ABSTRACTThis paper tests the cross‐sectional robustness of the arbitrage pricing theory (APT) mod... more ABSTRACTThis paper tests the cross‐sectional robustness of the arbitrage pricing theory (APT) model using foreign exchange rate data to determine if the model is robust with respect to the various random samples and various factor analytic techniques. Factor scores are developed using various samples and factor analytic techniques to explain the returns for other samples and groupings. The APT model is found to be robust across samples and techniques.
Recent trend shows that foreign investment has increased rapidly, and raises a question as to whe... more Recent trend shows that foreign investment has increased rapidly, and raises a question as to whether managerial characteristics impact international diversification, as claimed by the Uppsala internationalisation process theory. This paper investigates the relationship between top management team’s characteristics and firm’s Outward Foreign Direct Investment, that is, international diversification. This study focuses on 83 of the top 100 largest Malaysian multinational firms. The entropy measure is used as the proxy for level of international diversification. Age, international experience, educational level and functional background are proxies reflecting the management’s cognitive abilities and competencies. The findings showed that age and functional background have significant positive influence on the level of international diversification. In addition, the results also suggested there is a reasonable support for upper echelons theory and Uppsala internationalisation process th...
The objective of this paper is to analyze the relationship between the ownership level of manager... more The objective of this paper is to analyze the relationship between the ownership level of managers and the risk averse behavior of the firm. We measure the ownership level of the managers by the ratio of their ownership of the company relative to their total wealth for a sample of 69 individuals from the Forbes 400 list of the wealthiest individuals in the world for the period from 2001-11 using an unbalanced panel data analysis. The dependent variable is the Altman Z-score of each firm and we further test these relationships using financial leverage. The independent variables are delta and Vega of the option portfolio of the manager, R&D for the firm, total assets, the age of the manager, the tenure of the manager, stock holding of the manager, CEO/Chair duality of the manager and firma age. The Z-score is statistically significantly related to size, CEO age, CEO wealth, and duality. Financial leverage is not statistically significantly related to any of the independent variables.
In this paper, we demonstrate how to collect the data and compute the actual value of Black-Schol... more In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.
International Business & Economics Research Journal (IBER), 2011
In this paper, we evaluate the weak form efficiency of the Russian Stock market using the Russian... more In this paper, we evaluate the weak form efficiency of the Russian Stock market using the Russian trading System Index for the period when the market opened in 1995 to August 2003 by testing for a day-of-the-week effect using ARCH/GARCH analysis. There does appear to have been a speculative bubble in the run-up to the market peak in late 1997 to early 1998 that burst when the government defaulted on debt. However, based on the empirical results of this paper, it appears that the RTSI does have a day-of-the-week effect. However, returns are lowest on Wednesday and highest on Friday and returns are positive on every day except Wednesday. Thus, we posit a three day weekend effect from Thursday to Monday.
International Business & Economics Research Journal (IBER), 2011
This paper presents a model for the financial analysis of a bank based on the DuPont system of fi... more This paper presents a model for the financial analysis of a bank based on the DuPont system of financial analysis. The DuPont system of financial analysis is derived from an analysis of return on equity that consists of three parts: 1) operating efficiency as measured by profit margin, 2) asset use efficiency as measured by total asset turnover, and 3) financial leverage as measured by the equity multiplier. The analysis covers the period from mid 2005 to 2009. The DuPont system of analysis assesses the performance of the Arabian institution since its establishment in the Spring of 2005.
ABSTRACTThis paper tests the cross‐sectional robustness of the arbitrage pricing theory (APT) mod... more ABSTRACTThis paper tests the cross‐sectional robustness of the arbitrage pricing theory (APT) model using foreign exchange rate data to determine if the model is robust with respect to the various random samples and various factor analytic techniques. Factor scores are developed using various samples and factor analytic techniques to explain the returns for other samples and groupings. The APT model is found to be robust across samples and techniques.
Recent trend shows that foreign investment has increased rapidly, and raises a question as to whe... more Recent trend shows that foreign investment has increased rapidly, and raises a question as to whether managerial characteristics impact international diversification, as claimed by the Uppsala internationalisation process theory. This paper investigates the relationship between top management team’s characteristics and firm’s Outward Foreign Direct Investment, that is, international diversification. This study focuses on 83 of the top 100 largest Malaysian multinational firms. The entropy measure is used as the proxy for level of international diversification. Age, international experience, educational level and functional background are proxies reflecting the management’s cognitive abilities and competencies. The findings showed that age and functional background have significant positive influence on the level of international diversification. In addition, the results also suggested there is a reasonable support for upper echelons theory and Uppsala internationalisation process th...
The objective of this paper is to analyze the relationship between the ownership level of manager... more The objective of this paper is to analyze the relationship between the ownership level of managers and the risk averse behavior of the firm. We measure the ownership level of the managers by the ratio of their ownership of the company relative to their total wealth for a sample of 69 individuals from the Forbes 400 list of the wealthiest individuals in the world for the period from 2001-11 using an unbalanced panel data analysis. The dependent variable is the Altman Z-score of each firm and we further test these relationships using financial leverage. The independent variables are delta and Vega of the option portfolio of the manager, R&D for the firm, total assets, the age of the manager, the tenure of the manager, stock holding of the manager, CEO/Chair duality of the manager and firma age. The Z-score is statistically significantly related to size, CEO age, CEO wealth, and duality. Financial leverage is not statistically significantly related to any of the independent variables.
In this paper, we demonstrate how to collect the data and compute the actual value of Black-Schol... more In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.
International Business & Economics Research Journal (IBER), 2011
In this paper, we evaluate the weak form efficiency of the Russian Stock market using the Russian... more In this paper, we evaluate the weak form efficiency of the Russian Stock market using the Russian trading System Index for the period when the market opened in 1995 to August 2003 by testing for a day-of-the-week effect using ARCH/GARCH analysis. There does appear to have been a speculative bubble in the run-up to the market peak in late 1997 to early 1998 that burst when the government defaulted on debt. However, based on the empirical results of this paper, it appears that the RTSI does have a day-of-the-week effect. However, returns are lowest on Wednesday and highest on Friday and returns are positive on every day except Wednesday. Thus, we posit a three day weekend effect from Thursday to Monday.
International Business & Economics Research Journal (IBER), 2011
This paper presents a model for the financial analysis of a bank based on the DuPont system of fi... more This paper presents a model for the financial analysis of a bank based on the DuPont system of financial analysis. The DuPont system of financial analysis is derived from an analysis of return on equity that consists of three parts: 1) operating efficiency as measured by profit margin, 2) asset use efficiency as measured by total asset turnover, and 3) financial leverage as measured by the equity multiplier. The analysis covers the period from mid 2005 to 2009. The DuPont system of analysis assesses the performance of the Arabian institution since its establishment in the Spring of 2005.
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Papers by Carl Mcgowan