Frederick Adjei
Southeast Missouri State University
Economic policyFinancial economicsDebt-to-GDP ratioDebtShareholderPrivate sectorAccountingEx-anteInitial public offeringCash flow forecastingDebt ratioCommercial policyBusinessSubprime mortgage crisisEconometricsRisk premiumExpected returnMarket shareEconomicsNegative relationshipOperating cash flowCapital expenditureExtant taxonCredit crunchMarket liquidityCash and cash equivalentsPrime (order theory)Financial marketRecessionPresidential systemPredictabilityPrincipal–agent problemStakeholderInternal debtCash on cash returnDebt levels and flowsEnterprise valueAutoregressive conditional heteroskedasticityMarket share analysisTracking (education)Value (economics)Explanatory powerCashPredictive powerFinancial crisisQuality (business)Listing (finance)Measure (data warehouse)Proxy (statistics)Stock marketNew Economic PolicyIndex (economics)Indirect impactCash holdingsMarket returnSignificant differenceFull sampleControl sampleA determinantMathematicsPrice levelCorporate governanceSenior debtComputer scienceBlock sizeExternal debtFixed effects modelTerminal valueDemocracyMonetary economicsStock (geology)Bivariate analysisFinancial systemMarket riskCash managementSystematic riskBusiness cycleVolatility (finance)Price/cash flow ratioPoliticsCash flow statementOrdinary least squares
15Publications
4H-index
95Citations
Publications 15
Newest
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We study the effect of the level of economic policy uncertainty on market risk and market risk premium by employing an OLS regression model. The results show that economic policy uncertainty impacts market risk more during the recession periods than during the expansion periods. However, we do not find support for a relationship between economic policy uncertainty and market risk premium. Evidently, the level of economic policy uncertainty impacts market risk and policymakers must take that into...
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In this study, we investigate the relationship between Bitcoin mining technology variables and Bitcoin returns, using a GARCH-M model. Additionally, we examine the predictive power of the mining technology variables on future Bitcoin returns. We find that mining difficulty and block size are inversely related to Bitcoin returns. Additionally, our findings signifying that the higher the block size the lower the Bitcoin price and consequently the lower the expected return. Second, our findings sho...
1 CitationsSource
In this study, we examine the differential predictive power of the dividend-price ratio [D/P] and the earnings-price ratio [E/P] for future stock returns during recessions versus during expansionary periods. We find that dividends do not decrease but prices decrease from the expansion periods to the recession periods resulting in the D/P increase during recessions. This increase in D/P during recessions is correlated with the increase in market returns following recessions. However, we find no s...
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This study investigates delisting avoidance on an exchange as a motivation for reverse stock splits. I examine the different motivations for reverse splits for stocks at different pre-split price levels by dividing the sample into two groups, below or equal to 2, and above . Using a control sample of firms receiving delisting warnings, I find that firms on the brink of delisting, use reverse splits to extend exchange listing time. For firms with a pre-split price above $2, I find that liquidi...
1 CitationsSource
#1Frederick Adjei (SEMO: Southeast Missouri State University)H-Index: 4
#2Mavis Adjei (SIU: Southern Illinois University Carbondale)H-Index: 8
Purpose - Using the economic policy uncertainty (EPU) index as a proxy for the level of EPU, we study the impact of the level of EPU on the conditional mean of market returns and we examine the predictive power of EPU on future market returns. Design/methodology/approach - We employ a GARCH-in-Mean model with exogenous variables. Findings - The results show that even after controlling for business cycle effects, EPU is inversely related to contemporaneous market returns. Particularly, the author...
12 CitationsSource
#1Frederick Adjei (SEMO: Southeast Missouri State University)H-Index: 4
#2Mavis Adjei (SIU: Southern Illinois University Carbondale)H-Index: 8
Abstract In this study, we reexamine the link between a firm’s market share and its idiosyncratic volatility. Contrary to extant research, we find that market share is not a determinant of idiosyncratic volatility. Innovative firms continuously innovate resulting in an increase in market share. However, high market share firms may not necessarily increase investment in innovative ventures to maintain market share. Hence an increase in market share does not necessarily lead to an increase in a fi...
3 CitationsSource
In this study, we examine the relationships among political cycles, investor sentiment, and stock market returns. We uncover that the variable: change in investor sentiment levels, is a mediator for the relationship between political cycles and stock market returns. We establish that political cycles impact stock market returns through two channels. First, there is a direct impact of fiscal and regulatory policies on corporate fundamentals which is reflected in stock prices, and second, there is...
1 CitationsSource
This study, using a fixed effects model, empirically investigates the relationship between corporate governance and corporate performance dispersion. Suggesting a negative relationship, [1] theorize that when corporate governance improves there is a decrease in shareholder oversight which could permit greater managerial discretion to execute conservative investment policies leading to a decrease in corporate risk taking and hence a decrease in performance dispersion. For a positive link, [2], em...
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