Articles
Publication Date: 2024
International Journal of Disclosure and Governance (17413591)
The influence of information asymmetry (IA) on the cost of equity capital (COEC) is a critical aspect of managing corporate capital markets. This study delves into the correlation between IA and COEC through an analysis of 24 pairs of proxies. We investigate how six corporate finance signals impact the positive correlation and the consequences of disregarding each signal in establishing this positive link. The results reveal that different corporate finance signals, including dividends, debt ratio, capital expenditure, institutional ownership, ownership concentration, seasoned equity offerings (SEO), and capitalization of retained earnings (CRE), have unique effects on the relationship between the 24 pairs of IA-COEC proxies. © The Author(s), under exclusive licence to Springer Nature Limited 2024.
Publication Date: 2024
International Journal of Emerging Markets (17468809)
Purpose: The empirical studies of the options market efficiency have reported contradictory results, which sometimes confuse practitioners and academicians. The aim of this study was to clarify several aspects of options market efficiency by exploring the answers to two main questions: Under what conditions is the options market more efficient? Are the discrepancies in the estimated efficiency due to the reality of efficiency or mismeasurement? Design/methodology/approach: Using a meta-analysis approach, 54 studies have been analyzed, which included 1,315 tests. The sum of the observations for all of the tests is 3.7 m observation sets. The effect size (type r) has been used to compare the different statistics in different studies. The cumulative effect size and its diversification have been calculated by the random effects model and Q statistic, respectively. Findings: The most interesting finding of the study was that the options market, in all circumstances, is significantly inefficient. Another important finding was that the heterogeneity of options market efficiency is due to the complexity of pricing relations, test time, violation index and price type. To overcome this heterogeneity and accuracy, future studies should test the no-arbitrage options pricing relations at different times and by different price types, using complex and simple pricing relations and either mean violation or violation ratio efficiency measures. Originality/value: Public disagreement about the options market efficiency in past studies means that this variable is heterogeneous in different conditions. As a significant contribution, this study develops the literature by proposing the causes of options market efficiency heterogeneity. © 2024, Emerald Publishing Limited.
Publication Date: 2023
Results in Nonlinear Analysis (26367556)6(1)pp. 155-165
The formation of market interactions is directly affected by the decision-making of market players. This paper seeks to assess the presence of behavioral finance on the Iranian financial market as a factor influ-encing market participants’ decisions. The current study evaluates the existence of behavioral finance on the Iranian capital market by focusing on the phenomena of “price clustering” in the total index of the Tehran Stock Exchange. It proposes a new criterion for identifying behavioral bias in the financial market. One of the reasons for the lack of uniformity in the distribution of data in the total index of Tehran securities is the propensity of individuals to make individual decisions based on the index of total securities of Tehran. People use the total index as a criterion for making decisions, and when the total index reaches round numbers, their purchasing and selling behavior changes. The results of the study validate the phenomena of price clustering in round numbers in Tehran’s total stock index. In actuality, the lack of uniform distribution in the total index numbers of Tehran stock is an appropriate indicator of the existence of behavioral finance on the Tehran Stock Exchange. The main differentiating aspect of this study is the introduction of the overall index as a new measure compared to individual symbols for demonstrating behavioral bias in the financial market, which has been employed in previous studies. © 2023, Erdal Karapinar. All rights reserved.
Publication Date: 2020
Afro-Asian Journal of Finance and Accounting (17516455)10(2)pp. 262-277
Liquidity estimation has always been of conspicuous importance to all investors as well as risk and return. The purpose of this study is to examine the impact of trading characteristics (price, trading volume, variability, return volatility, absolute stock return, and Beedles thin trading measure) on liquidity measures (Amihud illiquidity ratio, return reversal measure, stock turnover, zero return, turnover-volatility ratio and proportional bid-ask spread) in Tehran Stock Exchange. We extend previous studies by combining different liquidity measures using TOPSIS technique and by employing a multidimensional variable, namely TOPSIS output. Results reveal both of the liquidity measures are strongly related to trading characteristics including stock turnover and zero return. Also, stock price, trading volume, and Beedles thin trading measures are the most significant factors in estimating liquidity. Different effects of different liquidity measures indicate that liquidity is a multidimensional and complex concept, and each measure reflects only one aspect of liquidity. The results of examining the influence of trading characteristics on the combined (multidimensional) liquidity measure indicate that trading characteristics are the main determinants of liquidity. Copyright © 2020 Inderscience Enterprises Ltd.
