Applied Finance Letters (E-Journal - Auckland Centre for Financial Research)
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149 research outputs found
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FUNDING AND OVERFUNDING PHENOMENA IN CROWDFUNDING: RELEVANCE OF PLATFORM CHOICE AND VARYING INDUSTRY DYNAMICS
Full text linkThis study provides new evidence on factors relevant for the success of crowdfunding campaigns run in Europe between 2015 and 2017 on the most popular crowdfunding platforms in Germany/Austria – Kickstarter.com and Startnext.com. In particular, for this study, a sample of 10,514 campaigns from Germany and Austria for the first time serves as a basis for identifying the determinants of the level of projects’ (over-)funding. For crowdfunding projects, an increase in a project’s funding goal results in higher funding on both platforms, but this does not guarantee success, i.e. reaching the relevant funding goal. Projects with a higher success probability show lower funding goals, especially if launched on Startnext.com. In contrast, a longer duration negligibly increases the amount raised on Startnext and slightly decreases on Kickstarter. On Startnext, projects from the Art cluster have a higher chance to succeed, while these from the Technology cluster show smaller success probabilities as they regularly get less funding. On Kickstarter, projects from the Art, Technology, or Lifestyle field reach higher financing as compared to the Sustainability area. We show that the uncertainty about market size and project/founder quality leads to diverging over- and underfunding levels across platforms and industry clusters, which is of core importance to interested stakeholder groups.
Key words: crowdfunding, crowd, reward, Kickstarter, Startnex
RESILIENCE OF ORGANISATION CAPITAL ON FIRMS’ PERFORMANCE AMID CRISIS
Full text linkDrawing on the concept of organisation capital as an intangible asset perspective, we examine the relationship between organisation capital and Australia firms’ performance and its moderating effects during the last two crisis periods, i.e., Global Financial Crisis (GFC) and COVID-19. We find that higher investment in organisation capital will result in lower drops in firm’s performance. Long-term investment in organization capital would help to improve firm’s performance and mitigate the drops in performance in crisis. A resilience picture through organisation capital is pictured
The INVESTIGATION OF ASYMMETRIC DYNAMICS OF BORSA ISTANBUL INDEX WITH QUANTILE UNIT ROOT TEST
No full textIn this study, we apply the quantile unit root test, which provides robust inferences for non-normal processes based on the quantile autoregression approach, to examine the asymmetric dynamic process of the BIST100 Borsa Istanbul index. The quantile autoregression approach allows the measurement of the persistency of shocks of different magnitudes and signs affecting the stock market index and can capture the adjustment of asymmetric dynamics in the long-run equilibrium of the index. Therefore, quantile unit root tests add new approaches to index dynamics compared to traditional unit root methodologies based on the least squares regression method. Our results show that the index not only returns to the mean but also exhibits asymmetric behavior in its dynamic structure. Compared to traditional unit root tests, quantile unit root tests provide more evidence to support the efficiency of the stock market index and show that the stock market index at different frequencies does not consistently have a unit root. Asymmetric inferences in shock magnitude and sign play an important role in asset pricing and forecasting in the securities market
THE IMPACT OF SOCIAL MEDIA PRESENCE, RESPONSE TIME, CORPORATE ACTIONS ON THE STOCK MARKET: EVIDENCE FROM THE RUSSIA–UKRAINE WAR
Full text linkThis study investigates the influence of social media presence and conflict response on the stock returns during the Russia–Ukraine war. We examined the long-term impacts regarding social media presence, response time, action taken, and industry affiliation using a sample of 174 firms in 10 industrial sectors. The results highlight that response time and actions significantly impacted stock returns in both the short- term and long-term. Conversely, social media presence marginally affected response decisions, but did not significantly affect stock returns
DRIVERS OF PROFIT CONVERGENCE IN EURO AREA BANKS
Full text linkSince there are persistent concerns about the viability of euro area banks, we analyse their profit recovery in the post-crisis period, applying the concepts of β and σ convergence as well as the Phillips and Sul clustering algorithm. The results are consistent with ROE convergence, but to different levels across bank groups. The clustering analysis reveals the existence of banks with solid performance, but also a group of persistent underperformers. We find that non-interest income and operational efficiency emerge as crucial discriminating factors to explain the banks’ relative post-crisis ROE dynamics. Supervisors and bank managers are advised to monitor and reinforce bank business model viability
