With the implementation of NASD Rule 2711 in 2002, each brokerage firm is now required to publicly disseminate the distribution of stock ratings in each research report. Hence, this paper investigates the relationship between the percentage of buy recommendations and probability of deciding to...

This study compares conventional linear and nonlinear accrual models to evaluate their ability to predict earnings management when applied to firm experiencing different performance levels. Linear models, which ignore the nonlinear relation between performance and accruals, result in measurement...

This study extends the literature of open-market share repurchases by detailing the role of the agency problem on the information content of repurchase announcements, the actual buyback, and the subsequent operating performance of repurchasing firms. It uses management ownership to measure the...

This paper estimates the Value-at-Risk (VaR) on returns of stock market indexes including Dow Jones, Nikkei, Frankfurt Commerzbank index, and FTSE via Markov Switching ARCH (SWARCH) models. It is conjectured that structural changes contribute to non-normality in stock return distributions....

This study examines the performance of Markov-switching model on business cycle by applying the model to various economies. Specifically, three comparison groups are used: (1) the USA and Japan serving as the representatives for the industrialized economies (or IEs hereafter); (2) Taiwan and...

This study examines whether the Taiwanese regulation requiring disclosure of earnings forecasts in the IPOs resulted in disclosure of more optimistic earnings forecasts and whether the forecast error was reduced more by manipulating the reported earnings rather than revising the earnings...

This study adopts Hamilton and Susmel's (1994) Markov-switching ARCH (hereafter SWARCH) model to examine the volatility of the valued-weighted Taiwan Stock Index (hereafter TAIEX) returns. We also conduct sensitivity tests on comparison observations of Dow Jones and Nikkei stock indices. Our...

This study identifies a factor that leads to a bias in estimating the probability of informed trading (PIN), a widely-used microstructure measure. It is shown that, along with the numerical maximization of the likelihood function for PIN, the floating-point exception (i.e., overflow or...