Good and Bad News on Capital Market Return Ellipticity

2009 ◽  
Vol 37 (2) ◽  
pp. 209-210
Author(s):  
Martin Eling ◽  
Luisa Tibiletti
Keyword(s):  
Capital Market ◽  
Bad News ◽  
Market Return

Capital Market Consequences of Audit Office Size: Evidence from Stock Price Crash Risk

2020 ◽  
Vol 39 (2) ◽  
pp. 1-26
Author(s):  
Jeffrey L. Callen ◽  
Xiaohua Fang ◽  
Baohua Xin ◽  
Wenjun Zhang
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Bad News ◽  
Crash Risk ◽  
Public Firms ◽  
Big 4 ◽  
Empirical Tests ◽  
Office Size ◽  
Market Consequences ◽  
Robust Evidence

SUMMARY This study examines the association between the office size of engagement auditors and their clients' future stock price crash risk, a consequence of managerial bad news hoarding. Using a sample of U.S. public firms with Big 4 auditors, we find robust evidence that local audit office size is significantly and negatively related to future stock price crash risk. The evidence is consistent with the view that large audit offices effectively detect and deter bad news hoarding activities in comparison with their smaller counterparts. We further explore two possible explanations for these findings, the Auditor Incentive Channel and the Auditor Competency Channel. Our empirical tests offer support for both channels. JEL Classifications: G12; G34; M49.

Gains from Integration? An Empirical Hint from the Eurozone

2020 ◽  
Vol 28 (3) ◽  
pp. 483-512
Author(s):  
Ku-Hsieh Chen ◽  
Jen-Chi Cheng ◽  
Joe-Ming Lee ◽  
Chih-Chun Chen
Keyword(s):  
Risk Factor ◽  
Panel Data ◽  
Emerging Economies ◽  
Capital Market ◽  
Risk Premium ◽  
Output Growth ◽  
Market Return ◽  
Productivity Gain ◽  
Group A ◽  
Degree Of Risk

Has the eurozone (EZ) really gained from integration? This study applied two econometric frameworks, mGARCH and gMMPI, to test this hypothesis, using panel data that span 1996–2014, a total of 19 years, involving the EZ, EU, G8, G20 and some emerging economies. The empirical outcomes initially showed that the EZ economies experienced neither superior output growth nor a better capital market return than non-EZ economies or the pre-EZ period. They further suggested that each EZ country had a higher degree of risk bearing and, as a group, a greater risk linkage. Moreover, the results indicated that the EZ had a higher productivity gain if the risk premium was counted as part of productivity. Nonetheless, the EZ did not show a substantial productivity gain when the effect of the risk factor was controlled. The ratio of risk bearing to risk premium gain was shown to be 1 to 0.97. The general conclusion is that, other than the risk premium, there was no extra productivity gain for the EZ from taking the risk.

PENGARUH EKSPOR, IMPOR DAN NILAI KURS TERHADAP INFLASI DAN DAMPAKNYA TERHADAP RETURN PASAR DI BURSA EFEK INDONESIA

2015 ◽  
Vol 3 (1) ◽  
Author(s):  
Akhmad Sodiqin
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Market Data ◽  
Market Return ◽  
Macro Variables

The aim of this research is to analyze influence of macro variables which is expor, import and exchange to inflation partially or siumltanously and its impact to market return in capital market. Data which used to analyze that taken form 2011 untill 2013 of the year. Based on analyze, it concluded that export, import, exchange rate and inflation didn’t influence to inflation partially or simultanously which hapenned from 2011 untill 2013. Based path analyzes conncluded that export, import and exchange rate didn’t influence to market return through inflation.

scholarly journals Type of Traders’ Effect on Risk and Return: The Case of Egyptian Stock Exchange

2016 ◽  
Vol 8 (2) ◽  
pp. 256
Author(s):  
Aly Saad Mohamed Dawood ◽  
Khairy El-Giziry
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Garch Model ◽  
Market Returns ◽  
Market Values ◽  
Market Return ◽  
Lag Structure ◽  
Egyptian Stock Exchange

<p>This research paper aims to estimate the effect of investor categories (Foreigners, Arab, Egyptian institutions and individuals) trading volume, value and number of transactions on capital market returns and volatility.  </p><p>We depend on data Foreigners, Arabian and Egyptian trading volume, values and number of transaction of buying and selling for institutions and individuals and capital market values for the period from January 1st 2009 to December 31 2013.</p><p>We used descriptive statistics to identify normal distribution of data. Then, performing lead lag structure approach to obtain the optimum lag for the independent variable which has the maximum correlation with the dependent variable. Next, Garch model utilized to estimate the effect of trading volume, value, number of transactions on capital market return and volatility. Finally, the same model utilized to estimate the effect of investor categories on capital market return and volatility for the six periods starting from January 1<sup>st</sup> 2009 to December 31 2013 which represents the whole period and five yearly periods for the same period.</p><p>We found that institutions are the main source of volatility in the Egyptian stock market. Garch models showed weak effect on volatility for all periods. In the light of this study Foreigners and trading value items are the main source of effect on volatility. Finally, consistent with Chou (1988), the findings of GARCH model indicated that volatility persistence is less than unity which revealed that the Egyptian stock market could absorb shocks across time.</p>

scholarly journals An Analysis of Sharia and Conventional Shares’ System at Indonesia Stock Exchange

2020 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Hersugondo Hersugondo ◽  
Cholimatul Sadiyah ◽  
Eka Handriani ◽  
Herry Subagyo ◽  
Sih Darmi Astuti
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Bad News ◽  
Good News ◽  
Risk Level ◽  
Volatility Risk ◽  
The Third ◽  
The Stability ◽  
High Level ◽  
Real Assets

