A theorem on regression coefficients obtained from successively extended sets of variables

Abstract

1. Introductory. - The theorem of the present note is intended as a comment on multiple regression analysis as employed in the study of causal relations. Trying to formulate in general terms, our theorem will refer to the following situation: We are concerned with a variable phenomenon, say ξ₀, which is regarded as causally determined by a number of other variables, say ξ₁, ξ₂,…; it is desired to find out a numerical formula for the dependence, so that ξ₀ can be calculated (more or less approximately) when knowing ξ₁, ξ₂ …; the dependence is studied by the use of multiple regression analysis; the influencing factors ξ₁, ξ₂,... are numerous and intercorrelated.     

Dimensions in the confluence of futures studies and action research

This article puts forward the proposition that the confluence of action research and futures studies can be seen across a number of domains: political, organisational, grassroots, global and individual. While this confluence embodies an heterogeneity of practices, it is their underlying approach, the processes used, which are shared. Identifying both the many distinctive practices in their unique contexts, and their more homogeneous processes is the primary task of this paper. Aspects of this confluence are explored as they relate to social change, empowerment, humanisation, ways of knowing and ethics.     

Momentum and macroeconomic state variables

We find strong evidence that momentum across asset classes is driven by macroeconomic state variables. By reacting to changes in the macroeconomic environment, the strategy performs particularly well in times of economic distress. This result is interesting for practitioners and academics alike the success of an investment strategy that simultaneously looks at relative momentum across currencies, bonds, real estate, commodities, and equities can be interpreted as a payoff for rational investors hedging against predictable changes in the investment opportunity set. Our results allow us to establish a link between momentum and more sophisticated predictive regressions.     

A productivity analysis of Central and Eastern European banking taking into account risk decomposition and environmental variables

This paper develops a Luenberger productivity index that is applied to a technology where desirable and undesirable outputs are jointly produced and are possibly negative. The components of this Luenberger productivity index - the efficiency change and the components of the technological shift - are then decomposed into factors determined by the technology, adjusted and then for ‘risk and environment’, ‘risk management’ and ‘environmental effects’. The method is applied to Central and Eastern European banks operating during 1998-2003 utilising three alternative input/output methodologies (intermediation, production and profit/revenue). Additionally, the comparative analysis of the sensitivity of the productivity indices in the choice of the methodologies is undertaken using statistical and kernel density tests. It is found that the main driver of productivity change in Central and Eastern European banks is technological improvement. That is, in the beginning of the analysed period, the results hinged on the banks ability to capitalise on advanced technology and successfully take into account ‘risk and environmental’ factors. Whereas, in later periods, one of the most important factors of technological improvement/decline was ‘risk management’. Finally, the tests employed confirm previous findings, such as Pasiouras (2008)in this journal, that different input/output methodologies produce statistically different productivity results. Finally, we find that external factors, such as ‘risk in the economy’ and banking production, and a ‘corruption perception’ affect the productivity of banks.     

Testing contingency hypotheses in budgetary research: an evaluation of the use of moderated regression analysis

In the contingency literature on the behavioral and organizational effects of budgeting, use of the Moderated Regression Analysis (MRA) technique is prevalent. This technique is used to test contingency hypotheses that predict interaction effects between budgetary and contextual variables. This paper critically evaluates the application of this technique in budgetary research over the last two decades. The results of the analysis indicate that the use and interpretation of MRA often do not conform to proper methodology and theory. The paper further demonstrates that these problems seriously affect the interpretability and conclusions of individual budgetary research papers, and may also affect the budgetary research paradigm as a whole.     

剩余收益模型与股票未来回报

本文采用Hou et al.(2012)公司基本面盈余预测模型并结合剩余收益模型对上市公司的内在价值进行估计,并分析内在价值与市价比率(V/P)与股票未来回报之间的关系。我们发现基于V/P分组的投资组合,在未来一至三年规模调整的持有超额回报套利分别达到15.2%、37.9%和55.9%;在控制了市账比等因素以后,V/P对股票未来回报仍然具有显著的预测作用。本文的研究克服了以往文献中运用证券分析师盈余预测进行剩余收益模型估值的内在局限,并提供了我国资本市场背景下切实可行的基于剩余收益模型估值的投资组合策略。     

Understanding the variables in planning infrastructure projects

When planning for an infrastructure renovation or expansion, hospital executives should ask five questions to guide the decision-making process: What is the best way to plan for infrastructure improvements? What funding options exist? What is the best way to manage risk? What outcomes should I expect from my investment? When complete, will my project support the intended use?     

Testing for strict stationarity in financial variables

This paper considers the stationarity properties of a variety of financial variables using statistical tests for strict stationarity. We find that there has been a gradual shift in unconditional variances for the variables examined during the 90’s and 2000’s and that this is the main cause of the widespread rejection of the strict stationarity null hypothesis. This is a powerful result which suggests that the consideration of conditional mean and, especially, conditional variance models which assume stationarity is problematic for the period under examination. This casts serious doubts on the usefulness of models that assume strict stationarity and model conditional second moments, such as GARCH and stochastic volatility models.     

