Professor Mohamed Sherif received his PhD from the University of Manchester, Manchester Business School, UK. He is the Director of Postgraduate Studies at Edinburgh Business School having previously been a professor of Finance and Investment at Cairo University and held a teaching post at the University of Edinburgh. Sherif was previously the Deputy Head of Accountancy, Economics and Finance, School of Social Sciences, and currently an elected member of Senate and dean’s representative at Heriot-Watt University. He has over twenty-six journal publications in leading Accounting, Finance and Business journals such as British Accounting Review, Critical Perspectives on Accounting, International Review of Financial Analysis, The Quarterly Review of Economics and Finance, Manchester School, International Journal of Innovation Management, Applied Economics, and International Journal of Finance
Purpose-The purpose of this paper is to examine the informational value of Shariah-compliant disc... more Purpose-The purpose of this paper is to examine the informational value of Shariah-compliant disclosure in the Malaysian initial public offerings (IPOs) prospectus and whether Shariah-compliant status has an impact on the IPO initial return when adopted as a signalling mechanism. Design/methodology/approach-It uses data from 320 IPOs for Shariah-compliant companies listed on the Bursa Malaysia between 2004 and 2013. Findings-It finds that the degree of IPO underpricing for Shariah-compliant companies is 19.97 per cent with investors earning significant returns on the first trading day. For the effect of different factors on the degree of IPO, we find that the size and type of IPO offers have a significant impact on the degree of IPO underpricing. Other economic confidence factor models fail to yield economically plausible parameter values. Originality/value-The study contributes to the literature in a number of ways. It is the first to evaluate the effect of Shariah-compliance status regulation in Malaysian market, hence it provides an insight into the effectiveness of such regulation. Second, while the existing Shariah-compliant IPO studies in the same market focus on Shariah status at the date of the studies being conducted, this study uses the information around IPO time. The information that investors receive around IPO time may influence investors' decision and valuation of the IPOs in the aftermarket. Specifically, this study is different from the previous research, as it investigates whether Shariah-compliant companies would change the average degree of IPO underpricing for companies listed on Bursa Malaysia.
This study examines the long-run performance of the initial public offerings (IPOs) listed in the... more This study examines the long-run performance of the initial public offerings (IPOs) listed in the Malaysian main and alternative ‘Access, Certainty and Efficiency’ (ACE) markets at the economic and sectorial levels. Using event- and calendar-time study methods and monthly data from January 2000 to December 2011, we provide novel evidence on the existence of under performance anomaly in the Malaysian markets and more intensely in the ACE markets. We demonstrate robust evidence on the distinction in sector-specific characteristics from the aggregate market characteristics. While the consumer products and industrial sectors dominate the overall underperformance, the construction, property and technology sectors significantly overperform. The findings are robust to a wide range of other sensitivity checks including parametric and non-parametric tests. JEL Classification: G14, G15, G30, G34, G32, G38.
International Journal of Accounting Auditing and Performance Evaluation , 2019
The paper explores entrepreneurial orientation (EO) in SMEs in the Middle Eastern state of Abu Dh... more The paper explores entrepreneurial orientation (EO) in SMEs in the Middle Eastern state of Abu Dhabi in the United Arab Emirates. We hypothesize that emerging market context and unique UAE business structures will impact the expression and effects of the five dimensions of EO. Using OLS and GMM techniques, our study shows that innovation, risk-taking, pro-activeness and competitive aggressiveness do not correlate positively with performance, but autonomy does. By studying EO in a unique region and amongst SMEs we contribute to the implementation and development of theory in alternative business contexts. We suggest the EO dimensions co-depend, with autonomy a capstone dimension in SMEs upon which the others rely. At a local level, we suggest policy might take steps to encourage autonomy by reducing ownership restrictions, and improve the institutional environment to facilitate risk-taking and, in turn, the other EO dimensions.
Analysis of the large rise in the numbers of self-employed in the UK reveals high levels of in-wo... more Analysis of the large rise in the numbers of self-employed in the UK reveals high levels of in-work poverty, especially among those coming off of social security benefits. Policies that are developed to alleviate social and economic risk regularly lead to behavioural responses to perceptions about the nature of such risk and to make individuals more accountable. Informed by accounting, finance and economic theories of risk, interviews with key informants who are experiencing self-employment and poverty, along with professionals from business and community development and poverty alleviation, are used to explore the support available to new entrepreneurs. Findings include that policy push from unemployment to self-employment shifts the social risks and responsibilities of employment from state and employers to those individuals with least capacity to bear them. Measures to mitigate resource disadvantage, including the New Enterprise Allowance Scheme, are found to be wanting and inadequate for the main client groups, and fail to reduce the social and economic risks faced in starting up a new business.
