Bilgiye Erişim Merkezi ne Yeni Gelen Yayınlar

Transcription

1 2200 KKAASSI IIM CCUUMAA SSAAYYI II: : Bilgiye Erişim Merkezi ne Yeni Gelen Yayınlar İstanbul Sanayi Odası 5. sanayi kongresi: sürdürülebilir rekabet gücü: küresel değişimde yeni dinamikler ve Türk sanayinin yol haritası: 1 2 Kasım İstanbul: İstanbul Sanayi Odası, İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 1

2 Resmi Gazete YÜRÜTME VE İDARE BÖLÜMÜ BAKANLAR KURULU KARARLARI 2009/15551 Sürekli Görevle Yurt Dışında Bulunan Memurlara Ödenecek Aylıklara İlişkin Kararda Değişiklik Yapılmasına Dair Karar 2009/15561 Ankara Üniversitesi Rektörlüğüne Bağlı Olarak Kök Hücre Enstitüsü Kurulması Hakkında Karar 2009/15575 Şanlıurfa İli, Siverek İlçesi, Şekerli Bucağı, Bakmaç Köyüne Bağlı Atmaca ve Karakütük Köy Altı Yerleşim Birimlerinin, Ana Köyden Ayrılarak Merkezi Atmaca Bağlısı Olmak Üzere Atmaca Adıyla Bağımsız Köy Haline Getirilmesi Hakkında Karar 2009/15577 Elektrik İşleri Etüt İdaresi Genel Müdürlüğünce Düzenlenen Hizmet İçi Eğitim, Kurs ve Seminerlerde Ücretle Okutulacak Ders Saati Sayısı, Ders Görevi Alacakların Nitelikleri ve Diğer Hususların Tespitine İlişkin Esaslar Hakkında Karar 2009/15578 İstanbul Bilgi Üniversitesi Rektörlüğüne Bağlı Olarak Mühendislik Fakültesi Kurulması Hakkında Karar YÖNETMELİKLER 2009/15559 Memurların Hastalık Raporlarını Verecek Hekim ve Sağlık Kurulları Hakkında Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik Basın-Yayın ve Enformasyon Genel Müdürlüğü Personeli Görevde Yükselme ve Unvan Değişikliği Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik Millî Eğitim Bakanlığı Özel Öğretim Kurumları Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik İller Bankası Genel Müdürlüğü Personeli Görevde Yükselme ve Unvan Değişikliği Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik Gıda ve Yem Amaçlı Genetik Yapısı Değiştirilmiş Organizmalar ve Ürünlerinin İthalatı, İşlenmesi, İhracatı, Kontrol ve Denetimine Dair Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik TEBLİĞLER Güneydoğu Anadolu Projesi Eylem Planı Kapsamındaki İllerde Süt Sığırcılığı Yatırımlarının Desteklenmesine İlişkin Uygulama Esasları Tebliği (No: 2009/57) Kaydileştirilen Sermaye Piyasası Araçlarına İlişkin Kayıtların Tutulmasının Usul ve Esasları Hakkında Tebliğde Değişiklik Yapılmasına Dair Tebliğ (Seri: IV, No: 46) Yabancı Süreli Yayınlar Pacific Basin Finance Journal Volume 16, Issue 3, Pages (June 2008) Behavioral explanations of trading volume and short horizon price patterns: An investigation of seven Asia Pacific markets Pages David K. Ding, Thomas H. McInish, Udomsak Wongchoti We investigate whether behavioral postulations offer any implicit explanation of the country varying relation between trading volume and price pattern among short horizon winners/losers in seven Pacific Basin markets during the period 1990 to Our findings İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 2

3 lend credence to the Lee and Swaminathan [Lee, C. and Swaminathan, B., Price momentum and trading volume, Journal of Finance 55, ] Momentum Life Cycle explanation that high (low) volume winners (losers) are more likely to experience price reversals, whereas high (low) volume losers (winners), price momentum, in the subsequent period. This observation is especially pronounced in Hong Kong. Other models such as those based on an information diffusion process and overconfidence in glamour stocks offer limited explanation for the relation. 2. Implicit behavioral explanations 3. Data and methodology 3.1. Data 3.2. Methodology Volume categorization Price pattern reflected in trading profits Glamour characteristics and HML loadings Speed of adjustment to public information 4. Empirical results 4.1. The relation between trading volume and short horizon price patterns 4.2. Value characteristics of trading volume 4.3. Speed of adjustment to public information 4.4. Implications of the Momentum Life Cycle (MLC) 5. Conclusion Stochastic dominance analysis of Asian hedge funds Pages Wing Keung Wong, Kok Fai Phoon, Hooi Hooi Lean İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 3