Residual Income and Value-Creation: The Missing Link

This paper extends the residual income literature to provide a framework for the use of residual income in performance measurement, applicable in value-based management. It shows that, under a simple initializing assumption, an accounting-free measure of excess value created over a multi-period interval can be written entirely in terms of (i) within-interval realized residual incomes and (ii) end-of-interval expected future residual incomes, both appropriately adjusted for the time value of money. It also shows that, when the simple initializing assumption is relaxed, excess value created can be expressed in terms of excess residual incomes, measured by comparison with expectations as at the beginning of the multiperiod interval.     

分配权能对应与会计行为异化

企业财务报告舞弊是企业会计行为异化的结果, 在自利需要、动机驱使与约束缺失的情况下, 会计行为异化就会发生。分配权力和分配能力的对应是扼制会计行为异化的有效制度安排, 这一制度安排与现代企业的“共同治理”模式相结合, 就产生了会计行为应当公平反映、计量各企业利益相关者的要素贡献与剩余索取权的基本要求。现实中各类利益相关者分配权力与分配能力之间的配对错位和冲突, 就会导致会计行为的异化和财务报告舞弊的发生。     

Leading indicator variables and managerial incentives in a dynamic agency setting

This paper studies, in a dynamic agency setting, how incentives and contractual efficiency are affected by leading indicators of firms’ future financial performance. In our two-period model, a leading indicator variable provides a noisy forecast of the uncertain return from the manager’s long-term effort, and both contracting parties cannot refrain from renegotiating contract terms based on updated information. We find that the leading indicator can reduce the manager’s long-term effort incentive, as it allows the firm owner to capture more of the resulting return through renegotiated wages (i.e., the manager is held up). By reducing the uncertainty about future aggregate cash flows, the leading indicator also exacerbates the “ratchet” effect and discourages the manager’s short-term effort. In equilibrium, as the leading indicator becomes more accurate in forecasting future cash flows, the first-period contract attaches higher explicit weights to both the forward-looking leading indicator and backward-looking cash flow, and yet the manager may find it optimal to reduce both the short- and long-term efforts. We further show that with a more accurate leading indicator variable, the explicit incentive on the lagging cash flow may increase more than that on the leading indicator, and the equilibrium firm profit may decrease and diverge from the manager’s equilibrium efforts.     

Macro variables and the components of stock returns

We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market dividend yield and the T-bill rate. Including the macro factors does not have a significant impact in the estimation of the components of aggregate (excess) stock returns—cash-flow, discount-rate, and interest-rate news. Using the macro factors in the computation of cash-flow and discount-rate news does not significantly improve the fit of a two-factor ICAPM for the cross-section of stock returns.     

A note on beneficial changes in random variables

This paper is an extension of Jack Meyer's paper titled “Beneficial Changes in Random Variables Under Multiple Sources of Risk and Their Comparative Statics” published in the June 1992 issue of this journal. The extension consists of showing which of the sufficient conditions in Meyer's Theorems 1 and 3 are also necessary, and which are not. In addition, conditions are provided which are necessary and sufficient for general beneficial changes to imply a decrease in the demand for insurance.     

合伙人结算分配产生纠纷之后

本案当事双方与其他二人合伙承包一煤矿,并依法取得了经营权。承包满一年,一方与煤矿所有者和另一公司签订了“一揽子协议书”,终止了承包经营。煤矿所有者同意支付给合伙人2800万元人民币,作为他们在煤矿经营期间的投入及解除承包关系的补偿。在协议生效后,煤矿所有者偿付了1600万元,余款尚未到位,于是引发了一场纠纷     

企业价值评估的剩余收益法

近年来虽然在财务管理和证券估值的领域里广泛地介绍和推介企业价值评估的剩余收益模型（RIM）,但是在评估的文献中却鲜有介绍RIM方法的文章。本文试图在最简单的前提条件下介绍RIM方法的基本特点．然后采用评估师熟悉的方式用简化实例演算RIM模型并与DCF方法计算结果进行比较,以便使注册资产评估师能够正确地理解和掌握这一方法。     

Hedge funds,managerial skill,and macroeconomic variables

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust to adjustments for backfill bias, incubation bias, illiquidity, fund termination, and style composition.     

Cross-sectional association between abnormal returns and firm specific variables

Abnormal returns (market model prediction errors) are the subject of many event studies in accounting and finance literature. Conditional on the event of interest, researchers have recently used cross-sectional regressions to examine relations between abnormal returns and firm specific variables. This paper demostrates that non-constant variences and covariances in market model residuals across firms introduced bias in the estimated slope coefficients of the independent variables, i.e., the expected signs of the estimated slope coefficients can be predicted a priori. A method is develope to removed the bias in the estimated slope coefficiets and is found to be effective. This method explicitly takes the dependence among abnormal returns across firms into account. Methods that assume abnormal returns across firms to be independent do not control for such bias.     

Testing for structural breaks in return-based style regression models

Financial Markets and Portfolio Management - It is important for investors to know not only the style of a fund manager in which they are interested, but also whether this style is constant or...