Predicting Aramco's IPO Long-Term Performance During COVID Times

This paper aims to assess whether the outbreak of the highly contagious pandemic had an impact on the share prices of recently listed Aramco in light of the Fads hypothesis using the methods of neural network and ARIMA. The IPO of Aramco, the world's largest oil company, was a much-hyped affair. Given the relevant importance of the company, it was expected that Aramco's share prices would not underperform in the long run. But the analysis indicates the opposite. The study uses two time periods using the announcement of the pandemic by the World Health Organization as the threshold date to see the impact of the pandemic on Aramco's share prices. The forecasting results validate the Fads hypothesis implying that Aramco's share prices would have underperformed in the long run, even in the absence of a pandemic outbreak. Finally, the study cautions investors against the hype created by IPOs. © 2023, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

Environmental, Social, and Governance Factors in Emerging Markets: a Volatility Study

Orientation: Asset managers constructing an emerging market portfolio of stocks should, along with more traditional risk metrics, consider ESG data in their due diligence and investment decision-making processes. Research purpose: To determine whether a company's higher relative focus on ESG incorporation results in the observation of lower levels of share price return volatility, as predicted by EWMA and GARCH models. Study motivation: Institutional investors wish to understand the role that ESG data plays in mitigating the risk of emerging market portfolios and whether the results necessitate the incorporation of ESG data in due diligence and investment decision-making processes. Research approach/design and method: Categorisation of emerging market stocks using ESG scores and return volatility predicted by EWMA and GARCH models allowed for the analysis of aggregate corporate market risk. These volatilities paired with their respective annual ESG scores permitted a more company-specific view of this relationship. Main findings: Companies with higher relative ESG Combined Scores exhibit lower levels of weekly volatility, but using annualised volatility weakens this relationship. The predictive ability of ESG scores to predict volatility is weak, and this weakens still further after the onset of crises, such as the COVID-19 global pandemic. Practical/managerial implications: Incorporating ESG data into portfolio performance analysis could assist in mitigating corporate market risk. Contribution/value add: Most research considers the state of ESG investing in developed markets rather than companies domiciled in emerging markets. This work could provide a more complete perspective of the state of ESG investing. Copyright © 2022– All Rights Reserved.

Impact of the COVID-19 pandemic on the South African tobacco and alcohol industries: Experiences from British American Tobacco and Distell Group Limited.

South Africa declared a State of National Disaster due to the COVID-19 pandemic, instituting a nationwide lockdown on 26 March 2020. Sale of goods and services classified as non-essential, such as tobacco and liquor, were prohibited, leading to widespread concerns about viability, job losses and investment in these industries. The study highlighted the impact of the COVID-19 lockdown on the South African alcohol and tobacco industries, taking the Johannesburg Stock Exchange-listed British American Tobacco (BTI) and Distell Group Limited (DGH) as cases. The Chow Test was utilised to determine the presence of a structural break on the BTI and DGH share prices on both the pronouncement and enactment days of the COVID-19 lockdown. Furthermore, Threshold Generalised Autoregressive Conditional Heteroskedasticity (TGARCH) (1,1) was also used to test for the effects of the COVID-19 lockdown. The sample data used was daily closing share prices from 9 May 2019 to 9 May 2020, from Google Finance. The results show a structural break on the share prices on the enactment of the 26 March 2020, COVID-19 lockdown. Furthermore, the lockdown had a negative effect on the share prices of BTI and DGH. The study concludes that the COVID-19 lockdown will have long-lasting impacts on the ability of the industries to attract financing for recovery and expansion, and existing shareholders will experience reduced earnings, if any. Policy makers should promote investment by increasing interest rates, promoting local demand and supply, and provide business support to mitigate job losses.

