Liquidity is an important characteristic of financial markets, affecting portfolio decisions and priced risk. During periods of market turmoil, such as occurs during financial crisis, investors have an elevated need for cash and so understanding how liquidity differs during those periods is important. We examine how stock market liquidity was impacted by two crises with distinct origins, the global financial crisis (GFC) and the COVID-pandemic. Our sample includes the S&P/ASX200 constituents for the period January 2005–December 2020. We find that the Australian stock market is less liquid during both crisis periods; spreads are wider, depth is lower, and price impact is larger (stock prices move a lot in response to small amounts of volume). Although the magnitude of the liquidity change is greater at the onset of COVID, the duration of the impact is longer during the GFC, resulting in a larger average effect. While trading volume declines during the GFC, it increases during COVID. Our results are robust to alternate liquidity proxies, methodologies and crisis period identification, and generally applicable across stock sectors.
{"title":"Stock market liquidity during crisis periods: Australian evidence","authors":"Lee A. Smales","doi":"10.1111/acfi.13202","DOIUrl":"https://doi.org/10.1111/acfi.13202","url":null,"abstract":"Liquidity is an important characteristic of financial markets, affecting portfolio decisions and priced risk. During periods of market turmoil, such as occurs during financial crisis, investors have an elevated need for cash and so understanding how liquidity differs during those periods is important. We examine how stock market liquidity was impacted by two crises with distinct origins, the global financial crisis (GFC) and the COVID-pandemic. Our sample includes the S&P/ASX200 constituents for the period January 2005–December 2020. We find that the Australian stock market is less liquid during both crisis periods; spreads are wider, depth is lower, and price impact is larger (stock prices move a lot in response to small amounts of volume). Although the magnitude of the liquidity change is greater at the onset of COVID, the duration of the impact is longer during the GFC, resulting in a larger average effect. While trading volume declines during the GFC, it increases during COVID. Our results are robust to alternate liquidity proxies, methodologies and crisis period identification, and generally applicable across stock sectors.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138510813","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 presents evidence that higher stock liquidity makes firms increase tone of press releases. I find that firms with higher stock liquidity have higher tone in press releases, relative to the tone of news initiated by media, than firms with lower stock liquidity. This relation is stronger for firms with greater short-term pressure, that is, with greater transient institutional ownership, greater sensitivity of manager's wealth to stock price, and more analyst coverage. This finding suggests that stock liquidity, by producing short-term pressure on firms, leads firms to boost press release tone.
{"title":"Stock liquidity and tone of press releases","authors":"Rong Gong","doi":"10.1111/acfi.13205","DOIUrl":"https://doi.org/10.1111/acfi.13205","url":null,"abstract":"This paper presents evidence that higher stock liquidity makes firms increase tone of press releases. I find that firms with higher stock liquidity have higher tone in press releases, relative to the tone of news initiated by media, than firms with lower stock liquidity. This relation is stronger for firms with greater short-term pressure, that is, with greater transient institutional ownership, greater sensitivity of manager's wealth to stock price, and more analyst coverage. This finding suggests that stock liquidity, by producing short-term pressure on firms, leads firms to boost press release tone.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138541929","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}
Using a mixed method research design, this study is the first to provide comprehensive evidence of the impacts of Thailand's first implementation of the new audit report with key audit matters (KAMs), which took place in 2016. Survey evidence shows that the new audit report improves the informative value and effectively narrows the deficient-standards and deficient-performance gaps. Nonetheless, financial statement users have made new demands for information that lie beyond auditors' traditional responsibility. Moreover, marginally significant evidence from archival data shows that although the disclosure of KAMs increases audit fees and audit delays, it improves audit quality. However, the market does not value KAMs.
{"title":"The new audit report with key audit matters: Lessons from Thailand's first implementation","authors":"Weerapong Kitiwong, Erboon Ekasingh, Naruanard Sarapaivanich","doi":"10.1111/acfi.13199","DOIUrl":"https://doi.org/10.1111/acfi.13199","url":null,"abstract":"Using a mixed method research design, this study is the first to provide comprehensive evidence of the impacts of Thailand's first implementation of the new audit report with key audit matters (KAMs), which took place in 2016. Survey evidence shows that the new audit report improves the informative value and effectively narrows the deficient-standards and deficient-performance gaps. Nonetheless, financial statement users have made new demands for information that lie beyond auditors' traditional responsibility. Moreover, marginally significant evidence from archival data shows that although the disclosure of KAMs increases audit fees and audit delays, it improves audit quality. However, the market does not value KAMs.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138510811","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}
Kee-Hong Bae, Yunhao Dai, Weiqiang Tan, Wenming Wang
The high costs of disclosing confidential information lead firms with proprietary information to prefer private debt (bank loan) to public debt (corporate bond). We provide empirical evidence supporting this proposition using the staggered adoption of the inevitable disclosure doctrine (IDD) by US state courts that exogenously increased the value of proprietary information. The focal firms are significantly less likely to issue bonds after the IDD adoption. Financing through public debt decreases more for firms in which the protection of proprietary information is relatively more important.
