Earnings Timeliness and Seasoned Equity Offering Announcement Effect

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Earnings Timeliness and Seasoned Equity Offering Announcement Effect"

Transcription

1 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 Earnings Timeliness and Seasoned Equiy Offering Announcemen Effec Yuequan Wang School of Accouning and Finance The Hong Kong Polyechnic Universiy Hong Kong Absrac This paper examines he relaion beween he Seasoned Equiy Offering (SEO) announcemen effec and earnings imeliness. I predic ha firms wih greaer earnings imeliness end o have less informaion asymmery beween managers and invesors, hus decreasing he magniude of he price drop a he SEO announcemen. As anicipaed, I find ha SEO negaive announcemen effec varies inversely wih earnings imeliness. Key words: Earnings imeliness; seasoned equiy offering; financial reporing qualiies; Informaion asymmery JEL Classificaion: D8, G14, M41 1. Inroducion This paper examines he relaion beween he Seasoned Equiy Offering (SEO) announcemen effec and earnings imeliness. I predic and es he hypohesis ha firms wih greaer earnings imeliness have less negaive SEO announcemen-period reurns. My hypohesis builds on he heory ha he sock price drop a an equiy issue announcemen is caused by informaion asymmery beween managers and invesors (Myers and Maluf 1984) and on he empirical sudies abou earnings imeliness by Bushman e al. (004) and Ball e al. (008). In he world of informaion asymmery, raional firm managers will no issue new socks when prices are low relaive o managers privae informaion abou firm value. Knowing his, invesors view an SEO announcemen as a negaive signal ha reveals managers percepions on a firm s curren sock price. Invesors respond o his negaive signal by reducing he sock price significanly. Measured as he adused R from a regression of annual earnings on conemporaneous sock reurns, earnings imeliness describes he abiliy of earnings numbers o capure curren value-relevan informaion. Because earnings are imporan o invesors in assessing firm performance and earnings wih greaer imeliness capure firms informaion in a more efficien way, greaer earnings imeliness can reduce informaion asymmery beween managers and invesors. The above analysis suggess ha earnings wih greaer imeliness can reduce informaion asymmery beween managers and invesors and ha less informaion asymmery implies a less negaive SEO announcemen effec. Thus, I hypohesize ha he marke responds less negaively o SEO announcemens from firms wih greaer earnings imeliness. I es he above hypoheses on a sample of SEO evens from 1984 o 006, requiring ha he sample firms have enough ime-series daa o compue a firm-specific measure of earnings imeliness. In order o calculae he announcemen-period reurn, I also require ha he sample firms have CRSP daily sock reurns during he SEO announcemen period. Finally, I regress he SEO announcemen-period reurn on he earnings imeliness and find ha he firms wih greaer earnings imeliness experience less negaive SEO announcemen reurn. In an addiional es, I explore wheher he impac of earnings imeliness on he SEO announcemen effec would be subsumed by oher earnings aribues. I reexamine he relaion beween he SEO announcemen effec and earnings imeliness wih oher earnings aribues in he regression. As in Lee and Masulis (009), I find ha accrual qualiy is negaively correlaed wih he magniude of sock price drop a he SEO announcemen. Bu he significan influence of earnings imeliness on he SEO announcemen effec sill holds when all oher earnings aribues are considered. This suggess ha earnings imeliness has a unique and irreplaceable impac on he sock reurn a he SEO announcemen This sudy makes several conribuions. Firs, accouning researchers have long been ineresed in he causes and consequences of financial reporing qualiies. This paper conribues o he lieraure abou he consequences of financial reporing qualiies by examining he effecs of earnings imeliness in a financing even. 55

2 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA Thus, in a broader sense, aken ogeher wih oher sudies ha address he roles of financial reporing qualiies on invesmen efficiency, deb conracing efficiency or sock price synchroniciy (e.g., Biddle e al. 009; Zhang 008; Huon e al. 009), my paper enriches he lieraure and fills a need by examining he effec of earnings imeliness in he financing even. Second, my paper provides empirical evidence on he relaion beween earnings aribues and firms informaion environmens. Francis e al. (004) sudy he relaion beween earnings aribues and informaion risk. However, informaion risk is difficul o measure and he causal chain beween hese aribues and informaion risk involves many links and assumpions. This sudy proposes ha informaion asymmery can serve as one link beween earnings aribues and informaion risk because informaion asymmery increases invesors uncerainy regarding firms and informaion risk is, hus, posiively correlaed wih informaion asymmery. Sudying he link beween earnings aribues and measures of informaion asymmery can enhance our confidence ha hese qualiy measures are causally linked o characerisics of firms informaion environmens. Third, his paper enriches he curren, limied lieraure abou earnings imeliness. By measuring he exen o which curren earnings numbers capure value-relevan informaion, earnings imeliness plays imporan roles in capial marke. However, only a few papers conduc research on earnings imeliness. Ball e al (008) explore he deb conracing value of earnings imeliness. Bushman e al. (004) invesigae how earnings imeliness affecs corporae governance facors such as board srucure. Francis e al. (004) examine he relaion beween he cos of equiy capial and earnings aribues, including earnings imeliness. My paper is he firs o explore he impac of earnings imeliness on he ransacion coss of an equiy offering. Finally, his paper also conribues o he lieraure seeking o explain he cross-secional variaion in announcemen-period reurn and is among he firs o examine wheher earnings aribues can be used o proxy he informaion asymmery and describe he informaion environmen. The remainder of his paper is organized as follows: Secion reviews prior research concerning he SEO announcemen effec; Secion 3 discusses he role of earnings imeliness in influencing informaion asymmery and develops he hypoheses; Secion 4 inroduces he sample and research design; Secion 5 presens empirical resuls; Secion 6 supplies a summary and conclusion.. Lieraure Review Seasoned Equiy Offerings (SEO) refer o he even during which a publicly raded firm issues addiional sock. The SEO is a kind of primary offering because he firm issues new shares and he proceeds go o he firm. This is as opposed o a secondary offering, during which corporae insiders and block-shareholders sell shares while he number of shares ousanding remains he same afer he offering. I is well-documened ha he announcemen of a common sock offering engenders a significan sock-price drop in he magniude of beween -% and -3% (Masulis and Kowar 1986; Asquih and Mullins 1986; Mikkelson and Parch 1986). Such a negaive SEO announcemen effec reflecs he large ransacion coss of he new issues. Researchers sugges differen heories o explain his phenomenon. Leland and Pyle (1977) show ha, in markes wih asymmeric informaion, he equiy fracion in he proec reained by he self-ineresed enrepreneur has a posiive associaion wih a fuure proec s qualiy. Wellinformed managers would only sell heir sock shares when hey believe ha he shares are overvalued. So, share sales by managers serve as a negaive signal abou a firm s inrinsic value. The Leland and Pyle signaling heory applies o pure primary offerings and o a combinaion of secondary offerings and primary offerings because secondary offerings decrease he insiders or block-shareholders shares. Myers and Maluf (1984) ake heir findings beyond hose of Leland and Pyle. In heir adverse selecion model, hey assume ha managers always work for he ineress of exising shareholders and will no issue socks when he firm is undervalued, because doing so would dilue he fracional ownership of exising shareholders. Thus, even when managers do no sell heir own shareholdings, he mere ac of equiy offering conveys a negaive signal ha he curren sock price is oo high. Knowing his, raional invesors adus heir valuaion of a firm and he sock price drops as a consequence. The Myers and Maluf adverse selecion model applies o all kinds of offerings: primary offerings, secondary offerings and a combinaion. Jung, Kim and Sulz (1996) propose a heory based on agency problems, claiming ha when managemen has misaligned ineress wih he shareholders, raional invesors respond o he equiy offering announcemen negaively because hey are afraid of poenial misuse of proceeds. 56

