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The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Management? 卖空的无形之手:卖空约束盈余管理吗?
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2014-10-09 DOI: 10.2139/ssrn.2124464
M. Massa, Bohui Zhang, H. Zhang
{"title":"The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Management?","authors":"M. Massa, Bohui Zhang, H. Zhang","doi":"10.2139/ssrn.2124464","DOIUrl":"https://doi.org/10.2139/ssrn.2124464","url":null,"abstract":"We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings management. Our findings suggest that short selling functions as an external governance mechanism to discipline managers.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"209 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133418266","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: 226
Anticipating Long-Term Stock Market Volatility 预测长期股市波动
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2014-04-23 DOI: 10.2139/ssrn.2154882
Christian Conrad, Karin Loch
{"title":"Anticipating Long-Term Stock Market Volatility","authors":"Christian Conrad, Karin Loch","doi":"10.2139/ssrn.2154882","DOIUrl":"https://doi.org/10.2139/ssrn.2154882","url":null,"abstract":"We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data from the Survey of Professional Forecasters regarding the future development are most informative. Our results suggest that macro variables carry information on stock market risk beyond that contained in lagged realized volatilities, in particular when it comes to long-term forecasting.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127583943","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: 89
Information Asymmetry, Information Attributes and Industry Sector Returns 信息不对称、信息属性与产业部门收益
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2013-03-24 DOI: 10.2139/ssrn.2131097
Narelle K. Gordon, E. Watts, Qiongbing Wu
{"title":"Information Asymmetry, Information Attributes and Industry Sector Returns","authors":"Narelle K. Gordon, E. Watts, Qiongbing Wu","doi":"10.2139/ssrn.2131097","DOIUrl":"https://doi.org/10.2139/ssrn.2131097","url":null,"abstract":"We examine whether the probability of informed trading (‘PIN’) is a determinant of stock returns in Australia, an alternative market with considerably different information attributes to the U.S. Uniquely, we contrast PIN’s price effect for the country’s historically dichotomous sectors, resources and industrials. Using data for the period from 1996 to 2010, we find a significantly positive relationship between PIN and expected returns among industrials sector stocks, providing evidence in support of Easley and O’Hara (2004). We observe no PIN premium among resources sector stocks and among those with no record of operating revenues, both notable for their speculative nature and uncertainty about true asset values. Our results are consistent with previous empirical evidence that documents strong investor behavioural biases in valuing extremely uncertain stocks or hard-to-value stocks (Kumar, 2009). Our findings shed light on the existing mixed evidence that a strong PIN premium exists in NYSE and AMEX but not in NASDAQ where high-tech stocks are prevalent, and suggest that caution is needed when applying PIN in the pricing of highly speculative stocks.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129585110","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: 0
The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds 经济环境下债券市场流动性的期限结构——以政府担保债券为例
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2013-03-06 DOI: 10.2139/ssrn.2033170
Philipp B. Schuster, M. Uhrig-Homburg
{"title":"The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds","authors":"Philipp B. Schuster, M. Uhrig-Homburg","doi":"10.2139/ssrn.2033170","DOIUrl":"https://doi.org/10.2139/ssrn.2033170","url":null,"abstract":"We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short-term maturities. Moreover, their reaction to changes in fundamentals is only significant during crises: premiums of all maturities depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"184 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129195949","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: 30
Exchange Traded Funds, Liquidity, and Market Volatility 交易所交易基金，流动性和市场波动
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2013-01-11 DOI: 10.2139/ssrn.2153903
Timothy A. Krause, Sina Ehsani, D. Lien
{"title":"Exchange Traded Funds, Liquidity, and Market Volatility","authors":"Timothy A. Krause, Sina Ehsani, D. Lien","doi":"10.2139/ssrn.2153903","DOIUrl":"https://doi.org/10.2139/ssrn.2153903","url":null,"abstract":"Given the exponential growth in ETF trading over the past decade, we consider the proposition that trading in ETFs transmits volatility to their largest component stocks and thus to the stock market in general. We find empirical support for this proposition, since volatility spillovers from ETFs to component stocks are significant, as well as increasing in liquidity and the proportion of each stock held by the fund. The results are consistent with a positive volume-volatility relation and trading-based explanations of volatility, and are relevant to market participants and regulators, since ETFs may contribute to stock market volatility via arbitrage activity and the impounding of non-fundamental information.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133949173","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: 16
Active Risk Attribution 主动风险归因
