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1.
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: |
2.
We examine stock sales as a managerial incentive to help explain the discontinuity around the analyst forecast benchmark. We find that the likelihood of just meeting versus just missing the analyst forecast is strongly associated with subsequent managerial stock sales. Moreover, we provide evidence that managers manage earnings prior to just meeting the threshold and selling their shares. Finally, the relation between just meeting and subsequently selling shares does not hold for non-manager insiders, who arguably cannot affect the earnings outcome, and is weaker in the presence of an independent board, suggesting that good corporate governance mitigates this strategic behavior.
相似文献
Vicki Wei TangEmail: |
3.
Traditional executive stock options are often criticized for inherently weak links between pay and performance. Hurdle rate
executive stock options represent a viable improvement. However, valuing these options presents extraordinary analytic difficulties.
With a constant dividend yield the strike price becomes a path-dependent function of the stock price and exact analytic valuation
is intractable. To solve this problem, we apply the Monte Carlo valuation approach developed by Longstaff and Schwartz (Rev
Financ Stud 4:113–147, 2001) to estimate the value of path-dependent American options. We also extend the methodology to incorporate
the theoretical framework by Ingersoll (J Bus 79:453–487, 2006) to permit subjective valuation influenced by an executive’s
risk aversion.
相似文献
Charles Corrado (Corresponding author)Email: |
4.
Dong Wook Lee 《Journal of Financial Services Research》2009,35(3):273-296
This paper examines the participation decisions of employees in a stock option exchange program aimed at restoring value to
underwater options. The program invites employees to exchange their existing underwater options for new options, the value
of which is determined by the company stock price in 6 months and 1 day. The participation turns out to vary cross-sectionally
and, perhaps surprisingly, the employees do not surrender all their underwater options. We find that employees actively and
rationally consider a variety of factors to make their participation decisions, rather than blindly surrendering their underwater
options. The participation decisions of non-executive employees seem to be well anticipated by stock market investors, since
no abnormal stock returns are related to the participation decisions.
相似文献
Dong Wook LeeEmail: |
5.
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: |
6.
Ruey S. Tsay Yi-Mien Lin Hsiao-Wen Wang 《Review of Quantitative Finance and Accounting》2008,31(4):331-358
The paper uses Ohlson (Contemp Account Res 11:661–687, 1995) and compares the relative predictability of the proposed simultaneous
model for contemporaneous stock price with a traditional single equation model used by the previous studies. The paper also
explores how residual income and value-relevant information affect firms’ equity price. The main results of the paper suggest
that the predictive ability and estimation efficiency of the simultaneous models in explaining contemporaneous stock prices
are better than those of the traditional single models. Moreover, investors will use the value-relevant information beyond
accounting earnings, namely analysts’ earnings forecasts, bankruptcy cost and agency cost, in equity valuation to make decision.
Note particularly, the higher the bankruptcy or agency cost is, the more important the role it plays in equity valuation and,
on average, the higher the accuracy of price prediction is.
相似文献
Hsiao-Wen WangEmail: |
7.
We find no evidence of accrual mispricing for firms that disclose accrual information at earnings announcements. For these
firms, the market differentiates the discretionary from the nondiscretionary components of the earnings surprise. In contrast,
the market fails to distinguish between the discretionary and the nondiscretionary components of the earnings surprise for
firms that do not disclose accrual information at earnings announcements. These firms experience some stock price correction
around the filing date. However, the correction is only partial, resulting in a post-filing drift.
相似文献
Henock LouisEmail: |
8.
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: |
9.
Héléna Beltran-Lopez Pierre Giot Joachim Grammig 《Financial Markets and Portfolio Management》2009,23(3):209-242
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical
market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show
that these order book commonalities are much stronger than liquidity commonality across stocks. The result that bid and ask
side as well as the visible and hidden parts of the order book exhibit quite specific dynamics is interpreted as evidence
that open order book markets attract a heterogeneous trader population in terms of asset valuations and impatience. Quantifying
the informational content of the extracted factors with respect to the evolution of the asset price, we find that the factor
information shares are highest (about 10%) for less frequently traded stocks. We also show that the informational content
of hidden orders is limited.
相似文献
Joachim GrammigEmail: |
10.
Rob Brown Howard W. H. Chan Yew Kee Ho 《Review of Quantitative Finance and Accounting》2009,33(2):91-111
The stock market may respond to the difference between an analyst’s recommendation and that analyst’s previous recommendation
and/or to the difference between the analyst’s recommendation and the consensus recommendation. We show that for the short-term
market response the former is the clearer signal when both are examined simultaneously. We also show that the market’s reaction
is strongly influenced by the analyst’s reputation, the divergence of opinion among analysts and the number of analysts following
the stock. Previous studies have been hampered by having a low proportion of negative recommendations. We overcome this deficiency
by studying the Australian market, in which institutional differences lead to analysts releasing many more negative recommendations.
