The Relevance of Information Technology Expenditures

2010 ◽  
Vol 24 (2) ◽  
pp. 39-77 ◽  
Author(s):  
B. Charlene Henderson ◽  
Kevin Kobelsky ◽  
Vernon J. Richardson ◽  
Rodney E. Smith
Keyword(s):  
Information Technology ◽  
Stock Price ◽  
Abnormal Returns ◽  
Firm Level ◽  
Policy Makers ◽  
Market Participants ◽  
Future Performance ◽  
Long Run ◽  
Level Information ◽  
Information Technology Expenditures

ABSTRACT: Although information technology (hereafter, IT) expenditures represent an increasingly large investment for most corporations, firms are not required to disclose them separately in their financial statements. We hypothesize and find evidence that information about a firm’s IT expenditures helps explain its future performance as reflected in both accounting measures (residual income, earnings volatility) and market measures (stock price and long-run abnormal returns). In particular, we provide evidence of market mispricing and suggest the lack of firm-level annual IT expenditure disclosure as one potential reason for such mispricing. Altogether, the evidence presents a persuasive case that information about a firm’s IT expenditures is useful to stock market participants. The evidence we report is useful to managers and accounting policy makers contemplating the public disclosure of firm-level information about IT investments.

scholarly journals ESG Disclosures and Stock Price Crash Risk

2021 ◽  
Vol 14 (2) ◽  
pp. 70 ◽  
Author(s):  
Rio Murata ◽  
Shigeyuki Hamori
Keyword(s):  
Dynamic Model ◽  
Stock Price ◽  
The United States ◽  
Crash Risk ◽  
Firm Level ◽  
Market Participants ◽  
Major Market ◽  
Market Index ◽  
Index Components ◽  
The Relationship

In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures and stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index components in Europe, the United States, and Japan to perform regression analyses, after controlling for other potential stock price crash determinants. We estimate static two-way fixed-effect models and dynamic GMM models. We find that coefficients of firm-level ESG disclosures are not statistically significant in the static model. ESG disclosure coefficients in the dynamic model are not statistically significant in the U.S. market sample. On the other hand, coefficients of ESG disclosure scores in the dynamic model are statistically significant and negative in the European and Japanese marker sample. Our findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG disclosures differ among regions.

scholarly journals The Market Reaction to the Appointment of Women on Corporate Boards: Evidence from the Italian Listed Companies

2017 ◽  
Vol 12 (12) ◽  
pp. 64 ◽  
Author(s):  
Patrizia Pastore ◽  
Silvia Tommaso ◽  
Antonio Ricciardi
Keyword(s):  
Stock Price ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Value Added ◽  
Listed Companies ◽  
Corporate Boards ◽  
Women Directors ◽  
Future Performance ◽  
Price Performance ◽  
Strategic Value

During the 2012-2016 period, a large number of Italian companies appointed women directors in their boards, an unusual and unpredictable fact in the Italian industrial system. This paper investigates if any significant reaction has consequently occurred in the Italian stock market. It assumes that a significant market reaction would indicate the investors view the female board members as a strategic value added at the decision making level. To achieve the objective, it was collected a database consisting of 76 appointments of women directors in 67 Italian listed companies over the period 2012-2016 and then it was investigated the stock price performance of those companies in that five years span. The research hypothesis is examined empirically through the event study methodology in order to check the existence of abnormal returns on the appointment of women directors. Findings suggest that investors do not strongly believe that the simple appointment of women directors would have a positive effect on the future performance of firms.

scholarly journals An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?

2020 ◽  
pp. 1-12
Author(s):  
Youwang Zhang ◽  
Chongguang Li ◽  
Yuanyuan Xu ◽  
Jian Li
Keyword(s):  
Price Volatility ◽  
Global Market ◽  
Energy Price ◽  
Policy Makers ◽  
Market Participants ◽  
Long Run ◽  
Soybean Price ◽  
Short Run ◽  
Pass Through ◽  
The Impact

This study examines the impact of international soybean price and energy price on Chinese soybean price. Applied to monthly data over the period of 2007-2017, results show that both international soybean price and energy price have significant impacts on Chinese soybean price, while the impact from global soybean market tends to be more profound. First, we find that in the long run the cumulative pass-through elasticity of Chinese soybean price to international soybean price is greater than the elasticity to international energy price. Second, in the short run, international soybean price shocks transmit more quickly to Chinese soybean price. Our results shed new light on the determinants of soybean price volatility in China, and provide meaningful implications on the price risk management for market participants and policy makers.

Is Chinese or American maize price effective for trading and policy-making reference?

