Cross-Sectional Dependence and the Use of Generalized Least Squares*

Abstract. This paper provides additional evidence on the relation between the actual and asymptotic standard errors under generalized least squares (GLS). Simulations are conducted in the event-study framework using both daily and weekly returns. The case of simultaneous calendar time and industry clustering is also considered. The major finding is that the asymptotic standard errors under GLS can significantly underestimate the true standard errors when the number of parameters estimated is not small compared to the number of observations available to estimate them. To minimize the possibility of incorrect inferences, use of GLS should in general be combined with standard errors obtained from other techniques such as bootstrap. Résumé. L'auteur apporte de nouvelles preuves de la relation entre les erreurs-types réelles et asymptotiques dans le cadre de l'utilisation des moindres carrés généralisés. Il procède à des simulations dans le contexte d'une étude d'événements, en utilisant les rendements à la fois quotidiens et hebdomadaires. Le cas de simultanéité de la date et du groupage par secteur d'activité sont également pris en considération. Principale conclusion de l'auteur: les erreurs-types asymptotiques dans le cadre de l'utilisation des moindres carrés généralisés peuvent entraîner une sous-estimation importante des erreurs-types véritables lorsque le nombre de paramètres estimés n'est pas restreint par rapport au nombre d'observations disponibles pour formuler ces estimations. Si l'on veut réduire au minimum le risque d'inférences inexactes, l'utilisation des moindres carrés généralisés devrait, de façon générale, être combinée aux erreurs-types obtenues à partir d'autres techniques comme celle de l'amorce.     

Market Microstructure: An Examination of the Effects on Intraday Event Studies*

Abstract. This paper examines the implications for intraday event studies of market microstructure factors. It shows how market microstructure factors affect the price process and consequent issues that may arise when event studies are performed over successively shorter time intervals. These issues are examined empirically to determine the most effective way to deal with them. The issues examined are how to deal with time intervals with no trading, the choice of abnormal returns measurement, and the choice of statistical tests to determine if there is a significant price change, the increase in power of the statistical tests that can be attained from examining intraday rather than daily intervals. In conclusion, the best methods to detect price reactions at the intraday level are not the same as those that are currently standard practice for detecting price changes at the daily level. Additionally, intraday event studies are shown to detect significantly smaller price changes than is possible by performing daily event studies; this conclusion depends on the price reaction occurring within the time interval examined. Résumé. L'auteure examine queues sont les conséquences des facteurs relatifs à la microstructure du marché sur les études événementielles effectuées à l'intérieur d'une même journée. Elle décrit comment ces facteurs influent sur le processus d'établissement des prix et les questions que peut soulever la réalisation d'études événementielles à intervalles successifs plus courts. Ces questions, qu'elle examine sous l'angle empirique afin de déterminer la façon la plus efficace de les résoudre, sont les suivantes: le traitement des intervalles de temps pendant lesquels le marché est inactif, le choix de la mesure des rendements anormaux, le choix des tests statistiques visant à déterminer si une variation de prix est significative, et la puissance accrue des tests statistiques lorsque les études événementielles sont découpées par intervalles horaires plutôt que quotidiens. En conclusion, les méthodes les plus efficaces pour détecter les variations de prix à l'intérieur d'une même journée ne sont pas les mêmes que celles qui sont couramment utilisées pour détecter les variations de prix à intervalle quotidien. Il est, en outre, établi que les études événementielles effectuées à l'intérieur d'une même journée permettent de détecter des variations de prix beaucoup plus faibles que ne le permettent les études événementielles effectuées à intervalle quotidien; cette conclusion dépend du comportement des prix à l'intérieur de l'intervalle de temps examiné.     

浅析我国移动支付商业模式的选择与构建

移动支付是移动电子商务发展的核心支持条件。处于发展初级阶段的我国移动支付产业目前面临着商业模式选择以及价值链构建的问题。文章通过分析影响我国移动支付商业模式选择的关键资源和移动支付产业链参与主体对关键资源的掌控能力,提出了适合我国移动电子商务发展状况的移动支付商业模式,以促进我国移动支付产业的创新发展。     

The Effects of Cross-Sectional Scale Differences on Regression Results in Empirical Accounting Research*

