An empirical analysis of marginal conditional stochastic dominance

Stochastic dominance is a more general approach to expected utility maximization than the widely accepted mean–variance analysis. However, when applied to portfolios of assets, stochastic dominance rules become too complicated for meaningful empirical analysis, and, thus, its practical relevance has been difficult to establish. This paper develops a framework based on the concept of Marginal Conditional Stochastic Dominance (MCSD), introduced by Shalit and Yitzhaki (1994), to test for the first time the relationship between second order stochastic dominance (SSD) and stock returns. We find evidence that MCSD is a significant determinant of stock returns. Our results are robust with respect to the most popular pricing models.     

A sovereign risk index for the Eurozone based on stochastic dominance

We propose a new method to assess sovereign risk in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. Our analysis is based on macroeconomic fundamentals and their importance in accounting for sovereign risk. The results suggest that net international investment position/GDP and public debt/GDP are the main contributors to country risk in the Eurozone. We also conduct ranking analysis of countries for fiscal and external trade risk. We find a positive correlation between our rankings of the most vulnerable countries and the S&P’s ratings, whereas the correlation for other countries is weaker.     

Manual vs. computerized practice sets: A test for differences

This article reports the results of an experiment comparing the test performance, attitudes and time requirements of two groups of intermediate financial accounting students completing a practice set. The practice set was used at the beginning of the course as an accounting cycle review. One group of students completed a manual practice set; the other completed a nearly identical computerized practice set. Practice set formats were found to have no significant effect on students' test performance and little effect on their attitudes. However, students completing the computerized format did so in significantly less time than students completing the manual format.     

中美货币供应与经济增长的比较研究

20世纪90年代,中国和美国的经济都实现了持续较快增长.经济增长离不开货币供应的支持,通过对20世纪90年代中国与美国金融发展中货币供应与经济增长的相关关系进行比较研究发现:两国的各层次货币供应量均与GDP高度相关,且都有显著的线性依存关系;但程度却不相同,货币流通速度也有差异.我国应充分有效地利用金融资源服务于经济、金融的发展.     

Evidence from China on the value relevance of operating income vs. below-the-line items

This study investigates the value relevance of operating income vs. below-the-line items in the Chinese stock market. The motivations for this study are twofold. First, there is a need for empirical evidence of the value relevance of earnings components given that previous findings of value relevance in China at the aggregate level have often been questioned in the literature. Second, the reporting environment for earnings components in China provides an interesting opportunity to present additional evidence on the pricing of persistent vs. less persistent earnings. Chinese GAAP is more specific in defining the scope and specifying the format of reporting earnings components with different levels of persistence. In addition, differing from the U.S. evidence in the extant literature, below-the-line items in China is overwhelmingly income-increasing and frequently account for a large percentage of a firm's reported net income. By linking valuation analysis with earnings time-series properties, we present additional evidence to support value relevance in China: An earnings component is impounded in stock prices as long as it is persistent and nonpersistent below-the-line items are value irrelevant. However, the time-series properties of earnings components are not fully priced by the market. The earnings-response coefficients are larger for below-the-line items than for operating income, although below-the-line items are less persistent and have lower predictive power. In discussing this pricing anomaly, we identify some unique institutional factors that may be responsible for the results.     

美国财务会计准则公告第157号《公允价值计量》介绍与启示

随着公允价值日益得到国际上主要会计准则制定机构的认同,如何进行公允价值计量成为各国会计理论和实务工作者关注的问题,而公允计量指南的缺乏一直是制约公允价值应用的重要因素。为此,     

The effect of recognition vs. disclosure on investor valuation: The case of pension accounting

Whether or not the format of financial reporting influences user assessment of the reported information is an important issue to the Securities and Exchange Commission (SEC), the Financial Accounting Standards Board (FASB), and managers. Do investors, in determining security prices, differentiate between information recognized in the balance sheet and that disclosed in the footnotes? The findings indicate that investors appear to consider pension information disclosed in the footnotes as value-relevant, given that an accrued (prepaid) pension liability (asset) is also recognized in the balance sheet. Second, investors attach equal importance to both sorts of pension information.     

The deregulatory effects of the Telecommunications Act of 1996 on the broadcasting industry: Expectations vs. reality

The broadcasting industry experienced drastic deregulation with the passage of the Telecommunications Act of 1996. This study examines the capital market reactions to the passage of the Act and aftermath changes in profitability and efficiency in the broadcasting industry. This study finds that the deregulation, particularly relaxing the rules for broadcast ownership, had significant positive effects on stock returns for the broadcasting firms. Among them, firms focusing on broadcasting business and small television groups gained more from the deregulation in terms of increases in market value, as opposed to diversified and large television groups. The longitudinal analysis indicates that the profitability of broadcasting firms in terms of return on sales improved after the Act. This can mainly be attributed to broadcasting firm’s increased market power that resulted from increased industry concentration. Profitability in terms of return on assets, however, deteriorated after the Act, which can be attributed to decreased operating efficiency represented by asset turnover. We find no evidence that the deregulation improved the broadcasting industry’s efficiency of employees to generate sales. Our findings question the notion that the deregulation would help the industry to improve its operating efficiency by achieving economies of scale.