Pre-adoption market reaction to IFRS 9:a cross-country event-study

We are the first to examine the market reaction to 13 announcement dates related to IFRS 9 for over 5400 European listed firms. We find an overall positive reaction to the introduction of IFRS 9. The regulation is particularly beneficial to shareholders of firms in countries with weaker rule of law and a smaller divergence between local GAAP and IAS 39. Bootstrap simulations rule out the possibility that sampling error or data mining are driving our findings. Our main findings are also robust to confounding events and the extent of the media coverage for each event. These results suggest that investors perceive the new regulation as shareholder-wealth enhancing and support the view that stronger comparability across accounting standards of European firms is beneficial to international investors and outweighs the costs of poorer firm-specific information.

The effect of timeliness and credit ratings on the information content of earnings announcements

Abstract: This paper investigates the impact of timeliness and credit ratings on the information content of the earnings announcements of Greek listed firms from 2001 to 2008. Using the classical event study methodology and regression analysis, we find that firms tend to release good news on time and are inclined to delay the release of bad news. We also provide evidence that the level of corporate risk differentiates the information content of earnings according to the credit rating category. Specifically, firms displaying high creditworthiness enjoy positive excess returns on earnings announcement dates. In contrast, firms with low creditworthiness undergo significant share price erosions on earnings announcement days. We also observe a substitution effect between timeliness and credit ratings in relation to the information content of earnings announcements. Specifically, we find that as the credit category of earnings-announcing firms improves, the informational role of timeliness is mitigated.

Can we predict dividend cuts?

I examine the predictability of dividend cuts based on the time interval between dividend announcement dates using a large dataset of US firms from 1971 to 2014. The longer the time interval between dividend announcements, the larger the probability of a cut in the dividend per share, consistent with the view that firms delay the release of bad news.

A közép-kelet-európai bankfúziók eredményessége (The success of the bank mergers in Central Eastern Europe)

Az elmúlt években a nagy európai bankcsoportok egyre több közép-kelet-európai bankot vásároltak fel. Tanulmányunkban a bankfúziók értékteremtő hatását részvényesi szemmel elemezzük. A közép-kelet-európai régióban tevékenykedő hét legnagyobb bankcsoport 2000 és 2008 közötti akvizíciós tranzakcióit az eseményelemzés módszerével vizsgáljuk. Úgy tűnik, a részvényesek összességében értékelik a bankcsoportok akvizíciós törekvéseit: a fúziók kicsit több mint felében pozitív a kumulált abnormális hozam, és enyhén pozitív az összes esemény abnormális hozamának átlaga is. Számításaink során elsőként az egyes bankcsoportok felvásárlási stratégiáját értékeljük. A felvásárlás bejelentése körüli háromnapos időintervallumot alapul véve, a Raiffeisen és az OTP stratégiája tekinthető a legsikeresebbnek, míg az Erste felvásárlásai a legkevésbé eredményesnek. Ezt követően rávilágítunk arra, hogy eltérő befektetői szándékból ugyan, de mind a legmagasabb, mind a legalacsonyabb értékű ügyletek esetében a pozitív abnormális hozamú fúziók vannak túlsúlyban. Végezetül megállapítjuk, hogy az országhatáron átívelő ügyletek befektetői megítélése nem rosszabb az országhatáron belüli tranzakciókénál. /===/ The big European banking groups have been buying up more and more banks in Central Eastern Europe. The study analyses the value-enhancing effects of the mergers from the shareholder’s angle by examining by occurrence analysis methods the Central East European acquisition transactions of the seven biggest banking groups between 2000 and 2008. The shareholders as a whole seem to appreciate the acquisition activity of the banks: cumulative abnormal yield is positive in over half the mergers and average abnormal yield of all occurrences is mildly positive as well. The authors evaluate first the acquisition strategies of each banking group. Based on a three-day period round the acquisition announcement, Raiffeisen and OTP seem to have the most successful strategies and Erste the least successful. Light is then shed on investment intentions in each case, but mergers with a positive abnormal yield predominate among the highest and the lowest value transactions. Finally, the investor evaluation of cross-border transactions is no worse than for domestic ones.