Using machine learning techniques to study economic trends in various U.S. industries in the post-epidemic era

The aim of the project is to predict and analyse broad trends across the US economy using stock data from mainstream companies in six industries on Forbes 2000 and data from COVID-19. A time series analysis approach was used to predict the daily increases in each company's share price. The following five supervised learning techniques (logistic regression, random forest, decision tree, neural network and XGBoost) were used. As the accuracy of the results predicted by the different models for each company varies considerably, only the results predicted by the most accurate model for each company have been selected for analysed. The results show that the Electronic Pleased Technology Industry and the Social Entertainment Internet Industry remain break-even for COVID-19;the E-Commerce Industry shows a significant increase;The Financial Services Industry shows a significant drop in share price, while the Insurance Industry and Pharmaceutical Industry show a small drop in share price. © COPYRIGHT SPIE. Downloading of the is permitted for personal use only.

STOCK PRICE PERFORMANCE OF PHARMACEUTICAL COMPANIES: PRE-VACCINE COVID-19-POST-VACCINE COVID-19

This paper performs an analysis of the behaviour of the shares of the main pharmaceutical companies that research to obtain vaccines with a high degree of efficacy for COVID-19. A multiple regression econometric model is proposed, which relates stock prices to the impact of vaccine development on stock prices, including a dummy variable -over the time series- in the analysis. The results suggest significant associations between some pharmaceutical companies that developed vaccines in record time in the period analysed and an impact on the sector's earnings performance.

ALTERNATIVES OF GLOBAL ENERGY: TRANSFORMATIONAL TRENDS AND RISKS

The article contributes to the literature in three main areas. First, new tendencies and challenges of development of world economy and energy caused by the crisis induced by the COVID-19 pandemic are revealed, including: the regionalization of markets that creates additional basis for development of multipolar world;the aggravating instability of the alternative energy;the rising risks of disruption of long-term stability of oil supplies due to the under investment and risks of sharp oil and gas shortage;the tendency to the consolidation and enlargement of producers in oil and gas sectors, what is also increasingly possible in the Russian oil and gas industry. Second, perspectives of "green" energy to become a basis for development of world economy are analyzed. Obstacles to continuing development of "green" energy are stressed, including: the necessity of extraordinary large investments in development of economically feasible technologies;the expected acute deficit of materials for energy transition, including lithium, nickel, cobalt and other metals as well as low economic efficiency of low carbon solutions placing additional burden on consumers. The thesis of urgent importance of balanced energy development and inadmissibility of relying exclusively on alternative electricity generation is advanced. Third, shifts in strategies of global investors who presently pay the increasing attention to ecological programs, investing into carbon neutrality, green rebranding and shares buyback schemes at the expense of the fundamental financial and operational indicators. Combined with cases of court interventions in corporate decision making that exerts pressure on public companies who are forced to abandon oil and gas projects. The article argues that such an optimization doesn't solve the task of global reduction of greenhouse gases emissions and achieving carbon neutrality. A tendency for issuing of new instruments and emergence of new models of investment behavior which distort the share prices is discovered. Meantime companies with state participation and private companies are less dependent on the volatile expectations in the stock market. The article also considers the issue of ecological purity of oil and concludes that introduction of transparent system of evaluation and certification of goods and services, recognized by the whole world community is expedient.

ESG did not immunize stocks during the COVID-19 crisis, but investments in intangible assets did.

Environmental, social and governance ("ESG") scores have been widely touted as indicators of share price resilience during the COVID-19 crisis. Contrary to this conventional wisdom, we present robust evidence that once industry affiliation, market-based measures of risk and accounting-based measures of performance, financial position and intangibles investments have been controlled for, ESG offers no such positive explanatory power for returns during the COVID crisis. Specifically, ESG is insignificant in fully specified returns regressions for each of the Q1 2020 COVID market crisis period and for the full COVID year of 2020. By contrast, a measure of the firm's stock of investments in internally generated intangible assets is an economically and statistically significant positive determinant of returns during each of the Q1 market implosion and full 2020 COVID year periods. Our results are robust to alternative measures of returns, as well as for using Refinitiv, Refinitiv II and MSCI data to capture ESG performance. We conclude that ESG did not immunize stocks during the COVID-19 crisis, but those investments in intangible assets did.