Review of Quantitative Finance and Accounting
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Maturity Effect on Bid-Ask Spreads of OTC Currency Options
Review of Quantitative Finance and Accounting - Tập 21 - Trang 5-15 - 2003
The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists even after controlling for the effects of price risks, competition, and trading activity. The pronounced dif...... hiện toàn bộ
Distress risk, product market competition, and corporate bond yield spreads
Review of Quantitative Finance and Accounting - Tập 55 Số 3 - Trang 1093-1135 - 2020
The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market competition. After controlling for common bond-level, firm-level, and macroeconomic variables, the empirical results reveal significant relationships betwe...... hiện toàn bộ
The externality of politically connected directors’ resignations on peers’ cost of debt
Review of Quantitative Finance and Accounting - - Trang 1-31 - 2023
Using a sample of Chinese listed firms from the Shanghai and Shenzhen Stock Exchanges from 2012 to 2018, we investigate the externality of the forced resignations of politically connected independent directors on the cost of debt for non-connected peers. Exploiting an exogenous shock caused by the 18th decree, we find that when politically connected independent directors resign from a Chinese list...... hiện toàn bộ
Equal-weighting and value-weighting: which one is better?
Review of Quantitative Finance and Accounting - - 2022
Managerial ability, information quality, and the design and pricing of corporate debt
Review of Quantitative Finance and Accounting - Tập 51 - Trang 1033-1069 - 2017
We examine if managerial ability affects the efficiency of the contracting environment with lenders. We find that higher ability alters the balance of information-sensitive covenants demanded by outside investors, increases the issuance of bonds with longer maturity, and decreases the issuance of senior secured debt. We also document higher ability reduces the risk premium demanded by investors on...... hiện toàn bộ
Economic forces and seasonality in secirity returns
Review of Quantitative Finance and Accounting - Tập 2 - Trang 227-244 - 1992
This article finds strong seasonal behavior in the innovations for three Canadian macroeconomic variables (industrial production, unexpected inflation and GDP). An APT model is estimated as a restricted nonlinear multivariate regression system using seven macroeconomic variables, various residual market factor (RMF) proxies, and the returns on fifty size related portfolios of equities that traded ...... hiện toàn bộ
The asymmetry in firms’ mechanisms of cash holdings adjustments: evidence from the G-5 economies
Review of Quantitative Finance and Accounting - Tập 53 - Trang 429-463 - 2018
Using a G-5 country sample (France, Germany, Japan, the UK, and the US) from 1980 to 2007, I find new evidence of the asymmetry in firms’ mechanisms of cash holdings adjustments. They undertake different approaches to move toward their target cash holdings levels conditional on whether they have below- or above-target cash holdings. Specifically, firms with above-target cash holdings adjust mainly...... hiện toàn bộ
The performance of stocks that are reverse split
Review of Quantitative Finance and Accounting - - 2008
Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?
Review of Quantitative Finance and Accounting - Tập 45 - Trang 251-278 - 2014
This article presents a comprehensive analysis of the relative ability of three information sets—daily trading volume, intraday returns and overnight returns—to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into economic gains for technical traders. Various profitability criteria and utility-based switching fees indicate th...... hiện toàn bộ
Beyond friendly acquisitions: the case of REITs
Review of Quantitative Finance and Accounting - Tập 44 - Trang 139-159 - 2013
Unlike operating companies, acquisitions between Real Estate Investment Trusts (REITs) are friendly and acquirers have been previously found to experience positive announcement effects. This study looks beyond stock response and long term performance and finds that overconfidence motivates REIT managers to acquire other firms or assets within the industry. We find that larger, more profitable, and...... hiện toàn bộ
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