Investor relations,information asymmetry and market value

Evidence to date on the market value of investor relations (IR) strategies is limited. We test the market relevance of IR activity directly employing a proprietary database measuring IR quality across all firms listed on NYSE, Amex and NASDAQ. Although, in theory, ‘repackaging’ and communicating existing information should have no market impact, we find that firms with higher quality IR strategies are rewarded with significantly higher valuation multiples. In addition, increase in IR quality is associated with increases in analyst following and liquidity. Overall, our findings are generally stronger for small firms which are more likely to be ‘neglected’. Our evidence is consistent with effective IR successfully raising firm visibility leading to enhanced recognition and reduced information asymmetry in line with Merton (1987 Merton, R., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42 (3), 483–510. doi: 10.1111/j.1540-6261.1987.tb04565.x[Crossref], [Web of Science ®] , [Google Scholar]) and thus ‘fairer’ firm valuation as argued by IR professionals.     

Asset Liquidity and Stock Liquidity: International Evidence

This study examines the relationship between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries with poor information environment. For example, we find that the asset–stock liquidity relationship is stronger in countries with poor accounting standards. We further find evidence that after the adoption of IFRS, the improved accounting information environment results in a weaker asset–stock liquidity relation, but only in countries with a strong legal regime. Finally, our study shows that the positive asset–stock liquidity relationship may be attributed to transparency and/or liquidity reasons.     

Can Companies Influence Investor Behaviour through Advertising? Super Bowl Commercials and Stock Returns

Recent research shows that mood and attention may affect investors’ choices. In this paper we examine whether companies can create such mood and attention effects through advertising. We choose a natural experiment by investigating price reactions and trading activity for firms employing TV commercials in 19 Super Bowl broadcasts over the 1969–2001 period. We find significant positive abnormal returns for firms which are readily identifiable from the ad contents, which is consistent with the presence of mood and attention effects. For recognisable companies with the number of ads greater than the sample mean, the event is followed by an average abnormal one day return of 45 basis points. The effect appears to persist in the short term with the 20‐day post‐event cumulative abnormal returns for such firms averaging 2%. We find significant abnormal net buying activity for small trades in shares of recognised Super Bowl advertisers indicating that small investors tend to be the ones most attracted by the increased publicity.     

公司特征、股权结构与股票流动性

股票流动性是金融市场微观结构的核心议题,其影响因素问题受到了人们的广泛关注。然而,以往的研究存在两个方面的重要缺陷:一是多数研究仅关注了股权结构对股票流动性的影响,而忽略了公司特征因素的作用;二是以往股权结构视角的研究由于存在研究设计上的问题,使得实证结论的可靠性不高。本文使用2003-2009年沪深两市仅发行了A股的上市公司为样本,采用高频交易数据构造买卖价差以衡量股票流动性,考察了公司特征、股权结构与股票流动性之间的关系,以及股权分置改革对这一关系的影响,得到了与以往研究不同的实证结论。针对这些结论,本文给出了符合我国制度背景的理论阐释。     

Stock Splits and Liquidity: The Case of the Nasdaq-100 Index Tracking Stock

In an attempt to disentangle the signaling effect from the liquidity effect of stock splits, I examine the liquidity changes following the two‐for‐one split of the Nasdaq‐100 Index Tracking Stock. Since there can be no signaling with an index stock split, any difference between pre‐ and postsplit trading may be driven by liquidity but not signaling effects. I find that though the postsplit relative bid‐ask spread is higher and daily turnover is unchanged, the frequency, share volume, and dollar‐volume of small trades all increased after the split, indicating that the split improved liquidity for small trade‐sizes.     

