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1.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
2.
This paper compares four scenarios of a model in which, for the possible presence of tippees, firm insiders may not be the
only persons having inside information. The four scenarios are that of free insider trading, that with a ban on insider trading,
that of observable insider trading, and that with full disclosure of information. Each of these scenarios is shown to be strictly
more efficient than the one before so long as there is a positive probability that a tippee exists. The paper sheds some light
on why and how insider trading should be regulated, and also on the role of the disclosure system in the overall scheme of
securities regulation.
相似文献
Zemin Lu (Corresponding author)Email: |
3.
John E. Core Wayne R. Guay Scott A. Richardson Rodrigo S. Verdi 《Review of Accounting Studies》2006,11(1):49-70
We examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies
suggested by the operating accruals and the post-earnings announcement drift (SUE) anomalies. We discuss advantages and disadvantages
of the use of managerial trading activity to infer managers’ private valuation about their own securities. Our results provide
corroborative evidence for the accruals anomaly, i.e., managers’ repurchase and insider trading behavior varies consistently
with the information underlying the operating accruals trading strategy. On the other hand, we do not find corroborative evidence
for the SUE anomaly.
相似文献
Rodrigo S. VerdiEmail: |
4.
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: |
5.
In October 2006, the NYSE began rolling-out phase three of a four-phase plan initiate its new Hybrid trading mechanism. The
results show that this new trading platform introduced a much larger proportion of electronic transactions relative to floor
auction transactions. This migration to electronic transactions is further evidenced by a mirror shift in price discovery
from floor trades to trades marked for automatic electronic execution. In addition, the move to Hybrid trading introduced
a significant decrease in inventory control costs, as well as a noticeable increase in trade persistence. Finally, the new
trading platform has increased the speed with which orders are met, and has also decreased the proportion of executed shares
which receive price improvement.
相似文献
Yiuman TseEmail: |
6.
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: |
7.
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: |
8.
Publicly traded versus privately held: implications for conditional conservatism in bank accounting 总被引:1,自引:0,他引:1
Compared with privately held banks, publicly traded banks face greater agency costs because of greater separation of ownership
and control but enjoy greater benefits from access to the equity capital market. Differences in control and capital market
access influence public versus private banks’ accounting. We predict and find that public banks exhibit greater degrees of
conditional conservatism (asymmetric timeliness of the recognition of losses versus gains in accounting income) than private
banks. We predict and find that public banks recognize more timely earnings declines, less timely earnings increases, and
larger and more timely loan losses. Although public ownership gives managers greater ability and incentive to exercise income-increasing
accounting, our findings show that the demand for conservatism dominates within public banks and that the demand for conservatism
is greater among public banks than private banks. Our results provide insights for accounting and finance academics, bank
managers, auditors, and regulators concerning the effects of ownership structure on conditional conservatism in banks’ financial
reporting.
相似文献
James M. WahlenEmail: |
9.
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: |
10.
John J. Maher Robert M. Brown Raman Kumar 《Review of Quantitative Finance and Accounting》2008,31(2):167-189
We examine the valuation effects of overall demand for corporate equities combined with the influence of abnormal earnings
and unexpected funds flow. Our results indicate that the expected and unexpected net new total flow of funds into all stock
mutual funds do not by themselves have a meaningful effect on firm equity valuation. However, we find the combination of unexpected
funds flow and realized abnormal earnings have significant and important valuation effects. Importantly, the valuation impact
is greatest for those firms with high earnings growth potential that also operate in an environment characterized by high
information asymmetry.
相似文献
Raman KumarEmail: |
11.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
12.
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 总被引:1,自引:1,他引:0
Allan A. Zebedee Eric Bentzen Peter R. Hansen Asger Lunde 《Financial Markets and Portfolio Management》2008,22(1):3-20
We examine the impact of monetary policy on the S&P 500 using intraday data. The analysis shows an economically and statistically
significant relationship between S&P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude
of the response is dependent on whether the change was expected or unexpected. An expected change in the Fed funds target
rate has no impact on prices in the broad equity market; however, an unexpected change of 25 basis points in the Fed funds
target rate results in an approximate 48 basis points decline in the broad equity market’s return. The speed of these market
reactions is rapid with the equity market reaching a new equilibrium within 15 minutes.
