Walayet A. Khan

The Effect of US Stock Market Uncertainty on Emerging Market Returns

ABSTRACT We investigate the effects of US stock market uncertainty (VIX) on the stock returns in Latin America and aggregate emerging markets before, during, and after the financial crisis. We find that increases in VIX lead to significant immediate and delayed declines in emerging market returns in all periods. However, changes in VIX explained a greater percentage of changes in emerging market returns during the financial crisis than in other periods. The higher US stock market uncertainty exerts a much stronger depressing effect on emerging market returns than their own-lagged and regional returns. Our risk transmission model suggests that a heightened US stock market uncertainty lowers emerging market returns by both reducing the mean returns and raising the variance of returns. The VIX fears raise the volatility of emerging market returns through generalized autoregressive conditional heteroskedasticity (GARCH)-type volatility transmission processes.

The post-dual listing anomaly

Abstract Prior research on the market behavior around listing on a national exchange shows that stock prices rise before listing but decline significantly afterward. There is no fully satisfactory explanation for the pattern of negative abnormal stock returns seen after listing. Such market behavior, called the post-listing anomaly, is puzzling if capital markets are semistrong form efficient. The purpose of the current study is to investigate whether the post-listing anomaly also exists after dual listing. The study examines the return behavior of 87 stocks listed on the American or New Yotk Stock Exchanges that dually listed on the Pacific Stock Exchange between 1984 and 1990. Using standard event study methodology, the evidence shows significantly negative abnormal returns after dual listing, which supports the post-dual listing anomaly. Splitting the sample by several volume-based liquidity measures shows that the post-dual listing market behavior differs for stocks with low versus high liquidity. Stocks with low liquidity before dual listing show significantly greater negative returns than their high liquidity counterparts.

Comparative performance of Islamic and conventional banks in Europe

We employ data envelopment analysis (DEA) to examine the relative efficiency of Islamic and conventional banks in the UK and Switzerland during 2008-2009, accounting ratio analysis to measure the financial performance of the European Islamic Investment Bank (EIIB) during 2005-2008, and a matched-pairs t-test to determine the differences in the EIIB performance in the pre-versus post financial crisis periods, respectively. Results suggest that the Islamic banks in Europe experience lower cost efficiency, higher allocative inefficiency and poor, but relatively better, technical efficiency compared to conventional banks. The inefficiency of the banks is mostly due to their sub-optimal size of operations. Findings further show that the EIIB exhibits a clear paradox between its high operating efficiency and low profitability. EIIB gradually became illiquid but still remains solvent. A comparison of the banks performance in the periods before and after the crisis does not show statistically significant differences.

Gender and Executive Compensation in S&P Listed Firms

We examine if gender gap exists in total executive compensation for SP the forms of executive compensation for men versus women are different; and in the case of new technology firms the differences in total compensation are not statistically significant. Although women have been considered more risk averse than men, but shareholders continue to pay women with a similar percentage of risk compensation components, like stock options and restricted stocks, than men. It seems that the shareholders are ignoring to take this factor into account when developing compensation packages for women and men. Finally we also find that the factors that explain women and men total compensation are not the same for S&P1500 listed firms.

Are Share Price Reactions To Rights Offerings Sensitive To Different Economic Conditions

This study examines short‐term stock price reactions to announcements of equity rights offerings in Singapore between 1983 and 2003 and investigates whether economic factors lead to different price reactions. The results show that the cumulative abnormal returns (CARs) associated with rights issues differ significantly across economic conditions at the time of issuance. Rights issues typically result in significantly large positive CARs during periods of economic growth but small positive but insignificant CARs during economic downturns. The CARs vary positively with Tobin’s q‐ratios, which indicate the availability of positive net present value investment opportunities of the firms issuing the rights. Our major finding is that the price reaction of Singapore firms to equity rights offerings is sensitive to economic conditions at the time of the rights issues.

Executive Compensation: New vs. Old Economy and the Impact of NASDAQ Crash and Sarbanes Oxley Act

This is a new study which examines whether the determinants and the forms of compensation in new versus old economy US firms are the same over time and if the structure of compensation for executives in both groups changes after the NASDAQ crash and the enactment of the Sarbanes-Oxley act.The results reveal that the new economy executives receive, on average, much more than the executives from the old economy, primarily due to stock options, but in the last few years the difference in compensation between the executives of both groups is decreasing.We find that the NASDAQ crash and the Sarbanes-Oxley act had a significant impact upon the structure of the components of executive compensation in both new and old economy firms. Firms in both groups have reduced the use of stock options and have instead increased the use of bonuses and restricted stocks.We also find that the factors that explain executive compensation in new and old economy firms are generally different, and in the case of the variables that are the same, like firm size component, the intensity of the factors is different.