The “reverse” weekend effect: the U.S. market versus international markets

In this paper we find that the “reverse” weekend effect—where average Monday returns tend to be positive—is a unique feature of the U.S. market. During the time the U.S. market exhibits the reverse weekend effect, foreign markets still show the “traditional” weekend effect or no effect at all. The results persist even after we sort the data by week of the month and month of the year. We also find that in foreign markets negative Monday returns tend to follow negative Friday returns. However, in the U.S. market, positive Monday returns tend to follow positive Friday returns.     

Discourses surrounding the evolution of the IASB/FASB Conceptual Framework: What they reveal about the “living law” of accounting

The International Accounting Standards Board (IASB) and the Financial Accounting Standards Board (FASB) recently published the final version of Chapter 1 of their joint Conceptual Framework for Financial Reporting (IASB/FASB, 2010). In this article, we focus on two of the key issues addressed in Chapter 1: stewardship and the definition of the primary user groups of financial statements. To address the discourses surrounding the evolution of Chapter 1, we introduce the concept of “living law” from sociological jurisprudence into accounting scholarship. We first trace the role of stewardship/accountability in the evolution—from antiquity to the present day—of the living law of accounting. We then explore the origin, nature, and implications—from a living law perspective—of the moral traditions associated with stewardship/accountability. Our analysis suggests that stewardship has been, and continues to be, embedded in the living law of accounting—notwithstanding the formal pronouncements of standard setters. We also examine the social accounting project from a living law perspective and we suggest that such an analysis provides new possibilities for addressing core social accounting concerns. We conclude by arguing that, particularly in light of the far reaching impact of the neoliberal agenda, there is an urgent need for scholars in both contemporary “social” and “mainstream” accounting to recognize and build upon their shared living law heritage rooted in the age-old traditions of stewardship/accountability.     

The challenge of the future and the institutionalization of interdisciplinarity: notes on Herman Kahn’s legacy

This article is an attempt to explore Herman Kahn’s foundational contribution to the development of what he called “broad studies”, a combination of futures research and public policy analysis. In Kahn’s view, decision making and policy processes pose two crucial problems that the scholarly research is rarely forced to face: (1) the need to have and operate with a broad, multifaceted vision of phenomena and (2) the issue of coping imaginatively and realistically with future circumstances and conditions that can only vaguely be distinguished in the present. Implied in these two is the need to develop new methods and approaches fitted to the charges imposed by them. The paper discusses Kahn’s work as an integrated solution to these problems: The definition and advocacy of broad and future-oriented studies, his concept on how these studies should be institutionalized in interdisciplinary organizational systems, and the crucial position scenarios and propaedeutic and heuristic methodologies have in this context. A special attention is given to two methodological approaches he developed to cope with these challenges: Scenario Building and the Method of Classes of Variables.When twenty years ago, on July 7, 1983, Herman Kahn died suddenly at age 61, both friends and intellectual adversaries recognized that “the world lost one of its most creative and best minds” [1] and [2]. By that time Herman Kahn was one of the preeminent and best known Futures Studies scholars, a founding father of the field, with extensive and vital contributions in Strategic Studies, an area where he was also considered a founding figure and a leader [3] and [4]. His work was followed all over the world and the directions he traced in the public debate on very sensitive issues of crucial public concern have continued to be unaltered today, twenty years after his unexpected and premature death. Yet in spite of the incessant influence of his arguments and ideas, today his intellectual legacy is still to be accounted for and the breath and depth of his contributions are still to be reviewed and analyzed in a systematic way. This paper is an attempt to explore only one dimensions of this legacy: Kahn’s foundational contribution to the development of what he liked to call “broad studies”, a combination of futures research and public policy analysis.The two decades that have passed since his death allow us today to approach his work undisturbed by the “sound and fury” of the many public debates and controversies he participated in and to focus on some of the deepest and most enduring dimensions of his intellectual contributions. However while doing that, we should keep in mind that for Kahn the public policy process shaping the future and the public debate associated to it were always the focal points and the ultimate ends of his efforts. Indeed, probably the best approach to Kahn’s work is to see it in the light of his continuous concern for the practical relevance of the social research. For him the research process was always action-oriented and its ultimate test was its relevance for policy and social action. As a result, the most promising starting point for any overview of Kahn’s thought and work should be a set of crucial conclusions he reached about the policy making process and decision makers early in his career.     

