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21 – 30 of over 1000Fei Gao and Bingqiao Li
The authors examine the factors that impact the growth of exchange traded funds (ETFs) from 1990 to 2020. The authors show the first-mover and winner-takes-all effects from top…
Abstract
The authors examine the factors that impact the growth of exchange traded funds (ETFs) from 1990 to 2020. The authors show the first-mover and winner-takes-all effects from top ETF issuers. Besides the longer history and larger asset under management (AUM), the ETFs being managed by top issuers have exhibited lower risks and higher trading volume. Delisted ETFs on the contrary has a shorter history, lower AUM, higher risks, and lower trading volume. For zombie ETFs, the authors find longer history, lower risks but lower AUM and trading volume, controlled for total expense ratio, return, volatility, Amihud (2002) illiquidity, bid-ask spread, turnover ratio, as well as year, issuer, asset class and region fixed effects. The authors further study the ETFs’ AUM and trading activities over the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic crisis, and find that the GFC has a significant negative impact while the COVID-19 has a positive impact on the ETFs’ popularity. The significant increase in AUM of ETF relative to common stocks during the COVID-19 is associated with retail investors’ holdings, as the authors document a significant reduction of institutional holdings at the aggregate level.
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Yuanyuan Xu, Jian Li, Linjie Wang and Chongguang Li
This paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.
Abstract
Purpose
This paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.
Design/methodology/approach
Based on both high- and low-frequency trading data of soybean and corn, this paper evaluates short-term liquidity adjustment in Chinese agricultural futures market measured by liquidity benchmark and long-term liquidity development measured by liquidity proxies.
Findings
By constructing comparisons, the authors identify the seminal paper of Fong, Holden and Trzcinka (2017) as the best low-frequency liquidity proxy in China’s agricultural futures market and capture similar historical patterns of the liquidity in soybean and corn markets. The authors further employ Copula-generalized autoregressive conditional heteroskedasticity models to investigate liquidity dependence between soybean and corn futures markets. Results show that cross-market liquidity dependence tends to be dynamic and asymmetric (in upper versus lower tails). The liquidity dependence becomes stronger when these markets experience negative shocks than positive shocks, indicating a concern on the contagion effect of liquidity risk under negative financial situations.
Originality/value
The findings of this study provide useful information on the dynamic evolution of liquidity pattern and cross-market dependence of fastest-growing agricultural futures in the largest emerging economy.
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Denis Cormier, Pierre Teller and Dominique Dufour
The study investigates the relevance for stock markets of voluntary disclosure of eXtensible Business Reporting Language (XBRL) extensions [based on International Financial…
Abstract
Purpose
The study investigates the relevance for stock markets of voluntary disclosure of eXtensible Business Reporting Language (XBRL) extensions [based on International Financial Reporting Standards (IFRS) or US-GAAP] for an international sample of US cross-listed firms.
Design/methodology/approach
The study examines if the disclosure of XBRL extensions by a firm provides relevant information to market participants. Towards that end, this paper investigates whether this type of disclosure affects the level of information asymmetry between insiders and investors and if it is value relevant. This study measures information asymmetry by bid-ask spread and value relevance by stock price or Tobin's Q.
Findings
After a certain level of disclosure of XBRL extensions, the impact on stock pricing is negative (creates noise on stock markets). Controlling for that phenomenon, both IFRS and US-GAAP XBRL extensions are value relevant. Second, results indicate that XBRL extensions are positively (negatively) related to stock market value for firms that exhibit positive (negative) earnings. This suggests a complementary effect between earnings and XBRL extensions on their relation with stock price or Tobin's Q. Finally, the results also indicate that both IFRS extensions and US-GAAP extensions are associated with lower information asymmetry (i.e. bid-ask spread).
Originality/value
To the best of the authors’ knowledge, this study is the first to investigate the relevance of XBRL extensions under IFRS for US cross-listed firms since the availability of the IFRS taxonomy for foreign private issuers that prepare financial statements under IFRS standards.