Kiigazítás recesszió nélkül. Esettanulmány a magyar stabilizációról = Adjustment without recession: A Case Study of Hungarian Stabilization

1995. március 12-én a magyar kormány és a központi bank szigorú kiigazítási és stabilizációs programot hirdetett meg. A cikk az első eredmények számbavételére tesz kísérletet. A program meghirdetése előtt Magyarország két egymást követő év- ben hatalmas fizetésimérleg-hiányt mutatott fel, és nemzetközi megítélése romlani kezdett. A program radikális intézkedései nyomán elkerülhetővé vált a mexikói vál- sághoz hasonló pénzügyi katasztrófa. Sok makrogazdasági mutató jól érzékelhető javulást jelez: lényegesen csökkent a kereskedelmi mérleg és a folyó fizetési mérleg hiánya, a költségvetés elsődleges egyenlege pozitív lett. Az ilyesféle stabilizációs programokat rendszerint súlyos visszaesés és a munkanélküliség nagy növekedése kíséri. Magyarország elkerülte ezeket a mellékhatásokat: a GDP drasztikus vissza- esés helyett valamelyest tovább növekedett, és a munkanélküliség változatlan ma- radt. A javulásnak nagy ára volt: az életszínvonal erőteljes csökkenése, az infláció felgyorsulása, bár a magyarországi infláció még mindig a kézben tartott, mérsékelt infláció sávjában maradt. A cikk ismerteti a program heterodox módszereit: 1. nagy leértékelés, az előre meghirdetett csúszó árfolyam rezsimjének bevezetése, valamint ideiglenes import- vámpótlék kivetése; 2. határozott jövedelempolitika, amely 12 százalékos reálbércsök- kenést kényszerített ki; 3. fiskális intézkedések, köztük jóléti jogosultságok csök- kentése (a program meghirdetése előtt ezek a jogosultságok tabuk voltak); 4. a hitel- kínálat átcsoportosítása a vállalati szektor javára, a jövedelmezőség növekedése; 5. feszített (bár nem mértéktelenül feszített) monetáris politika, amely lehetővé tette a sikeres vállalatok expanzióját; 6. a privatizáció felgyorsítása, nagy és sikeres lépé- sek egyes kulcsszektorok (energia, telekommunikáció) privatizációjában. Végezetül a tanulmány óva int a túlzott magabiztosságtól és felhívja a figyelmet a potenciális veszélyekre. A makrogazdasági javulás még törékeny. A magyar fejlődés legbiztatóbb sajátossága a termelékenység erőteljes és folyamatos növekedése. / === / On March 12, 1995 Hungary s government and central bank announced a tough program of adjustment and stabilization. This study is an attempt to asses the first results. Before the announcement of the program Hungary had a huge current account deficit for two consecutive years, and her international reputation started to decline. The program s radical measures made it possible to avoid a Mexico-style financial catastrophe. Many macroeconomic indicators show tangible improvement: the trade deficit and the deficit on the current account have been reduced significantly, the primary budget shifted to surplus. These kinds of adjustment programs are usually associated with deep recession and a large increase of unemployment. Hungary avoided these adverse side-effects: GDP instead of a drastic decline, continued to grow somewhat, and unemployment remained unchanged. There was a high price for the improvement: a sharp decline in the standard of living, and an acceleration of inflation, although Hungary is still in the range of controlled, moderate inflation. The paper describes the heterodox instruments of the program: (1) large devaluation, followed by a new exchange rate regime of pre-announced crawling peg, and a temporary import surcharge, (2) energetic income policy, enforcing a 12% cut in real wages; (3) fiscal measures, including cuts in welfare entitlements. That happened for the first time: before the program entitlements had been regarded as taboo ; (4) reallocation of credit supply in favor of the enterprise sector; increase of profitability; (5) tight (but not excessively tight) monetary policy, allowing the expansion of successful private busi- ness; (6) acceleration of privatisation, including large and successful steps in the privatisation of some key sectors (energy, telecommunication). Finally the paper warns against excessive self- confidence and draws the attention to potential dangers. The macroeconomic improvement is still fragile. The most reassuring feature of Hungary s development is the impressive and persistent improvement of productivity.

