The information content and usefulness of the term structure of the New Zealand bank bill market

Article Abstract:

This paper applies the rationality concept and expectations hypothesis to test the information efficiency of the term structure of the New Zealand bank bill market. Weekly data is collected from June 1986 to November 1988. The sample period is partitioned into two subperiods by the sharemarket crash in October 1987. The empirical results suggest the presence of a time varying risk premium. This is reflected by the significantly positive volatility measure in the first subperiod and the significant interest rate level variable in both subperiods. The forecast errors correlate significantly with the growth in money supply and overseas interest rate variables. Factors other than market information inefficiency could be responsible for the significant correlation; namely the impact of the sharemarket crash on market perceptions about inflation expectations and the non-simultaneous data problem in calculating the differential costs of borrowing. Despite the rejection of the joint hypothesis, forward rates are found to have information about future spot rates beyond that contained in past spot rates, and are able to predict interest rates at least 30 days ahead. (Reprinted by permission of the publisher.)

Commercial Banks, Research, Banking industry, Analysis, Interest rates, Money supply, Bank notes

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An empirical investigation of the extent and nature of brand valuation activity in New Zealand

Article Abstract:

An empirical study concerned with investigating the prevalence and nature of brand valuation activity in strongly-branded New Zealand based companies is reported. Analysis of data provided by 60 companies responding to a questionnaire mailed to all New Zealand companies identified as owning recognizable brand names revealed that 15 (25%) had been involved in brand valuation activity. Support for a hypothesized relationship between the acquisitive orientation of companies and the propensity to value brands has been provided. The extent to which brand valuation is conducted as an information service to management suggests that the financial accounting orientation that has characterized much of the brand valuation debate may be somewhat inappropriate. (Reprinted by permission of the publisher.)

Surveys, Corporations, Valuation, Brand name products, Brand names, Corporations, New Zealand

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The information content of sign and size of earnings announcements: New Zealand evidence

Article Abstract:

The cumulative abnormal return method of analysis is used to study the effect of earnings announcements on share prices. All earnings announcements are accompanied by dividend announcements. Both the size and sign of earnings have information content, and partitioning the joint dividend - earnings signal on the respective signs generates differential share price movements.

Statistics, Securities, Earnings per share

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