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Given the voluntary nature of internet investor relations (IIR), the decision to engage can be viewed in terms of a cost–benefit framework. This study aims to investigate one potential benefit of IIR: a reduction in the cost of capital (measured as the weighted average cost of equity and cost of debt). Contrary to the majority of related studies to date that have used either an indirect proxy or examined the annual report, this study entails a content analysis of corporate websites using a comprehensive measurement instrument. IIR is found to be significantly and negatively related to the cost of debt. Although the level of IIR is also found to be significantly and negatively related to the cost of equity, this association only prevails after an adjustment is made to the cost of equity of smaller companies. Finally, the level of IIR is found to be significantly and negatively related to the cost of capital, both before and after an adjustment to the cost of equity of smaller companies is made. Although the current study deals with Johannesburg Stock Exchange data, the problem investigated is universal in nature and according to our knowledge, this is the first study to comprehensively examine the impact of IIR on the cost of capital.  相似文献   

3.
Price limit advocates claim that price limits decrease stock price volatility, counter overreaction, and do not interfere with trading activity. Conversely, price limit critics claim that price limits cause higher volatility levels on subsequent days (volatility spillover hypothesis), prevent prices from efficiently reaching their equilibrium level (delayed price discovery hypothesis), and interfere with trading due to limitations imposed by price limits (trading interference hypothesis). Empirical research does not provide conclusive support for either positions. We examine the Tokyo Stock Exchange price limit system to test these hypotheses. Our evidence supports all three hypotheses suggesting that price limits may be ineffective.  相似文献   

4.
Several studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia et al. (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market‐wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia.  相似文献   

5.
This paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest-rate changes. A two-factor APT model with the market and changes in the yield on long-term government bonds as factors is employed. The paper shows that, empirically, most of the interest-sensitive stocks are in the utility industries, and that there is reasonable evidence that the interest factor is priced in the sense of the APT. Several sources for the interest sensitivity are considered, and regulatory lags are focused on as a likely candidate.  相似文献   

6.
We investigate whether the activity of financial firms creates value and/or risk to the economy within the asset pricing framework. We use stock return data from nonfinancial firms listed in the first section of the Tokyo Stock Exchange. The value-weighted index that is solely composed of nonfinancial firms is augmented with the index of the firms from the financial sector, and we estimate multivariate asset pricing model with these two indices. We note that our procedure can simultaneously take into account the cross-holding phenomena among Japanese firms, especially between the financial sector and the nonfinancial sector. Our augmented index model performs well both with cross-sectional Fama and MacBeth regression test and GMM test. Our two index model with additional Fama and French's HML factor can capture cross-sectional variations of the returns of sample portfolios better than the original Fama and French model can, when measured by Hansen and Jagannathan distance measure. We find that this additional new sector variable can be a substitute for Fama and French's size factor, but not related to the bond index return. This variable has similar factor characteristic as money supply growth or the term structure, but the latter variables contain more information than the former. Morever, our financial sector model helps explain the return and risk structure of Japanese firms during the so-called bubble period.  相似文献   

7.
The random-walk version of the efficient market hypothesis is tested for the Istanbul Stock Exchange (ISE) using its composite, industrial, and financial index weekly closing prices. The results obtained from three of the tests indicate that all three series are a random walk, but a nonparametic test provides some evidence against a random walk.  相似文献   

8.
This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.  相似文献   

9.
We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.  相似文献   

10.
This paper investigates the value consequences of stock splits in a market where institutional characteristics minimize the effects of price realignment and signaling. We find that despite these market conditions, stock splits by Greek firms produce positive price reaction around the announcement day. Further, split factors are directly related to pre-split price levels and deviations from average market prices. Splitting firms also realize earnings improvement which is not reversed after the stock split. Consistent with these findings, market reaction is inversely related to the post-split target price and the size of firm. We interpret this as evidence in support, respectively, of the self-selection and “attention-gathering” hypotheses. As reported in other international studies, there is no evidence of liquidity improvement.  相似文献   

11.
This paper examines the stock price behavior in the trading and non-trading periods for stocks listed on the Taiwan Stock Exchange over 1971-96. The results indicate that the trading-time return variances are higher than the non-trading-time return variances especially for the larger trading-volume quintiles. This result is consistent with the private information hypothesis. Moreover, open-to-open return variances are higher than close-to-close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis.  相似文献   

12.
The aim of our study is to examine the dynamics of trading volume and the number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only the minority of jumps is associated with public information releases, whereas the majority of them is motivated by liquidity shocks observed in the spreads, volume, and the number of trades. Our findings show that jumps are related to the inability of the market to absorb new and big orders. Liquidity shocks in volatility, volume, and quoted spread are the key drivers accompanying the occurrence of the jumps. Finally, the introduction of a faster and more efficient trading system improves the liquidity by increasing the depth of the market.  相似文献   

