Research design issues in grouping-based tests

Lys, Thomas Z.; Sabino, Jowell S.

doi:10.1016/0304-405x(92)90033-t

Cited by 38 publications

(18 citation statements)

References 19 publications

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“…Clearly, two portfolios would be insufficient to estimate a slope. However, using 'too much' portfolios diminishes the power of the Wald test; see Lys and Sabino (1992). From their Figure 1, it follows that if the portfolios contain approximately 25% of the bonds, the power of the test of no relation between the liquidity proxy and the excess yield is maximized.…”

Section: Modelsmentioning

confidence: 99%

Comparing possible proxies of corporate bond liquidity

Houweling¹,

Mentink

Vorst

2005

Journal of Banking & Finance

260

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We consider eight different proxies (issued amount, coupon, listed, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate risk, credit risk, maturity, rating and currency differences between bonds. The null hypothesis that liquidity risk is not priced in our data set of euro corporate bonds is rejected for seven out of eight liquidity proxies. We find significant liquidity premia, ranging from 9 to 24 basis points. A comparison test between liquidity proxies shows limited differences between the proxies. JEL codes:C13, G12

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Section: Modelsmentioning

confidence: 99%

Comparing possible proxies of corporate bond liquidity

Houweling¹,

Mentink

Vorst

2005

Journal of Banking & Finance

260

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“…Similar pictures are drawn for the 50 most volatile stocks as well as the top 10 and 27 percent of stocks in terms of measured volatility. As shown by Lys and Sabino (1992), the power of certain tests is maximized by comparing the mean values in the extreme-ranked groups when each group contains 27% of the sample. As summarized in the first panel of Table 3 Table 3 It does appear that price changes for the most volatile stocks (which are typically displayed in the financial pages of major newspapers) have increased in amplitude, especially during the 1980s and 1990s.…”

Section: The Volatility Of Individual Stocksmentioning

confidence: 99%

“…24 Schwert and Seguin (1990) have shown that the cross-sectional dispersion in betas is correlated This table shows the results of simulations used to determine window lengths and decay rates. Rolling regressions with different weighting schemes are used to estimate volatility on return data generated according to equations (6) and (7).…”

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confidence: 99%

Investigating the Behavior of Idiosyncratic Volatility*

Xu¹,

Malkiel

2003

J BUS

400

144

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This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This trend is not solely attributed to the increasing prominence of the NASDAQ market. We go on to suggest that the idiosyncratic volatility of individual stocks is associated with the degree to which their shares are owned by financial institutions. Finally, we show that idiosyncratic volatility is also positively related to expected earning growth. * This work was supported by the Princeton University Center for Economic Policy Studies Investigating the Behavior of Idiosyncratic Volatility AbstractThis paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This trend is not solely attributed to the increasing prominence of the NASDAQ market. We go on to suggest that the idiosyncratic volatility of individual stocks is associated with the degree to which their shares are owned by financial institutions. Finally, we show that idiosyncratic volatility is also positively related to expected earning growth.

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“…Hedge portfolio is formed with long position in firms in top 27% of scaled earnings changes and short position in firms in bottom 27%. The 27% cutoff is used because it maximizes test power (Lys & Sabino, 1992;Alford et al, 1993). Scaled earnings change is computed as (EPSt -EPSt-1)/Pt-1, where EPSt is earnings per share before extraordinary items for year t and Pt-1 is lagged price.…”

Section: Methodsmentioning

confidence: 99%

The Effect of the SEC’s Accelerated Filing Deadline on Earnings Timeliness

2015

IJEF

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I examine whether the accelerated 10-K filing deadline affects earnings timeliness. The SEC's acceleration of the filing deadline of Form 10-K took effect in 2003. In proposing a new rule, the SEC asserted that the usefulness of the 10-K would increase because of the improved timeliness of the report. On the other hand, opponents claimed that the quality and accuracy of the report could be impaired. I compare timeliness of pre-acceleration period to that of post-acceleration period. Overall, my findings provide little support for the SEC's claim that the accelerated deadline would improve timeliness of periodic reports.

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Research design issues in grouping-based tests

Cited by 38 publications

References 19 publications

Comparing possible proxies of corporate bond liquidity

Comparing possible proxies of corporate bond liquidity

Investigating the Behavior of Idiosyncratic Volatility*

The Effect of the SEC’s Accelerated Filing Deadline on Earnings Timeliness

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