IFRS Adoption and Stock Prices of Japanese Firms in Governance System Transition

This study examines firms' decision to voluntarily adopt IFRS in a setting where there are changes to the governance system in a traditionally code law country, as well as how the market responds to such decisions. We find the probability of voluntary IFRS adoption to be higher among firms that have a high proportion of foreign shareholders, undertake quality audits, have low levels of leverage, feature a nominating committee, and are included in the new market index. In addition, the stock prices of IFRS adopters tend to increase around the announcement date of IFRS adoption, compared to those of non-adopters. Finally, market reactions are smaller for firms that feature a nominating committee, and are included in the new market index—perhaps because IFRS adoption by these firms is less surprising to market participants, and because IFRS adoption is not expected to add large incremental value to these firms.     

Risk factors in Australian bond returns

This study examines the risk factors in Australian bond returns. The study quantifies bond liquidity and estimates a liquidity risk factor in the Australian setting. We develop a three‐factor asset pricing framework that uses term, default and liquidity risk factors to explain the variation of Australian bond returns. Our findings corroborate the US evidence on the pervasiveness of these risk factors faced by bond investors. The three‐factor model developed in this study has practical applications when calculating the cost of debt, evaluating the performance of an active bond fund manager and hedging underlying risk in a bond portfolio.     

Capital expenditures and firm performance: evidence from a cross‐sectional analysis of stock returns

Using a simple two‐period model of investment, we show that there should be a nonlinear relation between a firm's investment‐to‐capital ratio and its subsequent stock returns. This prediction finds substantial empirical support. The evidence indicates that the slope of the investment function is negative at low investment levels, close to zero at intermediate investment levels and negative at high investment levels. Our results, which are robust to the use of narrowly‐ and broadly‐defined measures of capital investment, pose a challenge to the hypothesis that the negative cross‐sectional correlation between investment and stock returns is attributable to some sort of overinvestment phenomenon.     

Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?

We extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a statistical significance test for crash prediction models. Finally, we propose a definition and a measure of robustness for these models. We apply our statistical test and measure the robustness of selected model specifications of the Price‐Earnings (P/E) ratio and Bond Stock Earning Yield Differential (BSEYD) measures. This analysis shows that the BSEYD and P/E ratios, were statistically significant robust predictors of corrections on the US equity market over the period 1964 to 2014.     

财务重述、管理层权力与股价崩盘风险：来自中国证券市场的经验证据

股市震荡引发投资者和监管层对股价崩盘风险的关注。从财务重述背后所反映的财务信息质量低下和公司治理失效出发,探讨其对股价崩盘风险的影响,结合管理层权力这一影响组织行为和产出能力的代理人特征,探讨其对财务重述与股价崩盘风险之间关系的影响。研究结果表明：相比未发生财务重述的公司,发生了财务重述的公司的股价崩盘风险明显更高;进一步纳入代理人特征———管理层权力后,发现代理人的这一特征对上述关系有明显的促进作用。     

Hedging of Asian options under exponential Lévy models: computation and performance

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and delta–gamma hedges in an incomplete market; particular attention is paid to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in the hedging portfolio for the reduction of this risk.     

Value Relevance of Environmental Provisions Pre‐ and Post‐IFRS

The purpose of this paper is to compare the value relevance of environmental provisions as recorded under Canadian/U.S. GAAP and IFRS accounting frameworks with consideration of the impact of voluntarily issuing stand‐alone sustainability reports. The value relevance of environmental provisions is tested using a modified Ohlson (1995) model. We exploit IFRS reconciliations as a quasi‐experimental setting to conduct this comparison. Results indicate that environmental provisions recorded under either framework only act as liabilities for oil and gas firms that release stand‐alone sustainability reports. For other firms in the oil and gas industry, and the mining industry, the liability nature of these provisions appears to be discounted by the market. Furthermore, for firms in the oil and gas industry that do not have stand‐alone CSR reports, provisions appear to be interpreted by the market as a costly signal about future growth. Instead of downwardly affecting market values, this information is associated with higher market values. In terms of the transition to IFRS, we find that, while the IFRS provisions are significantly higher than under former GAAP, they do not improve value relevance for investors. Accounting standard setters should consider examining the changes in the current standards from the original Canadian environmental provision reporting requirements under Capital Assets section 3060.39, as it was rightfully shown to be a relevant proxy for unbooked liabilities (Li and McConomy, 1999; Bewley, 2005) rather than earnings expectancy. The study builds upon prior research to examine the value of accounting standards that have gone through significant changes.     

房地产属性、收入差距与房价变动趋势

以往关于收入差距与房价之间关系的研究,较少兼顾房地产的消费与投资双重属性。文章基于双重属性的角度,首先从理论上阐述了收入差距与房价之间的动态关系。在经济发展水平较低的情况下,房地产的消费属性凸显,收入差距扩大会抑制房价上涨;随着经济的进一步发展,房地产单一属性不明显,收入差距变化对房价不存在显著影响;当经济发展水平较高时,房地产投资属性占优,收入差距扩大会促进房价上涨。进一步对理论结果进行实证研究发现,整体上我国收入差距与房价之间无显著相关关系,单一属性不明显;但就省际差异而言,在经济发展水平较高的省份,收入差距促进了房价上涨,而在经济发展水平较低的省份,收入差距则抑制了房价上涨。随着时间的变化,收入差距由抑制房价上涨转变为促进房价上涨。     

异质性预期、投资者行为与房价波动：上海和广州的双城记?

房地产市场中存在大量的投资者,其市场行为会使房价出现大幅的波动,从而引起市场不稳定。文章在引入投资者异质性预期假设的基础上,构建了包含房地产消费者、投资者、供给者在内的房地产市场均衡模型,分析了房地产市场中基本面型投资者和趋势型投资者的异质性行为对房价变动的影响,并利用上海和广州两个一线城市的实际数据进行了对比分析。研究结果表明：在房地产市场中,两类投资者对于未来房价不同的预期以及投资行为会引起房价的变动;上海投资者的行为整体上会使上海的房价始终处于不断上涨的趋势中,而广州投资者的行为会随着投资策略的转变而使静态下的“整体上推动房价趋势型变化”转变为“整体上将房价‘拉回’基本面价格”;房地产市场中的投资者占比会显著影响房价的变动趋势,当基本面型投资者占比上升时,房价偏离度和房价变动率降低,而当这类投资者占比达到峰值时,房价会出现拐点;投资者之间的策略转换速度也会通过引起基本面型投资者占比的变化,引起房价的频繁波动,而且策略转换速度越快,房价波动越频繁。