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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
- 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
- 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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