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Articles 1 - 11 of 11
Full-Text Articles in Finance
Estimating Proportion Of Noise Traders And Asset Prices, Mirza Faizan Ahmed
Estimating Proportion Of Noise Traders And Asset Prices, Mirza Faizan Ahmed
Business Review
This paper provides empirical evidence of the presence, proportion and trading behavior of noise traders in the U.S. equity market (S&P500 index). A simple methodology is used to estimate the heterogeneous agent asset pricing model involving noise traders’ risk, through GMM. Departing from previous estimations of heterogeneous agent models, it estimates fundamental price using the consumption-based asset pricing model and noise traders’ misperception as deviation from this price. It concludes that noise traders exist in the S&P500, they exaggerate price expectations as compared to fundamental traders, and traders (or investors) are rational, on average.
Board Structure And Dividend Smoothing: A Case Of Pakistani Listed Firms, Zahid Ali, Assad Ullah, Arshad Ali
Board Structure And Dividend Smoothing: A Case Of Pakistani Listed Firms, Zahid Ali, Assad Ullah, Arshad Ali
Business Review
The purpose of this study is to empirically examine the effects of ownership and board structure on dividend smoothing for listed non-financial firms for the period 2005-2015 on the Pakistan Stock Exchange (PSX) in the light of agency and information asymmetry theory. Two measures, speed of adjustment and relative volatility are used to estimate dividend smoothing. Tobit regression is used for analyzing the effects of board structure on dividend smoothing measured via speed of adjustment while OLS is used for relative volatility. Additionally, the study applies the technique of principal component analysis (PCA) for board index. The results reveal that …
Examining The Impact Of Personalization On Online Advertising Engagement: Moderating Role Of Privacy Concerns Of Online Users, Uzma Noor, Tahira Awan, Muhammad Zahid
Examining The Impact Of Personalization On Online Advertising Engagement: Moderating Role Of Privacy Concerns Of Online Users, Uzma Noor, Tahira Awan, Muhammad Zahid
Business Review
This study examines online advertising engagement as a potential consequence of perceived personalization in online behavioral advertising (OBA) context. Internet users’ privacy concerns were analyzed as a moderator on perceived personalization and online advertising engagement relationship. Scenario based activity design was used and 409 usable questionnaires were incorporated in the statistical analysis. The collected data was analyzed using (SPSS) 21 and AMOS 23. Hayes method was used to perform moderation analysis. The moderation analysis showed a significant result but in the opposite direction as hypothesized i.e., high level of privacy concerns made the relationship between perceived personalization and online advertising …
Testing Asset Pricing Models On The Pakistan Stock Exchange, Kiran Lohano, Muhammad Kashif
Testing Asset Pricing Models On The Pakistan Stock Exchange, Kiran Lohano, Muhammad Kashif
Business Review
This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively better than the CAPM and the five-factor model, whereas the cross-sectional approach establishes the superiority of the five-factor model. It can thus be concluded that it is important to incorporate factors, such as size, value, profitability and investment when predicting returns on securities in the Pakistan Stock Exchange.
Inflation Targeting And Exchange Rate Pass Through In Pakistan: Markov Switching Approach, Safia Minhaj, Muhammad Nishat
Inflation Targeting And Exchange Rate Pass Through In Pakistan: Markov Switching Approach, Safia Minhaj, Muhammad Nishat
Business Review
This study uses Markov switching model to empirically track the existence of exchange rate pass through and inflation trends in Pakistan from 1982 to 2016. The results reveal a direct relationship between pass through and inflation. Furthermore, interest rate and trade variables have a significant impact on inflation. According to the smoothed probabilities, switches between regimes were sudden and sporadic till 1990, after which long spells were observed during high and low inflation regimes.
