Does Anticipated Information Impose a Cost on Risk‐Averse Investors? A Test of the Hirshleifer Effect

This paper theoretically and empirically investigates how the risk of future adverse price changes created by the anticipated arrival of information influences risk‐averse investors’ trading decisions in institutionally imperfect capital markets. Specifically, I examine how the selling activity of individual investors immediately following an earnings announcement is influenced by the tradeoff between risk‐sharing benefits of immediate trade and explicit transaction costs imposed on such trades. Consistent with my theoretically derived predictions, I find that investors’ current trading decisions are less sensitive to the incremental transaction costs created by short‐term capital gains taxes on trading profits, as both the duration and intensity of the risk of future adverse price changes increase. This evidence is consistent with an incremental cost to investors that results from the revelation of precise information, which is commonly referred to as the Hirshleifer Effect.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/96245/1/j.1475-679X.2012.00473.x.pd

An Empirical Examination of Horizon: Evidence from the Term Structure of Implied Equity Volatilities

We develop and test measures of the horizon of firm uncertainty and of the horizon of managers’ corporate disclosures. The measures exploit information in the term structure of implied equity volatilities to gauge the relative extent to which the information underlying securities prices reflects long-term versus short-term uncertainty. We find that the horizon of firm uncertainty measure is associated with variables that are likely to capture the extent to which firms’ business models result in differing degrees of uncertainty about the long-term versus the short-term. The horizon of managers’ corporate disclosures measure allows us to characterize managers’ disclosures in terms of whether they provide information about long-term business strategies or are more oriented towards short-term operating results. We find that earnings announcements containing management forecasts have shorter disclosure horizons than earnings announcements not containinghttp://deepblue.lib.umich.edu/bitstream/2027.42/102616/1/1223_Ball.pd

Dissecting Earnings Recognition Timeliness

We dissect the portion of stock price change of the fiscal year that is recognized in reported accounting earnings of the year. We call this portion earnings recognition timeliness (ERT). The emphasis in our dissection is on empirical identification of two fundamental precepts of financial accounting: (1) the matching principle, which is manifested in the recognition of expenses in the same period as the related benefits (i.e., sales revenue) accrue; and (2) recognition of expenses in the current period due to changes in expectations regarding earnings of future periods (we refer to these expenses as the expectations element of expenses). Although the expectations element has implicitly been at the core of much of the recent empirical literature on asymmetry in the earnings/return relation, it has not been explicitly identified. This recent literature is based on the premise that bad news about the future leads to more recognition of expenses in the current period (such as write‐downs) whereas good news about the future tends to have a much lesser effect on expenses of the current period; asymmetry in the expenses /return relation is captured implicitly via the observation of asymmetry in the earnings /return relation (i.e., asymmetry in ERT). Since the ERT reflects the relation between sales revenue and returns, matched expenses and returns, as well as the relation between the expectations element of expenses and returns, a focus on the expectations element may lead to sharper inferences. Our straightforward empirical procedure permits a focus on this element.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/100262/1/joar12018.pd

Does It Pay to "Be Like Mike"? Aspirational Peer Firms and Relative Performance Evaluation

We examine the manner and extent to which firms evaluate performance relative to aspirational peer firms. Guided by the predictions of an agency model, we find that CEO compensation increases in the correlation between own and aspirational peer firm performances. In addition, we define and test conditions where aggregate peer performance, which has been the primary focus of prior relative performance evaluation studies of competitive peers, is expected to have an association with CEO compensation. These conditions are supported by our empirical results. Finally, we document that our results are more pronounced when the firm-peer relationship is one-way and the peer firm is in a different industry and therefore is more aspirational

Criterion Validity of Catapult ClearSky T6 Local Positioning System for Measuring Inter-Unit Distance

The validity of a local positioning system (LPS) to measure inter-unit distance was investigated during a team sport movement circuit. Eight recreationally active, female indoor team-sport players completed a circuit, comprising seven types of movements (walk, jog, jump, sprint, 45° change of direction and shuffle), on an indoor court. Participants wore a receiver tag (ClearSky T6, Catapult Sports) and seven reflective markers, to allow for a comparison with the reference system (©Vicon Motion Systems, Oxford Metrics, UK). Inter-unit distance was collected for each combination of participants. Validity was assessed via root mean square error, mean bias and percentage of variance accounted for, both as an overall dataset and split into distance bands. The results presented a mean root mean square error of 0.20 ± 0.05 m, and mean bias detected an overestimation for all distance bands. The LPS shows acceptable accuracy for measuring inter-unit distance, opening up opportunities to utilise player tracking for tactical variables indoors

