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1.
Annette Nguyen Robert Faff Philip Gharghori 《Review of Quantitative Finance and Accounting》2009,33(2):141-158
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying
for risk associated with future GDP growth in the Australian equities market. To assess the validity of Vassalou’s findings,
we augment the CAPM and the Fama–French model with a GDP growth factor and run system regressions of the GDP-enhanced models
using the GMM approach. Our results suggest that news about future GDP growth is not priced in equity returns and that any
ability that SMB and HML exhibit in explaining equity returns is not because they contain information about future GDP growth.
相似文献
Philip Gharghori (Corresponding author)Email: |
2.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
3.
Derek K. Oler 《Review of Accounting Studies》2008,13(4):479-511
This paper investigates whether an acquirer’s pre-announcement cash level can predict post-acquisition returns. Harford (1999, Journal of Finance, 54, 1969–1997) shows that some cash-rich acquirers have lower announcement period returns than other acquirers, suggesting the
market partially anticipates poor future performance. This paper shows that the acquirer’s cash level is also strongly and
negatively predictive of post-acquisition returns, indicating that the announcement response is incomplete. Post-acquisition
return on net operating assets (RNOA) is significantly decreasing in acquirer cash, suggesting that the market responds to
subsequent poor operating performance as it is reported. Overall, these results are consistent with the market’s inattention
to a less prominent accounting signal (acquirer cash) but attentiveness to a more prominent accounting signal (RNOA), as proposed
by Hirshleifer and Teoh (2003, Journal of Accounting Economics, 36, 337–386).
相似文献
Derek K. OlerEmail: |
4.
This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds
that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals.
In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes
capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe
ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual
portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French
(J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth
regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also
confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed
among stocks.
相似文献
Bhaskaran SwaminathanEmail: |
5.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
6.
Benjamas Jirasakuldech Robert D. Campbell Riza Emekter 《The Journal of Real Estate Finance and Economics》2009,38(2):137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using
monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs
1993–2006. Consistent with findings for conventional firms, we find that EREIT conditional volatility is time-varying, persistent,
and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks pre-1993, but
the relationship disappears after 1993. We find no evidence that negative shocks affect EREIT volatility differently from
positive ones in either time period. Different from reported results for conventional firms, we find that changes in the conditional
volatility of fundamental macroeconomic variables have strong explanatory value for future changes in EREIT volatility. Finally,
comparing EREIT volatility performance with volatility in the Russell 2000 Index, a proxy for small stocks, we find that EREIT
volatility behaves differently from that of small stocks in many respects, indicating that risks in the small stock index
cannot effectively proxy for risks in the EREIT market.
相似文献
Riza EmekterEmail: |
7.
Andros Gregoriou Christos Ioannidis Sugata Ghosh 《Financial Markets and Portfolio Management》2009,23(3):271-283
In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10
international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM)
model proposed by Campbell and Shiller (Rev. Financ. Stud. 1:195–228, 1988) to incorporate time varying proportional transaction costs. We rigorously address both the cross-country heterogeneity in
the estimated model and endogeneity. We find strong evidence that suggests transaction costs should be included as an additional
explanatory variable in the CCAPM. This leads to the conclusion that transaction costs should be included in asset pricing
models as their stochastic process impacts directly on private consumption expenditure.
相似文献
Andros GregoriouEmail: |
8.
Joseph T. L. Ooi Jingliang Wang James R. Webb 《The Journal of Real Estate Finance and Economics》2009,38(4):420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known
as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining
the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found
between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing.
The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and
book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust
in the presence of idiosyncratic risk.
相似文献
James R. WebbEmail: |
9.
Imre Karafiath 《Review of Quantitative Finance and Accounting》2009,32(1):17-31
Regression analysis is often used to estimate a linear relationship between security abnormal returns and firm-specific variables.
If the abnormal returns are caused by a common event (i.e., there is “event clustering”) the error term of the cross-sectional
regression will be heteroskedastic and correlated across observations. The size and power of alternative test statistics for
the event clustering case has been evaluated under ideal conditions (Monte Carlo experiments using normally distributed synthetic
security returns) by Chandra and Balachandran (J Finance 47:2055–2070, 1992) and Karafiath (J Financ Quant Anal 29(2):279–300, 1994). Harrington and Shrider (J Financ Quant Anal 42(1):229–256, 2007) evaluate cross-sectional regressions using actual (not simulated) stock returns only for the case of cross-sectional independence,
i.e., in the absence of clustering. In order to evaluate the event clustering case, random samples of security returns are
drawn from the data set provided by the Center for Research in Security Prices (CRSP) and the empirical distributions of alternative
test statistics compared.
These simulations include a comparison of OLS, WLS, GLS, two heteroskedastic-consistent estimators, and a bootstrap test for
GLS. In addition, the Sefcik and Thompson (J Accounting Res 24(2):316–334, 1986) portfolio counterparts to OLS, WLS, and GLS, are evaluated. The main result from these simulations is none of the other
estimator shows clear advantages over OLS or WLS. Researchers should be aware, however, that in these simulations the variance
of the error term in the cross-sectional regression is unrelated to the explanatory variable.
