The information content of investment tax credits

This study examines the association between stock prices and tax credits for new investment, which appear in the balance sheet as a tax-free reserve. A number of valuation models were developed for companies listed on the Athens Stock Exchange during the period 1990–4. The empirical findings reveal that retained earnings committed to new investment, i.e. investment tax credits for future investments, are valued differently from both the remaining equity and the remaining earnings. Moreover, the empirical evidence suggests that the investment tax credits in Greece are not always viewed in a positive fashion by the stock market.     

The international firms as new entrants to the statutory audit market: an empirical analysis of auditor selection in Greece, 1993 to 1997

This paper investigates choice of statutory auditor in Greece in the five years subsequent to the 1992 liberalization of the audit market. We analyse auditor choices by 205 companies which, by 1997, represented almost 90% of companies listed on the Athens Stock Exchange. We find that the level of shareholdings by foreign shareholders is positively associated with choice of a Big Six versus any other auditor both immediately after liberalization in 1993 and still in 1997, indicative of the role of the Big Six in providing audit credibility in the eyes of international investors. In addition, Big Six auditors strengthened their position in the finance sector and, outside the finance sector, among larger companies over the period studied. We also find that in both 1993 and 1997 Big Six firms were distinguished specifically from the second-tier international firms, consistent with the view that, in post-liberalization Greece, companies by their choice of auditor appear to be distinguishing Big Six firms from all others but not between second-tier international firms and local auditors. These findings shed light on the hitherto unresearched area of which companies Big Six auditors target in order to gain market share when they are new entrants in an environment radically changed by regulatory reform. In addition the research extends the auditor name brand reputation debate by its finding that, in post-liberalization Greece, second-tier international firms appear to be distinguished from the Big Six but not from the local audit firms.     

实际控制人的政治身份与审计师选择——来自我国民营上市公司的经验证据

民营上市公司实际控制人的政治身份对公司的经营活动以及审计师选择决策具有重要的影响。以2006年—2009年在深圳和上海证券交易所上市的民营企业为样本、实证检验了实际控制人的政治身份与审计师选择之间的关系后发现,实际控制人具有政治身份的民营上市公司更倾向于选择十大会计师事务所进行审计,并且实际控制人的政治身份级别越高,越倾向于选择十大会计师事务所。     

我国新股首日回报率的实证分析

新股首日超额回报是世界范围的一种普遍现象,而在我国尤为突出,国内外对此给出了各种解释,但至今尚未形成一致性认识,文章选取1996年1月至2004年12月在我国上海证券交易所上市的616只A股为样本,进行了横截面的分析后发现:信息不对称并非我国新股折价的主要原因,我国新股折价是由二级市场投机引起。     

自愿性审计师变更原因与投资者反应

本文选取2001￣2004年发生自愿性审计师变更的公司作为样本,采用事件研究法考察投资者对审计师变更公告中所披露不同变更原因的反应。研究发现,市场对于不同原因的审计师变更反应存在差异,投资者根据变更原因判定审计师变更为好消息的反应显著大于判定其为坏消息的反应。由此可知,投资者对于披露的变更原因信息具有一定的识别能力,不同类型的审计师变更会影响公司的价值。监管部门强制披露审计师变更原因有助于提高市场有效性。     

Personal Taxes and the underpricing of initial public offerings

The purpose of this paper is to propose an alternative explanation for the underpricing of initial public offerings (IPOs). The first section reviews the empirical evidence on underpricing IPOs in support of various alternative hypotheses that have been put forth in the literature. This is followed by our model which examines the effect of personal taxes paid by entrepreneurs on the choice of the issue price. We show that, in the presence of taxes and for certain levels of ownership retained by the entrepreneur, it may be preferable to underprice the issue. This theoretical result is reinforced by both the simulation and empirical tests.     

Are government-linked IPOs underpriced? A three country privatization effort comparison

Underpricing in the case of the initial public offerings of private (non-government) firms has been well documented. However, there does not appear to be any systematic study of the price performance of “government-linked” companies or GLCs, which have been “privatized” through public offerings in the stock market. This study examines the hypothesis that the initial public offerings (IPOs) of such companies in the United Kingdom, Singapore, and Malaysia will not only be underpriced, but their degree of underpricing will be relatively greater when compared to firms with no governmental links. The results provide strong support for this hypothesis.     

Ownership structure and post-issue operating performance of firms conducting seasoned equity offerings in Thailand

This paper investigates the post-issue operating performance of companies that conducted seasoned equity offerings (SEO) in the Stock Exchange of Thailand (SET) during the period 1991 to 1994. It is documented that SEO firms exhibited declining operating performance after the offering. Further, there is a negative relation between inside ownership concentration and postissue operating performance decline. In support of the signaling effect, the ratio of issue proceeds to pre-issue equity also negatively relates to post-issue operating performance. Further, the negative relation between issue proceeds and operating performance decline is intensified among SEO firms with high insider ownership concentration. The finding offers evidence in support of agency conflicts and information asymmetry and suggests that the two factors are operating simultaneously.     

