Accounting variables and stock returns： Evidence from Istanbul stock exchange

The fundamental relationship between accounting variables and stock returns is a recurring theme in financial research. One of the major purposes of accounting is to help investors provide reliable, comparable and accurate information. If accounting data are informative about fundamental values and changes in values, they should be correlated with stock price changes. This study provides theory and evidence showing how accounting variables explain stock returns and examines the relationship between the stock returns and accounting variables of listed non financial companies in ISE-100 Indice for 2006-2008 period by using panel data methodology. Empirical analysis consists of 192 observations of 64 companies in years 2006-2008 to examine the effects of inventory, accounts receivable, gross margin, operating expense, return on assets, cash flow, leverage, liquidity, price/earnings, return on equity on stock returns. The results of the study confirm that the predicted roles of fundamental factors and stock returns are significantly related to gross margin, cash flow, leverage and equity variables. The model explains about 13.35 % of the variation of annual stock returns with the leverage variable with most of the significant power.     

Dividend policy determinants of Indian FMCG sector： A factorial analysis

Profitability has always been considered as a primary indicator of dividend payout by a company. There are factors other than profitability namely cash flows, debt equity ratio, retained earnings, sales growth, share prices of a company, capital expenditure and beta etc. that also affect dividend decisions of an organization. Existing literature suggests that dividend payout is positively related to profits, cash flows while CAPEX （capital expenditure） retained earnings, sales growth, share prices, beta, interest paid and debt equity ratio have inverse relationship. A set of 21 key variables have been identified that affect the dividend payout of a firm. Researchers in the past have used several proxies to represent these determinants. Authors have tried to find out which proxy variable is most relevant in the present scenario. The paper attempts to give a focused overview of the important dividend theories and empirically analyze the determinants of dividend behavior of Indian FMCG （Fast moving consumer goods） sector. The relationship between key variables has been explored with the aid of statistical techniques of factor analysis. Thus, the main theme of this study is to examine the various factors that influence the dividend policy decisions of FMCG firms in India.     

Long Window Tests of China＇s Stock Market Efficiency in Different Sectors around the Disclosure of Annual Report

10 stock sectors are selected in Shanghai and Shenzhen stock market＇s as samples. By event study, the change of stock＇s cumulative abnormal return rate around the data of annual report disclosure was analyzed among the year 2004-2008. The market reaction pattern of such kind of news was summarized in order to test the efficiency of China＇s stock market and its trend before and after the comprehensive completion of the Share-trading Reform and the imple- mentation of new Accounting Standards. The conclusion is that Chinese stock markets response more accurately to ROE and EPS; its efficiency continued to decline in 2005 and 2006, but there was a gradual increase in 2007 and in 2008; and in general the capital market do not reach the semi-strong efficiency, but the machinery industry and biopharmaceutical industry have done.     

Dependencies between price duration,volatility, volume and return on the Warsaw Stock Exchange

The successive changes of asset prices are the most visible manifestation of financial markets dynamics. There exist different views about factors generating these changes, but many researchers and practitioners agree that the most important among them is the impact of information flow. According to the market microstructure theories, it depends mainly on the behavior of informed and uniformed traders. In the paper, we investigate dependencies between the possible proxies of information process： price duration and corresponding to it volume change and return. Our main objective is to answer the question about the most important factor in the process of discovering information by uniformed traders. We apply a set of models for volatility, volume and duration data. Our analysis is performed for selected equities listed on the Warsaw Stock Exchange and uses tick-by-tick data. The obtained results show that the stock liquidity on this leading stock market in Central and Eastern Europe is the most important factor influencing the process of discovering information by uninformed traders.     

