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1.
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: |
2.
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: |
3.
In a framework where no uncertainty arises, Arnott (J Publ Econ Theor 7:27–50, 2005) investigates a neutral property taxation policy that will not affect a landowner’s choices of capital intensity and timing
of development. We investigate the same issue, but allow rents on structures to be stochastic over time. We assume that a
regulator implements taxation on capital, vacant land, and post-development property so as to expropriate a certain ratio
of pre-tax site value as well as to achieve neutrality. We find that the optimal taxation policy is to tax capital and subsidize
properties before and after development. We also investigate how this optimal policy changes in response to changes in several
exogenous forces related to demand and supply conditions of the real estate market.
相似文献
Tan Lee (Corresponding author)Email: |
4.
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: |
5.
Ronald C. Rutherford Thomas M. Springer Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2007,35(1):23-38
Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive
a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium
market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency
problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence
for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same
geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.
相似文献
Abdullah YavasEmail: |
6.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
7.
Marat V. Kramin Saikat Nandi Alexander L. Shulman 《Review of Quantitative Finance and Accounting》2008,31(4):359-378
This article presents a numerically efficient approach for constructing an interest rate lattice for multi-state variable
multi-factor term structure models in the Makovian HJM [Econometrica 70 (1992) 77] framework based on Monte Carlo simulation and an advanced extension to the Markov Chain Approximation technique. The
proposed method is a mix of Monte Carlo and lattice-based methods and combines the best from both of them. It provides significant
computational advantages and flexibility with respect to many existing multi-factor model implementations for interest rates
derivatives valuation and hedging in the HJM framework.
相似文献
Alexander L. ShulmanEmail: |
8.
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: |
9.
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: |
10.
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: |
11.
Do core and non-core cash flows from operations persist differentially in predicting future cash flows? 总被引:2,自引:0,他引:2
This study investigates the persistence of cash flow components (core and non-core cash flows) using a cash flow prediction
model. By extending the Barth, Cram, and Nelson (Account Rev 76(January):27–58, 2001) model, we examine the role of cash flow components in predicting future cash flows beyond that of accrual components. We
propose a cash flow prediction model that decomposes cash flows from operations into core and non-core cash flow components
that parallel the presentation and format of operating income from the income statement. Consistent with the AICPA and financial
analysts’ recommendations, and as predicted, we find that core and non-core cash flows defined in our paper are differentially
persistent in predicting future cash flows; and these cash flow components enhance the in-sample predictive ability of cash
flow prediction models. We also analyze the association of in-sample prediction errors with earnings, cash flow and accruals
variability. We find that disaggregating cash flows improve in-sample prediction, especially for large firms with high cash
flows and earnings variability.
相似文献
Dana Hollie (Corresponding author)Email: |
12.
Shaun A. Bond Pavlos Loizou Patrick McAllister 《The Journal of Real Estate Finance and Economics》2008,36(4):451-469
Seminal work by Grenadier (J. Financ. Econ. 38:297–331, 1995) derived a set of hypotheses about the pricing of different lease lengths in different market conditions.
Whilst there is a compelling theoretical case for and a strong intuitive expectation of differential pricing of different
lease maturities, to date the empirical evidence is inconclusive. Drawing upon a substantial database of commercial lettings
in central London (West End and City of London) over the last decade, we investigate the relationship between rent and lease
maturity. In particular, we test whether building quality, credit risk and micro-location variables omitted in previous studies
provide empirical results that are more consistent with the theoretical and intuitive a priori expectations. It is found that
initial leases rates are upward sloping with the lease term and that this relationship is constant over time.
相似文献
Patrick McAllisterEmail: |
13.
Zhilan Feng Chinmoy Ghosh C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2007,35(3):225-251
We analyze director compensation for Real Estate Investment Trusts (REITs) and investigate the relations between director
compensation and other measures of the board independence and board monitoring. Using 136 REITs in 2001, we find that REITs
that pay higher equity-based compensation to their board members are associated with higher financial performance. Our data
indicate that board equity-based compensation is positively related to the existence of an independent nomination committee,
however, it has no significant relationship with board size, proportion of outside directors, CEO duality and CEO tenure and
ownership.
相似文献
Zhilan FengEmail: |
14.
