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The predictive ability of accounting operating cash flows: a moving window spectral analysis 会计经营性现金流量的预测能力:移动窗谱分析
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.019951
Dennis Ridley, Willie. E. Gist, D. Duke, James C. Flagg
{"title":"The predictive ability of accounting operating cash flows: a moving window spectral analysis","authors":"Dennis Ridley, Willie. E. Gist, D. Duke, James C. Flagg","doi":"10.1504/AJFA.2008.019951","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019951","url":null,"abstract":"In this paper, evidence is provided on the predictive ability of quarterly operating Cash Flows (CFs). The inability of creditors and investors to anticipate future CFs based on historical CFs, with any degree of accuracy, may suggest that historical forecasting models are underspecified. Indeed, the discontinuities, variability, seasonality and trend in CF data may require additional, and as of yet, undisclosed variables, to enhance the predictability of extant forecasting models. In this study, Moving Window Spectral (MWS) analysis, a frequency domain approach, is applied to accounting time series data for the first time in an effort to assess the predictability of aggregate operating CFs. This method is adopted due to its ability to capture trend and multiple cyclical components in the data. Our results show that CFs can be reliably predicted using aggregate data on a firm-by-firm basis. In addition, our results outperform the results previously reported in the accounting literature. This research provides insight into the properties of accounting time series data not possible from a strictly time domain analysis. The implications of this and other findings for accounting and auditing are discussed.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131618875","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
Measurement of financial leverage in the presence of environmental liabilities relating to Superfund sites 在存在与超级基金场址有关的环境负债的情况下，衡量财务杠杆
American J. of Finance and Accounting Pub Date : 2008-08-18 DOI: 10.1504/AJFA.2008.019948
Benjamin B. Bae, Mahdy F. Elhusseiny
{"title":"Measurement of financial leverage in the presence of environmental liabilities relating to Superfund sites","authors":"Benjamin B. Bae, Mahdy F. Elhusseiny","doi":"10.1504/AJFA.2008.019948","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019948","url":null,"abstract":"This study examines the effect of environmental liabilities on risk assessment by investigating whether the markets consider these liabilities a form of corporate debt in the assessment of the firm's risk. A model developed by Rubinstein (1973) and further expanded and operationalised by Dhaliwal (1986) is used to examine whether the inclusion of environmental liabilities relating to Superfund sites has any incremental explanatory power. A positive association between the environmental liabilities and measures of firms' risk is expected. Such results should help policy-makers decide whether or not to require companies to disclose environmental liabilities in their financial reports. The empirical results weakly support the hypothesis that environmental liabilities relating to Superfund sites are considered corporate liabilities in assessing firm's risk. One possible explanation is that the problems in recognising and determining the exact amount of liabilities for the Potentially Responsible Party (PRP) firms make it difficult for the investors to use this information for risk assessment. This paper addresses some important issues such as reporting environmental liabilities in the financial statements, their recognition and their roles in firm risk assessment.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132229560","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
Do retail options traders know better about market volatility 零售期权交易者更了解市场波动吗
American J. of Finance and Accounting Pub Date : 2008-08-14 DOI: 10.1504/AJFA.2008.019876
Cheny Chen, Ming-Hua Liu, Hoa Nguyen
{"title":"Do retail options traders know better about market volatility","authors":"Cheny Chen, Ming-Hua Liu, Hoa Nguyen","doi":"10.1504/AJFA.2008.019876","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019876","url":null,"abstract":"This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform implied volatility forecast as predictors of future volatility. The finding also suggests that implied volatility is biased and informationally inefficient and that covered warrants are typically overvalued. The results are attributable to the fact that, in Hong Kong and Singapore, the covered warrants markets are dominated by retail investors who tend to use covered warrants' leverage to speculate on the price movements of the underlying assets rather than to express their view on volatility. Arbitrage is not possible in the markets as short-selling of covered warrants is prohibited.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130981317","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
The effects of local and global risk factors on the S&P 500 stock returns: an empirical investigation 本地和全球风险因素对标准普尔500指数股票收益的影响:一项实证调查
American J. of Finance and Accounting Pub Date : 2008-08-14 DOI: 10.1504/AJFA.2008.019880
Mahdy F. Elhusseiny, Mazhar M. Islam
{"title":"The effects of local and global risk factors on the S&P 500 stock returns: an empirical investigation","authors":"Mahdy F. Elhusseiny, Mazhar M. Islam","doi":"10.1504/AJFA.2008.019880","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019880","url":null,"abstract":"In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production, inflation, changes of expected inflation, term structure, exchange rate and oil prices. We also employ a global version of a single factor model to test the effect of global risk factors proxied by the world market index on industries' stock returns. The industries chosen are banking, chemicals, insurance, telecommunication and utilities. The results based on the multifactor model show that local risk factors have a strong explanatory power in explaining the variations of the monthly excess return of the S&P 500 index. A significant relationship is found between local risk factors and the industries' stock returns. Our findings also show a significant positive beta coefficient associated with the world equity index related to each industry.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"125 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115577408","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
A new online method for event detection and tracking: empirical evidence from the French stock market 一种新的在线事件检测和跟踪方法:来自法国股票市场的经验证据
American J. of Finance and Accounting Pub Date : 2008-08-14 DOI: 10.1504/AJFA.2008.019877
Mohamed Saidane, C. Lavergne