3 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 A subsanial volume of lieraure also ries, wih carrying findings, o explain he cross-secional variaion in he SEO announcemen-period reurns. For example, some researchers examine wheher equiy characerisics conribue o cross-secional variaion and find mixed resuls in he relaion beween he relaive size of he offering and he subsequen drop. Asquih and Mullins (1986) documen ha announcemen-period reurn is negaively relaed o he relaive size of he issue, compued as he raio of he planned proceeds o a firm s equiy value before he announcemen. Dierkens (1991), however, does no find a significan relaion beween he price drop and he relaive size of he issue, measured as he raio of he number of new shares o he number of shares ousanding before he announcemen. Mikkelson and Parch (1986) also do no find a relaion beween he sock price effecs and he amoun of new financing or he size of offering. Use of proceeds is anoher characerisic of an offering ha can explain cross-secional variaion in he announcemen reurns o some exen. Mikkelson and Parch (1986) documen a less negaive announcemen effec when i is saed ha he proceeds are o be used for capial expendiures, raher han for deb refinance. Asquih and Mullins (1986) examine wheher a firm s pre-issue performance can be a facor used o explain cross-secion variaion in an SEO announcemen reurn. They find ha such announcemen-period reurn is posiively relaed o he previous eleven-monh cumulaive excess reurn. Masulis and Korwar (1986) documen a negaive relaion of sock announcemen reurn o he previous wo-monh firm reurn and a posiive relaion of sock announcemen reurn o he previous wo-monh marke reurn. In erms of he iming of an announcemen, Choe, Masulis, and Nanda (1993) documen a less negaive SEO announcemen effec when he economy is in an expansionary period of he business cycle, which implies less adverse selecion risk. Dierkens (1991) documens a significanly posiive relaion beween he announcemenperiod reurn and he firm s growh opporuniies, he raio of he marke value of he equiy o he book value of he equiy for one fiscal year before he announcemen. Lang and Lundholm (000) find by examining firms behavior paerns ha issuing firms end o reduce he informaion asymmery by making opimisic disclosures more frequenly, saring six monhs before he regisraion dae, and ha he announcemen-period reurn increases wih such changes in firms disclosure behavior. Koraczyk,Lucas, and McDonald (1991) repor ha he negaive announcemen effec is less pronounced wih a decrease in he ime difference beween he offering announcemen and he preceding earnings announcemen. They argue ha a decrease in he informaion asymmery resuling from he earnings announcemen reduces he magniude of he price drop a he offering announcemen. Wih regard o CEO compensaion srucure, Brazel and Webb (006) documen ha when he proporion of CEO equiy-based compensaion is large, invesors end o view he equiy offering as a las-resor source of capial and respond o he SEO announcemen effec more negaively. In his paper, I examine wheher firms wih earnings imeliness of differen magniude experience differen price drops during he SEO announcemen period. My sudy will no only enrich he lieraure regarding he consequences of financial reporing qualiies, bu will also provide a poenial link, informaion asymmery, o he argued relaion beween earnings aribues and informaion risk. Of course, he paper will also conribue o lieraure ha explains he cross-secional variaion in he SEO announcemen-period reurn and lieraure abou earnings imeliness. 3. Hypohesis Developmen Earnings are imporan sources for invesors o assess firm performance. Measured as he adused R of he firmspecific regression of annual earnings on annual reurns (Equaion 1), earnings imeliness is one measure of financial reporing qualiy and one of he hree marke-based earnings aribues in Francis e al. (004). E, b,0 b,1neg, b,ret, b,3neg, RET,, (1) MKTCAP, 1 In Equaion 1, E, is he earnings before exraordinary iems, disconinued operaions and special iems for a given firm in fiscal year ; MKTCAP, 1 is he marke capializaion a he end of fiscal year -1; RET, is he sock reurn of firm from nine monhs before he end of fiscal year o hree monhs afer he end of fiscal year ; 57

4 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA NEG, is a dummy variable equal o 1 if, he adused 58 RET is negaive and 0 oherwise. Earnings imeliness, TL, is equal o R. Larger values of TL correspond o greaer earnings imeliness. Sock prices aggregae all publicly available informaion abou firm value. Accouning numbers provide more deailed informaion abou he sources of firm-value changes by gahering, classifying and summarizing he financial effecs of firms invesmen, operaing and financing aciviies (Bushman e al., 004). Timely and precise accouning numbers, including earnings, can help even less sophisicaed invesors exrac he underlying informaion from sock prices and help hem o undersand equiy values changes beer. Therefore, imely and efficien accouning numbers provide cleaner and less noisy informaion, enabling ouside invesors o monior firm performance, hus, improving he ransparency of he operaions and aciviies of he firm o ouside invesors. Earnings imeliness records he inheren abiliy of curren earnings o capure value-relevan informaion in a imely fashion. The greaer imeliness (higher adused R ) implies ha he earnings have he abiliy o capure new informaion in a more efficien manner. The presenaion of earnings numbers is, herefore, more informaive and highly qualiaive o ouside invesors and will decrease he informaion asymmery beween managers and invesors. Among he few papers ha alk abou earnings imeliness, Ball e al. (008) explore he deb conracing value of earnings imeliness. Bushman e al. (004) invesigae how earnings imeliness affecs corporae governance facors, such as board srucure. Francis e al. (004) examine he relaion beween he cos of equiy capial and earnings aribues, including earnings imeliness. I argue in his sudy ha greaer imeliness also has implicaions in capial raising evens because i miigaes poenial adverse selecion problems in SEO evens and lead o a less negaive SEO announcemen effec. Hypohesis: Ceeris paribus, negaive SEO announcemen effec is less for firms wih greaer earnings imeliness. 4. Daa and Research Design 4.1 Sample selecion I collec he iniial SEO samples from 1984 o 006 from he Securiies Daa Company s (SDC s) New Issue Daabase. The offerings consis of pure primary offerings or a combinaion of primary and secondary offerings. I require he samples o be common socks lised on NYSE, NASDAQ, or AMEX. I exclude: 1) limied parnership; ) righ s issue; 3) uni issues; 4) closed-end fund; 5) SEOs lacking informaion abou filing dae, issue dae, offer price, shares filed, filing amoun; 6) SEOs wih offer prices less han $5; 7) SEOs wih more han one issue for he same filing; 8) SEOs wih a lag in issue dae as compared o he filing dae < 5 days or > 60 days. I use his resricion because shor ime differences beween he filing dae and issue dae imply mixed sock responses during boh announcemen period and issue period. Also, if he filing dae is much earlier han he issue dae, hen his may no mean ha managers hink ha he sock price (on he filing dae) is overvalued; 9) SEOs lacking CRSP daily sock reurns/prices around he SEO filing dae; and 10) SEOs wihou a one-o-one correspondence beween CUSIP in SDC and idenifier in COMPUSTAT/CRSP. 4. Filing dae and announcemen dae Because of daa availabiliy, I use he filing daes in he SDC new issue daabase for he announcemen daes. This reamen is consisen wih some of he previous sudies (Clarke e al., 001; Denis, 1994). My argumen is ha he rue SEO announcemen releases informaion abou fuure issuances and laer SEO filing furher confirms he fuure issuance so he sock price also drops a he filing dae. Considering he fac ha informaion abou equiy offerings would likely have leaked o some exen prior o he announcemen dae, using a filing dae o proxy he announcemen dae may underesimae he adverse relaion beween earnings imeliness and SEO announcemen effec. 4.3 Dependen variable Referring o he filing dae as day 0, I define rading days -1, 0, and 1 as an even period and compue he cumulaive abnormal reurn (CAR) in his period as he dependen variable (Brown and Warner, 1985).