Debt Rating Initiations： Natural Evolution or Opportunistic Behavior？

The authors examine a firm＇s decision to begin issuing debt in public bond markets and find that it is a function of both life cycle influences and opportunistic timing. Defining life cycle factors to encompass both a firm＇s age in years and its underlying characteristics, the authors confirm that bond market participation is generally restricted to large, mature firms. Summary statistics show that finns obtain their initial bond ratings on average 9.5 years after their equity initial public offering （IPO） and 11.8 years after initiating dividend payments. Growth rates, capital expenditures, and cash flow volatility all decline as the firm accesses public debt markets, consistent with entry into the mature phase of its life cycle. With respect to opportunistic timing, it is asked whether entry into public bond markets follows strong performance （or precedes weak performance） at both the firm and market levels. At the firm level, the authors find that the debt IPO occurs following periods of strong operating performance and high excess stock returns. At the market level, entry coincides with favorable interest rates and default spreads. The benefits of careful timing result in firms receiving initial bond ratings that are stronger than what would be predicted; however, there is no evidence of abnormal numbers of downgrades for these firms in subsequent years.     

Does an Auditor＇s Within-Industry Market Share Still Capture Auditor Industry Expertise in a Mandatory Audit Partner Rotation Regime？

Prior studies commonly use an auditor＇s market share in an industry as a proxy for auditor industry expertise and find that audit quality is positively related to an audit partner＇s within-industry market share in a voluntary audit partner rotation regime where the length of the client-partner relationship is not limited. Mandatory audit partner rotation, however, limits the length of the client-partner relationship and can artificially increase or decrease the market shares of incoming and departing partners, thus making the audit partner＇s within-industry market share an unreliable proxy for auditor industry expertise. Using a sample of banks in Taiwan, we find that audit quality is positively related to an audit partner＇s within-industry market share in the voluntary audit partner rotation regime. However, such a positive relation disappears in the mandatory audit partner rotation regime. Thus, we conclude that mandatory audit partner rotation decouples the link between an audit partner＇s within-industry market share and auditor industry expertise and caution researchers against using an audit partner＇s within-industry market share as a proxy for auditor industry expertise in a mandatory audit partner rotation regime.     

Pressure of Competition to Listed Companies in Commodity Market and Selection of Financial Leverage

As revealed by some competition of commodities supplied foreign experts, the financial leverage has an impact on the market by different listed companies, and low financial leverage implies a competitive edge but high financial leverage is liable to fail in business operation. Viewing from such an angle, the low financial leverage is in fact a conservative financial behavior, which means a reasonable selection. Generally, Chinese listed companies prefer financing from offering equity shares, which is regarded as a reasonable selection weighing both gains and risks. However, based on an analysis of the pressure of market competition to the listed companies of various industries and how they select their own fit/ancial leverage, it is found that there is an extremely unmatched phenomenon in China＇s capital market, i.e., the keener the commodity market competition is, the higher the financial leverage of listed companies will be. Therefore, the over-financing from offering equity shares is coexisting with under-financing from offering equity shares in China＇s capital market at present, and both lead listed companies to low efficiency.     

The institution efficiency of stock price limits： An experimental analysis on the two stocks market with continuous bid

Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.     

Stock Repurchase and the Role of Signaling： A Comparative Analysis between U.S. and China

This paper compares different methods used for stock repurchase and examines the role of signaling in the U.S. and China＇s capital markets. We find that the ways to buyback stocks are very different in the two countries. Most U.S. stocks are repurchased through open market and the signals sent to the market through open market repurchase are getting weaker. Even though stock repurchases are at their early stage in the Chinese stock market and the dominated way to buyback is through a negotiated repurchase agreement for non-floating shares, the power of signaling seems much stronger. Examining stock prices pre- and post-repurchase, we find that stock repurchase records an average abnormal return of 3.42% on the announcement date and 3.24% on the date of actual renurchase.     

An Extreme Value Approach to Test the Effect of Price Limits on Volatility

Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.     

