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Showing papers in "Accounting and Finance Research in 2012"


Journal ArticleDOI
TL;DR: In this paper, the effects of behavioural biases on security market performance in Nigeria were investigated using a primary data approach to examine the extent of behavioral biases among security market investors in Nigeria.
Abstract: Behavioural biases describe a replicable pattern in perceptual distortion, inaccurate judgment, illogical interpretation, or what is broadly called irrationality. This paper adopts a primary data approach to investigate the effects of behavioural biases on security market performance in Nigeria. The objectives are in twofold: one, to examine the extent of behavioural biases among security market investors in Nigeria and, to examine the effects of behavioural biases on stock market performance in Nigeria. The paper employed questionnaire as instrument and the technique of correlation with Pearson Product Moment Coefficient to analyze a survey of 300 randomly selected investors in Nigeria security market. We find strong evidence that behavioural biases exists but not so dominant in the Nigeria security market because a weak negative relationship exists between behavioural biases and stock market performance in Nigeria. The paper recommends that individual investors in the market should engage the services of investment advisors which will reduce personal biases in the management of their portfolios.

54 citations


Journal ArticleDOI
TL;DR: In this paper, the authors investigated the effect of perceived stress on the academic performance of accounting students and found that female accounting students reported higher stress scores than their male counterparts, and the results indicated that this phenomenon affected their academic performance negatively.
Abstract: This paper has three objectives. First, we investigate the effects of perceived stress on the academic performance of accounting students. Second, we examine the association of Facebook use with perceived stress. Third, we investigate the effect of Facebook usage on accounting students’ academic performance. To measure the perceived stress we used the Perceived Stress Scale developed in the prior research for the shorter version and used it to collect data from accounting students at two universities. We found that female accounting students reported higher stress scores than their male counterparts. In addition, the results indicated that this phenomenon affected their academic performance negatively. African American accounting students were more likely to report higher stress scores than their non-African American counterparts. Further investigation showed that African American students are more likely to live alone or to live in the dorm. They are also more likely to be working while going to school. Our analysis shows that higher Facebook use is associated with stress and the respondents in our sample, who used Facebook while studying, reported higher levels of stress and were less in control of things. Finally, our results show that accounting students who use Facebook while studying experienced lower academic performance after controlling for stress.

49 citations


Journal ArticleDOI
TL;DR: In this article, the authors used the serial correlation technique of data analysis to test for independence of successive price movement and the distributive pattern while runs test was used to test the randomness of share price movement.
Abstract: This study aims at testing the weak form of efficient market hypothesis in the Nigerian capital market. The scope of the study consist of all securities traded on the floor of the Nigerian Stock Exchange and the month end value of the All Share Index from 2001 – 2010 constitute the data analyzed. The serial correlation technique of data analysis was used to test for independence of successive price movement and the distributive pattern while runs test was used to test for randomness of share price movement. The result of the serial correlation shows that the correlation coefficients did not violate the two-standard error test. Furthermore, the Box-Ljung statistic shows that none of the serial correlation coefficients was significant and the Box pierce Q statistics shows that the overall significance of the serial correlation test was poor while the result of the distribution pattern shows that stock price movements are approximately normal. on the basis of this findings ,we conclude that successive price changes of stocks traded on the floor of the Nigerian Capital Market are independent and random therefore, the Nigerian Capital Market is efficient in the weak-form.

37 citations


Journal ArticleDOI
TL;DR: In this article, the co-movement pattern of 67 stock market indices in the past five years is studied and a network approach is proposed to analyze the interdependence of individual stock markets.
Abstract: This paper studies the co-movement pattern of 67 stock market indices in the past 5 years. In order to capture the complex interaction of the stock markets, we propose a network approach to analyze the interdependence of the individual stock markets. Specifically, stock markets are considered as network nodes, and the network links (weights of links) are defined by the dynamic conditional correlation between market indices. We reveal the structure dynamics of global stock market integration by examining the variation of the network parameters as time elapses. We show that global stock markets have time-varying synchronization, and that developed markets tend to demonstrate stronger integration while emerging markets are statistically independent of each other. Furthermore, we show that stock markets of different countries generally behave in a synchronous manner when they experience fluctuation. This volatility spillover or financial contagion phenomenon is especially notable in the frontier markets. Our work exposes the interdependence of stock markets in the world and proposes a network approach to identifying some salient global behavior of the interconnecting markets.

