Does Corporate Social Responsibility Influence Corporate Values?
Roger C. Y. Chen
Professor of Department of Logistics management at National Kaohsiung First University of Science and Technology, Taiwan, R.O.C
TEL: +886-7-6011000 ext1000
Assistant Professor of Department of Money and Banking at National Kaohsiung First University of Science and Technology, Taiwan, R.O.C
TEL: +886-7-6011000 ext3101
Doctoral Student of Ph. D. Program in College of Finance and Banking at National Kaohsiung First University of Science and Technology, Taiwan, R.O.C
TEL: +886-7-6011000 ext4504
Corresponding Author. E-Mail: email@example.com
The authors express sincere appreciation for the financial support of National Science Council (NSC-100-2410-H-327-022-MY2).
Keywords: Corporate Social Responsibility (CSR), Social Responsibility Performance, Corporate Social Responsibility Index, Corporate Value
This study used the corporate social responsibility (CSR) index to gauge the corporate value and social responsibility performance of corporations in Taiwan. We investigated whether CSR influences corporate value and whether the extent of that influence varies with corporate value or time. The results indicate that the influence of CSR on corporate value does not change with time. However, the extent of the influence significantly varies with corporate value. When the corporate value of a company is not high, investing in CSR would only increase costs and fail to effectively increase corporate value. In contrast, if the corporate value of the company high, investments in CSR in this circumstance would instead promote the effective increase of corporate value.
Mediating Effect of Intangible Assets on Corporate Social Responsibility and Financial Performance-Tobin’s_Q Analysis
Associate Professor Department of Accounting, Feng Chia University, Taiwan, R.O.C.
TEL: +886-4-24517250 ext4231
Ph.D. Program in Business, Feng Chia University, Taiwan, R.O.C.
Associate Professor Department of Business Administration, De-Lin Institute of Technology
Keywords: Corporate Social Responsibility, Tobin’s_Q, Intangible Assets, Mediating Effect
Corporate social responsibility (CSR) has become a major issue in recent years and the correlation between CSR and corporate financial performance (CFP) is one of the research interests in related literature. However, the conclusion didn’t reach consensus. This study gets ride of traditional statistical model and utilizes intangible assets as mediating variable instead to discuss whether the mediating effect can effectively promote both CSR and CFP.
Publicly traded companies to be awarded the Corporate Social Responsibility prize of Global Views Monthly and the Excellence in Corporate Social Responsibility prize of CommonWealth for the period spanning 2007-2011 were examined as samples in this study. Apart from the difference in evaluation indicators or questionnaire survey, companies which endeavor to fulfill social responsibility would contribute to promote corporate image and to increase intangible assets that providing long-term benefits.
Relationship between CSR and CFP was examined from the perspective of intangible assets. Results showed that no significant influence of CSR on CFP, but CFP indeed significant influenced CSR and therefore increase its social responsibility. Further, the relationship between CSR and CFP can be improved by the mediating effect of intangible assets.
Does Noise Matter on Hedging Effectiveness? Evidence from Taiwan
Assistant Professor of Department of Finance, Shu-Te University, Taiwan, R.O.C.
Associate Professor and Chairman of Department of Computers and Communications, National Pingtung Institute of Commerce, Taiwan
TEL: +886-7-6158000 ext3212
Keywords: Hedging strategy; Noise; Optimal hedge ratio; Emerging market; Information asymmetry
This paper explores the relationship between different price components and optimal hedge ratios. The conventional estimation methods obtain optimal hedge ratios using original price series. In this paper, I propose associating original, pure-informed, and noisy added signals to estimate hedge ratios. Hedge effectiveness is obtained by incorporating most recommended methods, such as OLS, EC, and GARCH model. This paper proposes a wavelet approach to decompose the price series into informed and noise components and evaluate the hedging performance with the hedge ratios computed based on the two components. Using the Taiwan stock index and futures with three alternative models, the empirical results support the merit of this decomposition for the spot-futures hedge. The results show that, in a daily hedging strategy (i.e., short-term hedging), optimal hedge ratios are estimated using noise-added information. A de-noised signal better estimates long-term hedging effectiveness than does that of original information. Both low and high frequency portions of the signal are important for hedging purposes depending horizon. Noise is often in the form of market microstructure nature and serially correlated but no treatment is provided in the past researches. The practical implications for practitioners are considering that noise does affect hedging performance, particularly in the short run.
