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href="https://kedgebs.academia.edu/ChristopheFaug%C3%A8re">Christophe Faugère</a><p class="suggested-user-card__user-info__subheader ds2-5-body-xs">Kedge Business School</p></div></div><div class="suggested-user-card"><div class="suggested-user-card__avatar social-profile-avatar-container"><a href="https://uiu-bd.academia.edu/MdMohanUddin"><img class="profile-avatar u-positionAbsolute" alt="Md Mohan Uddin" border="0" onerror="if (this.src != '//a.academia-assets.com/images/s200_no_pic.png') this.src = '//a.academia-assets.com/images/s200_no_pic.png';" width="200" height="200" src="https://0.academia-photos.com/136054/36102/14482993/s200_md.mohan_uddin.jpg" /></a></div><div class="suggested-user-card__user-info"><a class="suggested-user-card__user-info__header ds2-5-body-sm-bold ds2-5-body-link" href="https://uiu-bd.academia.edu/MdMohanUddin">Md Mohan Uddin</a><p class="suggested-user-card__user-info__subheader ds2-5-body-xs">United International University</p></div></div><div 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class="suggested-user-card__user-info__subheader ds2-5-body-xs">The University of Sydney</p></div></div><div class="suggested-user-card"><div class="suggested-user-card__avatar social-profile-avatar-container"><a href="https://mmu.academia.edu/GavinBrown"><img class="profile-avatar u-positionAbsolute" alt="Gavin Brown" border="0" onerror="if (this.src != '//a.academia-assets.com/images/s200_no_pic.png') this.src = '//a.academia-assets.com/images/s200_no_pic.png';" width="200" height="200" src="https://0.academia-photos.com/10876377/3245777/8153348/s200_gavin.brown.png" /></a></div><div class="suggested-user-card__user-info"><a class="suggested-user-card__user-info__header ds2-5-body-sm-bold ds2-5-body-link" href="https://mmu.academia.edu/GavinBrown">Gavin Brown</a><p class="suggested-user-card__user-info__subheader ds2-5-body-xs">Manchester Metropolitan University</p></div></div><div class="suggested-user-card"><div class="suggested-user-card__avatar social-profile-avatar-container"><a 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class="ds2-5-heading-sans-serif-xs">Uploads</h2></div><div class="documents-container backbone-social-profile-documents" style="width: 100%;"><div class="u-taCenter"></div><div class="profile--tab_content_container js-tab-pane tab-pane active" id="all"><div class="profile--tab_heading_container js-section-heading" data-section="Papers" id="Papers"><h3 class="profile--tab_heading_container">Papers by Terry Walter</h3></div><div class="js-work-strip profile--work_container" data-work-id="125612126"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612126/An_Empirical_Analysis_of_Some_Determinants_of_the_Target_Shareholder_Premium_in_Takeovers"><img alt="Research paper thumbnail of An Empirical Analysis of Some Determinants of the Target Shareholder Premium in Takeovers" class="work-thumbnail" src="https://attachments.academia-assets.com/119623478/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612126/An_Empirical_Analysis_of_Some_Determinants_of_the_Target_Shareholder_Premium_in_Takeovers">An Empirical Analysis of Some Determinants of the Target Shareholder Premium in Takeovers</a></div><div class="wp-workCard_item"><span>Accounting and finance</span><span>, Nov 1, 1995</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0fd35adbfaf09ef2a85b290744585c41" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623478,"asset_id":125612126,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623478/download_file?s=profile"><span><i class="fa 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dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612125"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612125/Do_Foreign_Investors_Pay_More_for_Stocks_in_the_United_States_An_Analysis_By_Country_of_Origin"><img alt="Research paper thumbnail of Do Foreign Investors Pay More for Stocks in the United States? An Analysis By Country of Origin" class="work-thumbnail" src="https://attachments.academia-assets.com/119623461/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612125/Do_Foreign_Investors_Pay_More_for_Stocks_in_the_United_States_An_Analysis_By_Country_of_Origin">Do Foreign Investors Pay More for Stocks in the United States? An Analysis By Country of Origin</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2007</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We examine whether and why implicit equity transaction costs incurred by institutional investors ...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We examine whether and why implicit equity transaction costs incurred by institutional investors across 51 countries differ from those of domestic institutions in the United States. Using a proprietary institutional trading dataset that discloses the home country of the initiator of a trade, we analyze round-trip implicit transaction costs conditional on the trader's country of origin. The average daily equally (trade) weighted disadvantage of foreign institutional investors for purchases is 3.3 (3.3) basis points (bps) and 4.1 (3.0) bps for sales of common stocks and American Depository Receipts that traded on the NYSE, AMEX and NASDAQ between 1 July 1999 and 30 September 2004. Therefore a roundtrip daily equally weighted disadvantage to foreign institutional investors is approximately 7.4 (6.3) bps. Several institutional background factors related to foreign investors' countries of origin are relevant in explaining their disadvantage.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="10ff416a96165ee2c04aa23fa8770956" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623461,"asset_id":125612125,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623461/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612125"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612125"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612125; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612125]").text(description); $(".js-view-count[data-work-id=125612125]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612125; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612125']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "10ff416a96165ee2c04aa23fa8770956" } } $('.js-work-strip[data-work-id=125612125]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612125,"title":"Do Foreign Investors Pay More for Stocks in the United States? 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The quality of a stock is positively related to its size, while quality is inversely related to volatility. Evidently, stocks in the lowest quality decile perform particularly poorly amidst volatile market conditions with a mean monthly Daniel, Grinblatt, Titman and Wermers (DGTW) alpha 1.93% [25.73% per annum (pa)] less than high-quality stocks. Furthermore, funds which hold the lowest quality stocks exhibit substantial underperformance, particularly during market downturns, with funds in the lowest decile of quality incurring a mean monthly DGTW alpha 0.96% (12.14% pa) lower than their higher quality counterparts. Interestingly, we discover a trend to funds investing in higher quality stocks over time. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="ead63dadd2d8b34a80fb4f9c11b6908e" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623460,"asset_id":125612123,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623460/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612123"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612123"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612123; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612122"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility"><img alt="Research paper thumbnail of The Role of Non-Accounting Information in Understanding Stock Return Volatility" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility">The Role of Non-Accounting Information in Understanding Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT Uncertainty about firms&amp;amp;#39; future payoffs is the dominant factor in explaining...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT Uncertainty about firms&amp;amp;#39; future payoffs is the dominant factor in explaining stock return volatility at the firm level. However, summary financial statement numbers such as earnings only provide a limited measure of expected payoffs, as they do not reflect firms&amp;amp;#39; fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms&amp;amp;#39; fundamentals contained in analysts&amp;amp;#39; forecasts (which we label as &amp;amp;quot;non-accounting information&amp;amp;quot;) is expected to influence future stock return volatility. When combined with Ohlson&amp;amp;#39;s (1995) linear information dynamics, the accounting version of the Campbell-Shiller model (Campbell and Shiller 1988a, 1988b; Vuolteenaho 2002) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results highlight the relevance of information in analysts&amp;amp;#39; forecasts beyond what is contained in the current financial statements.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612122"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612122"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612122; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612122]").text(description); $(".js-view-count[data-work-id=125612122]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612122; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612122']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612122]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612122,"title":"The Role of Non-Accounting Information in Understanding Stock Return Volatility","internal_url":"https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612120"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612120/Cross_Region_Cross_Sector_Asset_Allocation_with_Regimes"><img alt="Research paper thumbnail of Cross-Region, Cross-Sector Asset Allocation with Regimes" class="work-thumbnail" src="https://attachments.academia-assets.com/119623476/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612120/Cross_Region_Cross_Sector_Asset_Allocation_with_Regimes">Cross-Region, Cross-Sector Asset Allocation with Regimes</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues i...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlations, and lower expected returns, in bear markets compared to bull markets. However, static mean-variance analysis fails to capture this salient feature of equity returns. Using a regime switching model across both regions and sectors, the regime-dependent asset allocation substantially outperforms the static mean-variance allocation. This outperformance is robust both in-sample and out-of-sample, as well as under various asset allocation constraints. In addition, optimal allocation across sectors provide greater benefits compared to international diversification, which is characterized by higher returns, lower risks, lower correlations with the world market and a higher Sharpe ratio..</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e482ba0d023b049a3991119f007af506" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623476,"asset_id":125612120,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623476/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612120"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612120"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612120; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612119"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets"><img alt="Research paper thumbnail of Foreign Investors' Trading Disadvantage in U.S. Stock Markets" class="work-thumbnail" src="https://attachments.academia-assets.com/119623477/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets">Foreign Investors' Trading Disadvantage in U.S. Stock Markets</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We examine implicit equity transaction costs incurred on United States exchanges by domestic inst...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We examine implicit equity transaction costs incurred on United States exchanges by domestic institutional investors compared to foreign domiciled money managers. The average equally weighted disadvantage of foreign investors for purchases (sales) is 3.6 (5.1) basis points on a daily interval, and 19.1 (20.5) basis points weekly. The disadvantage persists across different stock types and exchanges. Foreign investors pay three cents per share less than local institutions in brokerage commissions, an insufficient edge to offset their disadvantage in implicit costs. Relating explicit costs to realized prices, we show that local investors benefit more from their brokerage commissions than foreigners.