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American J. of Finance and Accounting最新文献

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The effect of credit risk, market risk, and liquidity risk on financial performance indicators of the listed banks on Tehran Stock Exchange 信用风险、市场风险和流动性风险对德黑兰证券交易所上市银行财务绩效指标的影响
American J. of Finance and Accounting Pub Date : 2017-08-29 DOI: 10.1504/AJFA.2017.10007014
Sayed Amin Abdellahi, Abolfazl Jannati Mashkani, S. Hosseini
{"title":"The effect of credit risk, market risk, and liquidity risk on financial performance indicators of the listed banks on Tehran Stock Exchange","authors":"Sayed Amin Abdellahi, Abolfazl Jannati Mashkani, S. Hosseini","doi":"10.1504/AJFA.2017.10007014","DOIUrl":"https://doi.org/10.1504/AJFA.2017.10007014","url":null,"abstract":"Present research was conducted to investigate the likely impact of credit, market, and liquidity risks on financial performance indicators. The research sample consisting of eight listed banks on Tehran stock exchange (TSE) was formed. For data analysis, having verified stationary of the panel dataset in Eviews software, the research model was estimated using panel data estimation method. The results indicated that credit risk had a significant impact on return on assets. However, this was not the case in the relationship of liquidity risk and market risk with return on assets. Further, credit risk and market risk were found to be significantly associated with return on investment, while this was not the case in the relationship between liquidity risk and return on investment. Finally, credit risk and liquidity risk and market risk at 95% confidence, had significant effect on ratio of net profit to total sales.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116518987","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: 8
Changes in lease financing practice during lease accounting standard overhaul (2005-2014) 租赁会计准则修订期间租赁融资实务的变化(2005-2014年)
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.21102/JBPR.2016.12.112.06
Xiaofei Song
{"title":"Changes in lease financing practice during lease accounting standard overhaul (2005-2014)","authors":"Xiaofei Song","doi":"10.21102/JBPR.2016.12.112.06","DOIUrl":"https://doi.org/10.21102/JBPR.2016.12.112.06","url":null,"abstract":"This study examines empirically the changes in lease financing practice since the International Accounting Standard Board (IASB) and the Financial Accounting Standard Board (FASB) launched their joint project to overhaul lease accounting standards. Under the proposed new lease standards, all existing and new lease contracts longer than 12 months, including the currently off-balance sheet operating leases, are required to be capitalised. Using a sample of retail sector firms from exchanges of seven different countries, I find an increase in contingent lease payments, which is consistent with the notion that companies will seek new off-balance sheet financing loopholes once existing ones are likely to be taken away. This study provides pertinent information to facilitate ongoing deliberation concerning lease accounting and assessment of the new lease accounting standards.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128045319","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
Sudden changes in crude oil price volatility: an application of extreme value volatility estimator 原油价格波动的突变:极值波动估计的应用
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.1504/AJFA.2016.10001590
Dilip Kumar
{"title":"Sudden changes in crude oil price volatility: an application of extreme value volatility estimator","authors":"Dilip Kumar","doi":"10.1504/AJFA.2016.10001590","DOIUrl":"https://doi.org/10.1504/AJFA.2016.10001590","url":null,"abstract":"This study provides a framework based on an extension of the Conditional Autoregressive Range (CARR) model which incorporates the impact of sudden changes in unconditional volatility. The results of the CARR model with and without volatility breaks are compared with the results of the GARCH model with and without volatility breaks to assess whether the forecasting ability of the CARR model is superior when endogenously determined structural breaks in volatility are accounted for. We undertake our analysis on WTI and Brent crude oil and find that the CARR model with volatility breaks effectively captures the dynamics in the crude oil volatility.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127142113","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
Industry-specific and regional economic determinants of US commercial banking profitability 美国商业银行盈利能力的行业和地区经济决定因素
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.1504/AJFA.2016.10001601
Amit K. Ghosh
