Reading preferences of short sellers: Evidence from annual reports |
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Abstract Using textual analysis, we investigate whether the short sellers read and learn from annual reports by focus on the daily abnormal shorting volume and the abnormal stock returns from 2009 to 2017. We find that textual variables do predict the abnormal shorting volume. However, positive relationship between abnormal shorting volume and abnormal stock returns suggests that short sellers are unable to outperform the market by incorporate the textual information into their shorting activities. We further find role of accounting quality for short sellers used from annual reports. Finally, we find that some textual variables can predict future stock returns from 4-day to 1-year. |
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Citations and Usefulness of Impact Factors
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Abstract Citation is a proper way for scholars to acknowledge their source of information. Impact factor (IF) is an index to evaluate the performance of a journal based on the number of citations which it has received in selected publication outlets. Often times, IF is used by researchers to determine the targeting outlets for their manuscripts, and also by institutions as an indicator to rank research journals. Despite the popularity of using IF as a performance indicator for academic journals, the concern on its accuracy and objectivity still remains. This presentation will comprehensively discuss the issues related to citations, usefulness and accuracy of impact factors, specifically for tourism journals. |
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Short Biography Prof. Rob Law, Ph.D., CHE, obtained his academic degrees in economics and computer science from Canadian universities and now works as a full Professor of Technology Management in the School of Hotel and Tourism Management, at Hong Kong Polytechnic University. His research interests are in tourism development, information management and technology applications. As one of the world’s top cited and most prolific scholars in the field, Prof. Law has edited four books and published hundreds of research articles in first-tier research journals. As of March 2018, his publications have received more than 22,000 citations, and his h-index and i10-index are 71 and 268 respectively. In addition, Prof. Law serves different roles for more than 160 academic journals, and has been a chair or committee member of more than 150 international conferences. |
Estimating Willingness to Pay Air Passenger Duties
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Abstract Carbon taxation on air travellers has been widely considered an effective way of offsetting environmental externalities and managing tourist flows. Despite its popularity, research investigating travellers’ willingness to pay (WTP) such taxes remains scant. Using air passenger duty (APD) levied by the UK government, this study estimates UK outbound travellers’ willingness to pay (WTP) and further derives the demand curves under six (2 × 3) trip scenarios formed based on two flight classes and three distances. The contingent valuation method is adopted to elicit the travellers’ WTP. A total of 2,002 responses were collected via an on-line survey. Comparative analysis and hierarchical linear modelling reveal that; first, travellers are willing to pay more APD for business class and long-haul trips and; second, all of the demand curves are downward sloping with increasing elasticities. |
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Short Biography Professor Song has a strong background in economics. His main research area is tourism economics with a particular focus on tourism demand modelling and forecasting. He was educated both in China and the UK and has extensive research and consultancy experiences in areas such as foreign direct investment (FDI) in China and economic issues related to China’s tourism sector. |
Emerging trends in China Tourism
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Abstract China is the fastest growing outbound tourism market globally. From humble beginnings 20 years ago, when fewer than six million Chinese tourists travelled internationally, in 2016 more than 136 million international person trips were recorded, with projections that by 2020, some 200 million Chinese will travel internationally. Not only that, but they are big spenders, with total expenditure reaching US$261 billion in 2016, or 21% of all tourism spending globally. |
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Short Biography Prof. McKercher is full professor in the School of Hotel and Tourism Management at Hong Kong Polytechnic University. He is a highly productive researcher with many good publications appearing in international journals in the fields of tourism and hospitality. He is an editorial board member or/& regional editor for several top tourism journals. |
On the Expected Earnings Hypothesis Explanation of the Aggregate Returns-Earnings Association Puzzle
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| I provide strong evidence supporting the largely underappreciated expected earnings hypothesis for the negative aggregate returns-earnings association. Consistent with Sadka and Sadka (2009) and Choi, Kalay, and Sadka (2016), I show that this negative association is explained by the strong predictability of aggregate earnings changes and a negative correlation between aggregate returns and expected aggregate earnings changes. I build a powerful forecasting model for aggregate earnings changes by combining a dynamic factor model and a mixed data sampling regression that incorporates the lags of aggregate earnings changes and rich macroeconomic variables. I decompose aggregate earnings changes into an expected component and an unexpected component. Aggregate returns are shown to be significantly negatively correlated with the expected component and insignificantly correlated with the unexpected component of aggregate earnings changes. I also shed light on the new predictive information about future macroeconomic activities contained in aggregate earnings changes. |
