Dennis Y. Chung and Karel Hrazdil
The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology…
Abstract
Purpose
The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al.
Design/methodology/approach
The authors estimate the speed of convergence to market efficiency based on short‐horizon return predictability from past order flows of 273 ETFs that were traded every day on the NYSE Arca during the first six months of 2008, and compare the resulting price formation process to that of shares traded on the NYSE and NYSE Arca.
Findings
Despite the significant differences in trading costs, volatility, and informational effects between ETFs and regular stocks, the paper documents that price adjustments to new information for ETFs occur in about 30 minutes, which is comparable to price adjustments for traditional stocks traded on Arca. In multivariate setting, the paper further shows that the speed of convergence to market efficiency of ETFs is not only significantly driven by volume, but also by the probability of informed trading.
Research limitations/implications
The findings provide direct answers and insights to questions posed in a recent SEC concept release document. The analysis of the speed of convergence provides a feasible measure to assess how efficiently prices of ETFs respond to new information.
Originality/value
The authors are first to utilize the short‐horizon return predictability from historical order flow approach to evaluate the price formation process of ETFs and to provide evidence on the determinants of its efficiency.
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This study examines whether corporate earnings announcements affect investors' beliefs about future earnings using a sample of companies in the People's Republic of China…
Abstract
This study examines whether corporate earnings announcements affect investors' beliefs about future earnings using a sample of companies in the People's Republic of China. Revisions in financial analysts' consensus forecasts are used as a proxy for the change in the aggregate belief of investors in the market. Changes in the analysts' forecasts dispersion are used to measure the degree of convergence or divergence of the market's belief after the earnings announcements. Results show that both forecast revisions and changes in forecast dispersion are significantly and positively associated with the unexpected element in the earnings announcements. The results indicate that accounting earnings of Chinese companies contain information useful to the market and that the information is reflected in the analysts' subsequent forecasts of the companies' future earnings. The findings are also consistent with results from recent analytical studies, such as Kim and Verrecchia (1994), Barry and Jennings (1992) and Morse, Stephan and Stice (1991), that information disclosure may increase (rather than reduce) the disagreement among investors.
Paul Brockman and Dennis Y. Chung
Outlines the reasons why increasing numbers of firms list their shares on more than one stock exchange, previous research on the effects of cross‐listing and inter‐ and intra‐day…
Abstract
Outlines the reasons why increasing numbers of firms list their shares on more than one stock exchange, previous research on the effects of cross‐listing and inter‐ and intra‐day liquidity patterns. Describes the market making system of the stock exchange of Hong Kong and compares 1996‐1997 data on a sample of 33 Hong Kong firms cross‐listed in London with a control sample. Finds the cross‐listed firms have lower trading volumes, higher absolute bid‐ask spreads but lower relative ones and higher average dollar depth. Uses regression techniques to investigate liquidity and presents the results which confirm that cross‐listed firms are more liquid with lower relative spreads and higher depths even after controlling for differences in price, volume, return variance and intertemporal patterns.
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Dennis Y. Chung, Karel Hrazdil and Kim Trottier
Motivated by recent studies that demonstrate the superiority of the Global Industry Classification System (GICS) relative to the Standard Industry Classification (SIC) system in…
Abstract
Purpose
Motivated by recent studies that demonstrate the superiority of the Global Industry Classification System (GICS) relative to the Standard Industry Classification (SIC) system in capital market research, the authors revisit the stock market anomaly documented by Thomas and Zhang (TZ) (“Overreaction to intra-industry information transfers?” Journal of Accounting Research, Vol. 46, pp. 909-940) and analyze whether the anomaly based on SIC remains evident when intra-industry information transfers are based on the GICS. The paper aims to discuss these issues.
Design/methodology/approach
The authors first replicate TZ and test whether stock prices of late announcers in response to earnings reported by early announcers in the same SIC industry are significantly related to subsequent price responses of late announcers to their own earnings reports. In the multivariate setting, the authors then evaluate whether the magnitude and significance of the overreaction anomaly changes under the more comprehensive GICS and across different time periods.
Findings
The authors first confirm the over-reaction anomaly based on SIC as documented by TZ. Utilizing a larger sample of firms based on the GICS and extending TZ for a new time period, the authors then demonstrate that the overreaction anomaly disappears during recent years, a period that is characterized by markedly higher trading activity.
Research limitations/implications
The findings provide new insights and contributions to the debate on whether or not market significantly misprices information transfers.
Originality/value
The authors are first to utilize the GICS in evaluating intra-industry information transfers.
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Mehdi Rahmani, Pantea Foroudi, S. Asieh H. Tabaghdehi and Ramin Behbehani
With the global market for advanced technology-driven customer service set to soar, understanding the complicated relationship between advanced technology and customer purchase…
Abstract
With the global market for advanced technology-driven customer service set to soar, understanding the complicated relationship between advanced technology and customer purchase behaviour is paramount. While prior research has touched upon the impact of technology on purchase processes in some aspects, this study investigates the specific features of advanced technology that shape customer purchase intention in greater depth. By investigating when and under what conditions customers choose advanced technology-based purchases, this research sheds light on the evolving landscape of consumer decision-making and it seeks to quantify the transformative power of advanced technology in driving customer purchase intentions.
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Dennis Lu-Chung Weng, Lu-Huei Chen and Ching-Hsing Wang
The main purpose of this study is to reveal how the China factor influences Taiwan voters' evaluations of the two major parties across elections and generations. We contend that…
Abstract
Purpose
The main purpose of this study is to reveal how the China factor influences Taiwan voters' evaluations of the two major parties across elections and generations. We contend that 1) elderly Taiwan voters may take the China factor more seriously than younger cohorts, and 2) China factor may be weighted differently depending on the levels of elections. More importantly, we argue that the China factor is tangled with voters' partisanship.
