Browsing by Author "Zou L"
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- ItemEarnings surprises, investors sentiments and contrarian strategies(EconJournals, 2017) Zou L; Chen R; Ozturk, IThis study documents that contrarian investment strategies offer superior returns because these strategies exploit investors’ expectation errors. There are two sources of expectation errors, naïve extrapolation of past performance and biased analysts’ earnings forecasts. Our results suggest that investors naively extrapolate past performance and overestimate the future growth rates of glamour stocks relative to value stocks. In addition, analysts tend to be excessively pessimistic about value stocks and over optimistic about glamour stocks. We find that both positive earnings surprises and negative earnings surprises significantly affect subsequent returns. However, negative earnings surprises have less impact on value stocks relative to glamour stocks. We also find new evidence that investor sentiments could be an alternative source of superior performances from value stocks. Our results indicate that when the investor sentiment is higher, value stocks earn significant higher returns than glamour stocks.
- ItemPolitical Background and Household Financial Asset Allocation in China(Taylor & Francis (Routledge), 18/01/2021) Ge Y; Chen H; Zou L; Zhou ZPolitical background is an important factor in determining the household economic behavior. Using 2014–2018 households panel data from the China Family Panel Studies (CFPS), we investigate the effects of political background on China’s household asset allocation behavior. We find that political background has a significant positive impact on the financial market participation. Mediation analysis indicates that political background leads to higher household wealth, better social capital, and fewer credit constraints, thus promotes households investments. Further analysis shows that the marginal impact of political background on household investment behavior is more significant in Eastern and urban areas. Our results contribute to the existing literature on the relationship between the political background and the household investment behavior, also enhancing the understanding of the household portfolio heterogeneity.
- ItemRetirement Income and Financial Market Participation in New Zealand(MDPI AG, 30/01/2023) Xu X; Young M; Zou L; Fang JUsing New Zealand Household Economic Survey (HES) 2018 data, we examine the impact of direct financial market participation post-retirement on retirement income in New Zealand. Our results demonstrate the importance of post-retirement financial market participation in the enhancement of retirees’ financial well-being. We conclude that retirees who participate in the financial market enjoy a 78% increase in overall annuitised net wealth; further analysis also reveals a substantial 154% increase if government pensions are excluded from calculations of annuitised net wealth. Moreover, these retiree participants also show higher probabilities of financial-situation satisfaction. These results highlight the significant contribution to retirement income of direct financial market participation. Our paper sheds extra light on issues related to retirement financial well-being and has important implications for policy makers in New Zealand.
- ItemRetirement Income Sufficiency: A Comparison Study in Australia and New Zealand(MDPI AG, 15/02/2023) Xu X; Young M; Zou L; Fang JWe use the 2018 survey data from the Household, Income, and Labour Dynamic (HILDA) in Australia and the Household Economic Survey (HES) in New Zealand to investigate the retirement income sufficiency in Australia and New Zealand. Our baseline results indicate that the annuitized net wealth is greater for Australian retirees than for New Zealand retirees. However, New Zealand retirees enjoy a higher level of life satisfaction than Australian retirees. Further analysis reveals a significant greater pre- and postretirement income for the top 10% of wealthy Australian retirees, mainly due to the higher level of homeownership in Australia within this group. Our study fills the gap in the existing literature, which studies the macro- and microlevel influences on Australia and New Zealand retirees, and it also offers important policy implications.
- ItemStyle Consistency and Industry Concentration of Chinese Mutual Funds(10/07/2019) Zou L; Tang T; Li X; Young MThis paper provides a comprehensive analysis on the relationship between the mutual funds style consistency and performances in China. Using characteristic-based and factor-based analysis, our results indicate that mutual fund managers have stock picking talents over time, with relative weak ability to time the market. Style investments contribute the most to funds’ gross returns. Active funds exhibit lower style consistency but still realise better net returns compared to their passive counterparts. Results further suggest that mutual fund managers who concentrate their holdings in certain industries perform better after controlling for common risk factors. Therefore, we conclude that Chinese mutual fund managers have better industry selection ability.
- ItemThe commodity price and exchange rate dynamics(Scientific Research Publishing, 2/10/2017) Zou L; Zheng B; Li X; Chambers, RThis paper investigates the dynamic relationship between the commodity price and the exchange rate in Australia and New Zealand. We focus on Australia and New Zealand. Not only do their primary commodities account for significant shares of their exports, but also their currencies share some distinctive characteristics that are unique from other commodity currencies. Using country-specific commodity price indices, we examine the relationship between the departure of currency value from its fair value and fundamental macroeconomic variables. Evidence of a strong and robust relationship between the exchange rate and the commodity price has been found. Results indicate that the commodity price can be used to improve the forecast ability of the future exchange rate. Our commodity-price-augmented exchange rate forecasting model consistently outperforms the random-walk model, for both in-sample and out-of-sample forecasting. These results shed some extra lights on policymaking for countries that rely on primary commodity production, and attempt to move towards floating exchange rate regimes as part of their global market liberalization process
- ItemThe Impact of Post-retirement Financial Market Participation on Retirement Income Sufficiency in Australia(Wiley, 2023-08-13) Xu X; Fang J; Young M; Zou LUsing HILDA survey data, we document a strong positive relationship between post-retirement financial market participation and retiree income sufficiency in Australia. We find a 17% improvement in the income replacement ratio and a 3.26 times higher annuitised net wealth for financial market participants compared to non-participants. We further investigate how age, residence area, relationship status, education, health, and employment affect the main finding in all and female retirees. The results highlight the value of financial market participation in facilitating household retirement security and provide further support for the active promotion of household financial market participation, both in Australia and globally.
- ItemTrust and corporate debt maturity mismatch: Evidence from China(John Wiley and Sons Australia, Ltd on behalf of Accounting and Finance Association of Australia and New Zealand., 2023-12-22) Wang XC; Hao W; Fang J; Wu JG; Zou LThis study explores the relationship between social trust and firm debt maturity mismatch in the Chinese context. Additionally, we investigate the economic mechanisms through which social trust affects debt maturity mismatch, and the differential roles played by social trust among firms with different characteristics. We employ enterprise trustworthiness scores and provincial blood donation rates as our measures of regional social trust level and find a negative relationship between local trust and firm debt maturity mismatch, suggesting that social trust which promotes ethical norms acts as a restraint on firms' propensity for excessive risk. An alternative but consistent explanation is higher social trust increases debtors' willingness to lend, hence it reduces firms' funding costs and consequently the potential cost-saving motivation behind such a mismatch. We further document evidence that social trust improves the firm information environment and consequently risk-taking and/or the ability to reduce funding costs. The study also reveals variations in the role of social trust based on firm characteristics, such as leverage and profitability, and the ownership structure (state-owned enterprises vs. non-state-owned enterprises). The findings contribute to the literature by highlighting the increasing importance of social capital for policy and governance.