5 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 I firs use OLS o esimae he marke model in order o compue he cumulaive abnormal reurns in he even period. R, 0, 1, RM,, =-180, -179,, -10 () AR, R, ˆ0, ˆ 1, RM, =-1, 0, 1 (3) M o d_ el CAR ( R R (4) 1,0,1, M, ) The esimaion period is from rading day -180 o rading day -10. The CRSP equally weighed index is used as he marke reurn R M,. R, is firm s raw reurn on day. ˆ 0, and ˆ 1, are esimaed coefficiens from he esimaion period. AR, is he abnormal reurn of firm on day. Dependen variable, cumulaive abnormal reurn Model _ CAR, is he sum of abnormal reurns in he even period. In he sensiiviy es, I also use he marke-adused reurns in he even period o obain he cumulaive abnormal reurn. AR, R, RM, =-1, 0, 1 (5) Ad u sed _ CAR AR, (6) 1,0,1 Adused _ CAR is he sum of marke adused reurns in even period. 4.4 Conrol variables Conrol variables I consider are as follows: Offer size (REL_SIZE, ABS_SIZE): The size of he equiy offering measures he size of he negaive informaive signal. The relaive size of he issue, REL_SIZE, is compued as he number of filing shares o he number of shares ousanding (Compusa #5) before SEO announcemen. The absolue size of he issue, ABS_SIZE, is he log of filing proceeds. Alhough heories of informaion asymmery and he alernaive models based on he opimal capial srucure predic ha an increase in he size of he issue will increase he magniude of he price drop (Smih, 1986), prior empirical work finds mixed resuls (Asquih and Mullins, 1986; Mikkelson and Parch, 1985). I ry boh relaive offer size and absolue offer size in my empirical ess and find ha absolue offer size has a significanly negaive relaion wih SEO announcemen-period reurn. Firm size (FIRM_SIZE): FIRM_SIZE is compued as he naural logarihm of oal asses (Compusa #6). A larger firm is usually followed by more analyss and has more media aenion. Therefore, he informaion asymmery beween managers and invesors is less for a larger firm han for a smaller firm (Lee and Masulis, 007). So, I predic ha large firm experiences less price drop a SEO announcemen. Invesmen opporuniies (MTB): I use marke-o-book raio, MTB, as he proxy of invesmen opporuniies (Jung e al., 1996). MTB is compued as ( [Compusa #199 * Compusa #54 +Compusa #6 - Compusa #60] / [Compusa #6] ). A higher MTB implies ha he firm has more inangible asses and greaer informaion asymmery and ends o have more profiable invesmen opporuniies. Invesors end o inerpre he announcemen of equiy issues from firms wih higher MTB as reflecing he need o fund fuure promising proecs and he reducion of he informaion asymmery abou fuure invesmen opporuniies. Therefore, I predic a significan posiive coefficien on his variable. 4.5 Tess of hypohesis I hypohesize a posiive relaion beween he SEO announcemen-period reurn and earnings imeliness (i.e., a negaive relaion beween he SEO announcemen effec and earnings imeliness). I es he hypohesis by esimaing he following model: CAR 0 1 TL OFFER _ SIZE (7) FIRM _ SIZE MTB

6 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA TL is he value of firm s earnings imeliness. OF F E R_ S IZ E is he issue s size. I es boh relaive offer size and absolue offer size in he regression. FIRM_ SIZE is he naural log of he oal asses of he SEO firm. Marke-o-book raio, MTB, describes he growh opporuniies of firm. 60 I close his secion by addressing wo poenial selecion bias issues wih my empirical design. Firs, as discussed above, I sample only firms ha issued new socks. Bias may resul if firms ha decide o issue SEOs insead of deb are hose wih greaer or less earnings imeliness. As an illusraion, I compare he earnings imeliness of he sample firms wih ha of firms in Francis e al. (004) and find ha SEO firms end o have significanly smaller earnings imeliness values han hose repored by Francis e al. (004). SEO firms, hen, end o be more opaque han non-seo firms. Second, selecion bias may resul because ime-series calculaions require he use of firms wih a minimum number of survival years before SEO evens. Thus, he sample firms end o be large and successful firms. Large and successful firms end o be more ransparen han small and young firms. 5 Empirical Resuls 5.1 Descripive saisics Table 1, Panel A presens he descripive saisics of he cumulaive abnormal reurn in SEO announcemen period. The average sock reurn a 3045 SEO announcemen is from around -% o -3%, depending on he mehod used o calculae he CAR. To obain earnings imeliness, I furher require a leas 6 yearly daa poins from 8 years prior o he SEO filing dae o 1 year prior o he SEO filing dae. Using OLS, I obain earnings imeliness (TL) from Equaion 1 in Secion 3. In order o reduce he effecs of ouliers, I exclude he observaions in he op or boom 1% of dependen and independen variables in each equaion. Descripive saisics of earnings imeliness can be found in Panel B, Table 1. The earnings imeliness measure, TL, has a mean (median) value of (0.093). 5. Earnings imeliness vs. SEO announcemen-period reurn In order o reduce he effecs of ouliers, I exclude he observaions in he op or boom 1% of all available earnings imeliness and SEO announcemen-period reurn. The SEO sample consiss of 947 SEOs by 73 firms. Table presens he frequency disribuion of SEOs by filing year and he number of offerings per firm. Panel A shows ha SEOs were more frequen a he beginning of he 1990s. Panel B shows ha abou 80 percen of firms issue SEO only once. Table 3 provides evidence on wheher negaive SEO announcemen effec is less severe for firms wih greaer earnings imeliness. I run he regressions using marke-model-based CAR and marke-adused CAR as dependen variables, respecively. I firs sar from he base model ha includes only offer size, firm size and growh opporuniies. Columns 1 and 4 show ha here is no significan relaion beween he SEO announcemen-period reurn and he relaive offer size (REL_SIZE). Columns and 5 show a significan, negaive relaion beween SEO announcemen-period reurn and he absolue issue size (ABS_SIZE). Therefore, I use he absolue issue size, log of filing proceeds, as he proxy of offer size, hereafer. Columns 3 and 6 show ha earnings imeliness has a significan, posiive relaion wih SEO announcemen-period reurn. Using a differen calculaion of cumulaive abnormal reurns a he announcemen, he regressed coefficien is from 0.6% o 0.7%, wih a 10% or 5% significance level. This means ha firms reporing earnings in a more imely fashion experience less price-drops a he SEO announcemen. This resul is consisen wih he hypohesis. 5.3 Addiional ess In his secion, I examine wheher he impac of earnings imeliness on he SEO announcemen effec is unique and would no be subsumed by oher earnings aribues. To be specific, hese earnings aribues are accrual qualiy, persisence, predicabiliy, smoohness and value relevance. I do no compue firm-specific conservaism because many SEO firms do no have enough negaive annual reurns in he esimaion period o calculae conservaism. Accrual qualiy describes he effeciveness of curren accruals o map ino cash flows in prior, curren and subsequen periods (Dechow and Dichev, 00; Francis e al., 004). One measure of accrual qualiy is he negaive of he sandard deviaion of he residuals in he firm-specific regression of accruals on lagged, curren and fuure cash flows:

7 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 TCA CFO CFO CFO (8a) Asses Asses Asses Asses,, 1,, 1 0, 1,, 3,,,,,, where TCA, is firm s oal curren accruals in year ; CFO, is firm s cash flow in year ; Asse, is he average of firm s oal asses beween fiscal year and -1. Accrual qualiy, AQ1, is equal o ( ˆ, ). McNichols (00) improves he model in Equaion 8a. He finds ha he explanaory power in cross-secional regressions is grealy improved by including deflaed changes in sales and deflaed propery, plan and equipmen. He proposes he model below: TCA CFO CFO CFO ' ' ' ' Asses Asses Asses Asses,, 1,, 1 0, 1,, 3,,,,, SALES PPE ' ' e,, 4, 5,, Asses, Asses, Accrual qualiy as defined in his model, AQ, is equal o ( e, ). Larger values of AQ1 (AQ) correspond o beer accrual qualiy. I include AQ as he measure of accrual qualiy in he regression o examine wheher earnings imeliness influence on he SEO announcemen period reurn would be suppressed by accrual qualiy. Greaer accrual qualiy, i.e., reduced variaion in he residual, indicaes ha earnings informaion provided by he firm is a more reliable measure of a firm s cash flow and performance, so higher accrual qualiy can increase informaion qualiy provided by earnings and decrease he informaion asymmery beween managers and invesors. Therefore, greaer accrual qualiy miigaes poenial adverse selecion problems in SEO evens and leads o a less negaive SEO announcemen effec (Lee and Masulis, 009). Value relevance measures he abiliy of earnings level and earnings change o explain he reurns (Francis e al., 004). One measure of value relevance is he adused R of he regression of annual reurns on conemporaneous earnings and changes in earnings. E, E, RET (9), 0, 1,, MKTCAP MKTCAP, 1, 1 In Equaion 9, E,, MKTCAP, 1and RET, are defined as Equaion 1 and E, as equals E, minus E, 1. Value relevance, VR, is equal o he adused R. Larger values of VR correspond o greaer value relevance. Francis e al. (004) define earnings smoohness (SMTH) as he negaive of he sandard deviaion of he deflaed earnings divided by he sandard deviaion of he deflaed cash flows. ( E, / Asses _ end, 1) SMTH (10) ( CFO / Asses _ end ),, 1 where E, and CFO, are he earnings and cash flows for firm in fiscal year ;, 1 asses a he end of fiscal year -1. Larger values of SMTH correspond o more earnings smoohness. (8b) Asses _ end is he oal The ime-series persisence of earnings describes he auocorrelaion beween pas earnings and fuure earnings, while he predicabiliy of earnings reflecs he abiliy of pas earnings o predic fuure earnings (Lipe, 1990; Francis e al., 004). One measure of earnings persisence is he auocorrelaion coefficien in AR(1) model for adused earnings and one measure of earnings predicabiliy is he sandard deviaion of he negaive of he sandard deviaion of he residuals in he AR(1) model for adused earnings. X X (11), 0, 1,, 1, 61

8 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA where X, is firm s spli-adused earnings per share in fiscal year ; earnings persisence, PER, is equal o 1, and earnings predicabiliy, PRED, is equal o ( ˆ, ). Larger values of PER and PRED correspond o beer earnings persisence and greaer predicabiliy, respecively. In calculaing for each earnings aribue, I require a leas 6 yearly daa poins from 8 years prior o he SEO filing dae o 1 year prior o he SEO filing dae. Using OLS, I obain accrual qualiies (AQ), value relevance (VR) and smoohness (SMTH) from Equaions 8 hrough 10. Using a maximum likelihood mehod, I obain earnings persisence (PER) and predicabiliy (PRED) from he AR(1) model in Equaion 11. As in he calculaion of earnings imeliness, I exclude he observaions in he op or boom 1% of dependen and independen variables in my calculaion of each earnings aribue o reduce he effecs of ouliers. Table 1, Panel B presens descripive saisics of all earnings aribues. As discussed previously, earnings imeliness measure, TL, has a mean (median) value of (0.093). In comparison, Francis e al. (004) repor a mean (median) value of (0.465). The measure of value relevance, VR, has a mean (median) value of 0.14 (0.116), while Francis e al. (004) give a mean (median) value for value relevance as 0.43 (0.416). My resuls on accrual qualiy are comparable o hose repored by Francis e al. (004). This paern may arise from he self-selecion problems inheren in my research design. To review, all sample firms cied in my work are hose ha issue new shares. I is possible, hough, ha firms deciding o issue hese shares are also hose ha do no include value-relevan informaion in a imely manner or are hose wih earnings daa ha do no accoun for heir reurns well. In order o examine wheher oher aribues subsume earnings imeliness, I run he regression and examine wheher he coefficien and significance level of earning imeliness sill holds in he presence of he ohers: 6 CAR TL AQ VR EP FIRM_ S IZ E M T B PRED S M T H OFFER_ S IZ E (1) I also exclude he observaions in he op or boom 1% of each earnings aribue and SEO announcemen-period reurn. The final sample consiss of 495 SEOs by 379 firms. Table 4 presens he frequency disribuion of SEOs by filing year and number of offerings per firm. Panel A shows ha SEOs are more frequen a he beginning of 1990s. Panel B shows ha abou 80% firms issue SEO only once. As in Lee and Masulis (009), Table 5 shows ha negaive SEO announcemen effec is less for firms wih beer accrual qualiy a he 5% level ( saisics:.34). No significan relaions are found beween he SEO announcemen effec and earnings persisence, earnings predicabiliy, value relevance or earnings smoohness. More imporanly, i also shows ha he effec of earnings imeliness on he SEO announcemen period reurn sill holds a he 5% level (coefficien: 1.53%; saisics:.45) when oher earnings aribues, including accrual qualiy, are considered, suggesing ha earnings imeliness capures is own dimension in he cos of financing aciviies. Table 5 shows ha boh accouning-based and marke-based financial reporing qualiies may affec SEO announcemen effec. However, i is necessary o poin ou ha, compared wih accouning-based earnings aribues, all marke-based measures have heir inheren limiaions in even sudies. Marke-based accouning aribues, such as earnings imeliness, value relevance and conservaism, are calculaed in he way ha he sock marke is regarded as being efficien. However, even sudies in SEO, earnings announcemens or merger and acquisiions, usually deal wih siuaions in which socks are overvalued or undervalued and invesors regard hese evens as signals ha reveal he rue value of sock prices. 6. Conclusions This paper examines wheher he fac ha a firm repors is earnings in a imely way affecs invesors responses a he ime of a firm s announcemen of is SEO financing decision. I find ha firms wih greaer earnings imeliness end o experience less price drops a SEO announcemens. The resuls presen evidence ha imely financial reporing can help invesors o assess firm performance by reducing he informaion asymmery beween managers and invesors. So, his paper conribues o lieraure abou he consequences of financial reporing qualiy. 4 ˆ

9 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 This sudy provides empirical evidence on he relaion beween earnings aribues and a firm s informaion environmen and proposes ha informaion asymmery can be one link beween earnings aribues and informaion risk. This paper also enriches he scarce lieraure abou earnings imeliness. This sudy suggess wo poenial avenues for fuure research. Firs, i may be inriguing o examine wheher SEO firms end o be less ransparen firms and, hus, se up a link beween corporae governance and corporae invesmen decisions. Second, disinguishing primary offerings and secondary offerings may yield some ineresing opics. References Asquih, P., and D. W. Mullins Jr Seasoned equiy offerings. Journal of Financial Economics 15: Ball, R., R. Bushman, and F. Vasvari The Deb-Conracing Value of Accouning Informaion and Loan Syndicae Srucure. Journal of Accouning Research 46: Basu, A The conservaism principle and he asymmeric imeliness of earnings. Journal of Accouning and Economics 4: Biddle, G., G. Hillary, and R. Verdi How does financial reporing qualiy relae o invesmen efficiency? Journal of Accouning and Economics 48: Brazel J., and E. Webb CEO compensaion and he seasoned equiy offering decision. Managerial and Decision Economics 7: Brown, S., and J. Warner Using daily sock reurns: The case of even sudies. Journal of Financial Economics 14: Bushman, R., Q. Chen, E. Engel, and A. Smih Financial accouning informaion, organizaional complexiy and corporae governance sysems. Journal of Accouning and Economics 37: Choe, H., R. Masulis, and V. Nanda Common sock offerings across he business cycle: Theory and evidence. Journal of Empirical Finance 1: Clarke, J., C. Dunbar, and K. Kahle Long-run performance and insider rading in compleed vs. canceled seasoned equiy offerings. Journal of Financial and Quaniaive Analysis 36: Dechow, P., and I. Dichev. 00. The qualiy of accruals and earnings: The role of accrual esimaion errors. The Accouning Review 77 (supplemen): Denis, D Invesmen opporuniies and he marke reacion o equiy offerings. Journal of Financial and Quaniaive Analysis 19: Dierkens, Nahalie Informaion asymmery and equiy issues. Journal of Financial and Quaniaive Analysis 6: Francis, J., R. Lafond, P. M. Olsson, and K. Schipper Coss of equiy and earnings aribues. The Accouning Review 79: Huon, A.P., A.J. Marcus, and H. Tehranian Opaque financial repors, R, and crash risk. Journal of Financial Economics 94: Jung, K., Y. Kim, and R. Sulz Timing, invesmen opporuniies, managerial discreion, and he securiy issue decision. Journal of Financial Economics 4: Koraczyk, R., D. Lucas, and R. McDonald The effec of informaion releases on he pricing and iming of equiy issues. Review of Financial Sudies 4 (4): Lang, M., and R. Lundholm Volunary disclosure and equiy offerings: reducing informaion asymmery or hyping he sock? Conemporary Accouning Research 17: Lee, G., and R. Masulis, 009. Seasoned equiy offerings: qualiy of accouning informaion and expeced floaion coss. Journal of Financial Economics 9: Leland, H., and D. Pyle, Informaion asymmeries, financial srucure, and financial inermediaion. Journal of Finance 3: Lipe, R The relaion beween sock reurns and accouning earnings given alernaive informaion. The Accouning Review 65: Masulis, R. W., and A. N. Korwar Seasoned equiy offerings: An empirical invesigaion. Journal of Financial Economics 15: McNichols, M. 00. Discussion of he qualiy of accruals and earnings: The role of accrual esimaion errors. The Accouning Review 77 (supplemen): Mikkelson, W., and M. Parch Valuaion effecs of securiy offerings and he issuance process. Journal of Financial Economics 15: Myers, S., and N. Maluf Corporae financing and invesmen decisions when firms have informaion ha invesors do no have. Journal of Financial Economics 13: Smih, C Invesmen banking and he capial acquisiion process. Journal of Financial Economics 15: 3 9. Zhang, J The conracing benefis of accouning conservaism o lenders and borrowers. Journal of Accouning and Economics 45:

10 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA Table.1 Descripive saisics The iniial samples consiss of 3045 SEOs from 1984 o 006 lised on NYSE, NASDAQ, or AMEX and excludes: 1) limied parnership, ) righ s issue, 3) uni issue, 4) closed-end fund, 5) SEOs lacking informaion abou filing dae, issue dae, offer price, shares filed, filing amoun, 6) SEOs wih offer prices less han $5, 7) SEOs wih more han one issue for he same filing, 8) SEOs whose lag of issue dae compared o filing dae is smaller han 5, or larger han 60 9) SEOs lacking CRSP daily sock reurns for he hree rading days around SEO filings or from he prior 180 rading days o he prior 10 rading days, 10) SEOs wihou one-o-one correspondence beween CUSIP in SDC and idenifier in COMPUSTAT/CRSP. Model_CAR is he cumulaive abnormal reurn in he even period using he OLS marke model. Adused_CAR is he cumulaive marke-adused reurn in he even period. (Filing dae: day 0; even period: rading day -1, 0, 1; esimaion period: period from rading day -180 o rading day -10). For each earnings aribue s calculaion, a leas 6 years necessary financial saemens daa are required wihin 8 years prior o he SEO filing dae. Accrual qualiy has wo measures: AQ1 and AQ. AQ1 is equal o ( ˆ, ) in TCA CFO CFO CFO. Asses Asses Asses Asses,, 1,, 1 0, 1,, 3,,,,,, ( eˆ ) in AQ is equal o, TCA, CFO, 1 CFO, CFO, 1 SALES, PPE, ' 0, ' 1, ', ' 3, ' 4, ' 5, e., Asses Asses Asses Asses Asses Asses,,,,,, ˆ and ( ˆ, ) in Earnings persisence (EP) and predicabiliy (PRED) are measured as 1, X X, respecively., 0, 1,, 1, Earnings smoohness (SMTH) is measured as ( E / Asses _ end ),, 1. ( CFO / Asses _ end ),, 1 Value relevance (VR) and earnings imeliness (TL) are measured as he adused E, E, RET, 0, 1,, and SHARES P SHARES P E SHARES, P, 1, 1, 1, 1, 1, 1 b b NEG b RET b NEG RET,0,1,,,,3,,, R in TCA Toal curren accruals = CA - CL - Cash + STDEBT ( : change beween year -1 o year ); CA Curren asse (Compusa #4); CL Curren liabiliies (Compusa #5); Cash Cash and shor-erm invesmens (Compusa #1); STDEBT Deb in curren liabiliies (Compusa #34); CFO Cash flow from operaions = E TCA + depreciaion amorizaion (Compusa #14); Asses Average oal asses (Compusa #6) in year and year -1; Sales Sales (Compusa #1); Assess_end Toal asses a he end of fiscal year; PPE Propery, plan and equipmen (Compusa #7); X Spli-adused earnings per share (Compusa #58); RET Twelve-monh raw reurn ending hree monhs afer he end of fiscal year ; E Earnings before exraordinary iems, disconinued operaions, and special iems (Compusa #18); SHARES Common shares ousanding (Compusa #5); P Sock price fiscal year close (Compusa #199). 64.

11 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 Table.1 Panel A: Descripive saisics of SEO announcemen period reurns Mean Sd. Dev. 10% 5% Median 75% 90% Model_CAR Adused_CAR Panel B: Descripive saisics of earnings aribues N Mean Sd. Dev. 10% 5% Median 75% 90% AQ AQ EP PRED SMTH VR TL

12 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA Table. Frequency disribuion The samples consiss of 947 SEOs by 73 firms from 1984 o 006 lised on NYSE, NASDAQ, or AMEX and excludes: 1) limied parnership, ) righ s issue, 3) uni issue, 4) closed-end fund, 5) SEOs lacking informaion abou filing dae, issue dae, offer price, filing shares, filing amoun, 6) SEOs wih an offer prices less han $5, 7) SEOs wih more han one issue for he same filing, 8) SEOs whose lag of issue dae compared o filing dae is smaller han 5, or larger han 60 9) SEOs lacking CRSP daily sock reurns for he hree rading days around SEO filings or from he prior 180 rading days o he prior 10 rading days, 10) SEOs wihou one-o-one correspondence beween CUSIP in SDC and idenifier in COMPUSTAT/CRSP. Panel A: Frequency disribuion of SEOs by filing year Cumulaive Cumulaive SEO_year Frequency Percen Frequency Percen Panel B: Frequency disribuion of SEOs by number of offerings Cumulaive Cumulaive N Frequency Percen Frequency Percen

13 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 Table.3 Regression of SEO announcemen effec on earnings imeliness This able presens OLS regression esimaes of SEO announcemen-period reurn on earnings imeliness (TL). The SEO sample consiss of 947 filings by 73 firms over he period from 1984 o 006. In he firs 3 columns, I use model-based cumulaive abnormal reurn as he dependen variable. In he las 3 columns, I use markeadused cumulaive abnormal reurn as he dependen variable. The absolue value of saisics is in brackes. ***,**, and * represen 1%, 5%, and 10% significance respecively. Model_CAR Adused_CAR REL_SIZE [1.35] [0.4] ABS_SIZE [5.17]*** [3.74]*** [.16]** [.09]** MTB [.5]*** [3.58]*** [3.51]*** [4.88]*** [5.35]*** [5.9]*** Firm_Size [3.89]*** [5.54]*** [5.58]*** [.8]** [3.]*** [3.5]*** TL [.01]** [1.71]* Inercep [7.35]*** [5.17]*** [5.38]*** [5.43]*** [4.15]*** [4.3]*** N Ad_R Table.4 Frequency disribuion The iniial samples consiss of 495 SEOs by 379 firms from he period of 1984 o 006 lised on NYSE, NASDAQ, or AMEX and excludes: 1) limied parnership, ) righ s issue, 3) uni issue, 4) closed-end fund, 5) SEOs lacking informaion abou filing dae, issue dae, offer price, filing shares, filing amoun, 6) SEOs wih an offer prices less han $5, 7) SEOs wih more han one issue for he same filing, 8) SEOs whose lag of issue dae compared o filing dae is smaller han 5, or larger han 60 9) SEOs lacking CRSP daily sock reurns for he hree rading days around SEO filings or from he prior 180 rading days o he prior 10 rading days, and 10) SEOs wihou one-o-one correspondence beween CUSIP in SDC and idenifier in COMPUSTAT/CRSP. I also require a leas 6 daa poins wihin 8 years prior o he SEO filing dae in calculaing for 6 earnings aribues: imeliness, value relevance, accrual qualiy, earnings persisence, predicabiliy, and smoohness. 67