股权结构、行业竞争性与公司绩效——基于产出效率角度的经验证据

以上证工业股、商业股和公用事业股指数成分公司为样本,通过对三种不同竞争性行业的区分比较,从产出效率的角度研究股权结构与公司绩效的关系。实证结果表明,股权结构与公司绩效的关系受行业竞争性因素影响。具体而言,国有控股在竞争激烈的工业以及竞争程度较弱的公用事业对公司绩效有显著负面影响,而在竞争性一般的商业与公司绩效不存在显著关系;股权集中度在竞争程度较弱的公用事业和商业与公司绩效存在显著的U型曲线关系,而在竞争激烈的工业对公司绩效没有显著影响。研究结论倾向于支持"公司治理的权变理论",即并不存在一个最优的股权结构,企业应根据不断变化的内外部环境来构造合适的股权结构。     

大股东持股、治理环境与信息披露质量

本文以2005～2008年间的深市上市公司为研究样本,选用深市信息披露考评结果衡量信息披露质量水平,构建Logistic回归模型对大股东持股、治理环境和信息披露质量的关系进行实证分析.研究结果发现,提高第一大股东持股比例和增加大股东个数对信息披露质量有正面影响;第二大股东持股状态对信息披露质量影响不显著;在治理环境好的地区,提高第一大股东持股比例有利于改善信息披露质量,而在治理环境较差的地区,增加大股东个数更有利于提高信息披露质量.     

An Examination of the Naïve‐Investor Hypothesis in Accruals Mispricing in Tunisian Firms

This study extends previous studies on accrual anomaly to investigate the emerging market's mispricing of accruals. Using Mishkin (1983) test, hedge portfolio test and Fama and MacBeth (1973) regression, we test whether the Tunisian Stock Exchange price rationally reflects the 1‐year ahead earnings implications of its earnings components. We find that earnings and their cash flow and accrual components are not rationally priced by the market. Additionally, this paper examines the role of sophistication investors in the pricing of earnings and their components. Our results show that accruals for firms with higher level of institutional ownership are not mispriced, while accruals for firms with lower institutional ownership are overpriced significantly by the market.     

The Accuracy of Price-Earnings and Discounted Cash Flow Methods of IPO Equity Valuation

This paper compares estimates of value derived from conventional discounted cash flow and price earnings valuation methods to the market price. For a sample of 45 firms newly listed on the New Zealand Stock Exchange our results suggest that the best discounted cash flow method and the best price earnings comparable have similar accuracy. The median absolute pricing error is around 20% and the models explain around 70% of the cross-sectional variation in market price scaled by book value. The results serve to corroborate the findings of Kaplan and Ruback (1995).     

Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

Recent empirical research has documented that the state of the limit order book influences stock investors' strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this behavior is related to long memories of trading volume, volatility, and order signs in stock markets. We investigate our conjecture in two types of artificial stock markets: a transparent market, in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade; and a less transparent market, in which agents observe only the best five bid and ask quotes with the depth available at these limit prices. The first market structure resembles certain actual stock exchanges in the level of pre-trade transparency, such as the Australian Stock Exchange, NYSE OpenBook, and the London Stock Exchange, whereas the second market structure is consistent with stock exchanges such as Euronext Paris, the Toronto Stock Exchange, the Tokyo Stock Exchange, and Hong Kong Exchanges and Clearing. We demonstrate that our long memory results are robust with different levels of pre-trade transparency, implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges.     

Price support and spreads in the IPO aftermarket: An empirical microstructure study

Using the inventory components of spreads as a measure of inventory holding-risk, we test the hypothesis of Hanley et al. [Hanley, K. W., Kumar, A., & Seguin, P. J. (1993). Price stabilization in the market for new issues. Journal of Financial Economics, 34, 177–197] that price supports reduce market makers’ inventory holding-risk in the aftermarket of initial public offerings (IPOs). We find that both spreads and their inventory components are significantly smaller in the earlier periods of the IPO aftermarket than those in the later periods. More importantly, the inventory components of spreads are significantly smaller for stocks without over-allotment options (OAOs) exercised, and for stocks with lower or negative initial returns which are more likely to have price supports. The results are consistent with the price support hypothesis.     

A model for IPO pricing and contract choice decision

This paper attempts to reconcile the average underpricing phenomenon with the expected wealth maximizing behaviors of market participants. Under the usual informational asymmetry, the optimal offer price for best efforts IPOs is derived as a function of the uncertainty about market’s valuation, the expected return on proposed projects and the size of offerings relative to the firm’s market value. According to these firm-specific characteristics, best efforts IPOs can be underpriced, fairly priced, or overpriced. Employing the investment banker as an outside information producer, the basic pricing model is extended to provide empirical implication for underwriting contract choice decision as well as for the pricing. Consistent with the existing empirical evidences, the model predicts that the issuers with greater uncertainty about market’s valuation choose best efforts contract over firm commitment contract and that the dispersion of initial returns would be greater for best efforts IPOs than for firm commitment IPOs.     