18 citations


Journal ArticleDOI
TL;DR: In this paper, the authors used an expanded version of the DuPont system of financial analysis to perform a financial analysis of a bank using disaggregated data to computer return on assets.
Abstract: In this paper, we use an expanded version of the DuPont system of financial analysis to perform a financial analysis of a bank using disaggregated data to computer return on assets. The DuPont system of financial analysis is based on return on equity which is based on net profit margin, total asset turnover, and the equity multiplier. We further disaggregate net profit margin into three components: return on loans, return on securities, and return on other assets using supplementary data provided in the SEC filings of Monarch Bank. The analysis covers the period from 2003 to 2010. Our analysis demonstrates that return on assets for Monarch Bank derives primarily from return on loans. That is, 86% of the investment weighted return on assets for Monarch Bank derives from return on loans.

12 citations


Journal ArticleDOI
TL;DR: In this article, the authors examined the IPO syndicate data to investigate whether the gross spread compensates investment banks for analyst coverage, and they found evidence to support the premise that gross spread is used to compensate lead underwriters for coverage when the lead underwriter has a strong bargaining power to advantageously shape up the compensation structure.
Abstract: Since underpricing and gross spread are the two main revenue sources for investment banks in public offerings and Cliff and Denis (2004) find that underpricing is used to compensate analyst coverage, this paper examines the IPO syndicate data to investigate whether the gross spread compensates investment banks for analyst coverage. We find evidence to support the premise that the gross spread is used to compensate lead underwriters for analyst coverage when the lead underwriter has a strong bargaining power to advantageously shape up the compensation structure. After accounting for several critical issues, our results remain unchanged.

11 citations


Journal ArticleDOI
TL;DR: In this article, the authors investigated the determinants of Nigerian banks' performance from 1999 to 2010 while taking into consideration the intervening effect of global financial condition and found that only assets quality and market concentration are significant determinants.
Abstract: The global financial crisis had devastating effect on both developed and developing economies. In Nigeria, the effect of the crisis swerve through the major sectors of the economy with the banking sector greatly affected. This study investigates the determinants of Nigerian banks’ performance from 1999 to 2010 while taking into consideration the intervening effect of global financial condition. The data of the study, which were extracted from annual reports of the banks as well as various publications of Central Bank of Nigeria and Nigerian Deposit Insurance Corporation, were treated statistically using multiple regressions. The study provides evidence indicating that in the presence of the effect of global financial condition, only assets quality and market concentration are significant determinants of the Nigerian banks’ performance. By implications, these findings suggest the need to keep nonperforming assets at minimum and introduce a policy to encourage fair competition among the banks operating in Nigeria in order to check concentration of banking services among only few banks.

11 citations


Journal ArticleDOI
TL;DR: In this article, the dynamics of volatility transmission from mature global stock markets of France, Germany, UK and the US to MENA (Middle East and North African) markets of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia, and the United Arab Emirates are modeled.
Abstract: The objective of this paper is to model the dynamics of volatility transmission from mature global stock markets of France, Germany, UK and the US to MENA (Middle East and North African) markets of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia, and the United Arab Emirates. GARCH, TGARCH models of returns are estimated to determine evidence of volatility spillover from global mature markets to emerging or less mature markets of MENA region. We find evidence of different level of volatility spillover and leverage effect. This varying response to global stock market shocks reveals that MENA stock markets are not fully integrated with global economy.

