earnings surprise materiality as measured by stock returns ranked earnings surprise portfolios formed from first call files for 1992 97 are used to assess the annual earnings surprise magnitude for an individual firm sufficient to expect a significant market reaction we find that for an individual firm the maximum probability of a gain from trading on prior knowledge of any surprise magnitude is 622 the lack of probable trading gains is due to the s shaped surprise return relation and the large variance of returns for a given magnitude of surprise in turn we find that the s shape is related empirically to the dispersion of analyst forecasts thus factors underlying dispersion differences are related to the importance or materiality of earnings surprise as measured by stock returns and explain at least part of the s shaped surprise return relation

corporate conservatism and relative compensation this paper demonstrates that in a simple setting with managerial concern for reputation and asymmetric information on ability most managers may refrain from undertaking innovations that stochastically dominate an industry standard common components of uncertainty lead to market inferences of managerial ability based on relative performance managers who undertake the industry standard are consequently evaluated with a more accurate benchmark than those innovating discontinuities in compensation when performance is low because of firings lead managers to have differing valuations of an accurate benchmark depending on type in particular very high and very low ability managers are more likely to undertake superior innovations than those of average ability

costly arbitrage evidence from closed end funds arbitrage costs lead to large deviations of prices from fundamentals using a sample of closed end funds i find that the market value of a fund is more likely to deviate from the value of its assets 1 for funds with portfolios that are difficult to replicate 2 for funds that pay out smaller dividends 3 for funds with lower market values and 4 when interest rates are high these factors are related to the magnitude of the deviation as opposed to the direction i e whether discount or premium and explain a quarter of cross sectional mispricing variation these findings are consistent with noise trader models of asset pricing

analyst forecasts and herding behavior the use of analyst forecasts as proxies for investors earnings expectations is commonplace in empirical research an implicit assumption behind their use is that they reflect analysts private information in an unbiased manner as demonstrated here this assumption is not necessarily valid there is shown to be a tendency for analysts to release forecasts closer to prior earnings expectations than is appropriate given their information further analysts exhibit herding behavior whereby they release forecasts similar to those previously announced by other analysts even when this is not justified by their information these results are shown to have interesting empirical implications article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

security analysis and trading patterns when some investors receive information before others in existing models of information acquisition all informed investors receive their information at the same time this article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others the model implies that under some conditions investors will focus only on a subset of securities herding while neglecting other securities with identical exogenous characteristics in addition the model is consistent with empirical correlations that are suggestive of oft cited trading strategies such as profit taking short term position reversal and following the leader mimicking earlier trades in existing models of information acquisition all informed investors receive their information at the same time while these models provide many important insights in reality some investors either fortuitously or owing to superior skill acquire pertinent information before others by being first an investor can exploit this information to great advantage information that is uncovered only slightly later is less valuable even if it has not yet been publicly revealed we show in this article that the sequential nature of information arrival has a significant effect on both the trading decisions and the types of information collected by investors the model we develop describes the investment choices of a set of competitive risk averse investors who investigate the long term prospects of firms lucky or high ability investors uncover the

objective vs subjective fuel poverty and self assessed health abstract identification of fuel poverty and its impact on individuals is a growing social issue classifying households using subjective measures of fuel poverty yields different results than when objective measures are used moreover there are assessment related difficulties in establishing the effects on health and wellbeing which hinders policy design to tackle this problem in this paper we propose a latent class ordered probit model to control for subjectivity when analysing the influence of fuel poverty on self reported health this methodology is applied to a sample of 25 000 individuals in 11 000 households for the 2011 2014 period in spain where 5 1 million people 11 of the population could not afford to heat their homes to an adequate temperature in 2014 the results show that poor housing conditions low income material deprivation and fuel poverty have a negative impact on health we also find that the effect of objective fuel poverty and other poverty related factors on health are stronger when we control for unobserved heterogeneity among individuals since objective measures alone may not fully capture the adverse effect of fuel poverty on health we advocate policy approaches that combine both objective and subjective measures and its application by policymakers

energy affordability in the eu the risks of metric driven policies abstract this paper provides a pan eu mapping of energy affordability using energy expenditure shares large variations in energy expenditure shares are identified with the shares being significantly higher in new member states than the eu15 first these variations indicate that a single expenditure based pan eu fuel poverty metric is problematic there is a trade off between a metric identifying households in most need within individual member states and one identifying households in a similar position across member states second household level data from the uk france and the republic of ireland are used to simulate the impact of policy interventions involving energy expenditure reductions or income increases on the recorded rate of fuel poverty these simulations highlight that emphasising high level fuel poverty metrics may distort policymakers choices towards improving the picture of fuel poverty rather than maximising welfare improvements robust impact assessments identifying the fuel poverty interventions which deliver the greatest welfare increases for a given cost offer a better means of policy evaluation