Investor Behavior and the Benefits of Direct Stock Ownership

Using an experiment to rule out reverse causality, we examine whether a small investment in a company's stock leads investors to purchase more of the company's products and adopt other views and preferences that benefit the company. We preregister our research methods, hypotheses, and supplemental analyses via the Journal of Accounting Research’s registration‐based editorial process. We find little evidence consistent with these hypotheses for the average investor in our sample using our planned univariate hypothesis tests, and planned Bayesian parameter estimation shows substantial downward belief revision for more optimistic ex ante expectations of the treatment effects. In planned supplemental analyses, however, we do find that the effects of ownership on product purchase behavior and on regulatory preferences are intuitively stronger for certain subgroups of investors—namely, for investors who are most likely to purchase the types of products offered by the company and for investors who are most likely to vote on political matters. The results contribute to our understanding of the benefits of direct stock ownership and are informative to public company managers and directors.     

Foreign Institutional Investment,Ownership, and Liquidity: Real and Informational Frictions

The literature widely documents the negative liquidity impact of foreign participation in firms that permit high foreign institutional ownership. This paper employs a unique setting for the limited participation of qualified foreign institutional investors (QFIIs) in China's A-share market and examines how this impacts on stock liquidity in emerging markets. Contrary to the findings in the literature, foreign investor participation helps enhance the liquidity of affected stocks by promoting trade activities and price discovery. The improvement in liquidity does not occur through the information friction channel, but rather the real friction channel. Our results are robust to endogeneity issue and the possible influence of the global financial crisis, industry effects and the stock exchange. Further, the liquidity improving effects of QFII are even stronger when the analysis is performed on a subsample of QFII firms.     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

The Pitch Rather Than the Pit: Investor Inattention,Trading Activity,and FIFA World Cup Matches

This paper analyzes stock market trading in 15 countries during the 2010 and 2014 soccer FIFA World Cups. We find evidence for substantial investor inattention during these major sporting events. The lack of attention for the trading pit is particularly large when the national soccer team is competing, with traded volumes declining by as much as 48%. During national team matches, prices on local stock markets can temporarily decouple from global financial market developments. These findings suggest that major sporting events can act as a laboratory in which to investigate investor inattention.     

股票市场投资者结构国际比较研究

本文梳理了A股市场与相关国家(地区)股市投资者结构的现状,探讨这些市场投资者结构的演变路径、以及促成这种演变的主要因素。基于境外主要市场投资者结构演变及政策措施的经验教训,本文提出改进A股市场相关制度的六点政策建议:第一,从更宏观的政策层面入手,改进上市公司结构,增厚上市公司利润,以增进A股市场的长期投资价值;第二,着力培育和鼓励大体量资金机构进入股市;第三,有必要继续扩大海外合格机构投资者资金规模;第四,完善金融产品供应,适当放宽交易规则约束,使机构投资者有更多工具和交易方式参与市场交易;第五,在个人投资者方面,监管部门需要适度转变监管理念,进而改进相关交易规则,鼓励个人投资者以合理方式理性参与股市;第六,创新税收激励机制,合理引导个人投资者。     

机构投资者股指期货交易的风险控制研究

股指期货市场的健康发展与机构投资者队伍的不断壮大是相辅相成、密不可分的。目前,机构投资者参与股指期货交易的步伐正在加快。本文结合国内证券期货市场的实际状况,全面定义和分析了机构投资者参与股指期货交易面临的七大风险,并给出了相应的风险控制对策,以期能够为机构投资者的股指期货交易风险控制提供有益的参考,进而促进国内股指期货市场功能的发挥和机构投资者队伍的壮大。     

投资者情绪与中国股票市场过度波动

本文分析中国投资者分类情绪及信心变化与中国股票市场波动的同期及动态影响。实证结果表明:就同期而言,中国投资者对国内经济基本面的信心变化以及中国股票市场波动,将影响投资者对国际经济金融环境的信心;就中长期而言,中国投资者情绪中关于国内经济基本面和国内经济政策的信心变化是影响中国股票市场过度波动的重要原因;中国投资者关于国际经济金融环境的信心深受国内经济基本面的信心变化的影响,中国投资者对A股市场估值的判断,受投资者对A股市场的股票估值信心以及国内经济基本面信心变化影响较大。     

Overconfidence and Investor Size

Recent research documents that institutional or large investors act as antagonists to other investors by showing opposite trading behaviour following the disclosure of new information. Using an extremely comprehensive official transactions data set from Finland, we set out to explore the interrelation between investor size and behaviour. More specifically, we test whether investor size is positively (negatively) correlated with investor reaction following positive (negative) news. We document robust evidence of that investor size affects investor behaviour under new information, as larger investors on average react more positively (negatively) to good (bad) news than smaller investors. We furthermore find that the performance of smaller, or more overconfident, investors is in general hurt by their behaviour.     