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0ef0dc33ce1355144567257ffb15c087" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623477,"asset_id":125612119,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623477/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612119"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612119"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612119; 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dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "0ef0dc33ce1355144567257ffb15c087" } } $('.js-work-strip[data-work-id=125612119]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612119,"title":"Foreign Investors' Trading Disadvantage in U.S. Stock Markets","internal_url":"https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":119623477,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623477/thumbnails/1.jpg","file_name":"81cb459ac1f4944bff4c6b0fd2df25d7d3c4.pdf","download_url":"https://www.academia.edu/attachments/119623477/download_file","bulk_download_file_name":"Foreign_Investors_Trading_Disadvantage_i.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623477/81cb459ac1f4944bff4c6b0fd2df25d7d3c4-libre.pdf?1731823256=\u0026response-content-disposition=attachment%3B+filename%3DForeign_Investors_Trading_Disadvantage_i.pdf\u0026Expires=1740627245\u0026Signature=AWe1bjuQqvK5MNRrWIwhC8tqs3-h1lFzNJMLKgMKPLFL7YKTO9N~~PxfoPFOsAM-MidkiDw1UdVwRs60msUuvb8tbQTxQkwg4K5AHcP06p3wcj~asntWgb~wRRNPz3qpWOtwg2cnzebcBvvHHNaTd20almxzNMJvK~0F-BwN3Z8ygHEEQgevWpUieJ7YGFzKiuCxzGTDU6Wr1VMz3jTnc0EigCJHD0Jbwnuc-djZspYP9XtdYXOMqmZd86s2UBOXpG6JmjAjjPh9RlH8tfnFeNe9VxOBCSlM9cRrlsYq9lZFJnmVNMhPxbDZ4bCkhnCRHQIaP5iuQ7G0r0KAQ-4LLg__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612118"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias"><img alt="Research paper thumbnail of Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias">Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2003</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Do...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612118"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612118"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612118; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612118]").text(description); $(".js-view-count[data-work-id=125612118]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612118; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612118']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612118]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612118,"title":"Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias","internal_url":"https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612117"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility"><img alt="Research paper thumbnail of Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/119623462/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility">Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Abacus</span><span>, Dec 1, 2013</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study extends the theoretical framework of and to investigate the association between accrua...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study extends the theoretical framework of and to investigate the association between accrual variability and firm-level stock return volatility. The empirical evidence supports our prediction that increased uncertainty in current-period accounting accruals is associated with significantly higher volatility of future stock returns, and the results are valid for measures of both systematic and idiosyncratic volatility. When accrual variability is decomposed into fundamental and discretionary portions, we find that the positive relationship between accrual variability and future stock return volatility is dominated by the fundamental component of accrual variability. Overall, our results suggest that uncertainty reflected in accrual information is subsequently reflected in the fluctuation of future stock returns, and that the predictive content in accruals primarily reflects firms' fundamental uncertainty, rather than any effects of managerial choices and interventions in the accounting process. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="6f30a332ac21844fcc7337448f74ecc2" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623462,"asset_id":125612117,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623462/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612117"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612117"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612117; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612117]").text(description); $(".js-view-count[data-work-id=125612117]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612117; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612117']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "6f30a332ac21844fcc7337448f74ecc2" } } $('.js-work-strip[data-work-id=125612117]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612117,"title":"Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility","internal_url":"https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":119623462,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623462/thumbnails/1.jpg","file_name":"viewcontent.pdf","download_url":"https://www.academia.edu/attachments/119623462/download_file","bulk_download_file_name":"Fundamentals_or_Managerial_Discretion_Th.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623462/viewcontent-libre.pdf?1731823279=\u0026response-content-disposition=attachment%3B+filename%3DFundamentals_or_Managerial_Discretion_Th.pdf\u0026Expires=1740627245\u0026Signature=gBUFKEiVfCQGVn6anVCqeqMtfrZpKQPuCFFwv10SiE83aOryBjhuRyRK1iPwYQtcyfr8Jm983VO86cOH7dvYAfAJF-h2gZF0Zu41yZsVessgzIyqGQ7e59M54VGAArmvd536LCQQzsG1Y7JRq5i2QS8VUo~tHt7iLL4IviXupFIWRST7yolxyTzo-gpnEoqouMxskiSCYrLB62TTDSjaRQAg5VWpC3~a~ZQd9p4JR0ZaX1f6i0breqUxYronaDzn4AIDp~adTKEbeKFSjpiMA69wHpULHjaTJd75~cug9O4tqk76vNQWRsgPcPjOxL3aRkUaw1ZAHTjFg2ku1bOm0A__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"},{"id":119623465,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623465/thumbnails/1.jpg","file_name":"viewcontent.pdf","download_url":"https://www.academia.edu/attachments/119623465/download_file","bulk_download_file_name":"Fundamentals_or_Managerial_Discretion_Th.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623465/viewcontent-libre.pdf?1731823269=\u0026response-content-disposition=attachment%3B+filename%3DFundamentals_or_Managerial_Discretion_Th.pdf\u0026Expires=1740627245\u0026Signature=ZpoAQ8Ou2shSu4ssp6s7q~cyR9jNiNgAv4sUB-Gw4n2f11xgB3bPdlgdP2oG2F59vyjHizV7JQw2KnDnSUnPtLWA-678avV60MtIv6DQ4d8dSMfWx3kDaKps9dD3p7C7JHsIoKIUA1roJW5RqrK7cIBs8gb21-z5P4YuuuD8GT4GMGA71O-G5k8k8PKPeT8Y-pnX0za9RDRvkaWd0K92-tod43JE9j4kCQPy~Yf9Cu27cjgqyalk5r-cTmXX3mjoqRfnWUrfD1JlzD9Jb8mx0kiwmZIUZ1N5tKJNI9JSPVKtOdCl4b4S05FCEwEOkmcv6om6R4KHkC71ZUGz9PwF5w__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612116"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612116/Errors_in_Estimating_Unexpected_Accruals_in_the_Presence_of_Large_Changes_in_Net_External_Financing"><img alt="Research paper thumbnail of Errors in Estimating Unexpected Accruals in the Presence of Large Changes in Net External Financing" class="work-thumbnail" src="https://attachments.academia-assets.com/119623459/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612116/Errors_in_Estimating_Unexpected_Accruals_in_the_Presence_of_Large_Changes_in_Net_External_Financing">Errors in Estimating Unexpected Accruals in the Presence of Large Changes in Net External Financing</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We demonstrate that the articulation among accruals, cash flows and revenues which is typically a...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We demonstrate that the articulation among accruals, cash flows and revenues which is typically assumed in tests of earnings management does not hold when large (positive or negative) external financing activities are present. Our study provides evidence that managers' "normal" operating decisions associated with net external financing activities are likely to lead to economically and statistically significant measurement errors in unexpected accruals. This is a serious concern given the frequency with which the partitioning variable used to identify instances of alleged earnings management is correlated with significant movements in net external financing. Simulation tests show that even at modest levels of net external financing changes, rejection frequencies for the null hypothesis of no earnings management rise dramatically. This result underscores the importance of additional specification tests being conducted to control for estimation biases in unexpected accruals associated with external financing. We suggest the use of matched-firm approach using industry and external financing matches. Using this approach, we demonstrate that prior conclusions about the existence of earnings management around open market repurchases do not appear robust when attempts are made to control for the effect on expected accruals of large changes in net external financing.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="67f0f0621e549dcb4dcfc16a5e43217d" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623459,"asset_id":125612116,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623459/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612116"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612116"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612116; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612115"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612115/Investment_Manager_Skill_in_Small_Cap_Equities"><img alt="Research paper thumbnail of Investment Manager Skill in Small-Cap Equities" class="work-thumbnail" src="https://attachments.academia-assets.com/119623458/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612115/Investment_Manager_Skill_in_Small_Cap_Equities">Investment Manager Skill in Small-Cap Equities</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2005</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Using a representative sample of monthly portfolio holdings and daily trades, this study presents...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated by fund managers in our sample. Aggregate four-factor and five-factor alphas are 68 and 59.6 basis points per month before management expenses and tax, respectively. The evidence from holdings and transaction-based metrics of performance also reveals that small-cap equity managers possess superior stock selection ability, from both a statistical and economic perspective. Our results are robust to the deduction of transaction costs. Our research provides important non-U.S. evidence concerning the value of active management, in a market segment which exhibits both lower liquidity and lower analyst coverage. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="9a95714586987b07a0828ba1d54b666e" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623458,"asset_id":125612115,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623458/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612115"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612115"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612115; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612114"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612114/Momentum_returns_in_Australian_equities_The_influences_of_size_risk_liquidity_and_return_computation"><img alt="Research paper thumbnail of Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation" class="work-thumbnail" src="https://attachments.academia-assets.com/119623473/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612114/Momentum_returns_in_Australian_equities_The_influences_of_size_risk_liquidity_and_return_computation">Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation</a></div><div class="wp-workCard_item"><span>Pacific-basin Finance Journal</span><span>, Apr 1, 2004</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">The apparent predictability of stock prices, and the related profitability of investment strategi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on 'practical' or 'realistic' investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="a0f6c36dd9a1c4d57b2ceed01cb2c9da" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623473,"asset_id":125612114,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623473/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612114"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612114"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612114; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612114]").text(description); $(".js-view-count[data-work-id=125612114]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612114; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612114']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612113"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612113/The_Uncertainty_of_Non_Accounting_Information_in_Analysts_Forecasts_and_Stock_Return_Volatility"><img alt="Research paper thumbnail of The Uncertainty of Non-Accounting Information in Analysts' Forecasts and Stock Return Volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/119623474/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612113/The_Uncertainty_of_Non_Accounting_Information_in_Analysts_Forecasts_and_Stock_Return_Volatility">The Uncertainty of Non-Accounting Information in Analysts' Forecasts and Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">The uncertainty of firm's future payoffs is the dominant factor in explaining firm-level stock re...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">The uncertainty of firm's future payoffs is the dominant factor in explaining firm-level stock return volatility at the firm level. However, financial statement numbers (e.g. dividends, accounting earnings), only provide a limited measure of expected payoffs, as they do not reflect firms' fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms' fundamentals contained in analysts' forecasts, (which we label as "non-accounting information"), is expected to influence future stock return volatility. When combined with Ohlson's (1995) linear information dynamics, the accounting version of the Campbell-Shiller model and Vuolteenaho ( )) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results indicate that information in analysts' forecasts beyond what is contained in the current financial statements (i.e. dividends, accounting earnings, etc) is associated with fundamentals, and its uncertainty drives the cross-sectional differences in stock return volatility.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="8d01e55678d2488cda1ae2b4dd1af9a9" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623474,"asset_id":125612113,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623474/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612113"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612113"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612113; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612112"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612112/Comparative_Advantage_Industry_Specialization_and_the_Role_of_Investment_Banks_in_M_and_As"><img alt="Research paper thumbnail of Comparative Advantage, Industry Specialization, and the Role of Investment Banks in M&As" class="work-thumbnail" src="https://attachments.academia-assets.com/119623472/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612112/Comparative_Advantage_Industry_Specialization_and_the_Role_of_Investment_Banks_in_M_and_As">Comparative Advantage, Industry Specialization, and the Role of Investment Banks in M&As</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2012</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper examines the role of industry specialist advisors in M&A transactions using the Additi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper examines the role of industry specialist advisors in M&A transactions using the Additive Revealed Comparative Advantage (ARCA) index to proxy advisors' relative level of industry specialization prior to deal announcement. We find that industry specialist advisors are able to generate higher returns for their acquirer clients, especially in cross-industry transactions, with the value creation resulting primarily from the selection of more synergistic targets and negotiating to pay a lower takeover premium. While specialist advisors are associated with a lower completion probability, they are able to complete tender offers in less time. In addition to superior advice, we find that specialist advisor charge lower fees, suggesting that they are able to pass some cost efficiencies onto their bidder clients. The findings are consistent with the traditional perception of the superiority of industry specialists and show that specialization is beneficial to the M&A advisory market.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="b0f8f294159979aef780050605f10c7b" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623472,"asset_id":125612112,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623472/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612112"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612112"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612112; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612111"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612111/Life_after_a_Shareholder_Pay_Strike_Consequences_for_ASX_Listed_Firms"><img alt="Research paper thumbnail of Life after a Shareholder Pay 'Strike': Consequences for ASX-Listed Firms" class="work-thumbnail" src="https://attachments.academia-assets.com/119623456/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612111/Life_after_a_Shareholder_Pay_Strike_Consequences_for_ASX_Listed_Firms">Life after a Shareholder Pay 'Strike': Consequences for ASX-Listed Firms</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2016</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Say on pay" legislation has been introduced in several countries but Australia's version, namely ...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Say on pay" legislation has been introduced in several countries but Australia's version, namely the "two-strikes" rule, is unique in that it empowers shareholders to vote on a board spill if the compensation report of a public company receives 25% or more dissenting votes for two consecutive years. We test the proposition that the "two strikes" rule has increased directors' accountability beyond executive pay because it has substantially lowered the cost to activists of organizing sufficient votes to threaten managers with a board spill. Consistent with this expectation, we find Australian firms respond to negative say-on-pay votes by curbing excessive CEO pay, reducing the growth rate of pay and changing the pay mix. In addition, the results suggest that the market regards negative SOP votes as a value-destroying signal since there is a negative market reaction, lower valuation and long-run underperformance. We also find an increase in CEO turnover but directors do not seem to bear reputational costs through the loss of outside directorships. The findings provide important insights to investors, company directors and regulators. to the passing of SOP legislation is positive in the UK (Cunat et al. 2015). In contrast, in the US stock prices reacted positively when the SOP proposals were defeated (Cai and Walking 2011). It is important to note that inferences drawn from this research provide insights as to how firms respond to empowered shareholder rights, but cannot speak to actions taken by the board in response to shareholder negative votes on compensation or reputational costs, given the uncertainty of voting outcome after adopting SOP. The third line of research considers shareholder SOP votes on compensation, and mostly investigates the impact of shareholder negative votes on the level or structure of future compensation. The results of this research provides mixed evdience. Whilst, Carter and Zamora ( ) and Conyon and Sadler (2010) find no changes on the level or mix of CEO pay, Alissa (2015) suggests that firms respond selectively by reducing the excessiveness of CEO pay, though only when performance is poor. Kimbro and Xu (2016) report that the growth rate of CEO total pay reduces in response to shareholder dissatifaction. This study examines the impact of SOP using the unique Australian setting. In 2011, Australia introduced "say-on-pay" legislation, Corporations Amendment (Improving Accountability on Director and Executive Remuneration) Act 2011, which is commonly known as the "two-strikes" rule. Under the "two-strikes" rule, a firm receives a strike if 25% or more of eligible votes are against the remuneration report at the Annual General Meeting (AGM). When a firm receives a strike for two consecutive years (i.e., two strikes), there is then a further majority-based vote on a "spill resolution" to determine whether all directors except the CEO should stand for re-election. If the spill resolution is approved, the firm is required to hold an extraordinary general meeting (the spill meeting) to re-elect all directors except the CEO within 90 days after the AGM. 1 The two-strikes rule attempts to empower minority shareholders by a number of important and innovative ways, including (1) only requiring a 25% vote against the remuneration report to trigger a strike, (2) preventing directors or managers from voting on say on pay resolutions, and (3) forcing the directors to face re-election if the firm obtains two initial "strikes" and a third "spill vote" strike. These innovations provide opportunities to examine the economic consequences of SOP in a unique setting, where shareholder dissent over executive compensation is more likely to be recognized publicly by a strike and directors are more likely to face reputational costs and the threat of board re-election. Thus, our study differs substantially from the first two streams of SOP literature that examine the adoption of SOP regulations or shareholder-sponsored SOP proposals, but relates to the third stream of research testing SOP votes on compensation. Using a hand-collected data for a sample of Australian firms including 369 strikes over 2011-2014, we find that firms receiving a strike tend to have higher CEO abnormal pay and higher growth of CEO cash pay. They are also more likely to have the CEO as the chairman of the board, lower blockholder ownership, poor financial performance, lower market-to-book ratio and smaller size. In addition, our results suggest that firms with higher CEO abnormal pay, a lower market-to-book ratio and small market value are more likely to receive a second strike. We then examine how firms respond to a strike by making changes to CEO compensation. The findings confirm that the "two-strikes" rule results in changes in the size and composition of CEO pay. Specifically, upon receiving the first strike, 1 It is important to note that the "two-strikes" rule has a resetting mechanism where consideration of a spill resolution is only allowed at every second AGM.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0b311e3cf8404dc592561b66054d635c" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623456,"asset_id":125612111,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623456/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612111"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612111"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612111; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612110"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612110/Transaction_costs_and_institutional_trading_in_small_cap_equity_funds"><img alt="Research paper thumbnail of Transaction costs and institutional trading in small-cap equity funds" class="work-thumbnail" src="https://attachments.academia-assets.com/119623455/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612110/Transaction_costs_and_institutional_trading_in_small_cap_equity_funds">Transaction costs and institutional trading in small-cap equity funds</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Dec 1, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper examines the magnitude and determinants of trading costs for small-cap funds in Austra...