ABSTRACT
This study examines whether we can learn from the behavior of blockchain‐based transfers to predict the financing of terrorist attacks. We exploit blockchain transaction transparency to map ...millions of transfers for hundreds of large on‐chain service providers. The mapped data set permits us to empirically conduct several analyses. First, we analyze abnormal transfer volume in the vicinity of large‐scale highly visible terrorist attacks. We document evidence consistent with heightened activity in coin wallets belonging to unregulated exchanges and mixer services—central to laundering funds between terrorist groups and operatives on the ground. Next, we use forensic accounting techniques to follow the trails of funds associated with the Sri Lanka Easter bombing. Insights from this event corroborate our findings and aid in our construction of a blockchain‐based predictive model. Finally, using machine‐learning algorithms, we demonstrate that fund trails have predictive power in out‐of‐sample analysis. Our study is informative to researchers, regulators, and market players in providing methods for detecting the flow of terrorist funds on blockchain‐based systems using accounting knowledge and techniques.
Fat tails, VaR and subadditivity Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady ...
Journal of econometrics,
02/2013, Letnik:
172, Številka:
2
Journal Article
Recenzirano
Financial institutions rely heavily on Value-at-Risk (VaR) as a risk measure, even though it is not globally subadditive. First, we theoretically show that the VaR portfolio measure is subadditive in ...the relevant tail region if asset returns are multivariate regularly varying, thus allowing for dependent returns. Second, we note that VaR estimated from historical simulations may lead to violations of subadditivity. This upset of the theoretical VaR subadditivity in the tail arises because the coarseness of the empirical distribution can affect the apparent fatness of the tails. Finally, we document a dramatic reduction in the frequency of subadditivity violations, by using semi-parametric extreme value techniques for VaR estimation instead of historical simulations.
•Many US companies with December 31, 2019 as their fifiscal year end had their Annual Shareholder Meeting scheduled (usually online) during the COVID pan demic.•Unexpectedly faced with signifificant ...changes in operating environments, some companies decided to suspend shareholder dividend payments.•In normal circumstances, this would be interpreted as a very negative event and shareholders could be expected to respond adversely at the annual meeting.•However, we investigate whether CEOs were able to maintain shareholder support by offffering a previously unheard of response of ”sharing the pain”, committing to cut their•own pay following a dividend suspension.•At issue is whether investors acted as if they updated their inferences using the new voluntary pay-cut decision to in fer the extent to which the CEOs underlying personality type was well matched to crisis management.•We estimate an instrumental variables model in which the dividend suspension is used as an instrument for the endogenous pay cut variable.
Many US companies with December 31, 2019 as their fiscal year end had their Annual Shareholder Meeting scheduled (usually online) during the COVID pandemic. Unexpectedly faced with significant changes in operating environments, some companies decided to suspend shareholder dividend payments. In normal circumstances, this would be interpreted as a very negative event and shareholders could be expected to respond adversely at the annual meeting. However, we investigate whether CEOs were able to maintain shareholder support by offering a previously unheard of response of “sharing the pain”, committing to cut their own pay following a dividend suspension. At issue is whether investors acted as if they updated their inferences using the new voluntary pay-cut decision to infer the extent to which the CEOs underlying personality type was well matched to crisis management. We estimate an instrumental variables model in which the dividend suspension is used as an instrument for the endogenous pay cut variable.
Purpose
The purpose of this study is to examine the association between two reporting mechanisms used by managers to communicate risk information to the capital market: risk disclosure and earnings ...smoothing.
Design/methodology/approach
This study juxtaposes two competing hypotheses, the “opportunistic” and the “signaling”, and empirically investigates whether one dominates the other for a sample of large UK firms for the period 2005–2015. This study also uses the global financial crisis as an arguably exogenous shock on overall risk in the economy to investigate its effect on managers' joint use of textual risk disclosures and earnings smoothing.
Findings
This study finds that risk disclosure and earnings smoothing are negatively associated. This finding supports that managers with incentives to mask the firm’s true underlying risk through smoothing earnings provide lower levels of risk-related disclosures. This study documents that the trade-off between risk disclosure and earnings smoothing is more pronounced during the global financial crisis period than before and after the crisis period. Further, this study demonstrates a more negative association for firms with higher volatility of cash flows. This negative association is robust to various model specifications, additional corporate governance related controls and an alternative measure of earnings smoothing.
Originality/value
The findings provide new empirical evidence about the association between risk disclosure and earnings smoothing and support the opportunistic hypothesis, especially when firms are faced with increased risk.
We analyze the effect of accounting bias on the competition and market structure of an industry. In our model, firms’ interim accounting reports on investment projects may contain bias introduced by ...the mandatory accounting system. We find that this bias strictly decreases firms’ profits when investors do not have an abandonment option, but different results emerge when we allow the investors to divest in the interim. Specifically, a conservative accounting regime may increase the likelihood of projects being discontinued, inducing some firms to exit from the product market and leaving rivals to capture their market share. A conservative regime can thus soften market competition and result in ex ante higher investment payoff, higher consumer surplus, and higher total social welfare. Since industries often have common reporting standards, we also identify the degrees of industry-wide accounting bias that maximize the expected investor payoffs. Finally, we allow for investors to coordinate their divestment decisions when both firms report unfavorable costs and show an improvement to both firm profits and consumer surplus.
