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Order Submission: The Choice between Limit and Market Orders 订单提交:在限价和市价订单之间的选择
Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive) Pub Date : 2003-11-27 DOI: 10.2139/ssrn.488168
Ingrid Lo, S. Sapp
{"title":"Order Submission: The Choice between Limit and Market Orders","authors":"Ingrid Lo, S. Sapp","doi":"10.2139/ssrn.488168","DOIUrl":"https://doi.org/10.2139/ssrn.488168","url":null,"abstract":"Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. The authors empirically investigate how the time between order submissions, changes in the state of the order book, and price uncertainty influence the rate of submission of limit and market orders. The authors measure the expected time (duration) between the submissions of orders of each type using an asymmetric autoregressive conditional duration model. They find that the execution of market orders, as well as changes in the level of price uncertainty and market depth, impact the submissions of both best limit orders and market orders. After correcting for these factors, the authors also find differences in behaviour around market openings, closings, and unexpected events that may be related to changes in information flows at these times. In general, traders use more market (limit) orders at times when execution risk for limit orders is highest or the risk of unexpected price movements is highest.","PeriodicalId":305088,"journal":{"name":"Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125152395","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: 27
Diversification and the Accounting for New Projects on or Off the Balance Sheet 资产负债表内或表外新项目的多元化和会计
Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive) Pub Date : 2003-10-02 DOI: 10.2139/ssrn.488004
S. Sivaramakrishnan, Lynda Thoman
{"title":"Diversification and the Accounting for New Projects on or Off the Balance Sheet","authors":"S. Sivaramakrishnan, Lynda Thoman","doi":"10.2139/ssrn.488004","DOIUrl":"https://doi.org/10.2139/ssrn.488004","url":null,"abstract":"A debt financing transaction that is structured to avoid explicit liability recognition is known as off-balance sheet financing (OBSF). Purported benefits from OBSF include raising cheaper debt by guaranteeing debt repayments unencumbered by current debt contracts, maintaining desired debt-to-capitalization ratios, preserving credit ratings and future borrowing capacity, funding projects beyond approved capital budgets. Despite its appeal, many firms choose conventional financing (balance sheet financing or BSF). We demonstrate that allowing firms the choice between OBSF and BSF can play a positive informational role, notwithstanding the argument that permitting this choice compromises the representational faithfulness of the balance sheet. In the context of raising funds for a new project, we derive an equilibrium in which the firms divide themselves between OBSF and BSF in a manner that provides useful information for valuing the firms' stock prices. Consistent with anecdotal evidence we demonstrate riskier firms use OBSF and the projects financed are the riskier projects.","PeriodicalId":305088,"journal":{"name":"Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130306401","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
Evaluating Government Bond Fund Performance with Stochastic Discount Factors 用随机折现因子评价国债基金绩效
Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive) Pub Date : 2003-09-10 DOI: 10.2139/ssrn.488165
W. Ferson, Tyler R. Henry, Darren J. Kisgen
{"title":"Evaluating Government Bond Fund Performance with Stochastic Discount Factors","authors":"W. Ferson, Tyler R. Henry, Darren J. Kisgen","doi":"10.2139/ssrn.488165","DOIUrl":"https://doi.org/10.2139/ssrn.488165","url":null,"abstract":"This article shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. These models imply empirical factors that include time averages of the underlying state variables. The approach addresses a performance measurement bias, described by Goetzmann, Ingersoll, and Ivkovic (2000) and Ferson and Khang (2002), arising because fund managers may trade within the return measurement interval or hold positions in replicable options. The empirical factors contribute explanatory power in factor model regressions and reduce model pricing errors. We illustrate the approach on US government bond funds during 1986--2000. Copyright 2006, Oxford University Press.","PeriodicalId":305088,"journal":{"name":"Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123757055","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: 129
Do Analyst Earnings Forecasts Allow for Accounting Conservatism? 分析师盈利预测是否允许会计保守主义？
Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive) Pub Date : 2003-09-01 DOI: 10.2139/ssrn.488173
Jinhan Pae, Daniel B. Thornton
{"title":"Do Analyst Earnings Forecasts Allow for Accounting Conservatism?","authors":"Jinhan Pae, Daniel B. Thornton","doi":"10.2139/ssrn.488173","DOIUrl":"https://doi.org/10.2139/ssrn.488173","url":null,"abstract":"Recent studies show that accounting earnings are conservative, i.e., earnings tend to reflect bad news (negative stock returns) on a timelier basis than good news (positive stock returns) (Basu, 1997); moreover, the degree of conservatism is negatively associated with the price-to-book (P/B) ratio (Pae et al., 2003). If analysts correctly allowed for conservatism and its documented association with the P/B ratio, differences in earnings conservatism would be unassociated with analysts' forecast error. In contrast, we find that average yearend forecast error differs between good news and bad news firms, and between high and low P/B firms. We conclude that analysts' earnings forecasts do not fully incorporate the implications of earnings conservatism. We also find that forecast dispersion is greater for bad news than good news firms, and greater for low than high P/B firms, consistent with the hypothesis that accruals used to accelerate the recognition of bad news spawn disagreement about forthcoming earnings.","PeriodicalId":305088,"journal":{"name":"Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive)","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127574053","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: 5
Discretionary Disclosures Over Time 随时间变化的酌情披露
Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive) Pub Date : 2002-12-01 DOI: 10.2139/ssrn.487984
T. Cosimano, B. Jorgensen, Ramachandran Ramanan
{"title":"Discretionary Disclosures Over Time","authors":"T. Cosimano, B. Jorgensen, Ramachandran Ramanan","doi":"10.2139/ssrn.487984","DOIUrl":"https://doi.org/10.2139/ssrn.487984","url":null,"abstract":"We examine a dynamic experimentation problem in which managers make a binary choice that influences the information available to investors. We model a manager's multi-period problem of discretionary disclosures of the persistent component of earnings, when disclosure of current earnings is mandatory. We establish that there exists a partial disclosure equilibrium characterized by a disclosure threshold, such that disclosures arise if and only if the information is above the threshold. This disclosure threshold is increasing in the mean and decreasing in the variance of earnings. Further, the threshold can either increase or decrease over time.","PeriodicalId":305088,"journal":{"name":"Fourteenth Annual Financial Economics & Accounting (FEA) Conference (Archive)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122811377","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
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