Foreign investors and stock price efficiency: Thresholds,underlying channels and investor heterogeneity

This paper examines the relationship between foreign shareholding and stock price efficiency for Malaysian public listed firms over the 2002–2009 sample period. We use stock price delay as an inverse measure of price efficiency, and consider the speed of adjustment to local and global common factor information. The results show that foreign investors accelerate the incorporation of both types of common information into the prices of Malaysian stocks, mainly due to their superior skills in processing systematic market-wide factors. However, we find evidence of optimality in foreign shareholding, suggesting that the efficiency benefit disappears after foreign ownership exceeds a certain threshold level. Further analyses shed lights on the channels and moderating variables driving this non-monotonic relationship. Our disaggregate analysis on foreign investor heterogeneity shows that foreign investors who trade through nominee accounts are elite processors of public market-wide and firm-specific news in the Malaysian stock market.     

Board independence and market reactions around news of stock option backdating

This study focuses on whether board independence explains stock price reactions to backdating and factors that explain backdating decision. Consistent with previous studies, we find negative stock returns around backdating news. Although our findings show that board independence variables fail to explain the incidence of backdating, our regression results show that stockholders consider these variables to be important. Abnormal stock returns around news of backdating are higher when firms have higher proportion of outside directors and when outside directors have lower stock ownership in the firm.     

Economic uncertainty,oil prices,hedging and U.S. stock returns of the airline industry

This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns of U.S. airlines using both industry and firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline returns including jet fuel price volatility. Empirical results confirm that oil price increase, economic uncertainty and jet fuel price volatility have significantly adverse effect on real stock returns of airlines both at industry and at firm level. In addition, we also find that hedging future fuel purchase has statistically positive impact on the smaller airlines. Our results suggest policy implications for practitioners, managers of airline industry and commodity investors.     

非财务信息与财务危机预警——来自我国上市公司的证据

本文从我国上市公司中,选取30家财务危机公司,与30家财务健康公司作为样本。首先对两组公司的13个财务变量,进行均值的t检验和Wilcoxon秩检验。选择合适的财务变量集,再将此财务变量集分别与董事会高管人员持股比例、股权集中度、股票价格变动趋势,及是否更换会计师事务所等,四个非财务变量一起作为解释变量,建立Logistic回归模型。实证研究结果表明,股票价格变动趋势与财务危机风险显著相关,加入非财务变量的预测模型效果更优。     

Evolution of price effects after one-day abnormal returns in the US stock market

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market, using Dow Jones Index over the period 1890–2018. We utilise several statistical tests and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, R/S analysis (Hurst, 1951), and the trading simulation approach). The results suggest that a strong momentum effect between 1940 and 1980 after a day of positive abnormal returns was present in the US stock market, and it was exploitable for profit. However, after the 1980s this has since disappeared. Overall, price effects after one-day abnormal returns during the analysed period tend to be unstable in terms of their strength and direction (momentum or contrarian effect). Nowadays, the evidence for the price effects after one-day abnormal returns in the US stock market is weak. Our results, therefore, are consistent with the Adaptive Market Hypothesis (Lo, 2004).     

Price adjustment and market structure: A single-industry study

The administered price hypothesis of Gardnier Means has continued to attract a great deal of empirical attention. Unfortunately, the results of all this research have not been consistent. The present paper tries to circumvent the usual empirical difficulties by using a lagged adjustment model for a single industry with geographically separate markets. It examines the rate of price adjustment and the frequency of price changes for newspaper advertising rates for a sample of local papers in Ireland. Adjustment equations are run for each newspaper using labour and materials cost indices as explanatory variables. The partial adjustment coefficient estimates are then related to market structure and firm specific characteristics.     

媒体报道、会计稳健性与股价崩盘风险

新闻媒体的信息传播和监督治理功能在减少信息不对称、缓解管理者囤积坏消息等方面发挥着重要作用。以沪深A股上市公司2012—2018年非平衡面板数据为样本,通过OLS回归分析上市公司股价崩盘风险是否会受到媒体报道及会计稳健性的影响。实证结果表明,媒体报道和会计稳健性与股价崩盘风险呈显著负相关关系,会计稳健性可以强化媒体报道对股价崩盘风险的影响。进一步分析发现,媒体报道与股价崩盘风险之间的负相关主要集中在正面新闻报道较多的公司和诉讼或声誉风险较高的公司。     

Stock liquidity and stock prices crash-risk: Evidence from India

In this paper, we examine the role of stock liquidity as a governance mechanism to discipline managers for withholding bad news (stock price crash-risk). This topic is useful to emerging markets because the dominance of controlling owners limits the monitoring of internal governance. Stock liquidity can be altered by the financial market regulations, thereby improving firm-level governance. In empirical analysis, we show that stock liquidity decreases stock price crash-risk. We identify two possible mechanisms through which stock liquidity reduces stock price crash-risk: the threat of intervention and price informativeness.     

