Review of Quantitative Finance and Accounting最新文献

Using a sample of United Kingdom (UK) non-financial firms from 2009 to 2021, this paper examines the operating performance effect of aggressive and moderate use of trade payables and bank credit. The results demonstrate a hierarchical effect of the use of short-term credit on firms operating performance. In particular, the results show that aggressive use of bank credit achieves higher operating performance, followed by moderate use of trade payables and bank credit and then aggressive use of trade payables. We further document that operating performance of firms dealing in differentiated products, lower firm size, firms with higher market power and financially stable firms’ increases with aggressive and moderate use of trade payables and bank credit. Overall, the results indicate that firm operating performance is an increasing function of bank credit use and demonstrate the importance of short-term credit policies on firms’ operating performance. The results are robust after using a novel approach in addressing the issue of endogeneity.

We examine the impact of activist hedge fund campaigns on corporate Intangible Capital (IC) investments, a key determinant of corporate long-term growth and performance. We document that post-activist campaigns, targeted firms reduce IC investments by more than 10% compared to carefully matched non-target firms. In cross-sectional analyses, we observe the largest effects in less competitive industries, for older target firms and for firms with high financial constraints suggesting that IC cuts are more common in low-discipline and low-barriers-to-invest contexts. Hedge funds are cutting down IC investments when they engage both in relatively short and longer interventions but especially so when they have less industry investment experience. Further, we do not find evidence of post-intervention increased investment efficiency in targeted firms, casting some doubt on the longer-term value-added of activist IC slashing campaigns. Finally, in an attempt to identify where the saved IC resources post intervention flow to, we observe that targeted firms increase corporate payouts and prefer share repurchase programs above cash dividends.

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This study examines the relationship between macroeconomic uncertainty and earnings management, using quarterly data of US commodity firms from the period 1990–2019. The findings show that oil and iron firms use both accruals and real activities to decrease earnings in quarters with high basis risk. Earnings management is economically significant. Further investigation provides fine-grained evidence that specific types of uncertainty (economic policy, climate policy, geopolitical) have varying effects on earnings management. The study also provides evidence that earnings management is aimed at giving investors useful information about the firms’ performance during uncertain times. The study contributes to previous research on uncertainty and earnings management. It also informs market participants about the financial reporting quality of commodity firms, and has practical implications for financial reporting regulation in extracting industries.

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This research examines what proportion of Big Four auditors underperform in integrated audit settings and why. Incorporating the inverse relation between detection risk and assessed risk of material misstatement (RMM) per the classic audit risk model, we create an RMM coverage ratio to measure how many times the total audit effort expended covers pre-existing RMM—the higher the ratio, the larger the margin for errors. We then partition the RMM coverage ratios in each industry into Deciles (0–9). Empirical analyses corroborate that, given the risk-based audit approach strictly executed, only the Big Four auditors of higher Deciles (2–9) increase the likelihood of integrated audit effectiveness. This evidence indicates that due to a small margin for errors (e.g., RMM coverage ratios ≤ 2.31), 20% of Big Four auditors are less likely to adequately assess or address risks to deliver an engagement, breaking the Big Four brand’s halo effect precisely.

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This study conducts a citation-based comprehensive systematic literature review (SLR) of the syndicated loan market by identifying and recognizing the sources of knowledge-producing leading articles, journals and authors in this area. In total, we present a citation analysis of 374 articles from the Scopus database using a comprehensive list of keyword searches. We find that the importance of research using syndicated loan data has increased after the global financial crisis (GFC). It is perhaps due to the reason that the GFC was mainly a credit crisis that sparked the interest of research in this area. We identify the Journal of Financial Economics as the leading journal in terms of citation and the Journal of Banking and Finance in terms of publication count. Victoria Ivashina comes out as the leading author in terms of the citation count and Anthony Saunders in terms of publication count. We also perform a content analysis of the top 100 most cited papers and identify data characteristics, major themes, estimation techniques and empirical approaches. Our SLR provides a macro picture of research on syndicated loan studies. Finally, we provide an overview of the direction for future research.

Using a dataset of institutional bids for IPOs, we study how relationships with lead underwriters impact institutional investors’ bidding strategy in the auctioned IPOs. Our paper finds that strong business ties lead to higher bid prices. The effect is more pronounced among IPO firms that receive less market attention, and is attenuated for IPOs certified by reputable intermediaries. We propose that rent-seeking incentives may be the potential mechanism for this relationship-based bidding. Our study highlights that the business connection between underwriters and institutional investors has effect on the IPO pricing.

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We investigate the impact of political uncertainty on the relationship between foreign equity portfolio flow and the cost of capital. Using panel data from 40 countries from 2001 to 2016, our results show that the year before a national election is associated with a higher cost of capital. Further analyses show that the relationship between international equity portfolio flow and the cost of capital is sensitive to political uncertainty. In line with the institutional quality channel, we find that checks and balances interact with political uncertainty to reduce the negative effects of political uncertainty on the cost of capital. The results are consistent with the hypothesis that foreign investors strategically reduce their equity portfolio investment to the recipient country before a national election which reduces risk-sharing between domestic and foreign investors.

We provide new evidence on the effects of social media in the context of a financial scandal using a sample of banks that were accused of manipulating the London Interbank Offered Rate (LIBOR). We find that increased bank Twitter activity when the scandal surfaced has a positive moderating effect on equity returns. However, the dissemination of content operated by social media users has a negative counterbalancing effect, thus amplifying the impact of the scandal. In particular, tweets that are unrelated to the scandal and characterized by positive sentiment contribute to exacerbating the reputational damage suffered by banks. We contribute to the emerging literature on the role of social media in capital markets.

Exploiting a unique hand-built dataset, belonging to non-financial firms, operating in an emerging economy, this study, first of its kind, reports that stock prices of firms with military-experienced board of directors reflect more firm specific information after controlling for board attributes, agent heterogeneity and firm level variation. The results robust to alternative specifications of informativeness and military director proxy support the notion that military-trained directors may enhance transparency in public listed companies and encourage the incorporation of more firm-specific information into stock prices. Further analysis suggests that military directors may enfeeble CEO–board nexus and settle the directional variations at the corporate board level: military directors bring discipline in the board room that translates into rigorous CEO monitoring and improved corporate governance quality.

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We contribute to redefining the criteria based on Almost Stochastic Dominance for better portfolio comparison in four ways. First, we refine the first order of Marginal Conditional Stochastic Dominance (Yitzhaki and Olkin in Concentration indices and concentration curves, Vol 19, Lecture notes-monograph series: stochastic orders and decision under risk, 1991; Shalit and Yitzhaki in Manag Sci 40(5):670–684, 1994), which is designed for pairwise asset comparison. Second, we redefine Almost Marginal Conditional Stochastic Dominance (AMCSD) by Denuit et al. (J Bank Finance 41:57–66, 2014) and Chen et al. (Q Rev Econ Finance 85 (C):260–269, 2022), which considers multiple asset changes in a portfolio, especially in the case of second-order stochastic dominance. Our effort secures the hierarchy property (Guo et al. in Econ Lett 121:252–256, 2013) which is absent in previous studies. Third, we extend the analysis of multiple assets and apply our AMCSD definition and Marginal Conditional Stochastic Dominance. Our AMCSD treatment is confirmed to be more appropriate than those in previous study. Finally, for the sake of portfolio risk management, we compose three hypothetical portfolios with option-based indices for empirical analysis. The empirical outcomes support our efforts.