共查询到20条相似文献,搜索用时 15 毫秒
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基于国际资本市场数据的研究发现,股票价格的波动率和股票未来的回报率负相关,而且风险差异不能解释这个现象,文章使用中国股票市场的数据发现了相同的结论。在1998年1月到2003年12月期间内,基于过去一个月内股价波动率的对冲组合在未来六个月内能够取得0.32%的月风险调整超额回报率。M iller(1977)认为股价波动性代表了投资者对股票价值评估的不确定性和异质性,因为卖空限制的存在,波动性高的股票的价格更多地反映了乐观投资者的看法,因而出现高估价值的错误定价。文章分析认为M iller的错误定价理论能够解释股价波动率与未来回报率之间的负相关关系。 相似文献
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《上海立信会计学院学报》2013,(6):67-73
运用事件分析法构建了基于"窗口期"的内幕交易研究模型,以中国A股市场2008-2012年度重大资产重组事件为样本,研究了资产重组、股价波动和内幕交易的关系。研究发现,我国资本市场重大资产重组中显著存在内幕交易行为,加强关联交易和非国有控股上市公司资产重组监管有助于遏制内幕信息散布,2008年加强重大资产重组信息管理的政策取得了明显效果。 相似文献
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Nianhang Xu Xuanyu Jiang Kam C. Chan Shinong Wu 《Journal of International Financial Management & Accounting》2017,28(3):308-348
We examine the proposition that firms with disproportionately more analysts herding in their coverage, as measured by a larger herding index value, have higher crash risk. Our findings are consistent with the main proposition. The results suggest that information production, rather than monitoring, is the primary mechanism behind the positive relation between herding and crash risk. Our conclusion is robust to different measures of crash risk, crash risk windows, herding measures, subsamples, and instrumental estimation. In addition, using post‐earnings announcement drift, we report that analyst herding slows down bad news transmission in the market. Our findings extend the literature by documenting that analyst herding plays a role in enhancing crash risk. Analyst herding has economic consequences on the covered firms. We offer support for the concern in the literature regarding analyst herding and market fluctuations. 相似文献
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This paper examines the role played by internal control and its five components (i.e. control environment, risk assessment, control activities, information and communication, and monitoring) in alleviating future stock price crash risk. Using a unique dataset from China, we find evidence that internal control is negatively associated with future stock price crash risk. Specifically, control environment, information and communication, and monitoring are significantly and negatively associated with future stock price crash risk. Moreover, the negative association between internal control and crash risk is significantly more pronounced in firms with weak internal and external governance (i.e. audited by non-Big 4 auditors, located in provinces with low market development, and less conservative in accounting) and with poor ability to mitigate impacts of extreme negative events (i.e. non-state-owned enterprises). Our study highlights the delicate role of internal control as a mechanism in preventing crash of stock price. 相似文献
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Drawing a framework from stakeholder theory, this study uses 1994 data drawn from 100 United Kingdom listed companies to test empirically whether the level of discretionary donations made by companies to charitable, social and political causes is related to four company-specific factors, namely leverage, company size, profitability and ownership structure. Consistent with our hypotheses, the results indicate that the decision to contribute funds to charities and other bodies is positively related to company size and profitability and negatively related to leverage. However, the study provides no support for the view that there is a link between discretionary donations and a company's ownership structure. 相似文献
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This article focuses on the structuring of the corporate headquarters in a franchise organization. Four essential issues that are related to franchisors organizational structure are discussed—homogeneity and heterogeneity of franchisors structure, company-owned and franchise arrangement, the dynamics between strategy and structure, and performing innovative and administrative functions simultaneously in the headquarters. Propositions are given for each issue. The results of qualitative analysis associated with each issue are discussed. 相似文献