14 The Special Issue on Conemporary Research in Social Science Cenre for Promoing Ideas, USA Panel A: Frequency disribuion of SEOs by filing year Cumulaive Cumulaive SEO_year Frequency Percen Frequency Percen

15 Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 Panel B: Frequency disribuion of SEOs by number of offerings Cumulaive Cumulaive N Frequency Percen Frequency Percen Table.5 Relaion beween SEO announcemen-period reurn and earnings aribues This able presens OLS regression esimaes of SEO announcemen-period reurn on earnings aribues. The SEO sample consiss of 495 filings by 379 firms over 1984 o 006. The dependen variable is he model-based cumulaive abnormal reurn in SEO even period. The absolue value of saisics is in brackes. ***,**, and * represen 1%, 5%, and 10% significance respecively ABS_SIZE [4.33]*** [4.7]*** [3.65]*** [4.34]*** [4.33]*** [4.33]*** [3.97]*** [3.44]*** MTB [3.66]*** [3.6]*** [3.9]*** [3.66]*** [3.66]*** [3.68]*** [3.75]*** [4.08]*** Firm_Size [5.73]*** [5.8]*** [4.43]*** [5.69]*** [5.71]*** [5.46]*** [5.17]*** [3.60]*** TL [.09]** [.45]** AQ [.47]** [.34]** VR [0.5] [1.41] EP [0.4] [0.41] PRED [0.5] [1.47] SMTH [1.4] [0.68] Inercep [5.31]*** [5.56]*** [3.9]*** [5.1]*** [5.1]*** [5.31]*** [4.05]*** [3.13]*** N Ad_R

Copyright Undertaking

Copyright Undertaking Copyrigh Underaking This hesis is proeced by copyrigh, wih all righs reserved. By reading and using he hesis, he reader undersands and agrees o he following erms: 1. The reader will abide by he rules and

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT 1

WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT 1 Invesmen Managemen and Financial Innovaions, Volume 4, Issue 2, 2007 33 WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT Joseph Kersein *, Aul Rai ** Absrac We reexamine marke reacions o large and small

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Anticipating the future from the past: the valuation implication of mergers and acquisitions 1

Anticipating the future from the past: the valuation implication of mergers and acquisitions 1 Anicipaing he fuure from he pas: he valuaion implicaion of mergers and acquisiions 1 Ning Zhang Deparmen of Accouning, Fuqua School of Business Duke Universiy June, 2012 Preliminary and commens welcome

More information

Does Stock Price Synchronicity Represent Firm-Specific Information? The International Evidence

Does Stock Price Synchronicity Represent Firm-Specific Information? The International Evidence Does Sock Price Synchroniciy Represen Firm-Specific Informaion? The Inernaional Evidence Hollis Ashbaugh-Skaife Universiy of Wisconsin Madison 975 Universiy Avenue Madison, WI 53706 608-63-7979 hashbaugh@bus.wisc.edu

More information

Do Investors Overreact or Underreact to Accruals? A Reexamination of the Accrual Anomaly

Do Investors Overreact or Underreact to Accruals? A Reexamination of the Accrual Anomaly Do Invesors Overreac or Underreac o Accruals? A Reexaminaion of he Accrual Anomaly Yong Yu* Smeal College of Business Pennsylvania Sae Universiy This draf: December 30, 2005 Absrac Sloan (996) finds ha

More information

Financial Accounting Characteristics and Debt Covenants

Financial Accounting Characteristics and Debt Covenants Financial Accouning Characerisics and Deb Covenans Richard Frankel Washingon Universiy in S. Louis frankel@wusl.edu Lubomir Liov Washingon Universiy in S. Louis liov@wusl.edu Firs draf: January 2006 Curren

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

CEO Incentives and the Cost of Debt

CEO Incentives and the Cost of Debt CEO Incenives and he Cos of Deb Kenneh W. Shaw Universiy of Missouri-Columbia ABSTRACT Moivaed by concerns ha sock-based compensaion migh lead o excessive risk-aking, his paper examines he relaions beween

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

Corporate governance reform and earnings management

Corporate governance reform and earnings management Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 2011 Juo-Lien Wang (Taiwan), Her-Jiun Sheu (Taiwan), Huimin Chung (Taiwan) Corporae governance reform and earnings managemen Absrac This

More information

Does the Market Detect Firms Real Earnings Management? Wei Li. Department of Accounting University of Melbourne Liw2@student.unimelb.edu.

Does the Market Detect Firms Real Earnings Management? Wei Li. Department of Accounting University of Melbourne Liw2@student.unimelb.edu. Does he Marke Deec Firms Real Earnings Managemen? Wei Li Deparmen of Accouning Universiy of Melbourne Liw2@suden.unimelb.edu.au Yunyan Zhang Deparmen of Accouning Universiy of Melbourne Yunyan.zhang@unimelb.edu.au

More information

Can the earnings fixation hypothesis explain the accrual anomaly?

Can the earnings fixation hypothesis explain the accrual anomaly? Can he earnings fixaion hypohesis explain he accrual anomaly? Linna Shi and Huai Zhang* Absrac This paper provides empirical evidence on wheher he earnings fixaion hypohesis can explain he accrual anomaly

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity Migraion, Spillovers, and Trade Diversion: The mpac of nernaionalizaion on Domesic Sock Marke Aciviy Ross Levine and Sergio L. Schmukler Firs Draf: February 10, 003 This draf: April 8, 004 Absrac Wha is

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

Financial Reporting for Employee Stock Options: Liabilities or Equity?

Financial Reporting for Employee Stock Options: Liabilities or Equity? Financial Reporing for Employee Sock Opions: Liabiliies or Equiy? Mary E. Barh Sanford Universiy mbarh@sanford.edu Leslie D. Hodder Indiana Universiy lhodder@indiana.edu Sephen R. Subben The Universiy

More information

VALUE BASED FINANCIAL PERFORMANCE MEASURES: AN EVALUATION OF RELATIVE AND INCREMENTAL INFORMATION CONTENT

VALUE BASED FINANCIAL PERFORMANCE MEASURES: AN EVALUATION OF RELATIVE AND INCREMENTAL INFORMATION CONTENT VALUE BASED FINANCIAL PERFORMANCE MEASURES: AN EVALUATION OF RELATIVE AND INCREMENTAL INFORMATION CONTENT Pierre Erasmus Absrac Value-based (VB) financial performance measures are ofen advanced as improvemens

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues Discussion Paper No. 0120 Marke Efficiency or No? The Behaviour of China s Sock Prices in Response o he Announcemen of Bonus Issues Michelle L. Barnes and Shiguang Ma May 2001 Adelaide Universiy SA 5005,

More information

William E. Simon Graduate School of Business Administration. IPO Market Cycles: Bubbles or Sequential Learning?

William E. Simon Graduate School of Business Administration. IPO Market Cycles: Bubbles or Sequential Learning? Universiy of Rocheser William E. Simon Graduae School of Business Adminisraion The Bradley Policy Research Cener Financial Research and Policy Working Paper No. FR 00-21 January 2000 Revised: June 2001

More information

FIRM S FINANCING CONSTRAINTS AND INVESTMENT- CASH FLOW SENSITIVITY: EVIDENCE FROM COUNTRY LEGAL INSTITUTIONS

FIRM S FINANCING CONSTRAINTS AND INVESTMENT- CASH FLOW SENSITIVITY: EVIDENCE FROM COUNTRY LEGAL INSTITUTIONS ACRN Journal of Finance and Risk Perspecives Vol., Issue, p. 5-66, Oc. 22 ISSN 235-7394 FIRM S FINANCING CONSTRAINTS AND INVESTMENT- CASH FLOW SENSITIVITY: EVIDENCE FROM COUNTRY LEGAL INSTITUTIONS Ahmed

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

Are Employee Stock Options Liabilities or Equity?

