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The Effect of Company Characteristics on Disclosure Quality of Khartoum Stock Exchange Listed Companies
Alnour Nadir Alnour Osman,
Itra Nader Elnour Osman
Issue:
Volume 9, Issue 2, April 2021
Pages:
46-61
Received:
12 February 2021
Accepted:
23 February 2021
Published:
17 March 2021
Abstract: This research aims to relate disclosure quality of published annual reports of listed companies in Khartoum Stock Exchange (KSE) to its hypothesized determinants. Such a relation, if exists, would be used to predict the level (size) and kind (quality) of accounting information disclosure. Annual reports of 42 listed companies in KSE out of 52 total listed companies for the year 2007 were used to assess the quality of disclosure. An unweighted disclosure index of 191 mandatory and voluntary information items was developed and utilized using all disclosure requirements by regulating bodies in Sudan, as well as relevant studies from nine developing countries. Actual degrees of disclosure quality of more than 80% of KSE listed companies were measured and analyzed. Correlation and Pearson Product Moment Correlation Coefficient Model tests were used to check the existence of association between the disclosure quality (the dependent variable) and seven independent variables (assets size, sales value, industry type, firm age, return on assets, liquidity ratio and debt ratio). Statistical analysis showed that disclosure quality was positively correlated to the firm size (measured in assets and sales values), and type of industry (measured in regulated versus non- regulated industry). On the other hand, the quality of disclosure was not significantly correlated to company age (measured in number of listing years), company profitability (measured in rate of return on assets) and company debt level (measured in liquidity and leverage ratios).
Abstract: This research aims to relate disclosure quality of published annual reports of listed companies in Khartoum Stock Exchange (KSE) to its hypothesized determinants. Such a relation, if exists, would be used to predict the level (size) and kind (quality) of accounting information disclosure. Annual reports of 42 listed companies in KSE out of 52 total...
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Forecasting Volatility in Taiwan with Encompassing Regression Models
Changwen Duan,
Ken Hung,
Shinhua Liu
Issue:
Volume 9, Issue 2, April 2021
Pages:
62-76
Received:
24 December 2020
Accepted:
8 January 2021
Published:
23 April 2021
Abstract: Volatility forecasting is important both theoretically and in practice, varying by forecasting methods and financial markets. In this article, we explore this topic in the Taiwanese markets, using the encompassing regression models. We use the volatility of the Taiwan Stock Index (TAIEX) and its futures in the encompassing regression model to respectively make asynchronous forecasts of realized volatility (RV) and implied volatility (IV). Besides trading frequency, we find that transaction matching time is a key factor for obtaining steady RV values. Also, we find that the TAIEX index RV has a long memory. Moreover, we discover that, to obtain a stationary RV with a stable, long memory parameter, the optimal sampling intervals for the intraday return were nine (9) and thirty (30) minutes. In addition, we uncover that the spot volatility is more predictive of RV than the futures volatility. In the forecasting of IV, the volatility of futures has more information content, which can help improve overall forecast performance, especially when employing the ARFIMA+Jump model in the non-bear market and the ARFIMA+Jump/Leverage model in the bear market. The empirical result implies that the underlying asset of the TAIEX options (TXO) is approximately the index futures rather than the spot index, owing mainly to the demands for hedging and arbitrage from the TXO holders.
Abstract: Volatility forecasting is important both theoretically and in practice, varying by forecasting methods and financial markets. In this article, we explore this topic in the Taiwanese markets, using the encompassing regression models. We use the volatility of the Taiwan Stock Index (TAIEX) and its futures in the encompassing regression model to respe...
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Private Firm Valuation in the Technology Sector: Illuminating the Interaction Between Multiple Performance and Peer Pool Setting
Issue:
Volume 9, Issue 2, April 2021
Pages:
77-96
Received:
1 October 2020
Accepted:
12 April 2021
Published:
8 May 2021
Abstract: Prior research, investigating the absolute performance of multiples as well as the relative superiority of different types of multiples, yields contradictory results that might be attributed to varying peer pool settings. This paper emphasizes on the technology sector and extends existing research, in its entirety being limited to trading multiples on listed companies, to transaction multiples on private firms. Employing a set of 22,967 observations on private market transactions of technology firms collected from 2000 until 2018, I examine the systematic impact of peer pooling on (i) the relative superiority of cross-sectoral multiples, (ii) the absolute superiority of sectoral multiples and, (iii) the absolute superiority of cross-sectoral multiples being segmented by various country-specific high-tech indicators. The multiples employed capture both, enterprise value and equity value multiples. The performance of the multiples in the various peer pool settings is evaluated according to bias as well as accuracy, utilizing the standard holdout routine on the transactions. The results indicate that (i) contradictory results in prior research on multiple’s bias may be strongly attributed to the varying peer pools employed, (ii) the enterprise value to total assets multiple clearly dominates across all peer pools on a cross-sectoral basis, indicating that contradictory results on multiple’s accuracy may not be attributed to the varying peer pools employed and, (iii) the performance of sectoral multiples depends on the value driver employed, showing only a weak relationship with the peer pool setting. Therefore, valuation analysts are recommended to utilize larger peer pools when employing cross-sectoral multiples, to emphasize on the enterprise value to total assets multiple, to further break down the high-tech sector into sub-sectors and, to employ sectoral multiples or multiples segmented according to country-specific high-tech indicators alternately.
Abstract: Prior research, investigating the absolute performance of multiples as well as the relative superiority of different types of multiples, yields contradictory results that might be attributed to varying peer pool settings. This paper emphasizes on the technology sector and extends existing research, in its entirety being limited to trading multiples...
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