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Samir M. El-Gazzar and Philip M. Finn
This paper aims to examine whether sanctioning adoption of IFRS for US firms would produce accounting information of the same quality as those produced under US Generally Accepted…
Abstract
Purpose
This paper aims to examine whether sanctioning adoption of IFRS for US firms would produce accounting information of the same quality as those produced under US Generally Accepted Accounting Principles (GAAP). This is a timely research since the Securities and Exchange Commission (SEC; 2014) has asked for further review.
Design/methodology/approach
This study uses restatements of financial statements made by a sample of foreign firms listed on US stock exchanges using International Financial Reporting Standards (IFRS) in comparison to a control sample of US firms using US GAAP during the period of 2001to 2010. Statistical analysis of the frequency, sources and magnitude of the restatements and market revaluations to the announcement of the restatements are examined. Cross-country differences are also examined.
Findings
The results indicate that IFRS firms have a lower rate of restatements than US GAAP firms but with no significant differences in terms of sources of restatements and the impact on net income or shareholders’ equity. The market revaluations to restatement announcements show no significant differences between the two accounting regimes. Cross-sectional analyses indicate IFRS firms are on average from countries characterized by weak rule of law, ineffective corruption controls and lower efforts to promote private sector advancement.
Research limitations/implications
The sample size in the paper is relatively small. To increase validity of the inferences from the Results, this issue should be readdressed with larger sample.
Practical implications
Results are important to accounting practitioners and policymakers.
Social implications
Results are contributing in clarifying the SEC’s concerns of adopting the IFRS by US-based firms; thus, saving the investors the additional efforts and costs in comparing financial statements prepared under different accounting regimes.
Originality/value
This research is the first to use restatements as accounting quality criteria. The results suggest that adoption of IFRS by US-based firms would not produce accounting information that is significantly different in quality from those generated under US GAAP. This result should be of interest to the SEC in clarifying its concerns.
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Manfen W. Chen and Jianzhou Zhu
This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock returns to the arrival of macroeconomic news across several…
Abstract
This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock returns to the arrival of macroeconomic news across several industries. We hypothesize that some industries have distinctive qualities which influence the sensitivity of companies’ equity value to information releases. To test this hypothesis, we sample intraday stock price data of ten firms from three industries ‐ General Industry, Banking, and Real Estate Trusts ‐ and conduct the Brown‐Forsythe‐Modified Levene tests. The evidence shows that there exist different degrees of responses to the release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General Industry, less strong in Banking, and weak in Real Estate Investment Trusts.
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Ghabri Yosra and Olfa Ben Ouda Sioud
The purpose of this paper is to study the ownership‐liquidity relation in the context of the Tunisian Stock Exchange.
Abstract
Purpose
The purpose of this paper is to study the ownership‐liquidity relation in the context of the Tunisian Stock Exchange.
Design/methodology/approach
In particular, the paper examines two empirical relationships: the relationship between ownership concentration and stock liquidity and the relationship between the separation of ownership from control and market liquidity.
Findings
The empirical findings verify that the structure of ownership remains concentrated in the majority of the Tunisian firms. It is found that stock liquidity decreases significantly with concentrated ownership. Different devices are used to gain control and hence a significant separation of ownership from control affects liquidity in different ways. The results indicate that pyramidal structures have a significant negative impact on liquidity for all controlled firms. However, for family firms, non‐voting shares increase liquidity for minority shareholders by reducing the probability of informed trading.
Originality/value
Overall, this study reports that non‐voting shares may be a liquidity enhancing device for family firms.
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This chapter analyzes the market response to ticker symbol change of stocks with non-conventional voting structures (or multiple class shares, MCS). I find a significant drop…
Abstract
This chapter analyzes the market response to ticker symbol change of stocks with non-conventional voting structures (or multiple class shares, MCS). I find a significant drop (increase) in prices and liquidity (short-sale activity) of MCS stocks, with the most severe decrease being reported for the lower-voting class. This evidence suggests that investors revised downward the assessment of MCS stocks. Regression analysis shows that a significant part of the cross-sectional variation of the event-results is explained by firm's agency costs. Overall, the chapter stresses the importance of enhanced market transparency in curbing private benefits.
