Is There Seasonality in the Sensex Monthly Returns?

The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in Indias stock market. It covers the post-reform period. The study uses the monthly return data of the Bombay Stock Exchanges Sensitivity Index for the period from April 1991 to March 2002 for analysis. After examining the stationarity of the return series, we specify an augmented auto-regressive moving average model to find the monthly effect in stock returns in India. The results confirm the existence of seasonality in stock returns in India and the January effect. The findings are also consistent with the "tax-loss selling" hypothesis. The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns.

The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis

We used panel data set of 1729 observations (247 Malaysian companies listed on the Kuala Lumpur Stock Exchange for 1993-2000) to identify variables that could explain expected returns of Malaysian stocks. Our results are based on the fixed effects regression model as it performed better than the random effects model and OLS model without the firm effects. Results of the fixed-effect univariate regressions indicated that beta, size, book-to-market value (B/M) ratio, earnings-price (E/P) ratio and dividend yield individually played a significant role in explaining stock returns and payout and leverage had no effect. The explanatory power of size (natural log of market capitalisation) was the highest. The fixed-effect multivariate regression results showed that size was persistently a significant dominant variable together with other variables in explaining stock returns. Beta was found to have consistently a positive relation with stock returns by itself and together with other variables. But its explanatory power was less than size and other variables. Contrary to the results of Fama and French (1992), B/M ratio was not persistently a significant variable; its significance disappeared when we incorporated size and E/P ratio in regression.

Capital Structure and the Firm Characteristics: Evidence from an Emerging Market

We examine the determinants of capital structure of Malaysian companies utilizing data from 1984 to 1999. We classify data into four sub-periods that correspond to different stages of Malaysian capital market. Debt is decomposed into three categories: short-term, long-term and total debt. Both book value and market value debt ratios are calculated. The results of pooled OLS regressions show that profitability, size, growth, risk and tangibility variables have significant influence on all types of debt. These results are normally consistent with the results of fixed effect estimation with the exception that risk variable loses its significance. Unlike the evidence from the developed markets, investment opportunity (market-to-book value ratio) has no significant impact on debt policy in the emerging market of Malaysia. Our results are generally robust to time periods, but the significance of some variables changes over time. Profitability has a persistent and consistent negative relationship with all types of debt ratios in all periods and under all estimation methods. This confirms the capital structure prediction of the pecking order theory in an emerging capital market.

Capital Structure and MarketPower

This paper provides new insights on the way in which the capital structure and market power and capital structure and profitability are related. We predict and show that capital structure and market power, as measured by Tobins Q, have a cubic relationship. That is, at lower and higher ranges of Tobins Q, firms employ higher debt, and reduce their debt at intermediate range. This is due to the complex interaction of the market conditions, agency problems and bankruptcy costs. We also show saucer-shaped relation between capital structure and profitability because of the interplay of agency costs, costs of external financing and debt tax shield. To our knowledge, we are the first to uncover these results.

Dividend Behaviour of Indian Companies Under Monetary Policy Restrictions

In this study we examine the dividend behaviour of Indian companies. We use GMM estimator, which is the most suitable methodology in a dynamic setting. Our results show that the Indian firms have lower target ratios and higher adjustment factors. The most significant result is that the restricted monetary policies have significant influence on the dividend behaviour of Indian firms, causing about 5-6 percent reduction in the payout ratios. The significance of macro economic policy variable suggest that monetary policy restrictions do have impact on cost of raising funds, and the information asymmetry between lenders and borrowers increases that forces companies to reduce their dividend payout.

What Drives the Shareholer Value?

In the strategy literature a lot of emphasis is placed on growth as a dominant business strategy. Is growth always desirable? The finance literature, on the other hand, focuses more on economic profitability and value. This study empirically explores the significance of profitability and growth as drivers of shareholder value, measured by the market-to-book value (M/B) ratio. Profitability is defined as economic profitability; that is, spread between return on equity and the risk-adjusted cost of equity. Using panel data and employing the GMM estimator, our findings show a strong positive relationship between economic profitability and M/B ratio. Growth, on the other hand, is negatively related to M/B ratio. However, the economic profitability-growth interaction variable has a positive coefficient indicating that growth associated with economic profitability influences shareholder value positively. This finding is further supported when we analyse the relationships separately for the positive-spread firms and negative-spread firms. Our results also indicate negative relationship between M/B ratio and firm size and positive relation with business risk, financial risk and capital intensity.

