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Item Linking Corporate Governance, Audit Report Lag and Firm Value(UMT.Lahore, 2018) Mohsin SaleemThis descriptive and explanatory study aims to provide an enhanced apprehension by identifying determinants of Audit Report lag (ARL) for manufacturing companies listed on the “Pakistan Stock Exchange” (PSX). This is the first time that we tried to go beyond just to identify and examine the corporate governance impact on ARL on PSX. We initially examined corporate governance impact on ARL.Item THE MODERATING EFFECT OF OWNERSHIP STRUCTURE ON THE RELATIONSHIP BETWEEN FREE CASH FLOW AND ASSET UTILIZATION(UMT.Lahore, 2018) Ikrama TahirThe main purpose of this study is to determine the relationship between FCF and asset utilization and to figure out the moderating impact of different ownership structures on the relationship between these variables. Three types of ownership structure employed namely government ownership, managerial ownership and foreign ownership. The data is cross sectional in nature over the period 2012-2016. The data has been taken from the financial reports of selected PSX-100 index listed firms. Descriptive analysis, correlation analysis and hierarchical regression analysis is used in order to achieve the research objectives of the study. The findings of the research study revealed that there exists an insignificant but negative association between the asset utilization and free cash flows. The research study further specifies that the free cash flows may be spent fruitlessly which may leads to the inefficient utilization of assets,The study also found that managerial and foreign ownership structure are a better tools to check and monitor the asset utilization in such companies that have higher percentage of free cash flows comparatively to companies with lower percentage of free cash flows. The study has contributed about the understanding of the different types of ownership structures in overseeing the usage of firm’s assets.Item Corporate Governance and Earnings Management(UMT.Lahore, 2018-03) Mohsin MumtazThe research employs fixed effects methodology to examine the impact of corporate governance on earnings management in non-financial firms of KSE 100 index within Pakistan from the period 2010 to 2016. Corporate governance mechanisms examined comprise board size, board meetings, audit committee independence, audit committee meetings, big 4 audit firms and managerial ownership. While earnings management is measured through discretionary accruals measured in accordance with the Modified Jones Model (1995). Results of the study indicate that larger board encourages earnings management through increased board diligence appears to have a controlling impact on profits manipulation by management. Further, we find that lower percentage of insider shareholding encourages earnings manipulation. This could stem from the overriding influence of larger block holders and institutional shareholders on the smaller shareholders for the achievement of short-term profits by firm leading to earnings management. While more independent members on audit committees encourage earnings manipulation which is in line with the findings related to board size. We also find that more the board members meet, would reduce the earnings management practices. It suggests that board and audit committee members may encourage earnings manipulation from the need to protect their credibility and reputations in the markets by showing robust earnings and firm performance. This is the first study that provides glimpse of the impacts of corporate governance changes in response to the 2012 SECP Code of Corporate Governance, and we contend based our findings that there is a need for tougher legislation, and more elaborate measures with which to assess corporate governance performance within firms.Item The Effects of Vertical Integration Strategies on Firm risk and performance(UMT.Lahore, 2018) Tajammul QayyumItem Risk Governance in Islamic Banks and its influence on Risk Management Practices(UMT.Lahore, 2018-06-05) Uzair NawazThe recent study provides comprehensive insights on three main dimensions; risk governance by involving board (RG), risk management process and the risk management practices (RMPs) in the Islamic banks of Pakistan. The data is collected from eight full fledge Islamic banks through a questionnaire survey following the methodology of Al-Tamimi & Al-Mazroui (2007), Hassan (2009), and Abu Hussain & Al-Ajmi (2012) but adding a new section. The study employs the multiple regression models to determine if the hypothesized explanatory variables influence the likelihood of Pakistan’s Islamic banks to develop an increased degree of risk management practices (RMPs). The findings identify a strong relationship between risk management process and the risk management practices in case of Islamic banks operating in Pakistan. It ensures that the risk management process of Islamic banks in Pakistan comply with Shariah based rules and principles and clearly implement the principles of IFSB, Basel II Accords. However, risk governance positively impacts both risk management process as well as risk management practices, only if board or audit is not involved. There might have some deficiency in targeting the prospects for questionnaire survey. Therefore, further research should target the senior executives or supervisory committees for identifying the involvement of board in risk