Review of Quantitative Finance and Accounting

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A Model of Return Volatility with Application to Estimating Relative Risk Aversion
Review of Quantitative Finance and Accounting - - 1999
Mark Klock, Robert F. Phillips
We estimate a monthly return volatility model that allows for the abrupt changes in volatility often observed in returns data. Using this model we are able to identify key months likely to correspond to draws from a high volatility regime. Using our model in conjunction with Merton's (1980) model relating expected risk premia to risk we obtain reasonable estimates of the coefficient of relative ri...... hiện toàn bộ
Conditioning information and cross-sectional anomalies
Review of Quantitative Finance and Accounting - Tập 43 Số 3 - Trang 529-569 - 2014
Stefano Gubellini
Wealth effects of relative firm value in M&A deals: reallocation of physical versus intangible assets
Review of Quantitative Finance and Accounting - Tập 55 - Trang 1513-1548 - 2020
Debarati Bhattacharya, Wei-Hsien Li
This paper distinguishes between value creation through redistribution of physical assets and that from intangible assets. We decompose the market-to-book ratio into fundamental value and unexplained components and find that mergers create wealth when high-value firms primarily acquire physical assets from low-value firms. In contrast, deals motivated by transfer of investment opportunities genera...... hiện toàn bộ
Value-relevance of pension transition adjustments and other comprehensive income components in the adoption year of SFAS No. 158
Review of Quantitative Finance and Accounting - Tập 33 - Trang 279-301 - 2009
Santanu Mitra, Mahmud Hossain
In the present study, we examine the value-relevance of pension transition adjustments and other comprehensive income (OCI) components in the initial adoption year of Statement of Financial Accounting Standard (SFAS) 158—Employers’ Accounting for Defined Benefit Pension and Other Postretirement Plans. Using a sample of 697 Standard and Poor (S&P) firms with the fiscal year ending on December 31, 2...... hiện toàn bộ
Does firm payout policy affect shareholders’ dissatisfaction with directors?
Review of Quantitative Finance and Accounting - Tập 57 - Trang 279-320 - 2021
Paul Tanyi, David B. Smith, Xiaoyan Cheng
In this study we investigate the information content of firm payout policy to shareholders. We focus on the association between a firm’s payout policy and shareholders’ satisfaction with board directors, as expressed by the percentage of negative or withheld votes for directors during annual elections (shareholders’ dissent voting). We fill a gap in the literature by using shareholders’ voting res...... hiện toàn bộ
Group affiliation and earnings management of Asian IPO issuers
Review of Quantitative Finance and Accounting - Tập 47 - Trang 897-917 - 2015
Roy Kouwenberg, Pipat Thontirawong
We study how group affiliation, a firm being a member of a business group, affects earnings management around initial public offerings (IPOs) in nine Asian countries. Our empirical evidence shows that Asian IPO issuers tend to manage earnings more aggressively than matching non-IPO firms from the same industry: discretionary accruals are higher by 3 % of total assets. Earnings management is espec...... hiện toàn bộ
Auditor selection within a business group: evidence from Taiwan
Review of Quantitative Finance and Accounting - - 2014
Yan-Jie Yang, Jungpao Kang, Ruey-Ching Lin, Joshua Ronen
Although auditor selection is well documented in the literature, it is unclear whether group characteristics affect firms’ auditor selection decisions. Generally, a business group is the result of diversification by the core firm. Major decisions of the business group, such as auditor selection, are made by the core firm and influenced by the business group’s characteristics. Using operational and...... hiện toàn bộ
Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms
Review of Quantitative Finance and Accounting - Tập 60 - Trang 877-914 - 2022
Julian Kaboth, Arnd Lodowicks, Maximilian Schreiter, Bernhard Schwetzler
Venture capital (VC) often involves complex equity contracts with so-called preferential rights affecting the allocation of exit proceeds among different share classes and investors. We structure exit-relevant preferential rights in a two-dimensional framework and develop a contingent claims model that allows for ex-ante valuation of separate shareholdings. The model generates insights on the valu...... hiện toàn bộ
Managerial risk-taking incentives and the systemic risk of financial institutions
Review of Quantitative Finance and Accounting - Tập 53 - Trang 1229-1258 - 2018
Jamshed Iqbal, Sami Vähämaa
This paper examines whether the systemic risk of financial institutions is associated with the risk-taking incentives generated by executive compensation. We measure managerial risk-taking incentives with the sensitivities of chief executive officer (CEO) and chief financial officer (CFO) compensation to changes in stock prices (pay-performance sensitivity) and stock return volatility (pay-risk se...... hiện toàn bộ
Market Imperfections as the Cause of Accounting Income Smoothing—The Case of Differential Capital Access
Review of Quantitative Finance and Accounting - Tập 17 - Trang 283-300 - 2001
Bin Srinidhi, Joshua Ronen, Ajay Maindiratta
We show income smoothing results as a rational equilibrium behavior in a setting where the manager has superior foresight about the firm's prospects but faces inferior capital access relative to the owner. Under a legal structure that makes forecast-based compensation impractical and an accounting framework that requires reported income to be consistent, unbiased and cash-flow convergent, we show ...... hiện toàn bộ
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