10 citations


Journal ArticleDOI
TL;DR: In this paper, the authors identify the challenges of corporate governance faced by directors in the Nigerian banking sector and recommend that shareholders should be legally required and encouraged and the level of such activism should be reported upon by the chairman in his statement and the auditors in their report.
Abstract: A healthy corporate governance culture is imperative in the banking sector where the retention of public confidence remains of utmost importance. In this regard, the board of directors are the essential fulcrum upon which the mechanisms of corporate governance and management rest. In Nigeria, however, poor corporate governance has been identified as one of the major factors in virtually all known instances of distress in banks. This is taking place against the backdrop of the existence of Code of Corporate Governance for organizations (including banks) in Nigeria. This contradiction is evaluated in this study which seeks to identify the challenges of corporate governance faced by directors in the Nigerian banking sector. Using the ex-post facto research design, this study draws on the views of executive and non-executive directors of banks in Nigeria, applying simple percentages, averages and rank order as statistical tools for the analysis of data. The study reveals the major challenges of corporate governance as the ineffectiveness of audit committees and lack of shareholder activism. The study recommends, amongst others that, shareholder activism should be legally required and encouraged and the level of such activism should be reported upon by the chairman in his statement and the auditors in their report. Similarly, audit committee should be responsible for hiring, firing and recommending the fees for non-executive directors and external auditors.

10 citations


Journal ArticleDOI
TL;DR: In this paper, the authors investigate risk-taking following CEO succession and whether age affects CEO succession, finding that, except when the predecessor CEO was forced to leave, successor CEOs tend to entrench the status quo in terms of age.
Abstract: CEO successions are major corporate events with the potential to change corporate direction. We investigate risk-taking following CEO succession and whether age affects CEO succession. In 679 CEO successions occurring between 1992 and 2005 in 650 small, medium and large-cap North American firms, we find that, except when the predecessor CEO was forced to leave, successor CEOs tend to entrench the status quo in terms of age. Board age has implications for corporate risk taking, with older boards being associated with less firm risk taking.

10 citations


Journal ArticleDOI
TL;DR: In this paper, the authors examined time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange and found that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk.
Abstract: This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset pricing implication here is that investors demand a higher required rate of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in beta risk for all the sector indices and, finally, in contrast to studies which examine developed markets, there is no statistical evidence of volatility asymmetry in these industries. This suggests that ‘good’ and ‘bad’ news exert an equal impact on the conditional variance process on Chinese stock prices.

Journal ArticleDOI
TL;DR: In this paper, the interaction between government and financial institutions in the operation of a company through the relationship of the main bank system and the system of amakudari (appointing retired bureaucrats to the boards of public companies) is investigated.
Abstract: This paper investigates the interaction of government and financial institutions in the operation of a company through the relationship of the main bank system and the system of amakudari (appointing retired bureaucrats to the boards of public companies) Consistent with resource dependency theory, the empirical results suggest that governments and financial institutions tend to appoint representatives to the board in order to help troubled companies However, a negative relationship is established between the presence of such amakudari and subsequent firm performance Thus, while the system of amakudari may use its influence in an attempt to save troubled companies, it is possible that, as suggested by agency theory, the monitoring ability of the board may consequently be jeopardized to the detriment of overall firm performance

Journal ArticleDOI
TL;DR: This article found that compound interest concepts are strongly correlated with overall financial literacy and that financial planners may act as partial compensation for a lack of financial literacy, especially among the wealthy, and developed tools that help potential clients engage and assess the work of financial managers, including both self-assessment and objective finance questions on planners' client intake surveys.
Abstract: Late career workers with lump-sum retirement plans face important financial decisions. Because ability and confidence interact when making financial decisions, this paper asks two related questions: Are workers approaching retirement financially capable of making decisions regarding lump-sum retirement benefits? Do they see themselves as capable? Comparing self-assessed measures of financial capacity to more objective measures reveals patterns of under and overconfidence in financial matters by socio-economic group. Comparing questions correlation to overall score, compound interest concepts are found to be strongly correlated with overall financial literacy. Findings suggest that financial planners may act as partial compensation for a lack of financial literacy, especially among the wealthy. This papers findings support: (1) developing tools that help potential clients engage and assess the work of financial managers, (2) including both self-assessment and objective finance questions on planners’ client intake surveys and (3) facilitating client understanding of compound interest concepts.

