A Fundamental-Analysis-Based Test for Speculative Prices

2011 ◽  
Vol 87 (1) ◽  
pp. 121-148 ◽  
Author(s):  
Asher Curtis
Keyword(s):  
Structural Change ◽  
Measurement Error ◽  
Positive Association ◽  
Data Availability ◽  
Future Market ◽  
Fundamental Analysis ◽  
Aggregate Level ◽  
Market Returns ◽  
Long Run ◽  
Price Movements

ABSTRACT I investigate the possibility that recent price movements include significantly larger speculative components than those observed historically, where speculation is defined as the component of price that does not co-move with fundamentals. Specifically, at the aggregate level, price and accounting fundamentals co-move historically (1979–1993) but do not co-move recently (1994–2008). The lack of co-movement in recent periods is accompanied by a significant reduction in the positive association between ratios of accounting fundamentals-to-price with future market returns. Changes in measurement error in accounting fundamentals do not appear to cause the lack of co-movement in recent periods, and risk- and growth-based explanations are not supported by the data. The results of this study provide evidence of a structural change in the long-run association between price and accounting fundamentals. Data Availability: Data are available from public sources identified in the study.

Do Financial Restatements Lead to Auditor Changes?

2012 ◽  
Vol 32 (2) ◽  
pp. 119-145 ◽  
Author(s):  
Vivek Mande ◽  
Myungsoo Son
Keyword(s):  
Financial Reporting ◽  
Audit Quality ◽  
Positive Association ◽  
Data Availability ◽  
Market Returns ◽  
Stock Market Returns ◽  
Financial Restatement ◽  
Financial Restatements ◽  
Reputational Capital

SUMMARY: This paper examines whether financial restatements are associated with subsequent auditor changes. A financial restatement represents a breakdown in a company's financial reporting, but, importantly, also of its audit. We argue that in response to pressure from capital markets, restating firms will dismiss their auditors to increase audit quality and restore reputational capital lost when the restatements are announced to the investing public. Using a large sample of restatements and auditor changes we find that, consistent with our hypothesis, the likelihood of auditor-client realignments increases after firms announce restatements. As expected, we also find that the positive association between restatements and auditor turnovers is more pronounced when restatements are more severe and the quality of corporate governance is high. Finally, we find that stock market returns surrounding auditor changes increase as the severity of restatements increases. The last result supports the idea that stock markets have a positive view of auditor changes following restatements. Data Availability: Data are publicly available from sources identified in the paper.

Does Incentive-Based Compensation for Chief Internal Auditors Impact Objectivity? An External Audit Risk Perspective

2016 ◽  
Vol 36 (2) ◽  
pp. 21-43 ◽  
Author(s):  
Lucy Huajing Chen ◽  
Hyeesoo H. (Sally) Chung ◽  
Gary F. Peters ◽  
Jinyoung P. (Jeannie) Wynn
Keyword(s):  
Financial Reporting ◽  
Internal Audit ◽  
Positive Association ◽  
Audit Fees ◽  
Data Availability ◽  
Company Performance ◽  
Potential Threat ◽  
External Audit ◽  
Internal Auditors ◽  
Survey Responses

SUMMARY This paper considers the potential impact of internal audit incentive-based compensation (IBC) linked to company performance on the external auditor's assessment of internal audit objectivity. We posit that external auditors will view IBC as a potential threat to internal audit objectivity, thus reducing the extent of reliance on the work of internal auditors and increasing the assessment of control risk. The increase in risk and external auditor effort should result in higher audit fees. We hypothesize that the form of incentive-based compensation, namely stock-based versus cash bonuses, moderates the association between IBC and external audit fee. Finally, we consider whether underlying financial reporting risk mitigates the external auditor's potential sensitivity to IBC. We find a positive association between external audit fees and internal audit compensation based upon company performance. The association is acute to IBC paid in stock or stock options as opposed to cash bonuses. We also find evidence consistent with the IBC associations being mitigated by the company's financial reporting risks. Data Availability: Individual survey responses are confidential. All other data are derived from publicly available sources.

scholarly journals The Relationship Between Bullying Victimization and Perpetration and Non-suicidal Self-injury: A Systematic Review