This paper was accepted by Mary Barth, accounting
.
ABSTRACT
We study the effects of mandatory disclosure on competitive interactions in the setting of oil and gas (O&G) reserve disclosures by North American public firms. We document that reserve ...disclosures inform competitors: when one firm announces larger increases in O&G reserves, competitors experience lower announcement returns and higher real investments. To sharpen identification, we analyze several sources of cross-sectional variation in these patterns, the degree of competition, and the sign and the source of reserves changes. We also exploit two plausibly exogenous shocks: the tightening of the O&G reserve disclosure rules and the introduction of fracking technology. Additional tests more directly focused on the presence of proprietary costs confirm that the mandated reserve disclosures result in a relative loss of competitive edge for announcing firms. Our collective evidence highlights important trade-offs in the market-wide effects of disclosure regulation.
ABSTRACT
We examine how a firm's disclosure‐audience policy affects investors' expertise acquisition and price informativeness in the market. We distinguish the investors' information advantage due ...to superior access from that due to superior ability to process information. We show that targeted selective disclosure to sophisticated investors may encourage greater expertise acquisition on the part of investors and lead to more informative prices than either public disclosure or untargeted selective disclosure, because the value of expertise is maximized if sophisticated investors gain exclusive information access at a relatively low cost. These results illuminate the persistence of private communications between investors and firms in the post–Regulation Fair Disclosure era and provide implications for regulators in addressing increasing concerns raised about the enforcement of Regulation Fair Disclosure.
RÉSUMÉ
Divulgation sélective, acquisition de connaissances et valeur informative du cours des actions
Les auteurs examinent comment la politique de divulgation sélective d'une entreprise influe sur l'acquisition de connaissances par les investisseurs et sur la valeur informative du cours des actions sur le marché. Ils distinguent l'avantage informationnel des investisseurs dû à un accès supérieur de celui dû à une capacité supérieure de traitement de l'information. En comparaison avec la divulgation publique ou la divulgation sélective non ciblée, les auteurs montrent que la divulgation sélective ciblée à l'intention des investisseurs avertis peut encourager une plus grande acquisition d'expertise de la part des investisseurs et conduire à de la valeur informative supérieure du cours des actions, parce que la valeur de l'expertise est maximisée si les investisseurs avertis obtiennent un accès exclusif à l'information à un cout relativement faible. Ces résultats mettent en lumière la persistance des communications privées entre les investisseurs et les entreprises dans l'ère qui suit la règlementation FD (Regulation Fair Disclosure) et fournissent des implications pour les régulateurs dans la réponse aux préoccupations croissantes soulevées par l'application de la règlementation FD.
International Financial Reporting Standards (IFRS) allow managers flexibility in classifying interest paid, interest received, and dividends received within operating, investing, or financing ...activities within the statement of cash flows. In contrast, U.S. Generally Accepted Accounting Principles (GAAP) requires these items to be classified as operating cash flows (OCF). Studying IFRS-reporting firms in 13 European countries, we document firms’ cash-flow classification choices vary, with about 76, 60, and 57% of our sample classifying interest paid, interest received, and dividends received, respectively, in OCF. Reported OCF under IFRS tends to exceed what would be reported under U.S. GAAP. We find the main determinants of OCF-enhancing classification choices are capital market incentives and other firm characteristics, including greater likelihood of financial distress, higher leverage, and accessing equity markets more frequently. In analyzing the consequences of reporting flexibility, we find some evidence that the market’s assessment of the persistence of operating cash flows and accruals varies with the firm’s classification choices and the results of certain OCF prediction models are sensitive to classification choices.
Kohlbeck and Mayhew () create a new data set featuring two types of related party transactions. They use empirical‐archival methods to investigate the effect of such transactions on the likelihood of ...restatements and on audit fees. Their findings suggest that related party transactions related to directors, officers and major shareholders are associated with poor “tone at the top” and that this leads management to negotiate for lower‐quality audits to minimize monitoring costs. To offer avenues for future research, we focus our discussion on three aspects of their paper related to causality, definitions of variables, and generalizability to non‐U.S. jurisdictions.
Analyse critique de « Faut‐il voir des signaux d'alarme dans les opérations entre apparentés? »
Kohlbeck et Mayhew (2017) constituent un nouvel ensemble de données relatives à deux catégories d'opérations entre apparentés. Ils utilisent des méthodes empiriques d'archivage pour étudier l'incidence de ces opérations sur la probabilité de retraitements et sur les honoraires d'audit. Leurs constatations permettent de croire que les opérations entre apparentés liées aux administrateurs, aux dirigeants et aux principaux actionnaires sont associées à un ton inadéquat donné par la direction, et que cette situation amène la direction à négocier des audits de qualité inférieure afin de réduire au minimum les coûts de la surveillance. Dans le but de proposer des pistes de recherche future, les auteurs axent leur analyse sur trois aspects de l’étude, soit la causalité, la définition des variables et la possibilité d'en généraliser les conclusions à l'extérieur des États‐Unis.
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