Search Results (45)

The main objective of this study is to analyse the relevance of financial performance as an accurate predictor of ESG scores for French companies from 2010 to 2022. To this end, Machine Learning techniques such as linear regression, polynomial regression, Random Forest, and Support Vector Regression (SVR) were employed to provide more accurate and reliable assessments, thus informing the ESG rating attribution process. The results obtained highlight the excellent performance of the Random Forest method in predicting ESG scores from company financial variables. In addition, the approach identified specific financial variables (operating income, market capitalisation, enterprise value, etc.) that act as powerful predictors of companies’ ESG scores. This modelling approach offers a robust tool for predicting companies’ ESG scores from financial data, which can be valuable for investors and decision-makers wishing to assess and understand the impact of financial variables on corporate sustainability. Also, this allows sustainability investors to diversify their portfolios by including companies that are not currently rated by ESG rating agencies, that do not produce sustainability reports, as well as newly listed companies. It also gives companies the opportunity to identify areas where improvements are needed to enhance their ESG performance. Finally, it facilitates access to ESG ratings for interested external stakeholders. Our study focuses on using advances in artificial intelligence, exploring machine learning techniques to develop a reliable predictive model of ESG scores, which is proving to be an original and promising area of research. Full article

Portfolio management, a critical application of financial market analysis, involves optimising asset allocation to maximise returns while minimising risk. This paper addresses the notable research gap in analysing historical financial data for portfolio optimisation purposes. Particularly, this research examines different approaches for handling missing values and volatility, while examining their effects on optimal portfolios. For this portfolio optimisation task, this study employs a metaheuristic approach through the Swarm Intelligence algorithm, particularly Particle Swarm Optimisation and its variants. Additionally, it aims to enhance portfolio diversity for risk minimisation by dynamically clustering and selecting appropriate assets using the proposed strategies. This entire investigation focuses on improving risk-adjusted return metrics, like Sharpe, Adjusted Sharpe, and Sortino ratios, for single-asset-class portfolios over two distinct classes of assets, cryptocurrencies and stocks. Considering relatively high market activity during pre, during and post-pandemic conditions, experiments utilise historical data spanning from 2015 to 2023. The results indicate that Sharpe ratios of portfolios across both asset classes are maximised by employing linear interpolation for missing value imputation and exponential moving average smoothing with a lower smoothing factor ($\alpha$). Furthermore, incorporating assets from different clusters significantly improves risk-adjusted returns of portfolios compared to when portfolios are restricted to high market capitalisation assets. Full article

The dynamic impact of financial market capitalisation on South Africa’s unemployment and economic growth is empirically explored in this study using the finance-augmented Solow model framework. South Africa’s high rate of structural unemployment and its robust financial market, which is at the same standard as those in countries with advanced economies, served as the driving force for the study. Evidence for the dynamic link is presented by a time series analysis that employed the VECM model. South Africa continues to face persistent macroeconomic issues, including stagnant economic growth, declining investment, and rising unemployment. Market capitalisation, net acquisition of financial assets, and foreign direct investment all have a favourable and substantial effect on economic growth. According to VECM estimation results, unemployment has a detrimental effect on economic growth. Also, market capitalisation has significant positive effects on economic growth. Unemployment and economic growth are inversely related, thus unemployment has an adverse effect on economic growth. According to the findings, financial markets have distinct effects on economic growth because of their various functions within the economy. It was also shown that foreign direct investment has a crucial role in increasing economic growth. This implies the important role that the financial market and systems have in South Africa’s economic growth. The article advises authorities to keep enacting measures to boost capital market growth to increase employment, while also making sure that other structural issues affecting the labour market are effectively addressed to stimulate job creation. Full article

This study explored the key considerations of commercial property investors acting under conditions of economic uncertainty across the following three dimensions: market fundamentals, institutional, and behavioural factors. Over the past few decades, a series of exogenous shocks to the global economy has impacted property performance, investment volumes, and investor perceptions. Acknowledging that uncertainty further complicates investment decision-making, a mixed-methods research approach was adopted to examine the perspectives of 5 experts and 412 property investors. The findings revealed that, while most investors express negative responses to uncertainty and adopt more cautious attitudes, others are more aggressive and attempt to capitalise on emerging opportunities. Market fundamentals are not the only key consideration; access to information and investors’ behaviour all impact how decisions are made under these conditions. In particular, wealthy and more experienced investors make more comprehensive decisions, considering all three dimensions, while aggressive investors may disregard data in favour of intuition. Behavioural biases such as the bandwagon effect and fear of missing out (FOMO) all influence decisions and are sometimes exacerbated by media narratives. Practically, these considerations underscore the complexity of decision-making under conditions of uncertainty and how different investors attempt to navigate market volatility. Full article

