Baruch College Zicklin School of Business Research Paper Series最新文献

{"title":"Audit Partner Identification, Assignment, and the Labor Market for Audit Talent","authors":"Mingcherng Deng, Eunhee Kim, Minlei Ye","doi":"10.2139/ssrn.3438826","DOIUrl":"https://doi.org/10.2139/ssrn.3438826","url":null,"abstract":"Conventional wisdom suggests that partner identification disclosure can improve audit quality, because it may enhance transparency and individual accountability. Building on a two-period assignment model, we show that under certain conditions, the disclosure can distort partner client assignment because the disclosure can inform the labor market for audit talent. In a decentralized assignment regime in which partners directly bid for clients, we find that the disclosure may give rise to low-balling in the first-period, because partners aggressively lower the audit fees to maximize their career advancement. In a centralized assignment regime in which an audit firm assigns partners to clients, audit firms may distort the assignment in order to dampen partners' career advancement. We also find that in the presence of mandatory partner identification, the optimal partner-client assignment regime depends on the distribution of partners' reputations within an audit firm. Overall, our findings identify unintended consequences of audit partner identification disclosure and provide economic reasons for the mixed empirical findings.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125861232","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}

{"title":"Dynamic Optimality of Airline Fuel Cost Hedging","authors":"Xiaolu Hu, M. Sy, Liuren Wu","doi":"10.2139/ssrn.3488128","DOIUrl":"https://doi.org/10.2139/ssrn.3488128","url":null,"abstract":"Hedging creates value only when the policy is near optimal but can be harmful otherwise. This paper takes the US airline industry as an example and derives the optimal fuel cost hedging ratio as a function of firm-specific revenue and cost sensitivities, as well as the relative composition of demand and supply shocks in the oil price movement. We construct a market hedging demand index based on rolling-window regression of crude futures returns on equity index returns and use the index to capture the time-variation in the fuel cost hedging demand for a typical airline. By regressing the logarithm of Tobin's Q against the hedging ratio under different market conditions, we show that fuel cost hedging increases firm value only when the market hedging demand is high. More important, we use the time-series correlation between an airline's hedging ratio and the market hedging demand to measure the dynamic optimality of the airline's fuel hedging practice. Out of the 33 US airlines in our sample over a 25-year period, one third do not hedge at all, while the hedging ratios for more than another one third move in the opposite direction of the market hedging demand. Only less than one third of airlines show positive dynamic optimality for their hedging practice. The cross-sectional diversity of the optimality estimates highlights the inherent difficulty of implementing an optimal policy. Still, we find strong value in staying dynamically optimal in an airline's fuel cost hedging practice: The dynamic optimality of each airline's hedging practice strongly and positively predicts its valuation as measured by the logarithm of its Tobin's Q. The value increase comes from both reduced variation in its return on asset and increased average return. Airlines with negative hedging dynamic optimality not only are ineffective in reducing their return on asset variation, but also incur extra costs from setting up and maintaining a costly hedging program and from entering and exiting hedging positions. Such extra costs lower the airlines' average return and hurt their valuation. As a result, their average Tobin's Q is even lower than the average for airlines that do not hedge at all.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115678827","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}

{"title":"Investor Attention and Asset Pricing Anomalies","authors":"Lei Jiang, Jinyu Liu, Lin Peng, Baolian Wang","doi":"10.2139/ssrn.3437527","DOIUrl":"https://doi.org/10.2139/ssrn.3437527","url":null,"abstract":"We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of stock prices generates exogenous attention variation. An analysis of order imbalances shows that large traders trade on anomaly signals more aggressively upon observing high attention. The evidence suggests that arbitrageurs may use high attention as a coordination device to trade and profit from mispricing, supporting the theory of arbitrage with synchronization risk of Abreu and Brunnermeier (2002).","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133960429","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}

{"title":"There is No Evidence that Mandatory IFRS Adoption Significantly Decreased IPO Underpricing","authors":"Donal Byard, M. Darrough, Jang-Kwon Suh","doi":"10.2139/ssrn.3453254","DOIUrl":"https://doi.org/10.2139/ssrn.3453254","url":null,"abstract":"A recently published study (Hong, Hung, and Lobo, The Accounting Review 2014) claims to show that, depending on the benchmark sample used, the 2005 mandatory adoption of IFRS is associated with a 38-82% reduction in IPO underpricing. We re-examine this result controlling for the concurrent adoption of the Prospectus Directive (PD), which mandated increased IPO prospectus disclosures, and the enforcement of these disclosures in the member states of the European Union (EU). First, we find that there is a significant data error in Hong et al.’s study that renders their reported results unreliable: approximately 30% of the treatment firms this study categorizes as mandatory IFRS adoptions are not, in fact, subject to a mandate to report in IFRS. These are firms admitted to trading on “exchange-regulated” markets in the EU that do not require IFRS. We use hand-collected prospectus data to identify the correct treatment sample. Our analysis shows that, for affected firms, there is a statistically significant decrease in IPO underpricing associated with adoption of the PD for firms based in countries that also concurrently enhanced accounting enforcement (see Christensen, Hail, and Leuz 2013), but there is no association between mandatory IFRS adoption and IPO underpricing. We also examine voluntary IFRS adoptions by firms admitted to trading on exchange-regulated markets after 2005. Overall we find no evidence that mandatory IFRS adoption resulted in very large economic gains for IPO firms. This study also provides a brief but comprehensive description of much of EU capital markets law.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128783083","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}

