Status Quo and Potential of XBRL for Business and Information Systems Engineering

The paper examines the current state of research as regards the eXtensible Business Reporting Language (XBRL) by using the literature review methodology. The results show that an empirical-quantitative research design is used most of the time. The contributions vary in substance in terms of research on XBRL and research with XBRL. Research with XBRL focuses on the development of conceptual XBRL extensions. Work on XBRL considers, for example, the changes in reporting as a result of XBRL as well as the acceptance and enforcement of financial reporting standards. The results point to open issues and are relevant for research and practice.     

Production risk,risk aversion and the determination of risk attitudes among Spanish rice producers

Agricultural production is subject to risk and the attitudes of producers toward risk will influence input choices insofar as these affect production risk. Risk attitudes in turn may be affected by certain socioeconomic characteristics of producers. Using 2004 survey data from a cross‐section of 130 Spanish rice farms, we estimate risk‐aversion coefficients of farmers and investigate the influence of a series of socioeconomic variables on their risk attitudes. Our results show that farmers exhibit risk‐averse behavior and that risk attitudes are related to a series of socioeconomic characteristics. In particular, the belief that the farm will continue after the producer retires is found to increase the degree of risk aversion, while age is found to have nonlinear effects on risk aversion. Off‐farm income, especially from nonagricultural activities, is found to reduce risk aversion. Neither the educational level of the producer nor the presence of dependents on the household is found to have an effect on risk preferences. Regarding the production technology, we find that land, labor, and fitosanitary products are risk‐reducing inputs, whereas capital, seeds, and fertilizer all increase risk.     

The 52-week high,momentum, and predicting mutual fund returns

George and Hwang (J Finance 59:2145–2176, 2004) have shown that the 52-week high share price carries significant predictive ability for individual stock returns, dominating other common momentum-based trading strategies. Based upon their results and other methods, this paper examines and compares the performance of three momentum trading strategies for mutual funds, including an analogous 1-year high measure for the net asset value of mutual fund shares. Strategies based on prior extreme returns and on fund exposure to stock return momentum are also examined. Results show that all three measures have significant, independent, predictive ability for fund returns. Further, each produces a distinctive pattern in momentum profits, whether measured in raw or risk-adjusted returns, with profits from momentum loading being the least transitory. Nearness to the 1-year high and recent extreme returns are significant predictors of fund monthly cash flows, whereas fund momentum loading is not.     

Market Conditions and Housing Choices: A Comparison of Homeownership Across Three Decades

This article uses information on out‐of‐pocket housing cost and house price appreciation along with the geo‐coded version of the Panel Study of Income Dynamics to consider the differences in the impact of these and other variables on the tenure choices of sample households across three time periods, the 1970s, the 1980s and the 1990s. Specifically, an extended continuous time probability model is used to examine households' transitions from renting to owning and subsequent possible transitions either back to rental tenure or to another owned home during our three observation periods. Coefficient estimates show that financial variables such as house price appreciation and out‐of‐pocket housing cost play an important role in determining all the transitions. In addition, the analysis demonstrates the interesting result that the cumulative likelihoods of homeownership derived from the model are consistently lower than the probabilities of an initial transition to homeownership from rental tenure during the observation period. Finally, the magnitude and timing of the impact on homeownership of a policy experiment that eliminates the mortgage interest deduction are shown to differ substantially across the three decades.     

How well do investors understand loss persistence?

This paper examines investors’ expectations of loss persistence. I develop a model to forecast loss firms’ future earnings based on Joos and Plesko, The Accounting Review 80: 847–870, (2005). This model produces smaller forecast errors than two random walk models and a model that assumes losses are transitory. The results suggest that investors do not fully distinguish the differences in loss persistence captured by the model and instead appear to assume that all losses are transitory. Consequently, investors are surprised by future announcements of negative earnings for firms with predicted persistent losses, and these firms experience significantly negative abnormal returns over the following four quarters. Additional results indicate that the future negative returns of firms with predicted persistent losses are smaller in magnitude when these firms are followed by analysts. The results are robust to controls for various price anomalies and are not driven by short sale constraints.     

Measuring Lifetime Redistribution in Dutch Occupational Pensions

Summary  This paper assesses how the Dutch system of occupational pensions redistributes between and within generations. The approach in this paper deviates from the usual approach by incorporating the full life cycle in the measurements, rather than only the annual effects. In order to quantify redistribution, we use the level of educational attainment, gender and age to classify the pension fund population. For all groups distinguished, we measure in present value terms the average net benefit from participating in occupational pensions. The results indicate a sizable redistribution from males to females and from low educated to higher educated workers. On a lifetime basis, the impact of intergenerational transfers is modest. I am grateful to the two anonymous referees, Ed Westerhout, Casper van Ewijk, Lex Meijdam, Yvonne Adema and Peter Kooiman for their helpful comments on earlier drafts of this paper, and to Andre Nibbelink for his valuable computational assistance.