Management Papers
This community houses research from the Waikato Management School.
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Cross-sectional and time-series momentum returns: are Islamic stocks different?
(Routledge, 2018)We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioural theories that aim to explain momentum returns. Our results ... -
Partial least squares structural equation modeling-based discrete choice modeling: An illustration in modeling retailer choice
(Springer, 2018)Commonly used discrete choice model analyses (e.g., probit, logit and multinomial logit models) draw on the estimation of importance weights that apply to different attribute levels. But directly estimating the importance ... -
Momentum returns, market states and financial crises. Evidence from China and Hong Kong
(Routledge, 2017)This chapter investigates the profitability of the momentum trading strategy in the stock exchanges of Shanghai, Shenzhen and Hong Kong over the period 1994 to 2010. Our results show that there are significantly large ... -
Maxing Out in China: Optimism or Attention?
(2018)Bali et al. (2011) document a maximum daily returns (MAX) premium in the US where stocks with the highest MAX underperform stocks with the lowest MAX in the subsequent month. However, the source of this MAX premium is ... -
Does investor sentiment predict the near-term returns of the Chinese stock market?
(2018)Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment ... -
Investor sentiment dynamics, the cross-section of stock returns and the MAX effect
(2018)Recent evidence shows that investor sentiment is a contrarian predictor of stock returns with speculative stocks earning lower (higher) future returns than safe stocks following high (low) sentiment states. We extend this ... -
Oil prices and Stock Market anomalies
(2018)This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil ... -
The gravity model of migration: the successful comeback of an ageing superstar in regional science
(AECR, 2016)For at least half a century, and building on observations first made a century earlier, the gravity model has been the most commonly-used paradigm for understanding gross migration flows between regions. This model owes ... -
Climate change accounting: the challenge of uncertainty in Pacific Islands
(Inderscience, 2017)The paper aims to set out several key issues in relation to climate change research based on accounting and accountability. The literature on climate change accounting and the archival data on climate change from the Pacific ... -
Sad or happy? The effects of emotions on stated preferences for environmental goods
(Springer Verlag (Germany), 2017)A substantial literature in behavioural science and psychology shows that emotions affect human choices and values. This paper investigates whether such emotional impacts are also present in stated choice experiments for ... -
Stock price crash risk: review of the empirical literature
(Wiley, 2017)We survey the burgeoning literature on the determinants and consequences of firm‐specific future stock price crash risk. We synthesise a vast body of literature on the determinants of crash risk, identify weaknesses, and ... -
Contemporary Guidance for Stated Preference Studies
(The University of Chicago Press Journals, 2017)This article proposes contemporary best-practice recommendations for stated preference (SP) studies used to inform decision making, grounded in the accumulated body of peer-reviewed literature. These recommendations consider ... -
Visiting friends and relatives (VFR) in the Bay of Plenty
(2016)Tourism Bay of Plenty is interested to know whether local hosts of visiting friends and relatives (VFR) might be encouraged to play a larger part in the tourism economy of the Bay. This survey of 699 individuals gives a ... -
Probability from a socio-cultural perspective
(International Association for Statistics Education (IASE), 2016)There exists considerable and rich literature on students’ misconceptions about probability; less attention has been paid to the development of students’ probabilistic thinking in the classroom. Grounded in an analysis of ... -
Risk committee, corporate risk-taking and firm value
(2017)We empirically examine the impact of the stand-alone risk committee on corporate risk-taking and firm value. We argue that the existence of a stand-alone risk committee enhances the quality of corporate governance which ... -
Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan
(Taylor & Francis (Routledge), 2017)We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant ... -
Joint parental school choice: Exploring the influence of individual preferences of husbands and wives
(2018)The objective of this paper is to study school choice as a deliberate joint parental decision. This decision is affected by the underlying preferences of the husband and wife. We use survey data from a sample of parents ... -
Exuberance in historical stock prices during the Mississippi and South Seas bubble episodes
(Waikato Management School, the University of Waikato, 2017)The Mississippi Bubble and the South Sea Bubble are the two most famous and earliest episodes in the history of speculation, which can be dated back to the eighteenth century. Unlike most studies focus on some recent ... -
Australia: A land of missed opportunities?
(Cambridge University Press (CUP), 2017)Comprehensive Investment (CI) may provide an indicator of future changes in a country's per capita consumption. The authors explore the utility of the CI indicator for Australia by constructing CI data since 1861 and by ... -
Exuberance in British share prices during the railway mania of the 1840s: Evidence from the Phillips, Shi and Yu Test
(Waikato Management School, the University of Waikato, 2017-04)In this study, we empirically investigate evidence of explosive behaviour in the British share prices of canals, railways and waterworks in the nineteenth century using the right-tailed unit root test of Phillips, Shi and ...
