The Asymmetric Impacts of Good and Bad News on Opinion Divergence: Evidence from Revisions to the S&P 500 Index

Motivated by the ambiguity theory of Epstein and Schneider (2003, 2008), we hypothesize that investors\u27 beliefs on the prospects of firms converge upon the arrival of bad news, but do not converge - or even further diverge - on the arrival of good news. We expect firms with high divergence in opinions to experience lower stock returns around the announcements of bad news but not for good news. Using revisions to the S&P 500 index between 1962 and 2008 as information events, we find overwhelming support for the hypothesis. The results are robust to controlling for alternative hypotheses of price changes around revisions to the S&P 500 index, as well as common firm characteristics

Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

This paper considers a multi-scale future hedge strategy that minimizes lower partial moments (LPM). To do this, wavelet analysis is adopted to decompose time series datainto different components. Next, different parametric estimation methods with known distributions are applied to calculate the LPM of hedged portfolios, which is the key todetermining multi-scale hedge ratios over different time scales. Then these parametric methods are compared with the prevailing nonparametric kernel metric method. Empirical results indicate that in the China Securities Index 300 (CSI 300) index futures and spot markets, hedge ratios and hedge efficiency estimated by the nonparametric kernel metric method are inferior to those estimated by parametric hedging model based on the featuresof sequence distributions. In addition, if minimum-LPM is selected as a hedge target, the hedging periods, degree of risk aversion, and target returns can affect the multi-scale hedge ratios and hedge efficiency, respectively

The classification and representations of positive definite ternary quadratic forms of level 4N

Classifications and representations are two main topics in the theory of quadratic forms. In this paper, we consider these topics of ternary quadratic forms. For a given squarefree integer $N$, first we give the classification of positive definite ternary quadratic forms of level $4N$ explicitly. Second, we give explicit formulas of the weighted sum of representations over each class in every genus of ternary quadratic forms of level $4N$, which are involved with modified Hurwitz class number. In the proof of the main results, we use the relations among ternary quadratic forms, quaternion algebras, and Jacobi forms. As a corollary, we get the formula for the class number of positive ternary quadratic forms of level $4N$. As applications, we derive an explicit base of Eisenstein series space of modular forms of weight $3/2$ and level $4N$, and give new proofs of some interesting identities involving representation number of ternary quadratic forms

Integrated Risk Study for Chinese Commercial Banks with Fuzzy Comprehensive Appraisal Method

The Basel Capital Accord II proposes that commercial banks should supervise not only credit risk but also market risk, liquidity risk and operational risk. Using the fuzzy comprehensive appraisal method based on the Basel Capital Accord II, this paper measures the integrated risk of Chinese commercial banks. Our results indicate that the average values of the four types of risks are higher than the integrated risk of the four risks, indicating an overestimated whole risk. Our results illustrate the importance of considering the correlation between the different risk sources in order to efficiently allocate financial resources

Asset Pricing, Jump Risk, and China\u27s B-Share Discount Puzzle

This study examines whether differential systematic risks, along with other competing explanations, account for cross-sectional variations in B-share discounts in China, using both cross-sectional and panel data analysis. Results show strong evidence that variations in A-share systematic risks are positively related to variations in B-share discount after controlling for various competing explanations. No evidence shows a correlation between variations in B-share systematic risks and variations in B-share discounts. These findings survive various robustness checks. The study further decomposes total systematic risk into continuous and jump components. Regression results indicate that variations in B-share discounts are explained mostly by variations in systematic continuous risk but not by variations in systematic jump risk

Peer effects of income in consumption

This article provides a new perspective of peer effects that coexist in different consumer activities and investigates how consumption of a household is affected by the level of incomes of its peers. Using unique panel data on Chinese households between 2011 and 2019, we explore the causal relationship between peers’ income and household consumption and then analyze plausible mechanisms behind it. We find that the peer effect of income in consumption is significantly positive. Higher level of average income in a reference group is associated with the household’s greater expenditure on consumption and the improvement of consumption structure. There is also evidence that peer household income helps to encourage the household consumption through its impact on household income and peer household consumption. By identifying peers’ income as the average income of other households living in the same region, in the same age group and with the same level of education, our research contributes to the literature on peer effects in consumption, mapping relationships between intragroup income and individual consumptio

Blockholder Characteristics and Earnings Quality

This study focuses on the impact of blockholder characteristics on earnings quality. Most of the studies inliterature make the implicit assumption that blockholders are a homogeneous group. This study is one offew studies that acknowledges the heterogeneity of blockholders and attempts to understand theunexplained proportion of blockholder heterogeneity. Earnings quality is calculated using the modifiedDechow and Dichev (2002) model with fixed effects (FDD model) by Lee and Masulis (2009), and it isregressed on various blockholder characteristics. The results show that earnings quality is lower forfirms with market-driven and multilateral blockholders

Quadrophobia, Analyst Recommendations, and Financial Reporting System

“Quadrophobia” is a relatively novel term that corresponds to a type of ‘fear’ or ‘misrepresentation’ that can manifest itself during the process by which companies report their earnings per share (EPS) values to the public. This study sought to conduct an in-depth examination into the process by which company\u27s reported their respective EPS amounts, in order to determine the degree to which they manipulate the fourth number after the decimal place to bolster their perceived value. Our research focused on analyzing the actual v. reported EPS data (via Worldscope) of various companies being trading on different exchanges throughout the world, and from these sets of data, ascertaining the fundamental causes for quadrophobia and possible solutions to this pervasive problem. Our analysis concludes that a higher degree of quadrophobia was prevalent in developed countries, than in emerging markets.https://engagedscholarship.csuohio.edu/u_poster_2013/1000/thumbnail.jp

Genome-Wide Association Study and Transcriptome Differential Expression Analysis of the Feather Rate in Shouguang Chickens

The feather rate phenotype in chicks, including early-feathering and late-feathering phenotypes, are widely used as a sexing system in the poultry industry. The objective of this study was to obtain candidate genes associated with the feather rate in Shouguang chickens. In the present study, we collected 56 blood samples and 12 hair follicle samples of flight feathers from female Shouguang chickens. Then we identified the chromosome region associated with the feather rate by genome-wide association analysis (GWAS). We also performed RNA sequencing and analyzed differentially expressed genes between the early-feathering and late-feathering phenotypes using HISAT2, StringTie, and DESeq2. We identified a genomic region of 10.0–13.0 Mb of chromosome Z, which is statistically associated with the feather rate of Shouguang chickens at one-day old. After RNA sequencing analysis, 342 differentially expressed known genes between the early-feathering (EF) and late-feathering (LF) phenotypes were screened out, which were involved in epithelial cell differentiation, intermediate filament organization, protein serine kinase activity, peptidyl-serine phosphorylation, retinoic acid binding, and so on. The sperm flagellar 2 gene (SPEF2) and prolactin receptor (PRLR) gene were the only two overlapping genes between the results of GWAS and differential expression analysis, which implies that SPEF2 and PRLR are possible candidate genes for the formation of the chicken feathering phenotype in the present study. Our findings help to elucidate the molecular mechanism of the feather rate in chicks.</p