相似文献
Imre KarafiathEmail: |
10.
Firm diversification and earnings management: evidence from seasoned equity offerings 总被引:4,自引:3,他引:1
Chee Yeow Lim Tiong Yang Thong David K. Ding 《Review of Quantitative Finance and Accounting》2008,30(1):69-92
Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine
this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings
upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals
are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent
of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers
with high discretionary accruals underperformed other SEO firms.
相似文献
David K. DingEmail: |
11.
While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many
difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make
momentum strategies less expensive with respect to transaction costs, we go a step further in the simplification of momentum
strategies. By restricting our sample to Switzerland’s largest blue-chip stocks and choosing only one winner and one loser
stock, we find average returns to our momentum arbitrage portfolios of up to 44% p.a. depending on the formation and holding
periods. While unconditional risk models are at odds with momentum profits, stock market predictability and time-varying expected
returns explain a large part of the momentum payoffs, including the post-holding period behavior of the winner and loser stocks
(overreaction and subsequent price correction).
相似文献
Markus M. SchmidEmail: |
12.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
13.
In a framework where no uncertainty arises, Arnott (J Publ Econ Theor 7:27–50, 2005) investigates a neutral property taxation policy that will not affect a landowner’s choices of capital intensity and timing
of development. We investigate the same issue, but allow rents on structures to be stochastic over time. We assume that a
regulator implements taxation on capital, vacant land, and post-development property so as to expropriate a certain ratio
of pre-tax site value as well as to achieve neutrality. We find that the optimal taxation policy is to tax capital and subsidize
properties before and after development. We also investigate how this optimal policy changes in response to changes in several
exogenous forces related to demand and supply conditions of the real estate market.
相似文献
Tan Lee (Corresponding author)Email: |
14.
Szu-Yin Kathy Hung John L. Glascock 《The Journal of Real Estate Finance and Economics》2008,37(1):51-69
This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum
phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that
momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than
those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price
ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price
ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly
explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can
be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.
相似文献
John L. GlascockEmail: |
15.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
16.
Shinhua Liu 《Journal of Financial Services Research》2007,32(3):161-176
This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding
the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in
estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks
dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We
also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis
that a reduction in transaction costs improves the efficiency of the price discovery process.
相似文献
Shinhua LiuEmail: |
17.
N. K. Chidambaran 《Review of Quantitative Finance and Accounting》2007,28(1):101-122
Discretely rebalanced options arbitrage strategies in the presence of transaction costs have path dependent returns that are
difficult to model analytically. I instead use a quasi-analytic procedure that combines the computational efficiency of analytical
solutions with the flexibility of simulations. The central feature is the estimation of the distribution of returns of the
arbitrage strategy by mapping simulated returns percentiles and the input parameter set. Using the estimated density, I evaluate
the tradeoff between transaction costs and risk exposure under generalized transaction costs structures that includes bid-ask
spread and brokerage commission. I show that the optimal strategy depends on transaction costs, volatility, and option moneyness.
Strategies such as rebalancing when the hedge ratio changes by 0.25, balances transaction costs and risk exposure, and can
be optimal.
相似文献
N. K. ChidambaranEmail: |
18.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
19.
We investigate the relationship between the borrower’s abnormal loan announcement return and the bank’s loan screening and
monitoring using a new ex-ante proxy for loan screening and monitoring. While recent studies have suggested that bank loan relationships and related loan
screening and monitoring services may no longer matter, we find significant loan announcement returns over the 1995–1999 period
and, controlling for borrower and loan characteristics, a statistically significant positive relationship between the proxy
and the borrower’s standardized CAR. While consistent with a bank’s loan screening and monitoring adding value to the borrower,
the economic effect is relatively small.
相似文献
Ian G. SharpeEmail: |
20.
Asymmetric timeliness tests of accounting conservatism 总被引:7,自引:1,他引:6
J. Richard Dietrich Karl A. MullerIII Edward J. Riedl 《Review of Accounting Studies》2007,12(1):95-124
Recent accounting research employs an asymmetric timeliness measure to test the hypothesis that reported accounting earnings
are “conservative.” This research design regresses earnings on stock returns to examine whether “bad” news is incorporated
into earnings on a more timely basis than “good” news. We identify properties of the asymmetric timeliness estimation procedure
that will result in biases in the test statistics except under very restrictive conditions that are rarely met in typical
empirical settings. Using data series that are devoid of asymmetric timeliness in reported earnings, we show how these biases
result in evidence consistent with conservatism. We conclude that the biased test statistics inherent in the asymmetric timeliness
research design preclude using this method to measure conservatism; that these biases are irresolvable as they originate in
the test’s specification; and that studies employing asymmetric timeliness tests cannot be interpreted as providing evidence
of conservatism.
相似文献
Edward J. RiedlEmail: |