1,720,960 research outputs found
Hotel and Travel Sector in Sri Lanka and Easter Attack 2019: An Event Study
Full text linkThis paper examines the impact of the Easter Attack, which took place in Sri Lanka, after the thirty-years of brutal civil war, on the Hotel and Travel Sector. As the hub of the Tourism Industry, the stock performance of the Hotel and Travel Sector is observed and investigated with the major objective of finding the impact of the Easter Attack and testing the Semi – Strong Form Efficiency of the Hotel and Travel Sector since three out of eight bombings has taken place in Hotels. The Event Study Methodology has been used to analyze the data and investigate the Efficient Market Hypothesis (EMH). With the Market Model implication, the Abnormal Returns is calculated by using daily stock prices on thirty-three (33) companies belong to Hotel and Travel Sector, and for the Market Return data, the daily All Share Price Index (ASPI) is taken into account. For 41 days Event Window, which includes 100 days Event Timeline, Graphical presentation of Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) and t - Statistics analysis is guided for analyzing the event. The findings of this study have shown a quick drop in both AAR and CAAR has been shown. It provides evidence for Semi – Strong Form efficiency on the event day in the Hotel and Travel Sector Stock prices since the market efficiently and negatively responded regarding the event of Easter Sunday Attack since the quick drop on the event day and the significant t-statistic at 5%. Nevertheless, a few days after the event were also showing significant results but declining continuously due to maybe investors’ over-reaction situation. However, Semi – Strong Form Efficiency could not be proved because it takes considerable time to adjust stock prices. In practice, investors will be able to trade stocks in a market except for the possibility of beating the market in the future.
Keywords: Easter Sunday attack 2019, efficient market hypothesis, event study methodology, hotel and travel sector, Sri Lank
The Conditional Relation between Beta and Returns: Evidence from a Frontier Market
Full text linkCapital Asset Pricing Model (CAPM) is one of the most significant finance literature models, which assumes a positive linear relationship between the required rate of return and systematic risk on stocks. The model is frequently used in the business world, but empirical tests repeatedly reject the model's validity in its unconditional form. Pettengill et al. have developed an alternative conditional CAPM approach where the unconditional test procedure developed by Fama & MacBeth, (1973) is improved by taking up and down market conditions. This paper investigates both the conditional and unconditional versions of CAPM in both individual and portfolio stock returns between January 2008 and December 2019 on the stocks listed in the Colombo Stock Exchange (CSE). Population of this research includes all the companies listed on CSE and the top 50 stocks with large market capitalization has been selected as the sample. The results of unconditional test procedure show that there is no statistically significant risk-return relationship is found in any test period in both individual and portfolio stock returns. Thus, this result is similar with the previous literature findings. The results of the conditional tests show that there is no significant positive (negative) risk-return relationship in portfolio stock returns and individual stock returns in CSE during up (down) market months. But findings indicate a significant positive risk-return relationship in individual stock returns in upmarket periods; whereas, a significant inverse risk-return relationship is not provided in down market periods.
Keywords: Colombo Stock Exchange, CAPM, Conditional Relation, Unconditional Relatio
The Role of Liquidity Risk in Asset Pricing: Evidence from Sri Lanka
Full text linkSecurities liquidity varies over time, which leads to equity return volatility. It implies that the liquidity in the capital markets is a significant source of risk. Therefore, liquidity risk in securities is difficult to diversify and contributes to the systemic market risk. This study aims to analyze the relationship between securities returns and liquidity risk while taking into account the time-varying characteristics of illiquidity on the Colombo Stock Exchange from 2015-2019 and taking into account the effect of liquidity level, using the Generalized Method of Movements (GMM) framework model to assess the persistence of illiquidity securities contributions of the updated version of the Amihud illiquidity (Amihud, 1986) proxy to represent across time market illiquidity and to research the time-series relationship between liquidity and returns. The pricing of liquidity risk and its implications for expected returns are empirically tested using the conditional liquidity adjusted capital asset pricing model (LCAPM), where stock returns are cross-sectionally dependent on market risk and three additional betas (β1, β2 , β3 ) that capture different aspects of illiquidity and its risk. The findings reveal some support for the conditional capital asset pricing model (CAPM), but results are not robust to alternative specifications and estimation techniques. The total effect of liquidity risk is 0.11%, and illiquidity is 2.5% per year. Illiquidity premium depends on the expected transaction cost at the end of the holding period for investors' 2.5%. This makes the overall illiquidity premium of 2.61%. These estimates and the overall importance of liquidity level and liquidity risk depend on the model implied restrictions of a constant market risk premium and a fixed transaction cost. However, LCAPM has constructed conditionally; it can relax these model-implied constraints and estimate different liquidity risk premiums while also allowing transaction costs to be a free parameter. The overall liquidity risk characterized by liquidity betas with a single market risk premium is relatively small and barely significant in the restricted model. Using this unrestricted model, find that the overall illiquidity premium corresponds to 2.61%. The empirical results shed light on these channels' toal and relative economic significance and provide evidence of flight to liquidity.