2014 ◽  
Vol 6 (3) ◽  
pp. 470-484
Author(s):  
Yunxian Yan ◽  
Lu Tian ◽  
Yuejie Zhang
Keyword(s):  
Policy Making ◽  
Wholesale Price ◽  
Price Transmission ◽  
Spot Price ◽  
Policy Makers ◽  
Content Type ◽  
Market Participants ◽  
Long Run ◽  
American Maize ◽  
Futures Price

Purpose – The purpose of this paper is to discover an effective maize price for trading and policy-making reference by assessing the price transmission of the US spot and futures maize prices to Chinese counterparts. Design/methodology/approach – The authors apply a systematic, quantitative method to analyze the integration between US and Chinese maize markets. Based on the residuals of the variables through error correction model, the directed acyclic graph (DAG) among six price variables is conducted. With consideration of the dependence on and direction of six price variables, the variance decomposition of each variable is calculated. Findings – This paper shows that the vertical price transmission passes from wholesale price to farm-gate price. The horizontal price transmission ranges from spot price to futures price at the domestic market and from the American spot price to domestic spot price, from the American spot price to domestic futures price and from the American futures price to domestic futures price. The American maize spot and futures prices, and in particular the spot price, have greater effects on domestic maize prices contemporaneously. It also indicates that the American spot price is the leader price in the long run at both maize markets. Originality/value – This paper contributes by using the DAG method in this paper. It also contributes by helping policy makers and market participants find the leading prices and offers insight into ways of gaining power of price setting in the maize market.

scholarly journals Absorption of EU funds in the context of Polish enterprises competitiveness measured by profitability ratios

2015 ◽  
Vol 6 (1) ◽  
pp. 113 ◽  
Author(s):  
Anna Wildowicz-Giegiel ◽  
Adam Wyszkowski
Keyword(s):  
Firm Level ◽  
Policy Makers ◽  
Long Run ◽  
Short Period ◽  
Central Statistical ◽  
Central Statistical Office ◽  
Innovative Economy ◽  
Definition Of ◽  
Core Capabilities ◽  
The Impact

Competitiveness at the firm level is a subject of interest not only to managers and policy makers but also academics. An effective functioning under the conditions of new economy requires from the enterprises to develop their core capabilities and talents along with the ability to quickly identify and seize the opportunities generated by market environment. The implementation of such an approach allows the creation and sustain of economic surpluses in the long-run. The paper aims to examine the profitability of enterprises in Poland which is regarded in the context of absorption of EU funds in years 2007–2013. Taking into account that Poland became one of the largest beneficiaries, it is worth analyzing the impact of EU funding on the economic performance of Polish enterprises. The paper offers a critical reflection on the relationship between the absorption of EU funds and Polish enterprises competitiveness on the basis of  the content analysis literature and statistical data derived from the European Commission, the Central Statistical Office and the Ministry of Regional Development. It is assumed simultaneously that the competitiveness of enterprises is expressed in the term of profitability rates. In spite of limitations which relate to the adopted definition of competitiveness and the short period of the conducted analysis concerning the key relationship, the paper contributes to the debate on the significance of EU Funds in the process of building modern and innovative economy.

Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices

2004 ◽  
Vol 07 (04) ◽  
pp. 471-491 ◽  
Author(s):  
Pei-Gi Shu ◽  
Yin-Hua Yeh ◽  
Yu-Chen Huang
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Efficient Market Hypothesis ◽  
Individual Investors ◽  
Long Run ◽  
Price Reversal ◽  
Run Up

This study analyzes price-volume relation for Taiwanese listed firms that are added to or deleted from the MSCI free indices in the sampling period from May 17, 1999 to May 21, 2001. Additions to the indices found a positive abnormal return of 3.9% in the run-up window from the announcement day up to one day before the change was implemented. This was followed by a significant reversal on the change day. The deleted firms exhibit an even stronger announcement effect, with a significant abnormal return of -9.1% in the run-up, followed by a reversal of 1.6% on the change day. Even when reversals occurred on the change day, the abnormal returns in the post-announcement window are positive for additions and negative for deletions. The results support the price-pressure and long-run downward-sloping-demand hypothesis and are inconsistent with the efficient market hypothesis. The abnormal trading volume for deletions is negative following the announcement, contradicting the findings of Lynch and Mendenhall (1997). This difference is due to the innate of the Taiwanese stock market, in which no dedicated market makers accommodate block trading. Moreover, the regression results confirm a positive volume-return relation before and a negative relation on and after the change day. Finally, the QFII net buy (sell) the added (deleted) stocks up to ten days after the change was implemented, while the Securities Investment Trusts and Securities dealers, having a shorter frame net, buy the added stocks up to two days after the effective change. Individual investors reversing position on the change day are responsible for the price reversal on the change day.