Types and amplitudes of touch as reinforcing stimuli in operant conditioning of infant behavior

The reinforcing effects of diverse tactile stimuli were examined in this study. The study had two purposes. First, this study expanded on the Pelaez-Nogueras, Field, Gewirtz, Cigales, Gonzalez, Sanchez and Clasky (1997) finding that stroking increases infants' gaze duration, and smiling and vocalization frequencies more than tickling/poking. Instead of presenting poking and tickling as a single stimulus combination, this study separated poking and tickling in order to measure the effects of each component separately. Further, the effects of poking, tickling/tapping and stroking intensity (i.e., tactile pressure) were compared by having both mild and intense conditions. Second, this study compared the reinforcing efficacy of mother-delivered tactile stimulation to that of infant-originated tactile exploration. Twelve infants from 2- to 5-months of age participated in this study. The experiment was conducted using a repeated measures A-B-A-C-A-D reversal design. The A phases signified baselines and reversals. The B, C, and D phases consisted of alternating treatments (either mild stroking vs. mild poking vs. mild tickling/tapping, intense stroking vs. intense poking vs. intense tickling/tapping, or mother-delivered tactile stimulation vs. infant-originated tactile exploration). Three experimental hypotheses were assessed: (1) infant leg kick rate would be greater when it produced stroking or tickling/tapping (presumptive positive reinforcers), than when it produced poking (a possible punisher), regardless of tactile pressure; (2) infant leg kick rate would be greater when it produced a more intense level of stroking or tickling/tapping and lower when it produced intense poking compared to mild poking; (3) infant leg-kick rate would be greater for mother-delivered tactile stimulation than for infant-originated tactile exploration. Visual inspection and inferential statistical methods were used to analyze the results. The data supported the first two hypotheses. Mixed support emerged for the third hypothesis. This study made several important contributions to the field of psychology. First, this was the first study to quantify the pressure of tactile stimulation, via a pressure meter developed by the researcher. Additionally, the results of this study yielded valuable information about the effects of different modalities of touch. ^

Three essays on the interrelationships among financial restatements, corporate governance, market microstructure and the firm's rate of return

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature did not differentiate between single and multiple restatements announcements. This research investigated the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm’s rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examined the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigated how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results supported the non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examined the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examined the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supported the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examined the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis showed that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Contingency, contiguity, and development: The ontogeny of contingency learning in northern bobwhite (Colinus virginianus) chicks

The purpose of this study was to investigate the ontogeny of auditory learning via operant contingency in Northern bobwhite (Colinus virginianus ) hatchlings and possible interaction between attention, orienting and learning during early development. Chicks received individual 5 min training sessions in which they received a playback of a bobwhite maternal call at a single delay following each vocalization they emitted. Playback was either from a single randomly chosen speaker or switched back and forth semi-randomly between two speakers during training. Chicks were tested 24 hrs later in a simultaneous choice test between the familiar and an unfamiliar maternal call. It was found that day-old chicks showed a significant time-specific decrement in auditory learning when trained with delays in the range of 470–910 ms between their vocalizations and call playback only when training involved two speakers. Two-day-old birds showed an even more sustained disruption of learning than day-old chicks, whereas three-day-old chicks showed a pattern of intermittent interference with their learning when trained at such delays. A similar but less severe decrement in auditory learning was found when chicks were provided with motor training in which playback was contingent upon chicks entering and exiting one of two colored squares placed on the floor of the arena. Chicks provided with playback of the call at randomly chosen delays each time they vocalized exhibited large fluctuations in their responsivity to the auditory stimulus as a function of delay—fluctuations which were correlated significantly with measures of chick learning, particularly at two-days-of-age. When playback was limited to a single location chicks no longer showed a time-specific disruption of their learning of the auditory stimulus. Sequential analyses revealed several patterns suggesting that an attentional process similar or analogous to attentional blink may have contributed both to the observed fluctuations in chick responsivity to the auditory stimulus as a function of delay and to the time-specific learning deficit shown by chicks provided with two-speaker training. The study highlights that learning can be substantially modulated by processes of orienting and attention and has a number of important implications for research within cognitive neuroscience, animal behavior and learning.