Journal ArticleDOI
TL;DR: In this article, the authors proposed a simple framework to examine the link between analysts' target prices and their stock recommendations and found that the favorablity of stock recommendations is positively associated with the deviation of the ratio of target price to price from the benchmark return.
Abstract: In this study, I propose a simple framework to examine the link between analysts’ target prices and their stock recommendations. I hypothesize that the favorableness of stock recommendations is positively associated with the deviation of the ratio of target price to price from the benchmark return. I employ three widely used models to proxy for the benchmark return: the CAPM, Fama and French (1993) 3-Factor Model and Carhart (1997) 4-Factor Model. I find results consistent with my hypothesis. Both contingency table and regression analysis support the prediction that analysts issue more favorable recommendations to stocks with a higher difference between the ratio of target price to price and the benchmark return. I further investigate whether this positive association is due to analysts’ perception about risk or mispricing. I use firm characteristics as the explanatory variables to examine how analysts incorporate them into their outputs. I find evidence that target prices are associated with growth variables the same way as recommendations are. However, I am not able to completely rule out the risk interpretation. Therefore, the mechanism underlying the link between analysts’ target prices and stock recommendations is not conclusive.

Journal ArticleDOI
TL;DR: This article examined the relation between audit fees and managerial incentives in the mutual fund industry and found that audit fees are higher when managerial incentives are poor, and that managerial incentives were correlated with audit fees.
Abstract: We examine the relation between audit fees and managerial incentives in the mutual fund industry. Using proxies for managerial incentives based on fund organizational form, advisor compensation, and fund expenses, we find that audit fees are higher when managerial incentives are poor. Our results represent new evidence on the relation between audit fees and managerial incentives.

Journal ArticleDOI
TL;DR: In this article, the authors examined the abnormal returns around the publication dates of the Barron World's Best CEOs issues along with longer-term, risk-adjusted performance and explored the effect of the listing on the compensation of CEOs included in the ranking.
Abstract: We examine the abnormal returns around the publication dates of the Barron World’s Best CEOs issues along with longer-term, risk-adjusted performance. One specific focus of the paper is whether the inclusion in the Barron ’s survey leads to an increase in positive “affect” of the firms as suggested by Statman, Fisher, and Anginer (2008) in the case of Fortune ’s most admired firms. In addition, we explore the effect of the listing on the compensation of CEOs included in the ranking. We find a negative share price response to the release of Barron’s list. The Best CEOs portfolio return is indistinguishable from the S & P 500 on a longer-term basis, and it underperformed against constructed matched samples, with no differences in risk adjusted returns. Profitability did not increase for selected firms in the post-announcement period and no patterns exist in terms of changes in CEO compensation are associated with the CEO’s inclusion in Barron’s list.

Journal ArticleDOI
TL;DR: In this article, the authors investigated how returns on the S&P 500 index respond orthogonally to dividend yield and price-to-earning innovations, and they showed that the response of returns to dividend yields is positive in the first three months, negative in the 4th through 7th months, and positive again after that.
Abstract: This study investigates how returns on the S&P 500 index respond orthogonally to dividend yield and price-to-earning innovations. The unrestricted vector autoregression (VAR) analysis of monthly data from 1871 to 2012 shows that the response of returns on the S&P 500 index to dividend yield innovation, based on the 12-month horizon, is positive in the first three months, negative in the 4th through 7th months and positive again after that. The returns on the S&P 500 index are negative in the first five months following price-to-earning shock. The Granger causality tests indicate a causal link between returns on the S&P 500 index, dividend yield and price-to-earning. This study offers an important implication for asset management and valuation.

