We investigate how investor overconfidence and attention affect market efficiency around the 2015 Chinese stock market crash. We find that the price delay before the crash is about twice the price delay after the crash. Investors become more sensitive to market movements after the crash. Price delays are larger on market down‐days than on up‐days before the crash, but the differences are insignificant between up‐ and down‐days after the crash, indicating that negative information travels slowly only when investors are overconfident. Margin traders follow market trends and intensify the pyramiding and de‐pyramiding effects caused by market sentiment change.
{"title":"Does News Travel Slowly Before a Market Crash? The Role of Margin Traders","authors":"Li Qian, Mingsheng Li, Yan Li","doi":"10.1111/acfi.12419","DOIUrl":"https://doi.org/10.1111/acfi.12419","url":null,"abstract":"We investigate how investor overconfidence and attention affect market efficiency around the 2015 Chinese stock market crash. We find that the price delay before the crash is about twice the price delay after the crash. Investors become more sensitive to market movements after the crash. Price delays are larger on market down‐days than on up‐days before the crash, but the differences are insignificant between up‐ and down‐days after the crash, indicating that negative information travels slowly only when investors are overconfident. Margin traders follow market trends and intensify the pyramiding and de‐pyramiding effects caused by market sentiment change.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"115 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77430077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines recent accounting research published in 10 journals led by New Zealand and Australia based editors, namely: Abacus; Accounting and Finance; Accounting Forum; Accounting History; Accounting, Auditing and Accountability Journal; Australian Accounting Review; International Journal of Auditing; Meditari Accountancy Research; Pacific Accounting Review; and Qualitative Research in Accounting and Management. The paper identifies the most cited recent articles (2015–2017), and the most prolific authors, universities and geographical regions. It then reveals trends in research areas and relevance of recent accounting articles. The paper discusses the importance of the Australian Business Deans Council journal quality list in facilitating novel and relevant research, and recommends the integration of citation metrics into its ratings methodology.
{"title":"A Review of Accounting Research in Australasia","authors":"C. Villiers, P. Hsiao","doi":"10.1111/acfi.12424","DOIUrl":"https://doi.org/10.1111/acfi.12424","url":null,"abstract":"This study examines recent accounting research published in 10 journals led by New Zealand and Australia based editors, namely: Abacus; Accounting and Finance; Accounting Forum; Accounting History; Accounting, Auditing and Accountability Journal; Australian Accounting Review; International Journal of Auditing; Meditari Accountancy Research; Pacific Accounting Review; and Qualitative Research in Accounting and Management. The paper identifies the most cited recent articles (2015–2017), and the most prolific authors, universities and geographical regions. It then reveals trends in research areas and relevance of recent accounting articles. The paper discusses the importance of the Australian Business Deans Council journal quality list in facilitating novel and relevant research, and recommends the integration of citation metrics into its ratings methodology.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90244916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this study, I examine whether analysts use the 52 week high and low as reference prices for recommendation revisions. My results show that the proximity and recency of the 52 week high increase the odds of stocks being upgraded. When analysts upgrade a stock whose 52 week high occurred in the distant past, they provide more valuable information to investors than that based on the proximity ratio of the 52 week high. More‐experienced analysts provide more valuable recommendations when they upgrade (downgrade) based on either the nearness or recency of the 52 week high (low) than less‐experienced analysts do.
{"title":"The Effect of 52 Week Highs and Lows on Analyst Stock Recommendations","authors":"Mei-Chen Lin","doi":"10.1111/acfi.12312","DOIUrl":"https://doi.org/10.1111/acfi.12312","url":null,"abstract":"In this study, I examine whether analysts use the 52 week high and low as reference prices for recommendation revisions. My results show that the proximity and recency of the 52 week high increase the odds of stocks being upgraded. When analysts upgrade a stock whose 52 week high occurred in the distant past, they provide more valuable information to investors than that based on the proximity ratio of the 52 week high. More‐experienced analysts provide more valuable recommendations when they upgrade (downgrade) based on either the nearness or recency of the 52 week high (low) than less‐experienced analysts do.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87183871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The literature offers contradictory views on the effect of margin‐trading activities on price efficiency. Based on data from a Chinese margin‐trading pilot programme in 2010, we separate price efficiency into information content and price‐adjustment speed and investigate the effect of margin‐trading activity on price efficiency. We find that after adding to the eligible list, pilot stocks experience a decrease in information content, but an increase in price‐adjustment speed. Furthermore, increased margin‐buying activities are associated with lower information content, but faster price adjustment. Our results reconcile the debate over the effect of margin trading on price efficiency.
