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Pierpaolo Giannoccolo - One of the best experts on this subject based on the ideXlab platform.

  • Share Price formation, market exuberance and financial stability under alternative accounting regimes
    Journal of Economic Interaction and Coordination, 2015
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. On the one side, accounting system provides collective signal of fundamental information; on the other side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting designs (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market dynamics; and the “value relevance” of accounting information and its role in the formation of Share market Prices over time. This numerical statistical analysis contributes to shed light on accounting anomalies and fundamental analysis.

  • Share Price formation market exuberance and financial stability under alternative accounting regimes
    Social Science Research Network, 2013
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. From one side, accounting system provides collective signal of fundamental information; from another side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting designs (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market dynamics; and the "value relevance" of accounting information and its role in the formation of Share market Prices over time.This numerical statistical analysis contributes to shed light on accounting anomalies and fundamental analysis.

  • Share Price formation market exuberance and accounting design
    Social Science Research Network, 2013
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Interacting heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. From one side, accounting system provides collective signal of fundamental information; from another side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting regimes (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market Price dynamics; and the "value relevance" of accounting information and its role in the formation of Share market Prices over time.This numerical statistical analysis contributes to shed light on financial stability, market exuberance, accruals accounting anomalies and fundamental analysis.

Alison Cook - One of the best experts on this subject based on the ideXlab platform.

Yuri Biondi - One of the best experts on this subject based on the ideXlab platform.

  • Share Price formation, market exuberance and financial stability under alternative accounting regimes
    Journal of Economic Interaction and Coordination, 2015
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. On the one side, accounting system provides collective signal of fundamental information; on the other side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting designs (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market dynamics; and the “value relevance” of accounting information and its role in the formation of Share market Prices over time. This numerical statistical analysis contributes to shed light on accounting anomalies and fundamental analysis.

  • Share Price formation market exuberance and financial stability under alternative accounting regimes
    Social Science Research Network, 2013
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. From one side, accounting system provides collective signal of fundamental information; from another side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting designs (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market dynamics; and the "value relevance" of accounting information and its role in the formation of Share market Prices over time.This numerical statistical analysis contributes to shed light on accounting anomalies and fundamental analysis.

  • Share Price formation market exuberance and accounting design
    Social Science Research Network, 2013
    Co-Authors: Yuri Biondi, Pierpaolo Giannoccolo
    Abstract:

    This paper develops a theoretical analysis of Share market Price formation driven by accounting and market structures. Interacting heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of Share-issuing entity. Information set available to Share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. From one side, accounting system provides collective signal of fundamental information; from another side, Price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate Share market Prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting regimes (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on Share market Price dynamics; and the "value relevance" of accounting information and its role in the formation of Share market Prices over time.This numerical statistical analysis contributes to shed light on financial stability, market exuberance, accruals accounting anomalies and fundamental analysis.

Michelle M Arthur - One of the best experts on this subject based on the ideXlab platform.

Hua Zhang - One of the best experts on this subject based on the ideXlab platform.

  • Share Price performance following actual Share repurchases
    Journal of Banking and Finance, 2005
    Co-Authors: Hua Zhang
    Abstract:

    Abstract Using unique actual daily Share repurchase data from Hong Kong, this paper investigates Share Price performance surrounding and following actual Share repurchases. It is found that repurchasing firms buy back Shares following Price drops, suggesting that they behave opportunistically when implementing actual Share repurchases. On average, the initial 3-day market response to actual repurchases is about 0.43%. Repurchasing firms do not seem to exhibit superior abnormal performance over long horizons when they make actual Share repurchases. However, the Price performance of repurchasing firms varies across firm size and market–book value ratios, and shows a clear and consistent pattern. The market responds the most favorably to repurchases that are made by small and value (high book-to-market value) firms. Over a long horizon, there is some evidence that repurchases made by value firms show superior performance. The three-year buy-and-hold abnormal return, which is measured against a portfolio of control firms that are matched by size and book-to-market value ratios, is over 20%. At least, repurchases made by high book-to-market value firms, for which undervaluation is more likely to occur, can benefit long-term Shareholders.

  • Share Price performance following actual Share repurchases
    Social Science Research Network, 2002
    Co-Authors: Hua Zhang
    Abstract:

    Using actual Share repurchase data from Hong Kong, this paper investigates Share Price performance following actual Share repurchases. On average, repurchasing firms do not exhibit superior abnormal performance either initially or over long horizons when they make actual Share repurchases. However, the Price performance of repurchasing firms varies across firm size and market-book value ratios, and shows a clear and consistent pattern. The market responds the most favorably to repurchases that are made by small and value (high book-to-market value) firms. Over a long horizon, there is strong evidence that managers of value firms can deliver superior performance to long-term Shareholders. The three-year buy-and-hold abnormal return, which is measured against a portfolio of control firms that are matched by size and book-to-market value ratios, is over 20%. At least, repurchases made by high book-to-market value firms, for which undervaluation is more likely to occur, can benefit long-term Shareholders.

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