Journal articles: 'Standard and Poor’s'

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Gee, Harold. "Standard & Poor’s Capital IQ NetAdvantage." Charleston Advisor 18, no. 4 (April 1, 2017): 49–52. http://dx.doi.org/10.5260/chara.18.4.49.

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Muglia, Camilla, Luca Santabarbara, and Stefano Grassi. "Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?" Journal of Risk and Financial Management 12, no. 2 (May 31, 2019): 93. http://dx.doi.org/10.3390/jrfm12020093.

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The paper investigates whether Bitcoin is a good predictor of the Standard & Poor’s 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard & Poor’s 500 for the considered sample.

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Smirnov, Veniamin, and Dimitri Volchenkov. "Five Years of Phase Space Dynamics of the Standard & Poor’s 500." Applied Mathematics and Nonlinear Sciences 4, no. 1 (June 28, 2019): 209–22. http://dx.doi.org/10.2478/amns.2019.1.00019.

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AbstractInhomogeneous density of states in a discrete model of Standard & Poor’s 500 phase space leads to inequitable predictability of market events. Most frequent events might be efficiently predicted in the long run as expected from Mean reversion theory. Stocks have different mobility in phase space. Highly mobile stocks are associated with less unsystematic risk. Less mobile stocks might be cast into disfavor almost indefinitely. Relations between information components in Standard & Poor’s 500 phase space resemble of those in unfair coin tossing.

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Cheng, C. S. Agnes, Denton L. Collins, and Henry He Huang. "The market response to the Standard & Poor’s transparency and disclosure rankings." Corporate Ownership and Control 5, no. 2 (2008): 244–55. http://dx.doi.org/10.22495/cocv5i2c2p1.

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This paper investigates whether the Standard & Poors (S&P) transparency and disclosure (T&D) rankings represented new information to the financial markets when the results of the study were released by S&P on October 15, 2002. The S&P T&D rankings report the relative levels of three disclosure dimensions (ownership structure and investor rights, financial transparency and information disclosure, and board and management structure and process) provided by firms in their annual reports (annual report rankings) and complete regulatory filings (composite rankings). The results suggest that the S&P T&D rankings provided new information to the markets on cross-sectional differences in disclosure, and the market responds unfavorably during the event period to firms with large difference in disclosure levels across annual report and other regulatory filings. Further analyses reveal that the results are driven by the subcategory of ownership structure and investor rights.

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Mulugetta, Abraham, Hormoz Movassaghi, and Raquib Zaman. "The influence of standard and poor’s ranking changes on stock price performance." Managerial Finance 28, no. 4 (April 2002): 19–30. http://dx.doi.org/10.1108/03074350210767807.

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Jadid Abdulkadir, Said, Hitham Alhussian, Muhammad Nazmi, and Asim A Elsheikh. "Long Short Term Memory Recurrent Network for Standard and Poor’s 500 Index Modelling." International Journal of Engineering & Technology 7, no. 4.15 (October 7, 2018): 25. http://dx.doi.org/10.14419/ijet.v7i4.15.21365.

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Forecasting time-series data are imperative especially when planning is required through modelling using uncertain knowledge of future events. Recurrent neural network models have been applied in the industry and outperform standard artificial neural networks in forecasting, but fail in long term time-series forecasting due to the vanishing gradient problem. This study offers a robust solution that can be implemented for long-term forecasting using a special architecture of recurrent neural network known as Long Short Term Memory (LSTM) model to overcome the vanishing gradient problem. LSTM is specially designed to avoid the long-term dependency problem as their default behavior. Empirical analysis is performed using quantitative forecasting metrics and comparative model performance on the forecasted outputs. An evaluation analysis is performed to validate that the LSTM model provides better forecasted outputs on Standard & Poor’s 500 Index (S&P 500) in terms of error metrics as compared to other forecasting models.

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Antia, Murad J. "The Standard & Poor’s Guide to Selecting Stocks (a review): The Standard & Poor’s Guide to Selecting Stocks 2005 Kaye Michael McGraw-Hill (877) 833-5524, www.books.mcgraw-hill.com . 244 pages, $24.95." Financial Analysts Journal 64, no. 3 (June 2008): 102–3. http://dx.doi.org/10.2469/faj.v64.n3.14.

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Adrangi, Bahram, Arjun Chatrath, Madhuparna Kolay, and Kambiz Raffiee. "Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX." Journal of Risk and Financial Management 14, no. 3 (March 10, 2021): 114. http://dx.doi.org/10.3390/jrfm14030114.

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This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets. However, practitioners observe many periods of divergence between the VIX and S&P 500. Our paper examines the daily data for the period of 2009 through 2019. We show that once the effects of consumer confidence and capacity utilization are accounted for, there is a negative association between the VIX and regional bank performance.

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Ocran, Matthew. "South Africa and United States stock prices and the Rand/Dollar exchange rate." South African Journal of Economic and Management Sciences 13, no. 3 (September 3, 2010): 362–75. http://dx.doi.org/10.4102/sajems.v13i3.106.

