Day of the Week Effects : Recent Evidence from Nineteen Stock Markets

This paper provides international evidence for the presence of the day of the week effects in stock market returns denominated in both local currencies and the US dollars in most of the nineteen countries in the sample for the period July 1993 to July 1998. The observed daily patterns differ for local and dollar returns, the latter being exhibiting lower daily means and higher standard deviations. In local currency terms, a pattern of higher returns around the middle of the week, Tuesday and then Wednesday; and a lower pattern towards the end of the week, Thursday and then Friday, are observed. In dollar terms, a higher pattern occurs around the middle of the week, Wednesday and then Tuesday; and a lower one is observed towards the end of the week, Thursday and then Friday. The lower patterns are more apparent in both cases. Volatility is the highest on Mondays in both local and dollar returns. Local returns have the lowest volatility towards the end of the week, Thursday and Friday, whereas the lowest volatility of dollar returns are observed on Tuesdays. The results have useful implications for international portfolio diversification.Day of the Week Effects, Volatility, International Stock Markets

Corporate Investment Activity, Industrial and Global Diversification and Internal Capital Markets

Recent empirical studies document the average industrially diversified firm trades at a discount than a portfolio of comparable single-segment firms while geographically diversified firms are shown to face similar, if not higher, discounts. They attribute the diversification discount to inefficient allocation of capital in diversified firms. Most of this literature uses aggregate capital expenditures and cash flows data across divisions obtained from Compustat industry-segment and geographic-segment data tapes. In our first paper, we employ firm-specific data to examine the pre- and post-acquisition performance of firms engaging in diversifying and non-diversifying investments in order to determine whether the diversification discount may be attributed to the act of diversification itself. Consistent with the diversification literature, our results show, prior to the acquisition, diversified firms trade at a discount in comparison to their imputed values and single-segment firms. We also find the valuation of single- and multi-segment bidders deteriorates systematically as we approach the acquisition year. Post-acquisition evidence indicates the valuation of diversifying and non-diversifying single- and multi-segment firms worsens. Our results suggest the core cash flows of multi-segment diversifying (focusing) bidders are used to finance both core and non-core capital expenditures despite the fact that the non-core (core) business exhibits superior performance relative to the core (non-core) business while the non-core (core) business should have been allocated more funds based on segment performance. Overall, our results suggest diversification fails to reverse poor performance in multi-segment firms because they retain relatively poor performing business segments where considerable amount of capital resources are transferred from the better performing segments of the firm. In our second paper, we investigate whether the act of geographic and industrial diversification destroy value when they take place by employing firm-specific data of bidders that engage in diversifying and non-diversifying overseas investments in the form of M&As. Our results indicate the valuation of single- and multi-segment overseas bidders worsens as the acquisition year nears. Consistent with the recent industrial and geographic diversification literature, our findings indicate not only the extent of industrial diversification, but also the extent of international involvement of bidders has significant adverse valuation consequences. Our results also show the act of geographic diversification destroys value when it takes place in the form of M&As for domestic bidders. Post-acquisition evidence indicates diversifying multi-segment bidders gain from overseas acquisitions lending support to Morck and Yeung (1998), while single-segment bidders and focusing multi-segment bidders face valuation declines, domestic single-segment bidders diversifying overseas being hurt the most. The workings of the internal capital markets around the overseas investment decision indicate both core and non-core capital expenditures of multi-segment bidders utilize their own segment cash flows providing evidence against cross-subsidization in industrially diversified bidders. The cross-sectional examination of bidders\u27 valuation lends some support to agency theory and internalization theory explanation of geographic diversification. The cash flow of the core business seems to contribute to firm value of single-segment and focusing multi-segment bidders suggesting the value losses associated with industrial diversification might stem from the inadequate contribution of non-core lines of\u27 business. The evidence that both core and non-core cash flows of diversifying multi-segment bidders contribute to firm value 2 years after the acquisition implies that these firms reap the benefits in an expanded multinational network as suggested by Doukas and Travlos (1988)

Performance and value implications of cross-border acquisitions in telecommunications industry : the case of US Telecom companies

Version of RecordThis study analyzes the impact of cross-border acquisitions of US Telecom Operators on the shareholder value and firm performance. We analyzed the value implications of 33 acquisitions made by US Telecommunication companies in 18 countries located in North America, Europe, Latin America and Asia Pacific. While 15 of the target companies were domiciled in developed countries, 18 were located in Latin American and Asian emerging markets. Total value of acquisitions included in the sample was $12.3bn with a mean transaction value of$363.8m. Our small sample analyses revealed that cross-border acquisitions of US Telecom companies on the average did not create value for the shareholders. We also could not identify any significant performance improvements in the post acquisition period. An interesting result of our empirical analysis was the finding that acquisitions of targets in emerging markets generated higher cumulative abnormal returns than the targets in developed country markets.Aybar, C. B. & Kan, O. B. (2003, July). Performance and value implications of cross-border acquisitions in the telecommunications industry: The case of US Telecom multinationals. Paper presented at the Annual Meeting of the Academy of International Business, Monterey California. Retrieved from http://academicarchive.snhu.ed

The evidence of strategic pricing policies of Turkish textile exports

This paper examines the strategic pricing behaviour (Pricing to Market; PTM) policies of textile exports in the 1990s for a hyperinflation country, Turkey, whose currency has been depreciating continually for the last two decades. The findings show that Turkish textile export categories exhibit evidence of strategic pricing behaviour when the Turkish textiles export data is analysed for different frequencies. The results show that evidence of strategic pricing behaviour is observed in response to changes in real exchange rates for textile exports for closer lagging periods and strategic pricing behaviour diminishes with further lagging periods. Also, evidence of strategic pricing behaviour is observed in a more recurrent fashion with higher frequency data, three-month periods, than with relatively lower frequency data, six-month and 12-month periods. Another interesting finding is that Turkish textile exporters prefer to increase their prices as a reaction if they had adjusted their prices in an overshooting fashion in response to real exchange changes in the previous period. The most important finding of the paper is that while Turkish textile exporters prefer to adjust their export pricing without fully absorbing the real exchange depreciation and by increasing their relative markups for some textile categories, they prefer to adjust their export prices by lowering their markups in addition to fully absorbing the real exchange depreciation for some other textile categories in order to increase their market share overseas.