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Exploring the connections: Dividend announcements, stock market returns, and major sporting events Review of Quantitative Finance and Accounting Pub Date : 2024-04-15 Fakhrul Hasan, Basil Al-Najjar
This study conducts a detailed investigation into the interplay between major sporting events, specifically the ICC Cricket World Cups and FIFA Football World Cups, and their potential impact on the relationship between dividend announcements and stock market returns. Beyond the customary exploration of investor sentiment and its connection to stock market returns, our research thoroughly examines
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Book-to-market effect and product life cycle Review of Quantitative Finance and Accounting Pub Date : 2024-04-14 Ming-Che Hu, Alex YiHou Huang, Yanzhi Wang, Dan-Liou Yu
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Locally-rooted directors Review of Quantitative Finance and Accounting Pub Date : 2024-04-14 Axel Kind, Christophe Volonté
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Eco-innovation and corporate waste management: The moderating role of ESG performance Review of Quantitative Finance and Accounting Pub Date : 2024-04-14 Khaldoon Albitar, Nohade Nasrallah, Khaled Hussainey, Yadong Wang
Based on a sample of companies from G7 countries, we investigate the effect of eco-innovation on waste management as well as the moderating role of firms’ environmental, social, and governance (ESG) on this relationship. Our findings indicate that a higher level of eco-innovation might lead to a decline in firms’ total waste produced and an increase in firms’ magnitude of reusing and recycling waste
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Do board monitoring and audit committee quality help risky firms reduce CSR controversies? Review of Quantitative Finance and Accounting Pub Date : 2024-04-13 Cemil Kuzey, Habiba Al-Shaer, Ali Uyar, Abdullah S. Karaman
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Does the audit committee member’s accounting experience associated with key audit matter types? Review of Quantitative Finance and Accounting Pub Date : 2024-04-12 Ahmed Aboud, Hany Elbardan, Moataz El-Helaly, Amr Kotb
Using a narrow view of accounting experience, this study examines the relationship between accounting experience on audit committees (ACs) and key audit matters (KAMs) in the UK. In contrast to extant research, this study distinguishes between different types of accounting experience on AC and how this relates to different types of KAMs. We also address the effects of the interplay between accounting
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Robust portfolio strategies based on reference points for personal experience and upward pacesetters Review of Quantitative Finance and Accounting Pub Date : 2024-04-11 Zongrun Wang, Tangtang He, Xiaohang Ren, Luu Duc Toan Huynh
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Cash flow duration and market reactions to earnings announcements Review of Quantitative Finance and Accounting Pub Date : 2024-04-08 Wenlian Gao
This study examines how a stock security’s cash flow duration impacts stock price reactions at earnings announcements. We find that stock price reactions are positively associated with cash flow duration, especially when earnings surprises are negative. Our results imply that long duration creates a leverage effect that magnifies the price reaction around earnings announcements. We further show that
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Do markets value manager-investor interaction quality? Evidence from IPO returns Review of Quantitative Finance and Accounting Pub Date : 2024-04-08 Shibo Bian, Iftekhar Hasan, Xunxiao Wang, Zhipeng Yan
This paper investigates the impact of manager-investor interaction quality on stock returns by utilizing an online IPO roadshow dataset and leveraging a word-embedding model. We find that such interactions are positively valued, as reflected in initial returns. The effect is particularly pronounced for firms characterized by higher levels of information asymmetry, greater investor attention, increased
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Political landscape and liquidity of non-U.S. stocks from emerging markets Review of Quantitative Finance and Accounting Pub Date : 2024-04-08 Jang-Chul Kim, Qing Su
We investigate the empirical relation between country governance quality and stock market liquidity, as well as information asymmetry, using a sample of non-U.S. stocks from 17 emerging markets listed on the NYSE between 2004 and 2019. We find that non-U.S. stocks from emerging markets with higher democracy quality tend to have narrower spreads and larger depth, suggesting improved liquidity. Higher
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Shedding light on foreign currency cash flow hedges: transparency and the hedging decision Review of Quantitative Finance and Accounting Pub Date : 2024-04-07 Han Jin, Beverly B. Marshall
Utilizing firms in the S&P 500, we study whether greater transparency in the reporting of other comprehensive income (OCI) items, as mandated by ASU 2011-05, resulted in a reduction in information asymmetry, a change in the value relevance of this information, or a change in hedging practice. Our results show that while transparent reporting reduced information asymmetry, firms that engage in cash