Design/methodology/approach
Data gathered from 2008 to 2014 Taiwan's Election and Democratization Study (TEDS) enable in investigating the influence of the China factor on Taiwan people's vote choices in the two local and two presidential elections. To answer the research question, this study applies issue voting theory and the seemingly unrelated regression (SUR) employed for empirical investigations.
Findings
The findings of this study provide empirical evidence on how political generations have changed their reactions to China in Taiwan's elections. The fundamental variables, party identification and the China issue are still very important and cannot be disregarded. Specifically, the China factor played a quite influential role in the Democratic Progressive Party (DPP) supporters' voting decisions regardless of their generations, whereas its effect on the Kuomintang (KMT) supporters' voting decisions varies depending on electoral contexts and generations.
Originality/value
While some scholars might suspect that the single item is not sufficient to be an effective predictor of vote choice, we contend that the China factor is definitely the most significant component in Taiwan's elections, especially when it is tangled with partisanship. The SUR approach in this study confirms that partisanship and the China factor cannot be viewed separately.
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Shyh-Leh Chen, Pei-Hua Lee and Chow-Shing Toh
This paper is concerned with the design and analysis of a bearingless motor.
Abstract
Purpose
This paper is concerned with the design and analysis of a bearingless motor.
Design/methodology/approach
The bearingless motor is obtained by a regular three-pole active magnetic bearing with an intentionally attached unbalanced mass on the rotor. It is the unbalanced mass that will generate the rotational torque for the motor function. Modeling and control of the unbalanced mass-type bearingless motor have been considered.
Findings
It is found through simulations that both functions of motor and magnetic bearing can indeed be achieved in this system.
Originality/value
This novel bearingless motor requires no additional windings and permanent magnets. Thus, it can greatly reduce the cost and design of the bearingless motor.
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The strategic management literature emphasizes the concept of business intelligence (BI) as an essential competitive tool. Yet the sustainability of the firms’ competitive…
Abstract
The strategic management literature emphasizes the concept of business intelligence (BI) as an essential competitive tool. Yet the sustainability of the firms’ competitive advantage provided by BI capability is not well researched. To fill this gap, this study attempts to develop a model for successful BI deployment and empirically examines the association between BI deployment and sustainable competitive advantage. Taking the telecommunications industry in Malaysia as a case example, the research particularly focuses on the influencing perceptions held by telecommunications decision makers and executives on factors that impact successful BI deployment. The research further investigates the relationship between successful BI deployment and sustainable competitive advantage of the telecommunications organizations. Another important aim of this study is to determine the effect of moderating factors such as organization culture, business strategy, and use of BI tools on BI deployment and the sustainability of firm’s competitive advantage.
This research uses combination of resource-based theory and diffusion of innovation (DOI) theory to examine BI success and its relationship with firm’s sustainability. The research adopts the positivist paradigm and a two-phase sequential mixed method consisting of qualitative and quantitative approaches are employed. A tentative research model is developed first based on extensive literature review. The chapter presents a qualitative field study to fine tune the initial research model. Findings from the qualitative method are also used to develop measures and instruments for the next phase of quantitative method. The study includes a survey study with sample of business analysts and decision makers in telecommunications firms and is analyzed by partial least square-based structural equation modeling.
The findings reveal that some internal resources of the organizations such as BI governance and the perceptions of BI’s characteristics influence the successful deployment of BI. Organizations that practice good BI governance with strong moral and financial support from upper management have an opportunity to realize the dream of having successful BI initiatives in place. The scope of BI governance includes providing sufficient support and commitment in BI funding and implementation, laying out proper BI infrastructure and staffing and establishing a corporate-wide policy and procedures regarding BI. The perceptions about the characteristics of BI such as its relative advantage, complexity, compatibility, and observability are also significant in ensuring BI success. The most important results of this study indicated that with BI successfully deployed, executives would use the knowledge provided for their necessary actions in sustaining the organizations’ competitive advantage in terms of economics, social, and environmental issues.
This study contributes significantly to the existing literature that will assist future BI researchers especially in achieving sustainable competitive advantage. In particular, the model will help practitioners to consider the resources that they are likely to consider when deploying BI. Finally, the applications of this study can be extended through further adaptation in other industries and various geographic contexts.
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Dennis Chung, Karel Hrazdil and Nattavut Suwanyangyuan
The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks.
Abstract
Purpose
The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks.
Design/methodology/approach
Using a sample of large and actively traded Canadian companies listed on the Toronto Stock Exchange, the authors utilize annual reports filed on system for electronic document analysis and retrieval (SEDAR) between 2003 and 2013 to estimate the amount of publicly available information and find that the length and size of annual reports are important determinants of short-horizon return predictability from historical order flows, which is an inverse indicator of market efficiency.
Findings
The results show that longer and larger annual reports are associated with reduced information asymmetry, lower cost of immediacy, higher trading activity, and an overall improvement in the efficiency of price discovery. The results are robust to the inclusion of controls for various determinants of short-horizon return predictability, such as trading costs, volatility, informational effects and other firm-specific characteristics.
Research Limitations/implications
Collectively, the findings provide empirical support for the benefits of detailed corporate disclosure in Canada.
Originality/value
This is the first study to utilize the short-horizon return predictability approach to evaluate the efficiency of price discovery in relation to the amount of information disclosure.