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This paper seeks to examine the dynamic causal relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions. The paper identifies a bi-directional causality from the Standard & Poor’s 500 stock price index to the rand/US$ exchange rate in the Granger sense. It was also found that the Standard & Poor’s stock price index accounts for a significant portion of the variations in the Johannesburg Stock Exchange’s All Share index. Thus, while causality in the Granger sense could not be established for the relationship between the price indices of the two stock exchanges it can argued that there is some relationship between them. The results of the study have implications for both business and Government.

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Peng, Jun. "Do Investors Look Beyond Insured Triple–A Rating? An Analysis of Standard & Poor’s Underlying Ratings." Public Budgeting & Finance 22, no. 3 (January 2002): 115–31. http://dx.doi.org/10.1111/1540-5850.00084.

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Vychytilová, Jana. "Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 62, no. 6 (2014): 1509–19. http://dx.doi.org/10.11118/actaun201462061509.

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Globalization of the capital markets increasingly leads the investors to understand the fundamentals and technicals of asset cross-correlations and the global asset allocation seems to be an important task. The paper measures product momentum correlations between the four leading global benchmarks Standard & Poor’s stock index, Thomson Reuters/Jefferies CRB index, 30-Year U.S. Treasury Bond Price index and Dollar Index and between these indices and the Czech stock PX index. Empirical results illustrate that statistically significant correlations between U.S. indices existed over some past period at the 95.0% confidence level. In addition, the significant relation between indices Standard & Poor’s stock index, Thomson Reuters/Jefferies CRB index and the Czech stock market PX during the past fifteen years has been detected. These conclusions were reached from an analysis of monthly data in the United States and the Czech Republic, from January 1999 to April 2014. The empirical results offer beneficial applications not only for investors to diversify their risk but also for policy-makers to allocate resources more efficiently.

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Johnson, Travis L. "Risk Premia and the VIX Term Structure." Journal of Financial and Quantitative Analysis 52, no. 6 (December 2017): 2461–90. http://dx.doi.org/10.1017/s0022109017000825.

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The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.

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Brauers, Willem K. M., and Natalija Lepkova. "IS CREDIT RATING RESERVED TERRITORY FOR CREDIT RATING AGENCIES? A MULTIMOORA APPROACH FOR EUROPEAN FIRMS AND COUNTRIES." Technological and Economic Development of Economy 25, no. 6 (October 16, 2019): 1259–81. http://dx.doi.org/10.3846/tede.2019.10722.

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Credit Rating Agencies rate firms and countries by internal experts but with a final qualitative judgment by their management acting as decision makers. These ratings on their turn influence the countries credit rating and ipso facto of their enterprises. The work of the CRA is in fact double: credit rating of firms and other organizations at one side and countries on the other. Considering the credit rating of firms, the CRA made significant mistakes during the Recession 2007−2009 and their judgment is too much American oriented, in any way from a European point of view. Consequently, in Europe many efforts were made to come to a new agency, but all efforts failed. It could be different for the rating of countries. Is a more scientific approach, eventually on a quantitative and structural basis, not possible? Therefore, MULTIMOORA, a quantitative method, is suggested. The study was made for all countries of the European Continent. Based on data available in 2013 and on their extrapolation, the results are quite comparable to the results of Standard & Poor’s Credit Rating System of the moment. As the classifications of Moody’s and Fitch are very similar to those of Standard & Poor’s the outcome would be similar for these other Credit Rating Agencies.

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Zhao, Xia, and J. Richard Harrison. "The adoption of supermajority-independent boards in the post-Enron era." Corporate Ownership and Control 8, no. 2 (2011): 46–62. http://dx.doi.org/10.22495/cocv8i2p5.

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Combining insights from the agency theory and sociopolitical perspectives, this study examines the extent to which factors such as ownership structure, CEO power, and firm performance influence firms’ adoption of board independent reform advocated by shareholder activists. Event history analysis using extensive data on 1083 Standard & Poor’s 1500 companies from January 2002 to December 2004 shows that firms with more powerful CEO were less likely to adopt supermajority-independent boards, while both poorly performing firms and large firms were more likely to adopt such board structure. We also find that higher institutional blockholder ownership increased the likelihood of the adoption in firms managed by less powerful CEOs, while external non-institutional blockholder ownership decreased the likelihood of the adoption.

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Labrecque, Sébastien. "Les agences de notation dans la gouvernance financière internationale." Potentia: Journal of International Affairs 5 (October 1, 2014): 47–66. http://dx.doi.org/10.18192/potentia.v5i0.4405.

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Le département de la Justice des États-Unis a déposé en février 2013 une poursuite contre l’agence de notation financière Standard and Poor’s. Celle-ci est accusée par le gouvernement américain d’avoir tourné les coins ronds en attribuant de bonnes notations à des titres financiers adossés à des hypothèques qui présentaient pourtant de grands risques et, ainsi, d’avoir contribué au déclenchement de la crise financière de 2008 aux États-Unis (Eaglesham, Neumann et Perez 2013).

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Boreiko, Dmitri, Serguei Kaniovski, Yuri Kaniovski, and Georg Ch Pflug. "Business Cycles and Conditional Credit-Rating Migration Matrices." Quarterly Journal of Finance 08, no. 04 (September 24, 2018): 1840005. http://dx.doi.org/10.1142/s2010139218400050.

