Review of Accounting and Finance最新文献

{"title":"Blockholders and corporate governance: evidence from China’s split-share-structure reform","authors":"Xiaolin Qian, Lewis H. K. Tam","doi":"10.1108/RAF-07-2020-0184","DOIUrl":"https://doi.org/10.1108/RAF-07-2020-0184","url":null,"abstract":"\u0000Purpose\u0000Proper empirical tests of the effect of blockholders’ monitoring incentives on corporate governance are scant in the literature because the relationship between ownership structure and enforcement of corporate governance mechanisms is bidirectional. This study aims to address the endogeneity issue by examining the effect of blockholding on executive turnover–performance sensitivity, using the split-share-structure (SSS) reform in China as an exogenous shock to blockholders’ monitoring incentives.\u0000\u0000\u0000Design/methodology/approach\u0000This study uses a logit model for estimating the change in executive turnover–performance sensitivity around the SSS reform. Sub-sample analysis is conducted to examine whether the impact of SSS reform on the turnover-performance sensitivity is stronger for firms with more contestable blockholders who might consider stock liquidity, risk sharing and diversification in their monitoring/trading decisions.\u0000\u0000\u0000Findings\u0000Top executive turnover, defined as CEO or board chair turnover, becomes less sensitive to firm operating performance after the reform, mainly for firms with contestable blockholders prior to the reform. Stock liquidity and blockholders’ demand for diversification can explain the impact of contestable blockholding. Moreover, blockholding is sensitive to firm operating performance after the reform but not before it.\u0000\u0000\u0000Originality/value\u0000With few exceptions, most studies in the blockholding literature focus on the effect of blockholder monitoring on firm value. Examining an exogenous shock to blockholding, this paper provides a set of new evidence for the impact of blockholding on executive turnover–performance sensitivity. The results call for more evidence of the impact of blockholding on executive turnover from other markets.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42674007","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":"Liquidity risk, transaction costs and financial closedness: lessons from the Iranian and Turkish stock markets","authors":"Sedighe Alizadeh, Mohammad Nabi Shahiki Tash, Johannes K. Dreyer","doi":"10.1108/RAF-04-2020-0102","DOIUrl":"https://doi.org/10.1108/RAF-04-2020-0102","url":null,"abstract":"\u0000Purpose\u0000This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under a financial embargo and compare the results with those of an important neighboring market, namely, Turkey.\u0000\u0000\u0000Design/methodology/approach\u0000This study follows Liu et al. (2016) and incorporates liquidity risk and transaction costs into the traditional consumption-based asset-pricing model (CCAPM) from 2009 to 2017. Effective transaction costs are estimated a la Hasbrouck (2009) and liquidity risk according to eight different criteria.\u0000\u0000\u0000Findings\u0000According to the results, both liquidity risk and transaction costs are higher in Iran, possibly due to the financial embargo. Thus, relative to Turkey, this paper should expect a higher increase in the CCAPM pricing performance in Iran when accounting for these two variables. The results are in line with this expectation and indicate that adjusting the CCAPM significantly increases its pricing performance in both countries, but relatively more in Iran.\u0000\u0000\u0000Originality/value\u0000This study compares liquidity risk and transaction costs in an economy under the extreme case of a financial embargo to an open yet in other important aspects similar economy from the same region.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46988636","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":"Accounting downside risk measures and credit spreads","authors":"Pervaiz Alam","doi":"10.1108/RAF-08-2020-0244","DOIUrl":"https://doi.org/10.1108/RAF-08-2020-0244","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the association between predictive accounting downside risk measures and changes in credit spreads. Building upon the earnings downside risk (EDR) measure developed in prior literature, this paper introduces cash flow downside risk (CFDR).\u0000\u0000\u0000Design/methodology/approach\u0000This study modifies an existing empirical framework (root lower partial moment) to calculate CFDR and applies it to a sample of firms between 2002 and 2013 for which credit default swap data are available.\u0000\u0000\u0000Findings\u0000After validating the measure, this study identifies a positive association between CFDR and changes in credit spreads. This paper further shows the association between CFDR and credit spread changes is stronger than that between EDR and credit spread changes. Financial stability moderates the relationship between CFDR and credit spreads.\u0000\u0000\u0000Originality/value\u0000This study proposes a novel measure of accounting downside risk, CFDR and demonstrates a negative association between this measure and future cash flow and a positive association between this measure and future credit spreads.