Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these... more Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these are rural and 90% in Asia and Sub-Saharan Africa. Research led technological change in agriculture generates sufficient productivity growth to give high rates of return in Africa and Asia and has a substantial impact on poverty, currently reducing this number by
Brooks World Poverty Institute Working Paper Series, 2009
King's College London xiaobing.wang@manchester.ac.uk jenifer.piesse@kcl.ac.uk Brooks World Povert... more King's College London xiaobing.wang@manchester.ac.ukjenifer.piesse@kcl.ac.uk Brooks World Poverty Institute ISBN : 978-1-907247-07-1 www.manchester.ac.uk/bwpi Abstract Using three comparable national representative household surveys for China in 1988China in , 1995China in and 2002 this paper provides micro level evidence of a policy of absolute regressive taxation and an inverted welfare system. It reviews the economic effects of taxes and subsides and shows that a dual and regressive taxation system increases the urban rural income gap and enhances overall inequality. The empirical evidence indicates that the relatively poorer rural population pay net tax while those in the richer urban areas receive net subsidies. This biased system of taxes and welfare payments is one of the major causes of the persisting urban-rural income gap and is largely responsible for overall income inequality in China.
This paper assesses the effectiveness of traded turnover, and metrics in measuring illiquidity, a... more This paper assesses the effectiveness of traded turnover, and metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with a simple stochastic drift model on a new sample of all of Africa's major equity markets: Morocco,
This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to ... more This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to take account of company size and liquidity levels. These additional risks faced by investors have not been addressed in any formal way. The sample includes two of the largest most developed African markets: the Johannesburg Stock Exchange and Nairobi Stock Exchange and two of the smallest: Swaziland and Mozambique. The evidence suggests that while size and liquidity are important valuation factors in the larger markets these measures are less well defined and not significant in pricing models for the very small markets.
Page 1. Electronic copy available at: http://ssrn.com/abstract=1303619 Market Liquidity and Stock... more Page 1. Electronic copy available at: http://ssrn.com/abstract=1303619 Market Liquidity and Stock Size Premia in African Emerging Financial Markets: The Implications for Foreign Investment Bruce Hearna,1, Jenifer Piesseb,2 and Roger Strangec,3 ...
African markets are largely price-segmented. The only markets that are price-integrated have shar... more African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions, such as Namibia and South Africa, and Egypt, Tunisia and France.
This paper examines how the public announcement of foreign share acquisitions in listed companies... more This paper examines how the public announcement of foreign share acquisitions in listed companies affects the share prices of those companies. The dataset contains 422 public announcements of foreign share acquisitions in Korean listed companies over the period from March 2005 to June 2009. The empirical analysis builds upon the findings of previous studies, but also considers the moderating effects of three factors: the motivation of the foreign investor (management participation or pure investment); the characteristics of the stock exchange on which the domestic companies are listed; and the effects of group affiliation. Using event study methods, the abnormal returns are obtained and statistical tests are undertaken between the mean returns for the different sub-groups. A significant 21-day cumulative abnormal return of 1.1% is found for the total sample, and the statistical tests suggest that the factors investigated influence the size of the abnormal gains.
The food price spikes of 2008 showed that world foo d security is not a foregone conclusion. With... more The food price spikes of 2008 showed that world foo d security is not a foregone conclusion. With this in mind, we distinguish between three pro ductivity measures, as their implications differ. These are: yields, which, with area harves ted, determine output; labour productivity, which correlates with incomes; and total factor pro ductivity, which distinguishes between technical progress, efficiency change
Handbook of Quantitative Finance and Risk Management, 2010
This article introduces definitions of the terms bankruptcy, corporate failure, insolvency, as we... more This article introduces definitions of the terms bankruptcy, corporate failure, insolvency, as well as the methods of bankruptcy, and popular economic failure prediction models. We will show that a firm filing for corporate insolvency does not necessarily fail to pay off its financial obligations as they mature. Moreover, we will assume an appropriate risk monitoring system centered by well-developed failure prediction models, which is crucial to various parties in the investment world as a means to look after the financial future of their clients or themselves.
