scholarly journals Do Executives Have Fixed Effects on Firm-Level Stock Price Crash/Jump Risks? Evidence from CEOs and CFOs

2020 ◽  
Author(s):  
Jiaxin Liu
Keyword(s):  
Stock Price ◽  
Fixed Effects ◽  
Firm Level ◽  
Jump Risks

Large Shareholders and Stock Price Synchronicity: Evidence from Vietnam

2021 ◽  
pp. 097215092110056
Author(s):  
Anh Tho To ◽  
Trung Dao Le ◽  
Quoc Tuan Tran ◽  
Thanh Lam Nguyen ◽  
Thi Thu Hong Ho
Keyword(s):  
Stock Price ◽  
Fixed Effects ◽  
State Ownership ◽  
Information Environment ◽  
Standard Errors ◽  
Stock Exchanges ◽  
Firm Level ◽  
Stock Price Synchronicity ◽  
Listed Firms ◽  
Large Shareholders

This article aims to investigate how large shareholders affect the information environment, as measured by stock price synchronicity, of listed firms in the Vietnam stock exchanges. Upon applying fixed effects and instrumental variables fixed effects with firm-level clustered standard errors for a sample of 160 listed firms in the Vietnam stock exchanges over the period 2008–2017, the results show that stock price synchronicity is negatively associated with the two largest shareholders’ ownership and positively related to state ownership. The findings support that non-state large ownership plays an important role in improving the information environment in emerging markets where investor protection laws are relatively weak.

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.

Does the second wave of COVID-19 undermine corporate immunity? International evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Huy Viet Hoang ◽  
Cuong Nguyen ◽  
Khanh Hoang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Fixed Effects ◽  
Management Strategies ◽  
The United States ◽  
Least Square ◽  
Content Type ◽  
The Impact ◽  
Second Wave ◽  
Practical Implications

PurposeThis study compares the impact of the COVID-19 pandemic on stock returns in the first two waves of infection across selected markets, given built-in corporate immunity before the global outbreak.Design/methodology/approachThe data are collected from listed firms in five markets that have experienced the second wave of COVID-19 contagion, namely the United States (US), Australia, China, Hong Kong and South Korea. The period of investigation in this study ranges from January 24 to August 28, 2020 to cover the first two COVID-19 waves in selected markets. The study estimates the research model by employing the ordinary least square method with fixed effects to control for the heterogeneity that may confound the empirical outcomes.FindingsThe analysis reveals that firms with larger size and more cash reserves before the COVID-19 outbreak have better stock performance under the first wave; however, these advantages impede stock resilience during the second wave. Corporate governance practices significantly influence stock returns only in the first wave as their effects fade when the second wave emerges. The results also suggest that in economies with greater power distance, although stock price depreciation was milder in the first wave, it is more intense when new cases again surge after the first wave was contained.Practical implicationsThis paper provides practical implications for corporate managers, policymakers and governments concerning crisis management strategies for COVID-19 and future pandemics.Originality/valueThis study is the first to evaluate built-in corporate immunity before the COVID-19 shock under successive contagious waves. Besides, this study accentuates the importance of cultural understanding in weathering the ongoing pandemic across different markets.

CEO vs. COO: shareholder perceptions of M&A announcements based on insider trades

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Vinh Huy Nguyen ◽  
Carolina Gomez ◽  
Suchi Mishra ◽  
Ali M. Parhizgari
Keyword(s):  
Stock Price ◽  
Fixed Effects ◽  
Economic Recession ◽  
Chief Executive ◽  
Positive Influence ◽  
Past Performance ◽  
Industry Growth ◽  
Content Type ◽  
Chief Operating Officer ◽  
Regression Tests

PurposeWe examine how the net share purchases of top executives of acquiring firms, specifically the Chief Executive Officer (CEO) and the Chief Operating Officer (COO), can impact shareholder perceptions of a merger and acquisition (M&A) around the announcement time.Design/methodology/approachRegression tests using the post-announcement cumulative returns as the dependent variables, and CEO and COO net purchases as independent test controlling for the net purchases of all other insiders, COO and CEO ownership, exercised options, unexercised exercisable options, merger type, pre-announcement firm size, past performance, industry growth, industry instability, year and industry fixed effects. The regression tests are used for various sub-samples (i.e. non-contemporaneous events, duality, operational complexity, economic conditions).FindingsWe find that overall shareholders value the COO's net purchases before the announcement but not those of the CEOs. If the COO is also the CEO, then executive buy-ins appear to have a negative reaction from the shareholders. When the firm has many business segments or when the announcement is made in an economic recession, the COO's net purchases do not have a positive influence on the shareholders.Originality/valueWe are the first to provide evidence that investors pay attention to the COO around M&A announcements. In the age of celebrity CEOs, who can instantaneously change the stock price with one press release, having another executive that can shape the opinion of investors can diversify the agency risk.