This paper examines the presence of momentum (sell past losers and buy past winners) and proposes... more This paper examines the presence of momentum (sell past losers and buy past winners) and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating the international stock markets and producing abnormal profits from momentum investing. We found that both accountability and level of corruption are significantly correlated with government effectiveness. Countries and institutional environments with better scores on the accountability and control of corruption indices maintain better levels of governance effectiveness. In addition, through an analysis of the international momentum strategies, the paper shows that the quality of governance as captured by accountability, government effectiveness, and control of corruption, significantly affect the international momentum profits. Overall, the findings explain the presence of momentum and add a fresh dimension to the literature that the quality of governance influences the stability of financial markets, which is of significant importance in understanding pricing effects and stock market anomalies. Our findings are robust, having been subjected to a range of robustness checks.
This paper examines the presence of momentum (sell past losers and buy past winners) and proposes... more This paper examines the presence of momentum (sell past losers and buy past winners) and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating the international stock markets and producing abnormal profits from momentum investing. We found that both accountability and level of corruption are significantly correlated with government effectiveness. Countries and institutional environments with better scores on the accountability and control of corruption indices maintain better levels of governance effectiveness. In addition, through an analysis of the international momentum strategies, the paper shows that the quality of governance as captured by accountability, government effectiveness, and control of corruption, significantly affect the international momentum profits. Overall, the findings explain the presence of momentum and add a fresh dimension to the literature that the quality of governance influences the stability of financial markets, which is of significant importance in understanding pricing effects and stock market anomalies. Our findings are robust, having been subjected to a range of robustness checks.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately. Abstract This study examines the relative importance of the Shariah-Compliant Dow Jones market indexes to capture the dynamic behavior of stock returns at economy and industry levels. The analysis indicates that ethical investment has only an insignificant influence on the performance of stock market returns for both the economy and industry levels. Further, alternative measures of investment performance including the Carhart and Habit Formation models have been used to examine the behavior of the Shariah-Compliant Dow Jones market indexes. The findings suggest a negative market timing ability with both Islamic and conventional indexes. While Islamic indexes are growth focused, conventional indexes are value focused. Further, when investigating the performance of Islamic and conventional Dow Jones indexes during the recent financial crisis, there is evidence supportive of Islamic indexes against conventional ones. For sector groupings, the results indicate that parameter estimates are not consistent, suggesting that Islamic indexes are sector oriented. These results are explained to be a consequence of less diversification in Islamic indexes, leading to higher risk in some sector groupings such as technology and consumption services.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
This study examines if the prospectus disclosure of the motives for an initial public offering (I... more This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers. It uses hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), taken from the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect both the IPO pricing and also the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks.
Using a two-way panel regression analysis with fixed and random effects and the generalized metho... more Using a two-way panel regression analysis with fixed and random effects and the generalized method of moment(GMM), we investigate the impact of both firm-specific and external factors on the risk taking of Egyptian insurance companies. We use hand-collected data of Egyptian insurance companies over the period from 2006 to 2011 to estimate the relationship between total and systematic risks as risk measures and the independent variables. Following Eling and Mark (2011) the extent of risk taking is quantified through variations in stock prices and these are explained by firm-specific and external factors. We find that differences in company size, interest rate level and economic development affect variations in stock prices. The analysis also highlights differences between the life and non-life insurers, with the non-life insurers exhibiting a higher level of risk (market and premium) and board independence. The pattern of results are qualitatively the same for non-life insurers but different for life insurers when we use GMM method.
We analyse the ability of the consumption-based capital asset pricing model (C-CAPM) using tradit... more We analyse the ability of the consumption-based capital asset pricing model (C-CAPM) using traditional power utility, the recursive preferences model proposed by Epstein and Zin and two habit formation specifications proposed by Abel and Campbell and Cochrane to explain asset returns at both the economy level and, novelly, four individual sector groupings. We also investigate whether the models are capable of explaining the variation in the Fama–French factors. We find evidence supportive of both the habit formation specifications and the traditional power utility C-CAPM. The Epstein–Zin specification is clearly rejected. The preferred specification is that of Campbell and Cochrane. Importantly, parameter estimates for the sector groupings are consistent with theory, suggesting risk aversion is the same in all sectors. However, the ability of the models to describe the behaviour of the Fama–French factors is mixed.
