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Improving Equity Premium Forecasts by Incorporating Structural Break Uncertainty 通过纳入结构性突破不确定性改善股票溢价预测
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-11-01 DOI: 10.1111/acfi.12240
Jing Tian, Qing Zhou
{"title":"Improving Equity Premium Forecasts by Incorporating Structural Break Uncertainty","authors":"Jing Tian, Qing Zhou","doi":"10.1111/acfi.12240","DOIUrl":"https://doi.org/10.1111/acfi.12240","url":null,"abstract":"This article compares five alternative methods for directly dealing with structural break uncertainty in forecasting the U.S. equity premium using 30 widely used bivariate and multivariate predictive regressions. We find that two recently developed methods – Robust Optimal Weights on Observations and Forecast Combination across Estimation Windows – outperform the conventional rolling window and postbreak estimation methods. This result indicates that very early historical information is beneficial for U.S. equity premium forecasting but should be discounted to incorporate structural break uncertainty.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"1110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116060281","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}
引用次数: 1
Principal Leadership Style and School Performance: Mediating Roles of Risk Management Culture and Management Control Systems Use in Australian Schools 校长领导风格与学校绩效:澳大利亚学校风险管理文化和管理控制系统使用的中介作用
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-10-31 DOI: 10.1111/acfi.12416
Maleen Z. Gong, N. Subramaniam
{"title":"Principal Leadership Style and School Performance: Mediating Roles of Risk Management Culture and Management Control Systems Use in Australian Schools","authors":"Maleen Z. Gong, N. Subramaniam","doi":"10.1111/acfi.12416","DOIUrl":"https://doi.org/10.1111/acfi.12416","url":null,"abstract":"This study examines the mediating role of organisational control features, namely performance-oriented risk management (RM) culture and the use of management control systems (MCS) in the relationship between school principal leadership styles and school performance within Australia. Based on survey responses from 106 Victorian secondary school principals, the study finds that performance-oriented RM culture and enabling use of MCS play important mediating roles in the leadership style and school performance link. The findings also indicate that private schools are more likely to adopt a performance-oriented RM culture than public schools. Our results extend organisational management and accounting literature linking leadership style, organisational controls and organisational performance in a school context. The findings also have implications for school governance policies.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127884780","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}
引用次数: 14
Researcher Perceptions and Choices of Interview Media: The Case of Accounting Research 访谈媒介的研究者感知与选择:以会计研究为例
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-07-13 DOI: 10.1111/acfi.12393
Basil P. Tucker, L. Parker
{"title":"Researcher Perceptions and Choices of Interview Media: The Case of Accounting Research","authors":"Basil P. Tucker, L. Parker","doi":"10.1111/acfi.12393","DOIUrl":"https://doi.org/10.1111/acfi.12393","url":null,"abstract":"This study offers foundational insights into the ways in which perceptions of different interview media—principally, face‐to‐face, telephone and videoconferencing channels of communication—may influence researcher choices and practices. Informed by the reflections of 23 senior accounting researchers, our evidence identifies a duality of practices in the usage of different interviewing media, influenced primarily through the role played by experience, which informs perceptions upon which practices are based. We discuss this duality of practices in terms of information richness theory and channel expansion theory and offer further insights into the factors that influence and shape researchers’ perceptions of the contextual suitability of particular media available to interview‐based accounting research.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123441207","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}
引用次数: 9
The Changing Technological Environment and the Future of Behavioural Research in Accounting 变化的技术环境和会计行为研究的未来
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-06-01 DOI: 10.1111/acfi.12218
V. Arnold
{"title":"The Changing Technological Environment and the Future of Behavioural Research in Accounting","authors":"V. Arnold","doi":"10.1111/acfi.12218","DOIUrl":"https://doi.org/10.1111/acfi.12218","url":null,"abstract":"In an era where the pace of change continues to escalate, behavioural research provides an ongoing avenue for explaining the likely effects of emergent changes on decision†making by providers, users and assurers of accounting information, and for providing ex ante enlightenment for policy†makers. The purpose of this discussion is to identify contemporary changes affecting the accounting environment, discuss the potential impact to individual and organisational decision†making, and explore how behavioural research can be utilised to examine these changes. Specifically, this discussion focuses on the impact that technological changes have had on financial reporting, external auditing and managerial accounting, with an eye towards the potential for these changes to radically alter the future of accounting and auditing research.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134543488","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}
引用次数: 54
Profitability and Investment‐Based Factor Pricing Models 盈利能力和基于投资的要素定价模型
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-06-01 DOI: 10.1111/acfi.12217
B. Elliot, P. Docherty, S. Easton, Doowon Lee
{"title":"Profitability and Investment‐Based Factor Pricing Models","authors":"B. Elliot, P. Docherty, S. Easton, Doowon Lee","doi":"10.1111/acfi.12217","DOIUrl":"https://doi.org/10.1111/acfi.12217","url":null,"abstract":"Ex ante predictors of stock returns must exhibit explanatory power across the feasible set of investments. But empirical results of factor pricing models that incorporate firm investment and profitability cannot explain the apparently high returns of US small stocks with very high investment levels and very low profitability. Whilst these stocks comprise only a small fraction of US data sets, this is not the case across global markets. Using a data set that is concentrated with stocks that exhibit high investment despite low profitability, we demonstrate that such factor models are limited in their explanatory power over these stocks.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130054884","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}
