Review of Accounting Studies conference专题

本期包含三篇RAST 2016 conference的文章，具体内容如下：

Review of Accounting Studies 2016 Conference

Current Topics in Accounting Research

September 23-24, 2016

Wharton School of the University of Pennsylvania, Philadelphia, PA, USA

Homepage: 

https://accounting.wharton.upenn.edu/research/review-accounting-studies/

1. Uncertainty and Debt Covenants

Peter R. Demerjian, University of Washington

Abstract

I examine the use of financial covenants when contracting for debt under uncertainty. Uncertainty, in the context of this study, is a lack of information about future economic events and their consequences for the borrower’s creditworthiness. I examine the implications of ex-ante uncertainty that is resolved by information received following loan initiation but prior to maturity. I argue that financial covenants, by transferring control rights ex-post, provide a trigger for creditor-initiated renegotiation when the borrower is revealed to be of low credit quality. Using a large sample of private loans, I predict and find that financial covenant intensity is associated with greater uncertainty. Further, I revisit the agency-based explanation of covenant use and find limited evidence that agency conflicts explain the use of financial covenants.

Keywords: 

Debt Covenants, Uncertainty; Debt Contracting; Agency Theory

链接地址：

https://accounting.wharton.upenn.edu/wpcontent/uploads/2016/10/Demerjian.pdf

2. Is there a Dark Side to Exchange Traded Funds (ETFs)? An Information Perspective

Doron Israeli, The Interdisciplinary Center Herzliya

Charles M. C. Lee, Stanford University

Suhas A. Sridharan, Emory University

Abstract

We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with: (1) higher trading costs (bid-ask spreads and market liquidity); (2) an increase in “stock return synchronicity”; (3) a decline in “future earnings response coefficients”; and (4) a decline in the number of analysts covering the firm. Collectively, our findings support the view that increased ETF ownership can lead to higher trading costs and lower benefits from information acquisition. This combination results in less informative security prices for the underlying firms.

Keywords: 

Exchange traded funds (ETFs); Uninformed and informed traders; Costly information; Trading costs; Market pricing efficiency; Informative prices

链接地址：

https://accounting.wharton.upenn.edu/wp-content/uploads/2016/10/israeli-lee-sridharan1.pdf

3. Does risk management work?

Gavin Cassar, INSEAD

Joseph Gerakos, Dartmouth College

Abstract

We examine hedge fund risk management practices and their association with performance during the 2008 financial crisis. Consistent with risk management practices reducing lefttail risk, funds in our sample that use formal models performed significantly better in the extreme down months of 2008. We find no evidence that having a dedicated head of risk management is associated with reduced left-tail risk. Funds employing VaR models had more accurate expectations of how they would perform in a short-term equity bear market.

Keywords: 

Risk management; Hedge funds; Financial crisis

链接地址：

https://accounting.wharton.upenn.edu/wp-content/uploads/2016/10/Cassar-and-Gerakos.pdf

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