This paper measures corporate sector performance (efficiency) and empirically examines the role o... more This paper measures corporate sector performance (efficiency) and empirically examines the role of corporate governance. A stochastic frontier with inefficiency effects is fitted to a panel dataset of 31 of the largest nonfinancial companies listed on the Kuala Lumpur Stock Exchange for the period 1995 to 1999. Focusing specifically on the impact of the system of corporate governance and the
This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihu... more This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco, Kenya and South Africa, as well as London and Paris. A new legal regime factor is also developed to capture the often substantial differences in returns between markets with either civil or common law origin. The evidence suggests that the Amihud construct outperforms other liquidity measures in Africa while the Amihud and Liu measures are better in London and Paris. Furthermore the incorporation of size, liquidity and legal regime valuation factors within a multifactor CAPM pricing model reveals that size and liquidity factors are significant in capturing the cross-section of returns across the sample universe. The legal regime factor offers improves performance with larger stocks. However, it is significant in capturing the cross section of returns in country portfolios. Costs of equity are found to be lowest for London, Paris and Morocco and highest for Egypt, Kenya and South Africa. JEL classification: G11, G12, G15, O55
This study introduces a new asset pricing factor to capture both the effects of concentrated owne... more This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu in capturing the cross section of average stock returns. The findings emphasise the importance of institutional quality, legal origin and concentrated ownership that are the basis of property rights protection in the portfolio diversification decisions of minority investors. JEL classification: G11, G12, G15, O55
The results of a two-year survey of smallholders in Makhathini Flats, KwaZulu-Natal show that far... more The results of a two-year survey of smallholders in Makhathini Flats, KwaZulu-Natal show that farmers who adopted Bt cotton in 1999-2000 benefited according to all the measures used. Higher yields and lower chemical costs outweighed higher seed costs, giving higher gross margins. These measures showed negative benefits in 1998-99, which conflicts with continued adoption, but stochastic efficiency frontier estimation, which takes account of the labor saved, showed that adopters averaged 88% efficiency, as compared with 66% for the nonadopters. In 1999-2000, when late rains lowered yields, the gap widened to 74% for adopters and 48% for nonadopters.
Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these... more Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these are rural and 90% in Asia and Sub-Saharan Africa. Research led technological change in agriculture generates sufficient productivity growth to give high rates of return in Africa and Asia and has a substantial impact on poverty, currently reducing this number by 25 million per annum, whereas productivity growth in industry and services has no impact.
This paper investigates how large family shareholders and institutional block-holders jointly inf... more This paper investigates how large family shareholders and institutional block-holders jointly influence informed trading and firm valuation in the Hong Kong stock market. It combines market microstructure research with studies on the governance roles of multiple block-holders and finds that institutional block-holders rely on their relative controlling power vis-à-vis family owners to mitigate problems associated with informed trading. They also
Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these... more Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these are rural and 90% in Asia and Sub-Saharan Africa. Research led technological change in agriculture generates sufficient productivity growth to give high rates of return in Africa and Asia and has a substantial impact on poverty, currently reducing this number by
Brooks World Poverty Institute Working Paper Series, 2009
King's College London xiaobing.wang@manchester.ac.uk jenifer.piesse@kcl.ac.uk Brooks World Povert... more King's College London xiaobing.wang@manchester.ac.ukjenifer.piesse@kcl.ac.uk Brooks World Poverty Institute ISBN : 978-1-907247-07-1 www.manchester.ac.uk/bwpi Abstract Using three comparable national representative household surveys for China in 1988China in , 1995China in and 2002 this paper provides micro level evidence of a policy of absolute regressive taxation and an inverted welfare system. It reviews the economic effects of taxes and subsides and shows that a dual and regressive taxation system increases the urban rural income gap and enhances overall inequality. The empirical evidence indicates that the relatively poorer rural population pay net tax while those in the richer urban areas receive net subsidies. This biased system of taxes and welfare payments is one of the major causes of the persisting urban-rural income gap and is largely responsible for overall income inequality in China.
This paper assesses the effectiveness of traded turnover, and metrics in measuring illiquidity, a... more This paper assesses the effectiveness of traded turnover, and metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with a simple stochastic drift model on a new sample of all of Africa's major equity markets: Morocco,
This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to ... more This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to take account of company size and liquidity levels. These additional risks faced by investors have not been addressed in any formal way. The sample includes two of the largest most developed African markets: the Johannesburg Stock Exchange and Nairobi Stock Exchange and two of the smallest: Swaziland and Mozambique. The evidence suggests that while size and liquidity are important valuation factors in the larger markets these measures are less well defined and not significant in pricing models for the very small markets.
Page 1. Electronic copy available at: http://ssrn.com/abstract=1303619 Market Liquidity and Stock... more Page 1. Electronic copy available at: http://ssrn.com/abstract=1303619 Market Liquidity and Stock Size Premia in African Emerging Financial Markets: The Implications for Foreign Investment Bruce Hearna,1, Jenifer Piesseb,2 and Roger Strangec,3 ...
African markets are largely price-segmented. The only markets that are price-integrated have shar... more African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions, such as Namibia and South Africa, and Egypt, Tunisia and France.
