International Business & Economics Research Journal (IBER) https://www.cluteinstitute.com/ojs/index.php/IBER <p><strong>Published since 2002</strong><br>ISSN 1535-0754 (print), ISSN 2157-9393 (online)<br>The International Business &amp; Economics Research Journal (IBER) welcomes articles in all areas of international business and economics research.</p> en-US staff@cluteinstitute.com (Ronald Clute) staff@cluteinstitute.com (Clute Institute Staff) Mon, 02 Oct 2017 08:53:58 -0700 OJS 3.1.0.1 http://blogs.law.harvard.edu/tech/rss 60 The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10040 <p>This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based on an adapted Fama-French (1993) approach, using a &nbsp;annual sorting procedure, based on Size and Book-to-Market metrics respectively. The sample period spans six years, 2010 to 2015, and includes 46 companies listed on the JSE. The results indicate that both models perform relatively poorly because of inadequate market proxy measures, market liquidity restrictions, unpriced risk factors and volatility inherent in an emerging market environment. The Value Premium is found to explain a larger proportion of variation in excess returns than the Size Premium, and is more pronounced in portfolios with relatively higher book-to-market portfolios.</p> Adam Karp, Gary van Vuuren Copyright (c) https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10040 Mon, 02 Oct 2017 08:10:20 -0700 A Critical Review Of The Basel Margin Of Conservatism Requirement In A Retail Credit Context https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10041 <p>The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested for calculating RC is based on the Asymptotic Risk Factor (ASRF) model, which assumes that a borrower will default if the value of its assets were to fall below the value of its debts. The primary inputs needed in this formula are estimates of probability of default (PD), loss given default (LGD) and exposure at default (EAD). Banks for whom usage of the advanced IRB approach have been approved usually obtain these estimates from complex models developed in-house. Basel II recognises that estimates of PDs, LGDs, and EADs are likely to involve unpredictable errors, and then states that, in order to avoid over-optimism, a bank must add to its estimates a margin of conservatism (MoC) that is related to the likely range of errors. Basel II also requires several other measures of conservatism that have to be incorporated. These conservatism requirements lead to confusion among banks and regulators as to what exactly is required as far as a margin of conservatism is concerned. In this paper, we discuss the ASRF model and its shortcomings, as well as Basel II conservatism requirements. We study the MoC concept and review possible approaches for its implementation. Our overall objective is to highlight certain issues regarding shortcomings inherent to a pervasively used model to bank practitioners and regulators and to potentially offer a less confusing interpretation of the MoC concept.</p> Riaan de Jongh, Tanja Verster, Elzabe Reynolds, Morne Joubert, Helgard Raubenheimer Copyright (c) 2017 International Business & Economics Research Journal (IBER) https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10041 Mon, 02 Oct 2017 00:00:00 -0700 Do Social Grants Displace Remittances? Evidence From South Africa https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10042 <p>This paper employs a newly-available and representative National Income Dynamics Study (NIDS) data of South African households to investigate whether social grants crowd-out or displace remittances. The estimated results based on full sample reveal that while the social grants have a negative impact on the amount of remittances received, the effect is statistically insignificant – social grants do not crowd out or displace remittances.&nbsp;The coefficient on the social grant is also insignificant in both&nbsp;sub-samples (rural and urban),&nbsp;consistent&nbsp;with the&nbsp;results&nbsp;on the&nbsp;full sample</p> Mduduzi Biyase, Talent Zwane, September Rooderick Copyright (c) https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/10042 Mon, 02 Oct 2017 08:48:38 -0700