Robert Durand, Rick Newby, Kevin Tant and Sirimon Trepongkaruna
The purpose of this paper is to systematically profile investors’ personality traits to examine if, and how, those traits are associated with phenomena observed in financial…
Abstract
Purpose
The purpose of this paper is to systematically profile investors’ personality traits to examine if, and how, those traits are associated with phenomena observed in financial markets. In particular, the paper looks at overconfidence and overreaction in an experimental foreign exchange market.
Design/methodology/approach
The paper measures the personality of the subjects using the short form of the NEO-PIR instrument, the NEO-FFI developed by Costa and McRae (1992) which is based on Norman's (1963) “Big Five” personality constructs of negative emotion, extraversion, openness to experience, agreeableness and conscientiousness. The paper measures psychological gender using questions developed by Bem (1994). Preference for innovation and risk-taking propensity are measured using instruments developed by Jackson (1976). The paper then examines the behavior of the subject who traded interactively in “real time” in an interactive-simulated foreign exchange market where “price discovery” was instantaneous and pricing decisions were made instantaneously as items of news, determined by the researchers, were released.
Findings
The paper demonstrates that personality traits are associated with overconfidence and overreaction in financial markets. The paper presents meta-analysis which facilitates the development of a posteriori theories of how particular traits affect investment; there are important roles for risk-taking propensity, negative emotion, extraversion, masculinity, preference for innovation and conscientiousness.
Originality/value
A typical behavioral finance paper might find an empirical regularity in prices and, on the basis of such patterns, infer the underlying psychology motivating the behavior of investors. The approach differs from this caricature of the “typical” behavioral finance paper. The paper does not infer the underlying psychology of investors from patterns in prices. Rather, the paper learns about investors by systematically profiling their personality traits. The paper then demonstrates how those traits are associated with the prices generated by the investors the authors study. In focussing on the role of individual personality, the paper refocusses behavioral finance on the individuals who set prices.
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Giancarlo Giudici and Peter Roosenboom
In this chapter we examine the determinants of the long-run stock price performance of Initial Public Offerings (IPOs) on Europe’s new stock markets. We report that the average…
Abstract
In this chapter we examine the determinants of the long-run stock price performance of Initial Public Offerings (IPOs) on Europe’s new stock markets. We report that the average company that went public on these markets has been a very poor long-term investment. We find that the stock price performance during a three-year window is inversely related to first-day returns. We also find that the long-term underperformance of IPO firms begins after the lock-up agreement has expired and insiders start trading in the firm’s shares. These findings are consistent with the divergence of opinion hypothesis of Miller (1977).
Emiliano Ruiz-Barbadillo and Jennifer Martinez-Ferrero
This paper aims to examine the communicative value of assurance reports by investigating whether the impact on information asymmetries is contingent on the length of the…
Abstract
Purpose
This paper aims to examine the communicative value of assurance reports by investigating whether the impact on information asymmetries is contingent on the length of the contractual relationship between clients and assurance providers, which can compromise the provider’s independence.
Design/methodology/approach
Using a firm-level data set of publicly listed international firms from 2007 to 2016, the authors estimate several regression models for panel data by using the generalized method of moments estimator to address the endogeneity issue.
Findings
Results find that the greater the communicative value in assurance statements, the lower the information asymmetries. However, this effect is constrained when the assurance provider’s independence is compromised due to an excessively long-term contractual relationship. In other words, assurance statements with more informative value enhance the firm’s transparency and increase users’ confidence in the sustainability information provided. However, the loss of independence linked to longer tenure jeopardizes the communicative value of the assurance report and contributes to reducing information asymmetries.
Originality/value
The study makes at least three clear contributions to current literature. First, the authors contribute to the limited existing research about the communicative value attributed to assurance statements by stakeholders. Second, the authors indirectly contribute to the literature that analyses whether stakeholders understand the assurance report, a complex statement in a growing market. Addressing the communicative value of assurance is certainly a difficult task, as it is a novel and complex activity. Third, the main contribution is providing initial empirical evidence about the moderating effect that assurance provider tenure has in the relationship between the informational content of the assurance report and the level of information asymmetries. To date, there is no empirical evidence regarding the moderating effect of long assuror’s tenure as an important feature of the assurance market, and beyond that, regarding its impact on the communicative value assigned by stakeholders to assurance statements.
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