Share price formation, market exuberance and financial stability under alternative accounting regimes

Journal of Economic Interaction and Coordination - Tập 10 Số 2 - Trang 333-362 - 2015
Yuri Biondi1, Pierpaolo Giannoccolo2
1CNRS - ESCP Europe, Paris, France
2Department of Economics, University of Bologna, Bologna, Italy

Tóm tắt

Từ khóa


Tài liệu tham khảo

Abarbanell SJ, Bushee JB (1998) Abnormal returns to a fundamental analysis strategy. Acc Rev 73(1):19–45

Acharya VV, Cooley FT, Richardson PM, Ingo W (2011) Regulating Wall Street. The Dodd-Frank Act and the new architecture of global finance. Wiley, New York

Anthony RN (2004) Rethinking the rules of financial accounting. Examining the rules for proper reporting. McGraw-Hill, New York

Anufriev M, Panchenko V (2009) Asset prices, traders’ behavior and market design. J Econ Dyn Control 33:1073–1090

Aoki M, Yoshikawa H (2006) Reconstructing macroeconomics. Cambridge University Press, Cambridge

Banca d’Italia (2009) Financial sector pro-cyclicality. Lessons from the crisis, Questioni di Economia e Finanza (Occasional papers), No 44

Banque de France (2008) Valuation and financial stability. Financial stability review, No 12

Barth ME, Landsman WR (2010) How did financial reporting contribute to the financial crisis? Eur Acc Rev 19(3):399–423

Bensimhon L, Biondi Y (2013) Financial bubbles. Common knowledge and alternative accounting regimes: an experimental analysis of artificial spot security markets. Jpn Acc Rev 3:2. doi: 10.11640/tjar.3.2013.02

Bignon V, Biondi Y, Ragot X (2004) An economic analysis of fair value: the evolution of accounting principles in European legislation with a comment by Barker, R.G. (Cambridge University & IASB Scientific Committee) and a rejoinder by the Authors, Cournot Centre for Economic Studies, Prisme No. 4. URL: http://ssrn.com/abstract=879273

Bignon V, Biondi Y, Ragot X (2009) An economic analysis of fair value: accounting as a vector of crisis (August 2, 2009). Cournot Centre for Economic Studies, Prisme, No. 15. URL: http://ssrn.com/abstract=1474228

Biondi Y (2008) Entité entreprise, monnaie et comptabilité. Jalons pour un itinéraire de théorie économique [Enterprise Entity, Money, and Accounting. Landmarks for a Journey in Economic Theory]. Economie Appliquée 61(2):5–42

Biondi Y (2011a) Disagreement-based trading and speculation: implications for financial regulation and economic theory. Acc Econ Law A Convivium 1(1). doi: 10.2202/2152-2820.1017

Biondi Y (2011b) The pure logic of accounting: a critique of the fair value revolution. Acc Econ Law A Convivium 1(1). doi: 10.2202/2152-2820.1018

Biondi Y (2013) Accounting and the formation of share market prices over time: a mathematical institutional economic analysis through simulation and experiment. In: Eastern Economic Association (EEA), 39th Annual Conference, NYC computational economics and complexity workshop, New York, 9–11 May 2013. 8th Annual Workshop on Economic Science with Heterogeneous Interacting Agents (WEHIA 2013), June 20–22, 2013, Reykjavik University, Iceland. URL: http://ssrn.com/abstract=2205574

Biondi Y, Pierpaolo G, Serge G (2012) Formation of share market prices under heterogeneous beliefs and common knowledge. Phys A Stat Mech Appl 391(22):5532–5545

Biondi Y, Righi S (2013) What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary. In: 25th annual EAEPE conference 2013, research area S (Evolutionary Economic Simulation), Paris, November 2013. Available at SSRN: http://ssrn.com/abstract=2355719

Bissessur S, Hodgson A (2012) Stock market synchronicity: an alternative approach to assessing the information impact of Australian IFRS. Acc Financ 52:187–212

Boyer R (2007) Assessing the impact of fair value upon financial crises. Socioecon Rev 5(4):779–807

Campbell JY, Shiller RJ (1988) Stock prices, earnings, and expected dividends. J Financ 43(3):661–676

Chant P (1980) On the predictability of corporate earnings per share behaviour. J Financ 35(1):13–21

Chiarella C, Iori G (2002) A simple microstructure model of double auction markets. Quant Financ 2:346–353

Dechow P, Hutton A, Sloan R (1999) An empirical assessment of the residual income valuation model. J Acc Econ 26(1999):1–34

Demsetz H (1995) The economics of the business firm. Seven critical commentaries. Cambridge University Press, Cambridge

Di Guilmi C, Gallegati M, Landini S, Stiglitz RJ (2012) Dynamic aggregation of heterogeneous interacting agents and network: an analytical solution for agent based models, mimeo in file with authors

Enria A (2004) dir., Fair value accounting and financial stability. European Central Bank, Occasional Paper Series No. 13 April. URL: http://ssrn.com/abstract_id=749044

Fama EF (1970) Efficient capital markets: a review of theory and empirical work. J Financ 25(2):383–417

Fama EF (1991) Efficient capital markets: II. J Financ 46(5):1575–1617

Fama EF, French KR (1992) The cross-section of expected stock returns. J Financ 47(2):427–465

Feltham G, Ohlson J (1995) Valuation and clean surplus accounting for operating and financial activities. Contemp Acc Res 11(2):689–731

Financial Accounting Standards Board - FASB (1985) Qualitative characteristics of accounting information. Concepts Statement No. 2, issued on May 1980 and amended on December 1985

Foley KD (1994) A statistical equilibrium theory of markets. J Econ Theory 62:321–345