财务报告重述、审计师变更与内部控制缺陷披露——基于深圳主板市场２０１０年的经验证据

以深圳主板市场披露的内部控制自我评价报告为研究对象,运用逻辑斯蒂(Logistic)模型,检验了内部控制缺陷披露与财务报告重述、审计师变更之间的关系.结果显示,内部控制缺陷披露与财务报告重述之间呈现显著的正相关关系,即因公司前期年度报告存在缺陷而进行重述的公司更有可能披露内部控制缺陷.将内部控制缺陷进一步划分为财务报告层面缺陷和公司层面缺陷,财务报告重述与二者都呈显著正相关,而审计师变更仅与财务报告层面内部控制缺陷单方面呈显著正相关.     

Market Implications of the Audit Quality and Auditor Switches: Evidence from China

Independent audits enhance the credibility of corporate financial reports and assist investors to make rational decisions in the capital market. Nonetheless, the utility of the auditing function depends upon the quality of audits, which is determined by the independence and expertise of auditors. Hence, auditor choice and switch will not only affect an audit's quality, but will also influence decisions made by investors and other market participants. The purpose of this paper is to investigate how investors respond to the quality of audits and auditor switches in the Chinese context. Empirical results show that the quality of an audit and switching to a larger auditor have a positive (negative) impact on earnings response coefficients (ERCs) for firms with positive (negative) abnormal earnings. In contrast, switching to a smaller auditor has a negative (positive) impact on ERCs for firms with positive (negative) abnormal earnings. These results suggest that large auditing firms (Top 10) in China are perceived as more effective for curbing income-increased earnings management, which leads to higher (lower) ERCs for clients with positive (negative) abnormal earnings. Firms' switching to a larger auditor may signal high-quality earnings. Therefore, investors more often increase stock prices when firms have positive abnormal earnings and less often depreciate prices for negative abnormal earnings. Similarly, switching to a smaller auditor may signal lower earning quality, resulting in opposite market responses. In general, the empirical evidence suggests that audit information is valued by the capital market in China. Large auditing firms have been able to product-differentiate themselves within the Chinese stock market.     

审计师选择与业绩承诺精准达标——基于中国借壳上市公司的经验证据

在借壳交易中，对借壳方（非上市公司）财务报告执行审计的审计师可以是壳公司（上市公司）的现任审计师，也可以是新任审计师。以2011—2020年完成借壳上市并签订业绩补偿承诺的我国A股借壳交易案件为样本，检验借壳上市审计师选择对借壳公司业绩承诺实现情况的影响。研究发现，与保留壳公司现任审计师的借壳公司相比，借壳上市交易中选择新审计师的借壳公司更可能在业绩承诺期间精准实现业绩承诺，盈余管理是借壳交易中审计师选择影响借壳公司精准实现业绩承诺的作用渠道。此外，当业绩承诺补偿方式为股份补偿以及借壳交易双方为关联方时，借壳交易中选择新审计师的公司对业绩承诺精准达标的正向作用更加显著。进一步研究发现，借壳上市交易中选择新审计师的公司更可能在业绩承诺到期后经历业绩滑坡，且大股东更可能在锁定期结束后减持股票。结果表明，与保留壳公司现任审计师的借壳公司相比，借壳交易中选择新审计师的借壳公司的机会主义行为更严重。     

民营化对上市公司业绩与会计师\n事务所选择影响的研究

采用1996年-2007年在沪深两地上市的178个民营化企业为样本,研究分析民营化对上市公司绩效和会计师事务所选择的影响后,发现民营化带来企业业绩的提高.企业最终控制人的特征影响民营化效应:当收购者具有专业背景时,民营化带来业绩的提高;而收购者具有政府背景或为本公司管理层时,民营化前后企业业绩没有显著差异.当收购者具有专业背景或管理层收购时,民营化上市公司更可能新聘请高质量的会计师事务所;而收购者是有政府背景的个人时,民营化不会带来会计师事务所的更换.聘请新的高质量会计师事务所,民营化之后上市公司业绩显著提高.     

The Risk-Relevance of Accounting Data: Evidence from the Spanish Stock Market

This paper analyses the relevance of accounting fundamentals to inform about equity risk as measured by the cost of equity capital. Assuming the latter is a summary measure of how investors make decisions regarding the allocation of resources, the strength of the association between the cost of capital and the accounting‐based measures of risk indicates how important these measures are for market participants when making economic decisions. To infer the cost of equity capital, we use the O'Hanlon and Steele's method, which is based on the residual income valuation model. Moreover, we use the insights from this model to provide a theoretical underpinning for the choice of the accounting variables related to risk. The sample refers to the non‐financial firms listed in the Madrid Stock Exchange along the period 1987–2002. Our results support our initial expectations regarding the association between the cost of equity capital and the accounting‐based risk variables, thereby supporting the usefulness of fundamental analysis to determine the risk inherent in share's future payoffs. In particular, we highlight the role of investing risk, which has been ignored in previous research. Our results are also robust to measures of risk other than the cost of capital such as the variability in total returns and the firm's systematic risk (β).