This paper aimed to report evidence on the effects and corresponding remedial measures of cross-s... more This paper aimed to report evidence on the effects and corresponding remedial measures of cross-sectional correlation arose due to a period-based subsampling for the case of Malaysian corporate spin-offs’ shareholders wealth effect measurements. We examined shareholders' wealth effect of 90 listed companies’ corporate spin-off announcements from the year 1987 to 2019 in Bursa Malaysia, previously known as Kuala Lumpur Stock Exchange and evaluate the cascading intensity arised through different periods of financial market conditions as sub-sampling criteria. The market Model analysis showed that spin-offs in Malaysia generally resulted in statistically significant positive short term cumulative average abnormal returns. We found the sub-sampling led to a higher intensity of cascading data points. Spinoffs wealth effect measurements under normal market conditions sub-sample group reported different statistical significance results when we use robust statistical tests. Whereas the ...
Is corporate spin-offs less attended as a wealth-generating asset restructuring in the People’s R... more Is corporate spin-offs less attended as a wealth-generating asset restructuring in the People’s Republic of China (China)?. Was the wealth effect of China’s corporate spin-off occurring in the State Capital Economy? Although China’s Initial Public Offering (IPO) incidences and volumes are vigorous, China's corporate spin-offs started late and lack extensive applications. In July 2020 alone, a total of seventy-five companies completed IPO in mainland China and abroad despite the outbreak of the COVID19 pandemic. This paper aimed to provide evidence on the wealth effect of the combination of China corporate spin-off announcements, parent and subsidiary. We took twenty-four Chinese listed companies that have been successfully spin-off as a whole to explore the corporate spin-off wealth effect on their market value, and the empirical results of positive returns were convincing. Compared with the prior corporate spin-off researches in China, this paper is more comprehensive as we exa...
This paper aims to empirically compare the performance of the smooth transition exponential smoot... more This paper aims to empirically compare the performance of the smooth transition exponential smoothing (STES) method against the well-known generalized autoregressive conditional heteroskedasticity (GARCH) model in one-step-ahead volatility forecasting. While the GARCH model captured most of the stylized facts of the financial time series, threats of outliers in the leptokurtic distributed series remain unresolved. The study compared volatility forecasting performance of a total of 22 models and methods comprising STES, GARCH, and some ad-hoc forecasting. The daily returns of seven mutual fund indices (derived from 57 individual equity mutual funds) under two different economic conditions (sub-periods) were applied across all competing models. Findings revealed that the STES method with error and absolute error as transition variables emerged as the best post-sample volatility forecasting model in both sub-periods with and without financial crisis impact, as verified by model confide...
... Research Objective This study focuses on the performance of 31 unit trusts funds in Malaysia ... more ... Research Objective This study focuses on the performance of 31 unit trusts funds in Malaysia for the period 1990-95. ... Specifically, this paper attempts to investigate the following issues: 1. Correlation between mutual fund's selectivity and timing performance. ...
Admin Login. Sampling Size and Auditors' Judgments: A Simulation. Abdul Hamid, MohamadAl... more Admin Login. Sampling Size and Auditors' Judgments: A Simulation. Abdul Hamid, MohamadAli and Mohamad, Shamsher and Md. Nassir, Annuar (1996) Sampling Size and Auditors' Judgments: A Simulation. Pertanika Journal of Social Sciences & Humanities, 4 (2). pp. ...
This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensiti... more This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensitive to the length of the formation period. Using the basic framework of De Bondt and Thaler (1985), this study find that stock overreaction behaviour in this market is ...
ABSTRACT The purpose of this paper is to propose and validate the combined model for bankruptcy p... more ABSTRACT The purpose of this paper is to propose and validate the combined model for bankruptcy prediction for the Malaysian firms. This combined model is adopted from previous studies by combining Ohlson logit model, Springate-Canadian model and macroeconomic factors. The proposed combined model is developed by using the financial and macroeconomic constructs. The result indicates that logistic regression performs well and it is used to validate the model. Our results also show that, the capacity of the proposed model to predict correctly is 100% for both samples (distress and non-distress firms). Finally, the results of this study could also be applicable to business and investor's decision making contexts other than the bankruptcy prediction model.
This study restates the issue of international portfolio diversification benefits by considering ... more This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variance-covariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the economic implication of the smooth transition exponential smoothing (STES) method in portfolio risk management. Our results suggest that all portfolios perform better in the ex-post period compared to the ex-ante period. However, investors may not be able to obtain any benefits from diversifying their portfolio in developed stock markets in both ex-ante and ex-post periods. Further investigation on the economic implications of the STES method also show that the STES method does help to cushion losses generated from the international diversification portfolio. Hence, this suggests the use of the STES method in computing and monitoring the risk of an internationally diversified portfolio.
Abstract One of the primary inputs in portfolio selection process is expected risk. Accurate fore... more Abstract One of the primary inputs in portfolio selection process is expected risk. Accurate forecast of this input is thus crucial in obtaining minimum variance portfolio. A completely different portfolio may form due to an error in forecasted portfolio risk. This in turn will affect ...