management area.Item Stock Return co-movement within Business Groups(UMT, Lahore, 2018-03) SHEHLA ARIFIn this study stock return co-movement within family business groups in Pakistan is examined. For this purpose publically listed shares from 2008 to 2017 are taken as population from which those stocks are selected which belongs to family business groups. In family business groups it is said that same group companies change together. Two factors are used to find out the co movement between family business groups namely; Fundamental factors (related party transaction) and Non-Fundamental factors (correlated trading). Our study find out that correlation does exist more due to non-fundamental factors than that of fundamental factors. Results also showed that in family business groups correlation exists between stocks due to non-fundamental factors. So this study concluded that there are some factors other than fundamentals which we consider as non-fundamentals include sentiments are responsible for co movement within family business groupsItem CASH HOLDINGS AND THE VALUE OF INVESTORS(UMT, Lahore, 2018-12) Zohaib Naeem BabarThe primary purpose of this study is to find the relation between the cash holding and the value of investors. Fixed effect model is used to achieve the objectives of this research study. The study investigated the relationship between cash holdings and value of investors by employing three portfolios which are all firms, constrained firms, and firms with better investment opportunities. KSE-100 listed firm’s data is taken and fix effect model in regression is applied. The study contributed that there is positive and strong relation between the cash holding and the value of investors in all firms and constrained firms. But in the firms which have better investment opportunity has no relation between the cash and value. Earnings show the positive and significant relation with the value in all the portfolios. Other variables are used as control variables.Item Corporate Governance Mechanism to Improve Disclosure Quality of the Firms(UMT, Lahore, 2018-03) Naveed Ul HaqThis thesis investigates the determinants of the disclosure quality of financial statements with respect to the corporate governance board structures in ASEAN countries. Using a sample of top 50 companies from Malaysia, Indonesia, Thailand, and Singapore for the period of 2011-2015, this thesis provides evidence that two board structures are different in terms of disclosure quality of financial statements. The empirical investigations report twelve closely related and important corporate governance mechanisms that are related to the increased level of the disclosure quality of financial statements. Some CG mechanism is same for one-tier and two-tier boards, and some are different. The board size, board expertise, board meetings, board diversity, timeline, young CEO and audit expertise are associated with increased disclosure quality of both types of board structures. The female board members, free cash flows, and audit committee size are positively related to disclosure quality of one-tier while board power and block holders have a positive impact on the disclosure quality of two-tier boards only. The dual role of CEO is associated with a decrease of disclosure quality of both board structures, while older age CEO’s have a negative impact on the disclosure quality of two-tier boards only. Moreover, the study finds no relationship between board independence, CEO tenure, audit committee independence, audit quality and the disclosure quality of both types of board structures.Item The effect of behavioural biases on investment performance(UMT, Lahore, 2018-12) Muhammad Usman IslamIn the standard finance it is assumed that investor and financial market is full of rationality but it is not fully true because most of the theories identifies that some factors are beyond the rationality and those laid down the creation of concept of “behavioral finance”. Behavioral finance is basically the application of investor’s psychology to finance. This thesis examines the meaning and importance of behavioral finance and its application in investment decisions. Human beings are vulnerable to numerous behavioral anomalies which became counterproductive to the investment performance principles leading to irrational behavior of investors. This study is designed to test the dual mediation hypothesis using behavioral biases on investment performance. Two different behavioral biases cognitive (confirmation & framing) and emotional (status quo & myopic) biases are used as independent variables. Two mediating variables fundamental anomalies and technical anomalies with their impact on investment performance has been tested. In this study sample of 317 responded is collected from the Pakistan stock market. The data is collected through adapted questionnaire from the previous study and modified as per selection of variables. The analysis is done through smart-pls 3.1 (inferential) and SPSS (descriptive). To concrete the study descriptive analysis along with inferential analysis are conducted and presented. The level of experience and educational background of the investor is very important for making this study more factual. All the constructs were adapted for the establishment and calculation of latent variables. The results were against the dual mediation hypothesis as only fundamental anomalies were proved significant. In the instrument five construct were