-
作者：Bhattacharya, Nilabhra; Chakrabarty, Bidisha; Wang, Xu (Frank)
作者单位：Southern Methodist University; Saint Louis University
摘要：High frequency traders (HFTs) account for a significant fraction of the total market volume. Prompted by concerns that HFTs reap unfair advantages over other traders by using super-fast trading technologies, some regulatory proposals aim to curb HFTs' ultra-low-latency activities. However, research suggests that HFTs also play beneficial roles in financial markets, including liquidity provision as voluntary market makers. Currently, little is known about their role in incorporating firm-specif...
-
作者：Du, Kai; Huddart, Steven
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We propose a simple framework for understanding accounting-based stock return regularities. A firm's accounting reports provide noisy information about hidden economic states that evolve according to a Markov process. In response to the accounting reports, a representative Bayesian investor forms beliefs about the underlying state and hence the value of the firm. For a population of such firms, the model provides predictions consistent with two sets of well-documented regularities: (i) the mar...
-
作者：Bhojraj, Sanjeev
作者单位：Cornell University
摘要：This paper reviews the statement of cash flow implications of stock compensation expense and the effect it can have on valuations. The paper suggests that treating stock compensation as a noncash item in the statement of cash flows can be misleading from internal decision-making and external valuation perspectives. This is important, given the increasing role of non-GAAP cash flow disclosures in financial reporting as well as their use internally by managers. The paper quantifies the potential...
-
作者：Ding, Kexing; Lev, Baruch; Peng, Xuan; Sun, Ting; Vasarhelyi, Miklos A.
作者单位：Rutgers University System; Rutgers University New Brunswick; New York University; College of New Jersey
摘要：Managerial estimates are ubiquitous in accounting: most balance sheet and income statement items are based on estimates; some, such as the pension and employee stock options expenses, derive from multiple estimates. These estimates are affected by objective estimation errors as well as by managerial manipulation, thereby harming the reliability and relevance of financial reports. We show that machine learning can substantially improve managerial estimates. Specifically, using insurance compani...
-
作者：Glaeser, Stephen; Michels, Jeremy; Verrecchia, Robert E.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Pennsylvania
摘要：We examine the relation between manager horizon and discretionary disclosure, using patenting as a measure of disclosure. Patenting reflects, in part, a manager's decision to disclose the successful outcome of research and development (R&D). When a firm invests in R&D but does not patent, investors are unsure whether this reflects a failed R&D project or the manager choosing not to patent. We suggest that investors' beliefs about a manager's horizon-whether the manager seeks to maximize short-...
-
作者：Li, Congcong; Lin, An-Ping; Lu, Hai; Veenstra, Kevin
作者单位：Duquesne University; Singapore Management University; University of Toronto; Peking University; McMaster University
摘要：We examine how gender and beauty affect the likelihood of being voted as an All-Star in the financial analyst profession in both the United States and China. We find that female analysts are more likely to be voted as All-Star analysts in the United States, but good-looking female U.S. analysts are less likely to be voted as All-Stars. The conclusion is the opposite for Chinese analysts. We find that female analysts in China are less likely to be voted as All-Stars, but the likelihood increase...
-
作者：Cheng, C. S. Agnes; Chu, K. C. Kenneth; Ohlson, James
作者单位：Hong Kong Polytechnic University
摘要：Sales and profit margins are two popular earnings components discussed in the media. We study properties of one-year-ahead analyst forecasts of these two components. As sales are in dollar amounts and profit margin is a ratio, we propose robust statistical methods to assess and contrast their forecast properties. We find that four performance properties associated with earnings forecasts-optimism, relative accuracy with respect to benchmark model forecasts, forecast suboptimality, and serial c...
-
作者：Potepa, James
作者单位：George Washington University
摘要：Prior literature documents that CEOs are rewarded for any positive component of income and are partially shielded from negative special items. However, the incidence of and rules pertaining to nonrecurring items significantly changed over the last two decades, calling for a reassessment of earlier research. This paper finds that executives now benefit less from positive nonrecurring items and are penalized more for negative special items, compared to earlier periods. The predictive value of th...
-
作者：Lundholm, Russell; Rogo, Rafael
作者单位：University of British Columbia; Indiana University System; Indiana University Bloomington
摘要：There is a logical bound on the time-series variability of analyst forecasts; when variability exceeds this bound it must be caused by something besides statistically rational forecasting. We document occurrences of excessively volatile analyst forecasts and show that they influence investment performance. Comparing trading rules based on forecasts that are excessively volatile and those that are not, we find the returns to investing based on the former are significantly lower, with higher dai...
-
作者：Fang, Bingxu; Hope, Ole-Kristian; Huang, Zhongwei; Moldovan, Rucsandra
作者单位：University of Toronto; BI Norwegian Business School; City St Georges, University of London; Concordia University - Canada
摘要：This paper provides early but broad empirical evidence on MiFID II, which requires investment firms to unbundle investment research from other costs they charge to clients. Employing difference-in-differences matched-sample research designs with firm fixed effects, we find a decrease in the number of sell-side analysts covering European firms after MiFID II implementation, particularly for firms that are less important to the sell-side. However, research quality improves; specifically, individ...