Keywords: Capital Asset Pricing Model, Liquidity Risk, Liquidity beta, Generalize Method of Movement, Sri Lank
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
"Does Stock Market Liquidity Affect Firms' Dividend Policy?"
Full text link“The harder we look at the dividends picture, the more it seems like a puzzle, with pieces that just do not fit together” (Black, 1974). Since the days of Modigliani & Miller (1961), scholars have been studying dividend policy. However, until quite recently, the idea of liquidity has rarely been mentioned. The study examined whether there was a relationship between the firms' dividend policy and any shares' liquidity criteria in the Sri Lankan context. This study represented 100 companies listed on the Colombo Stock Exchange (CSE) and studied the performance throughout 2015-2019. Dividend policy becomes dependent, whereas Amivest liquidity, turnover liquidity, and Gopalan liquidity become explanatory variables. Amivest liquidity and turnover liquidity are stock market liquidity measurements, whereas Gopalan liquidity measures firm liquidity. The relationship between variables was evaluated using a combined linear regression method. The study has determined no meaningful relationship between dividend policy and liquidity measures of Amivest liquidity and turnover liquidity. However, the study detected a significant reverse relationship between dividend policy and Gopalan liquidity. It emphasizes that firm dividend policy is affected by the firm liquidity but not by the stock market liquidity in the Sri Lankan context. Based on the negative relationship between the firm's dividend policy and the Gopalan liquidity, it may be suggested that owners who have invested in high liquid companies are less likely to receive dividends. Management may then skip or reduce the dividend and reinvest further because of the lower propensity to pay. On the other hand, if the company is low in liquid, the expected dividends are higher than the capital gains. And in the case of a company's liquidity, management may have an idea of whether investors want dividends or capital gains. Consequently, investors also can make better investment decisions if they concern firm liquidity in the Sri Lankan context, and they can have better rewards as they prefer.
Keywords: Colombo Stock Exchange, Dividend policy, Stock Market Liquidit
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Effect of Mergers and Acquisitions on Stock Returns: Evidence from a Frontier Market
No full textThis study examines the mergers and acquisitions on stock returns in the Sri Lankan context. The main objective of this study is to investigate the effects of mergers and acquisitions on stock returns of Sri Lankan companies and establish whether there is any relationship between mergers and acquisitions on stock returns. For the intended purposes, the impact of mergers and acquisitions on stock returns, the secondary data is used from 10 listed companies for the period from 2010 to 2019. The event study methodology is used to examine the reaction of investors to the announcement of mergers and acquisitions. The event window was 80 days, which is 40 days before and after the announcement date. The result indicates that mergers and acquisitions announcements generate positive significant Cumulative average abnormal returns (CAAR) at the event date. However, after the event date, acquirer companies exhibit very low CAAR close to zero or sometimes negative value and not statistically significant. Thus, findings suggest that the shareholders' reaction to the information content of mergers and acquisitions limited to event day. After the announcement date, the CAAR takes a gradual declining trend.
Keywords: Acquisition, Colombo Stock Exchange, Event Study analysis, Merger, Stock Retur
Financial Performance of the Firms and the Enterprise Risk Management: A Sri Lankan Perspective
Full text linkRisk management and financial performances in organizations had been of mounting importance when it comes to the research arena during the past few decades and is still heavily discussed globally nowadays. The tendency is to take an all-risk encompassing overview of risk management instead of considering risk management from a narrow-based overview. This all-risk encompassing approach to risk management is usually mentioned as Corporate Risk Management. A noticeable dearth of research is there in the studies that have been done on the relationship between corporate risk management and financial performance in organizations. There are so many shreds of evidence for the statement that organizations will enhance their performance by using the corporate risk management concept. The main objective instigated during this study is that the proper match between corporate risk management and, therefore, the firm factors: namely, industry competition, firm size, firm complexity, and monitoring by the board of directors and the relationship among corporate risk management and firm performance. This study identifies the impact of corporate risk management on financial performances of Banks, Diversified Financials, Insurance, Energy, and Retailing sectors in the Colombo Stock Exchange, which include 86 companies, were considered as the population and supported a sample of 60 firms. The research began with a search for companies that indicated they were utilizing the corporate risk management concept in their annual reports covering their fiscal year 2018. The findings indicate that firms should consider the implementation of a corporate risk management system following structural variables affecting the firm. These findings will be interesting to the policymakers, future researchers, as well as to the general public and any third party who are keen on corporate risk and financial performance of Banks, Diversified Financials, Insurance, Energy, and Retailing sectors in Sri Lanka.
Keywords: contingency theory, corporate risk management index, firm performance, Sri Lank
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