There are lots of alternative investing. It is started from investment real assets, securities, from conventional and manifold sharia. Islamic Capital market and conventional have some type securities which have different risk level of risks. A stock is one of securities among other securities that have the high level of risk. One of the risks that exists in the stock is fluctuations price, it is commonly called as volatility. The aim of this research is to identifiy the risk of sharia stock and conventional stock in Indonesia Stock Exchange (BEI) by using Jakarta Islamic Indekx (JII) and LQ45 Indeks variabels. In our research, we use time series started on 1 January 2015 to 10 October 2016 from yahoo finance with ARCH/GARCH and EGARCH models processed by Eview 8. Based on research finding with GARCH and EGARCH, this research tends to EGARCH. The fist finding shows that volatility stock JII lower, 0,075 than LQ45 0,0316. If volatility is higher, it means the stability degree lower. Both of those stocks are dominated by bad news and good news. Between JII and LQ45, the news respon is higher on LQ45. It means the volatility risk impact higher on LQ45. The third finding is the JII forecasting results through EGARCH has refrection proportion JII has smaller 0,194 than LQ45 0,678. It means that JII volatility is lower than LQ45.

scholarly journals The Effect of Board Composition on Conservatism: Empirical Evidence from Tehran Stock Exchange (TSE)

2012 ◽  
Vol 3 (1) ◽  
pp. 17-24
Author(s):  
Keramat Ollah Heydari ◽  
Saber Samadi . ◽  
Hamid Asadzadeh . ◽  
Ahmad Kazemi Margavi . ◽  
Hemad Nazari .
Keyword(s):  
Data Analysis ◽  
Stock Returns ◽  
Board Of Directors ◽  
Capital Market ◽  
Stock Exchange ◽  
Financial Statements ◽  
Bad News ◽  
Good News ◽  
Board Composition ◽  
The Board Of Directors

Conservative is misinterpreted as capturing accountants 'tendency to require higher degree of verification for recognizing good news than bad news in financial statements. Under this interpretation of conservatism, earnings reflect bad news more quickly than good news. By using firms' stock returns to measure news, the asymmetric time lineless of recognizing good news and bad news can be examined as a measure of conservative behavior and as them an in question of this research in Irani and capital market. This research examines effect of composition of the board of directors of the companies listed in Tehran Stock Exchange (TSE) on conservative. Data analysis for seven years (2003-2010) shows that companies with a more in dependent board are more conservative. It means that these companies report bad news more timeliness than good news. The results of the research results confirm and reinforce previous researches.

Investor sentiment and accounting conservatism: evidence from Iran

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Saeid Aliahmadi
Keyword(s):  
Capital Market ◽  
Negative Impact ◽  
Investor Sentiment ◽  
Accounting Conservatism ◽  
Bad News ◽  
Economic Losses ◽  
Timely Manner ◽  
Content Type ◽  
Conservative Accounting ◽  
The Impact

Purpose The main purpose of this study is to investigate the effect of investor sentiment on accounting conservatism in listed companies in the Tehran Stock Exchange (TSE). Design/methodology/approach In this paper, two models of Ball and Shivakumar (2006) and Basu (1997) have been used for measuring conditional conservatism in accounting. To measure investor sentiment, the author uses the Baker and Wurgler (2006, 2007) index. The research sample consists of 1,820 observations and 182 firms listed on TSE over a ten-year period between 2011 and 2020. This study uses panel data and multivariate regression analysis to test it hypotheses. Findings Consistent with this hypothesis that accounting conservatism will increase with investor sentiment, the results showed that Iranian firms recognize economic losses and bad news in a more timely manner during high sentiment periods than during low sentiment periods. This implies that Iranian managers recognize economic losses and bad news in earnings in a more timely manner during periods of high investor sentiment. Practical implications This finding provides significant evidence for investors and financial reporting standard-setters in Iran because by removing accounting conservatism from the conceptual framework, managers are not able to present conservative financial reports, and this can intensify the negative impact of investors sentiment in the Iranian capital market. Managers of Iranian companies can reduce information asymmetry and increase capital market efficiency by accelerating the disclosure of bad news. Thus, managers can strategically recognize losses and prevent investors from making emotional decisions that reduce their wealth. Originality/value To the best of the authors’ knowledge, this is the first study to empirically examine the impact of investor sentiment on accounting conservatism in a developing market called Iran. This study contributes to the corporate disclosure literature. Also, the result of this study contributes to standard-setters of accounting standards to improve the mandatory disclosure literature on more conservative accounting earnings.

scholarly journals Death Infectious: Impact of the Coronavirus Disease (COVID-19) on Stock Returns

2021 ◽  
Vol 24 (1) ◽  
pp. 95
Author(s):  
Robin Robin
Keyword(s):  
Panel Data ◽  
Mass Media ◽  
Stock Returns ◽  
Capital Market ◽  
Total Sample ◽  
Bad News ◽  
Market Returns ◽  
Independent Variables ◽  
The Government ◽  
Unbalanced Panel Data

This study examines the Coronavirus disease (COVID-19) on stock returns. The independent variables are daily new deaths and daily new cases. The sample that uses in this study is financial sector, one of the most crucial sectors in an economy. Total sample is 22,930 observations during the period from March to December in 2020. This study uses unbalanced panel data and multiple regression to prove those hypotheses. The result shows that the Coronavirus disease (COVID-19) hurt on stock returns. Investors feel anxious and frightened to hear the news regarding the increasing number of deaths and the number of new cases. Investors prefer to delay investment until the capital market returns to normal. Furthermore, during the pandemic period, Friday's effect may reduce losses from stock returns. The implication of this study is that an increase in the number of deaths and the number of new cases can reduce stock returns. The government needs to suppress bad news circulating in the mass media in order to reduce investor anxiety.  

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