energy poverty policies in the eu a critical perspective abstract once confined to the uk context where it was struggling to receive political recognition for years the concept of energy or fuel poverty is slowly entering the eu s agenda where it has crept into a number of regulatory documents and policy proposals using evidence gathered from an international workshop and semi structured interviews with decision makers experts and advocacy activists in brussels and sofia this paper explores the adoption of policies aimed at addressing energy poverty within i the organisational context of the eu and ii national state institutions in bulgaria a member state facing considerable problems at the energy affordability social inequality nexus while the former are largely nascent and poorly co ordinated the latter have already been implemented de jure to a significant extent however many unresolved issues surrounding their de facto implementation remain at the same time national policy makers remain largely unaware of the existence of direct energy poverty related initiatives at the eu level

do countries falsify economic data strategically some evidence that they might we find evidence supporting the hypothesis that countries at times misreport their economic data in a strategic manner among those suspected are countries with fixed exchange rate regimes high negative net foreign asset positions or negative current account balances which corroborates the intuition developed with a simple economic model we also find that countries with bad institutional quality rankings and those in africa middle east eastern europe and latin america release economic data of questionable veracity our evidence calls for models with public signals to consider strategic misinformation and for establishing independent statistical agencies to assure the delivery of high quality economic data

short interest and stock price crash risk abstract using a large sample of u s public firms we find robust evidence that short interest is positively related to one year ahead stock price crash risk the evidence is consistent with the view that short sellers are able to detect bad news hoarding by managers additional findings show that the positive relation between short interest and future crash risk is more salient for firms with weak governance mechanisms excessive risk taking behavior and high information asymmetry between managers and shareholders empirical support is provided showing that the relation between short interest and crash risk is driven by bad news hoarding

the role of accruals in asymmetrically timely gain and loss recognition we investigate the role of accrual accounting in the asymmetrically timely recognition incorporation in reported earnings of gains and losses timely recognition requires accruals when it precedes complete realization of the gains and losses in cash we show that nonlinear accruals models incorporating the asymmetry in gain and loss recognition timelier loss recognition or conditional conservatism offer a substantial specification improvement explaining substantially more variation in accruals than equivalent linear specifications conversely conventional linear accruals models by omitting the loss recognition asymmetry exhibit substantial attenuation bias and offer a comparatively poor specification of the accounting accrual process linear specifications also understate the ability of current earnings to predict future cash flows these findings have implications for our understanding of accrual accounting and conservatism as well as for researchers estimating discretionary accruals earnings management and earnings quality

a new coincident index of business cycles based on monthly and quarterly series maximum likelihood factor analysis of time series is possible even when some series are quarterly and others are monthly treating quarterly series as monthly series with missing observations and replacing them with artificial observations independent of the model parameters one can apply the kalman filter to a state space representation of a factor model and evaluate the likelihood function an application to quarterly real gdp and monthly coincident business cycle indicators gives a new coincident index of business cycles the new index is essentially the smoothed estimate of latent monthly real gdp and should improve upon the stock watson index

estimation and empirical properties of a firm year measure of accounting conservatism we estimate a firm year measure of accounting conservatism examine its empirical properties as a metric and illustrate applications by testing new hypotheses that shed further light on the nature and effects of conservatism the results are consistent with the measure c score capturing variation in conservatism and also predicting asymmetric earnings timeliness at horizons of up to 3 years ahead cross sectional hypothesis tests suggest firms with longer investment cycles higher idiosyncratic uncertainty and higher information asymmetry have higher accounting conservatism event studies suggest increased conservatism is a response to increases in information asymmetry and idiosyncratic uncertainty

quantifying the prevalence of fuel poverty across the european union abstract the literature and policy base for fuel poverty in the uk and ireland is well established and there is a growing body of single country studies beyond these two eu member states for example brunner et al 2012 dubois 2012 robine et al 2008 however on a european level the last analysis of fuel poverty was conducted in 2004 prior to the enlargement of the eu using survey data this paper presents an updated overview of the prevalence of european fuel poverty in the context of the accession of numerous former social states and rising fuel prices analysis reveals the phenomenon of fuel poverty is occurring across the eu with particularly high levels of fuel poverty found in eastern and southern european states it is argued that there are both eu and national policy frameworks in place that address climate change and these could be used as a starting point for countries to address fuel poverty through improved domestic energy efficiency measures this paper reflects research undertaken in 2011 supported by eaga charitable trust within the umbrella of work examining issues of poverty and social exclusion across the eu which has enabled access to the eu silc dataset