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The order in a series of continuous special items and the likelihood of income classification shifting Review of Quantitative Finance and Accounting Pub Date : 2024-04-03 Haeyoung Shin, Michael Lacina, Shanshan Pan
In income classification shifting, firms shift recurring income components (in core earnings) that are income reducing to items commonly assumed to be nonrecurring (special items) to increase core earnings, which are used by analysts and investors to forecast future earnings and value a firm. Some special items tend to extend over multiple quarters and are more amenable to classification shifting because
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Trade secret laws and initial public offering underpricing Review of Quantitative Finance and Accounting Pub Date : 2024-04-02 Chu-hsuan Chang, Woan-lih Liang, Yanzhi Wang
This paper examines the impact of trade secret laws on the underpricing of initial public offerings (IPOs) in the United States, where we focus on the Uniform Trade Secret Act and/or the inevitable disclosure doctrine. Given that trade secret laws help firms protect their know-how in the form of trade secrets, we propose that trade secrets protected by these laws may result in increased corporate opacity
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Nothing to fear: strong corporate culture and workplace safety Review of Quantitative Finance and Accounting Pub Date : 2024-04-02 Jesper Haga, Fredrik Huhtamäki, Dennis Sundvik, Timmy Thor
In this paper, we investigate the link between corporate culture and workplace safety. Using a machine learning based measure of corporate culture and data on employee- and safety-related violations, we find that firms with stronger corporate culture are less likely to be penalized, incur lower regulatory fines, and have a reduced number of violations. As a potential channel, we document higher safety
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The diversification benefits of cryptocurrency factor portfolios: Are they there? Review of Quantitative Finance and Accounting Pub Date : 2024-03-31 Weihao Han, David Newton, Emmanouil Platanakis, Haoran Wu, Libo Xiao
We investigate the out-of-sample diversification benefits of cryptocurrencies from a generalised perspective, a cryptocurrency-factor level, with traditional and machine-learning-enhanced asset allocation strategies. The cryptocurrency factor portfolios are formed in an analogous way to equity anomalies by using more than 2000 cryptocurrencies. The findings indicate that a stock–bond portfolio incorporating
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Freedom of choice impact on country-specific liquidity commonality Review of Quantitative Finance and Accounting Pub Date : 2024-03-30 Pawan Jain, Mohamed Mekhaimer, Ronald W. Spahr, Mark A. Sunderman
We use three facets of freedom of choice (opportunity, decisional autonomy, and immunity from interference) to develop a freedom of choice index for 46 countries and test its impact on commonality in liquidity. We find that the three aspects of individual freedom of choice are negatively related to country-specific market liquidity commonality. Building on Sen’s (1993) theoretical framework, we document
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Reduced disclosure and default risk: analysis of smaller reporting companies Review of Quantitative Finance and Accounting Pub Date : 2024-03-27 Shiyan Yin, Kai Yao, Thanaset Chevapatrakul, Rong Huang
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Regulatory and contextual factors influencing earnings and capital management decisions: evidence from the European banking sector Review of Quantitative Finance and Accounting Pub Date : 2024-03-24
Abstract This study investigates whether some regulatory and contextual features influenced Euro Area listed banks decisions to manage earnings and regulatory capital through discretionary provisions in the period 2013–2018. The new regulation factors are the pressure to increase high-quality regulatory capital (Basel III) and more timely recognition of loan losses (IFRS 9). The contextual features
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The scorching temperatures shock effect on firms’ performance: a global perspective Review of Quantitative Finance and Accounting Pub Date : 2024-03-21
Abstract The authors examined the possible adverse effect of hot temperature on firms’ profitability and stock performance, using measures of various scorching temperature variables as exogenous indicators of firms’ weather risk. The results show that scorching temperatures led to declines in the sample firms’ earnings caused by changes in sales, expenses, and productivity. The more extreme the hot
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Bank intervention and firms’ earnings management: evidence from debt covenant violations Review of Quantitative Finance and Accounting Pub Date : 2024-03-12
Abstract Earnings management has long been one of the main concerns in accounting and management literature, and the extent to which corporate governance mechanisms can discipline management behaviour and prevent earnings management has attracted increasing interest among policy makers and academic researchers. Differing from previous corporate governance literature that focuses mainly on the board
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Machine learning and trade direction classification: insights from the corporate bond market Review of Quantitative Finance and Accounting Pub Date : 2024-03-08 Mark Fedenia, Tavy Ronen, Seunghan Nam
