PurposeThe purpose if this paper is to examine the turn-of-the-month effect in the equity market of three major emerging countries – Brazil, India and China – from January 2000 to December 2017.Design/methodology/approachOrdinary least square regression analysis is used to examine the presence of the turn-of-the-month effect and to test the efficiency of the emerging stock markets. The characteristics of the returns during the turn-of-the-month days are compared with that of the non-turn-of-the-month trading days.FindingsThe average returns during turn-of-the-month days for all the considered emerging market indices are significantly higher than the non-turn-of-the-month days for the full sample. For the subsample analysis, the average returns for Brazil and India for pre-GFC period are higher on the turn-of-the-month days than on the non-turn-of-the-month days. However, the effect disappears in China during the GFC period. During the crisis period, the results show that the turn-of-the-month effect disappears in Brazil and India, whereas for China, the effect is significant. For the post-GFC period, the-turn-of-the-month effect reappears for all the countries.Practical implicationsThe results have important implications for both traders and investors. The authors’ results indicate that the market participants can time the stock markets of these countries by taking long positions especially during the times when the turn-of-the-month effect is highly significant.Originality/valueTo the best of the authors’ knowledge, this paper is the first to study the turn-of-the-month effect, in the key emerging countries such as Brazil, China and India. Second, the authors divide the sample into three subperiods based on the 2008 GFC such as pre-GFC, GFC and post-GFC to understand the dynamic behavior of turn-of-the-month effect over time. Most importantly, the authors control for the day-of-the-week effect while examining the turn-of-the-month effect.
The International Initiative for Impact Evaluation (3ie) promotes evidence-informed, equitable, inclusive and sustainable development. We support the generation and effective use of highquality evidence to inform decision-making and improve the lives of people living in poverty in low-and middle-income countries. We provide guidance and support to produce, synthesise and quality assure evidence of what works, for whom, how, why and at what cost.3ie impact evaluations 3ie-supported impact evaluations assess the difference a development intervention has made to social and economic outcomes. 3ie is committed to funding rigorous evaluations that include a theory-based design and that use the most appropriate mix of methods to capture outcomes and are useful in complex development contexts. About this report3ie accepted the final version of the report, Impacts of electronic case management systems on court congestion in the Philippines, as partial fulfilment of requirements under grant PWP.03.SC.IE awarded through Country Policy Window -Philippines. The content has been copy-edited and formatted for publication by 3ie.The 3ie technical quality assurance team for this report comprises Stuti Tripathi, Rosaine Yegbemey, Tara Kaul, Kirthi V Rao, Sayak Khatua, an anonymous external impact evaluation design expert reviewer and an anonymous external sector expert reviewer, with overall technical supervision by Marie Gaarder and Emmanuel Jimenez. The statistical analysis code used in generating the results in this study is available on 3ie's Harvard Dataverse. We are unable to make the datasets publicly available due to confidentiality requirements agreed between the Supreme Court of the Philippines, 3ie and the Innovations for Poverty Action (IPA). However, 3ie has reviewed and quality assured replication for datasets used in this evaluation. The 3ie editorial production team for this report comprises
In this paper, we investigate the impact of promoters and institutional investors' equity ownership on the firm performance in the Indian context. Using a sample of 1583 firms during 2010–2019, our results suggest a positive relation between promoter ownership and firm performance, supporting the alignment effect, where the interests of promoters and managers align in the same direction. On the one hand, our results support the global advantage hypothesis in that the foreign institutional investors (FIIs) positively impact the firm performance, implying that the FIIs are vigilant shareholders, and actively monitor the firm performance. On the other hand, we reject the hometown advantage hypothesis since the domestic institutional investors (DIIs) like banks and other financial institutions are found to have negative relation with firm performance. Overall, we conclude that shareholding pattern does affect the firm performance. Our results are insensitive to various robustness tests.
Purpose This paper aims to examine the relation between promoter ownership (PO) and corporate social responsibility (CSR) expenditure in India, the first country to legally mandate the CSR spending. Design/methodology/approach This paper applies panel regression to examine the impact of PO on actual and excess CSR expenditure because panel regression has lesser multicollinearity problems and has the benefit of controlling for individual or time heterogeneity mostly present in cross-section or time series data. The results are robust to testing the CSR expenditure decision (to engage or not to engage in CSR) by using the binary choice logit model. Findings Based on the agency theory, this study shows a nonlinear relation between PO and CSR expenditure, which suggests that promoters start extracting private benefits of control at the expense of outside shareholders and engage in lesser CSR expenditure only when their ownership crosses a threshold level of 52% approximately. This study further shows that the nonlinear relation between PO and CSR expenditure is more pronounced for firms that are more prone to agency problems, for business group firms than standalone firms and for firms not following the Companies Act 2013 CSR mandate. Practical implications The findings shed light at the idea of how promoters’ incentive alignment should be proposed and followed to encourage a firm’s social investment activities. Originality/value First, this study argues that the relation between PO and CSR expenditure is nonlinear in nature, by showing that the impact of PO on CSR expenditure is adverse only at higher level of PO. Second, this study’s richer data set on CSR expenditure not only allows the authors to analyze the relation for actual CSR spending by the firms but also helps to examine the excess spending made over and above the mandatory spending, as directed by the Companies Act, 2013.
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