Abstract. This study investigates coefficient bias and heteroscedasticity resulting from scale differences in accounting levels-based research designs analytically and using simulations based on accounting data. Findings indicate that including a scale proxy as an independent variable is more effective than deflation at mitigating coefficient bias, even if the proxy is 95 percent correlated with the true scale factor. In fact, deflation can worsen coefficient bias. Also, deflation often does not noticeably reduce heteroscedasticity and can decrease estimation efficiency. White (1980) standard errors are close to the true ones in regressions using undeflated variables. Replications of specifications in three recent accounting studies confirm the simulation findings. The findings suggest that when scale differences are of concern, accounting researchers should include a scale proxy as an independent variable and report inferences based on White standard errors. Résumé. Les auteurs examinent, tant sur le plan analytique qu'au moyen de simulations basées sur les données comptables, la distorsion des coefficients et l'hétéroscédasticité résultant des différences d'échelle dans les plans de recherche comptable basés sur les niveaux. Leurs constatations révèlent que l'inclusion d'un substitut d'échelle à titre de variable indépendante est plus efficace que la déflation pour atténuer la distorsion relative au coefficient, même si le substitut présente une corrélation de 95 pour cent avec le véritable facteur d'échelle. En fait, la déflation peut accentuer la distorsion relative au coefficient. Aussi, il arrive souvent que la déflation, sans réduire de façon appréciable l'hétéroscédasticité, puisse diminuer l'efficience de l'estimation. Les erreurs-types de White (1980) se rapprochent des erreurs véritables dans les régressions faisant appel à des variables non déflatées. La répétition des mêmes caractéristiques dans trois études comptables récentes confirme les résultats de la simulation. Les conclusions de l'étude donnent à penser que lorsque les différences d'échelle sont sujet de préoccupation, les chercheurs en comptabilité devraient faire intervenir un substitut d'échelle à titre de variable indépendante et formuler les inférences à partir des erreurs-types de White.     

The Interpretation of Coefficients in N-Chotomous Qualitative Response Models*

Researchers in financial accounting often use qualitative response models in choice-based empirical research. Most of this research relies on the familiar techniques of dichotomous probit or logistic regression. Only a limited amount of this research uses n-chotomous qualitative response models such as ordered probit or multinomial logistic regression. A potential explanation for this limited use is that the interpretation of model coefficients in qualitative response models with limited dependent variables (dichotomous or n-chotomous) differs substantially from OLS regression, and econometric texts do not provide a systematic approach to coefficient interpretation. This paper discusses several approaches to interpreting coefficients in n-chotomous qualitative response models. These methods focus on partial derivatives, elasticities of probability, sensitivity analysis, and odds ratios. The methods are applied to the models presented in Thomas (1989) and Mittelstaedt (1989). Additional analyses of the models demonstrate that the methods of interpretation can provide different conclusions or strengthen existing conclusions. The methods provide a better understanding of the directional effects of model coefficients, the relative responsiveness of the probability of choice to changes in the independent variables, and the effects of changes in the independent variables on the probability of choice. These methods should make these models more attractive to researchers interested in choice-based financial accounting research, and allow for a broader range of decision outcomes than that provided by dichotomous qualitative response models.     

Pure Altruism,Consumer Behavior and Choice Modeling*

An important assumption underlying non‐market valuation is that it is not the environment but the human preference that is valued. This paper attempts to test whether individual consumer behavior is influenced by a purely altruistic motive, examining the attitude of hikers towards the hypothetical removal of the Muju ski resort from the Mount Togyu National Park in South Korea. Data were collected from samples of hikers and skiers who visited the national park. The respondents were forced to consider trade‐offs between the recovery of the lost environmental assets in the Muju ski resort area, skiers’ additional travel time, and willingness‐to‐pay amounts for the hypothetical environmental improvement. It was found that hikers did not take into account skiers’ disutility represented by additional travel time.     

Conservative Accounting and Linear Information Valuation Models*

Prior research using the residual income valuation model and linear information models has generally found that estimates of firm value are negatively biased. We argue that this could result from the way in which accounting conservatism effects are reflected in such models. We build on the conservative accounting model of Feltham and Ohlson 1995 and the Dechow, Hutton, and Sloan 1999 (DHS) methodology to propose a valuation model that includes a conservatism‐correction term, based on the properties of past realizations of residual income and “other information”. “Other information” is measured using analyst‐forecast‐based predictions of residual income. We use data comparable to the DHS sample to compare the bias and inaccuracy of value estimates from our model and from models similar to those used by DHS and Myers 1999. Valuation biases are substantially less negative for our model, but valuation inaccuracy is not markedly reduced.     