{"title":"Industry-specific and regional economic determinants of US commercial banking profitability","authors":"Amit K. Ghosh","doi":"10.1504/AJFA.2016.10001601","DOIUrl":"https://doi.org/10.1504/AJFA.2016.10001601","url":null,"abstract":"Understanding the determinants of bank profits is extremely crucial for bank executives in making their financing, investment and diversification decisions. The issue bears relevance not only for banks in terms of their corporate risk management strategy, but also for bankers associations, state and federal regulators, and central banks. Using state-level data and employing both fixed effects and dynamic-GMM estimation techniques I examine banking-industry specific as well as region economic determinants of commercial bank profitability in the USA across all 50 states and Washington, DC spanning 1966-2014. Greater capitalisation and diversification increase profits while lower liquidity risks, higher costs, inferior credit quality and deposit growth decrease profits. Moreover, higher state real GDP and personal income growth rates, state HPI and inflation rates increase profits, while higher unemployment rates lower profits. Finally, I do not find any decline in the sensitivity of bank profits to regional economic conditions post Riegle-Neal Act.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116809761","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
Industry herding behaviour in Indian stock market 印度股市的行业羊群行为
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.1504/AJFA.2016.10001602
R. Ganesh, G. Naresh, S. Thiyagarajan
{"title":"Industry herding behaviour in Indian stock market","authors":"R. Ganesh, G. Naresh, S. Thiyagarajan","doi":"10.1504/AJFA.2016.10001602","DOIUrl":"https://doi.org/10.1504/AJFA.2016.10001602","url":null,"abstract":"Investors mimicking the investment pattern of other investors are called herding. Studies have already shown that herding is not a profitable investment strategy and could even be damaging for both investors and stock markets. Hence herding continues to be an active topic of study the world over. Understanding the herding behaviour in the market will be effective when investors have a diversified portfolio, but may not hold good when their portfolio consist of similar stocks. This emphasises the importance of studying herding in industry-wise stocks traded in Indian market. The present study employs the Christie and Huang model and Chang, Cheng and Khoruna model to trace out the presence of industry herding behaviour in Nifty 50 index during the period 1st April 2005 to 31st March 2015. The findings of the study showed that overall Indian stock market is not influenced by industry herding behaviour.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126382781","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: 17
Litigation risk, auditor tenure, and auditor specialisation and their effect on reporting quality 诉讼风险、审计师任期、审计师专业化及其对报告质量的影响
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.1504/AJFA.2016.10001594
E. Elshafie
{"title":"Litigation risk, auditor tenure, and auditor specialisation and their effect on reporting quality","authors":"E. Elshafie","doi":"10.1504/AJFA.2016.10001594","DOIUrl":"https://doi.org/10.1504/AJFA.2016.10001594","url":null,"abstract":"Prior research on the effect of client importance on audit quality or financial reporting quality provides mixed evidence, whether before or after the Sarbanes Oxley Act of 2002. I test whether the association between client importance and financial reporting quality is affected by other related constructs that mitigate the association between these two variables. Using data over the period 2000-2014, I first test the effect of client importance on financial reporting quality measured by the absolute value of performance-adjusted discretionary accruals; secondly, I test whether litigation risk, auditor tenure, and auditor specialisation mitigate this effect. The results show that there is a negative effect of client importance on financial reporting quality. However, the three variables tested do not seem to mitigate the effect of client importance on financial reporting quality.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122583593","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
Does US stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis 危机期间，美国股市对评级公告的反应是否不同?2008年全球金融危机的例子
American J. of Finance and Accounting Pub Date : 2016-12-07 DOI: 10.1504/AJFA.2016.10001587
Abdelkader Boudriga, Dorsaf Azouz Ghachem
{"title":"Does US stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis","authors":"Abdelkader Boudriga, Dorsaf Azouz Ghachem","doi":"10.1504/AJFA.2016.10001587","DOIUrl":"https://doi.org/10.1504/AJFA.2016.10001587","url":null,"abstract":"Rating agencies are major players in financial markets and investor's decisions. However, following the worldwide 2008 crisis, the financial community has blamed rating agencies for not achieving one of their central functions: timely downgrading the distressed firms. There is also overwhelming evidence of investors distrust in rating announcements, particularly during instability episodes. Nevertheless, there is no prior work examining the performance of these activities during crisis. The global financial turmoil of 2008 offers a unique context to measure market reaction to rating announcements during crisis. We use a comparative event study, which parallels abnormal returns following rating announcements during crisis period to those during a stable benchmark period. There is evidence of stock prices over reaction to bad news. At the opposite, good and neutral news exhibit an insignificant impact. We also show that rating agencies tend to be more active, strongly cautious and more severe in rating firms.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"53 42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125972833","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
