Template-Type: ReDIF-Article 1.0 Author-Name: Eymen Errais Author-X-Name-First: Eymen Author-X-Name-Last: Errais Author-Name: Jawhar Albacha Author-X-Name-First: Jawhar Author-X-Name-Last: Albacha Title: The behaviour of stock returns under price limits, a truncated time series approach Abstract: The Tunisian Stock Exchange is subject to some authorities' regulations, constraints and limitations such as price limits. Hence, both of the following distortions will occur as a consequence to price limitations: unconditional equilibrium prices, 'shadowed prices', are unobservable by agents due to the fact that the asset valuation will be guided by the limited future prices assumption and the conditional equilibrium prices, 'shadowing prices', which are not observed by agents because they can exercise only a price that is within a limited range. Thus, the estimation of the 'fair' value of the asset will be complex and the existing trading strategies that focus only on observed prices will be inefficient. In this paper we will discuss the impact of price limitations on the stock returns behaviour and develop an inference methodology in order to extract and collect useful information about the shadowing prices based on truncated population. Finally, we develop a heuristic truncated normality test based on the JB test. Journal: American J. of Finance and Accounting Pages: 223-251 Issue: 3/4 Volume: 6 Year: 2021 Keywords: price limits; truncated time series; truncated normal distribution; JB test; maximum likelihood estimator. File-URL: http://www.inderscience.com/link.php?id=117200 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:223-251 Template-Type: ReDIF-Article 1.0 Author-Name: Saif Ur-Rehman Author-X-Name-First: Saif Author-X-Name-Last: Ur-Rehman Author-Name: Faisal Khan Author-X-Name-First: Faisal Author-X-Name-Last: Khan Author-Name: Dalia Ali Mostafa Hemdan Author-X-Name-First: Dalia Ali Mostafa Author-X-Name-Last: Hemdan Author-Name: Hashim Khan Author-X-Name-First: Hashim Author-X-Name-Last: Khan Title: How external auditor quality moderates the relation between internal audit committee effectiveness and accounting conservatism Abstract: This study examines the effect of audit committee on two measures of accounting conservatism. In addition, this study also investigates the interaction effect of exogenous variable (i.e., external auditor quality) on relationship between audit committee effectiveness and two measures of accounting conservatism. A total of 38 sample firms are selected from the Nasdaq Dubai for the period from 2013 to 2017. In addition, some information relating to audit committee and auditor quality are collected from firms' annual reports. For data analysis, panel data methodology is employed and multiple regression analysis technique is used to test the developed hypotheses of this study. Results show that interaction effect of external auditor quality found to be significant with one-year-lagged effect on both measures of conservatism. The findings of this study contribute to the signalling theory, agency theory, reputation theory and accounting conservatism literature with lagged effect in emerging economies settings. Journal: American J. of Finance and Accounting Pages: 252-265 Issue: 3/4 Volume: 6 Year: 2021 Keywords: accounting conservatism; signalling theory; lagged effect; Nasdaq Dubai listed firms. File-URL: http://www.inderscience.com/link.php?id=117205 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:252-265 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Hyman Author-X-Name-First: Michael Author-X-Name-Last: Hyman Author-Name: Scott Duellman Author-X-Name-First: Scott Author-X-Name-Last: Duellman Title: Local information concentration and stock price informativeness Abstract: Investors have been shown to gather local information, which allows for superior investment returns. We document that when the local information landscape is less dispersed and local information is concentrated on fewer firms, stock prices better align with future earnings. These findings are clustered in small firms, firms in rural communities, and firms with low institutional ownership, suggesting that local information's ability to be priced into earnings is strongest in regions where information is otherwise unavailable. Overall, we show that the ability of local information to be utilised is dependent both on the amount of local information available to investors and the resources available to investors to capitalise on the information. Journal: American J. of Finance and Accounting Pages: 201-222 Issue: 3/4 Volume: 6 Year: 2021 Keywords: local information; institutional ownership; information asymmetry; prices to earnings. File-URL: http://www.inderscience.com/link.php?id=117213 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:201-222 Template-Type: ReDIF-Article 1.0 Author-Name: Myriam Ben Osman Author-X-Name-First: Myriam Ben Author-X-Name-Last: Osman Author-Name: Kamel Naoui Author-X-Name-First: Kamel Author-X-Name-Last: Naoui Title: Bubbles in the virtual finance: an application of the Phillips-Wu-Yu (2011) methodology on the bitcoin price Abstract: This paper aims to detect the existence of speculative bubbles in the bitcoin US price by using a year by year ADF test, initiated by Dickey and Fuller (1981), and SADF test, initiated by Phillips et