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (-0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e8298c48258ee16eb5c3a30cf8c0b121" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623455,"asset_id":125612110,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623455/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612110"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612110"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612110; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612109"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612109/The_Association_Between_Audit_Quality_Accounting_Disclosures_and_Firm_Specific_Risk_Evidence_from_the_Australian_IPO_Market"><img alt="Research paper thumbnail of The Association Between Audit Quality, Accounting Disclosures and Firm-Specific Risk: Evidence from the Australian IPO Market" class="work-thumbnail" src="https://attachments.academia-assets.com/119623475/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612109/The_Association_Between_Audit_Quality_Accounting_Disclosures_and_Firm_Specific_Risk_Evidence_from_the_Australian_IPO_Market">The Association Between Audit Quality, Accounting Disclosures and Firm-Specific Risk: Evidence from the Australian IPO Market</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2000</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">In an environment where expected litigation costs are relatively low (Australia), we provide evid...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">In an environment where expected litigation costs are relatively low (Australia), we provide evidence strongly consistent with signaling considerations influencing the choice of auditor by initial public offering (IPO) firms. When our analysis is confined to smaller IPOs and /or IPOs using less prestigious underwriters (i.e., those IPOs where the use of a high quality auditor is less "routine"), we find that the probability of selecting a high quality auditor is positively related to IPO firms' riskiness, negatively related to the level of retained ownership by the initial owners and positively related to the decision to voluntarily provide information about expected earnings. These results jointly provide support for the signaling models of and , whereby the choice of a high quality auditor represents a trade-off with the level of retained ownership, but is complimentary to the extent of direct disclosure.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="75cb9ccb62d19b2f1147bea674f3f513" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623475,"asset_id":125612109,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623475/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612109"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612109"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612109; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612108"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612108/Out_of_sample_stock_return_predictability_in_Australia"><img alt="Research paper thumbnail of Out-of-sample stock return predictability in Australia" class="work-thumbnail" src="https://attachments.academia-assets.com/119623452/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612108/Out_of_sample_stock_return_predictability_in_Australia">Out-of-sample stock return predictability in Australia</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Apr 5, 2012</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We provide one of the first comprehensive studies on the out-of-sample stock returns predictabili...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We provide one of the first comprehensive studies on the out-of-sample stock returns predictability in Australia. Whilst most of the empirically well-known predictive variables fail to generate out-of-sample predictability compared to forecasts generated from the historical average equity risk premium, we document a statistically significant out-of-sample prediction in forecasting one year, and to a lesser extent, one quarter future excess returns, using a combination forecast of these variables. Money supply, dividend-to-price ratio and consumption-to-GDP ratio contribute the most information in predicting equity premium. We also find an improved asset allocation performance by relying on the predicted returns generated from the combination forecast of these predictors. However, the improvement of the asset allocation performance is not robust to different sample periods examined. The combing methods are also useful in predicting different sector premia. A dynamic sector rotation strategy relying on forecasts generated by the combining methods significantly outperforms the historical market returns.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="072bde6393db847076792b335fc8c572" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623452,"asset_id":125612108,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623452/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612108"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612108"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612108; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612107"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current"><img alt="Research paper thumbnail of To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current">To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acqui...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acquisition (M&amp;amp;A) announcement predicts whether the acquirer and the target complete the deal. Using a sample of Australian mergers from 1992 to September 2006, we find that the relationship between the probability of deal completion and the market reaction to the announcement, as manifested in the acquirer returns, is affected by investors&amp;#39; consensus. The higher the consensus, the more likely completion is, given a positive market reaction for the acquirer. This effect is observed with our four proxies of consensus / opinion divergence: turnover, bid-ask spread, total return volatility and order imbalance.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612107"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612107"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612107; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612107]").text(description); $(".js-view-count[data-work-id=125612107]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612107; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612107']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612107]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612107,"title":"To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?","internal_url":"https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612039"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612039/Quality_investing_in_an_Australian_context"><img alt="Research paper thumbnail of Quality investing in an Australian context" class="work-thumbnail" src="https://attachments.academia-assets.com/119623400/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612039/Quality_investing_in_an_Australian_context">Quality investing in an Australian context</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Oct 23, 2013</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study extends an examination of Quality investing in the US to the Australian market. Specif...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study extends an examination of Quality investing in the US to the Australian market. Specifically, a Quality score is computed as the aggregate of eight fundamental accounting metrics. An investment strategy investing in the highest (lowest) quality stock quintile, that is, Quintile 5 (1) generates an average annual Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted alpha of 6.37% (-7.98%), which is significant at the 5% level over April 2000-March 2010. A two-way segmentation based on size first, and quality second, reveals that the strong positive quality effect is primarily driven by small stocks, as the average DGTW-alpha for the top-quality tercile of small stocks is 14.02%, significant at the 5% level. Statistically significant positive DGTW-alphas are also determined for quality micro and large stocks. The quality analysis is also applied to a sample of Active Equity Mutual Funds' stock holdings. Weak evidence of the quality return premium is detected at the fund level. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="dd2435b44065ce5dcf3e174f06345c34" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623400,"asset_id":125612039,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623400/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612039"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612039"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612039; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="120611879"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/120611879/The_role_of_other_information_in_analysts_forecasts_in_understanding_stock_return_volatility"><img alt="Research paper thumbnail of The role of “other information” in analysts’ forecasts in understanding stock return volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/115705502/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/120611879/The_role_of_other_information_in_analysts_forecasts_in_understanding_stock_return_volatility">The role of “other information” in analysts’ forecasts in understanding stock return volatility</a></div><div class="wp-workCard_item"><span>Review of Accounting Studies</span><span>, Jan 8, 2014</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study identifies "other information" in analysts' forecasts as a legitimate proxy for future...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study identifies "other information" in analysts' forecasts as a legitimate proxy for future cash flows and examines its incremental role in explaining stock return volatility. We suggest that "other information" contains information about fundamentals beyond that reflected in current financial statements and reflects firms' fundamentals on a more timely basis than dividends or earnings. Using standardized regressions, we find volatility increases when current "other information" is more uncertain and increases more in response to unfavorable news compared to favorable news. Variance decomposition analysis shows that the variance contribution of "other information" dominates that of expected-return news. The incremental role of "other information" is at least half of the effect of earnings in explaining future volatility. The results are more pronounced for firms with poor information environments. Overall, our results highlight the importance of including "other information" as an additional cash-flow proxy in future studies of stock prices and volatility.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="57db413dfe28c84e7a5b93db942e03a5" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":115705502,"asset_id":120611879,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/115705502/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="120611879"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="120611879"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 120611879; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=120611879]").text(description); $(".js-view-count[data-work-id=120611879]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 120611879; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='120611879']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "57db413dfe28c84e7a5b93db942e03a5" } } $('.js-work-strip[data-work-id=120611879]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":120611879,"title":"The role of “other information” in analysts’ forecasts in understanding stock return volatility","internal_url":"https://www.academia.edu/120611879/The_role_of_other_information_in_analysts_forecasts_in_understanding_stock_return_volatility","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":115705502,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/115705502/thumbnails/1.jpg","file_name":"viewcontent.pdf","download_url":"https://www.academia.edu/attachments/115705502/download_file","bulk_download_file_name":"The_role_of_other_information_in_analyst.