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作者：Israeli, Doron; Lee, Charles M. C.; Sridharan, Suhas A.
作者单位：Reichman University; Stanford University; Emory University
摘要：We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with (1) higher trading costs (bid-ask spreads and market liquidity), (2) an increase in stock return synchronicity, (3) a decline in future earnings response coefficients, and (4) a decline in the number of analysts covering the firm. Collectively, our findings support the view that increased ETF ow...
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作者：Li, Bing; Liu, Zhenbin
作者单位：City University of Hong Kong; Hong Kong Baptist University
摘要：This study investigates how regulatory oversight affects the price formation of initial public offerings (IPOs). We provide evidence on the oversight role of the US Securities and Exchange Commission (SEC) by examining the effects of comment letters issued by the SEC in the process through which companies are initially listed. We find that IPO issuers reduce their offer price if they receive comment letters. The reduction in price from the IPO filing date to the final issue date is greater whe...
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作者：Barth, Mary E.; Gomez-Biscarri, Javier; Kasznik, Ron; Lopez-Espinosa, German
作者单位：Stanford University; Pompeu Fabra University; University of Navarra
摘要：Based on a large sample of publicly listed and non-listed US commercial banks from 1996 to 2011, we find robust evidence consistent with banks using realized available for sale (AFS) securities gains and losses to smooth earnings and increase low regulatory capital. We also find that (i) banks with positive earnings smooth earnings, and banks with negative earnings generally take big baths; (ii) regulatory capital constrains big baths; (iii) banks with more negative earnings and more unrealize...
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作者：Shevlin, Terry; Thornock, Jacob; Williams, Braden
作者单位：University of California System; University of California Irvine; Brigham Young University; University of Texas System; University of Texas Austin
摘要：This study uses state tax amnesties to examine how firms respond to forgiveness-particularly repeated forgiveness-by a taxing authority. We posit that tax forgiveness programs alter taxpayer perceptions of the probability of detection by enforcers or the probability of future forgiveness programs, either of which could affect future tax aggressiveness. We find that firms headquartered in an amnesty-granting state increase state income tax aggressiveness following the first instance of tax amne...
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作者：Amel-Zadeh, Amir; Barth, Mary E.; Landsman, Wayne R.
作者单位：University of Oxford; Stanford University; University of North Carolina; University of North Carolina Chapel Hill
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作者：Cassar, Gavin; Gerakos, Joseph
作者单位：INSEAD Business School; Dartmouth College
摘要：We examine hedge fund risk management practices and their association with left-tail risk during the 2008 financial crisis. Consistent with risk management practices reducing left-tail risk, funds in our sample that use formal risk models performed significantly better in the extreme down months of 2008. We find no evidence that having either position limits or a dedicated head of risk management is associated with reduced left-tail risk. Funds employing value at risk models had more accurate ...
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作者：Easton, Peter; Zhang, Xiao-Jun
作者单位：University of Notre Dame; University of California System; University of California Berkeley
摘要：Other comprehensive income (OCI) items are often considered to be transitory (Chambers et al. 2007; IASB 2013; CFA2014). In this paper, we show that a significant portion of OCI, namely unrealized gains and losses (UGL) from available-for-sale (AFS) debt securities, is non-transitory: a negative correlation between accumulated unrealized gains and losses in the current period and next period UGL is predicted, and we show that this correlation is economically and statistically significant. This...
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作者：Demerjian, Peter R.
作者单位：University of Washington; University of Washington Seattle
摘要：I examine the use of financial covenants when contracting for debt under uncertainty. Uncertainty, in the context of this study, is a lack of information about future economic events and their consequences for the borrower's creditworthiness. I examine the implications of ex ante uncertainty that is resolved by information received following loan initiation but prior to maturity. I argue that financial covenants, by transferring control rights ex post, provide a trigger for creditor-initiated ...
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作者：Anantharaman, Divya
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：The increasing use in financial reporting of estimates prepared by specialists has raised questions on the role these specialists play in financial reporting quality. In the setting of defined-benefit pension accounting-where the pension actuary is involved as a specialist-I examine whether pension sponsors with strong incentives to improve reported funding status pressure their actuaries for aggressive (obligation-reducing) assumptions. Among these sponsors, I find that those that are economi...
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作者：Chen, Ester; Gavious, Ilanit; Lev, Baruch
作者单位：Ben-Gurion University of the Negev; New York University
摘要：Studies comparing IFRS with U.S. GAAP generally focus on differences in the attributes and consequences of the recognized financial items. We, in contrast, focus on voluntary disclosure resulting from arguably the most significant difference between IFRS and GAAP: the capitalization of development costs-the D of R&D-required by IFRS but prohibited by GAAP. Using a sample of Israeli high-technology and science-based firms, some using IFRS and others U.S. GAAP, we document a significant external...