Purpose-The purpose of this paper is to examine the informational value of Shariah-compliant disc... more Purpose-The purpose of this paper is to examine the informational value of Shariah-compliant disclosure in the Malaysian initial public offerings (IPOs) prospectus and whether Shariah-compliant status has an impact on the IPO initial return when adopted as a signalling mechanism. Design/methodology/approach-It uses data from 320 IPOs for Shariah-compliant companies listed on the Bursa Malaysia between 2004 and 2013. Findings-It finds that the degree of IPO underpricing for Shariah-compliant companies is 19.97 per cent with investors earning significant returns on the first trading day. For the effect of different factors on the degree of IPO, we find that the size and type of IPO offers have a significant impact on the degree of IPO underpricing. Other economic confidence factor models fail to yield economically plausible parameter values. Originality/value-The study contributes to the literature in a number of ways. It is the first to evaluate the effect of Shariah-compliance status regulation in Malaysian market, hence it provides an insight into the effectiveness of such regulation. Second, while the existing Shariah-compliant IPO studies in the same market focus on Shariah status at the date of the studies being conducted, this study uses the information around IPO time. The information that investors receive around IPO time may influence investors' decision and valuation of the IPOs in the aftermarket. Specifically, this study is different from the previous research, as it investigates whether Shariah-compliant companies would change the average degree of IPO underpricing for companies listed on Bursa Malaysia.
This study examines the long-run performance of the initial public offerings (IPOs) listed in the... more This study examines the long-run performance of the initial public offerings (IPOs) listed in the Malaysian main and alternative ‘Access, Certainty and Efficiency’ (ACE) markets at the economic and sectorial levels. Using event- and calendar-time study methods and monthly data from January 2000 to December 2011, we provide novel evidence on the existence of under performance anomaly in the Malaysian markets and more intensely in the ACE markets. We demonstrate robust evidence on the distinction in sector-specific characteristics from the aggregate market characteristics. While the consumer products and industrial sectors dominate the overall underperformance, the construction, property and technology sectors significantly overperform. The findings are robust to a wide range of other sensitivity checks including parametric and non-parametric tests. JEL Classification: G14, G15, G30, G34, G32, G38.
International Journal of Accounting Auditing and Performance Evaluation , 2019
The paper explores entrepreneurial orientation (EO) in SMEs in the Middle Eastern state of Abu Dh... more The paper explores entrepreneurial orientation (EO) in SMEs in the Middle Eastern state of Abu Dhabi in the United Arab Emirates. We hypothesize that emerging market context and unique UAE business structures will impact the expression and effects of the five dimensions of EO. Using OLS and GMM techniques, our study shows that innovation, risk-taking, pro-activeness and competitive aggressiveness do not correlate positively with performance, but autonomy does. By studying EO in a unique region and amongst SMEs we contribute to the implementation and development of theory in alternative business contexts. We suggest the EO dimensions co-depend, with autonomy a capstone dimension in SMEs upon which the others rely. At a local level, we suggest policy might take steps to encourage autonomy by reducing ownership restrictions, and improve the institutional environment to facilitate risk-taking and, in turn, the other EO dimensions.
Analysis of the large rise in the numbers of self-employed in the UK reveals high levels of in-wo... more Analysis of the large rise in the numbers of self-employed in the UK reveals high levels of in-work poverty, especially among those coming off of social security benefits. Policies that are developed to alleviate social and economic risk regularly lead to behavioural responses to perceptions about the nature of such risk and to make individuals more accountable. Informed by accounting, finance and economic theories of risk, interviews with key informants who are experiencing self-employment and poverty, along with professionals from business and community development and poverty alleviation, are used to explore the support available to new entrepreneurs. Findings include that policy push from unemployment to self-employment shifts the social risks and responsibilities of employment from state and employers to those individuals with least capacity to bear them. Measures to mitigate resource disadvantage, including the New Enterprise Allowance Scheme, are found to be wanting and inadequate for the main client groups, and fail to reduce the social and economic risks faced in starting up a new business.
This paper examines the presence of momentum (sell past losers and buy past winners) and proposes... more This paper examines the presence of momentum (sell past losers and buy past winners) and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating the international stock markets and producing abnormal profits from momentum investing. We found that both accountability and level of corruption are significantly correlated with government effectiveness. Countries and institutional environments with better scores on the accountability and control of corruption indices maintain better levels of governance effectiveness. In addition, through an analysis of the international momentum strategies, the paper shows that the quality of governance as captured by accountability, government effectiveness, and control of corruption, significantly affect the international momentum profits. Overall, the findings explain the presence of momentum and add a fresh dimension to the literature that the quality of governance influences the stability of financial markets, which is of significant importance in understanding pricing effects and stock market anomalies. Our findings are robust, having been subjected to a range of robustness checks.
