Review of Quantitative Finance and Accounting
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The impact of cost allocation errors on price and product-mix decisions
Review of Quantitative Finance and Accounting - Tập 51 - Trang 497-527 - 2017
We use simulations to examine the impact of cost allocation errors on pricing and product-mix decisions. We compare the imperfect cost allocation of cost systems based on heuristics to the ideal cost allocation of a benchmark model. First, we find that more complex cost systems are associated with substantially lower profit errors. Second, we decompose the profit error and find that production qua......
Monetary policy, financial shocks and economic activity
Review of Quantitative Finance and Accounting - Tập 59 - Trang 429-456 - 2022
This paper contributes to a fuller understanding of macroeconomic outcomes to financial market disturbances and the central bank’s role in financial stability. Our two major contributions are conceptual and econometric. Conceptually, we introduce phases of the business cycle and econometrically we employ Bayesian VARs. We document that a shock that increases credit to non-financial sector leads to......
An evaluation of alternative methods used in the estimation of Gaussian term structure models
Review of Quantitative Finance and Accounting - Tập 44 - Trang 1-24 - 2013
This paper provides an evaluation of five methods, proposed in the literature, for extracting factors used in the estimation of Gaussian affine term structure models. We assert that irrespective of the method used for extracting state variables, cross-sectional and serial correlations exist in measurement errors. However, using a simulation design which is consistent with the data, we show that pa......
A Model of Return Volatility with Application to Estimating Relative Risk Aversion
Review of Quantitative Finance and Accounting - - 1999
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......
Determinants of the length of time a firm’s book-to-market ratio is greater than one
Review of Quantitative Finance and Accounting - Tập 45 - Trang 509-539 - 2014
This paper examines the factors associated with the length of time that a firm’s market value is below its book value. From 1990 to 2010, approximately 19 % of firm quarter observations have a market value below their book value, and 46 % experience a market value below its below book value for more than 1 year. I investigate firm characteristics—accounting aggressiveness, asset liquidity, debt co......
Conditioning information and cross-sectional anomalies
Review of Quantitative Finance and Accounting - Tập 43 Số 3 - Trang 529-569 - 2014
Possible explanations of no-synergy mergers and small firm effect by the Generalized Capital Asset Pricing Model
Review of Quantitative Finance and Accounting - - 1991
The Sharpe-Lintner Capital Asset Pricing Model (CAPM) and the General Capital Asset Pricing Model (GCAPM) suggested by Levy (1978), Merton (1987), and Markowitz (1989) are compared and analyzed. Under the GCAPM we obtain the following main results: 1) the value additivity principle breaks down, which explains mergers and acquisitions; 2) beyond a certain limit, the profit from additional merger is......
Tunneling through related-party loan guarantees: evidence from a quasi-experiment in China
Review of Quantitative Finance and Accounting - Tập 47 - Trang 857-884 - 2015
We use the balance of outstanding related-party loan guarantees (RPLG) issued by Chinese listed firms as a direct measure of tunneling. By adopting institutional perspectives and a difference-in-differences approach, we show that firms increased RPLG after the 2008 enterprise income tax reform. More importantly, domestic firms had larger increases of RPLG compared to foreign-invested firms during ......
The interaction between accounting and real earnings management using simultaneous equation model with panel data
Review of Quantitative Finance and Accounting - Tập 53 - Trang 1195-1227 - 2018
The aim of this paper is to examine the association between accounting-based earnings management and real activities manipulation in a weaker regulatory environment. We measure accruals-based earnings management by modified Jones model. Real earnings management is identified through sales manipulation and discretionary expenditures. The relationship between accruals-based earnings management and r......
Crude oil and gasoline volatility risk into a Realized-EGARCH model
Review of Quantitative Finance and Accounting - - 2019
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