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Ownership Structure and Operating Performance of IPOs in India
--Shikha Bhatia and Balwinder Singh
The anomalous behavior of Initial Public Offerings (IPOs) has been extensively researched and debated. Numerous studies have documented stock price and operating underperformance of IPOs and suggested several reasons like earnings management, timing of issues, agency theory, etc., as causing such decline in postissue performance. This study attempts to examine the operating performance of IPOs in India for a period of five years subsequent to the issue. It specifically seeks to analyze the post-issue operating performance relative to pre-issue levels and to determine the relationship between ownership retained by the promoters and operating performance of issuing firms.
© 2013 IUP. All Rights Reserved.
Dual Long Memory in Stock Market Prices:
New Evidence Based on Bull and Bear Markets
--Siow-Hooi Tan, Hway-Boon Ong and Roy-Wye-Leong Khong
This study examines the dual long memory properties in Malaysian stock market during bull and bear periods for the period 1993:10 to 2009:12. Both semiparametric and ARFIMA-FIGARCH models are applied for the diagnosis of long memory. The study finds no evidence of long memory for stock returns. On the contrary, the long memory in stock volatility for all the bear periods and three of the bull periods is supported. Besides, the long-range dependence is more persistent in the early years of the sample, in particular, prior to the imposition of capital controls by the Malaysian government in September 1998. The presence of long memory in volatility provides evidence against the efficient market hypothesis and thus offers arbitrage opportunities to reap excess profits in stock market.
© 2013 IUP. All Rights Reserved.
Is Beta Dead?—Reevaluation of Equity Returns
in the US Diversified Financial Sector
--Ramesh Mohan, Huong Nguyen and Anup Nandialath
This study examines the relation between equity returns and fundamental variables by utilizing multifactor asset pricing models. Specifically, it incorporates several variables from prior empirical research to examine the impact of systematic risk on equity returns in the financial sector. The empirical results show that the explanatory power of systematic risk varies by models, but a positive relationship between systematic risk and returns is consistent. At the same time, the study reveals a significant relationship between equity returns and market value, book-to-market equity, earnings yield, leverage factors, sales-to-price ratio, book value per share, and earnings per share.
© 2013 IUP. All Rights Reserved.
A Tale of Two Macroeconomic Issues:
Public Spending and Households’ Preferences
--Girish Kumar Paliwal
This paper tries to explain how political/bureaucratic corruption in India affects households’ preferences of consumption-leisure, consumption-saving and consumptiondemand of real balances decisions in a typical economy, dominated by the informal sector, and modeled in an open-economy New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) style with micro-foundations. The study incorporates the enormously important informal sector, as the lion’s share of Indian workforce is employed in this sector. It also does not keep the degree of political/bureaucratic corruption out, as thriving corruption has engulfed the entire nation. A theoretical model based on a representative household’s utility function comprising consumption, public consumption, real balances and labor supply (production) subject to its budget constraint is developed and solved. The paper shows, theoretically, that public spending on consumption, government transfer, political/bureaucratic corruption/ embezzlement in public spending on consumption and political/bureaucratic corruption/ embezzlement in government transfer do not affect households’ preferences of optimal consumption-saving decision (optimal intertemporal consumption decision), optimal consumption-leisure decision (optimal consumption-labor supply decision) and optimal consumption-demand of real balances decision.
© 2013 IUP. All Rights Reserved.
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