Ranadeva Jayasekera | Trinity College Dublin (original) (raw)

Papers by Ranadeva Jayasekera

Business History Review, 2022

Warren Buffett famously commented that the U.S. airline industry had made zero profit in its firs... more Warren Buffett famously commented that the U.S. airline industry had made zero profit in its first nine decades. Subsequently, between the millennium and the Great Financial Crisis the airlines in total lost almost $60 billion. Yet no major airline was liquidated or taken over in those nine years. Financial support was repeatedly provided by GE, the conglomerate supplier of leasing finance, engines, and servicing. The article offers a historical perspective on the factors behind this relationship between GE and airlines. It outlines the benefits or costs to GE, airline shareholders, and passengers; the relevance of the model for other industries; and implications for different notions of efficiency.

International Review of Financial Analysis, 2022

This paper presents a picture of the risk spillover relationship of green & black bonds in As... more This paper presents a picture of the risk spillover relationship of green & black bonds in Asia. In normal situations and the long-term horizon, green bonds and black bonds have similar impacts with each other, with a slight predominance of black bonds. From the dynamic connectedness results, the sample period is classified into three stages. The first stage is a period with equal role of green and black bonds from Jan 2018 to Feb 2020, which is regarded as a normal situation of the bond market. The second stage is the unbalanced period with a turning point of the Covid-19, with the increased gap of the connectedness exported by green and black bonds. The third stage is the recovery period after Oct 2020, with the role of green and black bonds recovered slowly to the equal status. In addition, the green-to-black connectedness in longer term witnesses faster and stronger recovery, which suggests that the long-term influences of green bonds are relatively stable than the short-term influences. Moreover, the paper tests the effects of the same issuer. Our analysis shows that there are strong connections among bonds in the Philippines that are issued by the same institution. However, the same issuer is not a sufficient condition for a strong connectedness. Furthermore, our analysis in China Mainland, reveals that the green policy will firstly cause the change of green bonds price and then spillover the impact to conventional markets. Through the study of the drivers of connectedness dynamics in four directions (green-to-green, black-to-black, green-to-black, black-to-green), we present empirical findings that are crucial for investors and policymakers in risk management, hedging strategy, and green investment acceleration.

Annals of Operations Research, Sep 29, 2022

This paper investigates the role of resource allocation in alleviating the impact on from disrupt... more This paper investigates the role of resource allocation in alleviating the impact on from disruptions in healthcare operations. We draw on resource orchestration theory and analyse data stemming from US healthcare to discuss how the US healthcare system structured, bundled and reconfigured resources (i.e. number of hospital beds, and vaccines) during the COVID-19 pandemic. Following a comprehensive and robust econometric analysis of two key resources (i.e. hospital beds and vaccines), we discuss its effect on the outcomes of the pandemic measured in terms of confirmed cases and deaths, and draw insights on how the learning curve effect and other factors might influence in the efficient and effective control of the pandemic outcomes through the resource usage. Our contribution lies in revealing how different resources are orchestrated ('structured', 'bundled', and 'leveraged') to help planning responses to and dealing with the disruptions to create resilient humanitarian operations. Managerial implications, limitations and future research directions are also discussed.

Megatrends in International Business, 2022

Our time series consists of monthly data on renewable energy production and Industrial Production... more Our time series consists of monthly data on renewable energy production and Industrial Production Indices (IPI).

SSRN Electronic Journal, 2011

ABSTRACT The paper introduces the notion of “financial flexibility” which is then valued as a rea... more ABSTRACT The paper introduces the notion of “financial flexibility” which is then valued as a real option using a model based on arithmetic Brownian motion involving a path dependant option pricing framework. In its application to the airline industry paper concludes that the optimal capital structure – if the value of financial flexibility is incorporated - should be at a lower debt to equity ratio than traditionally prescribed. A method of integrating the value of financial flexibility into the traditional theories of capital structure is proposed and demonstrated that (at least) in the airline industry, failure to do so can result in a significant misstatement in a firm’s value and its optimal capital structure. This paper presents a methodology of incorporating the value of financial flexibility in a manner that can be empirically tested. The results are consistent with the view that financial flexibility in the form of untapped reserves of borrowing power is a crucial missing link in capital structure theory.