the real effects of financial markets the impact of prices on takeovers using mutual fund redemptions as an instrument for price changes we identify a strong effect of market prices on takeover activity the trigger effect an interquartile decrease in valuation leads to a seven percentage point increase in acquisition likelihood relative to a 6 unconditional takeover probability instrumentation addresses the fact that prices are endogenous and increase in anticipation of a takeover the anticipation effect our results overturn prior literature that finds a weak relation between prices and takeovers without instrumentation these findings imply that financial markets have real effects they impose discipline on managers by triggering takeover threats does a low market valuation make a firm a takeover target in theory if acquisition prices are related to market prices acquirers can profit from taking over a firm whose market value is low relative to its peers due either to mispricing or mismanagement and restore it to its potential indeed in practice acquirers and other investors appear to track a firm s valuation multiples for indications on the potential for acquisition and managers strive to maintain high market valuations to prevent a hostile takeover understanding whether such a link exists is important because if so this would suggest that the market is not a sideshow but rather exerts a powerful disciplinary effect on firm management as suggested by marris 1964 manne 1965 a ndjensen 1993 despite the above logic existing empirical studies on takeovers fail to systematically uncover a meaningful relationship between market valuations

objective and subjective measures of fuel poverty as energy prices continue to rise to reflect the real cost of carbon the numbers of households in fuel poverty is increasing rapidly this paper uses a unique data set to explore one alternative measure of fuel poverty based on whether consumers feel able to afford their energy similar to one introduced by the government a few years ago we explore the links between an expenditure based and our subjective measure of fuel poverty and compare these differences with those between official measures amongst low income households 28 spent more than a tenth of their income on energy in the home and so would be likely to qualify as fuel poor under the most usual definition but only 16 felt unable to afford sufficient energy to keep their homes warm amongst this group who felt they had difficulty in affording sufficient energy less than half were expenditure fuel poor the paper argues that reintroduction of a self reported measure by the government would be a valuable aid to policy development

opaque financial reports r2 and crash risk abstract we investigate the relation between the transparency of financial statements and the distribution of stock returns using earnings management as a measure of opacity we find that opacity is associated with higher r2s indicating less revelation of firm specific information moreover opaque firms are more prone to stock price crashes consistent with the prediction of the jin and myers 2006 r2 around the world new theory and new tests journal of financial economics 79 257 292 model however these relations seem to have dissipated since the passage of the sarbanes oxley act suggesting that earnings management has decreased or that firms can hide less information in the new regulatory environment

measuring argentinaâ s gdp growth the main purpose of this paper is to report on the results of an exhaustive reworking of argentina s output growth by industry realized by the arklems land argentina productivity and competitiveness project the aim was to reproduce a gdp time series since 1993 using traditional argentinean national accounting methodology in order to check economic growth against official statistics produced after political intervention in the work of the national statistics institute since 2007 the reproduced arklems gdp series closely approximates to official gdp between 1993 and 2007 at macro and industry level but after 2007 official series showed a higher growth than arklems reproducible 29 4 official gdp vs 15 9 arklems gdp for 2007 2012 however the gap between the series is not related to the use of biased cpi deflators but it is due to the abandoning of traditional methodology followed by argentinean national accounts prior to its intervention the paper shows that argentina s recent growth episode of 2002 2012 was similar to the previous positive growth cycle period of 1990 1998 argentina was not the growth champion of the latin america region during the later period but it has one of the highest rates of volatility of gdp across latin america argentine official gdp data has been subject to the so called pandora s box effect as a result of the political intervention in the production of official statistics

mutual fund herding and stock price crashes abstract we investigate the impact of mutual fund herding behaviours on stock price crashes there are competing hypotheses with respect to how investors herding behaviours are associated with information processing our empirical evidence shows that mutual fund herding is associated with a poor information environment and low disclosure quality more importantly mutual fund herding amplifies stock price crash risk afterwards the main finding is concentrated on buy herding rather than sell herding to mitigate the endogeneity concern we use the 2004 sec mutual fund disclosure regulation change as an exogenous shock and the results hold we further use propensity score matching to alleviate the impact of information asymmetry finally additional analysis reveals that our results are not driven by the price impact hypothesis

