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Do Passive Investors Demand High Earnings Quality? Evidence from Natural Experiment 被动投资者要求高收益质量吗?来自自然实验的证据
Australasian Finance & Banking Conferences Pub Date : 2020-05-15 DOI: 10.2139/ssrn.3221686
Bill Francis, Johan Maharjan, Haimeng Teng
{"title":"Do Passive Investors Demand High Earnings Quality? Evidence from Natural Experiment","authors":"Bill Francis, Johan Maharjan, Haimeng Teng","doi":"10.2139/ssrn.3221686","DOIUrl":"https://doi.org/10.2139/ssrn.3221686","url":null,"abstract":"In this paper, we examine the effect of passive institutional holdings on firms’ earnings quality by exploiting the variation in passive ownership around Russell 1000/2000 index cutoff. Using three sets of earnings quality proxies (properties of earnings, investor responsiveness to earnings, and external indicators of earnings misstatements), we find that passive ownership improves earnings quality. Furthermore, this effect is more pronounced in firms with low active institutional ownership. Finally, we find firms with higher passive ownership undertake more long-term investments. The last two results provide consistent evidence that passive investors improve earnings quality because they have long-term investment horizon and they only have the option of monitoring (as opposed to threat to exit) for good portfolio performance due to their buy-and-hold strategy.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128528517","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
Quantum Finance: Using Number Operators in Financial Transaction Models a Proposed Model Set-Up for CDS Markets 量子金融:在金融交易模型中使用数字算子——一个针对CDS市场的拟议模型
Australasian Finance & Banking Conferences Pub Date : 2020-01-24 DOI: 10.2139/ssrn.3524896
Sudip Patra
{"title":"Quantum Finance: Using Number Operators in Financial Transaction Models a Proposed Model Set-Up for CDS Markets","authors":"Sudip Patra","doi":"10.2139/ssrn.3524896","DOIUrl":"https://doi.org/10.2139/ssrn.3524896","url":null,"abstract":"The current short paper introduces and discusses a Quantum Filed Theoretic modeling of CDS market. The paper builds upon the novel number operator theoretic set up as fundamental to QFT, recently been extended to financial market modeling (Haven, Khrennikov and Robinson, 2017), and presents a model of credit default swaps transactions. First, the paper discusses the use of number operators in financial trading models in general. The paper also reviews briefly other usages of number operators, for example in dynamic modelling of agents’ decision making while interacting with the outside information atmosphere, which can be taken as a Bath. Secondly, the paper builds different scenarios where trading happens between subgroups of the entire market. The predictions of the model, namely, the conservation rules emerging out from the model, and the evolution of the market in terms of no of assets transacted can be empirically verified with simulation techniques, which is one important advantage for the quantum like modeling when applied to social sciences. Oscillatory nature of solutions of quantum modeling is another striking feature which distinguishes quantum like modeling from the related classical models.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"492 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122750448","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
Reintermediation in FinTech: Evidence from Online Lending 金融科技的再中介:来自网络借贷的证据
Australasian Finance & Banking Conferences Pub Date : 2019-08-08 DOI: 10.2139/ssrn.3189236
T. Balyuk, S. Davydenko
{"title":"Reintermediation in FinTech: Evidence from Online Lending","authors":"T. Balyuk, S. Davydenko","doi":"10.2139/ssrn.3189236","DOIUrl":"https://doi.org/10.2139/ssrn.3189236","url":null,"abstract":"The peer-to-peer loan market was designed to bring together borrowers and lenders without banks as middlemen. Yet over time P2P lending platforms have evolved into new intermediaries, performing essentially all tasks related to loan evaluation. By contrast, lenders are overwhelmingly passive and automatically fund almost all loans on offer. The dominant role of lending platforms without skin in the game makes the market vulnerable to moral hazard, checked by the threat of institutional investors' withdrawal. Our findings suggest that in markets without private information reintermediation may arise naturally as the platform's expertise in data analysis crowds out that of investors.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133901309","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: 38
Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5 未经过滤的市场准入和流动性:来自SEC规则15c3-5的证据
