Momentum and seasonality in Chinese stock markets

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past winners become losers and past losers become winners afterward. The contrarian profit is statistically significant for the strategies using short formation and holding periods, especially for the formation periods of 1 to 3 months and the holding periods of 1 to 3 months. The contrarian strategies can generate about 12% per annum on average. Moreover, we follow Heston and Sadka (2008, Journal of Financial Economics) to investigate where there is any seasonal pattern in the cross-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the results are robust to different formation and holding periods.

Influence of historical landscapes, drainage evolution and ecological traits on patterns of genetic diversity in Southeast Asian freshwater snakehead fishes

Snakehead fishes in the family Channidae are obligate freshwater fishes represented by two extant genera, the African Parachannna and the Asian Channa. These species prefer still or slow flowing water bodies, where they are top predators that exercise high levels of parental care, have the ability to breathe air, can tolerate poor water quality, and interestingly, can aestivate or traverse terrestrial habitat in response to seasonal changes in freshwater habitat availability. These attributes suggest that snakehead fishes may possess high dispersal potential, irrespective of the terrestrial barriers that would otherwise constrain the distribution of most freshwater fishes. A number of biogeographical hypotheses have been developed to account for the modern distributions of snakehead fishes across two continents, including ancient vicariance during Gondwanan break-up, or recent colonisation tracking the formation of suitable climatic conditions. Taxonomic uncertainty also surrounds some members of the Channa genus, as geographical distributions for some taxa across southern and Southeast (SE) Asia are very large, and in one case is highly disjunct. The current study adopted a molecular genetics approach to gain an understanding of the evolution of this group of fishes, and in particular how the phylogeography of two Asian species may have been influenced by contemporary versus historical levels of dispersal and vicariance. First, a molecular phylogeny was constructed based on multiple DNA loci and calibrated with fossil evidence to provide a dated chronology of divergence events among extant species, and also within species with widespread geographical distributions. The data provide strong evidence that trans-continental distribution of the Channidae arose as a result of dispersal out of Asia and into Africa in the mid–Eocene. Among Asian Channa, deep divergence among lineages indicates that the Oligocene-Miocene boundary was a time of significant species radiation, potentially associated with historical changes in climate and drainage geomorphology. Mid-Miocene divergence among lineages suggests that a taxonomic revision is warranted for two taxa. Deep intra-specific divergence (~8Mya) was also detected between C. striata lineages that occur sympatrically in the Mekong River Basin. The study then examined the phylogeography and population structure of two major taxa, Channa striata (the chevron snakehead) and the C. micropeltes (the giant snakehead), across SE Asia. Species specific microsatellite loci were developed and used in addition to a mitochondrial DNA marker (Cyt b) to screen neutral genetic variation within and among wild populations. C. striata individuals were sampled across SE Asia (n=988), with the major focus being the Mekong Basin, which is the largest drainage basin in the region. The distributions of two divergent lineages were identified and admixture analysis showed that where they co-occur they are interbreeding, indicating that after long periods of evolution in isolation, divergence has not resulted in reproductive isolation. One lineage is predominantly confined to upland areas of northern Lao PDR to the north of the Khorat Plateau, while the other, which is more closely related to individuals from southern India, has a widespread distribution across mainland SE Asian and Sumatra. The phylogeographical pattern recovered is associated with past river networks, and high diversity and divergence among all populations sampled reveal that contemporary dispersal is very low for this taxon, even where populations occur in contiguous freshwater habitats. C. micropeltes (n=280) were also sampled from across the Mekong River Basin, focusing on the lower basin where it constitutes an important wild fishery resource. In comparison with C. striata, allelic diversity and genetic divergence among populations were extremely low, suggesting very recent colonisation of the greater Mekong region. Populations were significantly structured into at least three discrete populations in the lower Mekong. Results of this study have implications for establishing effective conservation plans for managing both species, that represent economically important wild fishery resources for the region. For C. micropeltes, it is likely that a single fisheries stock in the Tonle Sap Great Lake is being exploited by multiple fisheries operations, and future management initiatives for this species in this region will need to account for this. For C. striata, conservation of natural levels of genetic variation will require management initiatives designed to promote population persistence at very localised spatial scales, as the high level of population structuring uncovered for this species indicates that significant unique diversity is present at this fine spatial scale.