Optimal hedging strategy with futures oil markets via FIEGARCH copula model 基于FIEGARCH copula模型的石油期货市场最优对冲策略
American J. of Finance and Accounting Pub Date : 2015-10-22 DOI: 10.1504/ajfa.2015.072596
Dhoifli Ifa, Ahmed Ghorbel
{"title":"Optimal hedging strategy with futures oil markets via FIEGARCH copula model","authors":"Dhoifli Ifa, Ahmed Ghorbel","doi":"10.1504/ajfa.2015.072596","DOIUrl":"https://doi.org/10.1504/ajfa.2015.072596","url":null,"abstract":"In this work, our aim is to evaluate the hedging strategies performance of a range of traditional methods such as one-to-one, MCO, and other methods based on GARCH models and copula theory, for two spot and futures energy markets: WTI crude oil and heating oil. We model dependence structure between spot and futures oil markets using copula theory that applied to bivariate standardised residuals data obtained from two fitted univariate FIEGARCH models. This procedure permits to simultaneously capture asymmetric non-linear behaviour, dependence structure, and long memory. We use this method with different copulas functions (Joe, Frank, bb1, Gumbel, Gaussian and dynamic) to investigate hedging performance and the efficiency of copula methods in risk reduction and return improvement. The empirical results show that the combination of the FIEGARCH model and Joe copula is the best hedging strategy for both indices, because it gives the (H/E) ratio the lowest. Also the results show that the dynamic copula does not improve the results found by other strategies.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123226930","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
Dividend multifactor process, long-run risk and payout ratios 股息多因素过程，长期风险和派息率
American J. of Finance and Accounting Pub Date : 2015-10-22 DOI: 10.1504/AJFA.2015.072597
C. Bergeron, Jean-Pierre Gueyié, Komlan Sedzro
{"title":"Dividend multifactor process, long-run risk and payout ratios","authors":"C. Bergeron, Jean-Pierre Gueyié, Komlan Sedzro","doi":"10.1504/AJFA.2015.072597","DOIUrl":"https://doi.org/10.1504/AJFA.2015.072597","url":null,"abstract":"The purpose of this paper is to examine the theoretical relationship between the multidimensionality of risk and dividend policy, in an intertemporal context. After assuming that dividends are generated by a multifactor process, we use the fundamental framework of the consumption capital asset pricing model to explore the effect of long-run risk on dividend payout ratios (dividends divided by earnings). Our approach is similar to any multifactor model that, given the N factor process, derives useful equilibrium conditions. Our main result shows that the dividend payout ratio is negatively related to N sensitive coefficients, given by the long-run covariance between dividends and economic factors. This suggests that the multidimensionality of long-run consumption risk influences dividend policy. In brief, the model proposes that the target payout ratio can be determined with a simple and easy-to-apply formula that takes into account the long-run sensitivity of dividends to various economic factors.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117082016","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
Analyst forecast performance on banks: does experience matter? 分析师预测银行业绩:经验重要吗?
American J. of Finance and Accounting Pub Date : 2015-10-22 DOI: 10.1504/ajfa.2015.072590
Lijing Du, Jian Huang
{"title":"Analyst forecast performance on banks: does experience matter?","authors":"Lijing Du, Jian Huang","doi":"10.1504/ajfa.2015.072590","DOIUrl":"https://doi.org/10.1504/ajfa.2015.072590","url":null,"abstract":"In this paper we investigate the relation between analysts' forecast performance and the opacity of a company; in particular, we compare analysts' forecast accuracy between Bank Holding Companies (BHCs) and non-financial companies. During the period of 1999 to 2004, forecast accuracy on banks is better than forecast accuracy on non-financial firms; however, analysts forecast accuracy for banks is significantly worse for the period of 2005 to 2008. In addition, while analysts' experience is positively associated with their forecast performance for non-financial firms, there is no evidence that experience improves forecast accuracy for BHCs. That is, BHCs are more difficult to understand during current crisis, and that prior experience does not help as much compared to non-financial firms. Our results suggest an increase in uncertainty risk for BHC's leading up to the recent financial crisis.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123162607","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
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