stock market were randomly selected from five industries. Regression analysis is applied to scrutinise the correlation between stock returns and the selected financial variables. The key finding of this research is that the firm size (size effect) is a useful explanation for stock returns in the KSA stock market. Our conclusion is similar to Garza-G
Keywords: Stock Returns; Firm Size; Tadawul.
The aftermaths of acquisition in Indonesia
by Muhammad Syukur, Dej-anan Bungkilo
Abstract: Indonesia is entering a new phase of the business competition after the launching of the Government Regulations No. 57 of 2010 about Mergers and Acquisition. A drastic inclination in numbers of acquisition deals indicates that the acquisition is a technique to show power and dignity yet might result in losing focus on improving the operating performance. Therefore, this paper aims to examine the post-acquisition operating performance of acquirer companies. Their financial performances are reflected by financial ratios which are calculated based on the accounting information from the financial statements. Data are gathered from one year to three years prior and following acquisition years and compared the significance using the Wilcoxon signed-rank test. The total population is 322 acquisition transactions. The
results show that asset efficiency, the level of debt, and profitability worsen after the acquisition deals, whereas liquidity and stock price are not impacted.
Keywords: acquisition; assets efficiency; financial performance; financial ratio analysis; leverage; liquidity; market prospect; merger; profitability; Indonesia.
Dynamics of Inflation and Inflation Uncertainty in Pakistan
by Kashif Munir, Nimra Riaz
Abstract: This study analyses the dynamics of inflation and inflation uncertainty in Pakistan, while inflation has been disaggregated into food inflation and non-food inflation from July 1998 to March 2018. The study follows two step procedure, an ARMA-GARCH model is used in the first step with the generated conditional variance used as measure of inflation uncertainty, while Granger causality test is performed in the second step to find the relationship between the variables. Mean equation of inflation, food inflation, and non-food inflation show that past inflation has significant effect on current inflation, while variance equation shows high persistence of inflation. Unidirectional causality exists from inflation to inflation uncertainty as well as from food inflation to food inflation uncertainty and supports the Friedman
Keywords: Inflation; Inflation Uncertainty; ARMA; ARCH; GARCH; Pakistan.
Tracking the relationship between euro area equities and sovereign bonds
by Pedro Ribeiro, Inês Cunha Cabral, João Nicolau
Abstract: This paper explores the relationship between stocks and sovereign bonds by means of the asymmetric detrended cross-correlation analysis (ADCCA). Drawing on data from 1999.01 to 2018.09 of the first wave of euro area countries, the full sample is divided into three subsets in accordance with economic and financial features. Some findings arise with striking implications for investors and policymakers. Firstly, empirical results show that cross-correlations differ from country to country, depending on the sub-period under analysis and on the time scale. Secondly, likewise within country estimates, cross-country linkages may point to fragmentation in the euro area with agents moving away from financial assets of lower-rated countries to invest in more robust economies in periods of turmoil. Thirdly, there is evidence of asymmetry since
Keywords: Equities and bonds relationships; euro area; asymmetric detrended cross-correlation analysis; three subsets; different scales.
Internal and external determinants of listed commercial banks profitability in India: Dynamic GMM Approach
by Eissa A. Al-Homaidi, Faozi Almaqtari, Ali Thabit, Amgad Saeed
Abstract: This study aims to examine the impact of internal and external determinants of 37 commercial banks profitability listed on Bombay stock exchange (BSE), India for a period from 2008 to 2017. Both static models (pooled, fixed and random effects) and generalised method of moments (GMM) are used. The results show that bank size, assets quality, liquidity, assets management, and net interest margin are important internal determinants which affect ROA. Capital adequacy, deposits, operation efficiency, gross domestic product and inflation rate are found to have a negative significant impact on ROA. Further, the results indicate that capital adequacy, bank size, operation efficiency, gross domestic product and inflation rate have a significant negative influence on ROE. However, assets quality and assets management exhibit a positive effect on ROE but liquidity, deposits, net interest margin, and non-interest income have an insignificant impact on ROE.
Keywords: Keywords: Internal and external determinants; Listed banks profitability; Panel data; Dynamic GMM; India.
Interpreting survey-based federal funds rate forecasts: how accurate are they in reflecting market expectations?
by David Leung, Max Kwong, Jiayue Zhang
Abstract: What the market thinks is most likely to occur is not necessarily what the market expects to occur. This paper explains why most of the surveys of federal funds rate outlook deviate substantially from the true market expectation, especially as the forecast horizon increases. Surveys often ask participants for their forecast of the
Keywords: federal funds rate; interest rate forecasting; survey-based forecast; market-based forecast.