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| Prof Lai obtained his Ph.D. degree in Eonomics from the University of Toronto, and now works as an Associate Professor of Economics at the School of Accounting and Finance, Hong Kong Polytechnic University. His research interests are in International Trade, Macroeconomic Forecasting, Applied Econometrics, and the Chinese Economy. He publishes at top journals such as Review of Economics and Statistics, Journal of International Economics, World development, and Journal of Development Economics. |
The GATT/WTO Welfare Effects: 1950-2005
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| This paper evaluates the welfare effects of the GATT/WTO for 176 countries during 1950-2005, based on three representative quantitative trade models of Anderson and van Wincoop (2003), Krugman (1980) and Melitz (2003). They imply different quantitative welfare effects in general setups (with intermediates). The effect of GATT/WTO membership on welfare, trade flows, mass of firm entrants, outward and inward multilateral resistance, wages and production cost are estimated for each country in every 5 year interval. The benchmark AvW estimates indicate significant welfare gains for GATT/WTO members and the gains tend to increase over years (3.80% in 1950 and 6.49% in 2005 for the median member). Similarly, the ex-ante welfare gains had all nonmembers joined the GATT/WTO are substantial (9.19% in 1950 and 22.69% in 2005 for the median nonmember). The estimates also suggest a systematic larger benefit for smaller countries to join the GATT/WTO. The Krugman (1980) and Melitz (2003) frameworks tend to imply larger welfare effects due to the extra margin of adjustment in firm entry. The results are overall confirmative of the large welfare gains created by the GATT/WTO system at the global level and across more than five decades of its history. |
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Publishing in Research Journals
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| Publication in research journals is always one of the most important research related activities. Yet, how to write publishable research papers for reputable journals can be mysterious to young scholars. This seminar analyzes the problems that are often found from submissions to research journals where rejection is recommended. In general, weak papers always have multiple limitations. Overall, communication problems are more often than technical problems. |
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| Prof. Rob Law, Ph.D., CHE, obtained his academic degrees in computer science and economics from Canadian universities and now is a full Professor of Technology Management at the School of Hotel and Tourism Management, the Hong Kong Polytechnic University. His research interests are in information management and technology applications. He is a highly productive researcher recognized as one of the world’s top cited and most prolific scholars in the field, and he has received more than 50 research-related awards and honors. |
Pareto Stable Matching Mechanisms with Application to Course Allocation
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| We study a many-to-many matching problem with ties motivated by the course allocation system in many universities. The complications are due to the simultaneous presence of multi-unit capacities and weak preferences, either of which could make a stable matching not necessarily Pareto efficient. We propose two new competing Pareto stable matching mechanisms known as the Pareto-improving draft and dictatorship mechanisms. These two mechanisms, while both have desirable properties in terms of efficiency and fairness, bring about a tradeoff between strategy proofness and non-callousness. Using unique student-course matching data, our simulations show that both mechanisms significantly improve the overall efficiency and welfare of students, with the draft mechanism outperforming the dictatorship mechanism despite its non-strategyproofness for the students. |
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| Mengling Li is an Assistant Professor at School of Economics (SOE) & Wang Yanan Institute for Studies in Economics (WISE), Xiamen University. She obtained Ph.D. in 2015 at Nanyang Technological University under the Nanyang President’s Graduate Scholarship. She received her B.Sc. in Mathematics & Economics with First Class Honors from NTU in 2011. In general, she likes to apply economic theory to understand the mechanisms underlying various marketplaces and design better mechanisms to improve social welfare. Her research interests include Market Design, Game Theory and Financial Economics. Her papers are published in journals such as Journal of Economic Dynamics and Control, World Economy, Economic Modelling and Applied Economics. She has also passed all three Chartered Financial Analyst (CFA) exams on first attempt. She was a recipient of the Chinese Government Award for Outstanding Self-Financed Students Abroad in 2013. |
Cash Hurts Saving Behavior but Prevention Focus Saves It
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Rod is Associate Professor of Marketing, Ivey Business School, Western University. He used to be an Assistant Professor of Marketing, Hong Kong University of Science & Technology from 2008 to 2015. His research interests include: Behavioral psychology as it relates to consumer welfare (e.g., financial decision-making; brand preferences and product choice; minorities and advertising; hormones, self-esteem). He is very productive in research. He has four publications at the Journal of Consumer Research and also other publications at journals such as International Journal of Research in Marketing, Journal of Consumer Psychology. |
Did ECB Liquidity Injections Help The Real Economy?
