On the robustness of the Fama-French three-factor and the Carhart four-factor models on the Amman Stock Exchange
Mohammad Q.M. Momani
Afro-Asian J. of Finance and Accounting, Vol. 11, No. 1 (2021) pp. 64 - 80
This study aims to explore the robustness of the applicability of the Fama-French and the Carhart asset pricing models on the Amman Stock Exchange (ASE) equity market. It uses data on all companies listed and traded in the ASE, over the period of 2002 to 2018. The study uses the time-series regression approach of Black et al. (1972). To estimate the models, the study applies the ordinary least squares (OLS) method. The study found that the models fail to capture the cross-section of average returns to portfolios sorted on size/book-to-market as well as size/momentum. The ability of the Carhart model in describing the returns to size/book-to-market portfolios is similar to that of the Fama-French model; however, the model better describes the returns to size/momentum portfolios. Unlike Al-Mwalla's (2012) conclusion, this study suggests using the Carhart model in practical applications that require the estimation of the ASE equity market returns.
Author: Md. Mahmudul Haque
Certification role of transparency and anchor investors in Indian IPOs
Certification role of transparency and anchor investors in Indian IPOs
Sweta Agarwal
Afro-Asian J. of Finance and Accounting, Vol. 11, No. 1 (2021) pp. 35 - 63
The study examines the effect of bidding information of anchor and other institutional investors, on retail investors' subscription and short-term IPO performance in the Indian market. The study also tries to find out specific anchor investors' characteristics which influence investor decisions. The results show that anchor investors play a certification role for institutional investors only. Both institutional and retail investors follow bids of each other during the book-building period. High institutional and retail subscriptions have a positive effect on initial returns. In anchor-backed IPOs, unique business group participation and anchor over-subscription have a high positive impact on both subscription and IPO initial returns.
Infrastructure-FDI nexus in Nigeria: insights from nonlinear threshold regression model
Infrastructure-FDI nexus in Nigeria: insights from nonlinear threshold regression model
Md. Mahmudul Haque; Mohammad Ashraful Ferdous Chowdhury; Mohammad Hassan Shakil; Mansur Masih
Afro-Asian J. of Finance and Accounting, Vol. 11, No. 1 (2021) pp. 20 - 34
Infrastructural development of the host country is one of the major determinants of attracting FDI. However, the nonlinear threshold relationship between the infrastructural development and FDI inflow is yet to be explored. The objective of this research is to find the threshold effect of infrastructure on FDI in Nigeria. Using Hansen's (2000) threshold regression over the period 1972-2015, the study found that the relationship between infrastructure development and FDI is nonlinear. Furthermore, the relationship between infrastructure and FDI is positive in both regimes; however, the marginal positive impact of infrastructural development in attracting FDI is more evident after the threshold level. The findings provide support to the regulators and policy makers to improve infrastructural development for attracting more FDI in the economy which can foster economic growth.