A Measure of the Model Adequacy: Using the Method of Poisson Loglinear Model
Assistant Professor, Department of Business Administration, Shu-Te University, Kaohsiung city, Taiwan, R.O.C.
Hsien-Chueh Peter Yang
Associate Professor of Department of Risk Management and Insurance, National Kaohsiung First University of Science and Technology, Kaohsiung, Taiwan
Graduate student, Graduate School of Finance, Shu-Te University, Taiwan, R.O.C.
Doctoral Student, Philosophy in Management, Massey University, Auckland, New Zealand
*Corresponding author: firstname.lastname@example.org
Keywords: residential mortgage loans, default, tolerance, Poisson loglinear model
When the response variable had a normal distribution we used ordinary linear regression model to analyze data set by linking a set of explanatory variables. If the response variable is count data, counts are all positive integers, a Poisson regression model is suitable for the discrete, non-negative integer values and highly-skewed distribution of residential mortgage loans data.
In this study, we examine the data of residential mortgage loans, its shape look like Poisson distribution. So we test the distribution of scores by the Kolmogorov-smirnov one-sample test, the results indicate that the data came from a population with the Poisson distribution. Then detecting multicollinearity, we find no multicollinearity is evident by tolerance and variance inflation factor (VIF).
Although many researchers analyzed count data by ordinary linear regression, comparing finally above two previous regression analyses, all the estimate values of ordinary linear regression model are large Poisson loglinear model, but intercept is not significant and illegitimate. Therefore, we find that Poisson loglinear model has the advantage of being stably suitable for the discrete data of residential mortgage loans.
Contagion in International Stock Markets after Subprime Mortgage Crisis
Professor of Dept. of Risk and Insurance Management, National Kaohsiung First University of Science and Technology, Taiwan, R.O.C
Keywords: contagion, subprime mortgage, cross-correlations
In this study, a vector autoregression framework was adopted to estimate cross-market correlations. The examination approach proposed by Forbes and Rigobon (2002) was used to examine whether US subprime financial turmoil exerted a contagion effect on 32 markets. In contrast to the empirical results of Forbes and Rigobon (2002), which indicated that there was “No contagion, only interdependence,” the empirical results of this study demonstrated that the subprime mortgage crisis exerted a brief contagion effect on emerging and East Asian markets. However, with extensions in the duration of the crisis, the contagion effect disappeared rapidly, and only the Brazilian securities market exhibited a contagion effect that lasted for 6 months. In addition, regardless of the length of the crisis duration, a high level of market comovement rather than a contagion effect was observed between the US, members of the Organization for Economic Cooperation and Development, and the Latin American securities markets.
JEL Classification Codes: G17
Trade Credit and Bank Loan: Evidence from Chinese Firms
Ph. D. candidate, Institute of Banking and Finance, National Kaohsiung First University of Science and Technology, 2 Jhuoyue Road, Nanzih, Kaohsiung City 811, Taiwan
Professor, Department of Finance, National Kaohsiung First University of Science and Technology, 2 Jhuoyue Road, Nanzih, Kaohsiung City 811, Taiwan
TEL: +886-7-6011000 ext4019
Keywords: Financial crisis; Trade credit; Bank loan
We use quarterly data of 1,213 Chinese firms from the first quarter of 2006 to the end of 2012 to examine the relationship between trade credit and bank credit. In particular, we investigate how the relation is affected during the 2008-2009 global financial crises. Several findings are noted. First, there is a significantly positive relationship between the supply of trade credit (i.e., accounts receivable) and bank loans and a significantly negative relationship between the demand of trade credit (i.e., accounts payable) and bank loans, indicating a complementary and substitution effect between trade credit and bank loans. Second, this study shows a significant decrease of the demand/supply-side of trade credit at the peak of financial crisis, followed by a subsequent increase of this source of financing after the crisis events. Third, both large and small firms provide significantly less trade credits (accounts receivable) and receive less trade credits (accounts payable) during financial crisis. After the crisis, large firms still provide significantly less trade credit to their customers but receive more trade credits from the suppliers than smaller firms.