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/115705502/viewcontent-libre.pdf?1717655211=\u0026response-content-disposition=attachment%3B+filename%3DThe_role_of_other_information_in_analyst.pdf\u0026Expires=1740627245\u0026Signature=apFmK91Q4hHoWS-yb2IqcEwONJknNODYdqyGR6nZkyz-nh6MAmm~YzpqJa3g32Gyvo~aqvCXYthuR5~e54glCpRfQVbnI7qoQcbYE8e2Khp2w2CKuhUMWiOmYRf1aOxZZv0b545rycrBukZKFp7kQOuF4Q588atWk5G6TvRtBabHpgRQrjngqeaGcM3jGHqShKjtvXyiQYOTM1y~NBZVyIur5v39u02dR-t38BCKB5EhCR9Jn8lwc7WXnKcS9LygDpSWKgvHVy4q6dNIdvAOOFjI8F-bNp1HGE5JgAcpP7ikuYNw8fyfHELcEoWEtwFIdWe7nPfSxxSRepLpArsbCA__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> </div><div class="profile--tab_content_container js-tab-pane tab-pane" data-section-id="2516522" id="papers"><div class="js-work-strip profile--work_container" data-work-id="125612126"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612126/An_Empirical_Analysis_of_Some_Determinants_of_the_Target_Shareholder_Premium_in_Takeovers"><img alt="Research paper thumbnail of An Empirical Analysis of Some Determinants of the Target Shareholder Premium in Takeovers" class="work-thumbnail" src="https://attachments.academia-assets.com/119623478/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612126/An_Empirical_Analysis_of_Some_Determinants_of_the_Target_Shareholder_Premium_in_Takeovers">An Empirical Analysis of Some Determinants of the Target Shareholder Premium in Takeovers</a></div><div class="wp-workCard_item"><span>Accounting and finance</span><span>, Nov 1, 1995</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0fd35adbfaf09ef2a85b290744585c41" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623478,"asset_id":125612126,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623478/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612126"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612126"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612126; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612126]").text(description); $(".js-view-count[data-work-id=125612126]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612126; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612126']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "0fd35adbfaf09ef2a85b290744585c41" } } $('.js-work-strip[data-work-id=125612126]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612126,"title":"An Empirical Analysis of Some Determinants of the Target Shareholder Premium in Takeovers","internal_url":"https://www.academia.edu/125612126/An_Empirical_Analysis_of_Some_Determinants_of_the_Target_Shareholder_Premium_in_Takeovers","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":119623478,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623478/thumbnails/1.jpg","file_name":"j.1467-629x.1995.tb00285.x20241117-1-qrilj8.pdf","download_url":"https://www.academia.edu/attachments/119623478/download_file","bulk_download_file_name":"An_Empirical_Analysis_of_Some_Determinan.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623478/j.1467-629x.1995.tb00285.x20241117-1-qrilj8-libre.pdf?1731823255=\u0026response-content-disposition=attachment%3B+filename%3DAn_Empirical_Analysis_of_Some_Determinan.pdf\u0026Expires=1740590588\u0026Signature=c0EluS~woqQu5z1NPpZMS70b8JIHBBv4GAs1SwJqJWgv7gbHXUiwvY-TcJzaCzGsx701VUcvSIeJ9-~B~8dr3xFCb8IYXWhJd6yesYKs~oFPstQWlMzKEVI8K92XROuezr-n8aD5Pmls0MyMDrRrMBLoHlX-2RVIRA2ODlyennYYRmFezygQB7eTZ4S-ofHJ-IOk9bf5Zufkz0wAO3VoFuBx-TbaWcGyOFM2UfoIH2s6y~86893kvTwVaBU62-OJ7Jba9SQ5UPOOxWnYHR0nwtpFRTfvroufUODL0ZBerq5eXpOxKSjr~pz1aJIh2tF6R6bjnJgHnf9nJBpxJ1BfuA__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612125"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612125/Do_Foreign_Investors_Pay_More_for_Stocks_in_the_United_States_An_Analysis_By_Country_of_Origin"><img alt="Research paper thumbnail of Do Foreign Investors Pay More for Stocks in the United States? An Analysis By Country of Origin" class="work-thumbnail" src="https://attachments.academia-assets.com/119623461/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612125/Do_Foreign_Investors_Pay_More_for_Stocks_in_the_United_States_An_Analysis_By_Country_of_Origin">Do Foreign Investors Pay More for Stocks in the United States? An Analysis By Country of Origin</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2007</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We examine whether and why implicit equity transaction costs incurred by institutional investors ...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We examine whether and why implicit equity transaction costs incurred by institutional investors across 51 countries differ from those of domestic institutions in the United States. Using a proprietary institutional trading dataset that discloses the home country of the initiator of a trade, we analyze round-trip implicit transaction costs conditional on the trader's country of origin. The average daily equally (trade) weighted disadvantage of foreign institutional investors for purchases is 3.3 (3.3) basis points (bps) and 4.1 (3.0) bps for sales of common stocks and American Depository Receipts that traded on the NYSE, AMEX and NASDAQ between 1 July 1999 and 30 September 2004. Therefore a roundtrip daily equally weighted disadvantage to foreign institutional investors is approximately 7.4 (6.3) bps. Several institutional background factors related to foreign investors' countries of origin are relevant in explaining their disadvantage.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="10ff416a96165ee2c04aa23fa8770956" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623461,"asset_id":125612125,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623461/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612125"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612125"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612125; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612125]").text(description); $(".js-view-count[data-work-id=125612125]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612125; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612125']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "10ff416a96165ee2c04aa23fa8770956" } } $('.js-work-strip[data-work-id=125612125]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612125,"title":"Do Foreign Investors Pay More for Stocks in the United States? 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The quality of a stock is positively related to its size, while quality is inversely related to volatility. Evidently, stocks in the lowest quality decile perform particularly poorly amidst volatile market conditions with a mean monthly Daniel, Grinblatt, Titman and Wermers (DGTW) alpha 1.93% [25.73% per annum (pa)] less than high-quality stocks. Furthermore, funds which hold the lowest quality stocks exhibit substantial underperformance, particularly during market downturns, with funds in the lowest decile of quality incurring a mean monthly DGTW alpha 0.96% (12.14% pa) lower than their higher quality counterparts. Interestingly, we discover a trend to funds investing in higher quality stocks over time. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="ead63dadd2d8b34a80fb4f9c11b6908e" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623460,"asset_id":125612123,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623460/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612123"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612123"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612123; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612122"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility"><img alt="Research paper thumbnail of The Role of Non-Accounting Information in Understanding Stock Return Volatility" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility">The Role of Non-Accounting Information in Understanding Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT Uncertainty about firms&amp;amp;#39; future payoffs is the dominant factor in explaining...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT Uncertainty about firms&amp;amp;#39; future payoffs is the dominant factor in explaining stock return volatility at the firm level. However, summary financial statement numbers such as earnings only provide a limited measure of expected payoffs, as they do not reflect firms&amp;amp;#39; fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms&amp;amp;#39; fundamentals contained in analysts&amp;amp;#39; forecasts (which we label as &amp;amp;quot;non-accounting information&amp;amp;quot;) is expected to influence future stock return volatility. When combined with Ohlson&amp;amp;#39;s (1995) linear information dynamics, the accounting version of the Campbell-Shiller model (Campbell and Shiller 1988a, 1988b; Vuolteenaho 2002) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results highlight the relevance of information in analysts&amp;amp;#39; forecasts beyond what is contained in the current financial statements.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612122"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612122"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612122; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612122]").text(description); $(".js-view-count[data-work-id=125612122]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612122; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612122']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612122]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612122,"title":"The Role of Non-Accounting Information in Understanding Stock Return Volatility","internal_url":"https://www.academia.edu/125612122/The_Role_of_Non_Accounting_Information_in_Understanding_Stock_Return_Volatility","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612120"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612120/Cross_Region_Cross_Sector_Asset_Allocation_with_Regimes"><img alt="Research paper thumbnail of Cross-Region, Cross-Sector Asset Allocation with Regimes" class="work-thumbnail" src="https://attachments.academia-assets.com/119623476/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612120/Cross_Region_Cross_Sector_Asset_Allocation_with_Regimes">Cross-Region, Cross-Sector Asset Allocation with Regimes</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues i...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlations, and lower expected returns, in bear markets compared to bull markets. However, static mean-variance analysis fails to capture this salient feature of equity returns. Using a regime switching model across both regions and sectors, the regime-dependent asset allocation substantially outperforms the static mean-variance allocation. This outperformance is robust both in-sample and out-of-sample, as well as under various asset allocation constraints. In addition, optimal allocation across sectors provide greater benefits compared to international diversification, which is characterized by higher returns, lower risks, lower correlations with the world market and a higher Sharpe ratio..</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e482ba0d023b049a3991119f007af506" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623476,"asset_id":125612120,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623476/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612120"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612120"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612120; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612119"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets"><img alt="Research paper thumbnail of Foreign Investors' Trading Disadvantage in U.S. Stock Markets" class="work-thumbnail" src="https://attachments.academia-assets.com/119623477/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets">Foreign Investors' Trading Disadvantage in U.S. Stock Markets</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We examine implicit equity transaction costs incurred on United States exchanges by domestic inst...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We examine implicit equity transaction costs incurred on United States exchanges by domestic institutional investors compared to foreign domiciled money managers. The average equally weighted disadvantage of foreign investors for purchases (sales) is 3.6 (5.1) basis points on a daily interval, and 19.1 (20.5) basis points weekly. The disadvantage persists across different stock types and exchanges. Foreign investors pay three cents per share less than local institutions in brokerage commissions, an insufficient edge to offset their disadvantage in implicit costs. Relating explicit costs to realized prices, we show that local investors benefit more from their brokerage commissions than foreigners.