共查询到20条相似文献,搜索用时 93 毫秒
1.
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: |
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.
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: |
4.
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: |
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.
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: |
7.
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: |
8.
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: |
9.
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: |
10.
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: |
11.
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: |
12.
Financial statement effects of adopting international accounting standards: the case of Germany 总被引:6,自引:0,他引:6
Using a sample of German firms, we investigate the financial statement effects of adopting International Accounting Standards
(IAS) during 1998 through 2002. We find that total assets and book value of equity, as well as variability of book value and
income, are significantly higher under IAS than under German GAAP (HGB). In addition, book value and income are no more value
relevant under IAS than under HGB, and HGB (IAS) income is highly persistent (transitory). Finally, we find weak evidence
that IAS income exhibits greater conditional conservatism than HGB income. Our results are consistent with the fair-value
(income smoothing) orientation of IAS (HGB).
相似文献
Mingyi HungEmail: |
13.
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: |
14.
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: |
15.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
16.
We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession
(DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants
of lending specialization (e.g. lender choice). We find that the choice of lender is not driven by credit risk, but by information
considerations and that this lending specialization has loan pricing effects. In short, banks (non-bank lenders) lend to more
(less) transparent firms and at lower (higher) loan spreads. Our results are consistent with the interpretation that banks
provide important and useful services.
相似文献
Gabriel G. Ramirez (Corresponding author)Email: |
17.
Home Equity,Household Savings and Consumption 总被引:1,自引:0,他引:1
The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities
and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases
even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always
positive and can be positively correlated with housing debt.
相似文献
P. ChinloyEmail: |
18.
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: |
19.
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: |
20.
Richard J. Buttimer Jr. Steven P. Clark Steven H. Ott 《The Journal of Real Estate Finance and Economics》2008,36(1):81-102
We model and examine the financial aspects of the land development process incorporating the industry practice of preselling
lots to builders through the use of option contracts as a risk management technique. Using contingent claims valuation, we
are able to determine endogenously the land value, presale option value, credits spreads and the effects of presales on debt
pricing and equity expected returns. We show that using presales options effectively shift market risk from the land developer
to the builder. Results from the model are consistent with the high rates of return on equity observed in empirical surveys;
they also suggest that developers may be justified in pursuing projects with substantially lower expected returns to equity
when a large number of lots can be presold. Additionally, we show that presales reduce default risk dramatically for leveraged
projects and can support a considerable reduction in the cost of construction financing. Large debt risk premiums are justified
for highly levered projects, which helps explain the use of mezzanine financing in the land development industry to reduce
expected default costs.
相似文献
Steven H. OttEmail: |