JEL Classification: G1; G2; G3
Informed Trading Uncertainty and Market Breakdown – An Experiment
Yaroslav Rosokha, Chi Sheh
Faculty of Business Administration Chair of Academic Senate, University of the West
TEL: (626)571-8811 ext381
Keywords: Ambiguity; Risk; Market Experiments; Dealer Markets
We use an economic experiment to examine the behavior of security dealers in an environment with an uncertain level of asymmetric information and an option to exit the market. Specifically, we distinguish three types of uncertainty with respect to informed trading: risk, compound risk, and ambiguity; for a monopoly and a duopoly market setting. Two measures of market performance – liquidity (fraction of the time markets are open) and cost of trading (dealer bid amount) are compared across the six markets. We find that duopoly dealer markets are more resilient to uncertainty about asymmetric information as compared to a monopoly dealer market. At the same time, a duopoly dealer market also delivers larger bids, thereby lowering trading costs to customers. Additionally, for duopoly markets we find differences in dealer bidding behavior depending on whether the uncertainty about informed trading is presented as risk, compound risk, or ambiguity.
JEL Classification Codes:
Pricing Crop Revenue Insurance by Option Approach
Assistant Professor and graduate student of Department of Risk Management and Insurance, National Kaohsiung First University of Science and Technology, Taiwan, R.O.C
Keywords: crop revenue insurance, price risk, production risk, bull spread strategy
Too frequent natural disasters always bring tremendous crop loss and fluctuate crop price. Agriculturists have faced high risk of price and production in Taiwan. This study used the data of pomelo, considering the two different risks: the price risk, which is caused by production cost and the huge fluctuate of trading price; and the production risk, which is mainly caused by the production loss from typhoon. Given these, two different models are set up separately. Meanwhile, this study considered the correlation of transaction price and production cost.
In contrast to traditional insurance, crop revenue insurance seeks to protect the expected income. On the application of European call option and Bull call spread, this study utilized Monte Carlo method to simulate premiums of crop revenue insurance on different limit levels of claims. In the results, we found that the larger correlation coefficient the smaller premiums by European call option. And by Bull call spread, when we price the section of revenue the larger correlation coefficient the larger premiums; when we price the section of loss the larger correlation coefficient the smaller premiums.
A New Long-Term Performance Incentive System: the Added Value of Owners’ Equity
Keywords: Economic Value Added, Ownership Value Added
This paper is a theorypaper with mathematical proof of the theory. This paper study a new long-term performance incentive system called Ownership Value Added (in the future referred to as OVA). This article describes the OVA has important economic significance and capability as an alternatives of the economic value added (in the future referred to as EVA). We found a relationship between OVA and EVA, and establish equations between them. OVA can be used to explain corporate governance, business valuation, incentive awards, and capital budgeting decisions. We find that the difference between OVA and EVA are as follows: EVA is based on NPV (Net Present Value), however, OVA is based on NPV (Net Final Value). Recommendations for corporate governance: If managers are rewarded based on the OVA, so their past performance has not been removed, but if managers are rewarded based on the EVA, then their past performance has been deleted.
In this paper, we will study a new overall performance incentive system, which we will label Ownership’s Value Added (OVA). We will show that the OVA are a logical device for measuring residual income, with a vital economic meaning and competence of acting as an alternative to the EVA. We find that the OVA have some relationships with the economic value added (EVA), and we build the equation model between EVA and OVA. It proves that two different interpretations are probable. The results discovered make this new OVA approach a good candidate for firm valuation, incentive compensation, and capital budgeting decision-making. The OVA offer us a new way of thinking of the residual income, which is an alternative to EVA but equally helpful. The OVA is a whole management system that changes importance and behavior to focus on value. It is both the measure of a firm’s real profitability and a strategy for creating firm and Ownership wealth. The OVA is seen as a new, original and logical device to management and inspire people to make decisions based on the various strategic alternatives.