Journal ArticleDOI
TL;DR: The authors analyzes the relationship between a firm's demand for different quality auditors and opportunities for earnings management and shows that firms that choose a high level of bias also choose a low-quality auditor, even though the market-maker makes a correction for the level of residual bias in audited reports.
Abstract: This paper analyzes the relationship between a firm’s demand for different quality auditors and opportunities for earnings management.In our model, the firm simultaneously chooses the bias it introduces into its pre-audited earnings and the quality of its auditor. We show that firms that choose a highlevel of bias also choose a low-quality auditor, even though the market-maker makes a correction for the level of residual bias in audited reports. Firms that choose a low level of bias choose a high-quality auditor.We also study the effect of changes in the regulatory environment on the market equilibrium.Our analysis shows that stricter regulation leads to more firms choosing low-quality auditors, thus it is not in the interest of high quality auditors to support such measures.

Journal ArticleDOI
TL;DR: In this article, the authors assess whether the liquidity of a closed-end mutual fund's investments is related to the management fee charged by the fund's investment advisor and find a significantly positive relationship between the percentage of level 3 assets (the least liquid securities) and management fees.
Abstract: In this study, we assess whether the liquidity of a closed-end mutual fund’s investments (measured based on the fund’s fair value disclosures) is related to the management fee charged by the fund’s investment advisor. We posit that there will be incremental effort on the part of the advisor to identify and analyze less liquid investments, and that fund investors would be willing to pay for these incremental costs to access less-liquid segments of the market. Consistent with this expectation, we find a significantly positive relationship between the percentage of level 3 assets (the least liquid securities) and management fees. However, we do not find a significant relationship between level 2 securities (which are more liquid than level 3, but less liquid than level 1) and management fees. Overall, our results suggest that investments in the least liquid securities result in higher management fees.

Journal ArticleDOI
TL;DR: In this paper, a board member is defined as independent if they did not know the CEO prior to becoming a director, was not nominated by a firm insider, and was not previously affiliated with the company, and the independent directors so defined are more likely to hold the CEO responsible for poor performance and less likely to receive much of their compensation from the directorship.
Abstract: Recent financial events have raised questions whether social networks between directors and the firm can influence the actions of nominally independent directors. Using data from a national survey conducted in 2006-2007, we use measures based on the informal links between directors and firms to re-examine director independence. We define a board member to be independent if they did not know the CEO prior to becoming a director, was not nominated by a firm insider, and was not previously affiliated with the company. We find that the independent directors so defined are more likely to hold the CEO responsible for poor performance and less likely to receive much of their compensation from the directorship. They are also as likely as insider directors to express a concern about corporate citizenship and CEO ethical misconduct. Our survey shows that unmeasured networks between boards and management have an important bearing on the board’s operation.

Journal ArticleDOI
TL;DR: In this paper, the authors compared the financial characteristics of German and French manufacturing firms with the MANOVA (multivariate analysis of variance) statistical technique and found that German manufacturing firms have significantly higher liquidity, asset turnover, and equity ratios compared with their French counterparts.
Abstract: Comparing the financial characteristics of different groups of firms with financial ratios has been a popular methodology in finance. In this paper, we compare the financial characteristics of German and French manufacturing firms with the MANOVA (multivariate analysis of variance) statistical technique. Germany and France are members of the European Union and they have fully integrated economies with a common currency and yet, we find that financial characteristics of German and French manufacturing firms are significantly different. German manufacturing firms have significantly higher liquidity, asset turnover, and equity ratios compared with French manufacturing firms. Despite a high level of economic integration, German and French manufacturing firms appear to preserve their deep-rooted country business traditions. German manufacturing firms lower their technical insolvency risk by maintaining a significantly higher level of liquidity compared with French manufacturing firms. German manufacturing firms also reduce their bankruptcy risk by using more equity financing and less debt financing compared with their French counterparts. The profitability and sales growth ratios of manufacturing firms in the two countries are not significantly different. Although asset turnover ratios are higher in German manufacturing firms than in French manufacturing firms, French firms are able to boost their return on equity to the level in German manufacturing firms by using more debt financing and financial leverage.

