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  • ۱-  Product market competition and earnings management: Evidence from

discretionary accruals and real activity manipulation

a b s t r a c t:

We examine the association between product market competition and earnings management activities. We use

the Herfindahl-Hirschman Index (HHI), a widely used measure for market concentration, as a proxy for product

market competition.Weexamine twoforms of earnings management: accrual-based and real activity-based. Our

results are mixed, but generally suggest that both income-increasing accrual manipulation and real activitybased

manipulation are more prevalent among firms in low competition industries than those in high competition

industries. Our findings are robust to various measures of earnings management, alternative measures

of product market competitions, and different subsamples. We further explore the reasons why firms in low

competition industries are more inclined to manage earnings and find that the market consequences of missing

important earnings targets are more severe among firms in low competition industries than those in high

competition industries.

  • ۲- Asset liquidity and stock returns

a b s t r a c t:

We document the significant predictive power of firms’ asset liquidity in the cross section of subsequent stock

returns. The annual return spread between portfolios featuring the highest and lowest levels of asset liquidity

is significantly positive. Our proposed measure of asset liquidity outperforms those measures developed by

Gopalan et al. (2012) in predicting returns. The asset liquidity anomaly also provides significantly positive alphas

when controlling for the asset pricing factors in the Fama and French (1993) three-factor model and the Carhart

(۱۹۹۷) four-factor model. Asset liquidity exhibits strong return forecasting power even after controlling for acknowledged

cross-sectional determinants of return. The positive relation between asset liquidity and future

returns tends to be stronger for firms with greater asset productivity, higher quality cash flow and lower capital

investment.

  • ۳-Accruals quality, underwriter reputation, and corporate bond underpricing: Evidence from China

a b s t r a c t:

This study examines the relationship between accruals quality and the underpricing

of corporate bonds in China and how underwriter reputation affects

this relationship. We find that (1) accruals quality is negatively associated with

the magnitude of bond underpricing and (2) the impact of low accruals quality

on underpricing is partially offset by hiring reputable underwriters. A path

analysis shows that approximately 11% of the effect of accruals quality on

underpricing is attributable to the indirect path through reputable underwriters,

suggesting that accruals quality is more effective than reputable underwriters

in lowering bond underpricing. These findings are significant for initial

bond offerings, but not for secondary bond offerings. We also find that low

accruals quality is associated with more restrictive non-price contract terms

such as greater collateral requirements and stricter covenants.

_ ۲۰۱۷ Sun Yat-sen University. Production and hosting by Elsevier B.V. This

is an open access article under the CC BY-NC-ND license

  • ۴- VOLATILITY OF STOCK MARKET RETURNS AND THE NAIRA EXCHANGE RATE

a b s t r a c t:

In the wake of steadily declining oil prices, the naira-dollar (Nigeria-US) exchange rate came under

severe pressure, leading to extreme volatility in the foreign exchange rate. This study seeks to explore

volatility spillovers between stock market returns and the exchange rate due to speculation of foreign

investors in the stock market. We employed a multivariate GARCH model (VARMA-AGARCH model) to

model the transmission mechanism of mean return, return spillover and shock spillover between the

stock market and the foreign exchange market, using their return series. Results indicate the presence of a

transmission mechanism between these markets. Shock spillovers however showed a stronger unidirectional

transmission of shocks from the stock market to the foreign exchange market without

breakpoints. When breakpoints were considered, a bi-directional spillover pattern was observed across

both markets. We thus bring into perspective the role played by foreign portfolio investors in

determining the exchange rate of a small, open, emerging market economy. Short term capital flows into

emerging market securities may thus distort the long-run equilibrium of the foreign exchange market.

KEY WORDS: Stock market return, volatility, naira-dollar exchange rate, portfolio investors

  • ۵- Volatility effect and the role of firm quality factor in returns: Evidence from the Indian stock market

a b s t r a c t:

In the study, we examine if there are any volatility patterns in stock returns for India.

