ABSTRACT: This essay provides a retrospective view on our co-authored paper, Ball and Brown (1968). The retrospective was commissioned by Gregory B. Waymire, then President of the American Accounti...
摘要:本文回顾了鲍尔和布朗(Ball and Brown, 1968)的合著论文。这次回顾展是由格雷戈里·b·韦米尔(Gregory B. Waymire)委托举办的，他当时是美国会计协会的总裁。
{"title":"Ball and Brown (1968): A Retrospective","authors":"R. Ball, Philippa Brown","doi":"10.2139/ssrn.2304409","DOIUrl":"https://doi.org/10.2139/ssrn.2304409","url":null,"abstract":"ABSTRACT: This essay provides a retrospective view on our co-authored paper, Ball and Brown (1968). The retrospective was commissioned by Gregory B. Waymire, then President of the American Accounti...","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"273 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121360818","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 study the impact of the 2007-2008 financial crisis on nonfinancial firms’ financing and investment and the role of corporate governance in mitigating the adverse consequences of the capital supply shock. Employing a difference-in-differences research design, we find that the credit crisis significantly affects firms’ financing and investment behavior in the first year after the onset of the crisis. However, the adverse effect on financing is mitigated for firms with better governance, and this translates into a smaller decline in these firms’ investment. The results are robust to extending the sample period to include the delayed spillover from the banking sector to other capital market sectors. Overall, the evidence supports the view that better governance mitigates the disruption caused by the external capital supply shock to firms’ normal courses of actions.
{"title":"Impact of Corporate Governance on Corporate Financing and Investment During the 2007-2008 Financial Crisis","authors":"Lily H. G. Nguyen, Tu Nguyen, Xiangkang Yin","doi":"10.2139/ssrn.2204192","DOIUrl":"https://doi.org/10.2139/ssrn.2204192","url":null,"abstract":"We study the impact of the 2007-2008 financial crisis on nonfinancial firms’ financing and investment and the role of corporate governance in mitigating the adverse consequences of the capital supply shock. Employing a difference-in-differences research design, we find that the credit crisis significantly affects firms’ financing and investment behavior in the first year after the onset of the crisis. However, the adverse effect on financing is mitigated for firms with better governance, and this translates into a smaller decline in these firms’ investment. The results are robust to extending the sample period to include the delayed spillover from the banking sector to other capital market sectors. Overall, the evidence supports the view that better governance mitigates the disruption caused by the external capital supply shock to firms’ normal courses of actions.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133894221","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 paper, I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the weak in-sample predictive power, economic growth forecasts from models that exclude stock illiquidity from the set of explanatory financial variables are statistically no worse than forecasts from models that include illiquidity. However, I find strong evidence that the predictive power of equity market illiquidity is state-contingent, with much higher predictability in states associated with economic and financial stress. The difference between the single-state and regime-switching models' results reflects the fact that, as the nonstressed states have been much more prevalent, parameter estimates from a single-state model averages over both stressed and non-stressed states thus lowering the statistical and economic significance of the estimates.
{"title":"Stock Market Illiquidity's Predictive Role Over Economic Growth: The Australian Evidence","authors":"A. Rai","doi":"10.2139/SSRN.2219530","DOIUrl":"https://doi.org/10.2139/SSRN.2219530","url":null,"abstract":"In this paper, I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the weak in-sample predictive power, economic growth forecasts from models that exclude stock illiquidity from the set of explanatory financial variables are statistically no worse than forecasts from models that include illiquidity. However, I find strong evidence that the predictive power of equity market illiquidity is state-contingent, with much higher predictability in states associated with economic and financial stress. The difference between the single-state and regime-switching models' results reflects the fact that, as the nonstressed states have been much more prevalent, parameter estimates from a single-state model averages over both stressed and non-stressed states thus lowering the statistical and economic significance of the estimates.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131829778","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 key proposition of the paper lies in the treatment of financial statements as a matrix of endogenous information codetermined by double entry. To account for the highly structured information set in econometric estimation, we develop a generalised structural system for use with accounting variables, within which the deterministic relationships governing financial statement articulation are clearly defined. The framework is used to formulate fully identified models that are consistent with the underlying duality that characterises the generating process of accounting data. To demonstrate the efficacy of the approach, we consider the model of equity pricing in Penman and Yehuda (2009), and the model of investment sensitivity to operating cash flow in Fazzari, Hubbart and Petersen (1988) and Kaplan and Zingales (1997). By comparison with the more traditional estimation methods, the structural system is shown to yield estimates with increased precision that adhere to double entry rules.
{"title":"Double-Entry Constraint, Structural Modeling and Econometric Estimation","authors":"Demetris Christodoulou, S. Mcleay","doi":"10.2139/ssrn.2185164","DOIUrl":"https://doi.org/10.2139/ssrn.2185164","url":null,"abstract":"The key proposition of the paper lies in the treatment of financial statements as a matrix of endogenous information codetermined by double entry. To account for the highly structured information set in econometric estimation, we develop a generalised structural system for use with accounting variables, within which the deterministic relationships governing financial statement articulation are clearly defined. The framework is used to formulate fully identified models that are consistent with the underlying duality that characterises the generating process of accounting data. To demonstrate the efficacy of the approach, we consider the model of equity pricing in Penman and Yehuda (2009), and the model of investment sensitivity to operating cash flow in Fazzari, Hubbart and Petersen (1988) and Kaplan and Zingales (1997). By comparison with the more traditional estimation methods, the structural system is shown to yield estimates with increased precision that adhere to double entry rules.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114904041","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 implement a customized survey to a representative sample of 1,024 Australians to examine the relationship between financial literacy and retirement planning. Overall we find aggregate levels of financial literacy similar to comparable countries with the young, least educated, unemployed and those not in the labor force most at risk. However, unlike the international norm, we find that financial skills increase with age. The role played by the Australia’s mandatory private retirement arrangements, system of defaults, and interactions with the means-tested safety net pension at older ages remain open questions.