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To quantify the impact of business cycles on the dynamics of credit ratings, conditional migration matrices and probabilities of the corresponding macroeconomic scenarios are estimated. The approach is tested on a Standard and Poor’s (S&P’s) dataset that covers the period from 1991 to 2013. The difference between the conditional probabilities and their unconditional counterparts is evaluated. It is the greatest, up to [Formula: see text], for contraction periods and downgrading probabilities.

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17

Ewanchuk, Logan, and Christoph Frei. "Recent Regulation in Credit Risk Management: A Statistical Framework." Risks 7, no. 2 (April 14, 2019): 40. http://dx.doi.org/10.3390/risks7020040.

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A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a loan, additional provisions must be charged to the income statement. Banks need to set for each loan a threshold defining what such a significant increase in credit risk constitutes. A low threshold allows banks to recognize credit risk early, but leads to income volatility. We introduce a statistical framework to model this trade-off between early recognition of credit risk and avoidance of excessive income volatility. We analyze the resulting optimization problem for different models, relate it to the banking stress test of the European Union, and illustrate it using default data by Standard and Poor’s.

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Карминский, Александр Маркович. "Модели корпоративных рейтингов для развивающихся рынков." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 5, no. 3 (November 7, 2011): 19–29. http://dx.doi.org/10.17323/j.jcfr.2073-0438.5.3.2011.19-29.

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Автор: Александр Маркович Карминский - Национальный Исследовательский Университет "Высшая Школа Экономики". Электронная почта: akarminsky@hse.ru В работе рассматриваются особенности существующей системы корпоративных рейтингов и специфика развития соответствующих эконометрических моделей рейтингов для предприятий на развивающихся рынках. В качестве объясняющих переменных используются финансовые индикаторы, индикаторы финансового рынка, а также макроэкономические и отраслевые факторы в разрезе отдельных стран. Рассматриваются и моделируются рейтинги международных агентств Standard & Poor’s, Moody’s Investors Service и Fitch Ratings. Оценивается предсказательная сила полученных моделей. Обсуждаются результаты сравнения рейтингов трех ведущих международных агентств.

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Maingot, Michael, Tony Quon, and Daniel Zeghal. "The disclosure of enterprise risk management (ERM) information: An overview of Canadian regulations for risk disclosure." Journal of Governance and Regulation 2, no. 4 (2013): 13–21. http://dx.doi.org/10.22495/jgr_v2_i4_p2.

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This paper discusses the mandatory risk disclosures in Canada under International Financial Reporting Standards (IFRS). U.S. mandatory accounting disclosures of risk are also briefly examined, since some Canadian companies are cross-listed in the US. Mandatory disclosures of risk under the Basel II and Basel III Accords for the international regulation of banks are discussed as well as the assessment of ERM by Standard & Poor’s. The risk disclosures in the Management Discussion & Analysis (MD&A) section of the annual report prescribed by the Canadian Securities Administrators (CSA) in National Instrument 51-102 Continuous Disclosure Obligations are examined. Since these risk disclosures are voluntary, the actual disclosures in the MD&A section of the annual report are entirely at the discretion of management subject to effective board oversight.

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Laskin, Alexander V. "The Narrative Strategies of Winners and Losers: Analyzing Annual Reports of Publicly Traded Corporations." International Journal of Business Communication 55, no. 3 (June 20, 2018): 338–56. http://dx.doi.org/10.1177/2329488418780221.

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This study focuses on the narrative strategies corporations utilize to communicate their annual results to investors and the financial community. Specifically, the study looks at the sample of overperforming and underperforming companies and analyzes how management shapes their performance results using a variety of narrative strategies in their annual reports. The study uses DICTION software in order to perform a computerized content analysis of annual reports of a purposive sample of Standard & Poor’s 500 corporations and identify and compare the usage of the 35 narrative strategies.

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Зинкевич, Надежда В. "Прозрачность раскрытия информации российскими компаниями: обзор докладов, представленных на Второй Международной конференции «Корпоративное управление и устойчивое развитие бизнеса: стратегические роли советов директоров»." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 1, no. 4 (December 31, 2010): 76–85. http://dx.doi.org/10.17323/j.jcfr.2073-0438.1.4.2007.76-85.

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В последние годы все больше российских компаний выходят на международные рынки капитала. Для привлечения средств зарубежных инвесторов компании необходимо соответствовать высоким стандартам корпоративного управления, одной из составляющей которого является информационная прозрачность. Тем не менее проведенное специалистами агентства Standard&Poor’s исследование свидетельствует, что уровень прозрачности российских компаний стагнирует. Возможным объяснением этой тенденции служит феномен «ресурсного проклятия», описанный Дурневым А. и Гуриевым С. С другой стороны, как показывает в своей работе Сеттлз А., успешность размещения ценных бумаг за рубежом положительно зависит от уровня раскрытия информации российскими компаниями.

