Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note

This study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.     

The Information Content of Tax Expense for Firms Reporting Losses

We investigate whether management's decision regarding the recognition of the valuation allowance (VA) for deferred tax assets provides incremental information about the persistence of accounting losses. We introduce a classification scheme that assigns loss firm‐years into three categories based on whether management appears to have recognized a material change in the VA, and whether or not the firm has positive taxable income (e.g., a net operating loss). The results of our study show that our tax categories contain information about the persistence of accounting losses over the following three years beyond variables previously identified to predict loss persistence. This incremental information is consistent with management using private information about the firm's future prospects in setting the VA. Finally, we find that investors’ pricing of the VA varies with the saliency of the tax signal and the information environment of the firm.     

Capital Market Development,Competition, Property Rights,and the Value of Insurer Product‐Line Diversification: A Cross‐Country Analysis

In this article, we show that the effect of product diversification on performance is not homogeneous across countries. Diversified insurance companies perform significantly worse than their focused competitors in countries with well‐developed capital markets, high levels of property rights protection, and high levels of competition. In addition, we find that the diversification–performance relationship for insurance companies depends on company size. For large insurers operating in countries with less developed capital markets, diversification significantly increases performance. Our results suggest that the optimal organizational structure may be different for insurers operating in emerging economies than for insurers operating in developed countries.     

Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model

This paper considers the collective risk model for the insurance claims process. We will adopt a Bayesian point of view, where uncertainty concerning the specification of the prior distribution is a common question. The robust Bayesian approach uses a class of prior distributions which model uncertainty about the prior, instead of a single distribution. Relatively little research has dealt with robustness with respect to ratios of posterior expectations as occurs with the Esscher and Variance premium principles. Appropriate techniques are developed in this paper to solve this problem using the k -contamination class in the collective risk model.     

Generalized Life Insurance: Ruin Probabilities

We study ruin probabilities for generalized life insurance programs. These programs include among others whole life and long term care contracts. Clearly, in such programs the claims in successive years are dependent, hence the structure of our problem is different from that of ruin probabilities in general insurance where claims over time are independent. First, we develop algorithms calculating the ruin probabilities for life and LTC insurance programs. Further, upper and lower bounds for these probabilities are derived. These new bounds take into account the joint distribution of claims over time.     

On the best approximation by means of an exponential

1. The question treated in this paper concerns the closeness with which a given function can be approximated by the expression, well known to actuaries, a+βr ^x .     

Modelling Performance Improvement and Switching Behaviour in Team Learning

Accounting educators and agencies have sought to incorporate team learning activities into conventional learning methods. The readiness-assurance process (RAP) of team learning, in which students take quizzes first as individuals and second as members of student teams, has been shown to be effective in this regard. We analyse the RAP with a fixed-effects regression model to identify the factors that contribute to performance improvement and we use ordered logit regression to estimate, probabilistically, switching behaviour within student teams. A longitudinal study was conducted over the course of a semester in which 101 undergraduate accounting students, comprising 22 teams, completed six quizzes. Within-team knowledge disparity was shown to be a significant indicator of performance improvement, and individuals appeared more likely to switch their answers after the first quiz. There were no significant effects for either performance or switching associated with demographic measures of sex and English fluency. Implications for accounting educators are discussed.     

Drivers of Teaching Effectiveness: Views from Accounting Educator Exemplars in Australia

Abstract

This paper summarizes the views, obtained via a survey instrument created by the authors and reported in studies by Stout and Wygal, of 22 accounting educator teaching exemplars from Australia. Each of these individuals has been cited for teaching excellence through receipt of one or more formal teaching awards. The paper responds to calls in Australia for increased attention to the dimensions of teaching effectiveness and to initiatives in the United States calling for a broader sharing of information among members of the academy regarding the characteristics of teaching effectiveness. Little direct evidence from the field of accounting education is available to date regarding such characteristics or antecedents of teaching effectiveness in the student learning environment. Our research therefore extends in a fundamental way the work of Stice and Stocks and Stout and Wygal. Specifically, perceptions from a sample of award-winning non-US faculties regarding the ‘drivers of teaching effectiveness’ in accounting education are recorded and analyzed. In decreasing order of perceived importance, drivers of teaching effectiveness are: having a student focus; commitment to teaching (as a profession); high levels of preparation/organization; the ability to link subject matter to the practice environment; and, instructor skills and attributes. This paper adds to our understanding of the drivers of teaching effectiveness and begins the process of creating a worldwide knowledge base in accounting education. The paper should be of interest to accounting faculty members interested in improving their teaching effectiveness and/or mentoring junior faculty members.     

Statistical Independence and Fractional Age Assumptions

Abstract

This paper considers in some detail the issue of statistical independence of the curtate future lifetime and the fractional part of the future lifetime of a general status.

Statistical independence is often employed in actuarial contexts, primarily because it leads to simple relationships between quantities of interest and statistical information that is of a discrete nature, such as a life table. The uniform distribution of deaths (UDD) assumption is the most commonly used because of its simplicity and intuitive appeal, but it can be somewhat restrictive. For example, all deaths or withdrawals may be assumed to be at a particular point in the year such as the middle; assumptions of this type are often made in a multiple decrement context. This paper attempts to unify these assumptions and extend their applicability in an actuarial context.

The conditions for independence need to be stated carefully, and the last-survivor status is cited as an example in which failure to do so can lead to erroneous conclusions.

The fractional independence (Fl) assumption is defined, and it is demonstrated that many of the formulas for life table functions that hold under the more restrictive UDD assumption are extended easily to the general Fl case. The simple relationship under UDD between insurances payable on other than an annual mode and those payable at the end of the year of death is extended to the Fl case as well. These results are then used to obtain results for annuities and reserves, again generalizing UDD relationships. It is then demonstrated that many contingent probabilities in the multiple life context are exactly the same under the Fl assumption as under the more restrictive UDD assumption. Finally, a very general result that holds in the multiple decrement context is shown to hold under the Fl assumption.     

The linear growth credibility model

Abstract

The investigation of evolutionary models, i.e. models allowing the risk parameter to change in time, has been one of the main topics of research in credibility theory in the last few years. In the present paper a very special (but rather practicable) evolutionary model is defined and recursions for the credibility estimator are stated.