developed for two latent variables confirmation bias and framing bias for cognitive theory aspects. Status Quo and myopic/loss aversion for emotional theory aspects were taken in study. The results show that cognitive biases have more impact on the investment performance as compared to the emotional biases. The path coefficient (standardized beta) has the maximum magnitude for framing biases and this is the only bias that impact the investment performance through mediator variable (fundamental anomalies) in cognitive biases. Myopic has mediation impact through fundamental anomalies on investment performance in emotional biases. The study is divided into direct and indirect effect (mediation effect). The results show current Pakistan stock market is in emerging phase as mostly investors depend upon the fundamental analysis for investment decision making. This phase is a reason of stock market anomalies existence in Pakistan stock market.Item STOCK MARKET TREND PREDICTION USING MACHINE LEARNING ALGORITHMS(UMT, Lahore, 2018-11) ZAINAB ASHRAFIn financial world stock price prediction is an important issue. Even minute predictive performance progress can be extremely profitable. This thesis deals with difficulty of predicting the trend of movement of stock index for Pakistan stock exchange. The rationale of present study is to set standard for ensemble machine learning method (random forest algorithm) against single classifier model (decision tree algorithm) to find out best accuracy ratio for prediction. These machine learning models are used with three approaches for input; the first approach includes eight technical indicators calculated from high, low, open, close values of Karachi stock exchange 100 index as input variables, second approach includes three fundamental indicators and lastly third approach encounter both technical and fundamental indicators as input variables. Models evaluation is carried out from 2010 to 2017 time period with 80% training data and 20% test data. Experimental results revealed that in all three input approaches random forest algorithm outperform decision tree algorithm with 75.45%, 57.31% and 76.55% accuracy ratio respectively. Results also show that prediction performance of both algorithms increases when technical-fundamental input approach apply on them. This study plays a part to literature as to the best of our information and facts, the initial to make such a huge benchmark for KSE 100 index data.Item Forecasting stock index movement using Machine learning techniques(UMT,Lahore, 2018) NOUMAN SARFRAZDue to economic conditions of every country stock market is gaining more and more importance day by day. As the stock prices are being considered the most important factor while making investment so prediction of stock price movement becomes necessary before investment. Stock market is very complex in nature and its Prediction has been remain an area of interest for many researchers. Change in stock market due to automatic buying and selling across the globe make it more daring to predict the market. Predicting the direction of next closing price of Karachi stock exchange index is the aim of this study. Two supervised machine learning methods have been employed in the study for the prediction and also for comparison among these methods namely Random Forest (RF) and Support Vector Machine (SVM). Checking the best performance among the two algorithms is carried out by the process of cross-validation. In related literature there are many studies that have applied different machine learning techniques at different stock markets. According to best of my knowledge, comparison of Random Forest and Support Vector Machine in predicting the direction of Karachi stock exchange 100 index has not been examined before. Technical indicators computed from the closing price, opening price, high price and low price are used as input variables for this study. 70% of data has been used to train the models and generate predicted labels as output. Then predicted labels reveal the direction of the closing price of the next day. This will create hit rate for both algorithms on which basis the best model can be selected. Results for this study revealed that among both algorithms random forest outperforms the support vector machine in regards of the performance. Support vector machine has better predicted the direction for stock market with the 79.76% hit ratio.Item The Dynamic Relationship between Islamic Shariah Compliant Index and Real Economic Activity Evidence from Pakistan(UMT,Lahore, 2018) Malik Waseem JanThe study unveiled the nexus between Islamic capital market and real economic activity in Pakistan. In order to ascertain the true nature of the relationship, Islamic Shariah Compliant Index (Karachi Meezan Index) and Large Scale Manufacturing Index (LSMI) were used as proxies. Additionally, conventional stock index (KSE-100), Interest rate (KIBOR) and real exchange rate were used as control variables in the study. Rigorous time series analysis was executed on the basis of monthly data set from Statistical Bulletin of State Bank of Pakistan and Pakistan Stock Exchange that covered a time period from September 2008 to December 2017. Time series techniques have been used for data analysis; this included JJ Co-integration Test, Granger Causality Test, Impulse Response Functions (IRF), and Variance Decomposition Analysis (VDC). The empirical results confirmed long term bidirectional causal relationship