Does Investor Sentiment Affect the Value Relevance of Accounting Information?

We investigate whether investor sentiment affects the relationships between accounting variables and contemporaneous stock returns. Using price-relevant accounting variables identified by Chen and Zhang (2007) and the investor sentiment index constructed by Baker and Wurgler (2006), we find that the value relevance of accounting variables is collectively lower in high sentiment periods than in low sentiment periods. More importantly, earnings yield appears to be more related to contemporaneous stock returns in high sentiment periods, while other accounting variables are more related to stock returns in low sentiment periods. The effect of investor sentiment on the value relevance of accounting information is stronger for firms that are more difficult to value and to arbitrage.     

On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly

We revisit the stock market anomaly documented by Thomas and Zhang (2008) and show that the apparent mispricing of information transfers has decayed over time, as the US markets experienced rapid improvements in the efficiency of the underlying price formation processes. Utilizing recent advancements in market microstructure research to estimate firm-specific proxies for market efficiency, we demonstrate that the existence of the overreaction anomaly (where stock prices of late announcers in response to the earnings reported by early announcers in the same industry are negatively related to subsequent price responses of late announcers to their own earnings reports) is specific to an earlier sample period and results from the inefficient incorporation of information into prices, largely attributable to an environment with high barriers to arbitrage. Our results indicate that the pricing efficiency of intra-industry information transfers has increased in the recent years of increased liquidity and markedly higher trading activity.     

基于银行流动性管理视角的宏观审慎与货币政策协调研究

本文从商业银行流动性管理视角出发,探究银行微观主体行为如何影响宏观审慎与货币政策的协调。我们借鉴净稳定资金比例的设计理念,将商业银行的流动性管理行为纳入传统理论模型,刻画出两种流动性管理行为对货币政策信贷传导渠道效率的潜在影响及传导路径。在此基础上,采用我国50家商业银行2012年第1季度—2018年第2季度面板数据进行实证检验。我们发现,银行为提升长期流动性水平而进行的优化信贷资产结构的行为,能够显著提高货币政策传导效率。但是,部分净稳定资金比例较低的股份制银行和城市商业银行调整非信贷资产结构的行为则有可能降低货币政策传导效率。因此,在执行既有流动性监管措施的同时,关注与引导银行资产结构调整方式,对增强宏观审慎与货币政策的协调大有裨益。     

Accounting quality,information risk and the term structure of implied volatility around earnings announcements

We examine the association between accounting quality, which is used as a proxy for firm information risk, and the behavior of the term structure of implied option volatility around earnings announcements. By employing a large sample of US firms having options traded on their equity during 1996–2010, we find that lower (higher) accounting quality is significantly associated with stronger (weaker) changes in the steepness of the term structure of implied volatility curve around quarterly earnings announcements. This finding (which is robust to controls for business-stemming uncertainty regarding future firm performance) is consistent with a stronger differential of short vs. long-term uncertainty for higher information risk firms, indicating greater uncertainty on the future economic performance of poorer vs. stronger accounting quality firms. We also establish the trading implications of these findings by demonstrating a (profitable in-sample) self-financed option trading strategy that is based on the quality of the accounting information released on earnings announcement days.     

Mitigating information asymmetry through sustainability assurance: The role of accountants and levels of assurance

This paper aims to examine the usefulness of sustainability reporting in reducing information asymmetry as result of lower dispersion and higher accuracy in financial analysts’ earnings forecasts. The empirical results from an international sample of listed companies indicate that the disclosure of sustainability information alone is not sufficient in this regard as our findings indicate that information asymmetry is reduced to a greater when such information is assured, supporting the value relevance role of sustainability reporting and assurance. In addition, the empirical findings suggest differences in terms of assurance attributes (provider and level of engagement) and such differences are even more relevant when controlling the institutional context. Assurance is highly appreciated by investors in more stakeholder-oriented countries; however, in more shareholder-oriented environments, assurance affects information asymmetries only when it is provided by accounting professionals who also report a “reasonable” opinion.     