Measuring price discovery in the European wheat market using the partial cointegration approach

2019 ◽  
Vol 47 (3) ◽  
pp. 1173-1200
Author(s):  
Teresa Vollmer ◽  
Helmut Herwartz ◽  
Stephan von Cramon-Taubadel
Keyword(s):  
Price Discovery ◽  
Price Volatility ◽  
Market Regulation ◽  
Futures Prices ◽  
Policy Makers ◽  
Market Participants ◽  
Policy Debates ◽  
Long Run ◽  
Wheat Market

Abstract Understanding price discovery in agricultural spot and futures markets is important for market participants and policy makers, because it can contribute to better management decisions and more informed policy debates on market regulation. Combining partial cointegration with state space modelling, we generate time-varying price discovery metrics for the European wheat market that allow for shifts in the long-run relationship. We find that the futures market dominates price discovery in terms of efficiency, but that this dominance is reduced in phases of higher price volatility. We find evidence of persistent shocks in the long-run relationship between spot and futures prices that appear to be related to variations in the quality of the wheat harvest, and to the concatenation of the futures prices.

Spillovers between output and stock prices: a wavelet approach

2016 ◽  
Vol 33 (4) ◽  
pp. 625-637 ◽  
Author(s):  
David G. McMillan ◽  
Aviral Kumar Tiwari
Keyword(s):  
Stock Prices ◽  
Design Methodology ◽  
Data Set ◽  
Raw Data ◽  
Policy Makers ◽  
Content Type ◽  
Market Participants ◽  
Long Run ◽  
Annual Time Series ◽  
Annual Time

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying nature of the spillovers and spillovers across the frequency using wavelet analysis. Findings The results reveal an interesting detail that is missed when considering spillovers for the raw data. Using annual long run data, spillovers in the raw data are in the order of approximately 10 per cent for stocks to output and 25 per cent for output to stocks. But this increases up to 50 per cent and above (in both directions) when considering different frequencies. Similar results are reported with the quarterly data, although the differences between the raw data and the wavelets are smaller in nature. Finally, output explains more of the variation in stocks than stocks explains in output. Originality/value The nature of these results is important for policy-makers, market participants and academics alike, while the use of wavelets provides information across different frequencies.

scholarly journals EFFECT OF BRAND VALUE ANNOUNCEMENTS ON STOCK RETURNS: EMPIRICAL EVIDENCE FROM TURKEY

2016 ◽  
Vol 17 (6) ◽  
pp. 1252-1269 ◽  
Author(s):  
Pinar BASGOZE ◽  
Yilmaz YILDIZ ◽  
Selin METIN CAMGOZ
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Emerging Market ◽  
Abnormal Returns ◽  
Brand Value ◽  
Long Run ◽  
Price Impacts ◽  
Stock Market Performance ◽  
Brand Values ◽  
Turkish Case

This study examines the effects of brand value announcements on stock returns of Turkish firms by using the event study methodology and long-term risk adjusted port-folio returns. We examined the stock-price impacts of 299 brand value announcements on the stock market performance of the firms within the years of 2010–2014 by using BrandFinance Turkey’s 100 ranking list as a data source. The findings indicate that the companies listed in the Turkey Top 100 Brands list earn positive abnormal returns 7 months after the announcement. Similarly, the companies which had greater brand values relative to the previous year, experienced significant positive abnormal returns in the 7-months period. Additional findings suggest that investors are able to beat the market in the long run regarding risk-adjusted returns by consistently investing in the Top Brands. Overall, the study demonstrates new evidence to the marketing-finance interface by focusing on the Turkish case as an important emerging market.

scholarly journals An empirical behavioral order-driven model with price limit rules

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Gao-Feng Gu ◽  
Xiong Xiong ◽  
Hai-Chuan Xu ◽  
Wei Zhang ◽  
Yongjie Zhang ◽  
...  
Keyword(s):  
Stock Price ◽  
Computational Experiment ◽  
Stock Exchange ◽  
Correlation Structure ◽  
Computational Experiments ◽  
Price Limits ◽  
Policy Makers ◽  
Price Limit ◽  
Experiment Platform ◽  
Market Participants

AbstractWe propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange. The model can reproduce the main stylized facts in real markets. Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series, but cause remarkable changes in the average returns and the tail exponents of returns. Our EBOD model provides a suitable computational experiment platform for academics, market participants, and policy makers.

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