相似文献
Allan A. ZebedeeEmail: |
13.
Yalin Gündüz Torsten Lüdecke Marliese Uhrig-Homburg 《Journal of Financial Services Research》2007,32(3):141-159
Credit default swaps (CDSs) are among the most successful financial innovations of recent years, which is reflected in the
rapidly expanding market. CDS trading occurs in the over-the-counter market, which relies heavily on broker intermediation
to arrange trades. We provide empirical evidence that liquidity in the voice brokered market varies with the particulars of
the CDS contracts and that the differences in market structure is reflected in the costs of liquidity. Moreover, the brokered
and direct interdealer trading markets seem to be well integrated; thus the higher liquidity costs in the brokered market
may reflect the value of intermediation. Hybrid market structures, which combine voice brokerage with an electronic platform,
are discussed as a viable alternative to fully automated trading systems.
相似文献
Yalin GündüzEmail: |
14.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
15.
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: |
16.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
17.
Ben R. Marshall Martin R. Young Rochester Cahan 《Review of Quantitative Finance and Accounting》2008,31(2):191-207
We show that candlestick charting, the oldest known form of technical analysis, is not profitable in the Japanese equity market
over the 1975–2004 period. Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply intertwined
with Japanese culture and is very popular in Japan. However, there is no evidence candlestick technical trading strategies
add value in either the entire 30 year period, in three 10 year sub-periods or in bull or bear markets.
相似文献
Rochester CahanEmail: |
18.
The relationship between (a) private and public equity market valuations and (b) financial statement information is examined
for a sample of 502 venture capital backed companies from six different industries over the 1993–2003 period. Financial statement
information explains a sizable component of the levels of and changes in valuation in both the Pre-IPO and Post-IPO periods.
The findings support prior research for Post-IPO companies that revenues are value enhancing and costs are value diminishing.
For the Pre-IPO period, we find that cost of sales; sales, marketing, general and administrative; and research and development
are value enhancing—even when revenues are included in the analysis. This is consistent with costs incurred by early-stage,
venture-backed companies having a strong “investment aspect” as the companies build a platform/infrastructure to grow revenue
and validate their business model(s). We document the growth of early stage companies for revenues and costs in both calendar
time (by round of private equity financing) and event time (relative to their eventual IPO).
相似文献
George FosterEmail: |
19.
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: |
20.
Large orders, particularly from institutions, are quite common these days and hence there is interest to know if institutional
trading has any bearing on the price effect associated with large trades. Recent empirical studies contradict earlier evidence
of negative price effect on selling large blocks and find no price effect associated with large trades. Existing theoretical
framework suggests a monotonic and increasing adverse price effect for large trades, where the motivation for a large trade
is private information. We model a trading system where pure information, information-liquidity, and pure liquidity traders
trade small and large sizes. The pure information traders strategically choose an order size. Institutions trade only large
sizes because of their low execution costs for large trades; they are information-liquidity traders whose ability to use an
information signal to determine their trades is subject to a binding liquidity constraint. We show that in such a market a
separating equilibrium where trade size is informative does not exist and hence there is no price effect for large trades.
Trade size may be revealing only if there is a buy sell asymmetry (large buy size is not equal to large sell size) or the
corresponding price effect is asymmetric (price effect due to a large buy is not equal to that of a large sell). Further for
a pooling equilibrium to exist, where trade size is not informative, the width of the market denoted by the ratio of order
size (large size/small size) needs to be small, while the shallowness (inverse depth) of the market denoted by the ratio between
pure information and institutional trades and the information signal needs to be stronger (higher). Our results on bid and
ask prices and spread confirm recent empirical evidence on price effect of large and institutional trades found in the literature.
相似文献
Malay K. DeyEmail: |