115 research outputs found
Internal governance mechanisms, corporate policy decisions and performance in UK companies
EThOS - Electronic Theses Online ServiceGBUnited Kingdo
Political connections, environmental violations and punishment: Evidence from heavily polluting firms
Using hand-collected data on violations of environmental regulations by heavily polluting firms in China, we examine the relationship between political connections and the probability of punishment for breach of such regulations. To this end, we exploit a regulatory reform, the enactment of Rule 18, a key component of China's anti-corruption campaign, which required politically connected independent directors to resign from their positions. Using difference-in-differences specifications, we find that firms from which politically connected directors resigned due to Rule 18 experience a significant increase in both the likelihood of ever being punished for environment-related violations and the frequency of punishment. The effect of Rule 18 is more pronounced among firms located in regions with less efficient judicial systems and higher levels of corruption, as well as firms that are not state-owned. Our evidence indicates that in the absence of effective regulation, political connections can be costly to the environment as they strongly affect the enforcement of environmental regulations
Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI
We examine the stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005â2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because significant stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Our empirical findings can be explained by the market microstructure literature. Significant changes in liquidity cause trading volume and stock prices to reverse back to their original level before the index revisions took place
Stock liquidity and SMEsâ likelihood of bankruptcy:evidence from the US market
We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a dataset that comprises information on 5075 firms over the time period from 1984 to 2013 using the hazard model of Campbell et al. (2008). We find that less liquid stocks are associated with higher probability of bankruptcy, although there is substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of bankruptcy. Furthermore, the exchange where the SMEs are listed also affects the likelihood of bankruptcy. Classification performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive power
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Liquidity and market efficiency in the worldâs largest carbon market
We investigate liquidity and market efficiency on the world's largest carbon exchange, IntercontinentalExchange Inc.âs European Climate Exchange (ECX), by using intraday short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow, return predictability diminishes. This is more pronounced for the highest trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading Scheme (EU-ETS) prices have continuously moved nearer to unity with efficient, random walk benchmarks, and this improves from year to year. Overall, our findings suggest that trading quality in the EU-ETS has improved markedly and matures over the 2008â2011 compliance years
âWhatever it takesâ to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework to determine shifts in the pricing regime characterising sovereign bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy interventions on the time varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright Monetary Transactions (OMT) programme in August 2012. This regime is characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual redenomination risk. We also find that unconventional monetary policy measures affect the pricing of sovereign risk not only directly, but also indirectly through changes in banking risk. Overall, the actions of the ECB have operated as catalysts for reversing the dynamics of the European sovereign debt crisis
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