非效率投资、审计监督与股价崩盘风险

选取2008年至2013年A股上市公司的数据,研究非效率投资行为可能引发的经济后果,并研究了审计监督对非效率投资行为经济后果的影响。实证研究表明,在其他条件一定的情况下,管理层的非效率投资状况越严重,就越有动机向外界隐瞒其代理动机和利益侵占行为等负面消息,造成上市公司未来的股价崩盘风险越高。独立审计作为公司治理的外部监督主体与保证机制,能够通过缓解代理问题和降低代理成本,显著抑制非效率投资对股价崩盘风险的影响。研究结论表明防范和化解股市的风险需要从上市公司代理问题的源头上做起这一政策性意义。     

How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach

We revisit the links of real exchange rate, oil price and stock market price for China using Bayesian Multivariate Quantile_on_Quantile with GARCH approach over the period of September 14, 2001 to June 17, 2022 (a total of 4051 days). Results indicate both the links between stock price and oil price and between stock price and exchange rate varying under different combinations of quantiles. GARCH model also indicate that yesterday news and persistence measures varying with current conditional variance under different quantiles. We further estimate half-life of a shock to our whole markets and find out the half-life of a shock range from 0.415 to 4.015 days. Result not found in previous study. Our study has important policy implications for the investors, practitioners, and the government.     

社会责任报告语调与股价崩盘风险

以2006—2017年披露社会责任报告的所有A股上市公司为研究对象,实证检验了社会责任报告的语调对股价崩盘风险的影响。实证结果显示,社会责任报告的净正面语调与股价崩盘风险呈显著正相关关系,具体表现为通过正面语调离差策略来隐匿企业的负面信息。进一步分析发现,当企业的信息不对称程度较高,企业自愿披露社会责任报告时,其社会责任报告净正面语调与未来股价崩盘风险呈显著正相关关系,而管理层隐匿坏消息的动机是出于缓解企业的融资约束问题。研究在丰富社会责任信息披露和股价崩盘风险相关领域研究的同时,对上市公司、投资者和监管部门也有重要的启示作用。     

Analysis of the effects of settlement of interfirm lawsuits

This study examines the effects of news on settlement of interfirm lawsuits. We hypothesize that the defendant firms suffer damaged reputation as news on the interfirm lawsuit remains in the ‘public eye’, as such ending the litigation process through settlement is good news for the defendant firms. Thus, the stock market will react positively to the defendants when news of a settlement is announced. On the other hand, settlements end the free publicity that the plaintiffs enjoy. In addition the plaintiffs settle for less money than they initially seek. Thus, the implication of a reduced cash flow expectations that the announcement of settlements brings to the plaintiffs will cancel out the positive reputation effect. Therefore, there will be no significant stock market reaction to the plaintiffs when a settlement is announced. Furthermore, the stock market will show no significant reaction to the defendants who have been the subject of more than one lawsuit in a relatively short period of time prior to a settlement because their reputation is too severely damaged to be remedied through removal of their name from the limelight. The results of our analysis support the hypotheses and offer some insight for strategy development. Copyright © 2006 John Wiley & Sons, Ltd.     

Fiscal policy and stock market efficiency: Evidence for the United States

This paper examines the extent to which fiscal policy actions affect the stock market's behavior for the US during 1968–2005. The findings are consistent with the hypothesis that past budget deficits negatively affect current stock returns thus suggesting that the market is inefficient with respect to information about future fiscal policy actions. One interpretation of this ‘disturbing’ result is that market participants do not place much faith on news about the budget deficits as they do not believe that deficits could adversely impact the stock market. Instead, what the market considers most important is news about monetary policy.     

Environmental Policy,Rankings and Stock Values

This paper examines the impact of Newsweek's ‘The Greenest Big Companies in America’ on stock values for large companies. Newsweek ranks the biggest Companies in America from one to 500. An event window of ten days following the rankings release to the public was examined to analyze the impact of relative rankings on stock values. Dummy variables were constructed denoting firms ranked in the highest and lowest quartiles. Control variables included return to the Dow Jones Industrial Average, the firm's beta coefficient and total revenue. The main finding of the study is that inclusion in the top quartile of the rankings has a positive and statistically significant impact on firms' stock values, while the coefficient for the lowest quartile was not statistically different from zero. The results provide evidence of a positive impact on stock values from favorable environmental recognition but no effect for low ranked firms. Copyright © 2011 John Wiley & Sons, Ltd and ERP Environment.     