between Islamic Shariah Stock Index and Real Economic Activity in Pakistan. The findings of the study reinforce the notion that development of Islamic capital market leads to augmented level of real economic activity in the economy.Item Impact of Working Capital Management and Firm’s Profitability(UMT, Lahore, 2018) Arslan BaigThe main goal of this study is to examine the relationship between working capital management and profitability. This study has been exclusively conducted on food and personal care sector of Pakistan, study covers the past 11 years starting from 2008 to 2018 and data is collected from the financial statements. Along with the comprehensive impact of working capital management on profitability, this study divided the period of research into most recent two democratic regimes. Further study used Inventory Turnover in Days, Average Collection Period, Average Payment Period, and Cash Conversion Cycle as a comprehensive measure of working capital management. These components of the study have been tested to check their relationship with the profitability (measured by ROA) of food and care sector. Liquidity ratio and current ratio has been used as control variables to examine the liquidity level of firms in relation to the profitability. Descriptive statistics, Correlation Analysis and Multiple Regression Analysis have been used to test the relationship. The study found significant negative impact of inventory turnover, average collection and cash conversion cycle whereas the research found insignificant negative relationship of average payment period with the profitability. Moreover, study concluded that results of regime wise regressions are not the same. Finance managers can enhance profitability by keeping in view the existence of such type of relationship. Although it is advantageous but there are some external factors involved which restrict the management in achieving this goal.Item Relationship among stock markets and macro-economic variables A comparison between Pakistan and BRIC Countries(UMT, Lahore, 2018) Bilal khanThis study intends to investigate a relationship among stock market index, consumer price index (CPI), gross domestic product (GDP), foreign direct investment (FDI) and government texpenditure (GOVT.EXP) of “Pakistan and BRIC countries”. ‘co integration techniques’ have been applied on the tenure 1992-2016. Johansen co-integration for long- run and vector error correction model for short-run relationship have been implimented to find-out the relationship of mentioned variables. To find dependency of variables granger causality test has been used. The results observed by tests of co integration resolve that different countries depict different relationships in long-run and short-run. For example, both Pakistan and China have ‘4’ co integration equation for long run; while there is ‘5’ co integrating equations for Russia, and ‘3’ for India and ’01 for Brazil. Mean while vecm test depict that short rum relationship exists among Pakistan and bric countries. Likewise, results of granger causality test show that there is ‘causing variable’ in the selected period of study. Findings of the study dictate that point of view of the policy makers may be different as the causing behavior of variables of the study.Item Relationship of Investment Levels with Earnings Management(UMT, Lahore, 2018) Athar HussainThis study is all about earnings management and its relationship with firm’s investment levels. In this study, investment levels are observed against the discretionary revenues (discretionary revenue in this study is used as a proxy for earning’s manipulation), Tobin’s Q, cash flows generated from operations, prior investment levels and prior growth in fixed assets. This study comprises of nine years data(2008 – 2016) of five manufacturing sectors of Pakistan (Textile, Cement, Sugar, Fertilizer and Oil and Gas). Data is takendirectly from the published financial statements of the public listed companies (listed on Pakistan stock exchange). Results of this study show that investment levels are significantlyrelated with the current period earnings manipulation, Tobin’s Q, cash flows generated from operations and prior period investment levels, but there is no significant relationship between current investments levels with initial growth in fixed assets. Results also showthat firms tend to have higher investment levels than expected during the period in which earning is manipulated. Current period investment levels are not significantly related with the previous period’s earnings manipulation and also not with the future period’s earnings manipulation.Item Industrial Performances are Influence by Intellectual Capital Components(UMT, Lahore, 2018-10) Ahmad Fawwad KhanModern companies build get right of entry to and nurture information assets to form benefit which is not to be competitive. Material and economic capital are eclipsed through information sources to generate cost adding up for the corporation present by using continuous development for the “understanding of gaining”. Marketplace values of these groups bask in the glory of the newly receive famous person popularity with all its consciousness to direct towards high value intangible property similar to intellectual capital likewise human capital, structural capital and rational capital. Study initiate to measure the influence of intellectual capital components that include human capital(HC), structural capital(SC) and