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Önal, Nisa Özge, and Ertugrul Karacuha. "Novel Approaches on Sovereign Credit Ratings." European Journal of Pure and Applied Mathematics 11, no. 4 (October 24, 2018): 1014–26. http://dx.doi.org/10.29020/nybg.ejpam.v11i4.3333.

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Credit ratings that are transparent, impartial and reliable as well as being up to date, quickly and easily calculated will provide convenience to investors and countries. In this study, sovereign credit rating methodologies of CRAs and studies in relevant literature are examined in detail, and two dynamic methods are proposed. These models classify countries as investable or speculative in the short term. In the first model, we used stock market values and macroeconomic variables with the Normalized Least Mean Square (NLMS) algorithm. Ratings for 15 countries are determined according to the short-term domestic currency. The results that we obtained from this model are fully consistent with those of Fitch. When we compared the results with Standard and Poor’s, we obtained different results for Turkey and Portugal. In the second model, we used only stock market closing data from 40 composite indexes with the Artificial Neural Networks (ANNs). Ratings are determined according to short-term foreign currency. The results that we acquired from these two models are fully compliant with Standard and Poor's. However, when compared to the ratings of Fitch, the results differed in the case of Russia. It has been shown that contrary to standard approaches, high predictability is achievable for countries using short-term data. The suggested models are more objective and dynamic due to only short-term data being required.

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Voss, Kevin, and Mayoor Mohan. "Good times, bad times: the stock market performance of firms that own high value brands." European Journal of Marketing 50, no. 5/6 (May 9, 2016): 670–94. http://dx.doi.org/10.1108/ejm-12-2013-0716.

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Purpose The purpose of the this paper is to correct a deficiency in the published literature by examining the share price performance of firms that own high-value brands in uptrending, downtrending and sideways markets. Design/methodology/approach The authors examined stock price performance for an index of firms that owned brands in the Interbrand list of the “Best Global Brands” from 2001 through 2009 using the Fama-French method. Findings The authors’ index outperformed the Standard & Poor’s 500 when the market was up or downtrending, but not when it moved sideways. Research limitations/implications The authors find that an index of firms that own the produced better returns than the Standard & Poor’s 500 market index. Owning highly valued brands may be a marketplace signal to the investing community regarding the firm’s management acumen. Practical implications Owning high-value brands seems to influence share price performance, a metric used to judge chief executive officers. Thus, brand investments align with the shareholders’ interest. The authors help alleviate the perception (Challagalla et al., 2014) that marketing managers make investments on an ad hoc basis. Originality/value For the first time, the authors evaluate the effect of owning one or more of the world’s most valuable brands on the market value of common stock using data from downtrending, uptrending and no-trend periods. This research is also among the first to introduce volatility into the Fama-French method and it is an important explanatory variable. This paper’s approach has interesting comparisons to other papers taking a similar analytical approach.

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Reddy, Krishna, Rudi Bosman, and Nawazish Mirza. "IMPACT OF CREDIT RATINGS ON STOCK RETURNS." Buletin Ekonomi Moneter dan Perbankan 21, no. 3 (February 28, 2019): 343–66. http://dx.doi.org/10.21098/bemp.v21i3.986.

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This study investigates whether a change in credit ratings lead to a change in dailyexcess stock returns. The sample includes daily stock price data for US firms listedon the Standard & Poor’s 500 from January 2006 to December 2015. Firms’ excessstock returns are compared with the market in a 14-day window around credit ratingdowngrades and upgrades. Our results are asymmetric, that is, there is a significantreaction to credit ratings downgrades but not to upgrades. In addition, we report weakevidence of upgrades in credit ratings since the 2008 global credit crisis leading tosignificant changes in security prices.

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Lantin, François. "Les effets de la notation financière sur les stratégies d’internationalisation des firmes multinationales européennes." Management international 17, no. 1 (January 22, 2013): 25–37. http://dx.doi.org/10.7202/1013675ar.

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Les sociétés sont contraintes dans leur stratégie d’internationalisation par leur niveau d’endettement révélé par leur notation financière. En s’appuyant sur 402 changements de note de 182 firmes multinationales européennes annoncés par Standard and Poor’s, les résultats valident l’asymétrie moyenne de réaction des marchés d’actions : diminution du cours boursier suite aux dégradations de note mais absence de réaction consécutive aux relèvements. Cependant, les variations individuelles des prix des actions ne seraient fortement négatives que dans la moitié des cas pour les baisses de note et nulles voire positives dans l’autre moitié. Des résultats symétriques sont obtenus pour les hausses de note.

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Errunza, Vihang, and Hai Ta. "The Impact of Investability on Asset Valuation." Journal of Financial and Quantitative Analysis 50, no. 5 (October 2015): 1135–63. http://dx.doi.org/10.1017/s002210901500037x.

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AbstractWe develop an international asset pricing model to measure the impact of investability constraints on asset pricing. For a sample of 18 emerging markets, we use Standard & Poor’s investable weight factor (IWF) to show a 26.33% reduction in the cost of equity capital when non-investable firms become partially investable, with a further 12.51% reduction when partially investable firms become unrestricted. We demonstrate the generality and usefulness of the IWF by examining stocks with global/American depositary receipts and foreign institutional holdings as alternate investability proxies. Our results provide strong evidence of the economic benefits of market liberalization policies.