Explaining movements in UK stock prices

We examine movements in aggregate UK stock prices by decomposing the variance of unexpected real stock returns into components due to revisions in expectations of future dividends, discount rates, and the covariance between the two. The contribution of news about future discount rates is about four times that of news about future dividends, with no significant covariance between them. Our analysis of excess returns uncovers a positive covariance between news about dividends and news about real interest rates. Since these two elements have opposite effects on current stock prices, their combined effect is negligible. Persistence in expected returns, as well as predictability, are found to be important in explaining stock price movements.     

Timeliness of Annual Report Releases and Market Reaction to Earnings Announcements in an Emerging Capital Market: The Case of China

This paper examines the relation between firm performance and the timing of annual report releases in an emerging capital market. Based on the population of listed Chinese firms with A-shares for 1994-1997, we find that good news firms release their annual reports earlier than bad news firms, and loss firms release their annual reports the latest. Moreover, consistent with Chambers and Penman (1984) and Begley and Fischer (1998), these firms unexpectedly accelerate the release of good news and delay the disclosure of bad news relative to their previous reporting pattern. We also observe a significant price reaction to the annual earnings announcements for both early (good news) and late (bad news) reporting firms. Similar results are found for those A-share firms which have also issued B- or H-shares to foreign investors. Our study documents a systematic timing pattern of annual report disclosures, which is useful for investors to predict future earnings, especially in anticipating bad news in China's emerging market where information about future earnings is very limited.     

Recovery of hidden information from stock price data: A semiparametric approach

This paper proposes a new methodology for measuring announcement effect on stock returns. This methodology requires no prior specification of the event day, event, and estimation windows, and therefore is a generalization of the traditional event study methodology. The dummy variable, which indicates whether the event occurred or not, is treated as missing. The unconditional probability of abnormal return is estimated by the EM algorithm. The probability that announcement is effective and the average announcement effect are estimated by the Gibbs sampler. How the method works is demonstrated on simulated data and IBM stock price returns.     

Is there an S in urban housing supply? or What on earth happened in Detroit?

This article examines the substantial housing stock declines between 2000 and 2010 in many major US central cities. It updates an analysis first formulated in the 1970s, of an S-shaped housing supply curve, to explain decreases in absolute housing stocks. Explanatory variables include Metropolitan Statistical Area standardized rents, center city prior occupancy rates, regional unemployment rates, and a set of regional and state dummy variables. The analysis provides strong evidence of a lower tail of the S, and more tentative evidence of an upper tail. Market fundamentals explain a considerable portion of the large housing stock losses, but in several cities loss of dwelling units and housing abandonment were worse than could be explained by the fundamentals.     

Disclosure quality,price efficiency,and expected returns

Using a composite disclosure quality measure, we examine the effect of disclosure quality on price delay and the effect of price delay determined by disclosure quality on expected returns in the Taiwan stock market. We find that higher disclosure quality can reduce stock price delay through more investor attention and higher stock liquidity after we control for accounting quality variables and consider the endogeneity issue. Furthermore, we show that disclosure quality reduces expected stock returns through the price efficiency channel associated with both investor attention and stock liquidity. Our results indicate that increasing a firm’s standardized information rating by one standard deviation can reduce its expected stock return by 0.63% annually. Taken together, our evidence suggests that regulatory activities enforced to improve public firms’ disclosure quality in the Taiwan stock market can make the stock market more efficient and therefore lower investors’ required return for stocks.     

Dynamics between patent latent variables and patent price

This paper focuses on studying the relationship between patent latent variables and patent price. From the existing literature, seven patent latent variables, namely age, generality, originality, foreign filings, technology field, forward citations, and backward citations were identified as having an influence on patent value. We used Ocean Tomo's patent auction price data in this study. We transformed the price and the predictor variables (excluding the dummy variables) to its logarithmic value. The OLS estimates revealed that forward citations and foreign filings were positively correlated to price. Both the variables jointly explained 14.79% of the variance in patent pricing. We did not find sufficient evidence to come up with any definite conclusions on the relationship between price and the variables such as age, technology field, generality, backward citations and originality. The Heckman two-stage sample selection model was used to test for selection bias.