JEFAS Vol. 26 Nº 52 (2021)
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12640/4140
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Item Metadata only CEO turnover in public and private organizations: analysis of the relevance of different performance horizons(Universidad ESAN. ESAN Ediciones, 2021-12-19) Lafuente, Esteban; García-Cestona, Miguel Á.Purpose. This paper investigates how past performance changes, prior CEO replacements and changes in the chairperson impact CEO turnover in public and large private businesses. Design/methodology/approach. We analyze 1,679 CEO replacements documented in a sample of 1,493 Spanish public and private firms during 1998–2004 by computing dynamic binary choice models that control for endogeneity in CEO turnovers. Findings. The results reveal that different performance horizons (short- and long-term) explain the dissimilar rate of CEO turnover between public and private firms. Private firms exercise monitoring patience and path dependency characterizes the evaluation of CEOs, while public companies' short-termism leads to higher CEO turnover rates as a reaction to poor short-term economic results, and alternative controls—ownership and changes in the chairperson—improve the monitoring of management. Originality/value. Our results show the importance of controlling for path dependency to examine more accurately top executives' performance. The findings confirm that exposure to market controls affects the functioning of internal controls in evaluating CEOs and shows a short-term performance horizon that could be behind the recent moves of public firms going private or restraining shareholders' power.Item Metadata only The use of the mobile phone in the rural zones of Peru(Universidad ESAN. ESAN Ediciones, 2021-12-19) Franciskovic, Jubitza Mariana; Miralles, FrancescPurpose. The main objective of the research is to examine whether the possession and the consumption of the service of a mobile telephone by the families of rural zones has improved their wellbeing in the last 10 years (2007–2016). Design/methodology/approach. A quantitative analysis of panel data is proposed in order to analyze the effect of the use of the mobile telephone in rural zones by region of Peru during the last 10 years and capture the unobservable heterogeneity during the said period. In this manner, it is hoped to investigate the effect of the increased use of said technology in Peru. Findings. The results obtained show that the increase in the acquisitions of mobile telephones in rural zones has had a positive impact on the wellbeing of households. Continuous business innovation driven by citizens’ needs and the greater accessibility of mobile telephones are the main reasons based on the Peruvian context under study. Originality/value. In Peru, there has been an explosive increase in users of mobile telephones in the last 10 years. The use of this technology may be arriving in rural households before other basic services, provoking individual and social changes and creating new employment and income opportunities. This would support the recent recognition of the mobile telephone as an essential tool for development, especially in underdeveloped countries.Item Metadata only The impact of customer performance on IMC outcomes: firm size moderation in the inter-country context(Universidad ESAN. ESAN Ediciones, 2021-12-19) Butkouskaya, Vera; Llonch-Andreu, Joan; Alarcón-del-Amo, María-del-CarmenPurpose. Taking the customer-centric nature of integrated marketing communications (IMC), this article investigates the specific role of customer performance in IMC effectiveness in various size companies applying inter-country context. Design/methodology/approach. The sample consists of the primary data from developed (Spain) and developing (Belarus) economies. A total of 540 manager respondents participated in the survey. The article uses structural equation modeling and multi-group analysis for analysis. Findings. When taking into consideration, customer performance affects the IMC outcome on the market and financial performance. The customer performance role varies in firms of various sizes and small- and medium -sized enterprises (SMEs) operating both in developed and developing economies. Research limitations/implications. The research underlines the significant role of customer performance in IMC implementation, which stimulates further investigation on the topic. It also closes the gap in the IMC outcomes analysis in SMEs operating in developed and developing economies. Practical implications. Customer evaluation plays a vital role in the IMC outcomes for market growth and financial returns. SMEs and larger companies implement IMC with different levels of effectiveness. SMEs with IMC implementation can gain an advantage over larger rivals and improve their market position. Moreover, the study generalizes the results by applying inter-country context. Originality/value. This is a pioneering study of the complex IMC outcomes model under firms' size moderate conditions. The research applies an inter-country context.Item Metadata only The impact of economic growth, trade openness and manufacturing on CO2 emissions in India: an autoregressive distributive lag (ARDL) bounds test approach(Universidad ESAN. ESAN Ediciones, 2021-12-19) Karedla, Yaswanth; Mishra, Rohit; Patel, NikunjPurpose. The purpose of this study is to examine the impact of economic growth, trade openness and manufacturing on CO2 emissions in India. Design/methodology/approach. The study employed autoregressive distributive lag (ARDL) bounds test approach and uses CO2 emissions, trade, manufacturing and GDP per capita to examine the relationship using an annual time series data from World Development Indicators during 1971 to 2016. Findings. Results depict that there exists a long-run relationship between CO2 emissions and other variables. Trade openness significantly reduces CO2 emissions, whereas manufacturing and GDP have a significant and positive impact on CO2 in the long run. Research limitations/implications. The findings of the study contribute to the body of knowledge by providing new evidence on the relationship between developmental metrics and the environment. These findings are critical for policymakers and regulatory