4 We employ the stochastic dominance approach that utilizes the entire return distribution to rank the performance of Asian hedge funds as traditional mean variance and CAPM approaches could be inappropriate given the nature of non normal returns. We find both first order and higher order stochastic dominance relationships amongst the funds and conclude that investors would be better off by investing in the first order dominant funds to maximize their expected wealth. By investing in higher order dominant funds, risk averse investors can maximize their expected utilities but not their wealth. In addition, we find the common characteristic for most pairs of funds is that one fund is preferred to another in the negative domain whereas the preference reverses in the positive domain. We conclude that the stochastic dominance approach is more appropriate compared with traditional approaches as a filter in hedge fund selection. Compared with traditional approaches, the SD approach, not only is assumption free, but also provides greater insights to the performance and risk inherent in a hedge fund's track record. 2. Literature review and motivation 3. Data and methodology 4. Empirical findings and implications 4.1. MV criterion and CAPM statistics results 4.2. Stochastic dominance results 4.3. FSD results and discussions 5. Conclusion Auctions versus book built IPOs in Japan: A comparison of aftermarket volatility Pages Richard H. Pettway, Satish Thosar, Scott Walker İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 4

5 In a recent theoretical paper, Sherman [Sherman, A.E., 2005, Global trends in IPO methods: Book building versus auctions with endogenous entry, Journal of Financial Economics 78, ] proposes that: If book building leads to greater expected underpricing relative to uniform price or discriminatory auctions, then it should also lead to less volatility in aftermarket trading. In this paper, we study a Japanese sample and find that book built IPOs exhibit greater underpricing and higher aftermarket volatility compared to pricediscriminatory auctions. Aftermarket volatility wanes with seasoning in both sub samples, but the book built volatility levels are persistently higher than those for auctions for as long as one year after the IPO issue date. 2. IPO selling methods, research questions, data and sample description 2.1. Brief description of book building and auction methods 2.2. Research questions 2.3. Data and sample description 3. Results 3.1. Preliminary findings 3.2. Regression results 4. Conclusion Acknowledgements The impact of corporate governance on corporate performance: Evidence from Japan Pages Rob Bauer, Bart Frijns, Rogér Otten, Alireza Tourani Rad Employing a unique data set provided by Governance Metrics International, which rates firms using six different corporate governance dimensions, we analyze whether Japanese firms with many governance provisions have a better corporate performance than firms with İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 5

6 few governance provisions. Employing an overall index, we find that well governed firms significantly outperform poorly governed firms by up to 15% a year. Using indices for various governance categories, we find that not all categories affect corporate performance. Governance provisions that deal with financial disclosure, shareholder rights, and remuneration do affect stock price performance. The impact of provisions that deal with board accountability, market for control, and corporate behavior is limited. 2. Data 3. Governance ratings and stock price performance 4. Governance categories and corporate performance 5. Conclusion Appendix A. Appendix A.1. Board accountability A.2. Financial disclosure and internal controls A.3. Shareholder rights A.4. Remuneration A.5. Market for control A.6. Corporate behavior Investment returns under right and left wing governments in Australasia Pages Hamish D. Anderson, Christopher B. Malone, Ben R. Marshall This paper considers the link between ruling political parties and stock, property, and bond returns in Australasia. Australia and New Zealand provide an ideal setting as their political systems allow a precise examination of the influences of political parties. We find higher inflation under left leaning governments and this flows through to higher property returns İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 6

7 during their terms. Stock markets tend to do better during right leaning governments when inflation is lower. While there is no clear political cycle in total bond returns we find bond capital losses during terms governed by the left and capital gains are evident under rightwing governments. 2. Background 3. Hypotheses development 3.1. Overview of link between government and inflation 3.2. Stock market 3.3. Property market 3.4. Bond market 4. Data and methodology 5. Results 5.1. Link between government and inflation 5.2. Stock market 5.3. Property market 5.4. Bond market 6. Robustness checks 6.1. Excess stock market returns 6.2. Dummy variable persistence 7. Conclusions Debt maturity structure of Chinese companies Pages Kailan Cai, Richard Fairchild, Yilmaz Guney İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 7