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Geraci, Marco Valerio, and Jean-Yves Gnabo. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions." Journal of Financial and Quantitative Analysis 53, no. 3 (May 21, 2018): 1371–90. http://dx.doi.org/10.1017/s0022109018000108.

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We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor’s 500 index and estimate interconnectedness at the sectoral and institutional levels. At the sectoral level, we uncover two main events in terms of interconnectedness: the Long-Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling-window approach. At the institutional level, our framework delivers more stable interconnectedness rankings than other comparable market-based measures.

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Ye, Pengfei. "The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns?" Journal of Financial and Quantitative Analysis 47, no. 3 (January 30, 2012): 667–88. http://dx.doi.org/10.1017/s0022109012000099.

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AbstractThis study uses Cremers and Petajisto’s (2009) method to separate active institutional investors from passive ones and shows that active investors can alleviate the anomalous comovement of stock returns. Focusing on 2 events linked to the excess comovement anomaly, Standard & Poor’s 500 Index additions and stock splits, I find that if an event stock has more active institutional investors trading in the post-event period, the anomalous comovement effect disappears. In contrast, if an event stock experiences a massive exit of active investors, this anomaly persists. The exit of active institutional investors also results in a strong price synchronicity effect.

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De Giuli, Maria, Alessandro Greppi, and Marina Resta. "An Object-Oriented Bayesian Framework for the Detection of Market Drivers." Risks 7, no. 1 (January 14, 2019): 8. http://dx.doi.org/10.3390/risks7010008.

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We use Object Oriented Bayesian Networks (OOBNs) to analyze complex ties in the equity market and to detect drivers for the Standard & Poor’s 500 (S&P 500) index. To such aim, we consider a vast number of indicators drawn from various investment areas (Value, Growth, Sentiment, Momentum, and Technical Analysis), and, with the aid of OOBNs, we study the role they played along time in influencing the dynamics of the S&P 500. Our results highlight that the centrality of the indicators varies in time, and offer a starting point for further inquiries devoted to combine OOBNs with trading platforms.

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Foxley Rioseco, Juan. "Estándares pobres." Observatorio Económico, no. 52 (May 1, 2011): 4–6. http://dx.doi.org/10.11565/oe.vi52.291.

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Standard & Poor’s, Moody’s y Fitch Ratings son las tres mayores empresas globales de clasificación de riesgo financiero. Aunque China utilice también Dagong Global, en la práctica no se mueve una hoja de papeles de renta fija (bonos emitidos por empresas o gobiernos) sin que el juicio de algunas de las tres primeras esté involucrado. Sin ir más lejos, en Chile el destino de fondos tan importantes como los ahorros en AFP, las reservas internacionales del Banco Central o los excedentes que Hacienda deposita en sus fondos soberanos, dependen crucialmente de la evaluación del riesgo de esas agencias. Continuar leyendo...

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De Graaff, G. J., M. B. J. Schauten, and R. H. Stegink. "De disconteringsvoet ten behoeve van DCF waarderingen van immateriële activa." Maandblad Voor Accountancy en Bedrijfseconomie 80, no. 7/8 (July 1, 2006): 372–81. http://dx.doi.org/10.5117/mab.80.20828.

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In toenemende mate zijn ondernemingen geïnteresseerd in de separate waarde van immateriële activa. De noodzaak tot separate waardering vloeit deels voort uit nieuwe internationale verslaggevingsregels van de International Accounting Standards Board. In deze verslaggevingsregels wordt onder bepaalde voorwaarden de waarde van immateriële activa bepaald op basis van de discounted cash flow methode. Deze methode vergt de vaststelling van de vermogenskostenvoet van de betreffende immateriële activa. In dit artikel wordt door middel van een empirisch onderzoek op ondernemingen uit de Amerikaanse Standard & Poor’s 500 Index per bedrijfstak het geëiste rendement op immateriële activa bepaald. Dit geëiste rendement is vervolgens vergeleken met proxies voor het geëiste rendement van immateriële activa die in de praktijk worden gehanteerd, zoals de gewogen gemiddelde vermogenskostenvoet van de onderneming (de WACC). Zoals verwacht is het geëiste rendement voor immateriële activa gemiddeld hoger dan de WACC. Het geëiste rendement op het eigen vermogen lijkt de kostenvoet van immateriële activa het beste te benaderen.

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Boeren, J. F. P. "Obligatiewaardering en de aandelenmarkt in Nederland." Maandblad Voor Accountancy en Bedrijfseconomie 78, no. 4 (April 1, 2004): 150–59. http://dx.doi.org/10.5117/mab.78.16300.