Markets for information: Of inefficient firewalls and efficient monopolies

In this paper we study market environments where information is costly to acquire and is also useful to potential competitors. Agents may sell, or buy, reports over the information acquired and choose their trades in the market on the basis of what they learnt. Reports are unverifiable – cheap talk messages – hence the quality of the information transmitted depends on the conflicts of interest faced by the senders. We find that, when information has a prevalent horizontal differentiation component, in equilibrium information is acquired when its costs are not too high and in that case it is also sold, though reports are typically noisy. The market for information is in most cases a monopoly, and there is underinvestment in information acquisition. We also show that regulatory interventions, in the form of firewalls, only make the inefficiency worse. Efficiency can be attained with a monopolist selling differentiated information, provided entry is blocked.     

Information asymmetry in the innovation adoption decision of tourism and hospitality SMEs in emerging markets: A mixed-method analysis

Investment decisions, particularly innovation adoption decisions, can sustain long-term viability of small and medium enterprises (SMEs). However, information asymmetry could limit the ability of SME management to make informed innovation adoption decisions. Even though information asymmetry is a multidimensional construct, prior literature has only focused on financial information asymmetry in such decisions. Therefore, the current study fills the research gap by conducting two separate studies: one analyzes World Bank Group data from 1250 observations in 11 emerging markets, and the other interviews eight SME owners and managers. The findings of the mixed-method studies suggest that financial, business regulation, and court information asymmetry decrease the likelihood of SMEs' product innovation adoption. The study contributes to a more comprehensive understanding of information asymmetry in SMEs’ decision-making rooted in agency theory. Moreover, its methodological contribution lies in measuring information asymmetry with micro-level data.     

Evaluating information diffusion speed and its determinants in social media networks during humanitarian crises

The rapid diffusion of information is critical to combat the extreme levels of uncertainty and complexity that surround disaster relief operations. As a means of gathering and sharing information, humanitarian organizations are becoming increasingly reliant on social media platforms based on the Internet. In this paper, we present a field study that examines how effectively information diffuses through social media networks embedded in these platforms. Using a large dataset from Twitter during Hurricane Sandy, we first applied Information Diffusion Theory to characterize diffusion rates. Then, we empirically examined the impact of key elements on information propagation rates on social media. Our results revealed that internal diffusion through social media networks advances at a significantly higher speed than information in these networks coming from external sources. This finding is important because it suggests that social media networks are effective at passing information along during humanitarian crises that require urgent information diffusion. Our results also indicate that dissemination rates depend on the influence of those who originate the information. Moreover, they suggest that information posted earlier during a disaster exhibits a significantly higher speed of diffusion than information that is introduced later during more eventful stages in the disaster. This is because, over time, participation in the diffusion of information declines as more and more communications compete for attention among users.     

Antecedents of mobile payment loyalty: An extended perspective of perceived value and information system success model

Drawing on the information system success model and perceived value theory, we develop a research model to examine factors that may affect user satisfaction and loyalty of mobile payment platforms. Empirical data was collected from users using Alipay and WeChat Pay in China, and a total of 410 valid responses were gathered for data analysis. The results show that the multi-dimensional formative perceived value including benefits and sacrifice is important determinant of mobile payment user satisfaction and loyalty. The three benefit dimensions of functional value, experiential value and social value are more important value components than the two sacrifice dimensions of risk and cost, and experiential value is the dominant component of mobile payment users' value perception. As for the antecedents of perceived value, system quality and service quality mainly affect perceived benefits, while information quality has a greater impact on risk. The research results provide the contribution of specific value dimensions to users' perceived value and the impact of quality characteristics on specific perceived value for mobile payment platform providers, thus helping them to adopt effective strategies to strengthen market competitiveness and retain existing users.     

Promoting cost efficiency and uniformity in parcel delivery centre locations and service areas: a GIS-based analysis

This paper provides a systematic framework to determine local delivery centre (LDC) locations and service areas to reduce delivery costs and balance the allocation of parcel delivery loads to promote sustainable LDC development. Based on a case study of a parcel distribution company in Korea, this study proposes two strategies for LDC service area delineation within each terminal service boundary that either minimises the total delivery time or balances the allocation of delivery loads. This research contributes to improving cost efficiency and balancing delivery load allocations in planning LDC locations and service areas that can potentially promote the long-term mutual sustainable development of parcel distribution companies and their local delivery counterparts.