{"title":"Financial Literacy and Retirement Planning in Australian","authors":"Julie R. Agnew, H. Bateman, S. Thorp","doi":"10.2139/ssrn.2198641","DOIUrl":"https://doi.org/10.2139/ssrn.2198641","url":null,"abstract":"We implement a customized survey to a representative sample of 1,024 Australians to examine the relationship between financial literacy and retirement planning. Overall we find aggregate levels of financial literacy similar to comparable countries with the young, least educated, unemployed and those not in the labor force most at risk. However, unlike the international norm, we find that financial skills increase with age. The role played by the Australia’s mandatory private retirement arrangements, system of defaults, and interactions with the means-tested safety net pension at older ages remain open questions.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"2627 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127311295","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}
As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under different market conditions. During the crisis period, the combined interest rate, the slope, the banking system leverage, the market liquidity risk and corporate bond market default risk are all shown to be predictive for both the level and the change of the Libor-OIS spreads. In addition, market volatility and the state of the economy are two strong predictors for the level of the Libor-OIS spread only. The systemic distress and default risk and counterparty risk are strongly related to the changes in the spread. Further analysis based on the USD spread factor also reveals that business oriented reasons are also related to the spread movement.
{"title":"What Drives the Libor-OIS Spread? Evidence from Five Major Currency Libor-OIS Spreads","authors":"J. Cui, F. In, E. Maharaj","doi":"10.2139/ssrn.2173944","DOIUrl":"https://doi.org/10.2139/ssrn.2173944","url":null,"abstract":"As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under different market conditions. During the crisis period, the combined interest rate, the slope, the banking system leverage, the market liquidity risk and corporate bond market default risk are all shown to be predictive for both the level and the change of the Libor-OIS spreads. In addition, market volatility and the state of the economy are two strong predictors for the level of the Libor-OIS spread only. The systemic distress and default risk and counterparty risk are strongly related to the changes in the spread. Further analysis based on the USD spread factor also reveals that business oriented reasons are also related to the spread movement.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133474568","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 paper outlines the arguments for a common set of accounting standards and the forces that have promoted adoption of International Financial Reporting Standards (IFRS). Widespread use of IFRS since 2005 provides an opportunity for empirical investigation of the benefits of IFRS. I summarise results of studies that are relevant for assessing the role of IFRS in both developing and developed capital markets.
{"title":"The Case for Global Accounting Standards: Arguments and Evidence","authors":"A. Tarca","doi":"10.2139/ssrn.2204889","DOIUrl":"https://doi.org/10.2139/ssrn.2204889","url":null,"abstract":"This paper outlines the arguments for a common set of accounting standards and the forces that have promoted adoption of International Financial Reporting Standards (IFRS). Widespread use of IFRS since 2005 provides an opportunity for empirical investigation of the benefits of IFRS. I summarise results of studies that are relevant for assessing the role of IFRS in both developing and developed capital markets.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126049824","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 investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.
{"title":"Volume Reaction to Firm Specific News Announcements","authors":"H. N. Duong, P. Kalev, P. Mudalige","doi":"10.2139/ssrn.2137004","DOIUrl":"https://doi.org/10.2139/ssrn.2137004","url":null,"abstract":"This study investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121435880","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. Frino, Tina Prodromou, George H. K. Wang, P. Westerholm, Hui Zheng
This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non–algorithmic traders. During the initial surge in trading activity in the first 90 seconds after the announcement, algorithms time their trades better than non–algorithmic traders, hence algorithms tend to be profitable, while non–algorithmic traders make losing trades over the same time period. During the pre announcement period, non–algorithmic volume imbalance leads algorithmic volume imbalance, however, in the post announcement period, the direction of the lead–lag relationship is exactly reversed. Our results suggest that as algorithms are the fastest traders, their trading accelerates the information incorporation process.
{"title":"Are Algorithmic Trades Informed? - An Empirical Analysis of Algorithmic Trading Around Earnings Announcements","authors":"A. Frino, Tina Prodromou, George H. K. Wang, P. Westerholm, Hui Zheng","doi":"10.2139/ssrn.2132568","DOIUrl":"https://doi.org/10.2139/ssrn.2132568","url":null,"abstract":"This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non–algorithmic traders. During the initial surge in trading activity in the first 90 seconds after the announcement, algorithms time their trades better than non–algorithmic traders, hence algorithms tend to be profitable, while non–algorithmic traders make losing trades over the same time period. During the pre announcement period, non–algorithmic volume imbalance leads algorithmic volume imbalance, however, in the post announcement period, the direction of the lead–lag relationship is exactly reversed. Our results suggest that as algorithms are the fastest traders, their trading accelerates the information incorporation process.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132626263","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}
Previous research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The anomaly is observed in all size stocks except micro stocks. For example, equal weighted portfolios of non-issuing big stocks outperform portfolios of high issuing big stocks by an average of 0.84% per month over 1990–2009. This outperformance survives risk adjustment and appears to subsume the asset growth effect in Australian stock returns.
{"title":"Share Issuance Effects in the Cross-Section of Stock Returns","authors":"David P. Lancaster, G. Bornholt","doi":"10.2139/ssrn.2080759","DOIUrl":"https://doi.org/10.2139/ssrn.2080759","url":null,"abstract":"Previous research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The anomaly is observed in all size stocks except micro stocks. For example, equal weighted portfolios of non-issuing big stocks outperform portfolios of high issuing big stocks by an average of 0.84% per month over 1990–2009. This outperformance survives risk adjustment and appears to subsume the asset growth effect in Australian stock returns.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130169939","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}
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