Monthly Archives: October 2017

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Find annual | monthly cumulative (product) of returns

Category:Blog Tags : 

The problem


Let’s say that we have daily stock returns. We want to convert those returns to cumulative returns for a weekly, monthly or yearly frequency.

Where cumulative returns = (1+Ri1) * (1+Ri2) * (1+R3) * … (1+R4) – 1

 

Solution

First create the weekly, monthly or year identifier, and then use asrol program.

Let us use this data set [Click here to download], also shown below and find returns for different frequencies.

 +----------------------+
 | id    date    returns|
 |----------------------|
 | 1 30jun1993 .7437958 |
 | 1 02jul1993 .0674011 |
 | 1 06jul1993 .2668857 |
 | 1 14jul1993 .0454151 |
 | 1 19jul1993 .1340756 |
 |----------------------|
 | 1 29jul1993 .8053644 |
 | 1 13aug1993 .5861199 |
 | 1 24sep1993 .3200437 |
 | 1 19oct1993 .0098762 |
 | 1 19oct1993 .005197  |
 +----------------------+

 

Find weekly cumulative returns

Let us first install asrol from ssc

ssc install asrol

Now create weekly date

gen week = wofd(date)

Now find the returns using asrol

bys id week :  asrol returns, stat(product) add(1)

Note : add(1) adds 1 with each returns before multiplication and then subtracts 1 at the end.

Find monthly cumulative returns

gen month = mofd(date)
bys id month:  asrol returns, stat(product) add(1)

Find yearly cumulative returns

 gen year= year(date)
bys id year:  asrol returns, stat(product) add(1)

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Research Topics in Islamic Banking and Finance

Category:Uncategorized

 


 How Islamic financial instruments can be used in international trade?

 A mechanism for inter-bank transactions for Islamic and conventional banks

Can Sharia board play a role in the development of Islamic instruments?

4 Tawarruq as a tool of inter-bank borrowing

5  Risk management framework for Islamic banks: do we need something special?

6  Have the challenges faced by Islamic banks changed over the last decade?

7  The dynamics of financial crisis: Conventional vs Islamic finance

8  Can Zakat be used as a microfinancing tools?

9  Value at Risk of Sukuk and conventional bonds

10  Risk analysis of Murabaha financing and leasing

11  What customers say about Islamic banking? Values vs religious perspectives

12  Can ownership structure affect earning management?

13 Collaborative Islamic Banking Service: The Case of Ijarah

14 Success factors of collaboration in Islamic banks

15 Constraints in the application of partnerships in Islamic banks

16  Can Islamic finance reduce nonperforming loans?

17  Which firms use Islamic financing?

18  Can SME’s benefit more from Islamic financing?

19  Islamic banking development and access to credit

20  Islamic finance and economic growth


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Research Topics in Finance: Earning Management

Category:Uncategorized Tags : 

 


 The relationship between earning management and market liquidity

 Are top management pays and earning management practices related?

 Can financial crisis affect earning management practices?

 The effect of the earning transparency on cost of capital 

4  The impact of leverage on accrual-based earnings management

5  Can institutional investors exploit the accrual anomaly?

6  Accrual-based and real earnings management: Are investors protected?

7  Cost of capital and earnings transparency

8  The effect of accounting comparability on the accrual-based and real earnings management

9  Earnings management and accrual anomaly across market states and business cycles

10  Short-term debt maturity, monitoring and accruals-based earnings management

11  The effect of mandatory IFRS adoption on real and accrual-based earnings management activities

12  Can ownership structure affect earning management?

13  Regulatory Risk and the Cost of Capital

14  Accrual-based and real earnings management activities around seasoned equity offerings

15  Time-varying risk, mispricing attributes, and the accrual premium

16  Accruals, cash flows, and operating profitability in the cross section of stock returns

17  Does family involvement explain why corporate social responsibility affects earnings management?

18  How excess control and earning management practices are related?

19  Managerial entrenchment and earnings management

20  Product market competition and earnings management


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Research Topics in Finance | Financing / Capital Structure Choices

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In this blog post, I would like to present a list of research topics related to financing or capital structure decisions.


 Top managers experiences and firms’ capital structure choices

 Do macroeconomic factors affect the choice of debt /equity financing? How are small firms affected?

 Supply of capital and debt-equity choices

 Persistence in capital structure decisions?

4  Can earning timing affect capital structure decisions?

5   Can stock return shocks affect capital structure decisions?

6   Effects of Capital Structure on Cost of Capital

7  judicial efficiency and capital structure: is there a relation?

8   Cultural and religious effects on capital structure choices

9  Credit market imperfections and capital structure changes

10  How corporate governance affect capital structure decisions

11  How financial crisis plays a role in altering capital structures

12  Country tax system and capital structure choices

13  Information asymmetries and capital structure decisions around the world

14  Product market competition and capital structure decisions

15  Capital structure adjustments: Do macroeconomic and business risks matter?

16  The capital structure and investment decisions of the small owner-managed firm

17  Competing theories of capital structure: pecking order theory vs trade-off theory

18  Can hedging increase the debt capacity of a firm?

19  Can credit ratings determine firm’s capital structure

20  Diversification and capital structure