Freeman R, Ohlson J, Penman S (1982) Book rate of return and prediction of earnings changes: an empirical investigation. J Acc Res 20(2), part II, Autumn: 639–653

Frydman R (1982) Towards an understanding of market processes : individual expectations, learning, and convergence to rational expectations equilibrium. Am Econ Rev 72(4):652–668

Frydman R, Goldberg DM (2008) Macroeconomic theory for a world of imperfect knowledge. Cap Soc 3(3):1–76

Group of Thirty (G30) (2009) Financial reform: a framework for financial stability. President Frenkel JA. http://www.group30.org/

Heemeijer P, Hommes C, Sonnemans J, Tuinstra J (2009) Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation. J Econ Dyn Control 33:1052–1072

Henry E, Holzmann OJ (2009) FASB, IASB respond to financial crisis. J Corp Acc Financ 20(3):71–75. doi: 10.1002/jcaf.20487

Henry E, Holzmann, OJ (2011) Conceptual framework revisions: say goodbye to ‘reliability’ and ’stewardship. J Corp Acc Financ 22(3):91–94. doi: 10.1002/jcaf.20679

Hirota S, Sunder S (2007) Price bubbles sans dividend anchors: evidence from laboratory stock markets. J Econ Dyn Control 31:1875–1909

Hommes C (2005) Heterogeneous agent models in economics and finance. In: Judd KL, Tesfatsion L (eds) Handbook of computational economics, vol 2: agent-based computational economics. Elsevier, Amsterdam

Horst U (2005) Financial price fluctuations in a stock market model with many interacting agents. Econ Theory 25:917–932

Ijiri Y (2005) US accounting standards and their environment: a dualistic study of their 75 years of transition. J Acc Public Policy 24:255–279

Kirman A (1999) Interaction and markets. chapter 1 in Gallegati M, Kirman A, Beyond the representative agent, UK: E. Elgar, pp 1–44

Kothari S (2001) Capital markets research in accounting. J Acc Econ 31:105–231

Kusano M (2012) Does the balance sheet approach improve the usefulness of accounting information? Jpn Acc Rev 2. doi: 10.11640/tjar.2.2012_139

Laux C, Leuz C (2009) The crisis of fair-value accounting: making sense of the recent debate. Acc Organ Soc 34(6):826–834

LeRoy SF (2004) Rational exuberance. J Econ Lit 42(3):783–804

Lev B, Thiagarajan SR (1993) Fundamental information analysis. J Acc Res 31(2):190–215

Lev B, Zarowin P (1999) The boundaries of financial reporting and how to extend them. J Acc Res 37(2):353–385

Lewellen J (2010) Accounting anomalies and fundamental analysis: an alternative view. J Acc Econ 50:455–466

Magnan ML (2009) Fair value accounting and the financial crisis: messenger or contributor? Acc Perspect 8(3):189–213

May OG (1943) Financial accounting: a distillation of experience. MacMillan Company, New York

Nichols DC, Wahlen JM (2004) How do earnings numbers relate to share returns? A review of classic accounting research with updated evidence. Acc Horiz 18(4):263–286

Nissim D, Penman S (2008) Principles for the application of fair value accounting. Center for Excellence in Accounting and Security Analysis, White Paper n. 2, Columbia Business School, New York

Ohlson J (1995) Earnings, book values, and dividends in equity valuation. Contemp Acc Res 11(2):661–687

Ou AJ, Penman HS (1989) Financial statement analysis and the prediction of share returns. J Acco Econ 11:295–329

Phelps SE (1987) Recent studies of speculative markets in the controversy over rational expectations. European University Institute, WP n. 87/267, Florence

Pinnuck M (2012) A review of the role of financial reporting in the global financial crisis. Aust Acc Rev 60(22):1–14

Pozen RC (2009) Is it fair to blame fair value accounting for the financial crisis. Harvard Bus Rev 87(11):84–92

Richardson S, Tuna I, Wysocki P (2010) Accounting anomalies and fundamental analysis: a review of recent research advances. J Acc Econ 50(2–3):410–454. doi: 10.1016/j.jacceco.2010.09.008

Rochet (2008) Procyclicité des systèmes financiers: est-il nécessaire de modifier les règles comptables et la réglementation actuelles? Revue de la Stabilité Financière 12(October):105–110

Shackle GLS (1967) The years of high theory: invention and tradition in economic thought 1926–1939. Cambridge University Press, Cambridge

Shiller RJ (2000) Irrational exuberance. Princeton University Press, Princeton, NJ

Shubik M (1993) Accounting and its relationship to general equilibrium theory. In: reprinted in Biondi Y et al (eds) (2007) The firm as an entity: implications for economics, accounting, and law. Routledge, London

Sloan R (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Acc Rev 71:289–315

Stout AL (2011) Risk, speculation, and OTC derivatives: an inaugural essay for convivium. Acc Econ Law A Convivium 1(1). DOI: 10.2202/2152-2820.1004

Sunder S (1997) Theory of accounting and control. South-Western College Publishing (An International Thomson Publishing Company), Cincinnati (Ohio)

Sunder S (2002) Knowing what others know: common knowledge, accounting, and capital markets. Acc Horiz 16(4):305–318

Sunder S (2011) Imagined worlds of accounting. Acc Econ Law A Convivium 1(1). DOI: 10.2202/2152-2820.1014

Taleb NN, Douady R (2012) Mathematical definition, mapping, and detection of (Anti)fragility, quantitative finance. URL: http://ssrn.com/abstract=2124595

Tirole J (1982) On the possibility of speculation under rational expectations. Econometrica 50(5):1163–1181

Yuan M, Liu H (2011) The economic consequences of fair value accounting, accounting. Econ Law A Convivium 1(2). doi: 10.2202/2152-2820.1010