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Publications
Publications (83)
Corporate social responsibility (CSR) theoretically builds a positive brand for social and environmental commitment with ethical constraints imposed on corporate insider trading. We use a sample of ten European countries, clustered by French, German and Nordic sub-code law and U.K. common law to show high variability in the ethical influence of CSR...
Romania ranks at the extreme low end in Eastern Europe in terms of Hofstede cultural insights, rule of law, government effectiveness, and corruption—potentially limiting governance quality for restricting resource channeling. In this paper, we examine whether these shortcomings flow over into the degree of corporate insider trading profitability at...
It is well established in the literature the ex post risk premium is higher than the ex ante risk premium and can vary substantially, but little research has been conducted in modelling the dynamic process between the two. This paper contributes by providing a theoretical framework to model the long-term dynamic relationship between the two risk pr...
We examine whether external labour market incentive, as captured by CEOs’ industry tournament incentives (CITI), is related to a firm’s corporate social responsibility (CSR) behaviour. We find that firms with greater CITI are associated with fewer CSR engagements. We also find that CEOs, while responding to labour market incentives, prioritise the...
We find that a CEO's industry tournament incentives (CITI) induce a CEO to undertake strategies that reduce the propensity of a firm to incur future stock price crash risk. CITI also has a mitigating effect on accounting techniques (such as, accrual manipulation, real earnings management, and financial restatement) used as channels for obfuscation...
This paper represents the intersection of three spheres of influence, relevant to the global research community interested in a more reliable understanding of capital market phenomena. First, as a timely context, we celebrate the 50-year legacy of an iconic event study of accounting information and the evolution of stock prices, namely Ball and Bro...
We investigate the role of internal corporate governance in limiting opportunities for ASX company ‘insiders’ to extract abnormal returns from trading ‘own shares’. We show that stronger governance translates into more restrictive insider trading policies and, while not resulting in lower insider purchase volumes, values or profits, it does reduce...
We investigate whether the value relevance of earnings and book values in Turkey significantly changed across periods of financial uncertainty. Our enquiry differs from the mainstream literature that posits a unidirectional association determined by the ‘quality’ of individual firm accounts towards price. We find divergence in accounting value rele...
Purpose
This paper tests whether a change in the reporting location of income, and other comprehensive income (OCI) components, in a Statement of Comprehensive Income (SoCI) under International Financial Reporting Standards (IFRS) affects their value-relevance and use by financial analysts.
Design/methodology/approach
The study tests the associa...
We examine real estate's information and volatility linkages with stock, bond and money markets. Based on the theory that the volatility of prices directly reflects of the rate at which information flows to the market (Kyle, 1985; Ross, 1989), we propose that information linkages across markets are revealed in the correlations of their volatilities...
This study examines and compares insider trading laws across Australia and the United States. Motivation is provided by academic studies that provide a global comparison of insider trading without analysis of divergent interpretations and liabilities. For example, sharing confidential information with friends over Friday night drinks may have compl...
In contrast to U.S. studies, we show that Australian short sellers do not front-run and profit after insider sales. Results are robust to conditional trading classified by book-to-market, intangible ratios, industry and multiple factor analysis. A combination of insider sales and short selling provides a contrarian signal that dampens prior overpri...
We examine advertising value relevance when advertising competes against other intangibles for scarce funding in a growth market. Manufacturing firms that strategically increase advertising are rewarded—they provide a direct and indirect Granger lead to stock prices above sales and income. In service firms, stock prices and intangible budgets are i...
We investigate the performance and its link with information asymmetry, corporate governance and legal enforcement of insider transactions in 36 countries covering 10 Asian countries, 20 European countries and 6 countries in the rest. The results show that abnormal returns after insider trading are generally positive over time especially on Monday...
Using a vector error correction model (VECM) and data from a period with high unreported intangible values, we show how to control for endogeneity feedback between capital expenditures (CAPX), research and development (RAND), and advertising (ADVT). We find increased ADVT induces excess returns in manufacturing firms, with ADVT, CAPX and RAND at eq...
This paper reports the results of a behavioural finance experiment on the ability of Thai individuals to make informed investment decisions under a defined contribution self-management option. Using an asset allocation dataset from members of the Thai Government Pension Fund (TGPF) and a control sample of financially knowledgeable individuals (MBA...
