Browsing by Author "Balsara, Nauzer"

Now showing 1 - 4 of 4
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    Explaining Momentum Profits with an Epidemic Diffusion Model
    (2006) Balsara, Nauzer; Zheng, Lin; Vidozzi, Luca; Vidozzi, Andrea
    We show that information diffusion is a function of its dissemination and assimilation. Whereas dissemniation is proportional to observable factors such as volume and price volatility, assimilation is dependent on unobservable factors such as the usefulness and reliability of information. We find that buying low volume (or low volatility) past losers and shortselling low volume (or low volatility) past winners generates a positive net return across the entire sample period and especially during bear markets. Second, buying high volatility past winners and shortselling high volatility past losers generates a positive net return, especially during bear markets.
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    Profiting from a contrarian application of technical trading rules in the US stock market
    (2009) Balsara, Nauzer; Chen, Jason; Zheng, Lin
    Using the variance ratio test, we cannot reject the random walk null hypothesis for three major U.S. stock market indexes between 1990 and 2005. Consistent with this result, we find that the naïve forecasting model based on the random walk assumption generates more accurate forecasts as compared to the ARIMA forecasting model. We find that the regular application of three commonly used technical trading rules (the moving average crossover rule, the channel breakout rule, and the Bollinger band breakout rule) under-perform the buy-and-hold strategy between 1990 and 2005. However, we observe significant positive returns on trades generated by the contrarian version of these three technical trading rules, even after considering a 0.5% transaction costs on all trades. Moreover, we find that while the contrarian version of these rules results in a significantly higher probability of success as compared to the regular version, it results in a significantly lower payoff ratio than that generated by the regular version.
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    Profiting from Past Winners and Losers
    (2006) Balsara, Nauzer; Zheng, Lin
    We posit that information diffusion is a function of its dissemination and assimilation. Whereas dissemniation is proportional to observable factors such as volume and price volatility, assimilation is dependent on unobservable factors such as the usefulness and reliability of information. We find that buying low volume (or low volatility) past losers and shortselling low volume (or low volatility) past winners generates a positive net return across the entire sample period and especially during bear markets. Second, buying high volatility past winners and shortselling high volatility past losers generates a positive net return, especially during bear markets.
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    Regulatory Pressure, Blockholders, and Corporate Social Responsibility (CSR) Disclosures in China
    (2014) Zheng, Lin; Balsara, Nauzer; Huang, Haiyu
    Purpose - This paper investigates the relationship between external regulation pressure and Corporate Social Responsibility (CSR) reporting decision and comprehensiveness, and the relationship between block ownership and CSR in China. Design/methodology/approach - This paper provides descriptive statistics of the current state of CSR reporting in China. In addition, regression models are utilized to analyze the behavior of CSR reporting of a sample of 5,334 listed firms in China. Findings - Our paper records a significant increase of CSR reporting in the period of 2008-2010. Using a sample of 5,334 listed firms in China, we find a positive yet weak association between centrally controlled State-Owned Enterprises (SOEs) and CSR reports. Moreover, we find that firms with more concentrated block ownership are less likely to issue CSR reports. Research limitations/implications - Taken as a whole, our analyses suggest that the entrenchment effect from blockholders seems to dominate the incentive effect and this depresses the quality of CSR reports. Practical implications - Despite the well known effect of economic factors on CSR decision, corporate governance such as ownership structure could complicate the final results. Furthermore, the institutional background of the country and its implications for corporate governance should be considered jointly and concurrently. Social implications - The positive effect from regulatory pressure on centrally owned SOEs suggests that regulation remains an effective tool to encourage CSR reporting in emerging markets. Originality/value - First, our study confirms prior research that CSR disclosure decision is primarily driven by economic and strategic considerations. Moreover, our results suggest that a country's institutional background, in addition to economic and strategic considerations, influences the decision and quality of CSR disclosures. Second, we extend the literature on ownership structure, particularly with respect to blockholders. Third, our research design addresses a weakness in earlier studies which are biased exclusively on state ownership to the exclusion of all other blockholders.