Всего статей в данном разделе : 979
Опубликовано на портале: 21-06-2006Lyndal Drennan, Michael Kelly Critical Perspectives on Accounting. 2002. Vol. 13. No. 3. P. 311-331.
Research dealing with the implementation of system changes such as activity-based costing (ABC) systems is founded largely on a presumption that the motivation for the innovation is economic. The definition of success or failure then rests on the project’s reaching a stage of implementation where the new data are used in routine and/or unforeseen ways to improve economic efficiency. This paper presents a view of an ABC project where complex motivations, both economic and institutional, are identified, these held in turn by different groups within the organization as well as external groups likely to be affected by the project. Seen in terms of its institutional motivations, the project, documented in an internal review as a failure because it was abandoned without using the data, can be defined as a success by at least some of the affected groups.
Assessing Empirical Research in Managerial Accounting: A Value-Based Management Perspective [статья]
Опубликовано на портале: 21-06-2006Christopher D. Ittner, David F. Larcker Journal of Accounting and Economics. 2001. Vol. 32. No. 1-3. P. 349-410 .
This paper applies a value-based management framework to critically review empirical research in managerial accounting. This framework enables us to place the exceptionally diverse set of managerial accounting studies from the past several decades into an integrated structure. Our synthesis highlights the many consistent results in prior research, identifies remaining gaps and inconsistencies, discusses common methodological and econometric problems, and suggests fruitful avenues for future managerial accounting research.
Опубликовано на портале: 14-03-2005Matthey Higgins, Carol Osler Oxford Review of Economic Policy. 1997. Vol. 13. No. 3. P. 110-134.
Asses prices and investment were unusually weak throughout the industrial world during the early 1990s. This paper highlights this stylized fact, and connects it with another: in most of the industrial world, asset markets boomed for several years before collapsing around 1989. The paper suggests that asset market bubbles during the late 1980s may have left the industrial world with an 'asset market hangover' in the early 1990s, in the form of sluggish asset markets and investment. Empirical support for this hypothesis is provided based on cross-country data for equity and real estate markets in most industrial countries. We suggest that financial market developments not justified by fundamentals can substantially affect real activity.
Опубликовано на портале: 02-11-2007Andrew B. Abel American Economic Review. 1990. Vol. 80. No. 2. P. 38-42.
This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States
Опубликовано на портале: 02-11-2007Chris I. Telmer Journal of Finance. 1993. Vol. 48. No. 5. P. 1803-32.
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory
Опубликовано на портале: 02-11-2007Alon Brav, George M. Constantinides, Christopher C. Geczy Journal of Political Economy. 2002. Vol. 110. No. 4. P. 793-824.
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 1982-96 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution with a low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence that an SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market
Опубликовано на портале: 16-06-2006Kee H. Chung, Mingsheng Li, Linda Yu Financial Management. 2005. Vol. 34. No. 3. P. 65-88.
We consider a simple model positing that initial public offering price is equal to the present value of an entity's assets in place and growth opportunities. The model predicts that initial return is positively related to both the size and risk of growth opportunities. Consistent with this prediction, we find initial return to be positively related to both the fraction of the offer price that is accounted for by the present value of growth opportunities and various proxies of issue uncertainty. We also find that IPO investors equate one dollar of growth opportunities to approximately three quarters of tangible assets.
Опубликовано на портале: 12-11-2004Lawrence D. Schall Journal of Business. 1972. Vol. 45. No. 1. P. 11-28.
In Section I of the present paper, it is shown that Proposition I (relationship between income streams) and the irrelevancy of firm-investment diversification hold in the multiperiod case, with risky (as well as riskless) debt and with no assumption regarding which income-stream parameters (e.g. mean an variance) are used by investors in selecting portfolios. That is, no particular valuation equation is assumed. Proposition I is derived first , given homogeneous investor expectations, and then is extended to the case of heterogeneous expectations by adding a further assumption. In Section II, corporate taxes are introduced. Proposition I does not hold in this case. However, a similar proposition is derived and found to imply that diversification should not be a consideration for firm-investment policy even with corporate taxes. In establishing the results of Section I and II, it is assumed that capital markets are competitive with zero transaction costs and that, therefore, "arbitrage" can be performed in the market. In Section III, the arbitrage assumption is briefly examined.
