Do earnings quality models affect different excess cash holdings models?
Mohammed M. Yassin; Saja A. Al-Kasasbeh
Afro-Asian J. of Finance and Accounting, Vol. 13, No. 2 (2023) pp. 174 - 191
With the increasing cost of external financing in Jordan, excess cash holdings are a dominant feature of industrial companies listed on the Amman Stock Exchange (ASE). This study provides empirical evidence of an information asymmetry problem by examining the impact of earnings quality on excess cash holdings. The results aim to help investors and creditors to evaluate the transparency of and confidence in financial reporting to enhance decision making and minimise the risk of default. The study employed three different models for earnings quality and two different models for excess cash holdings. Through examination of panel data, the study found that firms with poor earnings quality tend to accumulate excess cash holdings in order to isolate themselves from an information asymmetry problem.
Tag: ASE
Extreme value volatility estimators and realised volatility of stock prices in Amman Stock Exchange
Extreme value volatility estimators and realised volatility of stock prices in Amman Stock Exchange
Dima Waleed Hanna Alrabadi; Duha Ali Al-Barakat
Afro-Asian J. of Finance and Accounting, Vol. 13, No. 2 (2023) pp. 210 - 224
The aim of this study is to compare between extreme value volatility estimators and other realised volatility estimators in Amman Stock Exchange (ASE) over the period (2012-2016). The dataset consists of daily opening, highest, lowest and closing stock prices for a sample of 100 companies listed in ASE, including 1,236 trading days. The methodology of the study is based on relative efficiency proxies between extreme value volatility estimators. The results of the study show that extreme value volatility estimators are more efficient than other realised volatility estimators. In addition, the Garman-Klass estimator is the most efficient volatility estimator among Parkinson and Rogers-Satchell volatility estimators.
Rational speculative bubbles in the stock market – the case of Amman Stock Exchange
Rational speculative bubbles in the stock market - the case of Amman Stock Exchange
Usama Adnan Fendi; Bassam Mohammad Maali; Muhannad Ahamd Atmeh
Afro-Asian J. of Finance and Accounting, Vol. 13, No. 1 (2023) pp. 68 - 84
This paper aims at inspecting the existence of rational speculative bubbles in the Amman Stock Exchange market (ASE) along two sample periods, the first from 2004 to 2009, and the second from 2010 to 2018. The paper uses three different quantitative approaches to analyse the returns for ASE index over the selected sample periods. The first approach is the descriptive statistics, the second one is the explosiveness test approach, and the third one is the duration dependence test approach. The paper found evidence for the existence of a rational speculative bubble in ASE returns for the first sample period inspected and based on the three different approaches. This paper represents a contribution toward establishing an effective early warning system for predicting and mitigating financial crises. The paper represents a good contribution to improve the investment environment in Jordan.
Herding behaviours and trading volume: evidence from Amman Stock Exchange
Herding behaviours and trading volume: evidence from Amman Stock Exchange
Buthiena Kharabsheh; Mohammad Al-Gharaibeh; Suleiman Almasri
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 3 (2022) pp. 345 - 365
The purpose of this paper is to examine the presence of herding behaviour in Amman Stock Exchange (ASE). Specifically, it aims to provide empirical evidence on the relationship between herding behaviour, trading volume and market liquidity levels. Using a free float share index consisting of 100 companies, the present study employs the approach developed by Chang et al. (2000). It presents an analysis of herding in relation to trading volume and liquidity relationships performed by OLS, VAR estimation and Granger causality tests. Results of daily data analysis for the period 2006 to 2017 indicate strong evidence of herding behaviour in ASE, particularly during the crisis period. The results also proved that there is a strong correlation between herding and trading volume in both directions, and intensification of herding in periods of medium or high market liquidity, but no evidence of herding at low liquidity levels.
On the robustness of the Fama-French three-factor and the Carhart four-factor models on the Amman Stock Exchange
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.