The growing presence of women at the top of companies has sparked interest in examining their role in the remuneration gap between senior managers and employees. This article analyses the traditional Chief Executive Officer (CEO)-to-employee pay ratio but includes a new relation, the senior-management-to-employee pay ratio, and extends the research by including six positions for women in company management: on the board of directors, executive directors, CEOs, proprietary directors, independent directors, and senior managers. The study is based on a sample of 77 listed companies in Spain from 2015 to 2022 and the panel data models have been estimated using the Generalised Method of Moments (GMM). The main findings indicate that the proportion of women in different categories of board and senior management positions has a positive effect on the CEO-to-employee pay ratio, especially in companies with higher market capitalisation. In contrast, the proportion of women in senior management positions has a negative effect on the CEO-to-employee pay ratio in all the samples analysed. Government agencies should prioritise the participation of women in non-board senior management positions in order to at least reduce the pay gap between senior managers and employees. Full article

In recent years, the field of “ESG finance” has seen rapid growth, resulting in the emergence and expansion of ESG ratings and rating agencies. This study investigates how financial investors react to updates in ESG ratings provided by two prominent ESG rating agencies, namely MSCI and Refinitiv. The main objective is to determine whether any positive or negative changes in a company’s sustainability ratings directly impact its market value. The Event Study methodology was used for this investigation, which analyses the Cumulated Average Abnormal Returns (CAARs) of economic events to assess their influence on corporate valuations. We analysed over 840 rating updates (events) using a sample of 75 companies across various industries, all listed on major stock exchanges. Our findings indicate that shifts in sustainability ratings, as evaluated by the two rating agencies, do not significantly impact companies’ market capitalisation. Furthermore, these outcomes remain consistent over time, suggesting that financial markets are not assigning increasing significance to ESG ratings. We offer potential explanations for these findings, which are discussed in light of the existing literature on the subject. Full article

Financing frameworks for Public–Private Partnerships (PPPs) are lacking in developing countries. This study aims to develop a financing framework for adoption for water and sanitation PPP infrastructure projects in Zimbabwe. Using data covering a 25-year period from 1996 to 2021, Tobit econometric models are applied to the secondary data collected from both international and domestic sources. The results of this study confirm that capital market variables, bank market development, and economic affluence drive the financing of water and sanitation Public–Private Partnership infrastructure projects in Zimbabwe. It was also established that both public and private sources of finance are instrumental in financing water and sanitation PPP projects. The results inform our eventual framework model, which integrates the Public–Private Partnership (PPP) models, sources of finance for water and sanitation PPPs, and the drivers of water and sanitation PPP finance. This study recommends the application of the developed framework in the water and sanitation Public–Private Partnership infrastructure financing policy of developing countries so as to capitalise on the strengths, resources, and networks of the respective stakeholders in the PPPs. Full article

Education, especially development education (DE), and a number of socially focused disciplines, including corporate social responsibility (CSR) and social marketing (SM), have long been targeted by policy makers for deriving advice on the ‘wisdom’ of levelling up differences and addressing sources of disadvantages at individual, group and/or regional levels. Additionally, the combined wisdom of such disciplines can also be a great source of advice to effectively address perennial universal problems. This paper is conceptual in nature with a multidisciplinary outlook. It contrasts DE, CSR and SM, with the view to deriving common grounds as well as strengths and areas for further development that can produce more comprehensive explanations and solutions to social problems. Such inclusive, more comprehensive explanations would help advise social-cause-focused workers, including researchers, learners and policy makers, about how each discipline can contribute to the resolution of multifaceted problems, the so-called ‘wicked problems’, that each discipline may not be fully equipped to address. The method of analysis used is an adjusted version of critical discourse analysis. It is used to explore the disciplines at four levels, namely definitional, philosophical, methodological and performance levels, thus giving a comprehensive view of each discipline’s nature, philosophical outlook, methodology and perceived efficacy in achieving its aims. The derived arguments also benefitted from comments provided by seven experienced representatives from the three disciplines. Overall, the outcomes suggest a relative maturity of critical ability in DE but also more effective and efficient methodological and evaluative perspectives in CSR and SM. Although the outcome of the analysis is open for debate, it nevertheless suggests several opportunities for mutual learning at all four levels. The paper suggests a novel integrated ‘supra-level’ framework that may help workers, in these three areas of knowledge, gain valuable insights from each of the three disciplines and highlight valuable opportunities for capitalising on their respective strengths. Full article