{"title":"Proprietary information and the choice between public and private debt","authors":"Kee-Hong Bae, Yunhao Dai, Weiqiang Tan, Wenming Wang","doi":"10.1111/acfi.13197","DOIUrl":"https://doi.org/10.1111/acfi.13197","url":null,"abstract":"The high costs of disclosing confidential information lead firms with proprietary information to prefer private debt (bank loan) to public debt (corporate bond). We provide empirical evidence supporting this proposition using the staggered adoption of the inevitable disclosure doctrine (IDD) by US state courts that exogenously increased the value of proprietary information. The focal firms are significantly less likely to issue bonds after the IDD adoption. Financing through public debt decreases more for firms in which the protection of proprietary information is relatively more important.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138510810","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 management accountants' attempts to customise their roles through job crafting behaviour. In a field survey of 284 professional management accountants, we show that role identity conflicts are associated with attempts to narrow/sideline tasks and relationships in order to achieve greater fit. We also identify two key moderators of this behaviour, namely job discretion and business involvement. Our findings contribute to discussions on how and why accountants self-initiate changes to their roles and the boundary factors that shape these actions. In doing so, we challenge current perspectives on business partnering by exposing a dark side of high business involvement.
{"title":"I'd do anything, but I won't do that: Job crafting in the management accounting profession","authors":"Kate E. Horton, Claudio de Araujo Wanderley","doi":"10.1111/acfi.13198","DOIUrl":"https://doi.org/10.1111/acfi.13198","url":null,"abstract":"We examine management accountants' attempts to customise their roles through job crafting behaviour. In a field survey of 284 professional management accountants, we show that role identity conflicts are associated with attempts to narrow/sideline tasks and relationships in order to achieve greater fit. We also identify two key moderators of this behaviour, namely job discretion and business involvement. Our findings contribute to discussions on how and why accountants self-initiate changes to their roles and the boundary factors that shape these actions. In doing so, we challenge current perspectives on business partnering by exposing a dark side of high business involvement.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138510815","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 association of Bitcoin, and other cryptocurrency, returns with changes in inflation expectations, and form a comparison with gold, a traditional inflation hedge. We control for uncertainty in economic policy, cryptocurrency, and financial markets, and show that cryptocurrency returns are positively related to changes in US inflation expectations only for a limited set of circumstances. Unlike with gold, the identified relationship is only significant for short-term inflation expectations, and when inflation or market-implied inflation expectations are below 2% (the Fed's inflation target). Moreover, cryptocurrency returns tend to be lower on days with monthly consumer price index (CPI) announcements and respond negatively to CPI surprises. Our results suggest that cryptocurrencies do not currently offer investors a viable alternative to gold for hedging inflation.
{"title":"Cryptocurrency as an alternative inflation hedge?","authors":"L. A. Smales","doi":"10.1111/acfi.13193","DOIUrl":"https://doi.org/10.1111/acfi.13193","url":null,"abstract":"We examine the association of Bitcoin, and other cryptocurrency, returns with changes in inflation expectations, and form a comparison with gold, a traditional inflation hedge. We control for uncertainty in economic policy, cryptocurrency, and financial markets, and show that cryptocurrency returns are positively related to changes in US inflation expectations only for a limited set of circumstances. Unlike with gold, the identified relationship is only significant for short-term inflation expectations, and when inflation or market-implied inflation expectations are below 2% (the Fed's inflation target). Moreover, cryptocurrency returns tend to be lower on days with monthly consumer price index (CPI) announcements and respond negatively to CPI surprises. Our results suggest that cryptocurrencies do not currently offer investors a viable alternative to gold for hedging inflation.","PeriodicalId":501109,"journal":{"name":"Accounting & Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138541962","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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