bodies to focus on economic development without jeopardizing environmental degradation. Practical implications. In order to keep its commitment to sustainability, India needs to develop policies that encourage cleaner production methods and establishment of non-polluting industries. Simultaneously, it must disincentivize industries that emit CO2 by policy frameworks such as carbon taxes, pollution taxes or green taxes. Originality/value. None of studies examine at how these environmental factors interact in India. Kilavuz and Dogan (2020) used the same variables, but their scope was limited to Turkey. As a result, the study is the first to examine this relationship for India, contributing to the body of knowledge on economic growth, manufacturing, trade openness and environmental concerns.Item Metadata only Capital structure, stock exchanges in Chile: 2007 to 2016(Universidad ESAN. ESAN Ediciones, 2021-12-19) Rabelo Henrique, Marcelo; Braz Silva, Sandro; Saporito, AntonioPurpose. The article consists of analyzing the behavior of the determinants of the capital structure of Chilean companies between 2007 and 2016. The objective of this study was achieved through a typology of research based on bibliographic, documentary, exploratory and explanatory, considering annual financial reports from Economática in the chosen period. Design/methodology/approach. As this is a research study with a quantitative approach, the statistical tools used were descriptive analysis, Pearson correlation, variance inflation factor (VIF) and panel regression. Findings. The results show that Chilean companies (240) have higher and costly long-term debt. These companies have high averages in current liquidity, return to shareholders, growth in sales and assets and market-to-book (MTB). Long-term debt was highlighted with an explanatory power of 85%. Current liquidity was highlighted as being significant in most of the indebtedness proposed in the survey, failing to register brands like this in expensive short-term and long-term indebtedness. It is noticed that flip flops companies are more prone to the pecking order theory (POT). The gap occupied by this study is linked to research involving South American countries, especially the Chilean market, and the determinants of the capital structure. Originality/value. As future research, it is suggested to include other types of variables related to indebtedness and the same action for its determinants, in addition to the speed technique of adjusting corporate debts.Item Metadata only Factors driving IPO variability: evidence from Pakistan stock exchange(Universidad ESAN. ESAN Ediciones, 2021-12-19) Mehmood, Waqas; Mohd-Rashid, Rasidah; Zi Ong, Chui; Abdullah Abbas, YasirPurpose. The objectives of this study are twofold. First, it intends to investigate the symmetric link between initial public offering (IPO) variability and the determinants of the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment. Second, this study intends to examine the asymmetric link between IPO variability and the aforementioned determinants, namely the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment. Design/methodology/approach. Data from 1992 to 2018 were gathered from the country of Pakistan in order to achieve the above objectives. Augmented Dickey–Fuller (ADF) and Phillips Perron (PP) unit root tests were employed to determine the data's stationarity properties. The Auto Regressive Distributive Lags (ARDL) model was utilized to examine the symmetric links, and the Non-Linear Auto Regressive Distributive Lag Model (NARDL) was employed to determine the asymmetric links. While the long-run co-integration was examined using the ARDL bound test, the short-run dynamics were tested using the error correction method (ECM). Findings. The macroeconomic variables of the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment are found to pose significant short-run and long-run symmetric and asymmetric effects on IPO variability. These results indicate the significance of the aforementioned variables in enhancing IPO variability. The findings also demonstrate the typical reactions of inflation, GDP and FDI towards negative and positive shocks in IPO variability and inflation. This evidence implies that Pakistan's poor capital market development is reflected in the country's weak macroeconomic factors. At the same time, the reduced IPO variability in the country also reflects the lack of confidence among prospective issuers and investors due to Pakistan's weak macroeconomic indicators. Originality/value. This is the first study of its kind to properly investigate the symmetric and asymmetric effects of the macroeconomic variables on Pakistan's IPO variability.Item Metadata only Deviations from fundamental value and future closed-end country fund returns(Universidad ESAN. ESAN Ediciones, 2021-12-19) Berggrun, Luis; Cardona, Emilio; Lizarzaburu, EdmundoPurpose. This article examines whether deviations from fundamental value or closed-end country fund's discounts or premiums forecast future share price returns or net asset returns. Design/methodology/approach. The main empirical (econometric) tool is a vector autoregressive (VAR) model. The authors model share price returns and net asset returns as a function of their lagged values, the discounts or premiums, and a control variable for local market returns. The authors also conduct Dickey Fuller and Granger causality tests as well as impulse response functions. Findings. It was found that deviations from fundamental value do predict share price returns. This predictability is contrary to weak-form market efficiency. Premiums or discounts predict net asset returns but weakly. Originality/value. The findings point to the idea that the closed-end fund market is somewhat predictable and inefficient (in its weak form) since the market appears to be able to anticipate a fund's future returns using information contained in the premiums (or discounts). In particular, the market has the ability to anticipate future behaviour because growing premiums forecast declining share price returns for one or two periods ahead.Item Metadata only Quadrinomial trees with stochastic volatility to value real options(Universidad ESAN. ESAN Ediciones, 