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| In an attempt to boost the Eurozone economy, the European Central Bank (ECB) launched a plethora of unconventional monetary interventions since 2010. While the series of Longer-Term Refinancing Operations (LTROs) was among the most prominent of these, their efficacy, measured by their impact on corporate policies in the Eurozone, is an important but unanswered issue. We analyze a large panel of individual corporations across countries in the Eurozone, and find that non-financial corporations issued more long-term debt and hoarded more cash following the ECB liquidity injections. However, this increase in corporate liquidity was not employed in a productive manner, as corporations generally did not subsequently increase their investments or employment, regardless of their banking connections. The exceptions to this weak response were corporations in countries with corresponding accommodative fiscal policies such as tax cuts. |
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Dr. Wang obtained her PhD degree from HKU in 2012 and joined University of Warwick as an assistant professor. Her major research area is in credit default swaps, and she has publications in JFE, RFS, and several other high-quality publications. |
Unobserved Heterogeneity in Matching Games with an Application to Venture Capital
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Transportation Infrastructure and Market Access: Firm Level Evidence from China
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Antidumping and Firm Product Adjustment: Evidence from Chinese Exporters
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| Using linked firm-transaction data from Chinese Annual Survey of Manufacturing Firms and China Customs Database during the period 2000-2009, this paper examines the effect of antidumping measure on Chinese exporters’ product adjustment. In response to antidumping measure, exporters tend to contract the export product scope and skew the product mix to better performing products. Through decomposition of antidumping effect, it is found that accompanied by the contraction and exit of incumbents and exiters, entrants with sufficient competence choose to expand and enter the market of affected products. |
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Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
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| We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as information events, we show that AIV is positively associated with abnormal insider trading, short selling, and institutional trading during pre-earnings-announcement periods. We find that stocks with high AIV earn economically and statistically larger future returns than stocks with low AIV. Taken together, our findings support the notion that information risk is priced. |
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Self-fulfilling Fire Sales – Fragility of Collateralised Short-term Debt Markets
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| This paper shows that collateralised short-term debt, although optimal to reduce borrower moral hazard, can lead to systemic runs in the debt markets and create endogenous aggregate risk. This is because of a feedback loop between the risktaking behavior of borrowers (e.g. shadow banks) and the expected price of seized collateral in the secondary market. When the fire-sale price of collateral is expected to be low, lenders demand more collateral (margin) and higher debt yields (repo rates), making it more attractive for borrowers to engage in risk-taking ex-ante (due to limited liability). The riskier pool of projects will lead to more liquidation ex-post and hence more seized collateral to be sold off, justifying the expectation of low firesale price. I show that a government commitment to engage in asset purchases in a crisis can improve welfare, and that a ban on the exemption from automatic stay in repo finance can worsen borrower moral hazard and lead to more fire sales. |
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The Taxing Deed of Globalization
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| We identify the existence of a causal link between globalization and changes in countries’ relative income tax schedules, and quantify the magnitude of the effect that the former has on the latter. We use a novel instrument for globalization – pure trade costs – based on insights from new trade theory general equilibrium models to quantify the effect of globalization on worker-specific labor income tax rates and social security contributions. We find that globalization made governments seek additional revenues in employer-based taxes. This was especially pronounced in OECD countries where in 1980-1993, governments raised additional revenues by increasing progressivity of taxes. In 1994- 2007, however, globalization led to higher tax schedules for workers in the low-, middle- and upper-middle income groups but not for the rich. We suggest that this could be explained by increased mobility of the high-skilled workers. |
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