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0ef0dc33ce1355144567257ffb15c087" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623477,"asset_id":125612119,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623477/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612119"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612119"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612119; 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dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "0ef0dc33ce1355144567257ffb15c087" } } $('.js-work-strip[data-work-id=125612119]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612119,"title":"Foreign Investors' Trading Disadvantage in U.S. Stock Markets","internal_url":"https://www.academia.edu/125612119/Foreign_Investors_Trading_Disadvantage_in_U_S_Stock_Markets","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":119623477,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623477/thumbnails/1.jpg","file_name":"81cb459ac1f4944bff4c6b0fd2df25d7d3c4.pdf","download_url":"https://www.academia.edu/attachments/119623477/download_file","bulk_download_file_name":"Foreign_Investors_Trading_Disadvantage_i.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623477/81cb459ac1f4944bff4c6b0fd2df25d7d3c4-libre.pdf?1731823256=\u0026response-content-disposition=attachment%3B+filename%3DForeign_Investors_Trading_Disadvantage_i.pdf\u0026Expires=1740627245\u0026Signature=AWe1bjuQqvK5MNRrWIwhC8tqs3-h1lFzNJMLKgMKPLFL7YKTO9N~~PxfoPFOsAM-MidkiDw1UdVwRs60msUuvb8tbQTxQkwg4K5AHcP06p3wcj~asntWgb~wRRNPz3qpWOtwg2cnzebcBvvHHNaTd20almxzNMJvK~0F-BwN3Z8ygHEEQgevWpUieJ7YGFzKiuCxzGTDU6Wr1VMz3jTnc0EigCJHD0Jbwnuc-djZspYP9XtdYXOMqmZd86s2UBOXpG6JmjAjjPh9RlH8tfnFeNe9VxOBCSlM9cRrlsYq9lZFJnmVNMhPxbDZ4bCkhnCRHQIaP5iuQ7G0r0KAQ-4LLg__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612118"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias"><img alt="Research paper thumbnail of Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias">Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2003</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Do...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612118"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612118"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612118; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612118]").text(description); $(".js-view-count[data-work-id=125612118]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612118; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612118']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612118]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612118,"title":"Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias","internal_url":"https://www.academia.edu/125612118/Price_Behaviour_Surrounding_Blocks_Asymmetric_or_Bid_Ask_Bias","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612117"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility"><img alt="Research paper thumbnail of Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/119623462/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility">Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Abacus</span><span>, Dec 1, 2013</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study extends the theoretical framework of and to investigate the association between accrua...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study extends the theoretical framework of and to investigate the association between accrual variability and firm-level stock return volatility. The empirical evidence supports our prediction that increased uncertainty in current-period accounting accruals is associated with significantly higher volatility of future stock returns, and the results are valid for measures of both systematic and idiosyncratic volatility. When accrual variability is decomposed into fundamental and discretionary portions, we find that the positive relationship between accrual variability and future stock return volatility is dominated by the fundamental component of accrual variability. Overall, our results suggest that uncertainty reflected in accrual information is subsequently reflected in the fluctuation of future stock returns, and that the predictive content in accruals primarily reflects firms' fundamental uncertainty, rather than any effects of managerial choices and interventions in the accounting process. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="6f30a332ac21844fcc7337448f74ecc2" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623462,"asset_id":125612117,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623462/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612117"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612117"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612117; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612117]").text(description); $(".js-view-count[data-work-id=125612117]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612117; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612117']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "6f30a332ac21844fcc7337448f74ecc2" } } $('.js-work-strip[data-work-id=125612117]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612117,"title":"Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility","internal_url":"https://www.academia.edu/125612117/Fundamentals_or_Managerial_Discretion_The_Relationship_between_Accrual_Variability_and_Future_Stock_Return_Volatility","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[{"id":119623462,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623462/thumbnails/1.jpg","file_name":"viewcontent.pdf","download_url":"https://www.academia.edu/attachments/119623462/download_file","bulk_download_file_name":"Fundamentals_or_Managerial_Discretion_Th.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623462/viewcontent-libre.pdf?1731823279=\u0026response-content-disposition=attachment%3B+filename%3DFundamentals_or_Managerial_Discretion_Th.pdf\u0026Expires=1740627245\u0026Signature=gBUFKEiVfCQGVn6anVCqeqMtfrZpKQPuCFFwv10SiE83aOryBjhuRyRK1iPwYQtcyfr8Jm983VO86cOH7dvYAfAJF-h2gZF0Zu41yZsVessgzIyqGQ7e59M54VGAArmvd536LCQQzsG1Y7JRq5i2QS8VUo~tHt7iLL4IviXupFIWRST7yolxyTzo-gpnEoqouMxskiSCYrLB62TTDSjaRQAg5VWpC3~a~ZQd9p4JR0ZaX1f6i0breqUxYronaDzn4AIDp~adTKEbeKFSjpiMA69wHpULHjaTJd75~cug9O4tqk76vNQWRsgPcPjOxL3aRkUaw1ZAHTjFg2ku1bOm0A__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"},{"id":119623465,"title":"","file_type":"pdf","scribd_thumbnail_url":"https://attachments.academia-assets.com/119623465/thumbnails/1.jpg","file_name":"viewcontent.pdf","download_url":"https://www.academia.edu/attachments/119623465/download_file","bulk_download_file_name":"Fundamentals_or_Managerial_Discretion_Th.pdf","bulk_download_url":"https://d1wqtxts1xzle7.cloudfront.net/119623465/viewcontent-libre.pdf?1731823269=\u0026response-content-disposition=attachment%3B+filename%3DFundamentals_or_Managerial_Discretion_Th.pdf\u0026Expires=1740627245\u0026Signature=ZpoAQ8Ou2shSu4ssp6s7q~cyR9jNiNgAv4sUB-Gw4n2f11xgB3bPdlgdP2oG2F59vyjHizV7JQw2KnDnSUnPtLWA-678avV60MtIv6DQ4d8dSMfWx3kDaKps9dD3p7C7JHsIoKIUA1roJW5RqrK7cIBs8gb21-z5P4YuuuD8GT4GMGA71O-G5k8k8PKPeT8Y-pnX0za9RDRvkaWd0K92-tod43JE9j4kCQPy~Yf9Cu27cjgqyalk5r-cTmXX3mjoqRfnWUrfD1JlzD9Jb8mx0kiwmZIUZ1N5tKJNI9JSPVKtOdCl4b4S05FCEwEOkmcv6om6R4KHkC71ZUGz9PwF5w__\u0026Key-Pair-Id=APKAJLOHF5GGSLRBV4ZA"}]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612116"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612116/Errors_in_Estimating_Unexpected_Accruals_in_the_Presence_of_Large_Changes_in_Net_External_Financing"><img alt="Research paper thumbnail of Errors in Estimating Unexpected Accruals in the Presence of Large Changes in Net External Financing" class="work-thumbnail" src="https://attachments.academia-assets.com/119623459/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612116/Errors_in_Estimating_Unexpected_Accruals_in_the_Presence_of_Large_Changes_in_Net_External_Financing">Errors in Estimating Unexpected Accruals in the Presence of Large Changes in Net External Financing</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We demonstrate that the articulation among accruals, cash flows and revenues which is typically a...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We demonstrate that the articulation among accruals, cash flows and revenues which is typically assumed in tests of earnings management does not hold when large (positive or negative) external financing activities are present. Our study provides evidence that managers' "normal" operating decisions associated with net external financing activities are likely to lead to economically and statistically significant measurement errors in unexpected accruals. This is a serious concern given the frequency with which the partitioning variable used to identify instances of alleged earnings management is correlated with significant movements in net external financing. Simulation tests show that even at modest levels of net external financing changes, rejection frequencies for the null hypothesis of no earnings management rise dramatically. This result underscores the importance of additional specification tests being conducted to control for estimation biases in unexpected accruals associated with external financing. We suggest the use of matched-firm approach using industry and external financing matches. Using this approach, we demonstrate that prior conclusions about the existence of earnings management around open market repurchases do not appear robust when attempts are made to control for the effect on expected accruals of large changes in net external financing.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="67f0f0621e549dcb4dcfc16a5e43217d" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623459,"asset_id":125612116,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623459/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612116"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612116"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612116; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612115"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612115/Investment_Manager_Skill_in_Small_Cap_Equities"><img alt="Research paper thumbnail of Investment Manager Skill in Small-Cap Equities" class="work-thumbnail" src="https://attachments.academia-assets.com/119623458/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612115/Investment_Manager_Skill_in_Small_Cap_Equities">Investment Manager Skill in Small-Cap Equities</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2005</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Using a representative sample of monthly portfolio holdings and daily trades, this study presents...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated by fund managers in our sample. Aggregate four-factor and five-factor alphas are 68 and 59.6 basis points per month before management expenses and tax, respectively. The evidence from holdings and transaction-based metrics of performance also reveals that small-cap equity managers possess superior stock selection ability, from both a statistical and economic perspective. Our results are robust to the deduction of transaction costs. Our research provides important non-U.S. evidence concerning the value of active management, in a market segment which exhibits both lower liquidity and lower analyst coverage. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="9a95714586987b07a0828ba1d54b666e" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623458,"asset_id":125612115,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623458/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612115"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612115"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612115; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612114"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612114/Momentum_returns_in_Australian_equities_The_influences_of_size_risk_liquidity_and_return_computation"><img alt="Research paper thumbnail of Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation" class="work-thumbnail" src="https://attachments.academia-assets.com/119623473/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612114/Momentum_returns_in_Australian_equities_The_influences_of_size_risk_liquidity_and_return_computation">Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation</a></div><div class="wp-workCard_item"><span>Pacific-basin Finance Journal</span><span>, Apr 1, 2004</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">The apparent predictability of stock prices, and the related profitability of investment strategi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on 'practical' or 'realistic' investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="a0f6c36dd9a1c4d57b2ceed01cb2c9da" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623473,"asset_id":125612114,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623473/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612114"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612114"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612114; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612114]").text(description); $(".js-view-count[data-work-id=125612114]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612114; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612114']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (true){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612113"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612113/The_Uncertainty_of_Non_Accounting_Information_in_Analysts_Forecasts_and_Stock_Return_Volatility"><img alt="Research paper thumbnail of The Uncertainty of Non-Accounting Information in Analysts' Forecasts and Stock Return Volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/119623474/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612113/The_Uncertainty_of_Non_Accounting_Information_in_Analysts_Forecasts_and_Stock_Return_Volatility">The Uncertainty of Non-Accounting Information in Analysts' Forecasts and Stock Return Volatility</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">The uncertainty of firm's future payoffs is the dominant factor in explaining firm-level stock re...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">The uncertainty of firm's future payoffs is the dominant factor in explaining firm-level stock return volatility at the firm level. However, financial statement numbers (e.g. dividends, accounting earnings), only provide a limited measure of expected payoffs, as they do not reflect firms' fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms' fundamentals contained in analysts' forecasts, (which we label as "non-accounting information"), is expected to influence future stock return volatility. When combined with Ohlson's (1995) linear information dynamics, the accounting version of the Campbell-Shiller model and Vuolteenaho ( )) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results indicate that information in analysts' forecasts beyond what is contained in the current financial statements (i.e. dividends, accounting earnings, etc) is associated with fundamentals, and its uncertainty drives the cross-sectional differences in stock return volatility.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="8d01e55678d2488cda1ae2b4dd1af9a9" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623474,"asset_id":125612113,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623474/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612113"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612113"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612113; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612112"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612112/Comparative_Advantage_Industry_Specialization_and_the_Role_of_Investment_Banks_in_M_and_As"><img alt="Research paper thumbnail of Comparative Advantage, Industry Specialization, and the Role of Investment Banks in M&As" class="work-thumbnail" src="https://attachments.academia-assets.com/119623472/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612112/Comparative_Advantage_Industry_Specialization_and_the_Role_of_Investment_Banks_in_M_and_As">Comparative Advantage, Industry Specialization, and the Role of Investment Banks in M&As</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2012</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper examines the role of industry specialist advisors in M&A transactions using the Additi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper examines the role of industry specialist advisors in M&A transactions using the Additive Revealed Comparative Advantage (ARCA) index to proxy advisors' relative level of industry specialization prior to deal announcement. We find that industry specialist advisors are able to generate higher returns for their acquirer clients, especially in cross-industry transactions, with the value creation resulting primarily from the selection of more synergistic targets and negotiating to pay a lower takeover premium. While specialist advisors are associated with a lower completion probability, they are able to complete tender offers in less time. In addition to superior advice, we find that specialist advisor charge lower fees, suggesting that they are able to pass some cost efficiencies onto their bidder clients. The findings are consistent with the traditional perception of the superiority of industry specialists and show that specialization is beneficial to the M&A advisory market.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="b0f8f294159979aef780050605f10c7b" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623472,"asset_id":125612112,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623472/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612112"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612112"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612112; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612111"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612111/Life_after_a_Shareholder_Pay_Strike_Consequences_for_ASX_Listed_Firms"><img alt="Research paper thumbnail of Life after a Shareholder Pay 'Strike': Consequences for ASX-Listed Firms" class="work-thumbnail" src="https://attachments.academia-assets.com/119623456/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612111/Life_after_a_Shareholder_Pay_Strike_Consequences_for_ASX_Listed_Firms">Life after a Shareholder Pay 'Strike': Consequences for ASX-Listed Firms</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2016</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">Say on pay" legislation has been introduced in several countries but Australia's version, namely ...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">Say on pay" legislation has been introduced in several countries but Australia's version, namely the "two-strikes" rule, is unique in that it empowers shareholders to vote on a board spill if the compensation report of a public company receives 25% or more dissenting votes for two consecutive years. We test the proposition that the "two strikes" rule has increased directors' accountability beyond executive pay because it has substantially lowered the cost to activists of organizing sufficient votes to threaten managers with a board spill. Consistent with this expectation, we find Australian firms respond to negative say-on-pay votes by curbing excessive CEO pay, reducing the growth rate of pay and changing the pay mix. In addition, the results suggest that the market regards negative SOP votes as a value-destroying signal since there is a negative market reaction, lower valuation and long-run underperformance. We also find an increase in CEO turnover but directors do not seem to bear reputational costs through the loss of outside directorships. The findings provide important insights to investors, company directors and regulators. to the passing of SOP legislation is positive in the UK (Cunat et al. 2015). In contrast, in the US stock prices reacted positively when the SOP proposals were defeated (Cai and Walking 2011). It is important to note that inferences drawn from this research provide insights as to how firms respond to empowered shareholder rights, but cannot speak to actions taken by the board in response to shareholder negative votes on compensation or reputational costs, given the uncertainty of voting outcome after adopting SOP. The third line of research considers shareholder SOP votes on compensation, and mostly investigates the impact of shareholder negative votes on the level or structure of future compensation. The results of this research provides mixed evdience. Whilst, Carter and Zamora ( ) and Conyon and Sadler (2010) find no changes on the level or mix of CEO pay, Alissa (2015) suggests that firms respond selectively by reducing the excessiveness of CEO pay, though only when performance is poor. Kimbro and Xu (2016) report that the growth rate of CEO total pay reduces in response to shareholder dissatifaction. This study examines the impact of SOP using the unique Australian setting. In 2011, Australia introduced "say-on-pay" legislation, Corporations Amendment (Improving Accountability on Director and Executive Remuneration) Act 2011, which is commonly known as the "two-strikes" rule. Under the "two-strikes" rule, a firm receives a strike if 25% or more of eligible votes are against the remuneration report at the Annual General Meeting (AGM). When a firm receives a strike for two consecutive years (i.e., two strikes), there is then a further majority-based vote on a "spill resolution" to determine whether all directors except the CEO should stand for re-election. If the spill resolution is approved, the firm is required to hold an extraordinary general meeting (the spill meeting) to re-elect all directors except the CEO within 90 days after the AGM. 1 The two-strikes rule attempts to empower minority shareholders by a number of important and innovative ways, including (1) only requiring a 25% vote against the remuneration report to trigger a strike, (2) preventing directors or managers from voting on say on pay resolutions, and (3) forcing the directors to face re-election if the firm obtains two initial "strikes" and a third "spill vote" strike. These innovations provide opportunities to examine the economic consequences of SOP in a unique setting, where shareholder dissent over executive compensation is more likely to be recognized publicly by a strike and directors are more likely to face reputational costs and the threat of board re-election. Thus, our study differs substantially from the first two streams of SOP literature that examine the adoption of SOP regulations or shareholder-sponsored SOP proposals, but relates to the third stream of research testing SOP votes on compensation. Using a hand-collected data for a sample of Australian firms including 369 strikes over 2011-2014, we find that firms receiving a strike tend to have higher CEO abnormal pay and higher growth of CEO cash pay. They are also more likely to have the CEO as the chairman of the board, lower blockholder ownership, poor financial performance, lower market-to-book ratio and smaller size. In addition, our results suggest that firms with higher CEO abnormal pay, a lower market-to-book ratio and small market value are more likely to receive a second strike. We then examine how firms respond to a strike by making changes to CEO compensation. The findings confirm that the "two-strikes" rule results in changes in the size and composition of CEO pay. Specifically, upon receiving the first strike, 1 It is important to note that the "two-strikes" rule has a resetting mechanism where consideration of a spill resolution is only allowed at every second AGM.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0b311e3cf8404dc592561b66054d635c" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623456,"asset_id":125612111,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623456/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612111"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612111"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612111; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612110"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612110/Transaction_costs_and_institutional_trading_in_small_cap_equity_funds"><img alt="Research paper thumbnail of Transaction costs and institutional trading in small-cap equity funds" class="work-thumbnail" src="https://attachments.academia-assets.com/119623455/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612110/Transaction_costs_and_institutional_trading_in_small_cap_equity_funds">Transaction costs and institutional trading in small-cap equity funds</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Dec 1, 2010</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper examines the magnitude and determinants of trading costs for small-cap funds in Austra...