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Deze studie onderzoekt of aanpassingen van obligatiewaarderingen door Moody’s en Standard & Poor’s over de periode 1 januari 1990–15 september 2003 waardevolle informatie verstrekken aan de aandelenmarkt in Nederland. Signiﬁcante resultaten worden gevonden in de periode voorafgaand aan de aankondiging van een opwaardering/afwaardering, wat aanduidt dat aandeelhouders anticiperen op deze gebeurtenissen. De daadwerkelijke aankondiging van een herziening lokt geen reactie van de aandelenmarkt uit. Blijkbaar verstrekt de aankondiging geen waardevolle informatie en leidt het niet tot een herstructurering van de aandelenportfolio. Afwaarderingen echter gaan gepaard met een corrigerende marktwerking, hetgeen erop kan duiden dat obligatiewaarderingen wel dienen als richtlijn bij het samenstellen van de aandelenportfolio.

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Donkers, Koen, Piet Duffhues, and Wim Weterings. "Credit rating agencies: informatieasymmetrie en civiele aansprakelijkheid." Maandblad Voor Accountancy en Bedrijfseconomie 84, no. 10 (October 1, 2010): 506–17. http://dx.doi.org/10.5117/mab.84.11868.

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Credit rating agencies (CRA’s) zoals Standard & Poor’s en Moody’s bestaan al vanaf het begin van de twintigste eeuw. Hun hoofddoel is het meer efficiënt maken van de financiële markten door het produceren van ratings of rapportcijfers waarin het kredietwaardigheidsgehalte van ondernemingen met betrekking tot leningen en kredieten wordt uitgedrukt. De intermediaire positie van CRA’s stelt hoge eisen aan de efficiëntie van het ratingproces en het vermijden van belangenconflicten. In de praktijk bestaat twijfel over het realiteitsgehalte van deze doelen en daarmee over het nut van ratings, terwijl ze paradoxaal genoeg toch in brede kring zijn geaccepteerd. Aansprakelijkheidsstelling van CRA’s is een van de mogelijke oplossingen.

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34

Levy, Haim. "The Investment Home Bias with Peer Effect." Journal of Risk and Financial Management 13, no. 5 (May 11, 2020): 94. http://dx.doi.org/10.3390/jrfm13050094.

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Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor’s 500 stock index (S&P 500 stock index) may induce an increase in the domestic investment weight by American investors and, hence, rationalize the IHB. While this argument is valid in the mean-variance framework, employing bivariate first-degree stochastic dominance (BFSD), we prove that this intuition is generally invalid. Counter intuitively, employing “keeping up with the Joneses” (KUJ) preference with actual international data even enhances the IHB phenomenon.

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Neumann, Michael, and George Skiadopoulos. "Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options." Journal of Financial and Quantitative Analysis 48, no. 3 (June 2013): 947–77. http://dx.doi.org/10.1017/s002210901300032x.

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AbstractWe investigate whether there are predictable patterns in the dynamics of higher-order risk-neutral moments (RNMs) extracted from the market prices of Standard & Poor’s (S&P) 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting horizons. We consider both a statistical and an economic setting. We find that higher RNMs can be statistically forecasted. However, only the 1-day-ahead skewness forecasts can be economically exploited. This economic significance vanishes once we incorporate transaction costs. The results have implications for the dynamics of implied volatility surfaces.

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Christoffersen, Peter, Bruno Feunou, Kris Jacobs, and Nour Meddahi. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation." Journal of Financial and Quantitative Analysis 49, no. 3 (June 2014): 663–97. http://dx.doi.org/10.1017/s0022109014000428.

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AbstractMany studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels.

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von Beschwitz, Bastian, Oleg Chuprinin, and Massimo Massa. "Why Do Short Sellers Like Qualitative News?" Journal of Financial and Quantitative Analysis 52, no. 2 (April 2017): 645–75. http://dx.doi.org/10.1017/s0022109017000151.

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Short sellers trade more on days with qualitative news, that is, news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news, enabling short sellers to better disguise their informed trades. Natural experiments support our findings. Qualitative news has a bigger effect on short sellers’ trading after a decrease in liquidity following the stock’s deletion from the Standard & Poor’s 500 index and a smaller effect when investor attention is distracted by the Olympic Games.

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Jiang, Christine X., Tanakorn Likitapiwat, and Thomas H. McInish. "Information Content of Earnings Announcements: Evidence from After-Hours Trading." Journal of Financial and Quantitative Analysis 47, no. 6 (October 4, 2012): 1303–30. http://dx.doi.org/10.1017/s002210901200049x.

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AbstractWe study after-hours trading (AHT), price contributions, and price discovery following quarterly earnings announcements released outside of the normal trading hours. For Standard & Poor’s (S&P) 500 index stocks from 2004–2008, AHT is heightened on announcement days. A significant portion of the price change and price discovery occurs immediately after the earnings releases. Prices in AHT show a large degree of informational efficiency, further demonstrating the importance of price discovery in AHT. We also provide evidence suggesting that firms prefer after-hours earnings announcements, as trades are mainly from informed traders, and those trades are relied upon to convey information to the general public.

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Sundaramurthy, Chamu, Paula Rechner, and Weiren Wang. "Governance Antecedents of Board Entrenchment: The Case of Classified Board Provisions." Journal of Management 22, no. 5 (October 1996): 783–99. http://dx.doi.org/10.1177/014920639602200505.