2021 ◽  
Author(s):  
Gianluca Serafini ◽  
Andrea Aguglia ◽  
Andrea Amerio ◽  
Giovanna Canepa ◽  
Giulia Adavastro ◽  
...  
Keyword(s):  
Peer Victimization ◽  
Significant Risk ◽  
Positive Association ◽  
Significant Risk Factor ◽  
Future Research ◽  
Bullying Victimization ◽  
Self Injury ◽  
Long Run ◽  
Bully Victims

AbstractExperience of bullying may be a significant risk factor for non-suicidal self-injury (NSSI). This study had three aims: to systematically investigate the association between bullying and NSSI, analyze the possible mechanisms underlying the two phenomena, and evaluate any differences between bullying victimization and bullying perpetration with respect to NSSI. A systematic search about the association between bullying victimization and perpetration and NSSI was conducted using specific databases (PubMed, Scopus, Science Direct). The following keywords were used in all database searches: "bullying" AND "NSSI" OR "peer victimization" and NSSI. The searches in PubMed, Scopus and Science Direct revealed a total of 88 articles about bullying or peer victimization and NSSI. However, only 29 met our inclusion criteria and were used for the present review. Overall, all studies examined victimization; four studies also evaluated the effects of perpetration and one included bully-victims. According to the main findings, both being a victim of bullying and perpetrating bullying may increase the risk of adverse psychological outcomes in terms of NSSI and suicidality in the short and the long run. To the best of our knowledge, this is the first review to systematically evaluate the relation between bullying victimization/perpetration and NSSI. The main results support a positive association. Future research should evaluate the possible role of specific mediators/moderators of the association between experience of bullying and NSSI.

Audit Committee Incentives and the Resolution of Detected Misstatements

2015 ◽  
Vol 34 (4) ◽  
pp. 109-137 ◽  
Author(s):  
Marsha B. Keune ◽  
Karla M. Johnstone
Keyword(s):  
Audit Committee ◽  
Positive Association ◽  
Stock Option ◽  
Economic Incentives ◽  
Data Availability ◽  
Audit Committees ◽  
Analyst Forecast ◽  
Agency Conflicts ◽  
Option Compensation ◽  
Stock Option Compensation

SUMMARY We investigate the role of audit committee economic incentives in judgments involving the resolution of detected misstatements. The results reveal a positive association between audit committee short-term stock option compensation and the likelihood that managers are allowed to waive income-decreasing misstatements that, if corrected, would have caused the company to miss its analyst forecast. Complementary results reveal a positive association between the audit committee long-term stock option compensation and the likelihood that managers are allowed to waive income-increasing misstatements when the company reports just missing, meeting, or beating its analyst forecast. These findings illustrate agency conflicts that can arise when compensating audit committees with options. We obtain these results while controlling for CEO option compensation and audit committee characteristics, along with indicators of corporate governance, auditor incentives, and company characteristics. Data Availability: Data used in the study are available from public sources

scholarly journals Detection of Allee effects in marine fishes: analytical biases generated by data availability and model selection

2017 ◽  
Vol 284 (1861) ◽  
pp. 20171284 ◽  
Author(s):  
Tommi Perälä ◽  
Anna Kuparinen
Keyword(s):  
Statistical Approach ◽  
Positive Association ◽  
Scientific Basis ◽  
Marine Fishes ◽  
Clupea Harengus ◽  
Data Availability ◽  
Allee Effects ◽  
Methodological Issues ◽  
Data Limitations ◽  
Colonization Success

The demographic Allee effect, or depensation, implies positive association between per capita population growth rate and population size at low abundances, thereby lowering growth ability of sparse populations. This can have far-reaching consequences on population recovery ability and colonization success. In the context of marine fishes, there is a widespread perception that Allee effects are rare or non-existent. However, studies that have failed to detect Allee effects in marine fishes have suffered from several fundamental methodological and data limitations. In the present study, we challenge the prevailing perception about the rarity of Allee effects by analysing nine populations of Atlantic herring ( Clupea harengus ), using Bayesian statistical methods. We find that populations of the same species can show either strong evidence for Allee effects or compensation. We explicitly demonstrate how the evidence for Allee effects is strongly provisional on observations made at low population abundances. We contrast our statistical approach with previous attempts to detect Allee effects and illustrate methodological issues that can lead to erroneous conclusions about the nature of population dynamics at low abundance. The present study demonstrates that there is no substantive scientific basis to support the perception that Allee effects are rare or non-existent in marine fishes.