This paper examines the presence of momentum (sell past losers and buy past winners) and proposes... more This paper examines the presence of momentum (sell past losers and buy past winners) and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating the international stock markets and producing abnormal profits from momentum investing. We found that both accountability and level of corruption are significantly correlated with government effectiveness. Countries and institutional environments with better scores on the accountability and control of corruption indices maintain better levels of governance effectiveness. In addition, through an analysis of the international momentum strategies, the paper shows that the quality of governance as captured by accountability, government effectiveness, and control of corruption, significantly affect the international momentum profits. Overall, the findings explain the presence of momentum and add a fresh dimension to the literature that the quality of governance influences the stability of financial markets, which is of significant importance in understanding pricing effects and stock market anomalies. Our findings are robust, having been subjected to a range of robustness checks.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately. Abstract This study examines the relative importance of the Shariah-Compliant Dow Jones market indexes to capture the dynamic behavior of stock returns at economy and industry levels. The analysis indicates that ethical investment has only an insignificant influence on the performance of stock market returns for both the economy and industry levels. Further, alternative measures of investment performance including the Carhart and Habit Formation models have been used to examine the behavior of the Shariah-Compliant Dow Jones market indexes. The findings suggest a negative market timing ability with both Islamic and conventional indexes. While Islamic indexes are growth focused, conventional indexes are value focused. Further, when investigating the performance of Islamic and conventional Dow Jones indexes during the recent financial crisis, there is evidence supportive of Islamic indexes against conventional ones. For sector groupings, the results indicate that parameter estimates are not consistent, suggesting that Islamic indexes are sector oriented. These results are explained to be a consequence of less diversification in Islamic indexes, leading to higher risk in some sector groupings such as technology and consumption services.
The user has requested enhancement of the downloaded file. All in-text references underlined in b... more The user has requested enhancement of the downloaded file. All in-text references underlined in blue are added to the original document and are linked to publications on ResearchGate, letting you access and read them immediately.
This study examines if the prospectus disclosure of the motives for an initial public offering (I... more This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers. It uses hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), taken from the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect both the IPO pricing and also the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks.
Using a two-way panel regression analysis with fixed and random effects and the generalized metho... more Using a two-way panel regression analysis with fixed and random effects and the generalized method of moment(GMM), we investigate the impact of both firm-specific and external factors on the risk taking of Egyptian insurance companies. We use hand-collected data of Egyptian insurance companies over the period from 2006 to 2011 to estimate the relationship between total and systematic risks as risk measures and the independent variables. Following Eling and Mark (2011) the extent of risk taking is quantified through variations in stock prices and these are explained by firm-specific and external factors. We find that differences in company size, interest rate level and economic development affect variations in stock prices. The analysis also highlights differences between the life and non-life insurers, with the non-life insurers exhibiting a higher level of risk (market and premium) and board independence. The pattern of results are qualitatively the same for non-life insurers but different for life insurers when we use GMM method.
We analyse the ability of the consumption-based capital asset pricing model (C-CAPM) using tradit... more We analyse the ability of the consumption-based capital asset pricing model (C-CAPM) using traditional power utility, the recursive preferences model proposed by Epstein and Zin and two habit formation specifications proposed by Abel and Campbell and Cochrane to explain asset returns at both the economy level and, novelly, four individual sector groupings. We also investigate whether the models are capable of explaining the variation in the Fama–French factors. We find evidence supportive of both the habit formation specifications and the traditional power utility C-CAPM. The Epstein–Zin specification is clearly rejected. The preferred specification is that of Campbell and Cochrane. Importantly, parameter estimates for the sector groupings are consistent with theory, suggesting risk aversion is the same in all sectors. However, the ability of the models to describe the behaviour of the Fama–French factors is mixed.
This paper examines the rapid spread of Coronavirus (COVID-19) and its short-term impact on the S... more This paper examines the rapid spread of Coronavirus (COVID-19) and its short-term impact on the Shariah-compliant UK Dow Jones market index to capture the dynamic behavior of stock returns at economy and industry levels. Using daily data over the period January 20 to May 20 and ten UK industrial sector groupings, the findings suggest a strong and statistically significant relationship between the COVID-19 pandemic and the performance of the conventional stock market index. The findings also suggest that the disease interacts negatively but insignificantly with the Dow Jones faith-based ethical (Islamic) index compared to its UK counterpart. In addition, through an analysis of sector groupings, the paper shows that the stock returns of the information technology sector performed significantly better than the market, while stock returns of consumer discretionary sector, which includes transportation , beverages, tourism and leisure, consumer services performed significantly worse than the market during the COVID-19 outbreak. Other sector groupings fail to yield significantly plausible parameter values.
International Journal of Finance and Economics, 2020
This paper examines the relationship between sentiment-apt investors and UK stock returns at indu... more This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel evidence on how returns in the UK stock market react to the activities of sentiment-disposed investors. First, using threshold nonlinear regression, we document a significant relationship between the laggards to leaders sentiment proxy and sectoral returns. Our findings reveal that aggregate returns in the sector are affected by activities of investors who embark on profit-taking when there is an increase in the proportion of lagging to leading stocks beyond the threshold value. Secondly, when using the growth opportunity sentiment proxy, we report that the increase in growth above the growth threshold value has a significant impact on sector returns. This study further confirms significant impact of non-threshold variables on sector groupings. Our findings are robust, having been subjected to a range of robustness checks.
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Papers by Mohamed Sherif