Analyst Activity and Firm Value: Evidence from the REIT Sector 总被引:2,自引:0,他引:2
Erik Devos Seow Eng Ong Andrew C. Spieler 《The Journal of Real Estate Finance and Economics》2007,35(3):333-356
This paper is the first to examine (1) properties of analyst forecasts and (2) effects of analyst following on firm value
for all REITs on CRSP, Compustat and I/B/E/S. Our results suggest that REITs operate in an information environment that has
changed over time. We find that for periods when the REIT industry was either in the developmental stage (pre-1992), or after
other structural changes in the industry (post-2000), more analysts cover REITs and forecasts are more accurate and less biased.
Further, we find that mortgage REITs are more transparent than other REIT structures and exhibit properties of analyst behavior
that are different from other types of REITs. Our investigation into the effect of analyst coverage on REIT value suggests
that analyst coverage increases REIT value (as measured by Tobin’s q) and that the causality does not run the opposite way.
相似文献
Andrew C. SpielerEmail: |
15.
Lili Xie 《Journal of Financial Services Research》2007,32(3):177-202
This paper studies the relationship between universal banking and firm performance. With 40 developing and developed countries,
I find that the overall effect of universal banking on firm growth is negative. This suggests that the negative effect of
conflicts of interest dominates the positive effect of economies of scale and scope in universal banking. However, in countries
with stronger protection of creditors’ rights and higher information efficiency, conflicts of interest are less likely and
the negative relationship between universal banking and firm growth is significantly weaker.
相似文献
Lili XieEmail: |
16.
The Effect of Time-on-Market and Location on Search Costs and Anchoring: The Case of Single-Family Properties 总被引:2,自引:0,他引:2
Terrence M. Clauretie Paul D. Thistle 《The Journal of Real Estate Finance and Economics》2007,35(2):181-196
Regarding single-family residential properties purchased for investment (non-owner occupied) we examine whether out-of-state
buyers pay more than in-state buyers. We focus on the effects of search costs and anchoring. We use data on 2,828 Las Vegas
non-owner occupied (investor) residences, 40% of which are purchased by non-local investors. We find that the location of
the property affects the empirical results. Specifically, search cost and anchoring effects that appear significant when the
location of the property is ignored disappear when location is introduced as an independent variable.
相似文献
Paul D. ThistleEmail: |
17.
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: |
18.
Zhilan Feng Chinmoy Ghosh C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2007,35(4):385-410
This paper examines the relationship between CEO entrenchment and dividend policy of real estate investment trusts (REITs).
We develop an index for CEO entrenchment using CEO tenure and duality and find that this index has significant impact on dividend
policy. We further separate our sample into two sub-groups: REITs with and without nomination committees. Our analyses show
a strong positive relationship between CEO entrenchment level and dividend payout for REITs without a nomination committee.
In REITs with nomination committees, CEO entrenchment has less influence on dividend policy. We conclude that dividend policy
serves as a substitution for other governance mechanisms. Further, our results are consistent with the evidence for other
US firms—CEO that are more entrenched pay higher dividends to avoid shareholder sanctions and the threat of takeover.
相似文献
Zhilan FengEmail: |
19.
Terry Hallahan Robert W. Faff Karen L. Benson 《Journal of Financial Services Research》2008,33(3):205-220
In this paper we investigate the tournament induced risk-shifting behavior of Australian “multi-sector growth funds”. We apply
a regression-based methodology and examine tournaments based on the calendar year and the financial year. In our core analysis
we find evidence in favor of Taylor’s (J Econ Behav Organ 1455:1–11, 2003) risk shifting tournament hypothesis for financial year-end tournaments. Apart from the standard tournament
hypothesis we also report a range of findings regarding stability; fund age; and fund size. Support for the Taylor hypothesis
generally continues across these variations as well.
相似文献
Terry HallahanEmail: |
20.
A recent trend in the German asset-backed securities (ABS) market is the securitization of subordinated loans and profit participation agreements (PPAs) granted to medium-sized
enterprises (MEs). This paper provides an overview of this growing market and analyzes the benefits of such transactions for
portfolio companies as well as for originators and potential investors. Simulations of 10 recent transactions indicate that
despite the relatively low interest rates charged on obligors, originators and investors can earn attractive returns at fairly
low risk. In particula, the junior tranches of these securitizations exhibit quite attractive risk-return profiles.
相似文献
Julia Hein (Corresponding author)Email: |