Are Employee Stock Options Liabilities or Equity? Are Employee Sock Opions Liabiliies or Equiy? Mary E. Barh Sanford Universiy mbarh@sanford.edu Leslie D. Hodder Indiana Universiy lhodder@indiana.edu Sephen R. Subben The Universiy of Norh Carolina a Chapel

More information

LEASING VERSUSBUYING

LEASING VERSUSBUYING LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss

More information

Publicly-Traded versus Privately-Held: Implications for Bank Profitability, Growth, Risk, and Accounting Conservatism

Publicly-Traded versus Privately-Held: Implications for Bank Profitability, Growth, Risk, and Accounting Conservatism ly-traded versus Privaely-Held: Implicaions for Bank Profiabiliy, Growh, Risk, and Accouning Conservaism D. Craig Nichols Assisan Professor of Accouning Johnson Graduae School of Managemen Cornell Universiy

More information

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment. . Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure

More information

THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION

THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION The Inernaional Journal of Business and Finance Research VOLUME 8 NUMBER 2 2014 THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION Dan Lin, Takming Universiy of Science and Technology Lu

More information

The Implications of Capital Investments for Future Profitability and Stock Returns an Overinvestment Perspective

The Implications of Capital Investments for Future Profitability and Stock Returns an Overinvestment Perspective The Implicaions of Capial Invesmens for Fuure Profiabiliy and Sock Reurns an Overinvesmen Perspecive Donglin Li* Haas School of Business, Universiy of California, Berkeley, CA9470 Phone: (510) 549 318

More information

Capital Investment Measures, Future Earnings and Future Returns: The UK Evidence

Capital Investment Measures, Future Earnings and Future Returns: The UK Evidence Capial Invesmen Measures, Fuure Earnings and Fuure Reurns: The UK Evidence Nikola Perovic 1 School of Economics, Finance and Managemen, Universiy of Brisol Suar Manson Essex Business School, Universiy

More information

Target s Corporate Governance and Bank Merger Payoffs

Target s Corporate Governance and Bank Merger Payoffs issn 1936-5330 arge s Corporae Governance and Bank Merger Payoffs Elijah Brewer III, William E. Jackson III, and Julapa A. Jagiani December 2007 RWP 07-13 Absrac: Commercial bank merger and acquisiion

More information

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues The Behavior of China s Sock Prices in Response o he Proposal and Approval of Bonus Issues Michelle L. Barnes a* and Shiguang Ma b a Federal Reserve Bank of Boson Research, T-8 600 Alanic Avenue Boson,

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity Migraion, Spillovers, and Trade Diversion: The mpac of nernaionalizaion on Sock Marke Liquidiy Ross Levine and Sergio L. Schmukler Firs Draf: February 10, 2003 This draf: March 30, 2003 Absrac Wha is he

More information

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999 Journal of Financial and Sraegic Decisions Volume 12 Number 1 Spring 1999 THE LEAD-LAG RELATIONSHIP BETWEEN THE OPTION AND STOCK MARKETS PRIOR TO SUBSTANTIAL EARNINGS SURPRISES AND THE EFFECT OF SECURITIES

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Do Firms with Captive Financial Subsidiaries Manage Earnings More Successfully?

Do Firms with Captive Financial Subsidiaries Manage Earnings More Successfully? Do Firms wih Capive Financial Subsidiaries Manage Earnings More Successfully? Nikolay Halov Rady School of Managemen Universiy of California, San Diego nhalov@ucsd.edu Lubomir P. Liov Universiy of Arizona

More information

Portfolio Risk and Investment Horizon of Institutional Investors

Portfolio Risk and Investment Horizon of Institutional Investors Porfolio Risk and Invesmen Horizon of Insiuional Invesors Ping-Wen Sun Inernaional Insiue for Financial Sudies Jiangxi Universiy of Finance and Economics Nanchang, Jiangxi, China hogsun@yahoo.com.w Chien-Ting

More information

Auditor Reports, Audit Fees, and CEO Compensation

Auditor Reports, Audit Fees, and CEO Compensation Inernaional Journal of Economics and Finance; Vol. 6, No. 9; 2014 ISSN 1916-971X E-ISSN 1916-9728 Published by Canadian Cener of Science and Educaion Audior Repors, Audi Fees, and CEO Compensaion Yinghong

More information

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange)

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange) Inernaional Research Journal of Applied and Basic Sciences 2013 Available online a www.irjabs.com ISSN 2251-838X / Vol, 6 (9): 1222-1228 Science Explorer Publicaions The Effec of Working Capial Managemen

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

NBER WORKING PAPER SERIES CAPITAL INVESTMENTS AND STOCK RETURNS. Sheridan Titman K.C. John Wei Feixue Xie

NBER WORKING PAPER SERIES CAPITAL INVESTMENTS AND STOCK RETURNS. Sheridan Titman K.C. John Wei Feixue Xie NBER WORKING PAPER SERIES CAPITAL INVESTMENTS AND STOCK RETURNS Sheridan Timan K.C. John Wei Feixue Xie Working Paper 9951 hp://www.nber.org/papers/w9951 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachuses

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity Migraion, Spillovers, and rade Diversion: he mpac of nernaionalizaion on Domesic Sock Marke Aciviy Ross Levine and Sergio L. Schmukler January 6, 006 Absrac his paper sudies he relaion beween inernaionalizaion

More information

Ownership structure, liquidity, and trade informativeness

Ownership structure, liquidity, and trade informativeness Journal of Finance and Accounancy ABSTRACT Ownership srucure, liquidiy, and rade informaiveness Dan Zhou California Sae Universiy a Bakersfield In his paper, we examine he relaionship beween ownership

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

Tax Externalities of Equity Mutual Funds

Tax Externalities of Equity Mutual Funds Tax Exernaliies of Equiy Muual Funds Joel M. Dickson The Vanguard Group, Inc. John B. Shoven Sanford Universiy and NBER Clemens Sialm Sanford Universiy December 1999 Absrac: Invesors holding muual funds

More information

Abstract. Review of Literatures. Free Cash Flows (FCF)

Abstract. Review of Literatures. Free Cash Flows (FCF) 123 A COMPARATIVE STUDY BETWEEN FREE CASH FLOWS AND EARNINGS MANAGEMENT Dr. Amalendu Bhundia Reader in Commerce; Fakir Chad College Under Universiy of Calcua, Diamond Harbour, Souh 24-Parganas, Pin. 743331,

More information

Warranty Reserve: Contingent Liability, Informational Signal, or Earnings Management Tool? *

Warranty Reserve: Contingent Liability, Informational Signal, or Earnings Management Tool? * Warrany Reserve: Coningen Liabiliy, Informaional Signal, or Earnings Managemen Tool? * Daniel Cohen a, Masako Darrough b, Rong Huang c, Tzachi Zach d a Sern School of Business, New York Universiy dcohen@sern.nyu.edu

More information

Stock Return Synchronicity and the Informativeness of. Stock Prices: Theory and Evidence 1

Stock Return Synchronicity and the Informativeness of. Stock Prices: Theory and Evidence 1 Sock Reurn Synchroniciy and he Informaiveness of Sock Prices: Theory and Evidence Sudipo Dasgupa Jie Gan + Ning Gao # JEL Classificaion Code: G4, G39 Keywords: Sock reurn synchroniciy; R 2 ; Firm-specific

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option Returns

The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option Returns The Informaion Conen of Implied kewness and urosis Changes Prior o Earnings Announcemens for ock and Opion Reurns Dean Diavaopoulos Deparmen of Finance Villanova Universiy James. Doran Bank of America