INTEREST RATE HIKE AND THE INSTABILITY IN THE U.S. BANKING INDUSTRY
Full text linkThis paper investigates the effect of interest rate changes on the U.S. banks’ performance captured by unrealized losses, investment securities allocation, and deposit withdrawal. We show that a sudden surge in interest rates could lead to massive losses, potentially erasing the market value of a bank's equity capital. We further show that the U.S. banks have switched more available-for-sale securities to held-to-maturity securities to reduce the realized losses. Moreover, such an increase in interest rates could prompt depositors, particularly those with uninsured deposits, to withdraw their funds. These factors pose significant risks to banks, as evidenced by some recent abrupt failures in the U.S. banking sector
THE INFORMATIONAL ROLE OF THE LOAN ONLY CREDIT DEFAULT INDEX (LCDX) ON THE PRICING OF SYNDICATED LOANS
Full text linkThis paper explores the informational role of the Loan Only Credit Default Index (LCDX) on the pricing of syndicated loans. Despite an extensive body of research on credit indices and loan pricing, limited studies have comprehensively assessed the complex relationship between the LCDX and individual loan spreads. Contrary to indices like the CDX, which are largely linked to corporate bonds, the LCDX directly pertains to the syndicated secured loan market, offering valuable insights about the overall credit default market and the cost of credit risk insurance. Preliminary results reveal a pronounced positive correlation between the LCDX spread and the syndicated loan spread, particularly noticeable amongst borrowers with lower credit quality. The paper highlights the LCDX's pivotal role in conveying secondary credit market information, with critical implications for credit risk management and financial regulations
POWER OF CSAD-BASED TEST ON HERDING BEHAVIOR
Full text linkThis study aims to answer the question of whether the cross-sectional absolute deviation (CSAD)-based test is powerful enough to detect herding behavior in financial markets. Using US stocks as the main sample, I investigate the power of the CSAD-based test as a herding detection method, with a focus on two dimensions: the self-consistency of the method and the power of t-tests used in the method. I find that conducting the tests with a large number of stocks over extended time periods is likely to provide consistent conclusions on whether herding behavior exists in the stock market. These findings support the CSAD-based test as a herding detection method. However, with an overall mean of 59.37%, the estimated power of t-tests can be as low as 37.62%, indicating low testing power. Therefore, researchers should be careful when using the CSAD-based test as a herding detection method, especially when R^2s are low
CEO GENDER AND FIRM PERFORMANCE: EVIDENCE FROM THE COVID-19 PANDEMIC
Full text linkThe COVID 19 pandemic precipitated an unprecedented deceleration of economic activities and a stock market crash. The unparalleled shock and the altered risk attitudes present a distinctive opportunity to examine whether the well-established concept of the "glass ceiling" is indicative of latent gender differentials in company performance. Utilizing US financial data, the study employs a range of methodologies to examine whether firms led by female CEOs exhibited the same performance as firms led by male CEOs during 2020-2021. Our empirical results confirm previous findings from the finance literature, as we neither find a systematic difference in returns to holding stock in female-led firms, nor a difference in accounting returns between female-led and male-headed firms
PERFORMANCE AND TRACKING EFFICIENCY OF COMMODITY ETFS IN THE UK
Full text linkThis paper examines the performance and tracking efficiency of nine iShares ETFs traded on the London Stock Exchange in the UK. The results indicate that, on average, the performance of the examined ETFs has been positive during their entire trading history. However, these ETFs have failed to fully replicate the performance of the underlying commodities and indexes. At the cumulative level, an average underperformance of 172 basis points is found. In addition, at the sample level, about 86% of daily tracking errors are negative (indicating underperformance), and only 14% of tracking errors are positive (reflecting outperformance). Based on our results, the tracking error is induced by the departure from the full replication of the underlying assets.