An Empirical Research of Numerology on Stock Selection Strategy: An Example of the Nikkei 225 Index’s Component Stocks
Alex K.H. CHANG / Hanna C.Y. KE
Keywords: Numerology, Stock Selection Strategy, Bagua School, Meihuayishu School, Digital Magnetic Field School, Shinjuku School, Number Future, Nikkei 225 Index
In the Study, four Chinese and a western numerologies were used upon stock selection strategy using Nikkei 225 Index’s Component Stocks as sample during the period from January 4, 2000 to December 28, 2012. The adjusting monthly closing stock price were used as the sample data through the Rolling-Window Method, End monthly, quarterly, half yearly and yearly. All date are examined by Bagua School, Meihuayishu School, Digital Magnetic Field School, Shinjuku School and Number Future, sampling stocks were classified as good and bad group against numeric data, I further incorporated with the test analysis applied on the rate of return in monthly, quarterly, half yearly and yearly, to verify if separately classified good/bad group the rate of return was listed in the order of good/bad from high to low. The empirical results indicated that grouped stocks by Bagua School, Meihuayishu School, Digital Magnetic Field and Shinjuku School were not listed the order of good/bad from high to low. Only grouped stocks by Number Future was listed in the order of good/bad from high to low. The result showed that it is possible to serve number numerology as the referable base in the investment of selection strategy on Nikkei 225 Index’s component stocks.
An Empirical Research of Chinese Zi Wei Dou Shu Theory on Stock Selection Strategy in Hong Kong Stock Market
Alex K.H. CHANG / Ming Ju Lee
Keywords: Zi Wei Dou Shu, Hong Kong Stock Market, Stock Selection Strategy
In this study, the theory of the Zi Wei Dou Shu of Chinese numerology as the main concept using three elements such as good, even and bad fortune. With the three elements, this study verifies the capacity of Zi Wei Dou Shu to forecast the trend of rate of return. The aim of this study is to forecast the trend of rate of return and modelling a stock selection strategy sampling from the Hong Kong stock market by secondary data collection and study a period of 14 years from 2000 to 2013. This study analyzes data using two dimensions, one is to examine the validation of grand fortune forecast in the Hong Kong stock market and the other is to verify separate rate of return in each year. Empirical results demonstrate that the correctness of these stocks’ trend forecasting is 21.43%, which is 2 year among all 14 years.
An Empirical Research of Five-Phases Allelopathy Model on Stock Selection Strategy: An Example of the Nikkei 225 Index’s Component Stocks
Alex K.H. CHANG / Bo-Xi Chen
Keywords: Five-Phases Allelopathy Model, Nikkei225 Constituent Stocks
Based on the Five-Phases Allelopathy Theory of Chinese numerology, this paper establishes a stock selecting model. In this study, we use the theory of the Five-Phases of Chinese numerology as the main concept of the modeling establishment, of which the five elements gold, wood, water, fire, earth’s allelopathy relations as the main concept. We use Nikkei 255 Constituent Stocks’ monthly data in Japan stock market as sampling data from 2000 to 2012, totally as 13 years. The results show that the special industry’s stocks belonging to fire-phase obtain a highest accuracy of 98.18% in sampling period from a natal numerology.
An Empirical Research of Five-Phases Allelopathy Model on Stock Selection Strategy: An Example of Hong Kong Stock Market
Alex K.H. CHANG / Chiu Lan Lai
Keywords: Five-Phases Allelopathy Model, Hong Kong Stock Market
Based on the Five-Phases Allelopathy Theory of Chinese numerology, this paper establishes a stock selecting model. In this study, we use the theory of the Five-Phases of Chinese numerology as the main concept of the modeling establishment, of which the five elements gold, wood, water, fire, earth’s allelopathy relations as the main concept. We use all monthly data in Hong Kong stock market as sampling data from 2000 to 2013, totally as 14 years. This study uses two steps to verify the use of the Five-Phases Allelopathy Theory in the Hong Kong stock market. The results show that the special industry’s stocks belonging to wood-phase obtain a highest accuracy of 81.18% in sampling period from a natal numerology. And from the view of appropriate of different natal industry group in sequencing years, eight of fourteen years match partly the Five-Phases Allelopathy Theory. And the average return of the high-paid group is higher than the average return of the low-paid group in eleven years.
The Nature and Emergence Process of the Narrative Strategy Story
Daniel Chan-Wei Tsai
Keywords: Strategic Selection, Strategic Change, Narrative Strategy Story
The enterprises face the problem that business environment changes severely and become more complex, so how we treat the enterprise strategy from a viewpoint of the dynamics is an important issue. The Narrative Strategy Story is a new dynamic concept. They focus how the enterprises connect the means with the differentiation and connectivity between means in different periods and then develop the unique logic of domination. In this study we try to explain the nature and emergence process of the Narrative Strategy Story by a case-study of Goodmind Industrial Co., Ltd. Finally, empirical and managerial implications about narrative strategy story are drawn from this research.