Evidence of Choice Avoidance in Capital‐Investment Judgements*

Evaluating capital‐investment decisions is an important function of managerial accountants. There is anecdotal evidence, however, that managers avoid making decisions or delay decisions, which is costly in terms of time, effort, and lost opportunities. Prior research has shown that choice avoidance among nonprofessionals making personal decisions is associated with having to choose between alternatives with very different features or that require trade‐offs of very important goals (choice difficulty). It is unclear, however, whether experienced managers, using the analytical decision tools at their disposal, respond in the same way as nonprofessionals when making accounting decisions. Hence, this study examines whether increased choice difficulty increases negative affect in the capital‐investment decision‐making process and, as a result, the tendency of managers to avoid choice even when analytical decision tools are used. In an experiment with 120 executives, participants facing more difficult decisions reported they felt more worried, nervous, uneasy, and anxious and had a greater desire to postpone making the decision than participants in a control group. Participants provided with a decision aid designed to help them focus their cognitive effort reported a lower desire to postpone making the decision than participants in the choice‐difficulty conditions without the decision aid. I conclude by discussing the result's implications for managers and accountants.     

Determinants of the Choice of Accounting for Investments in Associated Companies*

Abstract. The Australian standard on investments in associated companies first took effect in 1984. It prohibited the use of equity accounting in the primary financial statements but required the provision of supplementary equity accounting disclosures. Prior to this, firms voluntarily adopted either of the alternative cost and equity methods in their primary financial statements. This paper contributes to the positive accounting literature by analyzing the accounting policy choice of listed Australian companies in the first year in which the standard took effect. Noncompliance with the standard took the form of either adopting the equity method in the primary financial statements or using the cost method without supplementary disclosures. We focus on the choice of noncompliance procedures. The results support the contractual efficiency but not the alternative opportunistic behavior perspective on accounting method choice. They indicate that the choice is associated with the proportion of listed associates, the materiality of investments in associates, and the existence of guarantees but not with the degree of ownership nor the number of associates. Résumé. La premiére norme australienne au sujet des participations dans des sociétés apparentées remonte à 1984. Cette norme proscrit le recours à la méthode de la comptabilisation à la valeur de consolidation dans les états financiers de base, tout en exigeant la présentation d'information complémentaire préparée selon cette méthode. Auparavant, la comptabilisation des participations à la valeur d'acquisition ou à la valeur de consolidation était laissée à la discrétion des entreprises dans leurs états financiers de base. Les auteurs ajoutent ici aux écrits portant sur la théorie comptable positive en analysant le choix des méthodes comptables effectué dans les sociétés australiennes dont les valeurs sont cotées, au cours de la première année d'existence de la norme. Le non-respect de la norme se manifeste tantôt par l'adoption de la méthode de la comptabilisation à la valeur de consolidation dans les états financiers de et base tantôt par celle de la méthode de comptabilisation à la valeur d'acquisition sans information complémentaire. Les auteurs s'intéressent particulièrement au choix des avenues de non-conformité. Les résultats obtenus confirment l'efficience du contrat mais non l'autre perspective, celle du comportement opportuniste en ce qui a trait au choix de la méthode comptable. Ils révèlent que le choix de la méthode est lié à la proportion de sociétés apparentées dont les valeurs sont cotées, à l'importance des participations dans les sociétés apparentées et à l'existence de garanties, mais qu'il n'est pas lié aux pourcentages de participation ou au nombre des sociétés apparentées.     

An Analysis of Historical and Future-Oriented Information in Accounting-Based Security Valuation Models*

The Ohlson (1995) and Feltham and Ohlson (1995) valuation model provides a rigorous framework for summarizing the information in expected future earnings and book values. However, the model provides little guidance on selecting an empirical proxy for expected future earnings. We examine whether and under what circumstances historical earnings and analyst earnings forecasts offer comparable explanation of security prices. This issue is of particular interest because analyst forecasts are less readily available than historical data. Under appropriate circumstances, historical data may allow wider use of the Feltham-Ohlson valuation model by researchers and investors. A related issue is the incremental explanatory power of historical earnings and realized future earnings (perfect-foresight forecasts) for security prices beyond analyst forecasts. If historical earnings are incrementally informative, that would suggest that analyst forecasts do not fully reflect price-relevant information in past earnings. If future earnings are incrementally informative, that would suggest that security prices reflect investors' implicit earnings forecasts beyond analyst forecasts. We examine these issues using a historical model (based on past earnings), a perfect-foresight model (based on realized future earnings), and a forecast model (based on Value Line earnings forecasts). All three models provide significant explanatory power for security prices, and each set of earnings data provides incremental explanatory power for prices when used with the other sets of earnings data. We estimate the models separately for firms with moderate and extreme earnings-to-price (E/P) ratios, a proxy for earnings permanence. For moderate-E/P firms, the historical model's explanatory power exceeds that of the perfect foresight model, and is indistinguishable from that of the analyst forecast model. In contrast, for extreme-E/P firms, the perfect-foresight model offers greater explanatory power than the historical model, but lower explanatory power than analyst forecasts. Our results suggest that financial analysts' forecasting efforts are best focused on firms whose earnings contain large temporary components (extreme E/P firms). However, in general, both historical data and analyst forecasts are complementary information sources for security valuation.     