{"title":"Audit Retendering and Mandatory Auditor Rotation","authors":"Mingcherng Deng, Jing Li, D. Simunic, Nan Zhou","doi":"10.2139/ssrn.3444676","DOIUrl":"https://doi.org/10.2139/ssrn.3444676","url":null,"abstract":"Building on an auction model, we examine the economic consequences of audit retendering, under which the incumbent auditor in auction possesses both an information advantage and knowledge advantage over outside auditors. Audit retendering allows the firm to retain the incumbent auditor with positive probability, but expect to pay information rent to the incumbent auditor due to his information advantage over outside auditors. In equilibrium, auditor switching (or no switching) under audit retendering conveys additional information to investors, and therefore the informativeness of the audit report under audit retendering is always greater than that under mandatory auditor rotation. We identify conditions under which client firms may benefit from audit retendering. Our findings shed light on the recent European Union Audit Reform, which adopts audit retendering as an alternative to auditor rotation, and have implications to the Public Company Accounting Oversight Board, which are evaluating the proposed mandatory auditor rotation.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128220930","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}

{"title":"Anchoring on Historical High Prices and Seasoned Equity Offerings","authors":"Armen Hovakimian, Huajing Hu","doi":"10.2139/ssrn.2755066","DOIUrl":"https://doi.org/10.2139/ssrn.2755066","url":null,"abstract":"We document that firms’ financing decisions are affected by historical high prices. The ratio of the monthly high price to the 12-month historical high price positively affects the probability of a seasoned equity offering (SEO). Furthermore, the postannouncement market reaction is muted and the offering discount is smaller if the preannouncement stock price is high relative to its historical high price. The results suggest that historical high price reference points may help managers rationally time SEOs to take advantage of market reception and minimize issuance costs.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129441713","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}

{"title":"Global Systemically Important Bank Classification and its Impact on Private Debt Structure","authors":"Daeun Lee","doi":"10.2139/ssrn.3364959","DOIUrl":"https://doi.org/10.2139/ssrn.3364959","url":null,"abstract":"Following the classification of large U.S. financial institutions as Global Systemically Important Banks (G-SIBs), I investigate how they respond to stringent requirements imposed both by the Basel Committee on Banking Supervision (BCBS) and the Financial Stability Board (FSB), mainly on the aspect of bank lending. I find that, compared to the level prior to the designation, G-SIBs tend to demand tighter loan covenants — specifically, the number of financial covenants, prepayment covenants, and dividend restrictions — to combat the uncertainty about the future state. The increase in the number of covenants is more pronounced among G-SIBs that do not satisfy the capitalization level requirements. Loan size bore by each lead lender is reduced in the period following the classification while maturity does not show significant changes, after controlling for bank/borrower characteristics. The evidence suggests that the new regulation leads banks to institute enhanced measures in an effort to better monitor the borrower’s financials in a more comprehensive fashion, as well as secure repayment if applicable.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"117 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132370904","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}

{"title":"Religious Accommodation in the American Workplace: The Consequences of the Supreme Court Decision in EEOC v. Abercrombie & Fitch","authors":"D. Kaminer","doi":"10.1163/22124810-00501002","DOIUrl":"https://doi.org/10.1163/22124810-00501002","url":null,"abstract":"This Article examines how the Abercrombie decision represents a shift in the Supreme Court’s analysis in §701(j) cases, and how as a result of this decision lower courts will likely provide more protection to employees requesting accommodation in these cases. Abercrombie is known primarily for its holding that an employer can be liable for religious discrimination even in cases where the employer does not have “actual knowledge” of an applicant or employee’s need for religious accommodation. However, the Court also held that religious accommodation claims can be raised as disparate treatment claims, explaining that because § 701(j) defines religion to include practice as well as belief, failure to accommodate claims can constitute “intentional discrimination.” In reaching this conclusion, the Supreme Court for the first time emphasized that § 701(j) mandates more than formal equality. This is an important shift since prior to Abercrombie, the federal courts often relied on formal equality in limiting an employer’s accommodation obligation. As a result, employees may now have greater protection of their right to religious accommodation in the workplace.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130908247","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}

{"title":"Do Credit Ratings Incorporate Business Linkages Along the Supply Chain?","authors":"Ronghong Huang, S. Ren","doi":"10.2139/ssrn.2823323","DOIUrl":"https://doi.org/10.2139/ssrn.2823323","url":null,"abstract":"This paper investigates whether credit ratings incorporate business linkages along the supply chain. We first document that a supplier’s bankruptcy risk is significantly associated with its major customer’s bankruptcy risk, thereby leading to a positive association between the credit ratings of the supplier and its major customer. However, the association between a supplier’s and its major customer’s credit rating changes is asymmetric. A supplier’s credit rating change is only positively associated with its major customer’s credit rating change when the customer has experienced a credit rating downgrade, but not when the customer has undergone an upgrade. This asymmetric effect is stronger when the customer-supplier relation lasts for a long time and when the customer is the largest customer of the supplier. We attribute this effect to the asymmetric payoff functions of the creditors, who focus on protecting downside risk rather than generating upside returns. Overall, our paper provides evidence that the customer’s credit worthiness influences the supplier’s credit ratings, suggesting that the debt market can be affected by the product market through the customer-supplier relations.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"120 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129377628","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}

{"title":"Experiments on Compound Risk in Relation to Simple Risk and Ambiguity: Web Appendix","authors":"M. Abdellaoui, Peter Klibanoff, Laetitia Placido","doi":"10.2139/ssrn.2495076","DOIUrl":"https://doi.org/10.2139/ssrn.2495076","url":null,"abstract":"This is the web appendix of the paper \"Experiments on Compound Risk in Relation to Simple Risk and Ambiguity\", forthcoming in Management Science.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128581376","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}