8 Numerous studies have focused on the theoretical and empirical aspects of corporate capital structure since the 1960s. As a new branch of capital structure, however, debt maturity structure has not yet received as much attention as the debt equity choice. We use the existing theories of corporate debt maturity to investigate the potential determinants of debt maturity of the Chinese listed firms. In addition to the traditional estimation methods, the system GMM technique is used to explicitly control for the endogeneity problem. We find that the size of the firm, asset maturity and liquidity have significant effects in extending the maturity of debt employed by Chinese companies. The amount of collateralized assets and growth opportunities also tend to be important. However, proxies for a firm's quality and effective tax rate apparently report mixed or unexpected results. Debt market and equity market conditions are also examined in relation to corporate loan maturity. The system GMM results show that market factors seem to influence debt maturity decisions. Finally, corporate equity ownership structure has also been found to have some impact on debt maturity mix. 2. Debt maturity theories and empirical proxies 2.1. A brief review of empirical tests of debt maturity 2.2. The dependent variable 2.3. Explanatory variables Agency theories Proxies for agency theories Signaling and liquidity risk Proxies for signaling and liquidity risk theories Matching principle Proxy for matching principle Tax theories Proxies for tax theories 3. The sample 3.1. Data description İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 8

9 3.2. Descriptive statistics 3.3. Correlation matrix 4. Methodology 4.1. Estimation methods 4.2. Testing approach 5. Results 5.1. Year by year tests 5.2. Tests for the general model 5.3. Regression results across industry groups 5.4. Robustness tests: Variable definitions and modeling 5.5. Robustness tests with respect to maturity, size and growth classifications Maturity classification Size classification Growth classification 5.6. Robustness tests: The impact of macroeconomic factors 5.7. Robustness tests: The impact of corporate ownership structure 6. Summary and conclusion Appendix A. Appendix A.1. Panel A: Country level aggregate figures for China (in 100 million RMB) A.2. Panel B: Shares types in China A.3. Panel C: The structure of bond markets in China Do Thai stock prices deviate from fundamental values? Pages Benjamas Jirasakuldech, Riza Emekter, Ramesh P. Rao The stock market in Thailand experienced several apparent boom and bust cycles in recent years, which raises the question of whether equity prices in Thailand reflect their fundamental values. This paper examines whether the Thai equity market was characterized İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 9

10 by rational expectations bubbles over the sample period from June 1975 to June The cointegration test provides evidence of no long run relationship among prices, dividends and earnings, indicating the presence of a rational bubble. The results are confirmed by the nonparametric duration dependence test, which shows evidence of negative duration dependence in runs of positive returns, consistent with the presence of rational expectations bubbles. Further analysis reveals departures from fundamental values in the initial sample subperiod ending with the Asian financial crisis in However, prices appear to be in line with fundamentals in the more recent post 1997 subperiod. 2. Methodology 2.1. Multivariate cointegration test 2.2. Duration dependence test 3. Data and descriptive statistics 3.1. Data 3.2. Descriptive statistics 4. Empirical results 4.1. Multivariate cointegration test 4.2. Duration dependence test 5. Conclusion Price reaction to rights issues in the Indian capital market Pages Vijaya B. Marisetty, Alastair Marsden, Madhu Veeraraghavan This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 10

11 negative for firms with a family group affiliation compared to firms with no family group affiliation. The notable differential price reaction between firms with and without a family group affiliation can be explained by the tunneling hypothesis. For firms affiliated with a family group, we surmise that investors perceive that the proceeds of the rights issue may be misused for the benefit of the controlling shareholder. We also find that higher levels of individual shareholding in the firm are associated with a more positive price reaction to the announcement. 2. Institutional aspects of the Indian stock market and rights issues in India 2.1. Overview of the Indian market Equity ownership in the Indian market Equity Issues in India 3. Testable hypotheses 4. Data and methods 4.1. Data 4.2. Methods Measurement of abnormal return Announcement day, event window and model estimation period 5. Returns around the rights issue announcement date 5.1. Abnormal return around the period of a rights issue announcement 6. Determinants of the size effect from the rights issue announcement 6.1. Univariate and multivariate analysis Summary statistics Cross sectional correlations of explanatory variables 6.2. Empirical results and tests of hypotheses Univariate results Cross sectional regression results 7. Conclusion Acknowledgements İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 11

12 Appendix A. Appendix İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 12