The Conservative Party crisis, 1929-1931

The thesis covers the politics of the Conservative Party from the general election defeat of May 1929 to the formation of the National Government in August 1931. It relates the internal crisis in the Party to the pressures of the Party rank and file, and to the general political and economic situation, in order to analyse the process by which Party policy evolved. Debate centred upon two questions: protection and India. In the case of the former, the role of its advocates in the press is discussed. Overall, the thesis emphasised the power of the position of the Party Leader, Baldwin. The Party crisis passed through six distinct phases. In the first (May-August 1929) the status quo in policy was preserved; but during the second (September 1929-March 1930), the balance tilted in the direction of advance over protection, but was restrained by the reluctance of the northern regions. A truce with the press followed (March-June 1930) but collapsed in mid-summer, leaving the leaders dangerously out of touch with their followers' views during the fourth phase of acute crisis (July-October 1930). At the end of the latter period the leaders accommodated their position, appeasing all but a small minority of dissidents, and isolating the press campaign. However, the fifth phase (October 1930-March 1931) saw a renewed outbreak of unease, due to the question of India and the leadership failures of Baldwin himself. In the final phase (March-August 1931) Baldwin re-established his position, and the Conservatives seemed set for electoral victory, having united around the policy of reducing government expenditure. The Party did not seek Coalition, but was diverted into joining the National Government by the sudden and serious financial crisis, believing it to be a temporary emergency expedient

Does Anticipated Information Impose a Cost on Risk-Averse Investors?

This paper theoretically and empirically investigates how the risk of future adverse price changes created by the anticipated arrival of information influences risk-averse investors' trading decisions in institutionally imperfect capital markets. Specifically, I examine how trading volume is influenced by the trade-off between risk-sharing benefits of immediate trade to mitigate exposure to future adverse price changes, and explicit transaction costs imposed on such trades. Employing a stylized model, I demonstrate that current trading decisions depend upon two aspects of risk: the expected intensity of future price fluctuations per unit of time, and the duration of time that risk must be borne. Tension in the model is created by introducing an incremental capital gains tax rate applied to trading profits on shares held for less than a requisite amount of time. Thus, risk-averse investors face an economic tension between trading immediately to an optimal risk-sharing portfolio at the cost of incurring an incremental tax on realized trading profits, versus postponing trade to avoid the incremental tax while facing the risk of interim, adverse price changes. The fact that investors can reduce tax costs by postponing the sale of shares until a known, future point in time creates a unique opportunity to empirically investigate the impact of the duration of risk on trading behavior. Consistent with the model's predictions, I document that as the number of days left to avoid the incremental tax increases (i.e., duration of risk increases), trading volume around quarterly earnings announcements is less sensitive to the incremental tax on short-term trading profits. Similarly, as the expected volatility of future stock price increases (i.e., intensity increases), current trading volume is again less sensitive to incremental tax costs. These results suggest that investors are more willing to incur explicit tax costs in order to insulate themselves against increases in the risk of price fluctuations driven by increases in the duration or intensity of risk

Citrate and malonate increase microbial activity and alter microbial community composition in uncontaminated and diesel-contaminated soil microcosms

Petroleum hydrocarbons (PHCs) are among the most prevalent sources of environmental contamination. It has been hypothesized that plant root exudation of low molecular weight organic acid anions (carboxylates) may aid degradation of PHCs by stimulating heterotrophic microbial activity. To test their potential implication for bioremediation, we applied two commonly exuded carboxylates (citrate and malonate) to uncontaminated and diesel-contaminated microcosms (10 000 mg kg−1; aged 40 days) and determined their impact on the microbial community and PHC degradation. Every 48 h for 18 days, soil received 5 µmol g−1 of (i) citrate, (ii) malonate, (iii) citrate + malonate or (iv) water. Microbial activity was measured daily as the flux of CO2. After 18 days, changes in the microbial community were assessed by a community-level physiological profile (CLPP) and 16S rRNA bacterial community profiles determined by denaturing gradient gel electrophoresis (DGGE). Saturated PHCs remaining in the soil were assessed by gas chromatography–mass spectrometry (GC-MS). Cumulative soil respiration increased 4- to 6-fold with the addition of carboxylates, while diesel contamination resulted in a small, but similar, increase across all carboxylate treatments. The addition of carboxylates resulted in distinct changes to the microbial community in both contaminated and uncontaminated soils but only a small increase in the biodegradation of saturated PHCs as measured by the n-C17 : pristane biomarker. We conclude that while the addition of citrate and malonate had little direct effect on the biodegradation of saturated hydrocarbons present in diesel, their effect on the microbial community leads us to suggest further studies using a variety of soils and organic acids, and linked to in situ studies of plants, to investigate the role of carboxylates in microbial community dynamics