fund manager herding a test of the accuracy of empirical results using u k data the portfolio holdings of 268 u k equity mutual funds are employed to test the accuracy of the lakonishok shleifer and vishny 1992 measure of herding and test for herding among u k mutual fund managers after adjusting for the biases in the lsv herding measure the results reveal the existence of a modest amount of fund manager herding in the largest and smallest individual u k stocks but little herding in other stocks or stocks aggregated by industry contrary to previous u s results we find that u k mutual fund managers tend to herd out of large stocks after high excess returns

fuel poverty and well being a consumer theory and stochastic frontier approach abstract evidence and conventional wisdom suggest that general poverty has a negative effect on the well being of individuals however the mechanisms through which this effect occurs are not well understood through economic approach in this paper we analyse the influence of general and fuel poverty as well as the social dimension through peer comparison on the subjective well being of households we develop a novel approach to analyse fuel poverty and well being based on consumer theory individual preferences are modelled using indifference curves and a distance function where the preferences of individuals are affected by their poverty status we use the survey data from the official spanish life condition survey for 2013 which contains over 16 608 observations on household members the results show that both general and fuel poverty influence the reference indifference curve but that individuals also compare themselves with their peers the proposed model also allows us to corroborate how general and fuel poverty affect well being and how effective policies can be designed to improve social welfare

the association between outside directors institutional investors and the properties of management earnings forecasts we investigate the relation of the board of directors and institutional ownership with the properties of management earnings forecasts we find that firms with more outside directors and greater institutional ownership are more likely to issue a forecast and are inclined to forecast more frequently in addition these forecasts tend to be more specific accurate and less optimistically biased these results are robust to changes specification granger causality tests and simultaneous equation analyses the results are similar in the pre and post regulation fair disclosure reg fd eras additional analysis suggests that concentrated institutional ownership is negatively associated with forecast properties this association is less negative in the post reg fd environment which is consistent with reg fd reducing the ability of firms to privately communicate information to select audiences

from targeting to implementation the role of identification of fuel poor households this paper proposes to evaluate the efficiency of fuel poverty policies by looking at them as a three step process these steps are policy targeting identification of households and implementation of measures each of these steps are costly and can face feasibility problems this is particularly true in the case of fuel poverty policies because of the multidimensional aspect of fuel poverty therefore public policies in that field are necessarily imperfect and this should be taken into account in the analysis of policies this three step framework is applied to the french fuel poverty policy which has been developed in 2010 as its practical modalities of implementation are still under discussion we mainly discuss the choices made in terms of targeting and highlight the role of identification of fuel poor households as a key factor for the success of that policy the general idea behind this discussion is that the efficiency of such policies has to be viewed in a comprehensive way which includes the three policy steps

risk inflation and the stock market most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation this paper considers an alternative explanation a substantial increase in the riskiness of capital investments we show that the variance of firms real gross marginal return on capital has increased significantly increasing the relative riskiness of investors returns on equity and that this can explain a large part of the market decline we also assess the effects of increase in the mean and variance of the inflation rate and a decline in firms expected return on capital this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

dynamic properties of energy affordability measures measures of affordability are applied in practice e g to assess the affordability of energy services water or housing they can be interpreted as measures of deprivation in a specific domain of consumption the large body of literature on affordability measure has little overlap with the existing literature on poverty measurement a comprehensive assessment of the response of affordability measures as a result of changes in the distribution of income or expenditure is missing this paper aims to fill this gap by providing a conceptual discussion on the dynamics of energy affordability measures several types of measures are examined in a microsimulation framework to assess their dynamic properties our results indicate that some measures exhibit odd dynamic behavior this includes measures used in practice such as the low income high cost measure and the double median of expenditure share indicator odd dynamic behavior is attributed to definitions made with respect to higher moments of the expenditure distribution definitions that rely on a percentage share of expenditure relative to income or an absolute or relative income poverty line fare well from a dynamic perspective

does it all add up benchmarks and the compensation of active portfolio managers in this article the authors examine theoretically the use of benchmark portfolios in the compensation of privately informed portfolio managers they find that the use of a benchmark and particularly the types of benchmarks often observed in practice cannot be easily rationalized specifically commonly used benchmark adjusted compensation schemes are generally inconsistent with optimal risk sharing and do not lead to the choice of an optimal portfolio for the investor moreover benchmarks do not help in solving potential contracting problems such as inducing the manager to expend effort or trying to screen out uninformed managers copyright 1997 by university of chicago press

toward a more reliable picture of the economic activity an application to argentina abstract we advocate a dynamic factor model to provide alternative measures of output data using indirect information from economic indicators we apply the method to show evidence of a significant gap between estimated and official measures of argentine gdp since 2007