Australasian Finance & Banking Conferences Pub Date : 2019-07-30 DOI: 10.2139/ssrn.2328231
Bidisha Chakrabarty, P. Jain, Andriy Shkilko, Konstantin Sokolov
{"title":"Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5","authors":"Bidisha Chakrabarty, P. Jain, Andriy Shkilko, Konstantin Sokolov","doi":"10.2139/ssrn.2328231","DOIUrl":"https://doi.org/10.2139/ssrn.2328231","url":null,"abstract":"In November 2011, the U.S. Securities and Exchange Commission implemented the final provision of Rule 15c3-5 curbing unfiltered market access. The provision mandated that brokers verify their clients’ order flow for compliance with credit and capital thresholds before routing to market centers. We find that the new checks introduce latency to order flow and force some latency-sensitive strategies out of the market. As a result, liquidity providers are better able to revise their quotes in response to new information, adverse selection declines, and liquidity improves. Consistent with the notion that the market for liquidity provision is competitive, our results show that the benefit of lower adverse selection is transferred entirely to liquidity demanders in the form of lower trading costs. This paper was accepted by Karl Diether, finance.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125052704","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
On Tree-Structured Linear and Quantile Regression Based Asset Pricing 基于树结构线性和分位数回归的资产定价
Australasian Finance & Banking Conferences Pub Date : 2019-07-01 DOI: 10.2139/ssrn.3605008
J. Galakis, Ioannis D. Vrontos, P. Xidonas
{"title":"On Tree-Structured Linear and Quantile Regression Based Asset Pricing","authors":"J. Galakis, Ioannis D. Vrontos, P. Xidonas","doi":"10.2139/ssrn.3605008","DOIUrl":"https://doi.org/10.2139/ssrn.3605008","url":null,"abstract":"A tree-structured linear and quantile regression framework is proposed for the analysis and modeling of equity market returns. The approach is based on the idea of a binary tree, where every terminal node parameterizes a local regression model for a specific partition of the data. A Bayesian stochastic method is developed including model selection and estimation of the tree structure parameters. The modeling framework is applied on numerous asset pricing models related to the whole U.S. equity market, using alternative mimicking factor portfolios, frequency of data and widely followed market indices. The findings reveal strong evidence that asset returns exhibit asymmetric effects and nonlinear patterns to different common factors.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126402775","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
More than Money: Venture Capitalists on Boards 不仅仅是钱:董事会中的风险资本家
Australasian Finance & Banking Conferences Pub Date : 2019-04-11 DOI: 10.2139/ssrn.2586592
Natee Amornsiripanitch, Paul A. Gompers, Yuhai Xuan
{"title":"More than Money: Venture Capitalists on Boards","authors":"Natee Amornsiripanitch, Paul A. Gompers, Yuhai Xuan","doi":"10.2139/ssrn.2586592","DOIUrl":"https://doi.org/10.2139/ssrn.2586592","url":null,"abstract":"\u0000 We explore patterns of board structure and function in the venture capital industry, identifying factors that influence whether venture capitalists receive a board seat and whether they take action to help portfolio companies in which they invest. In a comprehensive sample of US-based and non-US-based companies, we find that a venture capital firm’s prior relationship with the founder, lead investor status, track record, network size, and geographical proximity to the portfolio company are positively correlated with its likelihood of taking a board seat in an investment round. When venture capital investors serve on the board, portfolio companies tend to recruit managers and board members from these investors’ network and are more likely to exit via relationship-based acquisitions. These patterns are particularly strong for successful and well-connected venture capitalists on the board.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129252363","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: 37
Twin Momentum: Fundamental Trends Matter 双动量:基本趋势很重要
Australasian Finance & Banking Conferences Pub Date : 2019-01-07 DOI: 10.2139/ssrn.2894068
Dashan Huang, Huacheng Zhang, Guofu Zhou
