Review of Quantitative Finance and Accounting
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Spot asset carry cost rates and futures hedge ratios
Review of Quantitative Finance and Accounting - Tập 58 - Trang 1741-1779 - 2022
Since the 1970s, futures hedge ratios have traditionally been calculated ex-post via economically structure-less statistical analyses. This paper proposes an ex-ante, more efficient, computationally simpler, general “carry cost rate” hedge ratio. The proposed hedge ratio is biased, but its bias is readily mitigatable via a stationary Bias Adjustment Multiplier (BAM). The 2-part intuition for the B......
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......
Diversification of pre-IPO ownership and foreign IPO performance
Review of Quantitative Finance and Accounting - - 2016
We examine the diversification of pre-IPO ownership of foreign-listed firms and how the presence of pre-IPO shareholders from the host country affects foreign issuer’s subsequent IPO and post-IPO activities. Using a sample of foreign-listed Chinese firms, we find that the presence of pre-IPO shareholders from the host country is associated with a significant reduction in direct and indirect IPO co......
Post-earnings announcement drift and parameter uncertainty: evidence from industry and market news
Review of Quantitative Finance and Accounting - Tập 55 - Trang 695-738 - 2019
Post-earnings announcement drift (PEAD), one of the most prominent and robust return anomalies, is often attributed to investor naiveté or irrationality. A competing explanation is parameter uncertainty, which posits that PEAD may occur as rational investors encounter parameter uncertainty and must learn about the true values of a firm’s pricing parameters over time. This study extends the paramet......
Shareholder taxation and aggregate dividend payout: Evidence from the tax reform act of 1986
Review of Quantitative Finance and Accounting - Tập 3 - Trang 459-468 - 1993
The effect of shareholder taxation on corporate dividend policy is a major controversy in financial economics. The Tax Reform Act of 1986 eliminated the statutory tax disadvantage of dividends versus long-term capital gains for individual shareholders. Using aggregate time series data I find evidence that corporate dividend payout has become more generous in the period after tax reform.
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......
The profitability of interest arbitrage when the base currency is pegged to a basket
Review of Quantitative Finance and Accounting - Tập 37 - Trang 267-281 - 2010
When the interest rate on a currency that is pegged to a basket differs from the interest rate on the basket (as a weighted average), it is possible to make profit from interest arbitrage by going short on the basket and long on the pegged currency, or vice versa. This proposition is illustrated by using data on the Kuwaiti dinar and its basket currencies over the period 1998–2002 when the currenc......
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......
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