Quarterly reporting in a voluntary disclosure environment: Its benefits, drawbacks and determinants

We primarily examine three issues pertaining to quarterly reporting; its benefits, drawbacks and determinants. This study is conducted in a voluntary-disclosure environment with respect to reporting quarterly earnings. On the benefits side, we find that quarterly reporting is associated with higher analyst following, and on the drawbacks side we find it is associated with high price volatility. If left to its own discretion, we find that a firm with high growth prospects, large size and a technology orientation is likely to disclose earnings on a quarterly basis.     

The Effect of Multinationality on Security Analyst Underreaction

Previous research presented evidence of bias and positive serial correlation in forecast errors suggesting that analysts do not properly recognize the time–series properties of earnings when setting expectations of future earnings. A reason for the security analyst underreaction is the level of multinationality of the firm's activities. This study shows that analysts underreact to prior information more as the level of multinationality of the firm examined increases.     

The interaction of speculators and index investors in agricultural derivatives markets

Through the analysis of the weekly Commodity Futures Trading Commission reports on 12 US traded agricultural commodities, we revisit the heated debate on the impact of index flows on commodities prices. After introducing a novel stock‐to‐use proxy that may be used to represent inventory variations at the intra‐month level, we show that speculators, contrary to index investors, are sensitive to commodity‐specific fundamental information. Their endogeneity to commodities markets hinders the estimation of their market impact. Regarding the market impact of index flows, the endogeneity problem is alleviated in two ways: first, we restrict the scope to agricultural commodities, for which index flows are more exogenous to market prices; second, we introduce two novel instrumental variables that are computed from index flows outside the market under analysis. We find that index investment flows are offset by commercial players, not speculators. The serial correlation of index flows may explain the tendency of speculators to synchronize with index investors. There is strong evidence of an index flows' impact in those commodities markets where speculative and index positions are the most correlated. The market impact of index flows is located in periods of liquidity stress, as is the correlation between speculative and index positions. Overall, our results demonstrate an impact of index investors on some agricultural prices and suggest that the synchronicity between speculative and index positions is an important determinant of this impact.     

基于地统计分析的住宅价格空间分布格局研究——以扬州市区为例

在分析扬州市商品住房交易数据基础上,设立标准住宅,通过三种插值方法的比较,最终确定运用Kriging技术对扬州市主城区住房空间分布格局进行研究。研究表明:①从总体趋势看,研究区住宅地价总体呈略显扁平的椭圆状结构;②城市交通轴线对住宅价格导向性作用明显,突出表现为文昌路沿线价格明显高于周边地区;③商业中心对于住宅市场充分发育有明显推动作用,表现为形成了以城市商业副中心为核心的住宅区峰值集聚;④环境条件优越的城市公园周边住宅价格优势明显,表现为瘦西湖、明月湖、曲江公园等城市公园周边价格相对较高。⑤交通型主干道、河流对房价的分异作用。     

The Effects of Analyst‐Country Institutions on Biased Research: Evidence from Target Prices

Prior research demonstrates that a strong institutional infrastructure in a country moderates self‐serving behavior of market participants. Cross‐country economic activities have increased significantly, presenting a research opportunity to examine the relative influence of local versus foreign institutional infrastructure on individual market participants. We utilize variation in analyst‐country location relative to covered firm location to examine institutional determinants of optimism in analyst research. Focusing on target prices, where persistent optimism is well documented, we find that analysts domiciled in countries with stronger institutional infrastructures exhibit significantly attenuated target price optimism and more value‐relevant target prices. Our results demonstrate the importance of domestic country‐level institutional factors in moderating self‐serving behavior of market participants engaged in cross‐country activities.     

Local predictive ability of analyst recommendations

This article shows that locally aggregated analyst recommendations at the Metropolitan Statistical Area (MSA‐) or state‐level predict future locally aggregated excess returns. The results hold even after controlling for macroeconomic variables, industry and market returns, as well as investor sentiment. We also show that the local predictive ability of analyst recommendations is stronger for geographically concentrated firms. Additional analysis at the state‐level for the geographically concentrated firms reveals that locally aggregated analyst recommendations predict future local economic fundamentals. Overall, our findings suggest that analyst recommendations contain information at the MSA‐ and state‐level, and that local information content is richer for geographically concentrated firms.     

环境管理体系认证能够抑制股价崩盘风险吗？

近年来，随着环境政策日趋严格，环境负面消息累积导致的股价崩盘风险不断提高。文章基于2007-2019年中国沪深两市A股重污染企业的经验数据，探讨了环境管理体系认证对股价崩盘风险的影响。研究发现，环境管理体系认证能够显著抑制股价崩盘风险，且当媒体关注越高、分析师关注越高时，环境管理体系认证对股价崩盘风险的抑制作用更强。进一步探讨影响机制发现，环境管理体系认证主要通过治理机制和信息机制来影响股价崩盘风险，换言之，环境管理体系认证能够通过提高公司环境绩效和公司信息透明度来抑制股价崩盘风险。研究结论揭示了环境管理体系认证具有资本市场有效性，丰富了股价崩盘风险的影响因素研究，对于政府完善环境管理体系认证制度以提高资本市场稳定性、企业优化战略决策以提升企业价值具有重要的借鉴意义。     

Analyst underreaction and the post-forecast revision drift

The post-forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well-documented market anomaly. Prior research attributes PFRD to underreaction by investors to analyst forecast revisions. This study investigates the role of the analyst forecast revision process itself in the PFRD anomaly. Using a large sample of US firms, we confirm prior findings of a positive serial correlation (momentum) in individual analysts’ revisions to their earnings forecasts and, based on both indirect and direct tests, document a positive association between this momentum and PFRD. Further analyses reveal that both the forecast revision momentum and PFRD vary in similar ways with respect to the nature of the news driving the revisions and the information environment. Collectively, our findings show that underreaction by individual analysts in the forecast revision process is an important contributor to the PFRD phenomenon.     

Trend following with momentum versus moving averages: a tale of differences

Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our paper fills this gap by comparing and contrasting the two most popular trend-following rules, the momentum (MOM) and moving average (MA) rules, from a theoretical perspective. We provide theoretical results on the similarity between different trend-following rules and the forecast accuracy of trading rules. Our results show that the similarity between the MOM and MA rules is high and increases with the strength of the trend. However, compared to the MOM rule, the MA rules exhibit more robust forecast accuracy for the future direction of price trends. In this paper, we also develop a hypothesis about uncertain market dynamics. We show that this hypothesis, coupled with our analytical results, has far-reaching practical implications and can explain a number of empirical observations. Among other things, our hypothesis explains why the empirical performance of the MA rules is better than that of the MOM rule. We broaden the appeal and practical importance of our theoretical results by offering various illustrations and real-world examples.     

新闻发言人、财务分析师跟踪与信息透明度

新闻发言人作为上市公司的信息发布渠道,在保护利益相关者的知情权、提升信息透明度等方面发挥着重要作用。文章手工收集了深市A股上市公司2001-2010年间新闻发言人数据,以深交所的信息披露考评数据作为信息透明度的替代变量,实证检验了新闻发言人对于财务分析师跟踪及信息透明度的影响。研究结果表明,新闻发言人显著增加了财务分析师跟踪的概率和频率;进一步的分析发现新闻发言人对于提升信息透明度起到了显著的促进作用,但当控制了财务分析师跟踪这一因素后,新闻发言人对于信息透明度的正面影响明显下降,上述结果表明财务分析师是新闻发言人影响信息透明度的重要传导机制。