{"title":"A new online method for event detection and tracking: empirical evidence from the French stock market","authors":"Mohamed Saidane, C. Lavergne","doi":"10.1504/AJFA.2008.019877","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019877","url":null,"abstract":"In this article we propose a new approach in event studies based on a hidden Markov chain combined with a classical event study model. The number of states informs us about the number of significant events affecting the related market, and the identification of the hidden states determines exactly the delimiters of the event period. Studying each state parameters allows us to examine the events' effect on the related market and to compare results to traditional event analysis. Extensive Monte Carlo simulations and preliminary examination of real data in the French stock market show promising results.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115854749","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
The global and regional factors in the volatility of emerging sovereign bond markets 新兴主权债券市场波动的全球和区域因素
American J. of Finance and Accounting Pub Date : 2008-08-14 DOI: 10.1504/AJFA.2008.019878
T. Dinh, D. K. Nguyen
{"title":"The global and regional factors in the volatility of emerging sovereign bond markets","authors":"T. Dinh, D. K. Nguyen","doi":"10.1504/AJFA.2008.019878","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019878","url":null,"abstract":"This paper examines how much the volatility of sovereign bond markets in emerging Latin American countries is influenced by the volatility shocks to global and regional markets. After estimating the Generalised AutoRegressive Conditional Heteroscedasticity (GARCH)-based conditional volatility for sample markets, we measure the parts of sovereign bond market volatility that are attributable to the global and regional factors within the dynamic framework of a Structural Vector Autoregressive (SVAR) model. We find significant and persistent volatility spillovers from the global and regional factors to sovereign bond markets, with a dominant effect issued by the global sovereign bond market. We also find evidence that the global and regional markets are, on average, responsible for more than 45% of the variance of volatility changes in three of the five selected emerging countries over a 12-week forecast horizon.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126177158","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 taxes on small banks' loan loss provisions 税收对小银行贷款损失准备金的影响
American J. of Finance and Accounting Pub Date : 2008-08-14 DOI: 10.1504/AJFA.2008.019879
B. Billings, Buagu Musazi
{"title":"The effect of taxes on small banks' loan loss provisions","authors":"B. Billings, Buagu Musazi","doi":"10.1504/AJFA.2008.019879","DOIUrl":"https://doi.org/10.1504/AJFA.2008.019879","url":null,"abstract":"So far the earnings management literature has failed to establish the impact of taxes on the Loan Loss Provisions (LLPs) of financial institutions. We extend the discretionary LLP literature to a less studied area regarding the role of taxes in determining the behaviour of LLPs in a sample of 300 small banks in the period 1990–2004. Due to tax provisions that allow small banks to use LLPs, we find support for the hypothesis that taxes affect banks' discretionary LLPs. This finding is contrary to the findings of the few studies on this subject (Beatty et al., 1995; Scholes et al., 1990) that, using large banks, find little or no linkage between taxes and LLPs. We find that banks that were likely to pay the Alternative Minimum Tax (AMT) tended to lower their LLP. In addition, low Marginal Tax Rate (MTR) banks tend to have greater LLP than high MTR banks. Although the results may not be generalisable to the general population of banks and because LLPs are a large proportion of banks' income, these findings are important for bank regulators and analysts who may want to analyse LLP drivers.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124749336","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
Expected utility and portfolio selection: an econometric study of Pakistan's commercial banking sector 预期效用与投资组合选择:巴基斯坦商业银行部门的计量经济学研究
American J. of Finance and Accounting Pub Date : 1900-01-01 DOI: 10.1504/AJFA.2015.067784
Z. Muhammad
{"title":"Expected utility and portfolio selection: an econometric study of Pakistan's commercial banking sector","authors":"Z. Muhammad","doi":"10.1504/AJFA.2015.067784","DOIUrl":"https://doi.org/10.1504/AJFA.2015.067784","url":null,"abstract":"This paper attempts to explain the portfolio behaviour of Pakistani banks. Several expected utility models are developed and applied to semi-annual data for the period from 1997 to 2012. The expected utility model commonly reduced to the mean-variance model, of bank portfolio behaviour under risk stems from the works of Hicks, Tobin and Markowitz. According to this approach, the determinants of alternative portfolios can be assessed by the trade-off between their expected return and valuation risks, where the former is the mean of the probability distribution of return and the latter is usually approximated by the variance of that distribution. Different theoretical restrictions have been tested to explain the Pakistani banking portfolio including symmetry and homogeneity of the interest rate matrix. Empirical evidence suggests that, in general, changes in interest rates do explain the changes in the portfolio of these units, but the availability of funds and other policy variables were found to be more important.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114752740","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 working capital management on the firms' financial performance with the moderating effect of the effectiveness of management policies: evidence from manufacturing companies listed in Colombo Stock Exchange 营运资金管理对企业财务绩效的调节作用及其管理政策的有效性:来自科伦坡证券交易所上市制造企业的证据
American J. of Finance and Accounting Pub Date : 1900-01-01 DOI: 10.1504/ajfa.2022.130375
Sulochana Dissanayake, Shanika Jayathunga, Anushka Madushan
{"title":"The working capital management on the firms' financial performance with the moderating effect of the effectiveness of management policies: evidence from manufacturing companies listed in Colombo Stock Exchange","authors":"Sulochana Dissanayake, Shanika Jayathunga, Anushka Madushan","doi":"10.1504/ajfa.2022.130375","DOIUrl":"https://doi.org/10.1504/ajfa.2022.130375","url":null,"abstract":"","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124471426","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
A comparison of forecasting performance and systematic risk across different political environments 不同政治环境下预测绩效和系统风险的比较
American J. of Finance and Accounting Pub Date : 1900-01-01 DOI: 10.1504/ajfa.2021.117215
A. Hoffer, Serkan Karadas, Adam W. Stivers
{"title":"A comparison of forecasting performance and systematic risk across different political environments","authors":"A. Hoffer, Serkan Karadas, Adam W. Stivers","doi":"10.1504/ajfa.2021.117215","DOIUrl":"https://doi.org/10.1504/ajfa.2021.117215","url":null,"abstract":"","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127860907","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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