The Size and Book-to-Market Effects and the Fama-French Three-Factor Model in Small Markets: Preliminary Findings from New Zealand

This study uses New Zealand stock market data from 1994-2002 to investigate size and book-to-market as determinants of returns in New Zealand share market, and the ability of the Fama-French three-factor model to explain the variation in stock returns. The results suggest a statistically significant size effect but a weak book-to-market effect. Additionally, the study also finds some improvement in explanatory power provided by the three-factor model relative to the conventional Capital Asset Pricing Model although not in the same magnitude as those reported in studies using relatively larger markets.

Should Farmers Invest in Financial Assets as a Risk Management Strategy? Some Evidence from New Zealand

Off-farm investment as a risk management strategy is not widespread among New Zealand sheep and beef farmers. This study explores the potential for risk reduction by the diversification of farm asset portfolios to include financial investments such as industrial equities and government bonds of various types. Results show that the negative correlations between long-run rates of return on farm assets and financial investments could result in a significant reduction of risk if equities and bonds were included in farm investment portfolios. However, when combined with information about attitudes to risks, it does not seem likely that farmers would adopt such strategies purely in order to stabilise incomes. Deregulation of the New Zealand economy in the mid 1980's had little impact on farmers' optimal allocation of their assets.Agricultural Finance, Risk and Uncertainty,

Government Size, the Composition of Public Spending and Economic Growth in Netherland

The performance of the fiscal policy is influenced significantly by the relationships and associations among the governmental size, the composition public and private spending and the economic growth of a country. The primary goal of this research study is to evaluate the impact of these factors and to evaluate the significance of these factors in the economic growth of the Netherlands. The economy of Netherlands is characterized as the 17th largest in the world and it presents stable and sustainable growth. In this altercation the researcher aimed to evaluate the significance of the governmental spending and size. For this purpose, the researcher used the data from 2004-2014 from the 12 provinces of Netherlands. The data was subjected to a unit root analysis so that the stationarity properties of the panel data can be evaluated. The unit root test results showed that the variables were stationary at I(0). In order to abstain from the endogeneity issues that can be present in such types of datasets the researcher used level and per capita variables as a robustness evaluation. The empirical framework was based upon the Cobb-Douglas production function and used the modern CES substitution elasticities to compute as the inputs of private capital and government spending in the production function. The nonlinear least-squares regression estimation method was used to evaluate the impact of the variables upon one another. The results indicate that the public investments and current governmental disbursements are conjoined in order to account for the inflexibility of the communal budget. Moreover, the governmental spending was found to be greater than 85 percent indicating that the provincial sectors are focused upon the stimulation of the economy

Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash

This paper examines time-varying price discovery of the Chinese stock index futures market during a stock market crash in 2015. We find that the index futures market plays a long-run leading role in terms of its higher static and dynamic generalised information share (GIS) than both the Shanghai and Shenzhen A share markets during the market turbulence. The expected trading volume in each market improves GIS of that market. The importance of trading activities by the majority of investors in increasing market efficiency during a crash is underscored. Government intervention on futures trading impairs price discovery in the futures market

Mediation Effects of Firm Leverage in Malaysia: Partial Least Squares –Structural Equation Modelling (PLS-SEM)

In theory, capital structure determinant is a cause-effect model. We investigate the simultaneously of cause-effect framework on the impact of specific attributes on firm's financial performance through leverage which acts as a mediation variable. We use the PLS-SEM that capable of providing a greater understanding of the prediction for the construct relationship among each other with simultaneous techniques with only one time process (Chin, 1998). We endeavour to examine in a complex model that consists with 14 construct (LVs) and 33 indicators in Malaysia for the period from 1990 to 2010. The implication is that the Malaysian firms could attempt to choose less risky route, as Malaysia is recognised as a “market-based oriented”. In addition, we find that some attributes could influence the relationship to firm's financial performance by indirect effect (leverage). Thus, firms tend to act with partial action on their capital structure, which believe to attain a sustainable performance. Keywords: Capital structure, Partial Least Squares, Structural Equation Modelling, mediation effects JEL Classifications: G32; F6