{"title":"Twin Momentum: Fundamental Trends Matter","authors":"Dashan Huang, Huacheng Zhang, Guofu Zhou","doi":"10.2139/ssrn.2894068","DOIUrl":"https://doi.org/10.2139/ssrn.2894068","url":null,"abstract":"Using time-series trends of a set of firms’ major fundamentals, we find that there is a fundamental \u0000momentum in the stock market. Buying stocks in the top quintile of fundamental trends and selling stocks in the bottom quintile earns a monthly average return of 0.88%, whose magnitude is comparable to price momentum. Combining price momentum and fundamental momentum produces a twin momentum, earning an average return that exceeds the sum of the two momentum returns. Our results show that firm fundamental trends play an economically much more important role than previously thought. Theoretically, we show that investors can learn from fundamental trends about future stock returns in an equilibrium model, providing an economic rationale for fundamental momentum.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"226 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123717919","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
Immigration Policy and Equity Returns: Evidence from the H-1B Visa Program 移民政策和股权回报:来自H-1B签证项目的证据
Australasian Finance & Banking Conferences Pub Date : 2018-10-05 DOI: 10.2139/ssrn.3222006
Ali Sharifkhani
{"title":"Immigration Policy and Equity Returns: Evidence from the H-1B Visa Program","authors":"Ali Sharifkhani","doi":"10.2139/ssrn.3222006","DOIUrl":"https://doi.org/10.2139/ssrn.3222006","url":null,"abstract":"I show that firms' access to skilled immigrant labor is an important determinant of the cross-section of equity returns. Using a comprehensive set of data on H-1B visa petitions, I construct an occupation-level measure of labor market competition between skilled immigrant and local workers. I find that stocks of firms in high-competition industries -- those with a high share of labor for which skilled immigrants are close substitutes -- outperform their peers with a low share by 8.8% annually. I show that this premium is explained by firms' differential exposures to priced immigration policy shocks that shift the supply of skilled immigrant labor. Based on evidence from the 2003 H-1B legislative cap reduction as a natural experiment, I show that these shocks differentially impact wages at the occupation-level, leading to an asymmetric effect on firms' cash flows through labor expenditure.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129493829","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
Financial Stability, Growth and Macroprudential Policy 金融稳定、增长和宏观审慎政策
Australasian Finance & Banking Conferences Pub Date : 2018-09-18 DOI: 10.2139/ssrn.3120661
Chang Ma
{"title":"Financial Stability, Growth and Macroprudential Policy","authors":"Chang Ma","doi":"10.2139/ssrn.3120661","DOIUrl":"https://doi.org/10.2139/ssrn.3120661","url":null,"abstract":"Many emerging market economies have used macroprudential policy to mitigate the risk of financial crises and the resulting output losses. However, macroprudential policy may reduce economic growth in good times. This paper introduces endogenous growth into a small open economy model with occasionally binding collateral constraints in order to study the impact of macroprudential policy on financial stability and growth. In a calibrated version of the model, I find that optimal macroprudential policy reduces the probability of crisis by two thirds at the cost of lowering average growth by a small amount (0.01 percentage point). Moreover, macroprudential policy can generate welfare gains equivalent to a 0.06 percent permanent increase in annual consumption.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124513993","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: 37
Do Small-Cap Fund Managers are Really Familiar with Small Stock? The Explanation from Coskewness Timing Ability 小盘股基金经理真的熟悉小盘股吗?从余弦性择时能力的解释
Australasian Finance & Banking Conferences Pub Date : 2018-07-31 DOI: 10.2139/ssrn.3223429
Woraphon Wattanatorn
{"title":"Do Small-Cap Fund Managers are Really Familiar with Small Stock? The Explanation from Coskewness Timing Ability","authors":"Woraphon Wattanatorn","doi":"10.2139/ssrn.3223429","DOIUrl":"https://doi.org/10.2139/ssrn.3223429","url":null,"abstract":"In this study, we investigate the mutual fund managers’ ability to time market coskewness. Analyzing nine investment styles of US equity fund, we find strong evidence to support that between 1973 and 2018, mutual fund managers investing in Small-Blend and Small-Growth schemes demonstrate the ability to time the market coskewness. On average fund managers of the Small-Blend and Small-Growth fund increase their portfolio beta by about 2.79%, and 1.34% based on their expectation of market coskewnewss, respectively.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127239799","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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