Competitive Strategy on the Perspective of Narrative Strategy Story
Daniel Chan-Wei Tsai / Sz-Ting Chen / Jun-Yan Liu
Keywords: Competitive Strategy, Porter Theory, The Positioning School, Narrative Strategy Story
Firm competition has become a major issue in the strategy research since Porter introduced the “Competitive Strategy”. However, Porter’s theory was not widely applied in the practical and was challenged. A lot of researchers provide the improved theory based on Porter’s theory. In this paper, seven statements from Porter’s theory had been integrated and three of them were debated and proved. We are engaged into the rest four statements by using a Case-Oriented Comparative Method combined with dynamic view point of the Narrative Strategy Story. Consequently, the improved practical capability of Porter’s theory is expected.
The Spillover Effect and Paradigm Shift of Green Building on the Residential Construction Industry in Taiwan
Henry H.Y. Hsieh / H.C. Su
Keywords: Green building, Construction Performance, Social Responsibility, Green paradigm
This research is to analyze the benefit and influence of green building on the construction industry in Taiwan using Structure-Conduct-Performance (S-C-P) model. A sample of 260 observations in the 20 cities and counties in Taiwan during 2000-2012 was tested by Pooled Cross-Sectional Time-Series regression model. We used Ordinary Least Squares (OLS) and Two Stage Least Squares (2SLS) to analyze the impact of the supply side, demand side and green building on the behavior and performance of the construction industry in Taiwan.
The results indicated that green building had spillover effects on the construction performance. The certified candidates of green building were positively significant to construction completions (t=3.856***, P=.000), indicating that developers would be more active and confident to completions as customer having more knowledge about green building. In addition, Steel Structure buildings was positively significant to completions (t=2.748**, P=.003) indicating that the focus of construction in Taiwan had changed to safer and greener building since Steel Structure building is theoretically greener and safer than RC Structure. Recently the number of steel structure building in creased remarkably. In the depth of green buildings represents sustainable development of buildings. But the depth of green buildings were not consistent with the development in Taiwan. The depth of green buildings also implies the efforts of corporate social responsibility. The declining of green depth implies that developer should make more efforts on the green buildings. We found that green building had gradually been a paradigm of the construction industry. However, to promote the green building should not confine on the attainment of green certificate only. Instead we should consider green equivalent, measuring how much green activity developer dedicated to. Green building will enhance the value of the building; therefore green building will be an advantageous strategy to developers.
The study suggested that developers could use the strategies of green building to differentiate with others. In addition green building as social responsibility is a lever to strengthen competitiveness. Furthermore, green building as a social responsibility indicator, green building improves from responsiveness to initiative. The using green building as an indicator of social responsibility developer could use green building as paradigm and adopt green equivalent in the construction industry. Green building also creates value regarding to positive influence on house price. Therefore, developer should take green building as a strategy of differentiation.
Board of Directors Governance, Senior Management Team Compensation, Foreign Institutional Investors Holding Shares on the Influence of the Degree of Staff Stability
Wen-Hsi Lydia Hsu / Rou-Harn Shu
Keywords: board governance, top management team salaries, foreign institutional investor ownership, staff stability
Corporate governance is a critical success factor in business world and sustainable management of the sound system, the most important assets of the enterprise long-term development department staff. Corporate governance mechanism for the stability of the staff has a considerable degree of influence, however, is still quite lacking domestic research to explore this issue.
Therefore, this study Taiwan Economic Journal database and MOPS database as the data source for the study of Taiwan’s listed companies to collect samples. Select to study period 2009-2012, a total of four years.
Analyzed using descriptive statistics, Pearson correlation coefficient analysis and multiple regression analysis. This study aimed to explore the dimensions of board governance (independent director seats ratio, equity pledge ratio of directors and supervisors, CEO duality involved in the management, directors’ shareholding ratio), high-level management team remuneration dimensions (salary, superannuation, bonuses and special expenses, cash dividends, stock dividends, employee stock options) and foreign institutional investors holdings dimensions (foreign institutional ownership ratio) to explain the degree of stability and association predicted between employees, so the use of multiple regression to sample analysis and research between the variables.
The results showed that the higher the ratio of independent directors, the lower the stability of the staff; CEO duality (CEO) to participate in the higher management, the lower the stability of the employees.