Providing Protection For Better Outcomes: The Need For Boundary Walls At Schools In Pakistan, Abbas Ali Gillani
Providing Protection For Better Outcomes: The Need For Boundary Walls At Schools In Pakistan, Abbas Ali Gillani
Business Review
This paper explores the importance of a boundary wall at school as a measure of protection and safety, by testing the correlation between a school having a boundary wall and its total enrolment. By using panel data estimation with year and district fixed effects we find that across all levels of schooling, having a boundary wall was correlated with higher total enrolment. Enrolment at primary, middle and high school was 4.0 per cent, 2.3 per cent and 3.0 per cent higher. Gender-wise breakup of the results shows similar correlation for both boys and girls at primary level. However, at middle …
Earnings Response Coefficient As A Determinant Of Dividend Policy: Testing Free Cash Flow Theory On Non-Financial Dividend Paying Firms In The Pakistan Stock Exchange, Hamid Ullah, Anjum Ihsan
Earnings Response Coefficient As A Determinant Of Dividend Policy: Testing Free Cash Flow Theory On Non-Financial Dividend Paying Firms In The Pakistan Stock Exchange, Hamid Ullah, Anjum Ihsan
Business Review
This study tests Jensen’s free cash flow theory which states that managers overinvest retained earnings in negative NPV projects. A data set of 238 firms listed on the Pakistan Stock Exchange for the period 1999 to 2016 is used. The results of the panel regression model show a significant positive association of the earnings response coefficient and dividend payout ratio, which supports the free cash flow theory in listed Pakistani firms. Moreover, the imposition of the capital gains tax and the financial crisis has further strengthened the positive relationship between ERC and dividend payout ratio.
An Evaluation Of The Forecast Performance Of Dsge And Var Models: The Case Of A Developing Country, Shahzad Ahmad, Adnan Haider
An Evaluation Of The Forecast Performance Of Dsge And Var Models: The Case Of A Developing Country, Shahzad Ahmad, Adnan Haider
Business Review
This paper estimates a DSGE model and three versions of VAR models (VARX, BVARX and BVAR) to analyze forecasting performance of these models in context of Pakistan. VAR models and a medium-scale DSGE model are estimated using quarterly data (1980Q4-2017Q2). Expanding window recursive out-of-sample forecasts for GDP growth, call money rate, CPI inflation and percent change in exchange rate are generated and compared over the period 2009Q1-2017Q2. Forecasting performance is analyzed by the comparison of bias and root mean squared errors (RMSE). Analysis of forecasting performance over 1-8 quarters forecast horizon reveals that BVAR model provides relatively better forecast in …
Emotional Intensity: An Additional Dimension To Understand Emotional Confidence And Purchase Intentions, Wajid Hussain Rizvi
Emotional Intensity: An Additional Dimension To Understand Emotional Confidence And Purchase Intentions, Wajid Hussain Rizvi
Business Review
This paper explores the role of emotional intensity as a determinant of emotional confidence and purchase intentions. It analyzes the difference between low and high emotional confidence and emotional intensity groups in terms of their purchase intentions in the car buying context. Only valence and combined valence-intensity structural models were used to assess respective influences on emotional confidence. The results reveal that the combined impact of valence and intensity has a greater positive and significant influence on emotional confidence. Furthermore, groups with higher emotional confidence and higher emotional intensity show higher purchase intentions. This study contributes to a better understanding …
Role Of Organizational Culture In Psychological Needs Satisfaction And Work Engagement, Quddsia Sadaf, Mudassar Aziz, Gulnaz Anjum
Role Of Organizational Culture In Psychological Needs Satisfaction And Work Engagement, Quddsia Sadaf, Mudassar Aziz, Gulnaz Anjum
Business Review
This paper explores the role of organizational culture in the satisfaction of basic psychological needs and yielding work engagement among public and private sector managers. Results reveal that organizational culture confers employees with a sense of relatedness which promotes work engagement. Additionally, the study suggests that female managers have a higher need for relatedness, the satisfaction of all basic psychological needs is significantly higher among private sector employees and work satisfaction increases with increasing job level. This study can be used for the development of organizational culture to improve relatedness among employees with respect to gender and the type of …
The Reversal Strategy: A Test Case For An Emerging Market, Hilal Anwar Butt, Mohsin Sadaqat
The Reversal Strategy: A Test Case For An Emerging Market, Hilal Anwar Butt, Mohsin Sadaqat
Business Review
The reversal strategy in the Pakistan Stock Market has shown significant profits for the time period January 1993 - September 2017. The available asset pricing models are unable to link these returns with the risk premium. This paper explores an alternative channel of predicting risk premium. It suggests that reversal profits can be considered as compensation for providing liquidity to the market during times of high volatility. Results reveal that reversal is stronger for illiquid and volatile stocks. Furthermore, firms that show reversal, are cash constrained, have lower return on asset (ROA) and equity (ROE), lesser operating profitability (OP), investment …