Journal ArticleDOI
TL;DR: In this article, the authors examined a group of nonprofits rated four stars by Charity Navigator and found that these organizations are less vulnerable than their lower rated peers in terms of excess cash holdings, compensation expenses, and sensitivity of compensation to performance.
Abstract: This study examines a group of nonprofits rated four stars by Charity Navigator. The purpose is to determine whether this select group of charities exhibits characteristics associated with top charitable organizations, or whether the four-star rating achieved is limited to the more narrow financial metrics employed in the methodology utilized by Charity Navigator. This study finds that organizations rated four stars by Charity Navigator show a lower level of excess cash holdings, report a lower level of compensation expenses and exhibit lower sensitivity of compensation to performance. Financially, these organizations are less vulnerable than their lower rated peers. The results from this study shed light on the continuing debate of the effectiveness of rating agencies to accurately identify top performing charitable organizations.

Journal ArticleDOI
TL;DR: This article investigated the impact of increased disclosures required by Financial Accounting Standards Board (FASB) Financial Interpretation No. 46 (FIN 46) Consolidation of Variable Interest Entities and the Sarbanes-Oxley Act of 2002 (SOX).
Abstract: This study investigates the impact of increased disclosures required by Financial Accounting Standards Board (FASB) Financial Interpretation No. 46 (FIN 46) Consolidation of Variable Interest Entities and the Sarbanes-Oxley Act of 2002 (SOX). Our results indicate that the maximum risk disclosures required under FIN 46 were only marginally priced, although differences exist across type of VIE and whether the structure was ultimately consolidated. Further, while all firms experienced decreases in idiosyncratic risk around this time of increasing regulatory scrutiny and upon adoption of SOX, only the off-balance sheet disclosures required by FIN 46 appear to have significantly altered firm idiosyncratic risk beyond the general provisions of SOX. Our study has implications for accounting regulators determined to design effective investor protection regulation.

Journal ArticleDOI
TL;DR: In this article, the authors apply option pricing theory to more fully evaluate investment decisions, and illustrate the economic valuation of multi-stage investment decisions as simple or compound options, possibly with barrier option features.
Abstract: Traditional project evaluations rely mainly on Net Present Value methodology, and largely ignore the flexibilities available to the sponsor to vary the project after initiation. Real Options Analysis remedies this by applying option pricing theory to more fully evaluate investment decisions. Through several hypothetical gold-mining examples, we illustrate the economic valuation of multi-stage investment decisions as simple or compound options, possibly with barrier option features. Barrier options are common in foreign exchange markets, and also arise in our analysis. The decision to delay commencement contingent on commodity prices rising requires an up-and-in type barrier option, whereas the risk of project nationalization may be modeled by adding an up-and-out barrier feature. Other barrier option features also arise in a Real Options context. We apply recently developed valuation methods for compound and barrier exotic options to several gold-mining examples, and present closed form valuation formulae which we numerically implement using Excel spreadsheet software.

Journal ArticleDOI
TL;DR: In this paper, the authors make an empirical study on the relationship of scale of rural finance development, structure of Rural Finance Development, rural finance efficiency and peasant income growth, and show that there is a positive correlation among peasant income and scale, structure, and efficiency.
Abstract: Using to the relative data from 1989-2010 in Sichuan province, with ADF unit root test, cointegration test, error correction model and Granger causality test, we make an empirical study on the relationship of scale of rural finance development, structure of rural finance development, rural finance development efficiency and peasant income growth. The empirical results show that: there is positive correlation among peasant income and scale, structure of rural finance development, on the other hand, there is negative correlation between peasant income and rural finance development efficiency. The result of Granger causality test shows that there is no cause-and-effect among peasant income and the scale, structure, and efficiency of rural finance development.