Journal of International Money and Finance, 2014

ABSTRACT This paper empirically investigates the asymmetric effect of news on the time-varying be... more ABSTRACT This paper empirically investigates the asymmetric effect of news on the time-varying beta of selected banks from seven European countries during the current crisis period and also during the pre-crisis period. The paper applies daily data from thirteen large banks from France, Germany, Greece, Ireland, Italy, Portugal and Spain. The sample size ranges from 2002 to 2013 and includes the current global financial crisis (2007-2013). The BEKK GARCH model is first employed to estimate the time-varying beta and then linear regression is applied to investigate the asymmetric effect of news on the beta. The asymmetric effects are investigated based on both market and non-market shocks. Results show that some evidence of market efficiency can be witnessed via non-market shocks, however the market shocks indicate that the European banks foster a significant amount of uncertainty leading to asset mispricing. Results also show a clear rift in terms of quality of results between France and Germany taken as a group and the rest of the countries under study. These results shed light on the level of market efficiency and hedging strategies.

International Review of Financial Analysis, 2012

This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying be... more This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying betas of firms in the banking industries of the UK and the US during good periods (booms) and bad periods (recessions). Daily data from eleven UK and US firms of different sizes from the banking industries are applied in the empirical tests. The data ranges from 2004 to 2011, which includes the global financial crisis of 2007-2011. The time-varying betas are created by means of the bivariate BEKK GARCH model and then linear regressions are applied to test for the asymmetric effect of news on the beta. The asymmetric effects are investigated based on both market and non-market shocks. We find that most banks in the UK and the US seem to support the market efficiency hypothesis during both periods. The level of market efficiency however seems to decline significantly from the pre-crisis to the crisis period. These results shed light on the level of market efficiency and hedging strategies.

Review of Quantitative Finance and Accounting, 2013

This paper investigates the effect of good or bad news (the asymmetric effect) on the time-varyin... more This paper investigates the effect of good or bad news (the asymmetric effect) on the time-varying beta of firms in the UK during good periods (booms) and bad periods (recessions). Daily data from twenty five UK firms of different sizes and from different industries are applied in the empirical tests. The data ranges from 2004 to 2010, which includes the current global financial crisis. The time-varying betas are created by means of the bivariate BEKK GARCH model, and then linear regressions are applied to test for the asymmetric effect of news on the beta. The asymmetric effects are investigated based on both market and non-market shocks. Most firms and industries seem to support the market efficiency hypothesis during both periods. However, the level of market efficiency seems to decline significantly from the pre-crisis to crisis period. Both the results of market efficiency and declining market efficiency from the pre-crisis to crisis periods provide ample evidence of the asymmetric effect of the financial crisis on the beta of UK firms.

SSRN Electronic Journal, 2012

ABSTRACT We develop a general theory of the firm that models investment and financing decisions s... more ABSTRACT We develop a general theory of the firm that models investment and financing decisions simultaneously. Equity holders maximize shareholder value over an infinite time horizon through selecting the optimal time path of capital stock. Growth in capital stock is subject to investment constraints determined by the availability of internal and external finance. In order to reach the steady state faster and maximize value, equity holders can select debt and equity issues. The firm’s investment decision and exogenous price shocks influence cash flows. Hence, the firm exhibits default risk due to exogenous shocks and investment decisions. Debt holders select the debt ceiling, which defines the firm’s debt capacity, to control their exposure to default risk. Cost of debt is determined on the market for external finance and reflects default risk. The model shows that capital structure affects firm value if the firm has not reached its steady state. In the absence of information asymmetry, the model establishes a pecking order of internal and external finance. Once the firm approaches its steady state, the model converges to the classic Irrelevance Theorem. Hence, the model is a general theory of the special case described by Modigliani and Miller (1958).

