2-3期

最新文章

• Discussion of the effect of accounting restatements on earnings revisions and the estimated cost of capital AI翻译
  作者：Kasnik, R
  作者单位：Stanford University
  摘要：The Hribar and Jenkins study (2004, this issue) investigates the effect of accounting restatements on firms' cost of equity capital. The authors document that the loss of market value associated with restatement announcements is attributable not only to a downward revision in expected future earnings but also to an increase in implied cost of capital. This finding is consistent with the conjecture that restatements lead to increased investors' uncertainty about management credibility and compe...
• Implied equity duration: A new measure of equity risk AI翻译
  作者：DeChow, PM; Sloan, RG; Soliman, MT
  作者单位：University of Michigan System; University of Michigan; Stanford University
  摘要：Duration is an important and well-established risk characteristic for fixed income securities. We use recent developments in financial statement analysis research to construct a measure of duration for equity securities. We find that the standard empirical predictions and results for fixed income securities extend to equity securities. We show that stock price volatility and stock beta are both positively correlated with equity duration. Moreover, estimates of common shocks to expected equity ...
• How banks' value-at-risk disclosures predict their total and priced risk: Effects of bank technical sophistication and learning over time AI翻译
  作者：Liu, CC; Ryan, SG; Tan, H
  作者单位：National Taiwan University; New York University
  摘要：Using a sample of eight large commercial banks from 1994 to 2000, Jorion (2002) finds that banks' VaR disclosures for their trading portfolios predict trading income variability. We extend Jorion's findings wing a larger sample of 17 banks from 1997 to 2002 reporting trading VaRs under FRR No. 48 (1997). W find that banks' trading VaRs have predictive power for trading income variability that increases with bank technical sophistication and over time. We find that banks' trading VaRs have pred...
• Discussion of how banks' value-at-risk disclosures predid their total and priced risk: Effects of bank technical sophistication and learning over time AI翻译
  作者：Ke, B
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：Liu et al. (2004, this issue) show that technical sophistication and learning over time help improve the ability of bank trading portfolios' value-at-risk (VaR) disclosures to predict future trading income risk, and that trading VaRs predict bank-wide total risk and systematic risk. While the results suggest that VaRs are a reliable measure of risk for the sample firms, the study's incremental contribution is limited because of the nature of the sample firms and problems in variable measurement.
• The role of expectations in explaining the cross-section of stock returns AI翻译
  作者：Copeland, T; Dolgoff, A; Moel, A
  作者单位：Harvard University; Hong Kong University of Science & Technology
  摘要：We find highly significant results when the cross-section of market-adjusted stock returns is regressed against changes in analyst expectations this year about: (1) this year's earnings, (2) next year's earnings, (3) long-term earnings growth, and (4) noise (measured as the standard deviation of analyst forecasts). Surprisingly, changes in expectations about this year's earnings are not significant in a multiple regression with the other independent variables. Changes in expectations about nex...
• The role of information precision in determining the cost of equity capital AI翻译
  作者：Botosan, CA; Plumlee, MA; Xie, Y
  作者单位：Utah System of Higher Education; University of Utah
  摘要：We examine the association between the cost of equity capital and the quality of public and private information. We find an inverse relationship between the cost of capital and the precision of public information, but the effect is more than offset by a positive relationship between the cost of equity capital and the precision of private information. Public and private information precisions are positively correlated, and a model that fails to include both is vulnerable to a correlated omitted...
• The effect of accounting restatements on earnings revisions and the estimated cost of capital AI翻译
  作者：Hribar, P; Jenkins, NT
  作者单位：Cornell University; Washington University (WUSTL)
  摘要：This paper examines the effect of accounting restatements on a firm's cost of equity capital. We show that, on average, accounting restatements lead to both decreases in expected future earnings and increases in the firm's cost of equity capital. Depending on the model used, relative percentage increases in the cost of equity capital average between 7 and 19% in the month immediately following a restatement. The relative increase in the cost of capital dissipates as time passes and after contr...