Опубликовано на портале: 22-10-2007Glenn N. Pettengill Quarterly Journal of Business & Economics. 2003. Vol. 42. No. 3/4. P. 3-28.
An extensive and long-standing literature documents calendar patterns in asset returns. In the inaugural edition of the Review of Economic Statistics, Persons (1919) makes reference to a January effect in equity securities, as one of several “seasonals” in stock returns. Another seasonal, the Monday effect, the tendency for Monday stock returns to be low relative to other weekdays and on average negative, provides the focus of this survey paper and other papers in this issue. Maberly (1995) shows that financial practitioners were aware of the Monday effect as early as the late 1920s. (See Kelly, 1930.) Then, as now, the existence of negative returns on Mondays was a puzzling phenomenon. Why should investors on Friday or Saturday buy securities that, based on historical data, should be expected to exhibit negative returns the following trading day? Academic researchers have spent considerable effort attempting to document and, with limited success, to explain the tendency for asset returns to be negative on Monday. In recent years a new dimension has arisen that presents both obstacles and opportunities for explaining the Monday effect. Monday returns for large-firm equities have become positive, and in some years these returns are significantly higher than returns for other weekdays. This survey serves as an introduction to a series of papers that examine the Monday effect including the shift from negative Monday returns to positive Monday returns.
Опубликовано на портале: 21-06-2006Ari Hyytinen, Otto Toivanen Journal of Financial Services Research. 2006. Vol. 23. No. 3. P. 241-249.
In this paper we study a horizontally differentiated market for financial intermediation and develop a simple explanation for concentration in the financial intermediation industry. We show that under asymmetric information, if the demand for funds is not perfectly elastic, the heterogeneity of entrepreneurs in need of financing translates into a barrier to entry. That is, we do not need to resort to learning, weak property rights or exogenous costs of entry to generate this result.
Опубликовано на портале: 25-10-2007Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 1994. Vol. 7. No. 3. P. 539-573.
This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns.
Опубликовано на портале: 23-11-2007Harrison Hong, Jeremy C. Stein Journal of Finance. 1999. Vol. 54. No. 6. P. 2143-2184.
We model a market populated by two groups of boundedly rational agents: "newswatchers" and "momentum traders." Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trendchasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under- and overreactions, the model generates several other distinctive implications.
Опубликовано на портале: 17-03-2005Douglas W. Diamond, Philip H. Dybvig Journal of Political Economy. 1983. Vol. 91. No. 3. P. 401-419.
This paper shows that bank deposit contracts can provide allocations superior to those of exchange markets, offering an explanation of how banks subject to runs can attract deposits. Investors face privately observed risks which lead to a demand for liquidity. Traditional demand deposit contracts which provide liquidity have multiple equilibria, one of which is a bank run. Bank runs in the model cause real economic damage, rather than simply reflecting other problems. Contracts which can prevent runs are studied, and the analysis shows that there are circumstances when government provision of deposit insurance can produce superior contracts.
Опубликовано на портале: 21-06-2006Financial Analysis, Planning & Reporting. 2003. Vol. 3. No. 11. P. 1-12.
Recommends the cash flow return on investment (CFROI) and gross investment technique in measuring corporate growth. Characteristics of CFROI; Limitations of the EBITDA analysis; Best method for determining future stock prices.
Blockholder Ownership: Effects on Firm Value in Market and Control Based Governance Systems [статья]
Опубликовано на портале: 14-06-2006Steen Thomsen, Torben Pedersen, Hans Kurt Kvist Journal of Corporate Finance. 2006. Vol. 12. No. 2. P. 246-269.
In this study, Granger tests are used to examine the relationship between blockholder ownership and the values of the largest companies in the European Union and the US. Previous studies on US data have found that blockholder ownership has no systematic effect on performance. We propose that these results may not apply to Continental Europe, where ownership concentration is typically higher, the level of investor protection is lower, and influential blockholders may have objectives other than shareholder value. In accordance with previous research, we find no significant association between blockholder ownership and prior or subsequent firm value in either the US or the UK. Nonetheless, in Continental Europe we find a negative association between blockholder ownership and firm value or accounting returns in the next period. Further analysis reveals that this association is significant only for companies with high initial levels of blockholder ownership (>10%). We interpret this finding as evidence of conflicts of interest between blockholders and minority investors. The percentage of blockholder ownership in Continental Europe may be too high from a minority shareholder value viewpoint.