相似文献
Yew Kee Ho (Corresponding author)Email: |
11.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |
12.
Paul K. Asabere Forrest E. Huffman 《The Journal of Real Estate Finance and Economics》2009,38(4):408-419
This study examines the impacts of trails and greenbelts and other amenities on home value. Using the hedonic framework the
study provides analyses of a database consisting of roughly 10,000 sales of homes occurring from April 2001 to March 2002
in and around San Antonio, Bexar County, Texas. Among other things, our study shows that trails, greenbelts, and trails with
greenbelts (or greenways) are associated with roughly 2, 4, and 5%, price premiums, respectively. The following amenities:
proximity to golf course, neighborhood playground, tennis court, neighborhood pool, view, and cul-de-sac, all add significantly
to home value.
相似文献
Forrest E. HuffmanEmail: |
13.
Landsman and Maydew (J Acc Res 40:797–808, 2002) document that the information content of earnings announcements has increased
over the past three decades, and Francis et al. (Acc Rev, 77:515–546, 2002) conclude that expanded concurrent disclosures
in firms’ earnings announcements, especially the inclusion of detailed income statements, explain this increase. We posit
and find that the temporal increase in the intensity of the market’s reaction to Street earnings offers a competing explanation
for the Landsman and Maydew finding. We also find that expanded concurrent disclosure of GAAP-based information contributes
to the temporal increase in the information content of earnings announcements. However, unlike Francis et al., we find that
the temporal increase in concurrent balance sheet and cash flow statement information dominates concurrent income statement
information once we control for Street earnings.
相似文献
Hong XieEmail: |
14.
Hong Zou Chuanhou Yang Mulong Wang Minglai Zhu 《Review of Quantitative Finance and Accounting》2009,33(2):113-139
This article examines the effect of organizational forms on corporate dividend decisions by exploring the differences in dividend
payout ratios between mutual and stock property–liability (P–L) insurers in the US. Our large sample evidence suggests: (1)
mutual insurers tend to have a lower dividend payout ratio than stock insurers and the observed difference is about 4% points,
holding other factors constant; (2) mutual insurers tend to adjust dividend payout ratios toward their long-run target levels
more slowly than stock firms. These results are consistent with the capital constraints and/or greater agency costs of equity
in mutual insurers.
相似文献
Minglai ZhuEmail: |
15.
William H. Beaver Maureen F. McNichols Karen K. Nelson 《Review of Accounting Studies》2007,12(4):525-556
We show that the asymmetric effects of income taxes and special items for profit and loss firms contribute to a discontinuity
at zero in the distribution of earnings. Income taxes draw profit observations towards zero while negative special items pull
loss observations away from zero. These earnings components are thus expected to contribute to a discontinuity even in the
absence of discretion. We show our results are not an artifact of deflation and that other common components of earnings do
not have similar effects on the earnings distribution around zero.
相似文献
Karen K. NelsonEmail: |
16.
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: |
17.
Rong-Ruey Duh Wen-Chih Lee Chi-Yun Hua 《Review of Quantitative Finance and Accounting》2009,32(1):33-59
This paper examines whether non-audit service provision impairs auditor independence, and whether the degree of auditor independence
in Taiwan changed in the wake of the 2004 Procomp scandal. The auditors involved in the Procomp affair were suspended from
practice for 2 years and were sued, and we posit that these unprecedented sanctions and litigation affected subsequent auditor
behavior. Considering the measurement errors involved in discretionary accruals, we propose an alternative analytic approach
in which the dependent variable in the regression analysis is the difference between audited earnings and forecast earnings,
scaled by total assets, and the primary independent variable is the non-audit fees ratio. After controlling for the effects
of financial leverage, operating and market performance, industry, company size, audit firm size, management forecast error,
and management attempts to manipulate earnings, regression analysis indicates that the coefficient for non-audit fees ratio
is negative and significant in 2003 but not in 2004. Using non-audit fees instead of non-audit fees ratio to conduct the regression
analysis yields similar results. This finding is consistent with the notion that auditors make a trade-off between gaining
service fees and avoiding litigation and reputation loss. Limitations and policy implications are also offered.
相似文献
Chi-Yun HuaEmail: |
18.
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: |
19.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
20.
Ernst Konrad 《Financial Markets and Portfolio Management》2009,23(2):111-135
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German
stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in
the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These findings are
robust for other Euro zone stock markets, but not significant for other Euro zone bond markets. The empirical evidence also
suggests that monetary policy surprises have larger effects on German stock return volatility in bear markets than in bull
phases. Moreover, our results support the claim that stock return volatility can be negatively correlated with stock returns,
contradicting predictions made by many asset pricing models (e.g., CAPM or ICAPM) and the empirical finding of an insignificant
relationship often reported in the literature.
相似文献
Ernst KonradEmail: |