{"title":"Margin Trading and Price Efficiency: Information Content or Price‐Adjustment Speed?","authors":"Dayong Lv, Wenfeng Wu","doi":"10.1111/acfi.12403","DOIUrl":"https://doi.org/10.1111/acfi.12403","url":null,"abstract":"The literature offers contradictory views on the effect of margin‐trading activities on price efficiency. Based on data from a Chinese margin‐trading pilot programme in 2010, we separate price efficiency into information content and price‐adjustment speed and investigate the effect of margin‐trading activity on price efficiency. We find that after adding to the eligible list, pilot stocks experience a decrease in information content, but an increase in price‐adjustment speed. Furthermore, increased margin‐buying activities are associated with lower information content, but faster price adjustment. Our results reconcile the debate over the effect of margin trading on price efficiency.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"73 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90409619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the impact of analysts’ earnings per share (EPS) and cash flow per share (CPS) forecast revisions on the market for credit default swaps. We find that while the issuance of both EPS and CPS forecast revisions are inversely associated with changes in credit default swap (CDS) spreads, cash flow forecast revisions have a larger effect. We demonstrate that the relationship between CPS forecast revisions and CDS spreads tends to be stronger in cases of financial distress. We provide evidence that cash flow forecasts dominate earnings forecasts in some situations and that participants in the CDS market discriminate between analysts' forecast revisions and recommendation changes.
{"title":"The Sensitivity of the Credit Default Swap Market to Financial Analysts’ Forecast Revisions","authors":"Pervaiz Alam, Xiaoling Pu, Barry Hettler","doi":"10.1111/acfi.12235","DOIUrl":"https://doi.org/10.1111/acfi.12235","url":null,"abstract":"We examine the impact of analysts’ earnings per share (EPS) and cash flow per share (CPS) forecast revisions on the market for credit default swaps. We find that while the issuance of both EPS and CPS forecast revisions are inversely associated with changes in credit default swap (CDS) spreads, cash flow forecast revisions have a larger effect. We demonstrate that the relationship between CPS forecast revisions and CDS spreads tends to be stronger in cases of financial distress. We provide evidence that cash flow forecasts dominate earnings forecasts in some situations and that participants in the CDS market discriminate between analysts' forecast revisions and recommendation changes.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"34 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77874860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Accounting rules mandate that the cost of debt should be recorded as an expense, while the cost of equity does not appear in the income statement. Therefore, the amount of financing expense, and thus net income, in the income statements depends on how firms finance their business. Based on a clear, substantial trend of declining leverage since the 1990s, we examine how changes in capital structure might influence earnings attributes—the matching between revenues and expenses. We find that the contemporaneous relation between revenues and interest expense in US firms has decreased from 1972 to 2013, a result of both changes in leverage and the declining explanatory power of interest expense with respect to revenues. When we construct the weighted average costs of capital based on the costs of both debt and equity, we find the contemporaneous relation between revenues and the costs of capital has not significantly changed. Our results indicate that differential accounting treatment of the costs of debt and equity can affect earnings attributes through change in capital structure.
{"title":"Deleveraging and Decline in Revenue‐Expense Matching Over Time","authors":"Jeong‐Hoon Hyun, Hyungjin Cho","doi":"10.1111/jbfa.12343","DOIUrl":"https://doi.org/10.1111/jbfa.12343","url":null,"abstract":"Accounting rules mandate that the cost of debt should be recorded as an expense, while the cost of equity does not appear in the income statement. Therefore, the amount of financing expense, and thus net income, in the income statements depends on how firms finance their business. Based on a clear, substantial trend of declining leverage since the 1990s, we examine how changes in capital structure might influence earnings attributes—the matching between revenues and expenses. We find that the contemporaneous relation between revenues and interest expense in US firms has decreased from 1972 to 2013, a result of both changes in leverage and the declining explanatory power of interest expense with respect to revenues. When we construct the weighted average costs of capital based on the costs of both debt and equity, we find the contemporaneous relation between revenues and the costs of capital has not significantly changed. Our results indicate that differential accounting treatment of the costs of debt and equity can affect earnings attributes through change in capital structure.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77794935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Firms added to the S&P 500 Index gain a competitive advantage over their non‐S&P 500 industry competitors. They experience positive stock valuation effects at the expense of competitors. The inclusion is associated with both reductions in financial constraints and the cost of equity and increases in capital investment for the newly added firms. When the increase in capital investment is greater, they gain more market share and enjoy better valuation effects. Rivals’ share price responses are negatively related to the announcement effect of the newly added firm. Deletions from the index, however, do not have symmetric effects.
