Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.

Earnings Management around Employee Stock Option Reissues

Abstract: We investigate market behavior in a setting where managerial incentives to manipulate earnings and market price should be apparent ex ante to market participants. We find evidence of abnormally low discretionary accruals in the period following announcements of cancellations of executive stock options up to the time the options are reissued. Nevertheless, analysts and investors are not misled. Discretionary accruals have little power in explaining stock price performance during this period. Moreover, discretionary accruals do not explain subsequent analyst forecast errors. Thus, our findings suggest that, in this transparent setting, analysts and investors do not respond to earnings management.

Liberalisation and stock market co-movement between emerging economies

Abstract: This paper investigates the impact of trade and financial liberalisation on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms aimed at opening these countries through trade and financial channels to the rest of the world. The estimation of time-varying cross-country correlations allows the econometric investigation to be performed using a panel data framework, thus raising the quality of the statistical inference. Our results offer strong support in favour of a positive impact of trade and financial liberalisation reforms on the degree of cross-country stock market linkages.

Compliance with the German Corporate Governance Code: an empirical analysis of the compliance statements by German listed companies

Abstract: In 2002, the German Corporate Governance Code was adopted. This paper examines the overall acceptance of the Code recommendations and identifies its critical standards that receive comparably less agreement among German listed companies. The study is based on the compliance declarations of 408 firms listed at the Frankfurt Stock Exchange. The findings indicate a significantly high level of Code conformity which can be expected to increase in the future. Comparative analyses reveal that company size is positively associated with the extent of Code compliance. Neuralgic norms concern the personal liability and compensation of the board members, the staffing of the boards, the structure of the supervisory board and accounting requirements.

On the origin of power law tails in price fluctuations

Abstract: In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the response of prices to transactions. They argue that the average market impact function follows a square root law, which gives power law tails for prices with exponent roughly -3. We demonstrate that the long-memory nature of order flow invalidates their statistical analysis of market impact, and present a more careful analysis that properly takes this into account. This makes it clear that the functional form of the average market impact function varies from market to market, and in some cases from stock to stock. In fact, for both the London Stock Exchange and the New York Stock Exchange the average market impact function grows much slower than a square root law; this implies that the exponent for price fluctuations predicted by modulations of volume fluctuations is much too big. We find that for LSE stocks the distribution of transaction volumes does not even have a power law tail. This makes it clear that volume fluctuations do not determine the power law tail of price returns.

An Examination of the Comprehensiveness of Corporate Internet Reporting Provided by London‐Listed Companies

Abstract: Recent changes in the regulatory environment of the London Stock Exchange are aimed at prohibiting selective disclosure and enhancing the credibility of reporting. Using an innovative 143‐item disclosure checklist, we examine corporate Internet reporting (CIR) comprehensiveness and its determinants within this new regulatory environment. We also extend the literature linking corporate governance measures to CIR. Our findings indicate that despite this new regulatory environment, there is considerable room for improvement in CIR by London‐listed companies. For example, our sample companies provide only 58 percent and 70 percent, respectively, of the credibility and usability items assessed by our comprehensiveness index. After controlling for size, profitability, industry, and high growth/intangibles, we find the CIR comprehensiveness of London‐listed companies is associated with analyst following, director holding, director independence, and CEO duality. Because prior research indicates the U.K. leads Eur...