共查询到20条相似文献,搜索用时 140 毫秒
1.
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: |
2.
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: |
3.
Disclosure and the cost of equity in international cross-listing 总被引:1,自引:1,他引:0
Tim V. Eaton John R. Nofsinger Daniel G. Weaver 《Review of Quantitative Finance and Accounting》2007,29(1):1-24
In this paper, we examine the relationship between disclosure level and the cost of equity capital for a sample of international
firms cross-listing on the New York Stock Exchange. Increased disclosure has the potential to reduce information asymmetry,
reduce the cost of financing and increase analyst following. Using an international asset pricing model, we find that listing
firms experience a decrease in both disclosure risk and systematic risk while matching firms do not. Further, we find that
the magnitude of the decrease is related to three types of disclosure: accounting standards; analyst following; and exchange/regulatory
investor protection. Our results suggest that increased disclosure through accounting standards is beneficial to investors
and that disclosure can be accomplished through information intermediaries, e.g., analyst following. For firms with the lowest
levels of disclosure prior to cross-listing, all three types of disclosure appear to be valuable.
相似文献
Daniel G. WeaverEmail: |
4.
David Abad Sonia Sanabria José Yagüe 《Review of Quantitative Finance and Accounting》2009,32(3):287-308
Using Spanish data, this paper examines, for the first time, the differences in the intraday response of an order-driven market
to earnings announcements made during trading and non-trading hours. We show that the speed of reaction depends on timing
of the announcement: for overnight (daytime) announcements, the improvement in liquidity is (not) immediate. This finding
could explain why Spanish firms prefer to release the bad (good) earnings announcement in trading (non-trading) hours. This
strategic timing differs from the traditional disclosure policy in American markets, suggesting that different microstructures
may react differently to news releases and, consequently, drive the strategic timing of corporate disclosures.
相似文献
José Yagüe (Corresponding author)Email: |
5.
Gilles Hilary 《Review of Accounting Studies》2006,11(4):525-548
Prior results from the labor relations literature suggest that revealing information weakens management’s position in collective bargaining. Thus, when facing organized labor, management has an incentive to preserve the information asymmetry with outsiders. This study uses a sample from a large cross-section of the economy over several years to test this relation. Results are consistent with this prediction. Strong organized labor is associated with higher bid-ask spreads, higher probability of informed trading, lower trading volume and lower analyst coverage. These relations hold after controlling for numerous factors such as growth opportunities or risk.
相似文献
Gilles HilaryEmail: |
6.
We condition security price reactions to quarterly earnings announcements on whether firms disclose supplementary balance
sheet and/or cashflow information that can be used to estimate the consequences of earnings management. Disclosure of supplementary
information is voluntary, and thus, we consider the possibility that firms that disclose balance sheet and/or cashflow information
differ systematically from firms that do not disclose. Results indicate that investors discount evidence of earnings management
at the disclosure date when supplementary information is disclosed. Such results indicate more informed earnings interpretations
of quarterly earnings when firms provide balance sheet and/or cashflow information concurrently.
相似文献
William R. BaberEmail: |
7.
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: |
8.
Shai Levi 《Review of Accounting Studies》2008,13(1):1-21
This study investigates firms’ decisions to disclose accruals information in earnings press releases versus to provide it
only in 10-Q filings and the impact of this disclosure on the pricing of accruals. I find that firms disclose accruals in
their press releases when earnings alone are a weak indication of cash flow performance and that following these disclosures
the accruals information is fully impounded into stock prices. The evidence suggests that when investor demand for accruals
is likely to exist and firms disclose the information in earnings press releases, the mispricing typically associated with
accruals is mitigated.
相似文献
Shai LeviEmail: |
9.
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: |
10.
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: |
11.
Corporate voluntary disclosure and the separation of cash flow rights from control rights 总被引:1,自引:1,他引:0
Kin-Wai Lee 《Review of Quantitative Finance and Accounting》2007,28(4):393-416
We find that corporate voluntary disclosure is negatively associated with the separation of cash flow rights from control
rights. This result is consistent with the notion that as the separation of cash flow rights from control rights increases,
controlling owners have larger incentives to expropriate the wealth of minority shareholders and low corporate disclosure
constitutes a mechanism to facilitate controlling owners in masking their private benefits of control. The negative association
between voluntary disclosure and the separation of cash flow rights from control rights is less pronounced for firms with
greater external financing needs. This result suggests that for firms with high separation of cash flow rights from control
rights, those with greater external financing needs undertake higher firm-level voluntary disclosure to reduce information
asymmetry. We also find that the negative association between voluntary disclosure and the separation of cash flow rights
from control rights is less pronounced for firms that have a large non-management shareholder. Our result supports the role
of large non-management shareholder in mitigating agency problems associated with the separation of ownership and control.
相似文献
Kin-Wai LeeEmail: |
12.
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: |
13.
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: |
14.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
15.
Pantisa Pavabutr Sukanya Prangwattananon 《Review of Quantitative Finance and Accounting》2009,32(4):351-371
This paper explores the impact of an exogenous tick size reduction on bid-ask spreads, depths, and trading volume on the Stock
Exchange of Thailand (SET). On November 5, 2001, the SET implemented a tick size reduction on stocks priced below THB 25.
Even though trading on SET is largely dominated by retail investors, the tick reduction produces similar empirical results
found in markets where institutional investors are more dominant. Tick reduction on the SET is associated with declines in
spreads, and quoted and accumulated market depths. The study finds no significant change in trading volume due to the reduction.
相似文献
Sukanya PrangwattananonEmail: |
16.
Jacqueline S. Hammersley Linda A. Myers Catherine Shakespeare 《Review of Accounting Studies》2008,13(1):141-165
We examine the stock price reaction to management’s disclosure of internal control weaknesses under §302 of the Sarbanes Oxley
Act and to the characteristics of these weaknesses, controlling for other material announcements in the event window. We find
that some characteristics of the weaknesses—their severity, management’s conclusion regarding the effectiveness of the controls,
their auditability, and the vagueness of the disclosures—are informative. We also find that the information content of internal
control weakness disclosures depends on the severity of the internal control weakness. Moreover, in a sub-sample uncontaminated
by other announcements in the event window, we find negative price reactions to the disclosure of internal control weaknesses
and material weaknesses.
相似文献
Catherine ShakespeareEmail: |
17.
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: |
18.
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: |
19.
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: |
20.
The purpose of this study is to investigate the relation between investor protection, adverse selection, and the probability
of informed trading. Previous research has established a direct relation between investor protection and firm liquidity, measured
by bid-ask spreads and depths. In this study, we test the hypothesis that adverse selection is the mechanism through which
poor investor protection leads to higher costs of liquidity. The Hong Kong equity market provides a unique opportunity to
compare adverse selection differences across distinct investor protection environments, holding constant the trading platform
and currency. Using various bid-ask spread decomposition models and probability of informed trading estimates, we confirm
the hypothesized relation between investor protection quality and adverse selection costs. These findings contribute to the
literature by establishing one of the links in the chain connecting investor protection to firm valuation.
相似文献
Dennis Y. Chung (Corresponding author)Email: |