The Causal Effects of Proximity on Investment: Evidence from Flight Introductions

2019 ◽  
Vol 55 (6) ◽  
pp. 1978-2004 ◽  
Author(s):  
Jesse Ellis ◽  
Leonardo Madureira ◽  
Shane Underwood
Keyword(s):  
Mutual Funds ◽  
Fixed Effects ◽  
Investment Decisions ◽  
Relevant Information ◽  
Causal Effects ◽  
Superior Performance ◽  
Firm Level ◽  
Exogenous Shock ◽  
And Performance ◽  
Fund Investment

We use the introduction of direct flights as an exogenous shock to the travel time between mutual funds and firms to estimate the causal effects of proximity on fund investment decisions and performance. We find that a fund invests significantly more in firms that become more proximate following the introduction of direct flights and that these more proximate investments exhibit superior performance. Our findings are robust to including a variety of fixed effects and potential confounders such as firm-level shocks, fund-level shocks, and time trends. Collectively, our results indicate that proximity enhances investors’ ability to acquire value-relevant information about firms.

Lending relationships, credit ratings and bank loan spreads: evidence from Indonesian listed companies

2020 ◽  
Vol 16 (4) ◽  
pp. 455-479
Author(s):  
Yane Chandera ◽  
Lukas Setia-Atmaja
Keyword(s):  
Fixed Effects ◽  
Credit Ratings ◽  
Listed Companies ◽  
Bank Loan ◽  
Least Squares Regression ◽  
Firm Level ◽  
Content Type ◽  
Lending Relationships ◽  
Loan Spreads ◽  
The Impact

PurposeThis study examines the impact of firm-bank relationships on bank loan spreads and the mitigating role of firm credit ratings on that impact.Design/methodology/approachThe study sample consists of Indonesian publicly listed companies for the period 2006 to 2016; bank-loan data was extracted from the Loan Pricing Corporation Dealscan database. For the degree of firm-bank relationships, the data on each loan is manually computed, using five different methods taken from Bharath et al. (2011) and Fields et al. (2012). All of the regression analyses are controlled for the year fixed effects, heteroscedasticity, and firm-level clustering. To address the endogeneity issues, this study uses several methods, including partitioning the sample, running nearest-neighbour and propensity score matching tests, and using instrumental variables in two-staged least-squares regression models.FindingsIn line with relationship theory and in opposition to the hold-up argument, this study finds that lending relationships reduce bank loan spreads and that the impact is more noticeable among non-rated Indonesian firms. Specifically, each additional unit in the total number of years of a firm-bank relationship and the number of previous loan contracts with the same bank are associated with 7.34 and 9.15 basis-point decreases, respectively, in these loan spreads.Practical implicationsCorporations and banks should maintain close, long-term relationships to reduce the screening and monitoring costs of borrowing. Regulators should create public policies that encourage banks to put more emphasis on relationships in their lending practices, especially in relation to crisis-prone companies.Originality/valueTo the best of the authors’ knowledge, this is the first study to examine the impact of lending relationships on bank loan spreads in Indonesia. The study offers insights on banking relationships in emerging markets with concentrated banking industries, underdeveloped capital markets and prominent business-group affiliations.

scholarly journals The effect of Islamic values on voluntary corporate governance disclosure

2017 ◽  
Vol 8 (2) ◽  
pp. 182-202 ◽  
Author(s):  
Waleed M. Albassam ◽  
Collins G. Ntim
Keyword(s):  
Corporate Governance ◽  
Fixed Effects ◽  
Future Research ◽  
Government Ownership ◽  
Firm Level ◽  
Content Type ◽  
Listed Firms ◽  
Alternative Measures ◽  
Islamic Values ◽  
Practical Implications

Purpose The study aims to examine the effect of Islamic values on the extent of voluntary corporate governance (CG) disclosure. In addition, the authors investigate the effect of traditional ownership structure and CG mechanisms on the extent of voluntary CG disclosure. Design/methodology/approach The authors distinctively construct Islamic values and voluntary CG disclosure indices using a sample of 75 Saudi-listed firms over a seven-year period in conducting multivariate regressions of the effect of Islamic values on the extent of voluntary CG disclosure. The analyses are robust to controlling for firm-level characteristics, fixed-effects, endogeneities and alternative measures. Findings The authors find that corporations that depict greater commitment towards incorporating Islamic values into their operations through high Islamic values disclosure index score engage in higher voluntary CG disclosures than those that are not. Additionally, the authors find that audit firm size, board size, government ownership, institutional ownership and the presence of a CG committee are positively associated with the level of voluntary CG disclosure, whereas block ownership is negatively associated with the extent of voluntary CG disclosure. Practical implications The study has clear practical implications for future research, practice and broader society by demonstrating empirically that corporations that voluntarily incorporate Islamic values into their operations are more likely to be transparent about their CG practices and thereby providing new crucial insights on the effect of Islamic values on voluntary CG compliance and disclosure. Originality/value This is the first empirical attempt at explicitly examining the effect of Islamic values on the extent of voluntary CG disclosure. The authors also offer evidence on the effect of traditional CG and ownership structures on the extent of voluntary CG disclosure.

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