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Economics 140A Hypothesis Testing in Regression Models

Economics 140A Hypothesis Testing in Regression Models Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1

More information

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough

More information

Investment-Cash Flow Sensitivities Are Really Investment-Investment Sensitivities

Investment-Cash Flow Sensitivities Are Really Investment-Investment Sensitivities Invesmen-Cash Flow Sensiiviies Are Really Invesmen-Invesmen Sensiiviies Rober M. Bushman Kenan-Flagler Business School, Universiy of Norh Carolina a Chapel Hill Abbie J. Smih Booh School of Business, Universiy

More information

Employee Stock Option Accounting in a Residual Income Valuation Framework

Employee Stock Option Accounting in a Residual Income Valuation Framework Employee Sock Opion Accouning in a Residual Income Valuaion Framework Wayne R. Landsman Kenan-Flagler Business School Universiy of Norh Carolina a Chapel Hill Chapel Hill, NC 7599 Ken Peasnell Managemen

More information

Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Cointegration Analysis of Exchange Rate in Foreign Exchange Market Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, 430074 Absrac: This paper educed ha he series of exchange

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? Ali Coskun Bogazici Universiy Umi G. Gurun Universiy of Texas a Dallas RACT Ocober 2011 Absrac We show ha acively managed U.S. hedge funds, on average,

More information

Accruals and cash flows anomalies: evidence from the Indian stock market

Accruals and cash flows anomalies: evidence from the Indian stock market Sanjay Sehgal (India), Srividya Subramaniam (India), Floren Deising (France) Accruals and cash flows anomalies: evidence from he Indian sock marke Absrac This sudy examines he persisence of earnings performance,

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

Commission Costs, Illiquidity and Stock Returns

Commission Costs, Illiquidity and Stock Returns Commission Coss, Illiquidiy and Sock Reurns Jinliang Li* College of Business Adminisraion, Norheasern Universiy 413 Hayden Hall, Boson, MA 02115 Telephone: 617.373.4707 Email: jin.li@neu.edu Rober Mooradian

More information

THE EFFECT OF CORPORATE GOVERNANCE FACTORS ON CASH FLOW RESULTING FROM OPERATING ACTIVITIES AND FIRM FINANCING

THE EFFECT OF CORPORATE GOVERNANCE FACTORS ON CASH FLOW RESULTING FROM OPERATING ACTIVITIES AND FIRM FINANCING An Open Access, Online Inernaional Journal Available a www.cibech.org/sp.ed/jls/2014/04/jls.hm Research Aricle THE EECT O CORPORATE GOVERNANCE ACTORS ON CASH LOW RESULTING ROM OPERATING ACTIVITIES AND

More information

Journal Of Business & Economics Research Volume 1, Number 11

Journal Of Business & Economics Research Volume 1, Number 11 Profis From Buying Losers And Selling Winners In The London Sock Exchange Anonios Anoniou (E-mail: anonios.anoniou@durham.ac.ak), Universiy of Durham, UK Emilios C. Galariois (E-mail: emilios.galariois@dirham.ac.uk),

More information

Default Risk in Equity Returns

Default Risk in Equity Returns Defaul Risk in Equiy Reurns MRI VSSLOU and YUHNG XING * BSTRCT This is he firs sudy ha uses Meron s (1974) opion pricing model o compue defaul measures for individual firms and assess he effec of defaul

More information

The Effectiveness of Reputation as a Disciplinary Mechanism in Sell-side Research

The Effectiveness of Reputation as a Disciplinary Mechanism in Sell-side Research The Effeciveness of Repuaion as a Disciplinary Mechanism in Sell-side Research Lily Fang INSEAD Ayako Yasuda The Wharon School, Universiy of Pennsylvania We hank Franklin Allen, Gary Goron, Pierre Hillion,

More information

Influence of the Dow returns on the intraday Spanish stock market behavior

Influence of the Dow returns on the intraday Spanish stock market behavior Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

Implied Equity Duration: A New Measure of Equity Risk *

Implied Equity Duration: A New Measure of Equity Risk * Implied Equiy Duraion: A New Measure of Equiy Risk * Paricia M. Dechow The Carleon H. Griffin Deloie & Touche LLP Collegiae Professor of Accouning, Universiy of Michigan Business School Richard G. Sloan

More information

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market Asymmeric Informaion, Perceived Risk and Trading Paerns: The Opions Marke Guy Kaplanski * Haim Levy** March 01 * Bar-Ilan Universiy, Israel, Tel: 97 50 696, Fax: 97 153 50 696, email: guykap@biu.ac.il.

More information

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers An Empirical Sudy on Capial Srucure and Financing Decision- Evidences from Eas Asian Tigers Dr. Jung-Lieh Hsiao and Ching-Yu Hsu, Naional Taipei Universiy, Taiwan Dr. Kuang-Hua Hsu, Chaoyang Universiy

More information

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck

More information

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange Resiliency, he Negleced Dimension of Marke Liquidiy: Empirical Evidence from he New York Sock Exchange Jiwei Dong 1 Lancaser Universiy, U.K. Alexander Kempf Universiä zu Köln, Germany Pradeep K. Yadav

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets?

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets? Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weak-form of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper

More information

Distributing Human Resources among Software Development Projects 1

Distributing Human Resources among Software Development Projects 1 Disribuing Human Resources among Sofware Developmen Proecs Macario Polo, María Dolores Maeos, Mario Piaini and rancisco Ruiz Summary This paper presens a mehod for esimaing he disribuion of human resources

More information

Understanding the Profitability of Pairs Trading

Understanding the Profitability of Pairs Trading Undersanding he Profiabiliy of Pairs Trading Sandro C. Andrade UC Berkeley Vadim di Piero Norhwesern Mark S. Seasholes UC Berkeley This Version February 15, 2005 Absrac This paper links uninformed demand

More information

CALCULATION OF OMX TALLINN

CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN 1. OMX Tallinn index...3 2. Terms in use...3 3. Comuaion rules of OMX Tallinn...3 3.1. Oening, real-ime and closing value of he Index...3 3.2. Index

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

When Do TIPS Prices Adjust to Inflation Information?

When Do TIPS Prices Adjust to Inflation Information? When Do TIPS Prices Adjus o Inflaion Informaion? Quenin C. Chu a, *, Deborah N. Piman b, Linda Q. Yu c Augus 15, 2009 a Deparmen of Finance, Insurance, and Real Esae. The Fogelman College of Business and

More information

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper

More information

Short Selling by Individual and Institutional Investors and Stock Returns: Evidence from the Taiwan Stock Market

Short Selling by Individual and Institutional Investors and Stock Returns: Evidence from the Taiwan Stock Market Shor Selling by Individual and Insiuional Invesors and Sock Reurns: Evidence from he Taiwan Sock Marke Tai Ma Deparmen of Finance Naional Sun Ya-sen Universiy 70 Lienhai Rd., Kaohsiung 80424, Taiwan Email:

More information

MSCI Index Calculation Methodology

MSCI Index Calculation Methodology Index Mehodology MSCI Index Calculaion Mehodology Index Calculaion Mehodology for he MSCI Equiy Indices Index Mehodology MSCI Index Calculaion Mehodology Conens Conens... 2 Inroducion... 5 MSCI Equiy Indices...

More information

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance Fifh Quaniaive Impac Sudy of Solvency II (QIS 5) Naional guidance on valuaion of echnical provisions for German SLT healh insurance Conens 1 Inroducion... 2 2 Calculaion of bes-esimae provisions... 3 2.1

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Does informed trading occur in the options market? Some revealing clues

Does informed trading occur in the options market? Some revealing clues Does informed rading occur in he opions marke? Some revealing clues Blasco N.(1), Corredor P.(2) and Sanamaría R. (2) (1) Universiy of Zaragoza (2) Public Universiy of Navarre Absrac This paper analyses

More information