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (-0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e8298c48258ee16eb5c3a30cf8c0b121" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623455,"asset_id":125612110,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623455/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612110"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612110"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612110; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612109"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612109/The_Association_Between_Audit_Quality_Accounting_Disclosures_and_Firm_Specific_Risk_Evidence_from_the_Australian_IPO_Market"><img alt="Research paper thumbnail of The Association Between Audit Quality, Accounting Disclosures and Firm-Specific Risk: Evidence from the Australian IPO Market" class="work-thumbnail" src="https://attachments.academia-assets.com/119623475/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612109/The_Association_Between_Audit_Quality_Accounting_Disclosures_and_Firm_Specific_Risk_Evidence_from_the_Australian_IPO_Market">The Association Between Audit Quality, Accounting Disclosures and Firm-Specific Risk: Evidence from the Australian IPO Market</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2000</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">In an environment where expected litigation costs are relatively low (Australia), we provide evid...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">In an environment where expected litigation costs are relatively low (Australia), we provide evidence strongly consistent with signaling considerations influencing the choice of auditor by initial public offering (IPO) firms. When our analysis is confined to smaller IPOs and /or IPOs using less prestigious underwriters (i.e., those IPOs where the use of a high quality auditor is less "routine"), we find that the probability of selecting a high quality auditor is positively related to IPO firms' riskiness, negatively related to the level of retained ownership by the initial owners and positively related to the decision to voluntarily provide information about expected earnings. These results jointly provide support for the signaling models of and , whereby the choice of a high quality auditor represents a trade-off with the level of retained ownership, but is complimentary to the extent of direct disclosure.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="75cb9ccb62d19b2f1147bea674f3f513" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623475,"asset_id":125612109,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623475/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612109"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612109"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612109; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612108"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612108/Out_of_sample_stock_return_predictability_in_Australia"><img alt="Research paper thumbnail of Out-of-sample stock return predictability in Australia" class="work-thumbnail" src="https://attachments.academia-assets.com/119623452/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612108/Out_of_sample_stock_return_predictability_in_Australia">Out-of-sample stock return predictability in Australia</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Apr 5, 2012</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We provide one of the first comprehensive studies on the out-of-sample stock returns predictabili...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We provide one of the first comprehensive studies on the out-of-sample stock returns predictability in Australia. Whilst most of the empirically well-known predictive variables fail to generate out-of-sample predictability compared to forecasts generated from the historical average equity risk premium, we document a statistically significant out-of-sample prediction in forecasting one year, and to a lesser extent, one quarter future excess returns, using a combination forecast of these variables. Money supply, dividend-to-price ratio and consumption-to-GDP ratio contribute the most information in predicting equity premium. We also find an improved asset allocation performance by relying on the predicted returns generated from the combination forecast of these predictors. However, the improvement of the asset allocation performance is not robust to different sample periods examined. The combing methods are also useful in predicting different sector premia. A dynamic sector rotation strategy relying on forecasts generated by the combining methods significantly outperforms the historical market returns.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="072bde6393db847076792b335fc8c572" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623452,"asset_id":125612108,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623452/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612108"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612108"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612108; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612107"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current"><img alt="Research paper thumbnail of To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current">To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?</a></div><div class="wp-workCard_item"><span>Social Science Research Network</span><span>, 2008</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acqui...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acquisition (M&amp;amp;A) announcement predicts whether the acquirer and the target complete the deal. Using a sample of Australian mergers from 1992 to September 2006, we find that the relationship between the probability of deal completion and the market reaction to the announcement, as manifested in the acquirer returns, is affected by investors&amp;#39; consensus. The higher the consensus, the more likely completion is, given a positive market reaction for the acquirer. This effect is observed with our four proxies of consensus / opinion divergence: turnover, bid-ask spread, total return volatility and order imbalance.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612107"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612107"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612107; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=125612107]").text(description); $(".js-view-count[data-work-id=125612107]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 125612107; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='125612107']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=125612107]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":125612107,"title":"To Complete or Not to Complete a Takeover Deal: Will Managers Swim Against the Current?","internal_url":"https://www.academia.edu/125612107/To_Complete_or_Not_to_Complete_a_Takeover_Deal_Will_Managers_Swim_Against_the_Current","owner_id":25800886,"coauthors_can_edit":true,"owner":{"id":25800886,"first_name":"Terry","middle_initials":null,"last_name":"Walter","page_name":"TerryWalter","domain_name":"independent","created_at":"2015-02-04T22:19:55.005-08:00","display_name":"Terry Walter","url":"https://independent.academia.edu/TerryWalter"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="125612039"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/125612039/Quality_investing_in_an_Australian_context"><img alt="Research paper thumbnail of Quality investing in an Australian context" class="work-thumbnail" src="https://attachments.academia-assets.com/119623400/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/125612039/Quality_investing_in_an_Australian_context">Quality investing in an Australian context</a></div><div class="wp-workCard_item"><span>Australian Journal of Management</span><span>, Oct 23, 2013</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study extends an examination of Quality investing in the US to the Australian market. Specif...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study extends an examination of Quality investing in the US to the Australian market. Specifically, a Quality score is computed as the aggregate of eight fundamental accounting metrics. An investment strategy investing in the highest (lowest) quality stock quintile, that is, Quintile 5 (1) generates an average annual Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted alpha of 6.37% (-7.98%), which is significant at the 5% level over April 2000-March 2010. A two-way segmentation based on size first, and quality second, reveals that the strong positive quality effect is primarily driven by small stocks, as the average DGTW-alpha for the top-quality tercile of small stocks is 14.02%, significant at the 5% level. Statistically significant positive DGTW-alphas are also determined for quality micro and large stocks. The quality analysis is also applied to a sample of Active Equity Mutual Funds' stock holdings. Weak evidence of the quality return premium is detected at the fund level. Publication Details</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="dd2435b44065ce5dcf3e174f06345c34" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":119623400,"asset_id":125612039,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/119623400/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="125612039"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="125612039"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 125612039; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="120611879"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/120611879/The_role_of_other_information_in_analysts_forecasts_in_understanding_stock_return_volatility"><img alt="Research paper thumbnail of The role of “other information” in analysts’ forecasts in understanding stock return volatility" class="work-thumbnail" src="https://attachments.academia-assets.com/115705502/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/120611879/The_role_of_other_information_in_analysts_forecasts_in_understanding_stock_return_volatility">The role of “other information” in analysts’ forecasts in understanding stock return volatility</a></div><div class="wp-workCard_item"><span>Review of Accounting Studies</span><span>, Jan 8, 2014</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This study identifies "other information" in analysts' forecasts as a legitimate proxy for future...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This study identifies "other information" in analysts' forecasts as a legitimate proxy for future cash flows and examines its incremental role in explaining stock return volatility. We suggest that "other information" contains information about fundamentals beyond that reflected in current financial statements and reflects firms' fundamentals on a more timely basis than dividends or earnings. Using standardized regressions, we find volatility increases when current "other information" is more uncertain and increases more in response to unfavorable news compared to favorable news. Variance decomposition analysis shows that the variance contribution of "other information" dominates that of expected-return news. The incremental role of "other information" is at least half of the effect of earnings in explaining future volatility. The results are more pronounced for firms with poor information environments. Overall, our results highlight the importance of including "other information" as an additional cash-flow proxy in future studies of stock prices and volatility.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="57db413dfe28c84e7a5b93db942e03a5" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":115705502,"asset_id":120611879,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/115705502/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="120611879"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="120611879"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 120611879; 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