{"title":"The Competitive Effects of S&P 500 Index Revisions","authors":"Sheng-Syan Chen, Yueh-hsiang Lin","doi":"10.1111/jbfa.12312","DOIUrl":"https://doi.org/10.1111/jbfa.12312","url":null,"abstract":"Firms added to the S&P 500 Index gain a competitive advantage over their non‐S&P 500 industry competitors. They experience positive stock valuation effects at the expense of competitors. The inclusion is associated with both reductions in financial constraints and the cost of equity and increases in capital investment for the newly added firms. When the increase in capital investment is greater, they gain more market share and enjoy better valuation effects. Rivals’ share price responses are negatively related to the announcement effect of the newly added firm. Deletions from the index, however, do not have symmetric effects.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82420368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate the effects of the recent financial crisis on start‐up financing and survival using a dataset that covers all Belgian new business registrations between 2006 and 2009. We find that bank debt is the single most important source of funding, even for start‐ups founded during the crisis. However, start‐ups founded in crisis years use less bank debt and have a higher likelihood of bankruptcy, even after controlling for their creditworthiness. These effects are stronger for start‐ups that are more dependent on bank debt, such as start‐ups founded in bank dependent industries and start‐ups founded by entrepreneurs who are more likely to be financially constrained.
{"title":"The Recent Financial Crisis, Start‐Up Financing and Survival","authors":"M. Deloof, T. Vanacker","doi":"10.1111/jbfa.12319","DOIUrl":"https://doi.org/10.1111/jbfa.12319","url":null,"abstract":"We investigate the effects of the recent financial crisis on start‐up financing and survival using a dataset that covers all Belgian new business registrations between 2006 and 2009. We find that bank debt is the single most important source of funding, even for start‐ups founded during the crisis. However, start‐ups founded in crisis years use less bank debt and have a higher likelihood of bankruptcy, even after controlling for their creditworthiness. These effects are stronger for start‐ups that are more dependent on bank debt, such as start‐ups founded in bank dependent industries and start‐ups founded by entrepreneurs who are more likely to be financially constrained.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79458314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A market†neutral strategy that is long [short] stocks with a high [low] Piotroski F†score generates an index†weighted 0.8 percent pm on S&P/ASX 200 stocks and 1.4 percent pm on smaller stocks. Equal†weighted returns are higher and in all cases returns are statistically significant. However, the Carhart model alphas are not statistically significant except in the case of equal†weighted small cap portfolios. For such portfolios, however, most of the alpha comes from the short side and most institutional investors would find them uninvestable due to capacity constraints. A range of tests indicate that analyst neglect does not explain the F†score premium.
{"title":"The Piotroski F‐Score: Evidence from Australia","authors":"C. Hyde","doi":"10.1111/acfi.12216","DOIUrl":"https://doi.org/10.1111/acfi.12216","url":null,"abstract":"A market†neutral strategy that is long [short] stocks with a high [low] Piotroski F†score generates an index†weighted 0.8 percent pm on S&P/ASX 200 stocks and 1.4 percent pm on smaller stocks. Equal†weighted returns are higher and in all cases returns are statistically significant. However, the Carhart model alphas are not statistically significant except in the case of equal†weighted small cap portfolios. For such portfolios, however, most of the alpha comes from the short side and most institutional investors would find them uninvestable due to capacity constraints. A range of tests indicate that analyst neglect does not explain the F†score premium.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88558019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine real estate's information and volatility linkages with stock, bond and money markets. Based on the theory that the volatility of prices directly reflects of the rate at which information flows to the market (Kyle, ; Ross, ), we propose that information linkages across markets are revealed in the correlations of their volatilities, rather than correlations of returns. Applying an implied volatility correlation approach and the Generalized Method of Moments (GMM) estimation of Fleming et al. () stochastic volatility model, we find strong information and volatility linkages across the four markets.
{"title":"Real Estate's Information and Volatility Links with Stock, Bond and Money Markets","authors":"Lin Mi, A. Hodgson","doi":"10.1111/acfi.12375","DOIUrl":"https://doi.org/10.1111/acfi.12375","url":null,"abstract":"We examine real estate's information and volatility linkages with stock, bond and money markets. Based on the theory that the volatility of prices directly reflects of the rate at which information flows to the market (Kyle, ; Ross, ), we propose that information linkages across markets are revealed in the correlations of their volatilities, rather than correlations of returns. Applying an implied volatility correlation approach and the Generalized Method of Moments (GMM) estimation of Fleming et al. () stochastic volatility model, we find strong information and volatility linkages across the four markets.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74348490","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：