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1.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
2.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
3.
Marcel Naujoks Kevin Aretz Alexander G. Kerl Andreas Walter 《Financial Markets and Portfolio Management》2009,23(1):3-29
We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids
well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks
to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts
anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their
private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics,
including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition
among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.
相似文献
Andreas Walter (Corresponding author)Email: |
4.
Henryk Gurgul Paweł Majdosz Roland Mestel 《Financial Markets and Portfolio Management》2007,21(3):353-379
This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of
DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December
2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume
in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition,
we establish that lagged return volatility induces trading volume movements. Finally, we examine dependencies in the tails
and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading
volume.
相似文献
Roland Mestel (Corresponding author)Email: |
5.
Firm diversification and earnings management: evidence from seasoned equity offerings 总被引:4,自引:3,他引:1
Chee Yeow Lim Tiong Yang Thong David K. Ding 《Review of Quantitative Finance and Accounting》2008,30(1):69-92
Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine
this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings
upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals
are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent
of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers
with high discretionary accruals underperformed other SEO firms.
相似文献
David K. DingEmail: |
6.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
7.
Howard W. H. Chan Robert W. Faff Philip Gharghori Yew Kee Ho 《Review of Quantitative Finance and Accounting》2007,29(1):25-51
The Australian accounting environment provides an ideal setting for examining the impact of different accounting treatments
of firms’ R&D activities on their subsequent returns. Unlike US firms, which can only expense R&D, Australian GAAP permits
firms to either expense or capitalize their R&D expenditure. We examine separately the market impact of the R&D intensity
of all R&D active firms, ‘capitalizers’ and ‘expensers’. Our results suggest that firms with higher R&D intensity perform
better, regardless of the accounting method used, consistent with the resource-based view of the firm. We also find some evidence
that firms which expense R&D outperform those which capitalize R&D after controlling for R&D intensity.
相似文献
Yew Kee HoEmail: |
8.
Why do firms repurchase stock to acquire another firm? 总被引:1,自引:0,他引:1
Robin S. Wilber 《Review of Quantitative Finance and Accounting》2007,29(2):155-172
This study investigates firms that repurchase their stock to finance an acquisition. Since research shows that cash-financed
acquisitions perform better than stock-financed acquisitions, why do firms that have available cash initiate the extra transactional
step. I find these firms are well compensated for their efforts, especially in the long run. On average, these firms have
negative abnormal returns prior to their repurchase announcements and thus may choose repurchasing to signal undervaluation.
Furthermore, the stock acquisition step allows these firms to share risk, counteract the negative effects of dilution, and
enjoy a tax advantage for their efforts.
相似文献
Robin S. WilberEmail: |
9.
Carl R. Chen Peter P. Lung F. Albert Wang 《Review of Quantitative Finance and Accounting》2009,32(4):317-349
This paper employs the Campbell-Shiller (Rev Financ Stud 1:195–228, 1988) VAR model to derive a model-based mispricing measure that captures investor overreaction to growth. Using this mispricing
measure, we find that stocks with low levels of mispricing outperform otherwise similar stocks. The long–short mispricing
strategy generates statistically and economically significant returns over the sample period of July 1981 to June 2006. Moreover,
this mispricing strategy outperforms the contrarian strategy using various accounting-fundamental-to-price ratios. Our results
cast doubt on the risk story in explaining the abnormal returns of the mispricing strategy. Rather, our evidence suggests
that asset prices reflect both covariance risk and mispricing.
相似文献
F. Albert WangEmail: |
10.
Robert D. Campbell Erasmo Giambona C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2009,38(2):105-114
We study long-horizon shareholder returns in a comprehensive sample of Real Estate Investment Trust (REIT) mergers, to test
whether or not the anomaly of post-merger underperformance observed in conventional firms applies to the case of REITs. Constructing
synthetic benchmark portfolios controlling for firm size and for book-to-market value ratio, we find that 60-month buy-and-hold
abnormal returns for REIT acquirers are significantly negative at approximately −10%, supporting the position that REIT merger
acquirers underperform non-merging REITs in the long run. We find no evidence to challenge previous studies reporting positive
announcement period returns for acquirers when the target is privately held, but we do find evidence that these positive returns
do not persist. The long term performance of acquiring REITs is approximately the same whether the target is public or private.
相似文献
C. F. SirmansEmail: |
11.
Steven Shuye Wang Wei Li Louis T. W. Cheng 《Review of Quantitative Finance and Accounting》2009,32(3):235-267
We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces
additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying
stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities
for speculative and arbitrage activities using futures directly against options. These futures and options trading activities
are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility
and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity
of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings
are robust.
