DIVERGENCE OF OPINION AND LONG‐TERM PERFORMANCE OF INITIAL PUBLIC OFFERINGS

Miller's hypothesis posits that divergence of opinion can lead to asset overvaluation and subsequent long‐term underperformance in markets (such as initial public offerings [IPOs]) with restricted short‐selling. Consistent with this hypothesis, we find that early‐market return volatility, a proxy for divergence of opinion, is negatively related to subsequent IPO long‐term abnormal returns. This relation holds after accounting for other factors that previous studies suggest affect long‐term abnormal returns for IPOs (including another proxy for divergence of opinion). Moreover, we find that this relation is stronger in IPO markets than in non‐IPO markets (where short‐selling restrictions are less stringent), again consistent with Miller's hypothesis.     

DIRECT TESTS OF THE DIVERGENCE OF OPINION HYPOTHESIS IN THE MARKET FOR RACETRACK BETTING

The “divergence of opinion” hypothesis suggests predictable pricing effects in markets where assumptions of homogeneous investor expectations and unrestricted short selling do not hold. Direct tests of the hypothesis in traditional financial markets do not exist apparently because of the severity of several requirements, including that measurement of divergent ex-ante expectations be unambiguously paired with associated ex-post results. This and remaining conditions are met in direct tests of the hypothesis in a pricing arena where divergence of opinion influences are likely to be present: racetrack betting. Results provide no statistically significant support for the divergence of opinion hypothesis.     

PROJECT HOLDING-PERIOD RATE OF RETURN AND THE MIRR

In this paper we examine the relationship between the Modified Internal Rate of Return (MIRR) and a project's expected holding-period rate of return assuming that cash flows are reinvested at the cost of capital. When cash flows are uncertain, the MIRR overstates the expected holding-period rate of return. The relationship between the MIRR and a project's expected holding-period rate of return is shown to be a simple function of conventional project statistics like the coefficient of variation of the present value of random cash flows, the profitability index, the cost of capital, and the project's life.     

CAPITALIZATION OF INTEREST, MATERIALITY JUDGMENT DIVERGENCE AND USERS'INFORMATION NEEDS

A review of the international literature surrounding the concept of materiality yields no existing standards, no consensus of opinions, and little consistency of judgments. This study examines the initial application by auditors in the United States of SFAS No. 34 to comparative financial statements. The study finds that, relative to net income or net plant, the amount of capitalized interest judged to be material covers the same range of values as the amount judged to be immaterial. Such overlap suggests that the basis for disclosure or nondisclosure is not at all clear and that comparison of one firm's results with another may be hampered. The suggestion is made that the most immediate solution to this problem is disclosure and communication of the materiality guidelines used by the preparer of the (inancia1 statements.     

AN ASSESSMENT OF THE RISK AND RETURN OF FRENCH COMMON STOCKS

In this paper the relationship is examined between the average return and the risk of a sample of 144 French common stocks which traded continuously over the decade 1969–1979. Although it was found that a negative relationship existed between average return and systematic risk, sufficient evidence could not be gathered to reject the hypothesis that the pricing of French common stocks conforms to the Capital Asset Pricing Model. The nature and implications of the observed negative risk-return trade-off are discussed.     

IPO的回报

当12月13日IPO发行额达到30亿美元的时候,保险巨子突然成了华尔街倾心关注的焦点.到处都是如何对大额发行股票进行定价的传说.只有那些乌鸦嘴们还在嘟哝着公司所面临的挑战.看到以27.5美元发行的股票头一天的回报就有6.5%,人们总算松了一口气."一定有许多双眼睛在盯着它",财务副总裁马克·格里尔说,"人们都焦虑不安."今年最后一笔新股的大额发行有可能扭转华尔街金融家们通过一系列成功的小额交易悉心培养的市场势头."其中的秘密在于,新股发行市场还没死去",复兴资本IPO研究与投资公司总裁比尔·史密斯说,"它复苏了."