引用次数: 20
Corporate Governance and the Sensitivity of Investments to Cash Flows 公司治理与投资对现金流的敏感性
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-06-01 DOI: 10.1111/acfi.12221
G. S. Bhabra, Parvinder Kaur, Ahn Seoungpil
{"title":"Corporate Governance and the Sensitivity of Investments to Cash Flows","authors":"G. S. Bhabra, Parvinder Kaur, Ahn Seoungpil","doi":"10.1111/acfi.12221","DOIUrl":"https://doi.org/10.1111/acfi.12221","url":null,"abstract":"We find very strong and consistent evidence that investments in Strong†Governance firms (managers not entrenched) are strongly sensitive to availability of internal cash flows while such sensitivity is not different from zero for Weak†Governance firms (entrenched management). We interpret this as evidence in support of Kaplan and Zingales' (1997) contention that sensitivity of investments to cash flows is not an adequate measure of financing constraints. More importantly, our findings are consistent with Kaplan and Zingales’ conjecture that the observed sensitivity of investments to cash flows in firms that do not face financing constraints may be driven by excessive risk aversion of managers.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"2010 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127342387","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}
引用次数: 11
Short Selling, Margin Buying and Stock Return in China Market 中国市场的卖空、融资融券与股票回报
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-06-01 DOI: 10.1111/acfi.12229
Rui Li, Nan Li, Jiahui Li, Chongfeng Wu
{"title":"Short Selling, Margin Buying and Stock Return in China Market","authors":"Rui Li, Nan Li, Jiahui Li, Chongfeng Wu","doi":"10.1111/acfi.12229","DOIUrl":"https://doi.org/10.1111/acfi.12229","url":null,"abstract":"It is well argued that short sellers are informed traders, and short interests predict future stock returns significantly. However, most researches neglect margin buyers, as twin sisters of short sellers, and keep silent about their impact on stock returns. In this article, we demonstrate that margin buyers significantly impact predictive power of conventional short measures. We document that conventional short measures neglecting margin-buying activities, short interest ratio (SIR) and days to cover (DTC) fail to predict stock return unless our analysis is confined to lightly margin bought stocks. We also show that short-margin trading ratio (SMTR), revised short measure with consideration of margin buying, predict stock return more sharply. What is more, we can form profitable portfolios by the new short measure.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130343862","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}
引用次数: 19
Investor Reaction to Accounting Misstatements Under IFRS: Australian Evidence 投资者对国际财务报告准则下会计错报的反应:澳大利亚证据
ARN Wiley-Blackwell Publishers Journals Pub Date : 2018-04-19 DOI: 10.1111/acfi.12395
John Goodwin, Yigit Atilgan, Serif Aziz Simsir, Kamran Ahmed
{"title":"Investor Reaction to Accounting Misstatements Under IFRS: Australian Evidence","authors":"John Goodwin, Yigit Atilgan, Serif Aziz Simsir, Kamran Ahmed","doi":"10.1111/acfi.12395","DOIUrl":"https://doi.org/10.1111/acfi.12395","url":null,"abstract":"We examine the investor reaction to misstatement news for Australian listed firms for the period 2006 to 2013. There are 4.1% of firm years with misstatements and 79% of misstatements are initially disclosed only in the financial statements (stealth misstatements). We find no investor reaction for the average misstatement, reactions of between -2.3% and -2.8% (-1.5% and -1.7%) for misstatements that reduce prior-period earnings or equity (affect revenue), and reactions between -1.3% to -2.7% for nonstealth misstatements. The market reacts more negatively to nonstealth misstatements that reduce prior-period earnings or equity than to stealth ones.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122694708","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}
引用次数: 3
Financial Literacy and Risky Asset Holdings: Evidence from China 金融素养与风险资产持有:来自中国的证据
ARN Wiley-Blackwell Publishers Journals Pub Date : 2017-12-01 DOI: 10.1111/acfi.12329
Li Liao, J. Xiao, Weiqiang Zhang, Congyi Zhou
{"title":"Financial Literacy and Risky Asset Holdings: Evidence from China","authors":"Li Liao, J. Xiao, Weiqiang Zhang, Congyi Zhou","doi":"10.1111/acfi.12329","DOIUrl":"https://doi.org/10.1111/acfi.12329","url":null,"abstract":"Although financial literacy is important for participating in financial markets, the level of financial literacy of Chinese consumers is low compared with those in developed countries. Using data from the 2014 China Survey of Consumer Finances, we examine the relation between financial literacy and the risky asset holding behaviour of Chinese households, in the context of an emerging financial market with a distinct institutional background. The findings reveal that consumers with higher levels of financial literacy are more likely to hold risky financial assets than those with lower levels. The potential impacts are derived mainly from advanced financial literacy.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114610415","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}
引用次数: 56
Fund Volatility Index Using Equity Market State Prices 基于股票市场状态价格的基金波动指数
ARN Wiley-Blackwell Publishers Journals Pub Date : 2017-09-01 DOI: 10.1111/acfi.12177
Michael J. O'Neill, Z. Liu
{"title":"Fund Volatility Index Using Equity Market State Prices","authors":"Michael J. O'Neill, Z. Liu","doi":"10.1111/acfi.12177","DOIUrl":"https://doi.org/10.1111/acfi.12177","url":null,"abstract":"The Fund Volatility Index (FVX) is proposed as a forward measure of volatility with applications in fund hedging and risk management. The method applies equity market state prices to individual fund pay-offs. FVX is validated as a predictor of short-term realised volatility for 30 exchange traded funds. Performance of the method is compared with existing methods using a data set of 14 925 non-traded funds. FVX has lower bias and higher forecast accuracy than existing methods. As a more general measure, it allows for incorporation of terms to capture individual fund skewness and projection of higher moments of returns.","PeriodicalId":134477,"journal":{"name":"ARN Wiley-Blackwell Publishers Journals","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122512836","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}
引用次数: 3
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