We find a stronger valuation association between accounting and stock prices in African countries classified as having a secrecy culture. This increases after IFRS and more so for earnings—likely explained by opaque and illiquid asset markets that gain little from the revaluation balance sheet focus of IFRS. On the other hand, IFRS induced a strong...
Small businesses are unsuccessful for a number of reasons. The lack of a systematic risk management plan, overconfidence based on cognitive biases, and the failure of small businesses to move to a more professional management structure are propositions often given for failure. The purpose of this paper is to report and analyse the findings of a sur...
Purpose
– The purpose of this paper is to examine the impact of female board membership on the profitability of corporate insider purchases.
Design/methodology/approach
– The authors use a classic event study approach. They measure abnormal returns around the insider purchase events, and analyze the cross-sectional variation of this market impact...
Comprehensive income (CI) contains a mixture of realised, unrealised, temporary, persistent and recyclable elements. How, when and where these elements should be reported in income and equity have been issues intensively debated (and changed) by international regulators over the last 20 years. This article traces the major threads of the debate and...
We examine corporate insider transactions around Sarbanes-Oxley §403 (SOX) regulatory regimes and subsequent Wall Street Journal (WSJ) media postings, and provide new evidence on the trade-off tension between private information transfer and stock trading costs. SOX increased insider abnormal returns in conjunction with market-maker induced higher...
This study examines if there has been a change in the value relevance of direct cash flow components since the adoption of International Financial Reporting Standards (IFRS) in Australia. Our results show that for both industrial and extractive firms direct cash flow statements are value relevant under Australian Generally Accepted Accounting Princ...
This study examines if there has been a change in the value relevance of direct cash flow components since the adoption of IFRS in Australia. Our results show that for both industrial and extractive firms direct cash flow statements are value relevant under AGAAP and remain so after the adoption of IFRS. In addition, for industrial firms there is a...
This paper examines whether the ‘external governance’ imposed by comparative financial accounting standards reduces the trading advantage of insiders. We do this by directly comparing insider trading returns and insider’s ability to predict future earnings from accruals in Spain and Australia. Results show higher excess returns and greater predicti...
Previous research in accounting has uncovered an information asymmetry between large and small firms to the release of earnings news. For smaller firms, earnings resolve more uncertainty and provide more information which is not already captured in prices. This paper provides several extensions regarding the impact of information on firm size using...
How has the mandatory adoption in 2005 of International Financial Reporting Standards in (IFRS) affected information flow for investors in Australia? This paper investigates impact by examining synchronicity issues. Morck et al. (2000) label the degree to which stock prices depend upon market and industry wide information as market synchronicity, a...
Over a recent short period, a number of interventions potentially helped move the Romanian accounting system away from being a tool simply used to support a planned economy. They include harmonization with the European Directives, the introduction of International Financial Reporting Standards (IFRS) and an increased move towards modern information...
Core business and financial market risks are not easily reduced by standard operating procedures in insurance companies. Derivatives theoretically provide a cost effective vehicle to hedge these risks. This paper provides an empirical analysis of the determinants of derivative usage as well as the extent of derivative usage in the Australian insura...
Purpose - This paper examines the contemporary association between accounting information and a number of measures of systematic (beta) risk that incorporate dynamic market features. The goal is to determine the fundamental accounting drivers of beta and to assess whether their explanatory variable power has changed or declined over time.Design/met...
Arguments about increased (market based) accounting accruals suggest that the information benefits accrue directly to investors (Barth, 2007; Barth et al., 2008). This paper compares Spanish and Australian accruals as a test of relative information asymmetry, measured by the ability of insiders to earn risk and size adjusted returns and to predict...
Purpose – Prior research, in mainly Western economies, suggests the level of corporate governance is financially important. As an emerging economy case study, the purpose of this paper is to investigate whether the Thai Institute of Directors (IOD) corporate governance index provides investors with financial information about fundamental value and...
The IASB discussion paper, Preliminary Views on Financial Statement Presentation (IASB 2008), asks whether income should be aggregated and reported as a single comprehensive income figure, and how comprehensive income components should be reallocated. We extend prior empirical evidence by researching 16 European countries and by an extensive examin...
