Download Advances in Quantitative Analysis of Finance and Accounting, by Cheng-Few Lee PDF

By Cheng-Few Lee

"Advances in Quantitative research of Finance and Accounting" is an annual ebook to disseminate advancements within the quantitative research of finance and accounting. The booklet is a discussion board for statistical and quantitative analyses of concerns in finance and accounting in addition to functions of quantitative the way to difficulties in monetary administration, monetary accounting, and enterprise administration. the target is to advertise interplay among educational study in finance and accounting and utilized learn within the monetary group and the accounting career. The papers during this quantity conceal quite a lot of subject matters together with gains administration, administration repayment, choice idea and alertness, debt administration and rate of interest concept, and portfolio diversification.

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Additional resources for Advances in Quantitative Analysis of Finance and Accounting, Volume 4

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The negative coefficient of earnings (y) is the only major source of inconsistency with predictions. 6. Financial Management Considerations8 Zhang's (2000) model is based on a set of assumptions similar to those of the Ohlson (1995) and Feltham and Ohlson (1995, 1996) valuation models. s We thank two anonymous referees for pointing this out, which improved an earlier version of this paper. 24 A. William Richardson, Raafat R. Roubi & Hemantha S. B. Herath These models rely on some form of the Miller and Modigliani (1961) discount dividend model which assumes that current earnings are an adequate characterization of future earnings and dividends and assumes capital structure irrelevancy (Modigliani and Miller, 1958).

A comparison of the results of Models 1 and 3 for the steady state firms shows that Model 3 has a noticeably lower explanatory power than does Model 1. Although earnings makes a very important contribution to valuation in Model 3, the large changes in the intercept and earnings coefficients (a) and (y) from those in Model 1 suggest that the former Model 3 is not properly specified. The behavior here parallels that observed by Collins, Pincus, and Xie (1999) in that book value appears to be a correlated omitted variable in Model 3, leading to an upward bias in the coefficient of earnings (y).

Estimated regression coefficients (t-statistics are listed below the coefficients) for Model 1. ): full sample and sub-samples a Full Sample: 64,796 firm-years Bi y Xi Model F-value Prob. 00 45% P Notes: Model 1: V;r = cq + fi\ Blt + y\ Xlt + e,-f. 00 level. 5 In general, based on Gujarati (1992), the presence or absence of positive or negative autocorT relation depends on the calculated d statistics. Positive or negative autocorrelation is said to be present if the value of d is close to zero or 4, respectively.

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