This article aims to assess the usefulness of excess market value added to equity as an external measure of company value creation from the perspective of meeting shareholder expectations. This measure compares the expected value as an increase in stock exchange capitalisation in relation to return on equity, equivalent to its cost, decreased by this capital, in relation to the actually achieved level of capitalisation. This paper investigates relations with other external and internal measures. This research is based on measuring value creation in WIG30 Warsaw Stock Exchange companies in 2017–2023. The assessment of the research results was based on mathematical statistics tools, the density measure and the taxonomic measure of similarity. The study tested four hypotheses. The results of this research showed that the excess measure does not distort market information and can be used to assess the effectiveness of shareholder value creation, taking into account shareholder expectations. Secondly, the paper pointed to an unsatisfactory level of value creation in WSE WIG30 companies. The negative assessment of value creation management refers both to effectiveness and efficiency. Thirdly, shareholders continue to use classical financial measures despite the existence of a wide spectrum of value measures. Fourthly, the paper points to the lack of theoretical equality between the market value added (an external measure) and capitalised economic value added (an internal measure). The presented research contributes to unbiased assessments of whether or not shareholder value is simultaneously created and realised in increased share prices (capitalisation) to a higher degree than shareholder expectations. Up to now, no such research studies have been conducted for Polish and foreign capital markets. The research methodology has practical applications in expectations-based management. Full article

This paper examines the stochastic behaviour of the realized betas in the CAPM model for the ten largest companies in terms of market capitalisation included in the U.S. Dow Jones stock market index. Fractional integration methods are applied to estimate their degree of persistence at daily, weekly, and monthly frequencies over the period July 2000–July 2020 over time spans of 1, 3, and 5 years. On the whole, the results indicate that the realized betas are highly persistent and do not exhibit weak mean-reverting behaviour at the weekly and daily frequencies, whilst there is some evidence of weak mean reversion at the monthly frequency. Our findings confirm the sensitivity of beta calculations to the choice of frequency and time span (the number of observations). Full article

The aim of this paper is to analyse Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75% of total market capitalisation and compare their evolution with that of a wide variety of traditional assets: commodities with spot and future contracts, treasury bonds, stock indices, and growth and value stocks. Fractal geometry will be applied to carry out a careful statistical analysis of the performance of Bitcoin returns. As a main conclusion, we have detected a high degree of persistence in its prices, which decreases the efficiency but increases its predictability. Moreover, we observe that the underlying technology influences price dynamics, with fully decentralised cryptocurrencies being the only ones to exhibit self-similarity features at any time scale. Full article

Open-market repurchase is a popular corporate payout method that public limited company (PLCs) use, and once they have made this decision an announcement is made. However, the announcement does not necessarily mean that the firm will implement the payout, or if it is initiated that they will buy back the entire announced volume of shares. Thus, using a sample of firms listed on the London Stock Exchange that announced an open-market repurchase between 1993 and 2014, we test the determinants of repurchase implementation using probit regressions, and if their influence also extends to the payout’s completion using Tobit regressions. The results are not identical in nature, but largely indicate a consistency between the influence patterns. Positive influences are exhibited by firm leverage, the balance sheet’s asset base, independent directors and the repurchase’s tax efficiency over dividends. Additionally, the volume of shares announced for repurchasing has a positive influence on the payout’s implementation, but not its completion, while market capitalisation has a positive influence on the payout’s completion, but not its implementation. The findings are most useful for financial practitioners to optimise their portfolio following a repurchase announcement. Full article