This paper aimed to report evidence on the effects and corresponding remedial measures of cross-s... more This paper aimed to report evidence on the effects and corresponding remedial measures of cross-sectional correlation arose due to a period-based subsampling for the case of Malaysian corporate spin-offs’ shareholders wealth effect measurements. We examined shareholders' wealth effect of 90 listed companies’ corporate spin-off announcements from the year 1987 to 2019 in Bursa Malaysia, previously known as Kuala Lumpur Stock Exchange and evaluate the cascading intensity arised through different periods of financial market conditions as sub-sampling criteria. The market Model analysis showed that spin-offs in Malaysia generally resulted in statistically significant positive short term cumulative average abnormal returns. We found the sub-sampling led to a higher intensity of cascading data points. Spinoffs wealth effect measurements under normal market conditions sub-sample group reported different statistical significance results when we use robust statistical tests. Whereas the ...
Is corporate spin-offs less attended as a wealth-generating asset restructuring in the People’s R... more Is corporate spin-offs less attended as a wealth-generating asset restructuring in the People’s Republic of China (China)?. Was the wealth effect of China’s corporate spin-off occurring in the State Capital Economy? Although China’s Initial Public Offering (IPO) incidences and volumes are vigorous, China's corporate spin-offs started late and lack extensive applications. In July 2020 alone, a total of seventy-five companies completed IPO in mainland China and abroad despite the outbreak of the COVID19 pandemic. This paper aimed to provide evidence on the wealth effect of the combination of China corporate spin-off announcements, parent and subsidiary. We took twenty-four Chinese listed companies that have been successfully spin-off as a whole to explore the corporate spin-off wealth effect on their market value, and the empirical results of positive returns were convincing. Compared with the prior corporate spin-off researches in China, this paper is more comprehensive as we exa...
This paper aims to empirically compare the performance of the smooth transition exponential smoot... more This paper aims to empirically compare the performance of the smooth transition exponential smoothing (STES) method against the well-known generalized autoregressive conditional heteroskedasticity (GARCH) model in one-step-ahead volatility forecasting. While the GARCH model captured most of the stylized facts of the financial time series, threats of outliers in the leptokurtic distributed series remain unresolved. The study compared volatility forecasting performance of a total of 22 models and methods comprising STES, GARCH, and some ad-hoc forecasting. The daily returns of seven mutual fund indices (derived from 57 individual equity mutual funds) under two different economic conditions (sub-periods) were applied across all competing models. Findings revealed that the STES method with error and absolute error as transition variables emerged as the best post-sample volatility forecasting model in both sub-periods with and without financial crisis impact, as verified by model confide...
... Research Objective This study focuses on the performance of 31 unit trusts funds in Malaysia ... more ... Research Objective This study focuses on the performance of 31 unit trusts funds in Malaysia for the period 1990-95. ... Specifically, this paper attempts to investigate the following issues: 1. Correlation between mutual fund's selectivity and timing performance. ...
Admin Login. Sampling Size and Auditors' Judgments: A Simulation. Abdul Hamid, MohamadAl... more Admin Login. Sampling Size and Auditors' Judgments: A Simulation. Abdul Hamid, MohamadAli and Mohamad, Shamsher and Md. Nassir, Annuar (1996) Sampling Size and Auditors' Judgments: A Simulation. Pertanika Journal of Social Sciences & Humanities, 4 (2). pp. ...
This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensiti... more This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensitive to the length of the formation period. Using the basic framework of De Bondt and Thaler (1985), this study find that stock overreaction behaviour in this market is ...
ABSTRACT The purpose of this paper is to propose and validate the combined model for bankruptcy p... more ABSTRACT The purpose of this paper is to propose and validate the combined model for bankruptcy prediction for the Malaysian firms. This combined model is adopted from previous studies by combining Ohlson logit model, Springate-Canadian model and macroeconomic factors. The proposed combined model is developed by using the financial and macroeconomic constructs. The result indicates that logistic regression performs well and it is used to validate the model. Our results also show that, the capacity of the proposed model to predict correctly is 100% for both samples (distress and non-distress firms). Finally, the results of this study could also be applicable to business and investor's decision making contexts other than the bankruptcy prediction model.
This study restates the issue of international portfolio diversification benefits by considering ... more This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variance-covariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the economic implication of the smooth transition exponential smoothing (STES) method in portfolio risk management. Our results suggest that all portfolios perform better in the ex-post period compared to the ex-ante period. However, investors may not be able to obtain any benefits from diversifying their portfolio in developed stock markets in both ex-ante and ex-post periods. Further investigation on the economic implications of the STES method also show that the STES method does help to cushion losses generated from the international diversification portfolio. Hence, this suggests the use of the STES method in computing and monitoring the risk of an internationally diversified portfolio.
Abstract One of the primary inputs in portfolio selection process is expected risk. Accurate fore... more Abstract One of the primary inputs in portfolio selection process is expected risk. Accurate forecast of this input is thus crucial in obtaining minimum variance portfolio. A completely different portfolio may form due to an error in forecasted portfolio risk. This in turn will affect ...
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