Using sonic enhancement to augment non-visual tabular navigation

More information is now readily available to computer users than at any time in human history; however, much of this information is often inaccessible to people with blindness or low-vision, for whom information must be presented non-visually. Currently, screen readers are able to verbalize on-screen text using text-to-speech (TTS) synthesis; however, much of this vocalization is inadequate for browsing the Internet. An auditory interface that incorporates auditory-spatial orientation was created and tested. For information that can be structured as a two-dimensional table, links can be semantically grouped as cells in a row within an auditory table, which provides a consistent structure for auditory navigation. An auditory display prototype was tested.^ Sixteen legally blind subjects participated in this research study. Results demonstrated that stereo panning was an effective technique for audio-spatially orienting non-visual navigation in a five-row, six-column HTML table as compared to a centered, stationary synthesized voice. These results were based on measuring the time- to-target (TTT), or the amount of time elapsed from the first prompting to the selection of each tabular link. Preliminary analysis of the TTT values recorded during the experiment showed that the populations did not conform to the ANOVA requirements of normality and equality of variances. Therefore, the data were transformed using the natural logarithm. The repeated-measures two-factor ANOVA results show that the logarithmically-transformed TTTs were significantly affected by the tonal variation method, F(1,15) = 6.194, p= 0.025. Similarly, the results show that the logarithmically transformed TTTs were marginally affected by the stereo spatialization method, F(1,15) = 4.240, p=0.057. The results show that the logarithmically transformed TTTs were not significantly affected by the interaction of both methods, F(1,15) = 1.381, p=0.258. These results suggest that some confusion may be caused in the subject when employing both of these methods simultaneously. The significant effect of tonal variation indicates that the effect is actually increasing the average TTT. In other words, the presence of preceding tones increases task completion time on average. The marginally-significant effect of stereo spatialization decreases the average log(TTT) from 2.405 to 2.264.^

Three Essays on the Interrelationships Among Financial Restatements, Corporate Governance, Market Microstructure and the Firm's Rate of Return

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature does not differentiate between single and multiple restatements announcements. This research investigates the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm's rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examines the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigates how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results support for non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examines the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examines the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supports the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examines the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis shows that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Cultura da representação de arquitetura: concursos de projeto, Brasil 2008-2011

This thesis deepens the issues pointed out in our master's dissertation (2009) and the following texts about architectural projects representation presented in architectural competitions. It aims to identify the representation culture of projects from architectural competitions. Were there common ways to argue among successful architects? Which were them? How extent the various arguments are consistent or what is the discursive coherent? Which interlocutors were privileged in argumentation, the requesting ones or those that evaluate the proposals? To answer these questions, we began from a correlation suggested by TOSTRUP (1999) among some drawings – plans, sections, façades, perspective, details or texts - and emphasized aspects in a project argumentation (place, zoning, environmental comfort, energy efficiency, etc.). On the top of this, we add functions that DURAND (2003) indicates relevant to architectural representations: conception, communication or seduction and execution. Other writers, such as COLLINS (1971), COLLYER (2004), MOON (2005), BANDEIRA (2007), and OXMAN (2008) in different ways, offered us subsidies to relate kinds of architectural representations with specific functions or strategies of persuasion. Thus, for 08 Brazilian competitions, occurred between 2008 – 2011, we analyzed the requests from the brief of the official announcement, the evaluations of the jurors, and the boards of the winning designs – graphical and textual representations. That allowed us to observe a representation culture predominantly based on perspectives and plans, even been articulated in different arguments. This may emphasize since objective aspects as building execution to appeals of mere visual seduction. In what regards to the audience, even when the official announcement resembled to one another, the winners’ argumentation were different, suggesting a possible jury’s privilege as an interlocutor.