This paper examines how the public announcement of foreign share acquisitions in listed companies... more This paper examines how the public announcement of foreign share acquisitions in listed companies affects the share prices of those companies. The dataset contains 422 public announcements of foreign share acquisitions in Korean listed companies over the period from March 2005 to June 2009. The empirical analysis builds upon the findings of previous studies, but also considers the moderating effects of three factors: the motivation of the foreign investor (management participation or pure investment); the characteristics of the stock exchange on which the domestic companies are listed; and the effects of group affiliation. Using event study methods, the abnormal returns are obtained and statistical tests are undertaken between the mean returns for the different sub-groups. A significant 21-day cumulative abnormal return of 1.1% is found for the total sample, and the statistical tests suggest that the factors investigated influence the size of the abnormal gains.
The food price spikes of 2008 showed that world foo d security is not a foregone conclusion. With... more The food price spikes of 2008 showed that world foo d security is not a foregone conclusion. With this in mind, we distinguish between three pro ductivity measures, as their implications differ. These are: yields, which, with area harves ted, determine output; labour productivity, which correlates with incomes; and total factor pro ductivity, which distinguishes between technical progress, efficiency change
Handbook of Quantitative Finance and Risk Management, 2010
This article introduces definitions of the terms bankruptcy, corporate failure, insolvency, as we... more This article introduces definitions of the terms bankruptcy, corporate failure, insolvency, as well as the methods of bankruptcy, and popular economic failure prediction models. We will show that a firm filing for corporate insolvency does not necessarily fail to pay off its financial obligations as they mature. Moreover, we will assume an appropriate risk monitoring system centered by well-developed failure prediction models, which is crucial to various parties in the investment world as a means to look after the financial future of their clients or themselves.
This paper measures corporate sector performance (efficiency) and empirically examines the role o... more This paper measures corporate sector performance (efficiency) and empirically examines the role of corporate governance. A stochastic frontier with inefficiency effects is fitted to a panel dataset of 31 of the largest nonfinancial companies listed on the Kuala Lumpur Stock Exchange for the period 1995 to 1999. Focusing specifically on the impact of the system of corporate governance and the
This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihu... more This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco, Kenya and South Africa, as well as London and Paris. A new legal regime factor is also developed to capture the often substantial differences in returns between markets with either civil or common law origin. The evidence suggests that the Amihud construct outperforms other liquidity measures in Africa while the Amihud and Liu measures are better in London and Paris. Furthermore the incorporation of size, liquidity and legal regime valuation factors within a multifactor CAPM pricing model reveals that size and liquidity factors are significant in capturing the cross-section of returns across the sample universe. The legal regime factor offers improves performance with larger stocks. However, it is significant in capturing the cross section of returns in country portfolios. Costs of equity are found to be lowest for London, Paris and Morocco and highest for Egypt, Kenya and South Africa. JEL classification: G11, G12, G15, O55
This study introduces a new asset pricing factor to capture both the effects of concentrated owne... more This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu in capturing the cross section of average stock returns. The findings emphasise the importance of institutional quality, legal origin and concentrated ownership that are the basis of property rights protection in the portfolio diversification decisions of minority investors. JEL classification: G11, G12, G15, O55
The results of a two-year survey of smallholders in Makhathini Flats, KwaZulu-Natal show that far... more The results of a two-year survey of smallholders in Makhathini Flats, KwaZulu-Natal show that farmers who adopted Bt cotton in 1999-2000 benefited according to all the measures used. Higher yields and lower chemical costs outweighed higher seed costs, giving higher gross margins. These measures showed negative benefits in 1998-99, which conflicts with continued adoption, but stochastic efficiency frontier estimation, which takes account of the labor saved, showed that adopters averaged 88% efficiency, as compared with 66% for the nonadopters. In 1999-2000, when late rains lowered yields, the gap widened to 74% for adopters and 48% for nonadopters.
Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these... more Twenty percent of the world population, or 1.2 billion live on less than $1 per day; 70% of these are rural and 90% in Asia and Sub-Saharan Africa. Research led technological change in agriculture generates sufficient productivity growth to give high rates of return in Africa and Asia and has a substantial impact on poverty, currently reducing this number by 25 million per annum, whereas productivity growth in industry and services has no impact.
This paper investigates how large family shareholders and institutional block-holders jointly inf... more This paper investigates how large family shareholders and institutional block-holders jointly influence informed trading and firm valuation in the Hong Kong stock market. It combines market microstructure research with studies on the governance roles of multiple block-holders and finds that institutional block-holders rely on their relative controlling power vis-à-vis family owners to mitigate problems associated with informed trading. They also
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