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Using a sample of 192 Standard & Poor’s 500 firms, we examine the impact of corporate governance and ownership context on a particular instance of board entrenchment: adoption of classified board provisions. Interestingly, while increased outsider representation measured simply as a proportion of outsiders does not affect the rate of adoption, reliance on a more fine grained measure, which includes other affiliations of outsiders, results in a marginally significant influence. Moreover, it appears that reliance on a simple proportional measure is likely to distort the effects of other variables. Finally, institutional stock ownership is found to be the most significant factor associated with decreased rate of adoption.

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Cohen, Alma, Moshe Hazan, Roberto Tallarita, and David Weiss. "The Politics of CEOs." Journal of Legal Analysis 11 (January 1, 2019): 1–45. http://dx.doi.org/10.1093/jla/laz002.

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Abstract This article studies the political preferences of chief executive officers (CEOs) of public companies. We use Federal Election Commission records to compile a comprehensive database of the political contributions made by more than 3800 individuals who served as CEOs of Standard & Poor’s 1500 companies between 2000 and 2017. We find a substantial preference for Republican candidates. We identify how this pattern is related to the company’s industry, region, and CEO gender. In addition, we show that companies led by Republican CEOs tend to be less transparent to investors with respect to their political spending. Finally, we discuss the policy implications of our analysis.

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Schuster, Charlotte L., Alexander T. Nicolai, and Jeffrey G. Covin. "Are Founder-Led Firms Less Susceptible to Managerial Myopia?" Entrepreneurship Theory and Practice 44, no. 3 (October 28, 2018): 391–421. http://dx.doi.org/10.1177/1042258718806627.

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Considerable evidence suggests that CEOs often behave myopically. It is open to debate, however, whether managerial myopia is equally prevalent among founder-led firms. Drawing on agency theory and stewardship theory, we analyze whether founder-led firms are less likely than nonfounder-led firms to cut R&D expenditures in order to meet the short-term earnings goals suggested by these firms’ past performance histories. Our analysis of Standard & Poor’s 1,500 companies from 1992 to 2013 indicates that myopia is an enduring phenomenon and prevalent among very large companies. However, founder-led firms are less likely than nonfounder-led firms to exhibit myopic behavior.

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Combs, James G., Richard J. Gentry, Sean Lux, Peter Jaskiewicz, and T. Russell Crook. "Corporate Political Activity and Sensitivity to Social Attacks: The Case of Family-Managed Firms." Family Business Review 33, no. 2 (January 30, 2020): 152–74. http://dx.doi.org/10.1177/0894486519899578.

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Family-managed firms take actions to protect their reputations. We theorize that one such action involves avoiding corporate political activity (CPA) that expose firms to social attack, especially when also invested in corporate social responsibility. Because large firms are frequent targets for social attack, the same sensitivity that encourages most family managers to avoid CPA encourages it among the largest as a buffer. Supportive analysis of Standard and Poor’s 500 firms shows that family-managed firms spend, on average, 86% less on CPA, even less when invested in substantive corporate social responsibility. The largest invest as much or more in CPA as nonfamily peers.

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43

Maiz Jiménez, Jaime González, Adán Reyes Santiago, and Francisco López-Herrera. "Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic." Investment Analysts Journal 50, no. 1 (January 2, 2021): 50–59. http://dx.doi.org/10.1080/10293523.2021.1876826.

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44

Morscheck, Justin. "Overreaction in Trading." International Journal of Finance & Banking Studies (2147-4486) 7, no. 4 (May 10, 2019): 21–37. http://dx.doi.org/10.20525/ijfbs.v7i4.196.

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Using intraday trading data during the 2008 financial crisis, from the Standard and Poor’s Depository Receipt (SPDR) market, we test for evidence of the informational advantage of traders. In addition, we examine the effect of pricing error on trade price. If traders are rational, and have accurate information, they will only purchase an asset at a premium (discount) if they have reason to believe that the fundamental value of that asset will increase (decrease). Our results show that the trading price of the SPDR does not significantly predict the movement of underlying asset values. This finding is consistent with traders overreacting to disparities between price and underlying value during the financial crisis.

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45

Gul, Ferdinand A., and John Goodwin. "Short-Term Debt Maturity Structures, Credit Ratings, and the Pricing of Audit Services." Accounting Review 85, no. 3 (May 1, 2010): 877–909. http://dx.doi.org/10.2308/accr.2010.85.3.877.

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ABSTRACT: Short-term debt and credit ratings have benefits for financial reporting quality that may be associated with lower audit fees. Using U.S. data for 2003 through 2006, we find that short-term debt is negatively related to audit fees for firms rated by Standard & Poor’s, consistent with more monitoring and better governance mechanisms in firms with higher short-term debt. Credit ratings quality is negatively related to audit fees, consistent with ratings quality reflecting a firm’s liquidity risk, governance mechanisms, and monitoring from rating agencies. We also find that the negative relation between short-term debt and audit fees is stronger for firms with low-quality credit ratings, consistent with auditors pricing lender monitoring.