The Changes in World Oil Prices, Monetary Factors, and Foreign Index Toward Composite Index Movement： Indonesian Case for the Period of 2005-2011

Capital market is one of the drivers of the economy through the formation of capital investor excess as well as an indicator of a country＇s economy. Movement of stock price index is often influenced by many factors, derived from the company＇s performance, monetary factor, and changes in world oil prices. This study highlights the problem in world oil prices due to political turmoil in the Middle East. The samples are taken from the Jakarta Composite Stock Price Index （JCI）, oil prices, Indonesian inflation rate, Certificate of Bank Indonesia＇s （CBI） rate, and the reserve assets, during the period from January 2005 to December 2011 （84 months）. Using the data published by the Bank of Indonesia, reports of the Central Bureau of Statistics （Biro Pusat Statistik, BPS）, and other relevant sources, the data analyzed through the Eviews 7.1. The main objective of this study is to examine the effect of oil prices, foreign stock price index, and monetary variables （inflation rate, CBI rate, country＇s foreign reserves, and others） toward the JCI analyzed through the error correction model （ECM）. Hypothesis testing with the F-test for the 95% confidence level indicates that the oil price, exchange rate （Indonesian Rupiah （IDR）/United States Dollar （USD））, CBI rate, foreign exchange reserves, the Dow Jones Index, and the Taiwan stock index, both simultaneously as well as partially have a significant influence on the JCI.     

The degree of IPO underpricing in China

This paper studies the IPO underpricing in the emerging stock market of China. The empirical results reveal that in China, the degree of IPO underpricing measured by first-day return is more than 100%, which is a prevailing phenomenon for almost all IPO firms, regardless of the IPO time and the industry of the firm The degree of IPO underpricing in China is larger than the IPO initial returns documented in almost all the other countries. This considerable underpricing in China can hardly be explained by the information asymmetry theory and agency theory.     

A Panel Data Analysis of Corporate Attributes and Stock Prices for Indian Manufacturing Sector

Stock prices have always been considered as unpredictable phenomena due to their dynamic patterns. Identifying the forces that contribute to variations of stock prices is probably one of the most researched areas in finance. This study relates stock prices to the stock volatility （measured by beta） and to corporate attributes, i.e., size, liquidity, profits, leverage, and returns. The study is based on manufacturing sector in India, and it is based on a sample of 3,027 manufacturing companies during the periods from 1991-1992 to 2006-2007 collected from the Centre for Monitoring Indian Economy （CMIE） database. The regressions were performed with the dummies for time effect and firm effect separately and then for both effects together. Panel data models have been used to estimate the stock prices equation. The model finds out fixed and random effects between independent and explanatory variables and analyzes them through Hausman test. The paper also studies multicollineairity that may exist amongst the selected variables. The study shows that volatility （represented by Beta）, profit （represented by earnings per share （EPS））, and size （represented by market capitalization （MCAP）） significantly influence the stock prices （at the level of 5%）. Panel data analysis using Hausman test supports the fixed effect model.     

The Terminal Value （TV） Performing in Firm Valuation： The Gap of Literature and Research Agenda

The uncertainty about the future of firms must be modeled and incorporated in the valuation of enterprises outside the explicit period of analysis, i.e., in the continuing or terminal value （TV）. There is a multiplicity of factors that influence the TV of firms which are not being considered within current evaluation models. This aspect leads to the incurring of unrecoverable errors, thus leading to values of goodwill or bad will far away from the substantial value of intrinsic assets. As a consequence, the evaluation results will be presented markedly different from market values. There is no consensus in the scientific community about the method of computation of the TV as a forecast in an infinite horizon. The size of the terminal, or non-explicit period, assumed as infinite, is never called into question by scientific literature, or the probability of business bankruptcy. This paper aims to promote a study of the existing literature on the TV, to highlight the fragility of the evaluation models of companies that have been used by the academic community and by financial analysts, and to point out lines for future research to minimize these errors.     

Are Islamic incomes relevance to commercial banks in Malaysia？

A significant price-to-earnings relation is evident in many research findings, which includes study on Malaysia Stock Markets, that the strength, consistency and magnitude of the relation are not as large as those reported in institutionally more developed markets. However, the price adjustment is stronger if price reaction is measured over a long periods, which is consistent to speculative trading. Firm-specific variables such as revenue, firm size and debt-equity have no incremental information content beyond earnings implies that the market monitoring process in an emerging market focuses on earnings only during financial announcement. Therefore, this paper revisited the study on the relevant of accounting banks in Malaysia using the earnings response coefficients, earnings by looking at Islamic Income for commercial which are the earnings-to-share return coefficients that are estimated for sub earnings components by including Islamic banking incomes in the analysis. This paper discovered that though there is a positive effect, the earnings from Islamic banking operation are small. Thus, the total earnings as well as the sub-categories of earnings of banks appear to enter the pricing considerations of investors.     