Corporate governance mechanisms and earnings management in transitional countries – evidence from Chinese listed firms

The objective of this thesis is to investigate whether the corporate governance practices adopted by Chinese listed firms are associated with the quality of earnings information. Based on a review of agency and institutional theory, this study develops hypotheses that predict the monitoring effectiveness of the board and the audit committee. Using a combination of univariate and multivariate analyses, the association between corporate governance mechanisms and earnings management are tested from 2004 to 2008. Through analysing the empirical results, a number of findings are summarised as below. First, board independence is weakened by the introduction of government officials as independent directors on the boards. Government officials acting as independent directors, claim that they meet the definition of independent director set by the regulation. However, they have some connection with the State, which is the controlling shareholder in listed SOEs affiliated companies. Consequently, the effect of the independent director’s expertise in constraining earnings management is mitigated as demonstrated by an insignificant association between board expertise and earnings management. An alternative explanation for the inefficiency of board independence may point to the pre-selection of independent directors by the powerful CEO. It is argued that a CEO can manipulate the board composition and choose the "desirable" independent directors to monitor themselves. Second, a number of internal mechanisms, such as board size, board activities, and the separation of the roles of the CEO and chair are found to be significantly associated with discretionary accruals. This result suggests that there are advantages in having a large and active board in the Chinese setting. This can offset the disadvantages associated with large boards, such as increased bureaucracy, and hence, increase the constraining effects of a large and resourceful board. Third, factor analysis identifies two factors: CEO power and board power. CEO power is the factor which consists of CEO duality and turnover, and board power is composed of board size and board activity. The results of CEO power show that if a Chinese listed company has CEO duality and turnover at the same time, it is more likely to have a high level of earnings management. The significant and negative relationship between board power and accruals indicate that large boards with frequent meetings can be associated with low level of earnings management. Overall, the factor analysis suggests that certain governance mechanisms complement each other to become more efficient monitors of opportunistic earnings management. A combination of board characteristics can increase the negative association with earnings management. Fourth, the insignificant results between audit committees and earnings management in Chinese listed firms suggests that the Chinese regulator should strengthen the audit committee functions. This thesis calls for listed firms to disclose more information on audit committee composition and activities, which can facilitate future research on the Chinese audit committee’s monitoring role. Fifth, the interactive results between State ownership and board characteristics show that dominant State ownership has a moderating effect on board monitoring power as the State totally controls 42% of the issued shares. The high percentage of State ownership makes it difficult for the non-controlling institutional shareholders to challenge the State’s dominant status. As a result, the association between non-controlling institutional ownership and earnings management is insignificant in most situations. Lastly, firms audited by the international Big4 have lower abnormal accruals than firms audited by domestic Chinese audit firms. In addition, the inverse U-shape relationship between audit tenure and earnings quality demonstrates the changing effects of audit quality after a certain period of appointment. Furthermore, this thesis finds that listing in Hong Kong Stock Exchanges can be an alternative governance mechanism to discipline Chinese firms to follow strict Hong Kong listing requirements. Management of Hong Kong listed companies are exposed to the scrutiny of international investors and Hong Kong regulators. This in turn reduces their chances of conducting self-interested earnings manipulation. This study is designed to fill the gap in governance literature in China that is related to earnings management. Previous research on corporate governance mechanisms and earnings management in China is not conclusive. The current research builds on previous literature and provides some meaningful implications for practitioners, regulators, academic, and international investors who have investment interests in a transitional country. The findings of this study contribute to corporate governance and earnings management literature in the context of the transitional economy of China. The use of alternative measures for earnings management yields similar results compared with the accruals models and produces additional findings.

Taking stock of temporary organizational forms : a systematic review and research agenda

This paper brings together the research on temporary organizational forms. Despite a recent surge in publications on this topic, there have been few attempts to integrate knowledge on what we know of such temporary forms of organization. In order to correct this, an integrative framework is proposed around four central themes: time, team, task and context. Within each of these themes, the paper offers an overview of the literature, the gaps in what we know, and what future directions might be taken by scholars hoping to contribute to this important and rapidly growing field.

Territorial strategies and regions

The notion of territorial strategy emerged in the 1990s and has become more and more popular since. It refers to that combination of factors purposely assembled by governments, private and public companies, universities, and industrial associations to exploit a specific geographic competitive advantage in order to boost economic growth through the development of entrepreneurial activity and innovation. Three factors are generally considered to be the building blocks of a territorial strategy: natural resources, human capital, and industrial capabilities. Natural resources derive from environ­ mental conditions and represent raw materials or land available in a region. The presence of natural resources characterizes the typology of an industry (related to tourism, oil, wood, fish, and so forth) that exists or could exist in a certain area. Human capital refers to the stock of competences available in a certain region resulting from education and work experience. Industrial capabilities relate to complex constructs of specialized expertise, the confidence to apply knowledge and skills in various contexts and under changing conditions, and an ability repeatedly to improve methods and processes in a specific industry.