相似文献
Louis T. W. Cheng (Corresponding author)Email: |
12.
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics
across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific
benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well
as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights
defined by industry sectors, assets, and geographical regions is important to the assessment of fund management. For each
set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.
相似文献
Mitch Warachka (Corresponding author)Email: |
13.
Annette Nguyen Robert Faff Philip Gharghori 《Review of Quantitative Finance and Accounting》2009,33(2):141-158
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying
for risk associated with future GDP growth in the Australian equities market. To assess the validity of Vassalou’s findings,
we augment the CAPM and the Fama–French model with a GDP growth factor and run system regressions of the GDP-enhanced models
using the GMM approach. Our results suggest that news about future GDP growth is not priced in equity returns and that any
ability that SMB and HML exhibit in explaining equity returns is not because they contain information about future GDP growth.
相似文献
Philip Gharghori (Corresponding author)Email: |
14.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
15.
Andros Gregoriou Christos Ioannidis Sugata Ghosh 《Financial Markets and Portfolio Management》2009,23(3):271-283
In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10
international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM)
model proposed by Campbell and Shiller (Rev. Financ. Stud. 1:195–228, 1988) to incorporate time varying proportional transaction costs. We rigorously address both the cross-country heterogeneity in
the estimated model and endogeneity. We find strong evidence that suggests transaction costs should be included as an additional
explanatory variable in the CCAPM. This leads to the conclusion that transaction costs should be included in asset pricing
models as their stochastic process impacts directly on private consumption expenditure.
相似文献
Andros GregoriouEmail: |
16.
Derek K. Oler 《Review of Accounting Studies》2008,13(4):479-511
This paper investigates whether an acquirer’s pre-announcement cash level can predict post-acquisition returns. Harford (1999, Journal of Finance, 54, 1969–1997) shows that some cash-rich acquirers have lower announcement period returns than other acquirers, suggesting the
market partially anticipates poor future performance. This paper shows that the acquirer’s cash level is also strongly and
negatively predictive of post-acquisition returns, indicating that the announcement response is incomplete. Post-acquisition
return on net operating assets (RNOA) is significantly decreasing in acquirer cash, suggesting that the market responds to
subsequent poor operating performance as it is reported. Overall, these results are consistent with the market’s inattention
to a less prominent accounting signal (acquirer cash) but attentiveness to a more prominent accounting signal (RNOA), as proposed
by Hirshleifer and Teoh (2003, Journal of Accounting Economics, 36, 337–386).
相似文献
Derek K. OlerEmail: |
17.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
18.
In this paper we analyze the price dynamics of international property shares for the ten most prominent markets from around
the world plus South-Africa. We focus on the presence of calendar effects in daily and monthly price returns and examine these
effects both over time and across countries. For the daily returns we find price anomalies for Fridays and Mondays in all
markets. Friday returns tend to be the highest of the week, while Mondays are weakest. We find that these patterns were most
prominent during the 1980s and early 1990s and in the smaller markets in our sample. For the monthly returns we found little
evidence for price irregularities. In most cases January was superior to most other months, but these differences lacked statistical
significance. More interesting was the sell in May effect that seemed to be present in ten out of 11 markets. Price returns
during the winter season outperformed the summer months and in five countries these difference were both economically and
statistically significant. Finally, we looked at firm level returns to isolate the drivers of these infamous calendar effects.
The day-of-the-week effect appears to be most pronounced among small and young firms that have little or no institutional
investors. Large and long-established listed real estate firms with a large portion of loyal block-holders experience no significant
price patterns during the trading week.
相似文献
Dirk BrounenEmail: |
19.
This paper looks at the reaction by industry insiders, industry analysts and competing firms, to the announcement of M&As
that took place in the European Union financial industry in the period 1998–2006. Analysts covering firms involved in an M&A
transaction do not significantly alter their recommendation. This is consistent with the hypothesis that the transaction on
average is “fairly priced” and that stock market prices reflect all relevant information on the assets. We also find that
the correlation between excess returns for merging and competing firms is positive and, in some cases, significantly higher
for domestic mergers than for international deals. This is consistent with the idea that domestic deals are more likely to
have a negative impact on industry competition.
相似文献
Ignacio HernandoEmail: |
20.
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the US findings
of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and US markets that could impact on merger motives.
Compared with the US, New Zealand is a small capital market; with weak takeover regulation and a prolonged aftermath of the
1987 stock market crash. Consistent with US research, we find evidence of synergy and hubris motivations in New Zealand takeovers
although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.
相似文献
Hamish D. AndersonEmail: |