Journal ArticleDOI
TL;DR: In this paper, the authors proposed a sufficient condition for the absence of rational bubbles in the commodity market: that the first differences of real prices are stationary, and applied this approach to the US crude oil and natural gas markets from 3 January 2007 to 30 December 2011.
Abstract: In order to hedge price-fluctuation risks, to derive fair prices, and to operate fundsas a new asset class, both expectations and concerns about commodity markets have been increasing.This paper proposes a sufficient condition for the absence of rational bubbles in the commodity market: that the first differences of real prices are stationary. This condition is proposed on the assumption that products of the convenience yield and the real prices are stationary. By applying this approach to the US crude oil and natural gas marketsfrom 3 January 2007, to 30 December 2011, the absence of rational bubbles in both markets can be verified.One should interpretthese large price fluctuations as caused by much larger income elasticity than price elasticity.These prices reflect thefundamental values of these commodities.

Journal ArticleDOI
TL;DR: In this paper, the authors examined the relationship between the turnover of high-level executives and firm performance in Taiwan and found that longer management tenure does not lead to improvement in firm performance and may result in negative market valuations.
Abstract: This study examines the relationship between the turnover of high-level executives and firm performance in Taiwan. Prior studies of executive turnover focus solely on changes to a firms’ Chief Executive Officer (CEO), Board of Director (BOD) Chair, or Chief Financial Officer (CFO). This study is the first to include the role of Chief Accounting Officers (CAO) in our analysis and investigation of executive turnover and its effect on firm performance. Chief Accounting Officers of Taiwanese firms, are required to certify financial statements and provide assurance of financial reporting, a special requirement unique to Taiwan. Additionally, our study weighs factors of family-owned business and the tenure of executives against their effect on firm performance. Our results suggest a negative association between executive turnover and accounting performance; market performance of price to book ratio (PB ratio), however, is not significantly related to various types of turnovers except the turnover of the CEO. Moreover, our findings demonstrate that longer management tenure does not lead to improvement in firm performance and may result in negative market valuations.

Journal ArticleDOI
TL;DR: In this paper, the authors find abnormally high December volume for depressed stocks, but little or no effect on prices, likely due to their low liquidity and limited trading volume, while the tax-harvesting strategy should lead to a surge in the year-end sales of stocks whose prices have declined during the year, and additional downward pressure on their prices.
Abstract: A capital gain or loss only has tax consequences if the asset is sold. This tax rule creates an incentive for realizing losses but not gains. If investors implement this tax-harvesting strategy, there should be a surge in the year-end sales of stocks whose prices have declined during the year, and additional downward pressure on their prices. Previous studies have found evidence of volume and price effects, particularly for small stocks. In contrast, our analysis of the components of the Dow Jones Industrial Average finds abnormally high December volume for depressed stocks, but little or no effect on prices—evidently because of their liquidity.

Journal ArticleDOI
TL;DR: In this article, the authors examined the information links between daytime and overnight trading sessions in the E-mini futures markets and found that the overnight session facilitates an efficient flow of information from one day to the next, thereby mitigating the pricing errors in the process.
Abstract: In this study, we examine the information links between daytime and overnight trading sessions in the E-mini futures markets. Our analysis includes the overnight session which hitherto remains unexplored in the E-mini literature. Overall, the results suggest that, for the sample period considered, despite being 24-hour markets, the daytime and overnight sessions appear to be segmented and that the daytime session behaves like a separate daytime market. Also, the overnight session facilitates an efficient flow of information from one daytime session to the next, thereby mitigating the pricing errors in the process.

Journal ArticleDOI
TL;DR: In this article, the authors investigated the effect of changes in pre-trade transparency on trading strategies and trading costs by examining the effects of increased transparency in the limit order book at the Taiwan Stock Exchange.
Abstract: This paper investigates the effect of changes in pre-trade transparency on trading strategies and trading costs by examining the effects of increased transparency in the limit order book at the Taiwan Stock Exchange. Our results demonstrate that pre-trade transparency makes the market more liquid, because investors are more willing to provide liquidity, thus reducing the trading costs for liquidity demanders. Furthermore, we find evidence that investors, especially institutional traders, attempt to manage limit-order exposures by splitting orders and canceling orders faster; thus, pre-trade transparency does not increase their trading costs. Our findings suggest that pre-trade transparency affects trading strategies and trading costs differently according to the type of investor.