Management characteristics and the decision to internationalize : exploration of exporters vs. non-exporters within the Chilean wine industry

The objective of this study was to identify key factors differentiating between exporters and non-exporters in the Chilean wine industry. Based on survey data collected from 61 wineries, the findings show that the main barriers for non-exporters are the lack of financial resources, limited quantities of stock for market expansion, management’s lack of knowledge and experience, and the high cost of travelling and participating in trade shows. The results also show that managers have educational levels and international experience exceeding those of other comparable New World wineries. Finally, in developing their main international markets, Chilean wineries did not target psychically close markets as identified in previous wine industry studies

The benefits of tree-based models for stock selection

The identification of the primary drivers of stock returns has been of great interest to both financial practitioners and academics alike for many decades. Influenced by classical financial theories such as the CAPM (Sharp, 1964; Lintner, 1965) and APT (Ross, 1976), a linear relationship is conventionally assumed between company characteristics as derived from their financial accounts and forward returns. Whilst this assumption may be a fair approximation to the underlying structural relationship, it is often adopted for the purpose of convenience. It is actually quite rare that the assumptions of distributional normality and a linear relationship are explicitly assessed in advance even though this information would help to inform the appropriate choice of modelling technique. Non-linear models have nevertheless been applied successfully to the task of stock selection in the past (Sorensen et al, 2000). However, their take-up by the investment community has been limited despite the fact that researchers in other fields have found them to be a useful way to express knowledge and aid decision-making...

A hybrid approach to combining CART and logistic regression for stock ranking

The benefits of applying tree-based methods to the purpose of modelling financial assets as opposed to linear factor analysis are increasingly being understood by market practitioners. Tree-based models such as CART (classification and regression trees) are particularly well suited to analysing stock market data which is noisy and often contains non-linear relationships and high-order interactions. CART was originally developed in the 1980s by medical researchers disheartened by the stringent assumptions applied by traditional regression analysis (Brieman et al. [1984]). In the intervening years, CART has been successfully applied to many areas of finance such as the classification of financial distress of firms (see Frydman, Altman and Kao [1985]), asset allocation (see Sorensen, Mezrich and Miller [1996]), equity style timing (see Kao and Shumaker [1999]) and stock selection (see Sorensen, Miller and Ooi [2000])...

Specifying information systems for business process integration : a management perspective

Supply chain management and customer relationship management are concepts for optimizing the provision of goods to customers. Information sharing and information estimation are key tools used to implement these two concepts. The reduction of delivery times and stock levels can be seen as the main managerial objectives of an integrative supply chain and customer relationship management. To achieve this objective, business processes need to be integrated along the entire supply chain including the end consumer. Information systems form the backbone of any business process integration. The relevant information system architectures are generally well-understood, but the conceptual specification of information systems for business process integration from a management perspective, remains an open methodological problem. To address this problem, we will show how customer relationship management and supply chain management information can be integrated at the conceptual level in order to provide supply chain managers with relevant information. We will further outline how the conceptual management perspective of business process integration can be supported by deriving specifications for enabling information system from business objectives.

Does board gender diversity have a financial impact? Evidence using stock portfolio performance.

There is growing regulatory pressure on firms worldwide to address the under-representation of women in senior positions. Regulators have taken a variety of approaches to the issue. We investigate a jurisdiction that has issued recommendations and disclosure requirements, rather than implementing quotas. Much of the rhetoric surrounding gender diversity centres on whether diversity has a financial impact. In this paper we take an aggregate (market-level) approach and compare the performance of portfolios of firms with gender diverse boards to those without. We also investigate whether having multiple women on the board is linked to performance, and if there is a within-industry effect. Overall, we do not find evidence of an association between diversity and performance. We find some weak evidence of a negative correlation between having multiple women on the board and performance, but that in some industries diversity is positively correlated with performance.

Of dogs, fish, birds and turds : the social construction of sewage pollution by recreational boaters

Animals are often used as ‘evidence’ of marine pollution. Take for instance the ubiquitous images of miserable oil-soaked marine birds following high profile oil spills such as the Exxon Valdez, Pacific Adventurer and Deepwater Horizon incidents or the images of bloated floating fish carcasses which are used to signal the presence of toxic pollutants. In recent years waste discharges from vessels have come under increased public and regulatory scrutiny both in Australia and around the world. International, regional, national and local restrictions are becoming more stringent for high profile marine pollutants such as oil as well as previously overlooked vessel-sourced pollutants such as sewage. Drawing upon media reports and recreational boater responses to government attempts to regulate the discharge of sewage from recreational vessels, this paper considers the important role played by animals in constructions of marine pollution by sewage and attributions of blame for this pollution. Specifically, this study found that recreational boat owners disputed claims their sewage management practices posed an environmental threat arguing that the sewage discharged was readily and eagerly consumed by fish in the receiving environment. Boat owners also argued that increased levels of bacteria which indicate the presence of faeces within the marine environment could be directly attributed to the excrement of marine mammals and birds or were the result of dog faeces being washed through municipal storm water systems rather than the result of vessel discharges. By contrast the contamination of oysters was provided as evidence of sewage pollution by other stakeholders.