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45204592","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":"Long-term performance following share repurchase, signaling costs and accounting transparency: Korean evidence","authors":"K. Kim, Yun W. Park","doi":"10.1108/RAF-07-2020-0191","DOIUrl":"https://doi.org/10.1108/RAF-07-2020-0191","url":null,"abstract":"\u0000Purpose\u0000Existing studies show that firms may have an incentive to use share repurchases opportunistically, thereby taking advantage of market participants’ confirmation bias that share repurchase is a signal of undervaluation. This study aims to investigate whether signaling costs and accounting transparency can serve as tools to identify opportunistic share repurchases.\u0000\u0000\u0000Design/methodology/approach\u0000The authors measure signaling costs by using two share repurchase methods (direct and indirect share repurchase) with different share repurchase costs, and measure accounting transparency using the history of earnings timeliness. The authors further measure long-term performance following share repurchases using operating performance and stock returns. Lastly, the authors compare the long-term performances between the groups defined by share repurchase method and earnings timeliness level.\u0000\u0000\u0000Findings\u0000The authors find that indirect share repurchase firms with a history of poor earnings timeliness experience unfavorable long-term performance, while other share repurchase firms do not. This finding reinforces the view that some share repurchases may be driven by managerial opportunism. In particular, when firms with a history of poor earnings-reporting behavior choose a low-cost repurchase method, their share repurchases may be motivated by managerial opportunism.\u0000\u0000\u0000Originality/value\u0000The findings suggest that past earnings timeliness and the signaling costs of a repurchase together are useful predictors of false signaling. Moreover, they suggest that investors can – at least in part – predict opportunistic share repurchases by using signaling costs and accounting transparency.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46321707","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":"Does corporate political party ideology matter? Evidence from bank loan contracts","authors":"H. Na","doi":"10.1108/RAF-04-2020-0105","DOIUrl":"https://doi.org/10.1108/RAF-04-2020-0105","url":null,"abstract":"\u0000Purpose\u0000This paper aims to examine how a firm’s political party orientation (Republican or Democratic), which is measured as the composite index based on the political party leanings of top managers, affects bank loan contracts. This study also investigates how the political culture of local states has a significant impact on loan contracts.\u0000\u0000\u0000Design/methodology/approach\u0000This research uses various databases including the Loan Pricing Corporation’s DealScan database, financial covenant violation indicators based on the Securities and Exchange Commission (SEC) filings, firm bankruptcy filings and political culture index data to examine the impact of political orientation on the cost of debt. This paper also includes the state level of gun ownership and bachelor’s degrees to investigate how local political culture affects the loan contract. To control endogenous concerns, this paper uses an instrumental variable analysis.\u0000\u0000\u0000Findings\u0000Firms that have Republican-oriented political identities pay lower yield spreads for the main costs of debt including all-in-spread-drawn and all-in-spread-undrawn. This pattern is consistent with other fees of bank loans. This paper finds that an increase in conservative political policies toward Republican orientations is negatively associated with the cost of debt. The main findings also show that the political culture in the state where the headquarters of the borrowing firm are located plays an important role in bank loan contracts.\u0000\u0000\u0000Originality/value\u0000The findings in this paper provide evidence that a firm’s political party orientation significantly affects the loan contract terms in both pricing and non-pricing terms. To the best of the author’s knowledge, this is the first study that shows the importance of political party identification on loan contracts by separating the sample into Republican, neutral and Democratic.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43242279","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":"Agency costs in the market for corporate control: evidence from UK takeovers","authors":"E. Jones, Bing Xu, Konstantin Kamp","doi":"10.1108/RAF-04-2020-0083","DOIUrl":"https://doi.org/10.1108/RAF-04-2020-0083","url":null,"abstract":"Purpose: This paper examines whether agency costs predict disciplinary takeover likelihood for UK listed companies between 1986 and 2015. Design/Methodology/Approach: Using survival analysis, our approach is to identify candidates for disciplinary takeover on the basis of Tobin’s Q (TQ), which is consistent with the approach advocated by Manne (1965). We then examine how indicators of agency costs affect takeover likelihood within the set of disciplinary candidates. Findings: We provide evidence of the effectiveness of Tobin’s Q, rather than excess return, in identifying disciplinary takeover candidates. Takeover hazard for disciplinary candidates is higher for companies with higher levels