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Vertical propagation of default risk along the supply chain Review of Quantitative Finance and Accounting Pub Date : 2024-03-05 Mu-Shu Yun, Ko-Chia Yu
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Order backlog and its association with fundamental analysis metrics and future earnings Review of Quantitative Finance and Accounting Pub Date : 2024-02-26 Rajiv Banker, Russell Barber, Dana Hollie, Han-Up Park
Order backlog is an important non-GAAP metric that is a leading indicator of future earnings. We explore how various fundamental analysis metrics interacted with order backlog impacts future earnings. This study examines whether future earnings predicted by order backlog is contingent on other fundamental analysis metrics, such as a sales decrease, the cash conversion cycle, asset growth, and the ratio
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Short-term credit policies and operating performance Review of Quantitative Finance and Accounting Pub Date : 2024-02-26 Godfred Adjapong Afrifa, Ishmael Tingbani, Ahmad Alshehabi, Hussein Halabi
Using a sample of United Kingdom (UK) non-financial firms from 2009 to 2021, this paper examines the operating performance effect of aggressive and moderate use of trade payables and bank credit. The results demonstrate a hierarchical effect of the use of short-term credit on firms operating performance. In particular, the results show that aggressive use of bank credit achieves higher operating performance
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Hedge fund activism and corporate intangible capital investments Review of Quantitative Finance and Accounting Pub Date : 2024-02-20 Christof Beuselinck, Luc Desrousseaux
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Macroeconomic uncertainty and earnings management: evidence from commodity firms Review of Quantitative Finance and Accounting Pub Date : 2024-02-08
Abstract This study examines the relationship between macroeconomic uncertainty and earnings management, using quarterly data of US commodity firms from the period 1990–2019. The findings show that oil and iron firms use both accruals and real activities to decrease earnings in quarters with high basis risk. Earnings management is economically significant. Further investigation provides fine-grained
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Breaking the Big Four brand’s halo effect precisely: evidence from the association between RMM coverage ratios and integrated audit effectiveness Review of Quantitative Finance and Accounting Pub Date : 2024-02-04
Abstract This research examines what proportion of Big Four auditors underperform in integrated audit settings and why. Incorporating the inverse relation between detection risk and assessed risk of material misstatement (RMM) per the classic audit risk model, we create an RMM coverage ratio to measure how many times the total audit effort expended covers pre-existing RMM—the higher the ratio, the
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Syndicated loans: mapping the trends, sources and intellectual evolution Review of Quantitative Finance and Accounting Pub Date : 2024-02-01
Abstract This study conducts a citation-based comprehensive systematic literature review (SLR) of the syndicated loan market by identifying and recognizing the sources of knowledge-producing leading articles, journals and authors in this area. In total, we present a citation analysis of 374 articles from the Scopus database using a comprehensive list of keyword searches. We find that the importance
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You scratch my back and i scratch yours: evidence from relationship-based bidding in IPO auctions Review of Quantitative Finance and Accounting Pub Date : 2024-01-30 Wenjun Wang
Using a dataset of institutional bids for IPOs, we study how relationships with lead underwriters impact institutional investors’ bidding strategy in the auctioned IPOs. Our paper finds that strong business ties lead to higher bid prices. The effect is more pronounced among IPO firms that receive less market attention, and is attenuated for IPOs certified by reputable intermediaries. We propose that
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Military directors and stock price informativeness: What's all the fuss about? Review of Quantitative Finance and Accounting Pub Date : 2024-01-20 Tasawar Nawaz, Tahseen Nawaz
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The impact of political uncertainty on the cost of capital Review of Quantitative Finance and Accounting Pub Date : 2024-01-20
Abstract We investigate the impact of political uncertainty on the relationship between foreign equity portfolio flow and the cost of capital. Using panel data from 40 countries from 2001 to 2016, our results show that the year before a national election is associated with a higher cost of capital. Further analyses show that the relationship between international equity portfolio flow and the cost
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Social media disclosure and reputational damage Review of Quantitative Finance and Accounting Pub Date : 2024-01-20 Xing Huan, Antonio Parbonetti, Giulia Redigolo, Zhewei Zhang
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An improved criterion for almost marginal conditional stochastic dominance Review of Quantitative Finance and Accounting Pub Date : 2024-01-13
