THE RELATIONSHIP BETWEEN THE VARIABILITY OF INFLATION AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION

Several researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.     

THE ROLE OF INFLATION-ADJUSTED ACCOUNTING DATA IN CORPORATE RISK ANALYSIS: AN EMPIRICAL INVESTIGATION*

Both in the U.S. and abroad, certain large companies are required to report accounting data adjusted for the effect of changing prices. This study investigated the role of such adjusted accounting data in corporate risk analysis. Loan decision situations were constructed for a firm whose income from continuing operations reported in accordance with Statement of Financial Accounting Standard No. 33 (SFAS 33) was drastically reduced. Questionnaires were mailed to 1,050 randomly selected bank lending officers (BLOs) in 240 banks in 40 states and the District of Columbia. A group of BLOs received no SFAS 33 data and served as a control. While most of the responding BLOs did not seem to use SFAS 33 data in making their decisions, those who reported that they used such data reached significantly different decisions from those of the control group. More specifically, the users evaluated the firm twice as risky and recommended significantly lower loans than the control group with respect to both short-term and long-term loans. Furthermore, the users spent significantly more time in data analysis and decision making than the control group.     

THE ELIMINATION OF DIRECTOR LIABILITY AND STOCKHOLDER RETURNS: AN EMPIRICAL INVESTIGATION

In this paper, the performance of the common stock of Delaware and non-Delaware firms is examined during the Delaware legislature's debate and approval of an amendment to the Delaware General Corporation Law permitting the elimination of director liability. In addition, stockholder returns surrounding the proxy and meeting dates for certain Delaware firms are examined. Results indicate that Delaware firms performed worse than non-Delaware firms during the legislative period; however, strong differences between the two groups are not documented.     

THE SLOPE OF THE TERM STRUCTURE OF CREDIT SPREADS: AN EMPIRICAL INVESTIGATION

In this article we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market, and idiosyncratic equity variables that the recent empirical literature highlights as important determinants of credit spread levels. This study extends the analysis and assesses its effect on credit slopes for a sample of corporate bonds. We find that these factors affect credit spreads at short and long maturities in a significantly different way. A closer inspection of the credit spread slope also reveals that it is a useful indicator of the direction of changes in future short‐term credit spreads. This evidence has important implications for the trading and risk management of portfolios of bonds with different maturities.     

INTERNALIZATION AND MARKET QUALITY: AN EMPIRICAL INVESTIGATION

We explore the relation between market quality and internalization through a pre- and postenactment analysis of the implementation of the Toronto Stock Exchange (TSE) Price Improvement Rule on October 26, 1998. We find that the rule revision is accompanied by falls in the bid–ask spread and the variance of the pricing error and by rising internalization rates. This study informs proponents of market concentration, brokers, dealers, exchange administrators, and market regulators that a judicious regime of regulated internalization may be associated with superior market effectiveness.     

REORGANIZATION AND FINANCIAL DISTRESS: AN EMPIRICAL INVESTIGATION

Prior studies on financial distress focus on the restructuring of one aspect of the firm. By examining various forms of restructuring, we provide empirical evidence that asset restructuring and governance restructuring play significant roles before bankruptcy filing. Our analysis shows that financial restructuring before bankruptcy is influenced by the holdout problem among creditor groups. Evidence suggests that the fraudulent conveyance provision does not pose a serious impediment to divestitures during the two years before bankruptcy. The evidence also indicates that Chapter 11 reorganization is lenient toward management. Although Chapter 11 allows the firm to breach burdensome executory contracts with employees, our findings suggest that union busting is not an important part of the reorganization process. Finally, we identify various financial characteristics to predict the different types of restructuring a firm may undertake.     

AN EMPIRICAL INVESTIGATION OF THE AUDIT EXPECTATION GAP: AUSTRALIAN EVIDENCE

This paper examines the existence and nature of the expectation gap in Australia and whether recent changes to the wording of audit reports have affected that gap. A mail questionnaire was completed by auditors, accountants, directors, creditors, shareholders and undergraduate students. There was a gap between auditors and the various user groups under the old report wording prior to the issuance of the revised AUP 3. The modified wording in the revised AUP 3 had a significant impact on beliefs about the nature of an audit and the relative responsibilities of auditors and management. The modified wording eliminated some of the differences, but also created some new differences in beliefs about the messages communicated through audit reports. The auditing profession's fears about an expectation gap appear to be justified.     