of asset utilization and sales growth in particular. Companies with stronger agency problems are relatively less susceptible to disciplinary takeover. Practical Implications: Given the UK context of our study, where anti-takeover provisions are disallowed, and when compared to findings of US studies, our results imply some support for the effectiveness of an open merger policy. Originality/Value: While the connection between takeover likelihood and the market for corporate control has been made in previous studies, our study adopts a more explicit agency theory framework than previous studies of takeover likelihood. A key component of our contribution follows from differentiating candidates for disciplinary takeovers from other forms of M&A.","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46714174","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":"Higher moments and US industry returns: realized skewness and kurtosis","authors":"Xiaoyu Chen, Bin Li, A. Worthington","doi":"10.1108/RAF-06-2020-0171","DOIUrl":"https://doi.org/10.1108/RAF-06-2020-0171","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to examine the relationships between the higher moments of returns (realized skewness and kurtosis) and subsequent returns at the industry level, with a focus on both empirical predictability and practical application via trading strategies.\u0000\u0000\u0000Design/methodology/approach\u0000Daily returns for 48 US industries over the period 1970–2019 from Kenneth French’s data library are used to calculate the higher moments and to construct short- and medium-term single-sort trading strategies. The analysis adjusts returns for common risk factors (market, size, value, investment, profitability and illiquidity) to confirm whether conventional asset pricing models can capture these relationships.\u0000\u0000\u0000Findings\u0000Past skewness positively relates to subsequent industry returns and this relationship is unexplained by common risk factors. There is also a time-varying effect in which the predictive role of skewness is much stronger over business cycle expansions than recessions, a result consistent with varying investor optimism. However, there is no significant relationship between kurtosis and subsequent industry returns. The analysis confirms robustness using both value- and equal-weighted returns.\u0000\u0000\u0000Research limitations/implications\u0000The calculation of realized moments conventionally uses high-frequency intra-day data, regrettably unavailable for industries. In addition, the chosen portfolio-sorting method may omit some information, as it compares only average group returns. Nonetheless, the close relationship between skewness and future returns at the industry level suggests variations in returns unexplained by common risk factors. This enriches knowledge of market anomalies and questions yet again weak-form market efficiency and the validity of conventional asset pricing models. One suggestion is that it is possible to significantly improve the existing multi-factor asset pricing models by including industry skewness as a risk factor.\u0000\u0000\u0000Practical implications\u0000Given the relationship between skewness and future returns at the industry level, investors may predict subsequent industry returns to select better-performing funds. They may even construct trading strategies based on return distributions that would generate abnormal returns. Further, as the evaluation of individual stocks also contains industry information, and stocks in industries with better performance earn higher returns, risks related to industry return distributions can also shed light on individual stock picking.\u0000\u0000\u0000Originality/value\u0000While there is abundant evidence of the relationships between higher moments and future returns at the firm level, there is little at the industry level. Further, by testing whether there is time variation in the relationship between industry higher moments and future returns, the paper yields novel evidence concerning the asymmetric effect of stock return predictability over business cycles. Finally, the analysis supplements firm-level resul","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47776701","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":"Financial performance following discontinued operations","authors":"Binod Guragai, P. Hutchison","doi":"10.1108/raf-10-2019-0224","DOIUrl":"https://doi.org/10.1108/raf-10-2019-0224","url":null,"abstract":"\u0000Purpose\u0000Prior literature provides empirical evidence that financial performance improves for core remaining operations after a firm discontinues some of their operations. This study aims to examine whether the association between discontinued operations and future financial performance improvement is affected by a regulatory rule (i.e. Statement of Financial Accounting Standards 144 [SFAS 144]) that significantly altered the reporting requirements of discontinued operations. This study also examines whether the association is dependent on the profitability of the operations discontinued.\u0000\u0000\u0000Design/methodology/approach\u0000Ordinary least square regressions are used to test the association between discontinued operations and financial performance improvement, conditional on the profitability of operations discontinued in the pre-SFAS 144 and SFAS 144 regulatory regimes. Data on profitability of operations discontinued is hand-collected.