Advertising and Investor Recognition of Banking Firms: Evidence from Taiwan

This study examines the effect of advertising expenditure on strengthening a firm’s intangible capital and firm value by attracting the public on the firm’s visibility and then investigates the role of advertising expenditures on a banking firm’s market value, liquidity, and breadth of ownership. The empirical results find that the advertising has a significantly positive effect on banking firm’s share value, liquidity, and institutional holdings. Consequently, this study concludes that advertising benefits banking firms through increased investor perceptions of such firms. In particular, the findings provide additional support for the home bias phenomena, in which investors prefer to invest in familiar stocks.     

Relative Liquidity,Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds

We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand.     

股市流动性、市场关注度与创业板上市公司转板选择——兼论我国多层次资本市场建设

本文从创业板上市公司的角度出发,通过理论模型探讨了流动性、市场关注度对其转板选择的影响。在此基础上,采用统计比较方法从全市场和配对样本两个方面分析我国创业板市场与主板市场在流动性、市场关注度和新股发行市盈率方面的异同。研究发现,我国创业板上市公司可能无法通过转板至主板上市这一途径来增强其股票的流动性和市场关注度。基于以上研究结论,有针对性地提出了有关我国建设多层次资本市场体系的政策建议。     

The Information Content of Multiple Stock Splits

We examine the relationship between the frequency of stock splits and firms' motives for splitting their stock. Compared to their peers, infrequent splitters show higher post‐split operating performance, but not so for frequent splitters. We find that split ratio and liquidity change explain the stock split announcement effect for the frequent splitters. In contrast, the change in operating performance in the split year explains the announcement effect for the infrequent splitters. Our results suggest that frequent splits are more consistent with the trading range‐improved/liquidity hypothesis and infrequent splits are more consistent with the signaling hypothesis.     

Stock Liquidity Risk and the Cross‐sectional Earnings‐Returns Relationship

We argue that a higher sensitivity to aggregate market‐wide liquidity shocks (i.e., a higher liquidity risk) implies a tendency for a stock's price to converge to fundamentals. We test this intuition within the framework of the earnings‐returns relationship. We find a positive liquidity risk effect on the relationship between return and expected change in earnings. This effect on the earnings‐returns relationship is distinct from the negative effect observed for stock illiquidity level. Notably, the liquidity risk effect is evident (absent) during periods of neutral/low (high) aggregate market liquidity. We also show that the liquidity risk effect is dominant in firms that: (a) are of intermediate size; (b) are of intermediate book‐to‐market; and (c) are profit making.     

European Momentum Strategies,Information Diffusion,and Investor Conservatism

In this paper we conduct an out‐of‐sample test of two behavioural theories that have been proposed to explain momentum in stock returns. We test the gradual‐information‐diffusion model of Hong and Stein (1999) and the investor conservatism bias model of Barberis et al. (1998) in a sample of 13 European stock markets during the period 1988 to 2001. These two models predict that momentum comes from the (i) gradual dissemination of firm‐specific information and (ii) investors’ failure to update their beliefs sufficiently when they observe new public information. The findings of this study are consistent with the predictions of the behavioural models of Hong and Stein's (1999) and Barberis et al. (1998) . The evidence shows that momentum is the result of the gradual diffusion of private information and investors’ psychological conservatism reflected on the systematic errors they make in forming earnings expectations by not updating them adequately relative to their prior beliefs and by undervaluing the statistical weight of new information.