Abstract We contribute to redefining the criteria based on Almost Stochastic Dominance for better portfolio comparison in four ways. First, we refine the first order of Marginal Conditional Stochastic Dominance (Yitzhaki and Olkin in Concentration indices and concentration curves, Vol 19, Lecture notes-monograph series: stochastic orders and decision under risk, 1991; Shalit and Yitzhaki in Manag Sci
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Corporate investment decisions with switch flexibility, constraints, and path-dependency Review of Quantitative Finance and Accounting Pub Date : 2024-01-10 Spiros H. Martzoukos, Nayia Pospori, Lenos Trigeorgis
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Audit committee equity incentives and stock price crash risk Review of Quantitative Finance and Accounting Pub Date : 2023-12-30
Abstract This paper theoretically and empirically investigates whether and how audit committee (AC) equity incentives affect future stock price crash risk. Consistent with our model prediction that equity incentives for ACs contribute to reducing the skewness of return distributions, we document evidence of a negative relationship between AC equity incentives and expected crash risk for a merged sample
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Realized higher moments and trading activity Review of Quantitative Finance and Accounting Pub Date : 2023-12-14 Shu-Fang Yuan
This study investigates the informativeness of realized higher moments of stock index returns, namely, realized skewness and kurtosis, in explaining trading activity in the futures market to investigate whether information flows from price risk to trading activity. By analyzing high-frequency data covering a twelve-year period, we discover that futures trading activity can be attributed to high-moment
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Optimal dividend decisions with capital infusion in a dynamic nonterminal bankruptcy model Review of Quantitative Finance and Accounting Pub Date : 2023-12-11 Shu Zhang, Peimin Chen, Chunchi Wu
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Opioid crisis effects on local firms’ risk Review of Quantitative Finance and Accounting Pub Date : 2023-12-08 Sabri Boubaker, Zied Ftiti, Yifan Liu, Wael Louhichi
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Earnings quality and board meeting frequency Review of Quantitative Finance and Accounting Pub Date : 2023-12-03 Nikos Vafeas, Adamos Vlittis
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The impact of the Paycheck Protection Program on the risk-taking behaviour of US banks Review of Quantitative Finance and Accounting Pub Date : 2023-12-01 Stefano Filomeni
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Chalk it up to experience: CEO general ability and earnings management Review of Quantitative Finance and Accounting Pub Date : 2023-11-30 Leila Zbib, Kourosh Amirkhani, Douglas Fairhurst
We provide evidence that firms managed by CEOs with high general ability, or broad experience in their background, are more likely to utilize discretionary accruals to manage earnings than CEOs with focused experience. Cross-sectional variation suggests that the mechanism underlying the increased use of discretionary accruals is generalist CEOs’ increased willingness to bear the risk inherent in managing
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Effect of FinCredit on income inequality: the moderating role of financial inclusion Review of Quantitative Finance and Accounting Pub Date : 2023-11-25 Xuan T. T. Pham, Thu B. Luu
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Consistent valuation: extensions from bankruptcy costs and tax integration with time-varying debt Review of Quantitative Finance and Accounting Pub Date : 2023-11-24 Nguyen Kim-Duc, Pham Khanh Nam
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Cash flow sensitivity of cash: when should we use it to measure financial constraints? Review of Quantitative Finance and Accounting Pub Date : 2023-11-13 Weiping Hu, Xiao Zhang, Ye He
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Liquidity difference between non-U.S. and U.S. IPOs on the NYSE listings Review of Quantitative Finance and Accounting Pub Date : 2023-11-14 Jang-Chul Kim, Kaun Y. Lee, Ha-Chin Yi
We investigate liquidity and information asymmetry for a sample of non-U.S. stock listings and U.S. IPO listings on the NYSE. We find that non-U.S. stock listings tend to have wider spreads, larger price impact of trades, and higher probability of information-based trading than those of the U.S. IPOs. In addition, our results show that the differences in liquidity and information asymmetry are not
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A reduced-form model for lease contract valuation with embedded options Review of Quantitative Finance and Accounting Pub Date : 2023-11-10 Chuang-Chang Chang, Hsiao-Wei Ho, Henry Hongren Huang, Yildiray Yildirim
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CEO confidence matters: the real effects of short sale constraints revisited Review of Quantitative Finance and Accounting Pub Date : 2023-11-07 Juwon Jang, Eunju Lee
This paper investigates the role of managerial biases in the real effects of limits to arbitrage. In a natural experiment setting with Regulation SHO, we find that the lifting of short sale constraints leads to a significant decrease in CEO confidence for pilot firms, and this result is more pronounced for pilot firms with financial constraints and stronger corporate governance. We further find that