\u0000\u0000\u0000Findings\u0000Results suggest that firms experience improvement in financial performance following the reporting of discontinued operations in the pre-SFAS 144 era. Using hand-collected data on the profitability of operations discontinued, this research study also shows that improvement in performance is stronger for firms that discontinue loss operations compared to those that discontinue profitable operations.\u0000\u0000\u0000Originality/value\u0000This study explores the impact of regulatory change on the association between discontinued operations and future performance. Furthermore, unique hand-collected data is used to understand whether financial performance improvement is conditional on the profitability of the operations discontinued. Results documented in this paper should be of interest to investors, regulators and analysts in understanding the long-term strategic implications of discontinued operations.\u0000","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/raf-10-2019-0224","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47842561","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":"Optimal currency hedge and the carry trade","authors":"Fabio Filipozzi, Kersti Harkmann","doi":"10.1108/raf-10-2018-0219","DOIUrl":"https://doi.org/10.1108/raf-10-2018-0219","url":null,"abstract":"This paper aims to investigate the efficiency of different hedging strategies for an investor holding a portfolio of foreign currency bonds.,The simplest strategies of no hedge and fully hedged are compared with the more sophisticated strategies of the ordinary least squares (OLS) approach and the optimal hedge ratios found by the dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity approach.,The sophisticated hedging strategies are found to be superior to the simple strategies because they lower the portfolio risk in domestic currency terms and improve the Sharpe ratios for multi-asset portfolios. The analyses also show that both the OLS and dynamic hedging strategies imply holding a limited carry position by being long in high-yielding currencies but short in low-yielding currencies.,The performance of multi-currency portfolios is examined using more realistic assumptions than in the previous literature, including a weekly frequency and a constraint of no short selling. Furthermore, carry trades are shown to be part of an optimal portfolio.","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2020-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/raf-10-2018-0219","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46853622","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":"Firm location and systematic risk: the real estate channel","authors":"Xiang Gao, John C. Topuz","doi":"10.1108/raf-05-2019-0109","DOIUrl":"https://doi.org/10.1108/raf-05-2019-0109","url":null,"abstract":"Purpose - This paper aims to investigate whether the cyclicality of local real estate prices affects the systematic risk of local firms using a geography-based measure of land availability as a quasi-exogenous proxy for real estate price cyclicality. Design/methodology/approach - This paper uses the geography-based land availability measure as a proxy for the procyclicality of real estate prices and the location of a firm’s headquarters as a proxy for the location of its real estate assets. Four-factor asset pricing model (market, size, value and momentum factors) is used to examine whether firms headquartered in more land-constrained metropolitan statistical areas have higher systematic risks. Findings - The results show that real estate prices are more procyclical in areas with lower land availability and firms headquartered in these areas have higher systematic risk. This effect is more pronounced for firms with higher real estate holdings as a ratio of their tangible assets. Moreover, there are no abnormal returns to trading strategies based on land availability, consistent with stock market betas reflecting this local real estate factor. Research limitations/implications - This paper contributes to the literature on local asset pricing factors, the collateral role of firms’ real estate holdings and the co-movement of security prices of geographically close firms. Practical implications - This paper has important managerial implications by showing that, when firms decide on the location of their buildings (e.g. headquarters building, manufacturing plant and retail outlet), the location’s influence on systematic risk should be part of the decision-making process. Originality/value - This paper is among the first to use a geography-based measure of land availability to study whether the procyclicality of local real estate prices influences firm risk independent of the procyclicality of the local economy. Thus, both the portfolio formed and firm-level analyses provide a more direct evidence of the positive relation between the procyclicality of local real estate prices and firm risk.","PeriodicalId":21152,"journal":{"name":"Review of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2020-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/raf-05-2019-0109","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42291678","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}