THE DEBT MATURITY CHOICE: AN EMPIRICAL INVESTIGATION

In this paper I develop and test three nonmutually exclusive hypotheses about the determinants of corporations' debt maturity choices using a sample of corporate bonds issued between 1982 and 1986. The empirical evidence strongly supports the hypothesis that firms use bond maturity to facilitate monitoring by outsiders (the monitoring hypothesis) and weakly supports the hypothesis that firms with high-quality projects use bond maturity to signal project quality (the signaling hypothesis). The evidence does not support the hypothesis that firms use bond maturity to achieve an optimal trade-off between interest tax shields and bankruptcy costs (the tax/bankruptcy cost hypothesis).     

AN EMPIRICAL INVESTIGATION OF STOCK DIVIDENDS-IN-KIND

We investigate share price reactions to announcements of dividends payable in the common stock of corporations different from the issuing firm. We find that firms that declare these dividends (typically investment companies) experience positive abnormal returns upon announcement. We also find that such dividends are more likely to be declared when the shares to be distributed have peaked in value. Consistent with this finding, we document negative announcement-period abnormal returns for firms having their shares distributed. Additional tests reveal that prices respond more negatively when the information signal is strongest, when outside ownership is more dispersed, and when management is more entrenched.     

AN EMPIRICAL ASSESSMENT OF THE “FIT”BETWEEN STRATEGY AND MANAGEMENT INFORMATION SYSTEM DESIGN

This paper was motivated by the limited understanding of the role of accounting vis a vis other information in supporting the needs of management. The paper reports the findings of a study which examined differences in the design parameters of management information systems in firms adopting different strategic priorities. Based on a sample of 49 business unit general managers, the findings indicate that the effectiveness of business units is dependent on a match between the design of the information system and the firm's strategic posture. Information systems which have the characteristics of a broad scope system were found to be more effective in firms employing a strategy of continuous product/market development and innovation (Prospectors) than in firms which were protecting a comparatively narrow and stable product-market (Defenders). The results have important implications for management accountants involved in the design and implementation of management information systems, especially in firms adopting a more innovative strategic posture. In particular, the study sheds light on the role of accounting as part of the “mosaic” of information provided to managers for decision making.     

AN EMPIRICAL INVESTIGATION OF THE EXTENT AND NATURE OF BRAND VALUATION ACTIVITY IN NEW ZEALAND

An empirical study concerned with investigating the prevalence and nature of brand valuation activity in strongly-branded New Zealand based companies is reported. Analysis of data provided by 60 companies responding to a questionnaire mailed to all New Zealand companies identified as owning recognisable brand names revealed that 15 (25%) had been involved in brand valuation activity. Support for a hypothesised relationship between the acquisitive orientation of companies and the propensity to value brands has been provided. The extent to which brand valuation is conducted as an information service to management suggests that the financial accounting orientation that has characterised much of the brand valuation debate may be somewhat inappropriate.     

THE RELATIONSHIP BETWEEN DIVIDEND CHANGES AND CASH FLOW: AN EMPIRICAL ANALYSIS

It is often assumed that cash flow affects dividend payout. This study provides evidence on the incremental information content of cash flow numbers over Profits and Previous Year's Dividends (Lintner's model) in explaining changes in cash dividends. It further examines whether different measures of cash flow differ in information content for dividend-increasing and dividend-decreasing firms. Lintner's model of dividend changes is robust across firms with either dividend increases or decreases. The null hypotheses, that no definition of cash flow adds to the model, could not be rejected for any of the definitions.     

我国金融发展与经济增长关系的理论与实证研究

改革开放以来,金融发展对我国的经济增长具有积极的推动作用,但力度有限,甚至有些指标还呈现负面影响;总体来看,我国的金融发展滞后于经济增长,现行的金融体制已无法满足企业扩张带来日益增长的融资需求。改善目前落后的金融发展局面,一方面,应努力拓宽企业的融资渠道,让企业更多的利用资本市场进行直接融资,改善融资机制,消除“所有制歧视”,为中小企业创造良好的投融资环境;另一方面,要加速资本市场的发展和规范,发掘债券市场的潜力,为直接融资提供更大空间,并且积极推进非国有银行和中小银行的发展,促成金融机构的合理竞争。