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Int. J. Financial Stud., Volume 4, Issue 2 (June 2016)

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Open AccessArticle
Europe’s Elite Football: Financial Growth, Sporting Success, Transfer Investment, and Private Majority Investors
Int. J. Financial Stud. 2016, 4(2), 12; https://doi.org/10.3390/ijfs4020012 - 02 Jun 2016
Cited by 11 | Viewed by 4588
Abstract
Europe’s elite football clubs are a small group of about 30 clubs mostly originating from the Big Five leagues in England, Italy, Spain, Germany, and France. These clubs top Deloitte’s Football Money League ranking Europe’s top football clubs by revenues. They also win [...] Read more.
Europe’s elite football clubs are a small group of about 30 clubs mostly originating from the Big Five leagues in England, Italy, Spain, Germany, and France. These clubs top Deloitte’s Football Money League ranking Europe’s top football clubs by revenues. They also win the vast majority of national and European football competitions, and account for the major share of FIFA World Cup appearances. Nevertheless, empirical analyses studying the antecedents of financial success of this peculiar sample are rare. This paper extends previous research by building an empirical model of financial performance and applying it to a unique, high-quality dataset of the top 30 EU football clubs by club revenues analyzed over ten consecutive seasons from 2004 to 2013. Fixed effects models are performed to account for time trends and club fixed effects. The results show that financial success is driven by national and international sporting success, as well as brand value; sporting success is driven by team investments, and team investments tend to be driven by (foreign) private majority investors. Full article
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Open AccessArticle
Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
Int. J. Financial Stud. 2016, 4(2), 11; https://doi.org/10.3390/ijfs4020011 - 17 May 2016
Cited by 3 | Viewed by 1619
Abstract
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading [...] Read more.
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an alternative to the ARCH family models. Empirical analysis of the study consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for the stock index returns of Croatia, Greece, Poland and Turkey. In the second section, 1000 paths were obtained for each model using Monte Carlo simulations. We then compared the scaling function values of simulated and original time series for different q orders (1–5). According to the obtained results, the MMAR is mostly superior to other models and presents the best replica of the original time series. Another important finding is the achievement of the MRS-GARCH. We found that for lower levels of persistency (long memory) of return series, the performance of the MRS-GARCH excels, and for H = 0.5, it narrowly outperforms the MMAR. Full article
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Open AccessArticle
Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns1
Int. J. Financial Stud. 2016, 4(2), 10; https://doi.org/10.3390/ijfs4020010 - 17 May 2016
Cited by 2 | Viewed by 1755
Abstract
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling beta estimation. Market integration variable [...] Read more.
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling beta estimation. Market integration variable between these two countries is constructed using the International Capital Asset Pricing Model (ICAPM). To check the impact of market integration, foreign portfolio equity holding and inflation rate on Pakistan-Indian stock market co-movement, we applied autoregressive distributed lag (ARDL) estimation. ARDL estimation is applied due to different stationarity levels of the included variables. The level of convergence speed is measured by the introduction of error correction term (ECT) followed by variance decomposition analysis. Results of the study indicated presence of long term relationship among the included variables along with significance variance in bilateral co-movement due to inflation rate differential. The significance of inflation rate differences between these two countries are in accordance with portfolio balance theory stating that investors possess information about the macroeconomic variables thereby readjusting their portfolios for effective diversification. Full article
(This article belongs to the Special Issue New Challenges in Asian Capital Markets)
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Open AccessArticle
Factors Affecting Firm Competitiveness: Evidence from an Emerging Market
Int. J. Financial Stud. 2016, 4(2), 9; https://doi.org/10.3390/ijfs4020009 - 09 May 2016
Cited by 5 | Viewed by 2378
Abstract
The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market—Turkey. In the paper, competitiveness is proxied by a firm’s financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period [...] Read more.
The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market—Turkey. In the paper, competitiveness is proxied by a firm’s financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005 and 2014. Results from a firm-level panel data model indicate that return on assets is positively related to firm size, international sales, liquidity and growth, and negatively related to leverage and R&D expenditures. On the other hand, gross profit margin is positively related to size and international sales, and negatively related to leverage and R&D expenditures. Finally, results show that Tobin’s Q ratio is higher for firms with higher levels of debt and higher liquidity levels. Full article
Open AccessArticle
Corporate Governance Rating and Ownership Structure in the Case of Turkey
Int. J. Financial Stud. 2016, 4(2), 8; https://doi.org/10.3390/ijfs4020008 - 15 Apr 2016
Cited by 2 | Viewed by 2075
Abstract
By using corporate governance data on 22 publicly traded Turkish companies we estimate the determinants of corporate governance ratings for these companies with a focus on ownership structure. Our results show that company earnings, financial risk and firm size positively influence the corporate [...] Read more.
By using corporate governance data on 22 publicly traded Turkish companies we estimate the determinants of corporate governance ratings for these companies with a focus on ownership structure. Our results show that company earnings, financial risk and firm size positively influence the corporate governance ratings (CGR) that Turkish firms receive. In the meantime, we find some weak evidence that family ownership has a negative and foreign ownership has a positive impact on CGR scores. Full article
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Open AccessArticle
Debunking Two Myths of the Weekend Effect
Int. J. Financial Stud. 2016, 4(2), 7; https://doi.org/10.3390/ijfs4020007 - 07 Apr 2016
Cited by 1 | Viewed by 1718
Abstract
This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday [...] Read more.
This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday in nearly all years. It also reconciles and explains how some prior studies reached such an erroneous conclusion. Full article
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Open AccessArticle
Public Debt, Public Investment and Economic Growth in Mexico
Int. J. Financial Stud. 2016, 4(2), 6; https://doi.org/10.3390/ijfs4020006 - 30 Mar 2016
Cited by 2 | Viewed by 2756
Abstract
The primary objective of this article is to answer the following two research questions: has the growing public debt of state governments promoted increased public investment? If the answer is yes, then does any increase in public investment lead to more growth in [...] Read more.
The primary objective of this article is to answer the following two research questions: has the growing public debt of state governments promoted increased public investment? If the answer is yes, then does any increase in public investment lead to more growth in the Mexican states? Dynamic Models of panel data and the Generalized Method of Moments, with information for 32 states from 1993 to 2012, were used for this purpose. The econometric results confirmed that public debt is positively correlated with public investment and that this in turn generates economic growth. This does not mean that a good economic policy strategy has been followed, since the marginal positive impact of public investment, and therefore the public debt on the production per person, is reduced (1% increase in the interaction between public investment and public debt variable causes a 0.0005% increase in economic growth). This suggests deviations from the debt contracted for purposes other than production, which could lead to a situation of unsustainability of state public finances in the medium term. Full article
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