13.
The signaling or information content hypothesis is amongst the most prominent theories attempting to explain dividend policy decisions. However, no research has, to date, examined the information content of dividends in conjunction with generalized economic adversity. With the majority of the western economies facing the tough reality of the economic recession since late 2007–early 2008, we focus on the possibility of asymmetrical dividend signaling effects between periods of stability and economic adversity. Using data from the London Stock Exchange (LSE), where earnings and dividend news are released simultaneously, we test the dividend signaling hypothesis and the interaction of earnings and dividends under both steady and adverse economic conditions. We document positive and significant average abnormal stock price returns around the dividend/earnings announcements. We also find a significant interaction between economic conditions and the information content of dividends. After testing the dividend signaling hypothesis under both stable and recessionary economic conditions we find that dividends have less information content than earnings in periods of growth and stability, but more in periods of economic adversity.  相似文献   

14.
We study the performance of conditional asset pricing models and multifactor models in explaining the German cross‐section of stock returns. We focus on several variables, which (according to previous research) are associated with market expectations on future market excess returns or business cycle conditions. Our results suggest that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved when allowing for time‐varying parameters of the stochastic discount factor. A conditional CAPM using the term spread explains the returns on our size and book‐to‐market sorted portfolios about as well as the Fama‐French three‐factor model and performs best in terms of the Hansen‐Jagannathan distance. Structural break tests do not necessarily indicate parameter instability of conditional model specifications. Another major finding of the paper is that the Fama‐French model – despite its generally good cross‐sectional performance – is subject to model instability. Unconditional models, however, do a better job than conditional ones at capturing time‐series predictability of the test portfolio returns.  相似文献   

15.
We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive‐net‐supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small.  相似文献   

16.
This study examines the ex-post consequences of CEO compensation for shareholder value. The main objective is to explore whether companies that pay their CEO excessive fees (in comparison to those of peer firms in the same industry and size group) generate superior future returns and better operating performance. Our analysis, which separately considers the cash-based and incentive/equity-based components of CEO compensation, is based on a large sample of UK-listed companies over the period 1998–2010. We find that CEO incentive pay is negatively associated with short-term subsequent returns. Interestingly, firms that pay their CEOs at the bottom of the incentive-pay distribution earn positive abnormal returns and, also, significantly outperform those at the top of the incentive-pay distribution. Further analysis reveals that such outperformance can be largely explained by the excessive exposure of low-incentive-pay firms to idiosyncratic risk. Finally, evidence from panel regressions suggests that, in addition to its negative relationship with returns, incentive pay is also inversely associated with future operating performance.  相似文献   

17.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market by curbing short-term noise trading.
Zhen Zhu (Corresponding author)Email:
  相似文献   

18.
This article studies the pricing of options in an extended BlackScholes economy in which the underlying asset is not perfectlyliquid. The resulting liquidity risk is modeled as a stochasticsupply curve, with the transaction price being a function ofthe trade size. Consistent with the market microstructure literature,the supply curve is upward sloping with purchases executed athigher prices and sales at lower prices. Optimal discrete timehedging strategies are then derived. Empirical evidence revealsa significant liquidity cost intrinsic to every option.  相似文献   

19.
This study of warrants on the London Stock Exchange examines whether they display particular pricing biases and whether investors understand how to value them at the time of issue. In a sample of 72 warrants on closed-end funds (investment trusts) over the 1985--94 period, more than one third of the 12,673 prices are anomalously low. The other two thirds behave like stock options, with lower volatility when they are in-the-money or have a long time until maturity. Despite their frequent undervaluation, it is rational to add warrants to a new equity issue: an examination of 127 new equity issues (95 with warrants) reveals that attaching warrants significantly increases market value. The reason for this appears to be investor confusion: they do not seem to understand that the more the warrants are worth, the less the value of the ordinary shares.  相似文献   

20.
This study of warrants on the London Stock Exchange examineswhether they display particular pricing biases and whether investorsunderstand how to value them at the time of issue. In a sampleof 72 warrants on closed-end funds (investment trusts) overthe 1985–94 period, more than one third of the 12,673prices are anomalously low. The other two thirds behave likestock options, with lower volatility when they are in-the-moneyor have a long time until maturity. Despite their frequent undervaluation,it is rational to add warrants to a new equity issue: an examinationof 127 new equity issues (95 with warrants) reveals that attachingwarrants significantly increases market value. The reason forthis appears to be investor confusion: they do not seem to understandthat the more the warrants are worth, the less the value ofthe ordinary shares.  相似文献   

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