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本文采用Logistic模型对我国2002~2004年A股财务舞弊公司的内部制衡、独立审计与政府监管制衡机制进行了研究。结果发现:公司股东大会出席率与财务舞弊负相关,董事会规模与财务舞弊负相关;独立董事比例、监事会规模、董事长与总经理两职合一对财务舞弊并无显著影响;资产审计费用率与财务舞弊正相关;上年度财务报告审计意见差、上年度股票被特别处理的公司财务舞弊可能性较大。 相似文献
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破净指股票价格跌破每股净资产,是股票价格与每股净资产关系的一种极端表现。本文以1 059家A股上市公司为样本,采用修正的Ohlson模型,分组对股价破净的影响因素进行研究。结果发现:对于业绩为正的非ST企业而言,公司规模大、上市时间早、机构投资者持股比例低的国有企业容易破净;ST企业的股票价格虽下跌,但其重组捷径和壳资源改变了投资者的预期,使ST企业不破净或较少破净。 相似文献
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本文从个体消费最优化的行为出发,推导出一般性的股票价格与消费行为间的作用模型,分析了消费与股票价格的一般作用模式。在此基础上,考虑到经济环境的复杂性,推导出不确定性情况下,股票价格与消费间的作用模型,同时,分析了收入对消费的作用是如何影响股票价格的,得出了股票收益率及二者的协方差共同决定了消费行为,同时分析表明消费的收入模式不同对股票价格的影响差异甚微。 相似文献
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本文以中国上市公司为样本对象,研究了会计盈余信息的市场冲击作用.文章分别从上市公司个股和市场整体两个角度考察了上市公司股价对会计信息的反应模式,得出了不一致的结论.首先,会计盈余对股价不一定具有正向冲击;其次,历史盈余信息不一定能代表未来收益;再次,市场对财务信息的反应模式和宏观经济环境有关,而这种关系则通过会计盈余和折现率之间的正相关关系传递. 相似文献
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债务融资与公司业绩的实证研究 总被引:1,自引:0,他引:1
运用中国上市公司2003年至2005年的数据,对债务融资与公司业绩的关系进行实证分析,发现中国上市公司债务融资比例偏低,且有减少的趋势;债务融资率与企业业绩具有正相关关系,债务融资对提高企业业绩有积极的影响.针对我国上市公司的债务融资状况,提出了相应的改进措施. 相似文献
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主要股票市场指数与我国股票市场指数间的协整分析 总被引:43,自引:0,他引:43
本文应用协整分析和误差修正模型(ECM),对沪、深股市指数和主要股票市场(美国、英国、香港和日本)之间的关系进行了实证分析。通过建立误差修正模型(ECM),发现指数之间收益率序列具有相异的短期波动,而对沪、深股市指数和主要股票市场指数进行协整分析,我们发现国内市场与国际市场不存在协整关系,即没有长期共同趋势,得出我国股票市场与国际市场相分离的结论。 相似文献
13.
Tony Kang 《Journal of International Financial Management & Accounting》2005,16(2):123-141
The purpose of this study is to investigate why the information content of US earnings announcements of non‐US firms cross‐listing in the US varies with the degree of capital market segmentation in the cross‐listing firms' countries of domicile. My evidence shows that indirect barriers to investing (i.e., accounting rules and liquidity differences) rather than direct investment barriers (i.e., investment restrictions) mainly account for this difference. After controlling for the level of accounting disclosure in a firm's country of domicile, I do not observe a systematic difference in the size of market's reaction to earnings announcements depending on the degree of market segmentation in the firm's country of domicile. This study contributes to the literature by providing evidence that accounting disclosure plays an important role in the integration of global capital markets. 相似文献
14.
李斌 《数量经济技术经济研究》2002,19(12):30-33
本文对于融资、债股权与治理结构问题进行分析研究。分析了获得债券和股权融资益处的条件及债股权转换的识别。建立一种企业融资与企业治理机制分析研究的初步框架基础,从而对于企业融资、企业治理机制提供有益的参考。 相似文献
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上市公司融资结构与公司治理的实证研究——来自贵州的实践 总被引:1,自引:0,他引:1
融资结构包括资本结构、股权结构和负债结构。不同的融资结构决定了不同的公司治理模式及其效率,融资结构的变化会导致公司治理的变化。本文通过对贵州板块上市公司分析发现,融资结构不合理影响了公司治理效率的提高。为了改进和优化贵州板块上市公司的治理结构,提高公司治理效率,调整融资结构是其有效方式。 相似文献
16.
我国融资融券制度探析 总被引:2,自引:0,他引:2
孙尧斌 《北京市经济管理干部学院学报》2009,24(1):45-48
融资融券是西方成熟证券市场的基本功能之一,早已为广大西方投资者所熟悉和运用。但在我国,融资融券还处于政策研究和准备阶段。本文主要阐述了融资融券的定义、起源及发展、交易模式、管理机制及对我国证券市场的影响几个方面的内容。 相似文献
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We investigate the real effect of short selling on corporate investments and, in particular, examine whether short selling improves managerial learning from stock prices in making investment decisions. We find that short selling improves investment sensitivity to stock price, most likely through a channel that short selling increases stock price informativeness. Using the lifting of uptick rule for index arbitrageurs and market makers as an exogenous shock to short selling intensity, we confirm the causal effect of short selling on managerial learning. Overall, our evidence suggests that short selling enhances the role of stock price in resource allocation. 相似文献
20.
This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990–1999 through the comparison
of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry
in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks
into volatility. 相似文献