Terry Walter - Academia.edu (original) (raw)
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Papers by Terry Walter
Accounting and finance, Nov 1, 1995
Social Science Research Network, 2007
Social Science Research Network, 2012
Social Science Research Network, 2008
ABSTRACT Uncertainty about firms' future payoffs is the dominant factor in explaining... more ABSTRACT Uncertainty about firms' future payoffs is the dominant factor in explaining stock return volatility at the firm level. However, summary financial statement numbers such as earnings only provide a limited measure of expected payoffs, as they do not reflect firms' fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms' fundamentals contained in analysts' forecasts (which we label as "non-accounting information") is expected to influence future stock return volatility. When combined with Ohlson's (1995) linear information dynamics, the accounting version of the Campbell-Shiller model (Campbell and Shiller 1988a, 1988b; Vuolteenaho 2002) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results highlight the relevance of information in analysts' forecasts beyond what is contained in the current financial statements.
Social Science Research Network, 2010
Social Science Research Network, 2008
Social Science Research Network, 2003
ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Do... more ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.
Social Science Research Network, 2010
Social Science Research Network, 2005
Pacific-basin Finance Journal, Apr 1, 2004
Social Science Research Network, 2008
Social Science Research Network, 2012
Social Science Research Network, 2016
Australian Journal of Management, Dec 1, 2010
Social Science Research Network, 2000
Australian Journal of Management, Apr 5, 2012
Social Science Research Network, 2008
ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acqui... more ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acquisition (M&A) announcement predicts whether the acquirer and the target complete the deal. Using a sample of Australian mergers from 1992 to September 2006, we find that the relationship between the probability of deal completion and the market reaction to the announcement, as manifested in the acquirer returns, is affected by investors' consensus. The higher the consensus, the more likely completion is, given a positive market reaction for the acquirer. This effect is observed with our four proxies of consensus / opinion divergence: turnover, bid-ask spread, total return volatility and order imbalance.
Australian Journal of Management, Oct 23, 2013
Review of Accounting Studies, Jan 8, 2014
Accounting and finance, Nov 1, 1995
Social Science Research Network, 2007
Social Science Research Network, 2012
Social Science Research Network, 2008
ABSTRACT Uncertainty about firms' future payoffs is the dominant factor in explaining... more ABSTRACT Uncertainty about firms' future payoffs is the dominant factor in explaining stock return volatility at the firm level. However, summary financial statement numbers such as earnings only provide a limited measure of expected payoffs, as they do not reflect firms' fundamentals on a timely basis. We demonstrate theoretically and empirically that information about firms' fundamentals contained in analysts' forecasts (which we label as "non-accounting information") is expected to influence future stock return volatility. When combined with Ohlson's (1995) linear information dynamics, the accounting version of the Campbell-Shiller model (Campbell and Shiller 1988a, 1988b; Vuolteenaho 2002) implies that if current non-accounting information is more uncertain, then future stock returns are expected to be more volatile. Our empirical evidence supports the theoretical predictions, and the results are valid for measures of both systematic and idiosyncratic volatility. Additional analysis yields some evidence that both favourable and unfavourable news from non-accounting information increases future stock return volatility. Overall, our results highlight the relevance of information in analysts' forecasts beyond what is contained in the current financial statements.
Social Science Research Network, 2010
Social Science Research Network, 2008
Social Science Research Network, 2003
ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Do... more ABSTRACT This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.
Social Science Research Network, 2010
Social Science Research Network, 2005
Pacific-basin Finance Journal, Apr 1, 2004
Social Science Research Network, 2008
Social Science Research Network, 2012
Social Science Research Network, 2016
Australian Journal of Management, Dec 1, 2010
Social Science Research Network, 2000
Australian Journal of Management, Apr 5, 2012
Social Science Research Network, 2008
ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acqui... more ABSTRACT Recent research gives support to the idea that the market reaction to a merger and acquisition (M&A) announcement predicts whether the acquirer and the target complete the deal. Using a sample of Australian mergers from 1992 to September 2006, we find that the relationship between the probability of deal completion and the market reaction to the announcement, as manifested in the acquirer returns, is affected by investors' consensus. The higher the consensus, the more likely completion is, given a positive market reaction for the acquirer. This effect is observed with our four proxies of consensus / opinion divergence: turnover, bid-ask spread, total return volatility and order imbalance.
Australian Journal of Management, Oct 23, 2013
Review of Accounting Studies, Jan 8, 2014