The “price puzzle” reconsidered

A large literature has employed structural vector autoregressive (SVAR) models to investigate the empirical effects of U.S. monetary policy. Many of these models regularly produce a “price puzzle”—a rise in the aggregate price level in response to a contractionary innovation to monetary policy—unless commodity prices are included. Conventional wisdom maintains that commodity prices resolve the price puzzle because they contain information that helps the Federal Reserve forecast inflation. I examine a number of plausible alternative indicator variables and find little correlation between an ability to forecast inflation and an ability to resolve the price puzzle. Additionally, a sub-sample investigation reveals that evidence of a price puzzle is associated primarily with the 1959-1979 sample period, and that most indicators—including commodity prices—cannot resolve the puzzle over this period.     

Boundary work: Costing and caring in the social services

“Where does it stop on costs?”—this paper offers some responses to this question on the appropriate boundaries for costing expertise. The question was posed by a contracts officer within a social services department. The context for the question was an empirical research study in which front line welfare professionals were asked to comment, first, on costing information which could, possibly, assist in making “value for money” assessments and, second, on the contracting regime within which such costing information assumes a potentially highlighted significance. At the first stage of the study welfare professionals were found to be engaged in boundary-work to prevent the encroachment of costs on care activities. “Costing” and “caring” were being managed as “disengaged domains” through the boundary work of obfuscation, “reality-defining” and marginalization. Consequent upon the initial study the social services departments were re-visited two years later. By this time it was apparent that boundary-work had allowed some engagement between costing and caring. The paper argues that processes of alignment between costing and caring and the reconstitution of organizational tasks (including the creation of care “managers”) have allowed social work professionals to accept some costing work—work which had previously been defined as “the other”. The major themes of this paper are: the exploration of the responses of operational social services personnel to their new financial roles, and the interpretation of change in the social services context through the ideas of boundary-work. These themes are developed through a consideration of the ambiguous tasks of welfare-professionals and the consequent indeterminacy of resourcing decisions. The paper concludes that the limits of applicability of costing are yet to be set in the domain of the social services.     

The empirical risk–return relation: A factor analysis approach

Existing empirical literature on the risk–return relation uses relatively small amount of conditioning information to model the conditional mean and conditional volatility of excess stock market returns. We use dynamic factor analysis for large data sets, to summarize a large amount of economic information by few estimated factors, and find that three new factors—termed “volatility,” “risk premium,” and “real” factors—contain important information about one-quarter-ahead excess returns and volatility not contained in commonly used predictor variables. Our specifications predict 16–20% of the one-quarter-ahead variation in excess stock market returns, and exhibit stable and statistically significant out-of-sample forecasting power. We also find a positive conditional risk–return correlation.     

How do firms react to the prohibition of long-lived asset impairment reversals? Evidence from China

New Chinese Accounting Standards (CAS) released on February 15, 2006, prohibit the reversal of long-lived asset impairments, effective for reporting periods beginning January 1, 2007 and later. This development in the Chinese market provides a unique experimental setting to directly investigate how firms react to the ban on previously-allowed long-lived asset impairment reversals, especially firms that use impairment charges as “cookie jar reserves.” By contrasting write-off recognition and reversal across the pre- and post- new CAS announcement regimes, we show that firms listed on Chinese stock exchanges recognized less impairment charges during the “transition” period—after announcement of the new standard and before the effective date—than in pre-announcement periods. Meanwhile, firms with substantial previous write-downs reversed more impairment charges to achieve their earnings targets in the transition period. The new CAS also constraints “big bath” reporting by loss firms. As US GAAP prohibits these reversals and IFRS allows them, our empirical evidence depicts firms’ possible reactions in other regimes contemplating doing away with such reversals.     

Calendar anomaly in the Greek stock market: Stochastic dominance analysis

Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires no assumptions regarding the normality of return distributions, and it imposes few restrictions on investors' risk-return tradeoff preference. Between 1985 and 2004, we find temporal predictability of returns in the ASE — a strong “day” effect and rather weak “week” and “January” effects. Our findings on the week and January effects are far less robust as compared to those reported in earlier studies based on parametric tests.