Financial Goals Choices and Performance of Firms in Malaysia

The objectives of the study are (a) to ascertain the financial goals pursued by companies in Malaysia and (b) to find out the relationship between firms financial performance and stated financial goals. Data on the financial goals are collected from 41 KLSE listed firms through a questionnaire. An analysis of the relationship between the financial goals pursued by these firms and their actual performance is conducted using dummy variables for financial goals. The results of the questionnaire analysis are: (a) Firms in Malaysia follow multiple financial goals. (b) A very few firms consider maximization of market value per share as their primary goal in the financial decision-making. (c) From the overall rank ordering of the financial goals, the following four goals could be isolated as more important in practice: (i) maximization of operating profit before interest and taxes (PBIT); (ii) maximizing the rate of return on equity (ROE); (iii) maximizing the growth rate in earnings per share (EPS); and (iv) ensuring that funds are available. The cross section study of the selected sample companies reveals that the pursuit of the goal of maximizing PBIT is positively related to the accounting-based financial performance. However, pursuing the goal of maximizing ROE has no relationship with the actual performance measured by ROE, and it has a negative relationship with the financial performance measure of ROA. The financial goals pursued by firms in Malaysia have no relation with market-to-book value as a measure of performance.

Corporate Dividend Policy And Behaviour: The Malaysian Evidence

This study examines corporate dividend policy and behaviour of the Kuala Lumpur Stock Exchange (KLSE) companies. Our results confirm the influence of industry on payout ratios. We also find that payout ratios in a given industry vary significantly across time. The results of multinomial logit analysis reveal that the KLSE companies' dividend actions are sensitive to the changes in earnings. Probabilities of dividend increases, decreases and omissions are high, respectively, with earnings increases, decreases and losses. This causes volatility in dividend payments. The KLSE firms appear to be reluctant to omit dividend except when they suffer losses. Further, using Lintner's framework and panel data regression methodology, we find evidence in favour of regular, but less stable, dividend policies being pursued by the KLSE companies. This is contrary to the experiences of companies in the developed capital markets. The results of the two-way fixed firm and time effects model reveal that there are significant differences in dividend policies across individual firms and over time

Electronic states of PrCoO3_3: X-ray photoemission spectroscopy and LDA+U density of states studies

Electronic states of PrCoO$_3$ are studied using x-ray photoemission spectroscopy. Pr 3d$_{5/2}$ core level and valence band (VB) were recorded using Mg K$_\beta$ source. The core level spectrum shows that the 3d$_{5/2}$ level is split into two components of multiplicity 4 and 2, respectively due to coupling of the spin states of the hole in 3d$_{5/2}$ with Pr 4f holes spin state. The observed splitting is 4.5 eV. The VB spectrum is interpreted using density of states (DOS) calculations under LDA and LDA+U. It is noted that LDA is not sufficient to explain the observed VB spectrum. Inclusion of on-site Coulomb correlation for Co 3d electrons in LDA+U calculations gives DOS which is useful in qualitative explanation of the ground state. However, it is necessary to include interactions between Pr 4f electrons to get better agreement with experimental VB spectrum. It is seen that the VB consists of Pr 4f, Co 3d and O 2p states. Pr 4f, Co 3d and O 2p bands are highly mixed indicating strong hybridization of these three states. The band near the Fermi level has about equal contributions from Pr 4f and O 2p states with somewhat smaller contribution from Co 3d states. Thus in the Zaanen, Sawatzky, and Allen scheme PrCoO$_3$ can be considered as charge transfer insulator. The charge transfer energy $\Delta$ can be obtained using LDA DOS calculations and the Coulomb-exchange energy U' from LDA+U. The explicit values for PrCoO$_3$ are $\Delta$ = 3.9 eV and U' = 5.5 eV; the crystal field splitting and 3d bandwidth of Co ions are also found to be 2.8 and 1.8 eV, respectively.Comment: 12 pages, 7 figures; to appear J. Phys.: Condens. Matte