What is the value of sell-side analysts? Evidence from coverage initiations and terminations

Journal of Accounting and Economics
Volume 60, Issues 2–3, November–December 2015, Pages 141–160

What is the value of sell-side analysts? Evidence from coverage initiations and terminations

Kevin K. Lia, Haifeng Youb

Management Forecast对于股市的影响。
(1) Initiations和terminations有影响
(2) changes in information asymmetry 不一定


Abstract
We investigate three potential channels of analyst value creation: improving fundamental performance through monitoring, reducing information asymmetry, and increasing investor recognition. We show that changes in investor recognition have consistent explanatory power for the market reaction to coverage initiations and terminations but find mixed evidence for changes in information asymmetry and no evidence for changes in fundamental performance as determinants of the market reaction. These results suggest that analysts create value for firms under their coverage by improving their investor recognition and not by monitoring or reducing information asymmetry.

On guidance and volatility

Journal of Accounting and Economics

Volume 60, Issues 2–3, November–December 2015, Pages 161–180

Mary Brooke Billingsa, Robert Jenningsb, Baruch Lev

讨论management guidance到底增加还是减少volatility。这文说是减少。

Abstract

In contrast to theoretical and empirical evidence linking disclosure to information environment benefits, recent research concludes that guidance increases volatility, but leaves open the question of whether volatility plays a role in prompting the issuance of guidance. Consistent with the notion that managers react to rising volatility by providing guidance, we document a link between abnormal run-ups in volatility and the decision to issue a forecast after controlling for the market’s ability to anticipate the guidance. Upon disentangling pre-guidance volatility changes from post-guidance volatility changes, we find no evidence that guidance increases volatility. Indeed, our evidence consistently supports the view that managers seek to and do mitigate share price volatility with guidance.

Interaction between Accounting Standards and Monetary Policy: The Effect of SFAS 115.

Interaction between Accounting Standards and Monetary Policy: The Effect of SFAS 115.

Authors:
Meder, Anthony A.
Source:
Accounting Review. Sep2015, Vol. 90 Issue 5, p2031-2056. 26p. 8 Charts, 1 Graph.

以前的研究表面，货币政策和银行的loan growth成反比关系，并且持有security的话，会减缓这种副相关。
Tony发现，HTM securities和loan growth的负相关更大（因为HTM流动性差）。
另外，小银行受到的影响比大银行大。

I examine the effect of marketable security holdings on monetary policy when those securities are classified under SFAS 115. Prior research has shown that loan growth is negatively related to monetary contractions, and that marketable security holdings mitigate that negative relationship. Those studies consider the securities in aggregate; I am the first to consider the securities classification in conjunction with monetary policy. I ask whether held-to-maturity securities, relative to non-held-to- maturity securities, are negatively related to loan growth. I find that the held-to-maturity securities are more negatively related to loan growth, relative to non-held-to-maturity securities. I also find that held-to-maturity securities are incrementally more negatively related to loan growth during monetary tightening, relative to non-tightening times. Finally, I find that both of these effects are stronger for small banks, relative to large banks. Given the findings, I conclude that held-to-maturity securities actually enhance, not mitigate, the effect of monetary tightening on bank lending.

CEO Contractual Protection and Managerial Short-Termism.

CEO Contractual Protection and Managerial Short-Termism.

Authors:
Xia Chen1
Qiang Cheng1
Lo, Alvis K.2
Xin Wang3

Source:
Accounting Review. Sep2015, Vol. 90 Issue 5, p1871-1906. 36p. 9 Charts.

有合同保护的那些CEO，不太会有real earnings management的行为(比如砍掉R&D)之类。


How to address managerial short-termism is an important issue for companies, regulators, and researchers. We examine the effect of CEO contractual protection, in the form of employment agreements and severance pay agreements, on managerial short-termism. We find that firms with CEO contractual protection are less likely to cut R&D expenditures to avoid earnings decreases and are less likely to engage in real earnings management. The effect of CEO contractual protection is both statistically and economically significant. We further find that this effect increases with the duration and monetary strength of CEO contractual protection. The cross-sectional analyses indicate that the effect is stronger for firms in more homogeneous industries and for firms with higher transient institutional ownership, as protection is particularly important for CEOs in these firms, and is stronger when there are weaker alternative monitoring mechanisms.

Size and Book-to-Market Factors in Earnings and Returns

Size and Book-to-Market Factors in
Earnings and Returns
EUGENE F. FAMA and KENNETH R. FRENCH*

You have free access to this content
The Journal of Finance
Volume 50, Issue 1

Size和Market-to-book ratio对于profitability的解释力。

ABSTRACT
We study whether the behavior of stock prices, in relation to size and book-to-market-equity
(BE/ME), reflects the behavior of earnings. Consistent with rational
pricing, high BE/ME signals persistent poor earnings and low BE/ME signals
strong earnings. Moreover, stock prices forecast the reversion of earnings growth
observed after firms are ranked on size and BE/ME. Finally, there are market, size,
and BE/ME factors in earnings like those in returns. The market and size factors
in earnings help explain those in returns, but we find no link between BE/ME
factors in earnings and returns.

The Cross-Section of Expected Stock Returns

EUGENE F. FAMA,

KENNETH R. FRENCH

JF Volume 47, Issue 2

June 1992 

Pages 427–465

控制了Size和Market-to-Book Ratio, β 就没什么解释力了。

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.

Asymmetric timeliness of earnings, market-to-book and conservatism in financial reporting

Asymmetric timeliness of earnings, market-to-book and conservatism in financial reporting

Sugata Roychowdhury, Ross L. Watts

Journal of Accounting and Economics 44 (2007) 2–31

Market-to-book ratio原来也有当conservatism proxy的时候，它和寻常人们用的Basu的那个earnings timeliness proxy不完全一致。在两种情形下，他们成正比或反比。

是Sloan的大牛写的，有空在翻出来看看。


Using an accounting conservatism theory that reflects accounting’s role in practice, we investigate the relation between two extensively used measures of conservatism: asymmetric timeliness of earnings and the market-to-book ratio (MTB). We predict and observe that when asymmetric timeliness is measured cumulatively over long periods, its relation with end-of-period MTB is positive. When asymmetric timeliness is measured over short periods, its dependence on beginning of-period composition of equity value (EV) is responsible for its negative association with MTB. Further, asymmetric timeliness appears to measure conservatism more efficiently when it is estimated cumulatively over multiple periods.

Discussion of ‘‘Asymmetric timeliness of earnings, market-to-book and conservatism in financial reporting’’

Anne Beatty

这文还有一篇discussion。