This paper examines the information content of stock option exercises versus regular insider share trades by corporate executives. We argue that the asymmetric payoff structure of options makes managerial wealth – compared to holdings of shares – relatively more sensitive to stock price changes and more likely induces opportunistic behaviour. Consi...
This article investigates whether financial derivative usage by Australian corporations constitutes information asymmetry when proxied by profitable trading in the firms' securities by insiders. The findings show that insiders who trade in companies that employ derivatives make larger purchase returns compared to insiders in nonuser firms with rega...
Accounting Theory 7e is the new edition of this widely respected accounting theory textbook. The new edition has been updated in accordance with ongoing developments the IASB Framework and reporting and disclosure requirements as a consequence of international harmonisation of accounting standards. The strength of this textbook has always been the...
This paper investigates the sensitivity of the computed loss from holding monetary items to alternative numerical estimating techniques. Using data from 38 companies for the fiscal year 1980‐81, we find that estimation of the loss from holding monetary items is robust with respect to the calculating technique utilized, provided the monetary base is...
The futures option contract on the Australian All Ordinaries Share Price Index is a relatively new hybrid security that ought to enhance the richness and potential efficiency of security markets. This paper considers the problems of valuing it using the theoretical price of a futures-style option. It was found that there was little consistency betw...
The recent financial crisis and the lobbying of European politicians and banks have led to a vigorous debate about ‘fair value’ gains and losses and highlights plans by current standard setters. The IASB Discussion Paper (2008), Preliminary Views on Financial Statement Presentation promises to extend the ‘fair value’ concept into an aggregated comp...
A vast and often confusing economics literature relates competition to investment in innovation. Following Joseph Schumpeter, one view is that monopoly and large scale promote investment in research and development by allowing a firm to capture a larger fraction of its benefits and by providing a more stable platform for a firm to invest in R&D. Ot...
This paper examines the financial effectiveness of marketing communication expenditure (MCE) as an instrument to increase risk-weighted capital. We nest a cross-sectional time-series panel model within the risk-adjusted earnings principles of Ohlson (1995), and apply the model to a dataset of NSW credit unions during a period of regulatory interven...
The IASB comprehensive income project extends the ‘fair value’ measurement conceptfrom the balance sheet into the income statement. This article extends prior research, primarilybased on Anglo-Saxon countries, by using a comprehensive data set of 56,700 European firm yearsover sixteen countries. We find that other comprehensive income provides in...
Recently a number of interventions have impacted the Romanianaccounting system, such as the harmonization with the European Directives,International Financial Reporting Standards (IFRS), and an increased move towardsmodern information technologies such as Enterprise Resource Planning (ERP)software. In this study we directly explore these influences...
We analyse the extent to which managers exercise discretion under fair value accounting and the value relevance of these disclosures. Utilising a sample of firms that apply the UK fair value pension accounting standard, (FRS-17), we examine the main determinants of the assumptions managers use to arrive at pension scheme valuation. Despite little v...
This paper examines whether the relevance of conventional (earnings focused) accounting information for valuation has declined in Australia over a recent period of 28 years. Motivation is provided by the anecdotal concerns of financial analysts, accounting regulators, and a cluster of US centric academic research papers that conclude that the relev...
Purpose
This paper aims to examine the contemporary association between accounting information and a number of measures of systematic (beta) risk that incorporate dynamic market features. The goal is to determine the fundamental accounting drivers of beta and to assess whether their explanatory variable power has changed or declined over time.
Des...
Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term future...
In this paper, we test whether directors' (corporate insiders) trading in Australia, based on accounting accruals, provides incremental information in forecasting a firm's economic performance. We determine that directors' trading on negative accruals in larger firms has greater forecasting content and is associated with 1-year-ahead bull market ph...
The present paper analyses the population of takeover bids for listed Australian companies using quarterly data over a 25-year period to re-examine the predictability of takeover activity and to determine if there is a flow on impact on macroeconomic variables. We examine whether takeover activity: (i) is endogenous; that is, determined by own acti...