SSRN Electronic Journal

This paper examines whether prudential policies help to reduce sovereign bond vulnerability to gl... more This paper examines whether prudential policies help to reduce sovereign bond vulnerability to global spillover risk in ASEAN-4 countries (Indonesia, Malaysia, the Philippines, and Thailand). We measure sovereign vulnerability within a risk connectedness network among sovereign bonds. The direct effect is that markets with tighter prudential policies have significantly smaller spillovers from the Treasury yield shocks of other regional and global economies. The sum of indirect and direct effects indicates that prudential policies reduce sovereign spillover risk in the long term. These findings suggest prudential policies have dual efficiency in sovereign risk regulation and Treasury internationalization.

Annals of Operations Research

It is well documented that the biopharmaceutical sector has exhibited weak financial returns, con... more It is well documented that the biopharmaceutical sector has exhibited weak financial returns, contributing to underinvestment. Innovations in the industry carry high risks; however, an analysis of systematic risk and return compared to other asset classes is missing. This paper investigates the time–frequency interconnectedness between stocks in the biotech sector and ten asset classes using daily cross-country data from 1995 to 2019. We capture investors' heterogeneous investment horizons by decomposing time series according to frequencies. Using a maximal overlap discrete wavelet transform (MODWT) and a dynamic conditional correlation (DCC)-Student-t copula, diversification potentials are revealed, helping investors to reap the benefits of investing in biotech. Our findings indicate that the underlying assets exhibit nonlinear asymmetric behavior that strengthens during periods of turmoil.

Academy of Management Proceedings, Aug 1, 2018

The coupling of organizational policy with practice is customarily attributed to the presence of ... more The coupling of organizational policy with practice is customarily attributed to the presence of institutional pressures. This paper reports a study o f an international non-governmental organization (INGO) in which day-today practice was coupled with symbolic rituals in spite of the absence of institutional pressures. This disconfirmatory finding indicates the need to move away from structural-deterministic models of coupling that presume a functional compliance between external pressures and organizational practices-toward fresh perspectives that shed light to latent phenomenological processes underlying the substantive implementation of organizational rituals. To this end, we propose that coupling can be an unintended organizational state made possible due to failure to appreciate the cynical and mythological underpinnings of institutional rituals.

The International Journal of Human Resource Management

This study empirically investigates the myopic behavior of the stock market toward firms' human c... more This study empirically investigates the myopic behavior of the stock market toward firms' human capital resource investment, paying particular attention to two key proxies: human resource expenditure and the firm value added allocated to the employees. Focusing on human capital resource investment decisions' alignment with near versus longer-term emphasis by investors, we examine firms listed in the Financial Times Stock Exchange (FTSE) 100 over a five-year period using an established accounting-based valuation model. Our results show that human capital investment discourse leads to overweighting of the forecasted longer-term earnings in the apportionment of share price constituents, suggesting that investors consider investment in employees to generate more return in the longer-term. Additionally, our findings prove that investors respond to firm level human capital resource as an investment generating more return in the longer-term. This emphasises the importance of communicating human capital resource investment information that accurately reflects the firm value creation via employees in external financial reporting.

Review of Quantitative Finance and Accounting

The Hong Kong stock market is known to be highly volatile. Professional investors have a strong d... more The Hong Kong stock market is known to be highly volatile. Professional investors have a strong demand for timely information because of the infrequent nature of Hong Kong analysts’ interim reports (Cheng et al., 2003). Our paper provides a comprehensive study of investor reactions to analysts’ recommendations in the Hong Kong stock market from 2009 to 2014 under different sentiment scenarios. We find that analysts’ recommendation upgrades and downgrades deliver significant information to the Hong Kong stock market. However, analysts’ initiation coverages convey little information and bring about limited impact to the stock market. In addition, analysts’ upgrades and downgrades result in significant differential price impacts in bullish and the bearish phases.

International Journal of Finance & Economics