2021-12-19) Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; Manzur, DiegoPurpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination. Design/methodology/approach. This article uses the multiplicative quadrinomial tree numerical method with non-constant volatility, based on stochastic differential equations of the GARCH-diffusion type to value real options when the volatility is stochastic. Findings. Findings showed that in the proposed method with volatility tends to zero, the multiplicative binomial traditional method is a particular case, and results are comparable between these methodologies, as well as to the exact solution offered by the Black–Scholes model. Originality/value. The originality of this paper lies in try to model the implicit (conditional) market volatility to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic volatility of the underlying asset. The main contribution is the formal derivation of a risk-neutral valuation as well as the market risk premium associated with volatility, verifying this condition via numerical test on simulated and real data, showing that our proposal is consistent with Black and Scholes formula and multiplicative binomial trees method.Item Metadata only Artificial intelligence applied to investment in variable income through the MACD (moving average convergence/divergence) indicator(Universidad ESAN. ESAN Ediciones, 2021-12-19) Agudelo Aguirre, Alberto Antonio; Duque Méndez, Néstor Darío; Rojas Medina, Ricardo AlfredoPurpose. This study aims to determine whether, by means of the application of genetic algorithms (GA) through the traditional technical analysis (TA) using moving average convergence/divergence (MACD), is possible to achieve higher yields than those that would be obtained using technical analysis investment strategies following a traditional approach (TA) and the buy and hold (B&H) strategy. Design/methodology/approach. The study was carried out based on the daily price records of the NASDAQ financial asset during 2013–2017. TA approach was carried out under graphical analysis applying the standard MACD. GA approach took place by chromosome encoding, fitness evaluation and genetic operators. Traditional genetic operators (i.e. crossover and mutation) were adopted as based on the chromosome customization and fitness evaluation. The chromosome encoding stage used MACD to represent the genes of each chromosome to encode the parameters of MACD in a chromosome. For each chromosome, buy and sell indexes of the strategy were considered. Fitness evaluation served to defining the evaluation strategy of the chromosomes in the population according to the fitness function using the returns gained in each chromosome. Findings. The paper provides empirical-theoretical insights about the effectiveness of GA to overcome the investment strategies based on MACD and B&H by achieving 5 and 11% higher returns per year, respectively. GA-based approach was additionally capable of improving the return-to-risk ratio of the investment. Research limitations/implications. Limitations deal with the fact that the study was carried out on US markets conditions and data which hamper its application in some extend to markets with not as much development. Practical implications. The findings suggest that not only skilled but also amateur investors may opt for investment strategies based on GA aiming at refining profitable financial signals to their advantage. Originality/value. This paper looks at machine learning as an up-to-date tool with great potential for increasing effectiveness in profits when applied into TA investment approaches using MACD in well-developed stock markets.Item Metadata only The effect of macroeconomic variables on the robustness of the traditional Fama–French model. A study for Mexico using different portfolios(Universidad ESAN. ESAN Ediciones, 2021-12-19) Saucedo, Eduardo; González, JorgePurpose. Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust econometric model to better predict the performance of the Mexican Stock Market. Design/methodology/approach. The study divides the Mexican Stock Market into six different portfolios. The criteria to build those portfolios are the same one used in Fama–French (1992). The study comprises 78 stocks listed in the Mexican Stock Market that are analyzed monthly during 1997–2018. The study analyzes the period before and after the 2008–2009 financial crisis to identify whether there are important changes. The estimation applies the traditional and an extended version of the FFM that include macroeconomic variables such as country risk, economic activity, inflation rate, and exchange rate and some financial variables recommended in the literature. Findings. Results indicate that classic FFM variables are statistically significant in most cases, but relevant macroeconomic variables such as the interest rate, exchange rate and country risk stand out for being weakly relevant in most of the portfolios. However, it is noticed that some of these macroeconomic variables became relevant for different portfolios only after the 2008–2009 crisis, especially in portfolios which include small market capitalization firms. Research limitations/implications. The study includes the stocks listed in the Mexican Stock Market. One limitation is the small number of stocks available, which reduces the possibility of creating well diversified portfolios. This study includes 78 stocks. The stocks removed from the sample are from firms that were not listed during six consecutive months or whose market capitalization did not change in the same period. Outlier data were removed from the sample to capture in better way the general performance of the stock market. Practical implications. The objective of the extended version is to create a more robust econometric model than the traditional model. It is expected that such estimations can be helpful to investors to make better decisions when they try to predict performance in the stock market. Social implications. An extended version of the FFM can be helpful to investors to make better decisions when they try to predict performance in the stock market. Originality/value. To the best of our knowledge there are no more studies in the literature of the Mexican financial market that apply the same methodology.