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-10-25 DOI: 10.2139/ssrn.2166714
Andreas Steiner
{"title":"Active Risk Attribution","authors":"Andreas Steiner","doi":"10.2139/ssrn.2166714","DOIUrl":"https://doi.org/10.2139/ssrn.2166714","url":null,"abstract":"We propose an integrated analysis of portfolio performance and active risk by applying the Brinson approach to Tracking Error and active Beta.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124026377","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
An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books 沪深限价单的实证分析
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-10-19 DOI: 10.2139/ssrn.2055179
Huimin Chung, Cheng Gao, Jie Lu, Bruce Mizrach
{"title":"An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books","authors":"Huimin Chung, Cheng Gao, Jie Lu, Bruce Mizrach","doi":"10.2139/ssrn.2055179","DOIUrl":"https://doi.org/10.2139/ssrn.2055179","url":null,"abstract":"This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector autoregressive model of Hasbrouck and extend the model to incorporate other information in the limit order book. We also study the market impact on A shares, B shares and H shares, and analyze how the market impact of stocks varies cross sectionally with market capitalization, tick frequencies, and turnover. Furthermore, we find that market impact is increasing in trade size. Order imbalances predict the next day's returns, with small order imbalances having a negative effect.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"57 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125334871","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: 4
Bank Earnings Management and Tail Risk during the Financial Crisis 金融危机时期银行盈余管理与尾部风险
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-10-05 DOI: 10.2139/SSRN.2064928
L. Cohen, Marcia Millon Cornett, A. Marcus, H. Tehranian
{"title":"Bank Earnings Management and Tail Risk during the Financial Crisis","authors":"L. Cohen, Marcia Millon Cornett, A. Marcus, H. Tehranian","doi":"10.2139/SSRN.2064928","DOIUrl":"https://doi.org/10.2139/SSRN.2064928","url":null,"abstract":"We show that a pattern of earnings management in bank financial statements has little bearing on downside risk during quiet periods, but seems to have a big impact during a financial crisis. Banks demonstrating more aggressive earnings management prior to 2007 exhibit substantially higher stock market risk once the financial crisis begins as measured by the incidence of large weekly stock price “crashes” as well as by the pattern of full‐year returns. Stock price crashes also predict future deterioration in operating performance. Bank regulators may therefore interpret them as early warning signs of impending problems.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124369801","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: 178
Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine 经济政策不确定性与股市表现:来自欧盟、克罗地亚、挪威、俄罗斯、瑞士、土耳其和乌克兰的证据
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-10-04 DOI: 10.2139/ssrn.2094175
V. Sum
{"title":"Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine","authors":"V. Sum","doi":"10.2139/ssrn.2094175","DOIUrl":"https://doi.org/10.2139/ssrn.2094175","url":null,"abstract":"This study investigates the effect of the changes in economic policy uncertainty in Europe on the performance of stock markets in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Based on the analyses of monthly returns on the major stock market indices in these countries from 1993:2 to 2012:4, the results show that the changes in economic policy uncertainty in Europe negatively affect all stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine, and the effect is statistically significant for all countries except Croatia and seven members (Bulgaria, Estonia, Latvia, Lithuania, Malta, Slovakia and Slovenia) of the European Union. The findings provide empirical evidence of the effect of economic policy uncertainty on the stock market performance in Europe. This study provides important implication for equity investment and risk management.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122128883","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: 42
Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation 股票收益-股息率预测方程的时变建模
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-10-04 DOI: 10.2139/ssrn.2156850
D. McMillan
{"title":"Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation","authors":"D. McMillan","doi":"10.2139/ssrn.2156850","DOIUrl":"https://doi.org/10.2139/ssrn.2156850","url":null,"abstract":"Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation is linked to economic and market factors. Furthermore, the strength and nature of those links are themselves time-varying. The inclusion of this time-variation in the predictive equation increases the predictive power compared to the standard constant parameter predictive model. Evidence is also reported for time-varying dividend growth predictability. Long-horizon predictability is also examined with evidence reported that the nature of the factors affecting time-varying predictability changes with horizon. The results here, while directly contributing to the returns predictability debate, in particular regarding its existence and source, may also inform the discussion that links time-varying expected returns (and risk premium) to economic factors.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126712399","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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