Data are employed for 493 companies that form part of BSE 500 index from March 2000 to November

  1. Unlike previous international evidence, no volatility anomaly is observed. Consistent

with theory, high volatility stocks significantly outperform low volatility stocks. Alternative

risk models fail to explain the volatility effect. Consistent with prior research, we confirm the

role of firm quality factor in explaining these volatility patterns. Cash flow variability seems to

be a more appropriate measure of firm quality compared to profitability.

© ۲۰۱۷ Production and hosting by Elsevier Ltd on behalf of Indian Institute of Management

Bangalore. This is an open access article under the CC BY-NC-ND license

  • ۶- CEO Social Capital, Risk-Taking and Corporate Policies

a b s t r a c t:

We provide the first direct empirical evidence of the effect of CEO social capital on aggregate

corporate risk-taking. Our theory predicts that CEOs with high social capital display higher

levels of risk-seeking behavior. Consistent with this prediction, we find a positive association

between CEO social capital and aggregate corporate risk-taking. Examining the channel, we

show that social ties cause corporate policy actions, and these actions lead to greater volatilities

in stock returns and earnings. In addition, we uncover a number of factors that significantly

moderate the effects of social capital on risk-taking. We also show that this increase in risktaking

is value-enhancing to the firm. Our results are robust to alternative proxies for risk-taking,

alternative model specifications, and tests for endogeneity

  • ۷-Volatility of aggregate volatility and hedge fund returns

a b s t r a c t:

This paper investigates empirically whether uncertainty about equity market volatility can

explain hedge fund performance both in the cross section and over time. We measure

uncertainty via volatility of aggregate volatility (VOV) and construct an investable version

through returns on lookback straddles on the Chicago Board Options Exchange (CBOE)

volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund

returns. After controlling for fund characteristics, we find a robust and significant negative

risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate

our results using statistical and parameterized proxies of VOV over a longer sample period

  • ۸- Full adoption of IFRSs in Brazil: Earnings quality and the cost of equity capital

a b s t r a c t:

The purpose of this paper is to investigate the impact of IFRS adoption on the earnings quality

and the cost of equity capital of Brazilian companies. It is assumed that an increase in information

contributes to a reduction in asymmetric information. A conjecture is that more efficient allocation

of resources will result in a reduction in the cost of capital. The results show that the

hypothesis of an increase in earnings quality after IFRS adoption holds true. The models used to

analyze the equity cost of capital suggest a reduction in the cost of capital of around 7 basis

points.

  • ۹- Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach

a b s t r a c t:

We use the k-th order nonparametric causality test at monthly frequency over the period of

۱۹۸۴:۱ to 2015:12 to analyze whether aggregate country risk, and its components (economic,

financial and political) can predict movements in stock returns and volatility of eighty-three

developed and developing economies. The nonparametric approach controls for the existing

misspecification of a linear framework of causality, and hence, the weak evidence of causality

obtained under the standard Granger tests cannot be relied upon. When we apply the

nonparametric test, we find that, while there is no evidence of predictability of squared stock

returns barring one case, at times, there are nearly 50 percent of the countries where the

aggregate risks and its components tend to predict stock returns and realized volatility.

Keywords: Country risks, returns, volatility, nonparametric higher-order causality The Role of

 

  • ۱۰- Stock Exchange Efficiency in Earnings Quality: Evidence from the MENA Region

a b s t r a c t:

This paper examines the association between stock exchange efficiency and the quality

of reported earnings for publicly listed firms from 16 MENA countries between 2001 and

  1. The study shows that there is a positive association between stock exchange efficiency

and the quality of reported earnings which is robust to potential endogeneity concerns.

Meanwhile, the strength of this relationship is not affected by the other exogenous factors

(i.e. investor protection, legal origin, economic and political shocks). These results are robust

to the inclusion of industry or country fixed effects, exclusion of oil industry, and the use of

alternative measures of earnings quality. The study contributes to the extant literature on

expanding the definition of the stock exchange efficiency that goes beyond information

efficiency. Further, as countries across MENA region are going through reforms, then a study

of the influence of such reforms on stock exchange efficiency and earnings quality provides

insights in the factors driving stock exchange efficiency in these countrie

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