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Are Ideas Being Fished Out 创意被捞走了吗
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-23 DOI: 10.2139/ssrn.4188857
L. Kluppel, A. Knott
{"title":"Are Ideas Being Fished Out","authors":"L. Kluppel, A. Knott","doi":"10.2139/ssrn.4188857","DOIUrl":"https://doi.org/10.2139/ssrn.4188857","url":null,"abstract":"This paper examines whether declining research productivity can be explained by fishing out—is the production of new knowledge decreasing in the level of existing knowledge? We estimate the knowledge production function for US firms and find instead that knowledge production is increasing in the knowledge stock. This is reinforced by the observation that maximum research productivity across firms is increasing over time. Given that fishing out appears unable to explain the decline in research productivity, we offer preliminary evidence of contingent factors that might contribute to the decline.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127800724","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
Can Executives Predict How Firm News Affects Stock Price? 高管能否预测公司消息对股价的影响?
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-23 DOI: 10.2139/ssrn.3806033
Darren Bernard, Elsa Maria Juliani, A. Lawrence
{"title":"Can Executives Predict How Firm News Affects Stock Price?","authors":"Darren Bernard, Elsa Maria Juliani, A. Lawrence","doi":"10.2139/ssrn.3806033","DOIUrl":"https://doi.org/10.2139/ssrn.3806033","url":null,"abstract":"More than 650 U.S. public company executives predict the stock price response to their quarterly financial reports and share their prediction after under a nondisclosure agreement. Despite having full knowledge of the reports before their release, executives’ estimates differ from realized returns by roughly 100% of the average absolute one-day response (i.e., 600 to 700 basis points) and are directionally wrong in one-third of cases. We do not find evidence that executives learn from the unexpected price movements; rather, executives profitably trade against the market the greater the prediction error. Greater error also reduces window dressing of financial information.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128019187","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
Play for Time when the Ship Is Threatening to Sink? Voluntary Disclosure Choices under Going Concern Uncertainty 当船快要沉没的时候拖延时间?持续经营不确定性下的自愿披露选择
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-21 DOI: 10.2139/ssrn.3916233
Hrishikesh Desai, Daniel Schaupp
{"title":"Play for Time when the Ship Is Threatening to Sink? Voluntary Disclosure Choices under Going Concern Uncertainty","authors":"Hrishikesh Desai, Daniel Schaupp","doi":"10.2139/ssrn.3916233","DOIUrl":"https://doi.org/10.2139/ssrn.3916233","url":null,"abstract":"Prior research on voluntary disclosures has long debated whether managers tend to withhold bad news. However, these studies have been conducted in settings in which, ex-ante, the trade-off between the potential benefits and the potential costs of withholding information is obscure. In this paper, we study voluntary disclosure choices using a context-rich setting of distressed firms in which potential benefits from withholding news (particularly bad news) are seemingly high, whereas the potential costs are seemingly low. Specifically, we focus on the question of how ‘going concern’ uncertainty affects management earnings forecasts in financially distressed firms. Our results suggest that as financial distress intensifies, there is a lower likelihood and frequency of management earnings forecasts, indicating that managers may be withholding news, particularly bad news, in distressed firm-years. For comparative purposes, we also present results for ‘safe’ firm-years and find that managers have a tendency to disclose bad news as the financial health of the firm worsens.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"41 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131923087","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 Determinants of ESG Ratings: Rater Ownership Matters ESG评级的决定因素:评级机构所有权问题
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-18 DOI: 10.2139/ssrn.3889395
Dragon Yongjun Tang, Jiali Yan, Chelsea Yao
{"title":"The Determinants of ESG Ratings: Rater Ownership Matters","authors":"Dragon Yongjun Tang, Jiali Yan, Chelsea Yao","doi":"10.2139/ssrn.3889395","DOIUrl":"https://doi.org/10.2139/ssrn.3889395","url":null,"abstract":"Ratings on environmental, social, and governance (ESG) are largely obscure but have become widely used by investors. We show that firms held by the same owners as the rater (“sister firms”) receive higher ESG ratings. Exogenously created sister firms through acquisitions reveals causality for the common ownership effect. Sister firms receive higher ratings when the common owners have larger stakes in the ESG rater. Notwithstanding their higher initial ratings, sister firms have worse future ESG outcomes. These findings suggest that the quality of ESG ratings can be undermined by conflicts of interest and have important implication for practitioners and regulators.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129083178","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
Natural Disasters and the Role of Regional Lenders in Economic Recovery 自然灾害和区域贷款机构在经济复苏中的作用
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-17 DOI: 10.2139/ssrn.3882391
Hursit Celil, Seungjoon Oh, S. Selvam
{"title":"Natural Disasters and the Role of Regional Lenders in Economic Recovery","authors":"Hursit Celil, Seungjoon Oh, S. Selvam","doi":"10.2139/ssrn.3882391","DOIUrl":"https://doi.org/10.2139/ssrn.3882391","url":null,"abstract":"We find that Chinese regional state-owned City-Commercial Banks (CCBs) landlocked by their remit to operate within a city respond to natural disasters more effectively by aggressively expanding credit, especially to corporate borrowers. The credit expansion is more remarkable in CCBs with high state ownership and those that are private. However, the additional lending does not sacrifice asset quality. Moreover, using satellite-based city night lights, we find post-disaster cities that experience greater CCB credit expansion enjoy stronger economic recovery. Overall, our findings highlight the critical role played by regional state-owned lenders in economic recovery from increasingly frequent natural disasters.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"53 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116622337","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
Understanding the Asset Growth Anomaly 理解资产增长异常
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-14 DOI: 10.2139/ssrn.3886280
J. O'Donovan
