Hedge fund ownership and voluntary disclosure

Review of Quantitative Finance and Accounting - Using 13F filings from 1996 to 2011, we document that hedge fund holdings are negatively associated with the subsequent frequency of portfolio...     

Determinants of the Size and Composition of US Corporate Boards: 1935‐2000

We examine the determinants of the size and composition of corporate boards for a sample of 82 US companies that survived during the period 1935‐2000. Our hypotheses lead to predictions that firm size, growth opportunities, merger activity, and geographical expansion are important determinants of these board characteristics. We find empirical evidence that the four variables are significant determinants of the size and/or composition of boards. After controlling for these determinants of board characteristics, we find no robust relation between firm performance and either board size or composition.     

Governance indexes and valuation: Which causes which?

Two recent papers document a significant relation between valuation multiples and governance indices during the 1990s. We test whether causation runs from governance to valuation or vice versa. We find that valuation multiples during the early 1980s, a period preceding the adoption of the provisions comprising the governance indices, are highly correlated with valuation multiples during the 1990s. After controlling for valuation multiples during 1980–1985, no significant relation exists between contemporaneous valuation multiples and governance indices during the 1990s. The results are consistent with the hypothesis that firms with low valuation multiples were more likely to adopt provisions comprising the governance indices, not that the adoption of these provisions depresses valuation multiples.     

An Empirical Examination of the Divergence between Managers’ and Analysts’ Earnings Forecasts

We study circumstances when analysts’ forecasts diverge from managers’ forecasts after management guidance, and the consequences of this divergence for investors and analysts. Our results show that investors’ return response to earnings surprises based on analyst forecasts is significantly weaker when analyst and management forecasts diverge, and that this attenuating effect is stronger when the management forecast is more credible. When the divergent management forecast is more accurate than the analyst consensus forecast, the subsequent‐quarter analyst consensus forecast is significantly more accurate than that of the current quarter, and exhibits less serial correlation. Overall, our findings suggest that, when analyst and management forecasts diverge, investors find the two sources to contain complementary information, and analysts learn to improve their subsequent forecasts.     

When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements

This study examines the prevalence of informed trading around proximate-date versus far-date mergers and acquisitions (M&As). Further, different options strategies pursued by informed traders in proximate-date M&As are identified. The results highlight that proximate-date M&As are associated with a significantly higher level of informed trading vis-à-vis far-date M&As. Results on the choice of options strategies highlight that risk-averse, informed traders may pursue a straddle strategy to profit from their private information, while risk-seeking, informed traders may use a vertical call spread strategy. Informed traders desirous of hedging their existing positions may employ a protective put strategy.     

A QUADRATIC PROGRAMMING INTERREGIONAL TRADE MODEL: AN APPLICATION AND A PERSPECTIVE*

This paper presents a theoretical activity-type model of U.S. interregional trade for the agricultural sector as an extension of the broad non-linear programming formulation of Samuelson [4] and the quadratic programming reformulation of Takayama and Judge [5]. A shorter model is applied to the problem of examination of the short-run competitive strength of Wisconsin, particularly in beef and pork (interregional) trade. The conclusions for Wisconsin suggest competitive price disadvantages in beef and beef feeding but with belter prospects for expansion for a pork sector At a time of growing interest in the probable impact of expanded and freer Canada-US. trade, this type of programming model is suggested as a significant approach to problems of Canada-U.S. trade. In addition, in an apparently emerging era of regulated marketing and production control, the employing of such a model for interregional market share analysis appears a major possible policy avenue Ce papier présenle un modèle théorique “Type-activiie” du commerce interregional aux Etats-Unis, pour le secteur agricuhurel, en guise ?extension du propos de vaste programmation non-lineaire, tel que formule par Samuelson [4], ainsi que celui de Takayama el Judge [5], qui proposent une réformulation de programmation quadraiique. Un plus petit modèle est appliqué au probleme ?examinalion de la force immédiate et compétitive de Wisconsin, tout particulièrement dans le commerce (interrégional) du boeuf et du pore. Les conclusions tirées pour Wisconsin suggèrenl un prix com-pétitif qui désavantagerait le boeuf el ?alimentaiion du boeuf, mais qui favoriserait ?expansion du secieur du pore A un temps oú?on se préoccupe de ?impact tout probable dûà un commerce plus libre et plus étendu entre le Canada el les Etals-Unis, ce genre de modéle de programmation est suggéré comme étant une approche significative aux problèmes de commerce Canada-Eiats-Unis. En plus, en celle époque qui semble mettre de plus en plus ?emphase sur le marché ajuslé et le comrôle de production, les possibililés ?employer un lei modéle pour ?analyse de la part du marché interrégional nous apparait comme étanl une possibilité majeure en fait de ligne de conduiie.     

The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns

Using a GARCH approach, we estimate a time–varying two–factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time–variation in the exposure (beta) of country equity index returns to the world market index and in the risk–adjusted excess returns (alpha). We then explain these world market betas and alphas using a number of country–specific macroeconomic and financial variables with a panel approach. We find that several variables including imports, exports, inflation, market capitalisation, dividend yields and price–to–book ratios significantly affect a country's exposure to world market risk. Similar conclusions are obtained by using lagged explanatory variables, and thus these variables may be useful as predictors of world market risks. Several variables also significantly impact the risk–adjusted excess returns over this time period. Our results are robust to a number of alternative specifications. We further discuss some economic hypotheses that may explain these relationships.     

MARKET SEGMENTATION AND INTERNATIONAL ASSET PRICES: EVIDENCE FROM THE LISTING OF WORLD EQUITY BENCHMARK SHARES

This article provides an empirical analysis of the announcement effect of the listing of the seventeen World Equity Benchmark Shares (WEBS) on the returns of the corresponding market index returns and closed‐end country fund premiums. I find that the announcement of the listing of the WEBS resulted in a positive market price reaction for the market indexes. Furthermore, there was a significant decline in premiums for closed‐end country funds. The findings are consistent with models of international asset pricing under market segmentation and they illustrate that the listing of internationally tradable securities is an effective mechanism for integrating international capital markets. JEL classification: G14, G15