When wolves cry: long distance calling by wild maned wolves

The maned wolf (Chrysocyon brachyurus Illiger 1815) is the biggest canid in South America and it is considered a “near threatened” species by IUCN. Because of its nocturnal, territorial and solitary habits, there are still many understudied aspects of their behavior in natural environments, including acoustic communication. In its vocal repertoire, the wolf presents a longdistance call named “roar-bark” which, according to literature, functions for spacing maintenance between individuals and/or communication between members of the reproductive pair inside the territory. In this context, this study aimed: 1) to compare four methods for detecting maned wolf’s roar-barks in recordings made in a natural environment, in order to elect the most efficient one for our project; 2) to understand the night emission pattern of these vocalizations, verifying possible weather and moon phases influences in roarbark’s emission rates; and 3) to test Passive Acoustic Monitoring as a tool to identify the presence of maned wolves in a natural environment. The study area was the Serra da Canastra National Park (Minas Gerais, Brazil), where autonomous recorders were used for sound acquisition, recording all night (from 06pm to 06am) during five days in December/2013 and every day from April to July/2014. Roar-barks’ detection methods were tested and compared regarding time needed to analyze files, number of false positives and number of correctly identified calls. The mixed method (XBAT + manual) was the most efficient one, finding 100% of vocalizations in almost half of the time the manual method did, being chosen for our data analysis. By studying roarbarks’ temporal variation we verified that the wolves vocalize more in the early hours of the evening, suggesting an important social function for those calls at the beginning of its period of most intense activity. Average wind speed negatively influenced vocalization rate, which may indicate lower sound reception of recorders or a change in behavioral patterns of wolves in high speed wind conditions. A better understanding of seasonal variation of maned wolves’ vocal activity is required, but our study already shows that it is possible to detect behavioral patterns of wild animals only by sound, validating PAM as a tool in this species’ conservation.

Detection and Classification of Whale Acoustic Signals

This dissertation focuses on two vital challenges in relation to whale acoustic signals: detection and classification.

In detection, we evaluated the influence of the uncertain ocean environment on the spectrogram-based detector, and derived the likelihood ratio of the proposed Short Time Fourier Transform detector. Experimental results showed that the proposed detector outperforms detectors based on the spectrogram. The proposed detector is more sensitive to environmental changes because it includes phase information.

In classification, our focus is on finding a robust and sparse representation of whale vocalizations. Because whale vocalizations can be modeled as polynomial phase signals, we can represent the whale calls by their polynomial phase coefficients. In this dissertation, we used the Weyl transform to capture chirp rate information, and used a two dimensional feature set to represent whale vocalizations globally. Experimental results showed that our Weyl feature set outperforms chirplet coefficients and MFCC (Mel Frequency Cepstral Coefficients) when applied to our collected data.

Since whale vocalizations can be represented by polynomial phase coefficients, it is plausible that the signals lie on a manifold parameterized by these coefficients. We also studied the intrinsic structure of high dimensional whale data by exploiting its geometry. Experimental results showed that nonlinear mappings such as Laplacian Eigenmap and ISOMAP outperform linear mappings such as PCA and MDS, suggesting that the whale acoustic data is nonlinear.

We also explored deep learning algorithms on whale acoustic data. We built each layer as convolutions with either a PCA filter bank (PCANet) or a DCT filter bank (DCTNet). With the DCT filter bank, each layer has different a time-frequency scale representation, and from this, one can extract different physical information. Experimental results showed that our PCANet and DCTNet achieve high classification rate on the whale vocalization data set. The word error rate of the DCTNet feature is similar to the MFSC in speech recognition tasks, suggesting that the convolutional network is able to reveal acoustic content of speech signals.

Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.