rational capital(RC) on the industrial performance measures that include MV/BV, EPS, ROA and ROE in comparison between pharmaceutical, fertilizer and petroleum sector industrials operating in Pakistan over six years’ time span that is from 2011 to 2016. Study evident by using both OLS and GLS regression models that industrial performances are influence by intellectual capital components, HC and SC are observed as key intellectual capital influential components to influence the industrial performances and fertilizer sector performances are most influenced by intellectual capital components.Item Working Capital Management - Study of Cement Industry(UMT, Lahore, 2018) Sana MansoorAbstract The management of working capital is a predominant factor to sustain and enhance profitability for the companies. Companies can accomplish optimal management of working capital making the appropriate settlement between profitability and liquidity. This research paper investigates the consequences of managing working capital to analyze its effects on company’s profitability. This study has been specifically carried out on cement sector of Pakistan, covering the most recent period of five years period from 2012 to 2016. Further study attempts to analyse the influence of working capital components on the profitability by discussing the role of these components defined as variables of the study that includes Average Collection Period, Average Payment Period, Inventory Turnover in Days and Cash Conversion Cycle. These particular variables of the study have been tested to check their relationship with the profitability of Pakistani Cement companies. Debt Ratio has been added as control variables to examine the liquidity level of the companies in relation to profitability. The study tried to find the results that help an industry in managing a firm’s working capital in an efficient way. While considering various variables of working capital management, the paper observes positive significant impact of Inventory Turnover in Days with Net Operating Profit. Whereas Net Operating Profit has strong positive correlation with Cash Conversion Cycle, whereas Average Payment Period, Average Collection Period and LN Sales are negatively correlated with profitability of a cement companies. Although it is advantageous to have such statistics but there may be some external factors which restrict the ability of management to achieve this, especially in cement sector where operating cycle is tied up with high level of work in progress.Item Impact of Remittances on Economic Growth of Pakistan(UMT, 2018-05-26) Muhammad Moazzam HassanOne of the major international financial resources in the world is remittances which occasionally exceeds the foreign direct investment flows in few economies of the world (Gapen et al., 2009). There had been number of research articles and debates on the economic growth sources within developed and under developed countries (Pradhan, Upadhyay & Upadhyaya, 2008; Fayissa & Nsiah, 2010). Remittances considered holding the strong influence on the growth of an economy. The purpose of this research study is to examine the influence of worker’s remittances on the economic growth along with few economic indicators in Pakistan. Panel data for the time period 1971 to 2016 is taken to examine the empirical linkage between the worker’s remittances and economic growth. By applying the ARDL and bound cointegration approach, the study found that there is a positive impact of remittances on the economic growth of Pakistan in the short run and long run. This study also elaborated that worker’s remittances impact increases at higher levels relative to economic growth in Pakistan. Furthermore, the study concluded positive association among the FDI, labor force, capital and economic growth for both short run and long run. However, no statistically significant linkage found between economic growth and net exports in Pakistan. The study also concluded that unattractive rate, lack of proper foreign policy, transactions through freelancing business, AML/compliance, rebates on home remittances and religious factors hurdles the growth of remittances.Item Testing Non Linear Impact of Debt Stock on Agency Cost(UMT, 2018) Hafiz Muhammad IrfanThis study explores the concept of agency cost which is conflict between managers and shareholders. This relationship has been tested using data of 6 financial and 24 non-financial companies listed on Karachi Stock Exchange during the period of 2006 to 2015 And 30 Indian companies during the period of 2006 to 2015 from Mumbai Stock Exchange. As suggested by Jensen and Meckling (1976) that relationship between leverage and agency cost may not be quadratic and excessive high leverage may have positive effect on agency cost, this hypothesis is tested using regression model. Assets Turnover (ASST), advertising expense ratio (ARDR) and administrative expense ratio (ADMR) in case of Pakistan and India are used to proxy measure agency cost. For the case of India this study finds that there is an inverted of U shaped relationship between agency cost and debt in case of total asset turnover (ASST) and U shaped relationship in case of advertising expense ratio (ARDR) and administrative expense ratio (ADMR). In Pakistan, three proxies of agency cost is used, In asset turnover model debt shown inverted U shaped relationship, advertising expense ratio (ARDR) and administrative expense ratio (ADMR) shown U shaped relationship.