理性选择、比较方法与国际政治经济学

国际政治经济学从国际关系中分离之后,汲取了经济学和比较政治学等诸多学科的研究方法,研究方法成为国际政治经济学区别于国际关系其他领域的重要特征,也是区分国际政治经济学国际组织学派和英国学派的重要标准。在国际政治经济学发展过程中常用的两种研究方法是理性选择和比较方法,后者通常可以划分为大样本统计和小样本案例分析。是否采用源自经济学的理性选择和使用大样本统计还是小样本案例分析成为目前国际政治经济学方法论争议的核心问题。国际政治经济学研究应当充分重视研究方法的掌握,作为西方国际政治经济学理论的消费者,要实现同西方学者的对话,我们必须掌握相应的研究方法;研究方法服务于议题设定,任何方法都有其优势和局限性,应当根据自己议题需要谨慎地使用某种或者多种研究方法;应当关注经济学和比较政治学发展的新动向和新发展,这两个学科对国际政治经济学及其研究方法的影响还将继续。     

基于路径依赖的转型经济理论选择探微

经济转型是制度结构的整体性变迁,它涉及到经济的长期发展问题。经济转型的路径依赖包括初始条件的依赖和自我强化机制的依赖。对于经济转型终极目标的路径最初选择,实际上是通过对现有的经济理论的选择来确定的。     

The Association between Auditor Choice,Ownership Retained,and Earnings Disclosure by Firms Making Initial Public Offerings*

Using a system of three simultaneous equations, we test the predictions of Datar, Feltham, and Hughes 1991 and Hughes 1986 between auditor choice, earnings disclosures, and retained ownership in U.S. firms making initial public offerings of securities. Using a sample of initial public offerings between 1990 and 1997, we find that the demand for high‐quality auditors increases with firm risk. Additionally, we find that auditor choice, earnings disclosure, and risk are determinants of retained ownership, which is consistent with the predictions of Datar et al. and Hughes that auditor choice and direct disclosure are substitute signals for ownership retention. Further, our results suggest that the signals chosen (i.e., retained ownership, auditor choice, and disclosure) are related through their cost structures and are chosen jointly to minimize the overall cost to the entrepreneur.     

矿业城市转型模式的国际比较

矿业城市是依托不可再生资源开发而发展起来的城市，矿业产业是矿业城市的主导或支柱产业。由于矿业产业自身发展的阶段性特征，矿业城市转型是不可避免的。也是矿业城市可持续发展的关键所在。矿业城市的产业转型是一个世界性的问题，本通过对美国、加拿大、澳大利亚、日本、欧盟、苏联等国矿业城市产业转型的比较研究，提出了我国矿业城市产生转型可资借鉴的对策建议。     

我国商业银行对中小企业金融支持的模式研究

本文分析了我国中小企业融资难的制约瓶颈.借鉴国外对中小企业金融支持的主要模式,提出我国商业银行应采用主办银行制的银企关系策略,建立适合我国中小企业的信用评级体系,运用客户价值理论与中小企业成长周期理论、创新金融产品和工具,积极发展投资银行业务,提高银行潜力价值,从而实现既帮助中小企业摆脱融资困境,又解决国有商业银行利润增长乏力的双赢模式.     

新创企业合法性门槛的跨越机制——基于事件系统理论的案例研究

新创企业会面临能否跨越合法性门槛的严峻考验,但是新创企业面临何种合法性门槛以及如何跨越等问题的研究不为多见,因此很有必要推进新创企业合法性门槛跨越机制研究。文章运用事件系统理论,以滴滴出行和ofo小黄车为例,从事件时空和强度的角度构建分析框架,研究新创企业合法性门槛跨越机制。研究发现,新创企业在合法化过程中存在多重合法性门槛;外部评价者身份的多样性和判断模式的转变,通过影响关键事件的强度引起合法性门槛的周期变化。同时文章揭示了新创企业合法性门槛跨越机制,发现合法性门槛跨越机制具有迭起性,企业在一次次地合法性门槛跨越中,实现合法性水平的动态积累与显著提升;关键事件的时间、空间、强度属性,充分显示新创企业合法性门槛跨越机制的具体内容。本研究促进了新创企业合法性获取的动态研究,拓展了事件系统理论的应用领域,对致力于共享经济模式创新的新创企业提供了实践指导。