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The impact of economic policy uncertainty and inflation risk on corporate cash holdings Review of Quantitative Finance and Accounting Pub Date : 2023-11-07 Bijoy Chandra Das, Fakhrul Hasan, Soma Rani Sutradhar
This paper analyses the joint effects of Economic Policy Uncertainty (EPU) and inflation risk on the Corporate Cash Holdings (CCH) of US firms from 2011 to 2021. The baseline results suggest that EPU and inflation risk positively impact CCH. Moreover, we find the same results between inflation risk and CCH. However, EPU and CCH are negatively associated. Additionally, construction (finance) firms hold
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CFO overconfidence and conditional accounting conservatism Review of Quantitative Finance and Accounting Pub Date : 2023-11-06 Lu Qiao, Emmanuel Adegbite, Tam Huy Nguyen
This study investigates the association between Chief Financial Officers (CFOs) overconfidence and conditional accounting conservatism. Relying on upper echelons and overconfidence theories and based on a large sample of US-listed firms’ data from 1992 to 2019 (21,626 firm-year observations), we find a statistically and economically significant negative relationship between CFO overconfidence and conditional
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What do dividend changes reveal? Theory and evidence from a unique environment Review of Quantitative Finance and Accounting Pub Date : 2023-11-04 Abdullah AlGhazali, Khamis Hamed Al-Yahyaee, Richard Fairchild, Yilmaz Guney
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Corporate social responsibility and myopic management practice: Is there a link? Review of Quantitative Finance and Accounting Pub Date : 2023-10-29 David K. Ding, Christo Ferreira, Vu Minh Ngo, Phuc V. Nguyen, Udomsak Wongchoti
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The risk of SIN or socially irresponsible stocks Review of Quantitative Finance and Accounting Pub Date : 2023-10-25 Alireza Rezaeian, Marie Racine
We demonstrate that the current practice of assuming SIN stocks are riskier than non-SIN stocks is misleading for SIN, or socially irresponsible, investments in alcohol, tobacco and gambling securities. Using annual North American data from 1980 to 2017, we investigate the risk of SIN stocks relative to that of a curated sample of non-SIN firms with similar characteristics and carefully matched using
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Do environmental and social practices matter for the financial resilience of companies? Evidence from US firms during the COVID-19 pandemic Review of Quantitative Finance and Accounting Pub Date : 2023-10-19 Hachmi Ben Ameur, Selma Boussetta
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Forced consolidation Review of Quantitative Finance and Accounting Pub Date : 2023-10-19 Anna Pomeranets, Daniel G. Weaver
The European Union is moving closer to consolidating their equity markets as the United States did in the 1970s. In February 2023 fourteen European exchanges collaborated on a proposal to create a consolidated tape. This paper provides an empirical examination of the impact of regulator-imposed consolidation on market quality. We find that creating a consolidated system in the EU will likely improve
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CEO power, corporate risk management, and dividends: disentangling CEO managerial ability from entrenchment Review of Quantitative Finance and Accounting Pub Date : 2023-10-17 Mike Adams, Wei Jiang, Tianshu Ma
We contribute to the literature on dividend policy by considering two largely ignored, yet important factors, namely CEO power and corporate risk management. We first disentangle CEO managerial ability from entrenchment - the two sources of leadership autonomy that are not normally distinguished in prior literature. Using UK (re)insurance data that allows us to objectively and reliably quantify risk
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Corporate social responsibility, earnings management and firm performance: evidence from panel VAR estimation Review of Quantitative Finance and Accounting Pub Date : 2023-10-12 Mark Anderson, Soonchul Hyun, Hussein Warsame
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Robust lessons learned from bank failures during the Great Financial Crisis Review of Quantitative Finance and Accounting Pub Date : 2023-10-13 Cullen F. Goenner
Several empirical studies have identified unique characteristics of banks that subsequently failed during the Great Financial Crisis. The notion is that by identifying these risk characteristics we are better able to monitor and regulate the risks to banks during the next crisis. A concern is bank failure is a relatively rare event, therefore inferences based on a single model specification can be
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Identifying accounting conservatism in the presence of skewness Review of Quantitative Finance and Accounting Pub Date : 2023-10-08 Henry Jarva, Matthijs Lof
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The market price to embedded value gap: an analysis of European life insurers Review of Quantitative Finance and Accounting Pub Date : 2023-10-03 Derrick W. H. Fung, Charles C. Yang, Jason J. H. Yeh