scholarly journals Tax-Exempt Status and Associated Factors among Charitable Foundations in China

2021 ◽  
Vol 13 (8) ◽  
pp. 4116
Author(s):  
Shuyang Wang ◽  
Xiaoyu Wu ◽  
Zhilin Li ◽  
Jing Hua Zhang
Keyword(s):  
Multivariate Logistic Regression Analysis ◽  
Positive Association ◽  
Key Factors ◽  
Charitable Organizations ◽  
Tax Incentive ◽  
Long Run ◽  
Point Increase ◽  
Charitable Foundations ◽  
Tax Exempt ◽  
Status Data

Tax exemption plays an important role in the sustainability of charitable organizations (COs). The 2016 Charity Law of China provides stronger tax incentives for charity donations. Using 767 observations of Chinese charitable foundations (CFs) during 2010–2018 from the China Foundation Center database and manually collected tax-exempt status data, this study applies multivariate logistic regression analysis to examine the association between tax-exempt status and related key factors, such as transparency and donation dependency. This study found that a one-point increase in the transparency score of a CF is associated with a 3.9 percentage points higher likelihood of having at least one type of tax-exempt qualification (OR = 1.039, p < 0.01). There is in general a significantly positive association between tax-exempt status and donation dependency of CFs in China. After 2016, the CFs responded actively to the tax incentive provided by the Charity Law, which in return requires a higher level of transparency. These results suggest that taxation under the legal system may effectively function to promote the sustainability of charity foundations in China in the long run. Further studies are needed to explore in-depth why CFs with advanced tax-exempt qualifications concentrate in Beijing and Shanghai.

scholarly journals Dynamic Analysis of Structural Shifts of Fiscal Revenue in Nigeria, 1999-2016

2016 ◽  
Vol 8 (11) ◽  
pp. 96
Author(s):  
Mustapha A. Akinkunmi
Keyword(s):  
Data Availability ◽  
Government Revenue ◽  
Excise Duty ◽  
Tax Revenues ◽  
Real Gdp ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
Oil Sector ◽  
The Government

The oil sector that eased the financial constraint of Nigerian government in the 1970s is presently acting as the source of financial constraints to the country due to a continuous decline in government revenue, arising from the recent drastic fall in world crude oil prices. This calls for the government to diversify its revenue base through improving taxation. This study examined the influence of economic performance on the government revenue as well as the various sources of tax revenues in Nigeria. Monthly data spanning 1999 to 2016 were utilized to estimate vector error correction models (VECM) for five sources of government tax revenues based on data availability. Empirical results revealed that there is a significant relationship between real GDP and real company income tax revenues, and between real GDP and real excise duty revenues in the long run. However, in the short run, the one-year lag of tax revenue varieties poses a significant influence on the various sources of tax revenues.

scholarly journals Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time Scales

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 133
Author(s):  
Derick Quintino ◽  
José Telo da Gama ◽  
Paulo Ferreira
Keyword(s):  
Time Scales ◽  
Cross Correlation ◽  
Positive Association ◽  
Recent Period ◽  
Linear Approach ◽  
Long Run ◽  
Short Run ◽  
Cross Correlations ◽  
Over Time ◽  
Different Time Scales

Brazil is one of the world’s largest producers and exporters of cattle, chicken and swine. Therefore, co-movements of Brazilian meat prices are important for both domestic and foreign stakeholders. We propose to analyse the cross-correlation between meat prices in Brazil, namely, cattle, swine and chicken, including also in the analysis information from some commodities, namely maize, soya beans, oil, and the Brazilian exchange rate. Our sample covers the recent period which coincided with extensive macroeconomic and institutional changes in Brazil, from 2011 to 2020, and is divided in two periods: (i) presidential pre-impeachment (P1), occurring in August 2016, and; (ii) post-impeachment (P2). Our results indicate that in P1, only the prices of swine and chicken showed a positive and strong correlation over time, and that cattle showed some positive correlation with chicken only in the short run. In P2, there was also a positive and consistent correlation between swine and chicken, and only a positive association with swine and cattle in the long run. For more spaced time scales (days), the changes in the degree of correlation were significant only in the long run for swine and cattle.

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

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