al. (2011). Over the period 2011-2020, we detect several episodes of bubbles during specific times of our study period but most importantly we detect a huge bubble in 2017 and 2019. Journal: American J. of Finance and Accounting Pages: 284-296 Issue: 3/4 Volume: 6 Year: 2021 Keywords: speculative bubbles; crypto-currency; bitcoin; augmented Dickey-Fuller ADF; SADF; virtual finance; virtual bubbles. File-URL: http://www.inderscience.com/link.php?id=117214 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:284-296 Template-Type: ReDIF-Article 1.0 Author-Name: Adam Stivers Author-X-Name-First: Adam Author-X-Name-Last: Stivers Author-Name: Serkan Karadas Author-X-Name-First: Serkan Author-X-Name-Last: Karadas Author-Name: Adam Hoffer Author-X-Name-First: Adam Author-X-Name-Last: Hoffer Title: A comparison of forecasting performance and systematic risk across different political environments Abstract: In this study, we investigate whether: 1) there is a substantial difference in out-of-sample predictability US stock market returns under different political environments (and why the difference may occur); 2) whether an ICAPM risk factor is more prevalent under these environments. Traditional predictors, typically found to perform poorly compared to the historical average of market returns, work quite well under certain political environments. We find evidence that returns are more forecastable and exhibit more autocorrelation when the president is a republican or in his second-term, with the best forecasting performance occurring when the president is a second-term republican. We then examine the results from an ICAPM perspective: if returns are more predictable and exhibit more autocorrelation, then a shock to current market returns will have a larger impact on future investment opportunities, resulting in additional risk. We show that systematic risk is indeed higher under these environments. Journal: American J. of Finance and Accounting Pages: 266-283 Issue: 3/4 Volume: 6 Year: 2021 Keywords: forecasting; presidential puzzle; return predictability; systematic risk; politics. File-URL: http://www.inderscience.com/link.php?id=117215 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:266-283 Template-Type: ReDIF-Article 1.0 Author-Name: Kenneth J. Hunsader Author-X-Name-First: Kenneth J. Author-X-Name-Last: Hunsader Author-Name: Kyre Dane Lahtinen Author-X-Name-First: Kyre Dane Author-X-Name-Last: Lahtinen Author-Name: Chris M. Lawrey Author-X-Name-First: Chris M. Author-X-Name-Last: Lawrey Title: Effect of the 2016 OPEC production cut announcement on the default likelihood of the oil industry and commercial banks Abstract: Using option pricing methodology, we provide evidence the oil and banking industries' default likelihood decreased following OPEC's November 2016 oil production cut announcement. The effect is present within several oil sub-industries and for the banks conducting business in states with the most oil production. In addition, for the oil industry we find the decrease in default likelihood is more pronounced for firms with higher leverage, low financial slack, small market value, and small book-to-market ratios. For commercial banks, banks with higher non-performing assets and provision for loan losses experienced a greater decline in default likelihood. In addition, similar to the oil industry, size and book-to-market are significant determinants of the change in default likelihood. Journal: American J. of Finance and Accounting Pages: 297-313 Issue: 3/4 Volume: 6 Year: 2021 Keywords: market efficiency; event study; financial institutions; financial distress; energy. File-URL: http://www.inderscience.com/link.php?id=117216 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:297-313 Template-Type: ReDIF-Article 1.0 Author-Name: Azhar Mohamad Author-X-Name-First: Azhar Author-X-Name-Last: Mohamad Author-Name: Mohamed Azad Author-X-Name-First: Mohamed Author-X-Name-Last: Azad Author-Name: Imtiaz Mohammad Sifat Author-X-Name-First: Imtiaz Mohammad Author-X-Name-Last: Sifat Title: Predicting financial distress in an emerging market: corporate actions, accounting ratios, or both? Abstract: This paper investigates the utility of corporate actions in predicting financial distress in the context of an emerging country: Malaysia. Recognising the dominance of historical accounting ratios in distress prediction models, we set out to test if employing more current information in the form of corporate action fares better. To this end, we employ three logistic regression models on data from 54 firms and find that corporate actions, on a stand-alone basis, outperform pure accounting ratios and a pooled combination of both. The most significant corporate actions are frequency of capital issuance and shuffling of audit committees. These findings are novel for Malaysia and relatively scarce in broader empirical literature. Meanwhile, among the accounting ratios, working capital and sales volumes emerge as significant predictors of distress, both of which have extensive empirical precedents. Journal: American J. of Finance and Accounting Pages: 314-331 Issue: 3/4 Volume: 6 Year: 2021 Keywords: financial distress; emerging market; bankruptcy; Malaysia; accounting ratio. File-URL: http://www.inderscience.com/link.php?id=117217 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:314-331