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作者：Dutta, S; Reichelstein, S
作者单位：Stanford University; University of California System; University of California Berkeley
摘要：This paper examines alternative accrual accounting rules from an incentive and control perspective. For a range of common production, financing and investment decisions we consider alternative asset valuation rules. The criterion for distinguishing among these rules is that the corresponding- performance measure should provide managers with robust incentives to make present value maximizing decisions. Such goal congruence is shown to require intertemporal matching of revenues and expenses, tho...
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作者：Piotroski, JD
作者单位：University of Chicago
摘要：The conference paper by Mohanram (2005) provides evidence on the success of contextual financial statement analysis in the low book-to-market (i.e., glamour) stock setting. The economic benefits of the strategy are concentrated in the identification of glamour firms that will ultimately underperform the market. In contrast to traditional accounting-based anomalies, Mohanram's growth-based trading strategy is stronger among large, heavily followed firms, suggesting that the mechanism behind the...
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作者：Beaver, WH; McNichols, MF; Rhie, JW
作者单位：Stanford University
摘要：Using a hazard model, we examine secular changes in the ability of financial statement data to predict bankruptcy from 1962 to 2002. We identify three trends in financial reporting that could influence predictive ability with respect to bankruptcy: FASB standards, the perceived increase in discretionary financial reporting behavior, and the increase in unrecognized assets and obligations. A parsimonious three-variable model provides significant explanatory power throughout the time period, wit...
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作者：Ohlson, JA
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper considers accounting-based valuation formulae. Its initial focus is on two problems related to residual income valuation (RIV). First, insofar valuation depends on theresent value of expected dividends per share, applying RIV requires clean surplus accounting on a per share basis. Awkwardly, equity transactions that change the number of shares outstanding generally imply eps not equivalent to Delta bvps - dps. A clean surplus equality holds only if one re-conceptualizes either end-o...
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作者：Mohanram, PS
作者单位：Columbia University
摘要：This paper combines traditional fundamentals, such as earnings and cash flows, with measures tailored for growth firms, such as earnings stability, growth stability and intensity of R&D, capital expenditure and advertising, to create an index - GSCORE. A long-short strategy based on GSCORE earns significant excess returns, though most of the returns come from the short side. Results are robust in partitions of size, analyst following and liquidity and persist after controlling for momentum, bo...
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作者：Jiang, GH; Lee, CMC; Zhang, Y
作者单位：Peking University; Cornell University; Barclays
摘要：This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of value ambiguity, or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that (1) on average, high-IU firms earn lower future returns (the mean effect), and (2) price and earnings momentum effects are much stronger among high-IU firms (the interaction effect). These findi...
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作者：Pope, PF; Wang, PG
作者单位：Lancaster University; Imperial College London
摘要：In this paper we address three issues in accounting-based equity valuation: (i) How are valuation parameters related to earnings persistence and accounting conservatism when earnings components aggregate, or add up, in valuation? (ii) What does aggregation of earnings components in valuation imply for abnormal earnings dynamics? and (iii) When is an earnings component irrelevant and core earnings the relevant construct for valuation? Assuming linear valuation, no-arbitrage, dividend irrelevanc...
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作者：Zhang, XJ
作者单位：University of California System; University of California Berkeley
摘要：This paper discusses Monahan's empirical study of how conservative accounting of R&D affects the relations (i) between earnings and stock return; (ii) between estimates of value using the residual income valuation model and equity market value. My discussion focuses on the underlying mechanism of why growth matters and how the growth rate should be measured. In particular, I argue that different aspects of growth (e.g., short-term growth versus long-term growth) matter under different circumst...
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作者：Bar-Yosef, S; Sarath, B
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Hebrew University of Jerusalem
摘要：We provide a theoretical rationale for the observed audit industry structure where well-capitalized auditors hold all extremely large market share. Our analysis focuses oil the economics of trading in an adverse selection market where audit quality is unobservable. We show that concentration of market share call arise even if well-capitalized auditors have no relative advantage with regard to supplying highquality audits, and that the strategy of attracting a narrow base of high-margin clients...
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作者：Ghosh, A; Gu, ZY; Jain, PC
作者单位：Georgetown University; U.S. Securities & Exchange Commission (SEC); City University of New York (CUNY) System; Baruch College (CUNY); Carnegie Mellon University
摘要：We show that firms reporting sustained increases in both earnings and revenues have (1) higher quality earnings and (2) larger earnings response coefficients (ERCs) in comparison to firms reporting sustained increases in earnings alone. With respect to earnings quality, firms with revenue-supported increases in earnings have more persistent earnings, exhibit less susceptibility to earnings managernent, and have higher future operating performance. With respect to response coefficients, firms w...
