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Academic Journal
Finance

“A NAV a Day Keeps the Inefficiency Away? Fund Trading Strategies using Daily Values”

Previous research documents the value of closed-end fund trading rules based on the size of the
weekly discount. The growing number of closed-end funds that provide daily net asset value data
provides an opportunity to test the profitability of short-term fund trading strategies. We find that
short-term trading strategies that purchase fund shares after large negative discount changes are
profitable, on average, even when transaction costs are incorporated. However, strategies that short
sell fund shares after large positive discount changes do not produce an average profit. The limited
amount of trading in closed-end funds may make it difficult to achieve short-term profits from discount
fluctuations. © 2005 Academy of Financial Services. All rights reserved.
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213-230 pages 2005 Financial Services Review J. Hughen Prem Mathew K. Ragan

Academic Journal
Finance

“A rare move: the effects of switching from a closing call auction to a continuous trading”

This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.
Details

308-328 pages 2020 Wiley Ya-Kai Chang Robin Chou Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“A Re-examination of Information Flow in Financial Markets: The Impact of Reg FD and Decimalization”

We investigate the impact of Regulation FD on information flow in the equities market. Our analysis indicates that information flow around earnings announcements, proxied by abnormal return volatility around those announcements, of U.S. stocks increased in the first effective quarter of Regulation FD (the fourth quarter of 2000). The information flow of ADRs, which are exempt from Regulation FD, does not change. This supports the inference that Regulation FD, not general market conditions, caused the increase in volatility, but Regulation FD did not have a persistent impact on information flow. A multivariate regression analysis shows that our results are robust to controls that include decimalization, which was implemented concurrently with Regulation FD and has reduced return volatility. Our comparison of return volatilities across firm size indicates that small firms temporarily had larger return volatilities, thus Regulation FD only temporarily had a differential impact on the information environment of small firms.
Details

123-147 pages 2004 Quarterly Journal of Business and Economics Prem Mathew C. Hughen K. Ragan

Academic Journal
Finance

“An Examination of the Differential Impact of Regulation FD on Analysts' Forecast Accuracy”

Regulation fair disclosure (FD) requires companies to publicly disseminate information, effectively preventing the selective pre-earnings announcement guidance to analysts common in the past. We investigate the effects of Regulation FD's reducing information disparity across analysts on their forecast accuracy. Proxies for private information, including brokerage size and analyst company-specific experience, lose their explanatory power for analysts' relative accuracy after Regulation FD. Analyst forecast accuracy declines overall, but analysts that are relatively less accurate (more accurate) before Regulation FD improve (deteriorate) after implementation. Our findings are consistent with selective guidance partially explaining variation in the forecasting accuracy of analysts before Regulation FD.
Details

9-31 pages 2006 The Financial Review S. Findlay Prem Mathew View on: Google Scholar

Academic Journal
Finance

“Analyst Information Acquisition via EDGAR”

We identify analysts’ information acquisition patterns by linking EDGAR (Electronic Data Gathering, Analysis, and Retrieval) server activity to analysts’ brokerage houses. Analysts rely on EDGAR in 24% of their estimate updates with an average of eight filings viewed. We document that analysts’ attention to public information is driven by the demand for information and the analysts’ incentives and career concerns. We find that information acquisition via EDGAR is associated with a significant reduction in analysts’ forecasting error relative to their peers. This relationship is likewise present when we focus on the intensity of analyst research. Attention to public information further enables analysts to provide forecasts for more time periods and more financial metrics. Informed recommendation updates are associated with substantial and persistent abnormal returns, even when the analyst accesses historical filings. Analysts’ use of EDGAR is associated with longer and more informative analysis within recommendation reports.
Details

2020 Management Science Brian Gibbons Peter Iliev Jonathan Kalodimos View on: Google Scholar

Academic Journal
Finance

“Are Family Firms More Efficient? Revisiting the U-Shaped Curve of Firm Scale and Efficiency”

This study applies a stochastic frontier model to examine the relationship between firm size and efficiency using a novel approach. The first novelty is that this study examines large and small firms separately to allow for heterogeneity between firm group sizes in terms of measuring the size-efficiency relationship. The second is that we use a modified frontier model which explicitly includes a family firm variable when measuring firm efficiency. Empirical results reveal that firms are in fact heterogeneous, with small-and-medium-sized enterprises (SMEs) exhibiting a U-shaped scale efficiency curve, while large enterprises (LE) exhibit an efficiency curve which is positive and linear. Robust results also confirm that family firms are relatively more efficient than non-family firms. In addition, while controlling for family firms does not appear to change the firm’s size-efficiency dynamics, failure to control for family firms leads to a bias in characterizing the nature of the firm’s production returns to scale.
Details

2023 Springer Julie Ann Elston Yingchao Zhang Ku-Hsieh Chen Pei-Hwa Chen View on: Google Scholar