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46

Zanardini, Daniel Ryba, and Fernando Antônio De Lucena Aiube. "UMA ANÁLISE DA TRANSMISSÃO DE VOLATILIDADE ENTRE MERCADO DOS EUA E AMÉRICA LATINA ATRAVÉS DE UMA MODELAGEM DCC-GARCH." Cadernos do IME - Série Estatística 45 (August 6, 2019): 20. http://dx.doi.org/10.12957/cadest.2018.44205.

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Este estudo investiga as transmissões de volatilidades entre os índices Standard Poor’s 500 (S&P 500) dos Estados Unidos e os índices IBOVESPA, MERVAL, IGBVL e IPSA, representando a América Latina, com o intuito de observar se um mercado desenvolvido afeta os em desenvolvimento. Sendo assim, o índice S&P 500 que é considerado um índice de referência global, possui grande relevância para o sistema financeiro e é de grande importância o conhecimento das transmissões para outros índices. Com base em uma modelagem DCC-GARCH e uma amostragem de dados diários dos últimos 10 anos foi observado a existência de correlação entre os índices avaliados.Palavras-chave: DCC-GARCH; EGARCH; volatilidade; ações; índice; S&P 500; IBOVESPA;

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Chandrashakar, Gudipally. "Prediction and Analysis of Gold Prices using Ensemble Machine Learning Algorithms." International Journal for Research in Applied Science and Engineering Technology 9, no. VI (June 30, 2021): 4367–74. http://dx.doi.org/10.22214/ijraset.2021.36028.

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In this article, we used historical time series data up to the current day gold price. In this study of predicting gold price, we consider few correlating factors like silver price, copper price, standard, and poor’s 500 value, dollar-rupee exchange rate, Dow Jones Industrial Average Value. Considering the prices of every correlating factor and gold price data where dates ranging from 2008 January to 2021 February. Few algorithms of machine learning are used to analyze the time-series data are Random Forest Regression, Support Vector Regressor, Linear Regressor, ExtraTrees Regressor and Gradient boosting Regression. While seeing the results the Extra Tree Regressor algorithm gives the predicted value of gold prices more accurately.

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Benli, Vahit Ferhan. "Basel’s Forgotten Pillar: The Myth of Market Discipline on the Forefront of Basel III." e-Finanse 11, no. 3 (September 1, 2015): 70–91. http://dx.doi.org/10.1515/fiqf-2016-0120.

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Abstract Although Basel II fortified the first two pillars with market transparency enhancing Pillar III disclosures and encouraged the usage of major Credit Rating Agencies (CRAs) such as Moody’s, Standard and Poor’s, and Fitch as quasi governmental authorities to overcome asymmetric informational problems on risk and capital adequacy fronts of the global financial system, the recent global financial crisis has proven just the opposite. The banks and regulators were not in a position to truly assess the risk and capital adequacy frameworks of the global and domestic financial institutions based on the assessments of the rating agencies. To overcome the problem of informational asymmetry for the market participants, the Basel Committee on Banking Supervision set out new proposals for enhanced Pillar III disclosures in the areas of credit risks and capital reporting standards on the forefront of Basel III that would come into effect on April 1, 2016. This paper is a critical evaluation of the new reporting proposals of BCBS within the critical role of the credit rating agencies.

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Couto, Ayrton Benedito Gaia Do, and Luiz Flavio Autran Monteiro Gomes. "Sovereign Rating Analysis through the Dominance-Based Rough Set Approach." Foundations of Computing and Decision Sciences 45, no. 1 (March 1, 2020): 3–16. http://dx.doi.org/10.2478/fcds-2020-0001.

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AbstractThe classifications of risk made by international rating agencies aim at guiding investors when it comes to the capacity and disposition of the evaluated countries to honor their public debt commitments. In this study, the analysis of economic variables of sovereign rating, in a context of vagueness and uncertainty, leads the inference of patterns (multi-criteria rules) by following the Dominance-based Rough Set Approach (DRSA). The discovery of patterns in data may be useful for subsidizing foreign investment decisions in countries; and this knowledge base may be used in rule-based expert systems (learning from training examples).The present study seeks to complement the analysis produced by an international credit rating agency, Standard & Poor’s (S&P), for the year 2018.

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Wang, Xu, Jenny Zhang, and William Sanjian Zhang. "The role of operating cash flow in credit rating: Investment-grade firms vs. speculative grade firms." Risk Governance and Control: Financial Markets and Institutions 2, no. 2 (2012): 48–63. http://dx.doi.org/10.22495/rgcv2i2art3.

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Despite Standard and Poor’s long-standing claim that cash flow is a critical aspect of its rating decisions, the credit rating literature has failed to document a significant relation between credit rating and cash flow measures. A possible explanation of this discrepancy is that the rating agency weighs operating cash flow differently between investment-grade and speculative-grade issuers. Performing an ordered probit analysis of a panel of firms from 1989 to 2006, we find operating cash flow is positively associated with credit ratings for speculative-grade issuers, but not for investment-grade issuers. In contrast, accrual-based earnings are found to be positively associated with credit ratings, but only for investment-grade firms. Our study thus solves a discrepancy between industry documents and the academic literature.

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Journal articles on the topic 'Standard and Poor’s'

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