This study examines the extended stakeholder corporate governance model in credit unions and the extent to which inherent managerial entrenchment impacts upon their operational decisions. Using Australian credit union data and the introduction of Basle-type capital adequacy regulations as a case study, we demonstrate that credit union management wi...
This paper estimates the value added by Big 8/6/5 auditors after controlling for the permanent and non‐permanent impact of earnings and cash flows using linear and nonlinear (arctan) regression models. The linear model shows significant value added for industrial firms that utilise Big 8/6/5 auditors; while an arctan model shows that large auditors...
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the financial institutions sector. It was found that there i...
This paper tests if there are returns from investing in marketing communications expenditure (MCE) by using excess risk weighted accounting earnings as an output metric.We utilise panel data techniques and a case study of Australian credit unions that successfully invest in core relational activities designed to establish customer assets, and who a...
The tentative decisions under International Accounting Standards Reporting Comprehensive Income (Performance Reporting) (IAS Plus 2004c) require several items that are noncore business to be included as comprehensive income. Using data from Australian firms we replicate the IAS adjustments and use linear and non-linear association regressions to te...
This paper examines the issue of stock return moments in the Australian stock market. The existence of at least second moments is a fundamental assumption of underlying finance theory. We determine, using characteristic exponent point estimates, that the population variance may be infinite but on the same data, we also find that Hill-estimates are...
This study examines the announcement period returns of seasoned equity offers (SEOs) by new economy companies in Australia between 1994 and 2004 in the form of private placements and rights offers. The effects of variables constructed from publicly available information on the announcement period returns of new economy seasoned equity offers are ex...
The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information...
This paper examines whether the relevance of accounting information for valuation and systematic risk assessment has declined in Australian during the last thirty years. Motivated by professional and analyst concerns that the relevance of accounting earnings and (possibly) balance sheets have continuously declined over time, a number of recent rese...
This paper tests the ‘investor awareness’ hypothesis by examining the decision to cross-list stock from the relatively small Australian market to multiple larger more developed international exchanges. By undertaking full listing on an international exchange and choosing to abide by regulatory structures that require greater disclosure, then firms...
Statistical population moments may be finite or infinite. Determining whether certain moments of a population are finite or not based on a finite sample turns out to be a very daunting and difficult task. If one assumes stock returns to behave according the sum stable law, characteristic exponent point estimates of approximately 1.5 are found for A...
The fundamental relationship between accounting variables and firm valuation is a recurring theme in capital market research. This paper investigates this relationship within a balance sheet context and highlights the importance of controlling for relevant economic factors. We do this by conditioning explanatory power on the firm's relative financi...
The relation between stock returns, earnings and cashflows is of importance because it directly addresses the issue of whether accounting data provide value relevant information. The empirical evidence to date, however, has documented low explanatory power for earnings and inconclusive incremental information content for cashflows. This research re...
This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional features and recent changes in trading systems have c...
This paper jointly examines international overnight information and an extended set of domestic macro-economic announcements which may impact interest rates. The research is motivated by the possibility that domestic Australian interest rates may primarily be determined by international factors. This possibility has largely been ignored in previous...
Abstract Asymmetric,theories predict that information will flow from large stock prices to small stock prices. This,paper examines,whether,the multivariate lead-lag
This paper re‐examines and extends stock index futures pricing in Australia. The paper has two objectives. First, the paper provides a comprehensive examination of stock index futures pricing which is, as far as possible, free from method bias which has been problematic in previous studies. Second, the paper analyses the behaviour of the mispr...
Previous research has identified overnight public information as the cause of higher opening returns and mean reversion in security markets. This paper tests this hypothesis by using an intervention and transfer function time series model to filter out the dynamic effects of an overnight information set on the opening, and subsequent, intraday AOI...
A general result from theoretical and empirical research in financial market is that information, market microstructure and trading clientele affect prices and trading patterns. Previous research, however, concentrated mainly on larger well traded security markets. This thesis extend this research to the thinly traded and informationally dependent...
This paper uses a transactions theory approach to analyse some of the measurement and disclosure issues involved in accounting for goodwill and other intangibles. The recent professional and academic literature is reviewed and the traditional economic theory approach to interpreting accounting issues in these areas is criticised. A form of transact...
