Bipin B. Ajinkya

The Association between Outside Directors, Institutional Investors and the Properties of Management Earnings Forecasts

We investigate the relation of the board of directors and institutional ownership with the properties of management earnings forecasts. We find that firms with more outside directors and greater institutional ownership are more likely to issue a forecast and are inclined to forecast more frequently. In addition, these forecasts tend to be more specific, accurate and less optimistically biased. These results are robust to changes specification, Granger causality tests, and simultaneous equation analyses. The results are similar in the pre- and post-Regulation Fair Disclosure (Reg FD) eras. Additional analysis suggests that concentrated institutional ownership is negatively associated with forecast properties. This association is less negative in the post-Reg FD environment, which is consistent with Reg FD reducing the ability of firms to privately communicate information to select audiences. Copyright 2005 The Institute of Professional Accounting, University of Chicago.

The behavior of daily stock market trading volume

Abstract This paper documents the empirical distributions of daily trading volume prediction errors for several commonly used volume measures and expectation models for individual firms and for portfolios. The prediction errors for raw volume measures are significantly positively skewed, with thin left tails and fat right tails. However, natural log transformations of the volume measures are approximately normally distributed. For longer than one-day prediction intervals, recognition of autocorrelation in daily trading volume is advantageous for detecting abnormal trading. Results of analysis for clustering of events and for different size firms are also presented.