Earnings management and the role of the audit committee: an investigation of the influence of cross-listing and government officials on the audit committee

This paper extends research on the corporate governance practices of transitional economies by examining whether the ability of the audit committee to constrain earnings management in Chinese firms is associated with the listing environment and the presence of government officials on the audit committee. Despite considerable regulatory reforms by the Chinese Securities Regulatory Commission, there remain incentives for Chinese firms to manage earnings. However, government initiatives to encourage domestic firms to cross-list on the Hong Kong Stock Exchange are accompanied by improved governance. We find that the expertise and independence of the audit committee for cross-listed (CL) Chinese firms are associated with lower abnormal accruals, our measure of earnings management. Both domestic only listed firms and CL Chinese firms appoint government officials as independent members on the audit committee. However, due to the political connection between government officials and the controlling shareholder (the State), these appointments can severely mitigate audit committee independence. Subsequently, we find a significant and positive association between audit committee independence and experience and earnings management when there are government officials on the audit committee.

Predator Crown-of-Thorns Starfish (Acanthaster planci) Outbreak, Mass Mortality of Corals, and Cascading Effects on Reef Fish and Benthic Communities

Outbreaks of the coral-killing seastar Acanthaster planci are intense disturbances that can decimate coral reefs. These events consist of the emergence of large swarms of the predatory seastar that feed on reef-building corals, often leading to widespread devastation of coral populations. While cyclic occurrences of such outbreaks are reported from many tropical reefs throughout the Indo-Pacific, their causes are hotly debated, and the spatio-temporal dynamics of the outbreaks and impacts to reef communities remain unclear. Based on observations of a recent event around the island of Moorea, French Polynesia, we show that Acanthaster outbreaks are methodic, slow-paced, and diffusive biological disturbances. Acanthaster outbreaks on insular reef systems like Moorea's appear to originate from restricted areas confined to the ocean-exposed base of reefs. Elevated Acanthaster densities then progressively spread to adjacent and shallower locations by migrations of seastars in aggregative waves that eventually affect the entire reef system. The directional migration across reefs appears to be a search for prey as reef portions affected by dense seastar aggregations are rapidly depleted of living corals and subsequently left behind. Coral decline on impacted reefs occurs by the sequential consumption of species in the order of Acanthaster feeding preferences. Acanthaster outbreaks thus result in predictable alteration of the coral community structure. The outbreak we report here is among the most intense and devastating ever reported. Using a hierarchical, multi-scale approach, we also show how sessile benthic communities and resident coral-feeding fish assemblages were subsequently affected by the decline of corals. By elucidating the processes involved in an Acanthaster outbreak, our study contributes to comprehending this widespread disturbance and should thus benefit targeted management actions for coral reef ecosystems.

Namoi : Talking fish - making connections with the rivers of the Murray-Darling Basin

The Namoi River winds its way through 42 000 square kilometres of blacksoil plain in the north east of New South Wales. Fed by the rivers of the western slopes of the Great Dividing Range, it contributes about one quarter of the Darling River’s flow. The river, its floodplain, wetlands, swamps and waterholes, are the traditional lands of the Gamilaraay* people. The Namoi is a very different river to the one the Gamilaraay people once knew and fished...

Developing sustainable fish farming in the Western Pacific : a viewpoint on potential reasons for why many attempts failed

Capture fisheries and aquaculture have been a major source of food and providers of economic benefits to many communities around the world for a very long time. While the history of aquaculture or fish farming can be traced back for more than 2000 years in some corners of the globe, notably in China, Japan and the Mediterranean, this is not true everywhere, where in general, fish farming is a relatively new industry. Rapid human population growth and increasing urbanisation over the last 20 to 40 years has meant that while fish consumption has doubled globally, returns from capture fisheries have remained static or have declined due to overexploitation and rising pollution levels, with some fisheries either closing or becoming economically unviable. Data from studies suggest that this trend is unlikely to be reversed unless appropriate fisheries management allows depleted wild stocks to rebuild. This has occurred during a time when demand for fish products has grown, in part due to improved purchasing power in some developing countries and changing dietary habits where fish are now considered to have a positive impact on health. Based on the projected population growth over the next two decades, Food and Agricultural Organization (FAO) estimates that at least an additional 40 million tonnes of aquatic food will be required to maintain the current per capita consumption (FAO 2006).