Value-relevance of accounting numbers for valuation

Recent empirical work suggested that the ability of accounting numbers to explain the relationship between accounting numbers and stock prices has deteriorated over the past four decades. The findings of this study suggest that the accounting earnings and book value are capturing most of the information that is relevant to assess the values of firms. At the same time, it also suggests that earnings and book value as well as non-accounting beta are more valued during the financial crisis as compared to after the financial crisis. Overall, the accounting estimate of the value of the firm is not deviating from the markets＇ estimate, which suggests that accounting numbers play an important role in the valuation of firms in Malaysia.     

Incentive and Entrenchment Effects of Large Shareholdings： Evidence from Chinese Public Corporation

This paper studies incentive effect and entrenchment effect of the largest shareholder. Author investigates 763 listed companies in SHSE, explores the statistical relationship between the largest shareholding and corporate performance. Author observes that the largest shareholder has the incentive effect and entrenchment effect on corporate valuation. Empirical relationship between the largest shareholding and corporate valuation shows that the firm value decreases with the equity ownership of the largest shareholders, consistent with a negative entrenchment effect, when the largest equity ownership is below 40.28% of the whole share. Then firm value rises when the proportion of the largest shareholder＇s rights was increased to 69.29%, being consistent with a positive incentive effect. But with the increase of the share of the largest shareholding, firm value falls again.     

Measuring Audit Firms＇ Intellectual Capital as a Determinant of Audit Quality： A Suggested Model

The intellectual capital is a main source of competing advantage. Many studies developed measure（s） of intellectual capital of industrial and service firms. Few studies have tried to develop a reliable measure of intellectual capital in audit firms. This study extends the current models to provide more insight into the role of intellectual capital in audit firms. The aim of this study is to develop a quantitative model to measure audit firms＇ intellectual capital. The suggested model can be used to explore the relationship between the intellectual capital in audit firms and audit quality. The model combines the main components of intellectual capital （human capital, structural capital, and relational capital）. The suggested model provides a tool that may help to better manage the intellectual capital in audit firms. As this is a theoretical study, a number of hypotheses are presented for testing in the future.     

Private equity investment return analysis based on the earning persistence and trading strategy of new economic enterprise

For the purpose of analyzing the private equity investment return, this paper investigates the extent to which current earnings performance persisting into future depends on the components of earnings, and tries to find out whether stock price reflects the information of earnings. Comparing to accrued components of earnings, cash flow components of earnings has more explanatory ability for abnormal returns and with higher persistence, especially for new economic industry. Eventually we find that investors＇ inability to distinguish correctly among the components of earnings. Constructing a portfolio based on the magnitudes of accrued components of earnings, we can earn 4% to 13% of excess returns for new economic industry and general industry.     

Investor Relations （IR） in Business Communication on the Example of Poland

This paper focuses on investor relations （IR） as an element of companies＇ communication with the external environment. It shows the place and role of IR in communication with the general market, and the stock exchange market in particular. The study is illustrated with an example of IR in Poland, a relatively new European Union （EU） member state and an emerging market. As can be seen, IR goes beyond the traditionally understood maintenance of communication with the capital market. It is also shown that the main role of IR ought to be the reduction of investment risk and enhancement of the companies＇ value, which is of particular significance in light of the current globalization of capital markets. It has been found that Polish companies, especially those listed on the Warsaw Securities Exchange （WSE）, commonly rely on IR as a means of communication with the environment. And yet, as the results of the analysis show, the quality of that communication is still far from satisfactory, despite efforts undertaken by various external entities to encourage more focus on the development of IR, or understanding of the company＇s relevant staff of its important role.