The firm’s valuation (FV) is the key element for all stakeholders, particularly the investors, for their investment decisions. The main impetus of this research is to estimate the effects of the debt ratio (DR, i.e., leverage) on the FV (i.e., assets and market capitalisation) of the non-financial firms listed in India. The quantile panel data regression (QPDR) on the secondary data of 76 non-financial BSE-100 listed firms in India is employed. This study also checks the effect of the net profit margin (NPM) as profitability on the association between DR and FV. The QPDR estimates result in multiple quantiles and provide evidence in scenarios. The findings reveal a positive relationship of DR to assets only in higher quantiles, i.e., 90%ile), and a negative association of DR is found with a market capitalisation in all quantiles. Under the interaction effect, profitability (NPM) does not affect the association of DR with assets but negatively affects the association of debt ratio with market capitalisation in the middle (50%) quantile. The findings indicate that leverage (DR) affects a firm’s value. The study’s outcomes are helpful to all stakeholders, particularly investors, to realise the leverage (DR) as a critical indicator of FV before making any investment decisions. Managers should also consider lower debt ratios for better firm value. The present analysis is original and holds novelty in the form of the moderating role of the net profit margin, i.e., the profitability of the firm between DR and FV in the non-financial firm in India. To the best of our knowledge, no such studies have been performed to look for the association of the debt ratio with a firm’s value under the effect of profitability in different quantiles using quantile regression. Full article

Australia has clear aspirations to become a major global exporter of hydrogen as a replacement for fossil fuels and as part of the drive to reduce CO₂ emissions, as set out in the National Hydrogen Strategy released in 2019 jointly by the federal and state governments. In 2021, the Australian Energy Market Operator specified a grid forecast scenario for the first time entitled “hydrogen superpower”. Not only does Australia hope to capitalise on the emerging demand for zero-carbon hydrogen in places like Japan and South Korea by establishing a new export industry, but it also needs to mitigate the built-in carbon risk of its export revenue from coal and LNG as major customers, such as Japan and South Korea, move to decarbonise their energy systems. This places hydrogen at the nexus of energy, climate change mitigation and economic growth, with implications for energy security. Much of the published literature on this topic concentrates on the details of what being a major hydrogen exporter will look like and what steps will need to be taken to achieve it. However, there appears to be a gap in the study of the implications for Australia’s domestic energy system in terms of energy security and export economic vulnerability. The objective of this paper is to develop a conceptual framework for the implications of becoming a major hydrogen exporter on Australia’s energy system. Various green hydrogen export scenarios for Australia were compared, and the most recent and comprehensive was selected as the basis for further examination for domestic energy system impacts. In this scenario, 248.5 GW of new renewable electricity generation capacity was estimated to be required by 2050 to produce the additional 867 TWh required for an electrolyser output of 2088 PJ of green hydrogen for export, which will comprise 55.9% of Australia’s total electricity demand at that time. The characteristics of comparative export-oriented resources and their interactions with the domestic economy and energy system are then examined through the lens of the resource curse hypothesis, and the LNG and aluminium industries. These existing resource export frameworks are reviewed for applicability of specific factors to export-oriented green hydrogen production, with applicable factors then compiled into a novel conceptual framework for exporter domestic implications from large-scale exports of green hydrogen. The green hydrogen export superpower (2050) scenario is then quantitatively assessed using the established indicators for energy exporter vulnerability and domestic energy security, comparing it to Australia’s 2019 energy exports profile. This assessment finds that in almost all factors, exporter vulnerability is reduced, and domestic energy security is enhanced by the transition from fossil fuel exports to green hydrogen, with the exception of an increase in exposure of the domestic energy system to international market forces. Full article

The purpose of the Bank for International Settlements regulatory agenda, as implemented by financial regulators globally, has been to make banks safer and reduce the likelihood of systemic events. Using an original model of bank profit maximisation under a regulatory constraint, we statistically examine how market risk exposure has interacted with financial performance and capital structure, to see if the Basel regulatory agenda concerning the quantity, quality and liquidity of capital, has prompted changes in banking behaviour as measured by exposure to market risk. Breaking new ground, we empirically explore how the regulatory agenda has affected the largest banks. We analyse if the regulatory agenda has succeeded in aligning the cost of capital with their exposure to market risk, measured by Value at Risk; or if regulations have induced changes to banking activities. We find rather than regulation inducing changes to the rate at which unchanged risk exposure is capitalised; it leads to changes in the nature of exposures. Risk has declined along with financial performance while the cost of capital is largely unchanged. A consequence of regulation may be to encourage the migration of riskier activities to organisations where it may be borne more cheaply. Full article