{"title":"Understanding the Asset Growth Anomaly","authors":"J. O'Donovan","doi":"10.2139/ssrn.3886280","DOIUrl":"https://doi.org/10.2139/ssrn.3886280","url":null,"abstract":"Components of balance sheet asset growth driven by earnings management contributed to the asset growth anomaly in the past. These components of balance sheet asset growth are no longer related to returns and this has contributed to the disappearance of the asset growth anomaly. I provide evidence that the Sarbanes-Oxley Act reduced earnings management induced mispricing which I relate to the asset growth anomaly. More broadly, these findings point towards changes in the regulatory environment as a novel driver of equity market anomalies.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123813807","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: 2
Country Risk: Determinants, Measures and Implications - The 2021 Edition 国家风险:决定因素、措施和影响——2021年版
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-05 DOI: 10.2139/ssrn.3879109
A. Damodaran
{"title":"Country Risk: Determinants, Measures and Implications - The 2021 Edition","authors":"A. Damodaran","doi":"10.2139/ssrn.3879109","DOIUrl":"https://doi.org/10.2139/ssrn.3879109","url":null,"abstract":"As companies and investors globalize, we are increasingly faced with estimation questions about the risk associated with this globalization. When investors invest in China Mobile, Infosys or Vale, they may be rewarded with higher returns, but they are also exposed to additional risk. When Siemens and Apple push for growth in Asia and Latin America, they clearly are exposed to the political and economic turmoil that often characterize these markets. In practical terms, how, if at all, should we adjust for this additional risk? We will begin the paper with an overview of overall country risk, its sources and measures. We will continue with a discussion of sovereign default risk and examine sovereign ratings and credit default swaps (CDS) as measures of that risk. We will extend that discussion to look at country risk from the perspective of equity investors, by looking at equity risk premiums for different countries and consequences for valuation. In the fourth section, we argue that a company’s exposure to country risk should not be determined by where it is incorporated and traded. By that measure, neither Coca Cola nor Nestle are exposed to country risk. Exposure to country risk should come from a company’s operations, making country risk a critical component of the valuation of almost every large multinational corporation. In the final section, we will also look at how to move across currencies in valuation and capital budgeting, and how to avoid mismatching errors.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130240168","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: 2
Auditor Style and Common Disclosure Deficiencies: Evidence from SEC Comment Letters 审计师风格与常见披露缺陷:来自SEC意见信的证据
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-01 DOI: 10.2139/ssrn.3368511
Matthew Baugh, Roy Schmardebeck
{"title":"Auditor Style and Common Disclosure Deficiencies: Evidence from SEC Comment Letters","authors":"Matthew Baugh, Roy Schmardebeck","doi":"10.2139/ssrn.3368511","DOIUrl":"https://doi.org/10.2139/ssrn.3368511","url":null,"abstract":"Policies and procedures that centralize decision-making within an audit firm create auditor style effects. Prior research suggests this style increases financial statement comparability, implicitly making financial statements more useful. However, a potential hazard of auditor style is the propagation of decision errors. We examine the association between auditor style and common disclosure deficiencies among audit clients. We measure auditor style as the presence of a common auditor and use disclosure issues identified through the SEC’s filing review process to measure the occurrence of common disclosure deficiencies. We find that auditor style is associated with common disclosure deficiencies among Big 4 clientele. We also find that clients with the same auditor converge in deficiencies as tenure increases and some evidence that clients assume the deficiencies of a subsequent auditor. These results provide the first evidence that auditor style has potential costs in the form of common disclosure deficiencies.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134370675","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
Foreign bias in institutional portfolio allocation: The role of social trust 机构投资组合配置中的外国偏见:社会信任的作用
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-06-07 DOI: 10.2139/ssrn.3651533
W. Drobetz, Marwin Mönkemeyer, Ignacio Requejo, H. Schröder
{"title":"Foreign bias in institutional portfolio allocation: The role of social trust","authors":"W. Drobetz, Marwin Mönkemeyer, Ignacio Requejo, H. Schröder","doi":"10.2139/ssrn.3651533","DOIUrl":"https://doi.org/10.2139/ssrn.3651533","url":null,"abstract":"We study the effects of social trust on international asset allocation. Using a comprehensive international sample of institutionally managed portfolios from 86 countries, we show that institutional investors from high-trust countries are less prone to foreign bias and exhibit superior cross-country diversification. The results suggest that the informal institution of social trust and formal institutions are substitutes in international portfolio decisions. Using events of exogenous variation in information asymmetry, we find support for an informationbased explanation. Our findings also have implications at the firm level, where we observe a lower cost of equity for firms with more trusting investors.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129354332","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
The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions 并购中信用、流动性和展期风险对债券持有人财富的影响
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-06-04 DOI: 10.2139/ssrn.3859921
Rainer Jankowitsch, Florian Pauer
{"title":"The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions","authors":"Rainer Jankowitsch, Florian Pauer","doi":"10.2139/ssrn.3859921","DOIUrl":"https://doi.org/10.2139/ssrn.3859921","url":null,"abstract":"We analyze M&A announcements and focus on the potential impact of these deals on bond prices in the US corporate bond market. In particular, we investigate the effect of changes in credit, liquidity and rollover risk. This is important, as especially target firms are often small with rather illiquid bonds and show maturity concentrations. M&A transactions can significantly change the debt maturity structure and liquidity risk of these bonds. We find the size of the average announcement return of target bonds is 40 bp and increases by around 50% for target firms with a low debt dispersion and illiquid bonds. Furthermore, we document a permanent increase of 15% in the liquidity of these bonds. We find only small negative returns for acquirer bonds, which can be explained by the difference in size. Overall, we provide important new insights concerning bond price effects around M&A announcements.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115918585","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
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