Nonnormalities and Tests of Asset Pricing Theories

The robustness of the multivariate test of Gibbons, Ross, and Shanken (1986) to nonnormalities in the residual covariance matrix is examined. After considering the relative performance of various tests of normality, simulation techniques are used to determine the effects of nonnormalities on the multivariate test. It is found that, where the sample nonnormalities are severe, the size and/or power of the test can be seriously misstated. However, it is also shown that these extreme sample values may overestimate the population parameters. Hence, we conclude that the multivariate test is reasonably robust with respect to typical levels of nonnormality.     

Auditors' legal liability,collusion with management,and investors' loss*

Abstract. The purpose of this paper is to model the legal exposure of auditors and to study the extent to which limitations on this exposure affect auditors' chosen audit intensity and collusion with management. Résumé. L'article qui suit a pour but de modéliser les risques auxquels sont exposés les vérificateurs de par la loi et de voir dans quelle mesure les limites de ce risque influent sur l'intensité de la vérification dont décident les vérificateurs et sur la collusion avec la direction.     

A contingent-claim integration of cost-volume-profit analysis with capital budgeting*

Abstract. This paper integrates cost-volume-profit (CVP) analysis into the theory of capital budgeting by modeling the profit function in the CVP relation as put and call options on sales revenue. Such an approach is shown to be particularly useful when the profit function is piecewise linear, such as when there are multiple break-even points, or when the profit function is truncated. The results are of general applicability because such an approach does not require making assumptions about the decision maker's risk attitude. This claim is proven by showing that certain well-known decision models in the extant literature can be derived as specific cases from the results. The paper also shows how the CVP analysis can be extended to the case in which there is a dependence of the firm's cash flows on macroeconomic variables. Specifically, it applies to the CVP analysis the state-contingent claim approach to capital budgeting of Banz-Miller (1978) and relates the option valuation approach to Banz and Miller's framework. A numerical example using the state prices of Banz-Miller is provided. Résumé. Les auteurs associent l'analyse coût-volume-profit (CVP) à la théorie de l'établissement du budget des investissements en intégrant la fonction de profit dans l'interaction CVP à titre d'option de vente et d'achat sur le produit des ventes. Cette methode semble particulièrement utile lorsque la fonction de profit est linéaire mais morcelée. Il en ainsi, par exemple, lorsqu'il existe plusieurs seuils de rentabilité ou lorsque la fonction de profit est tronquee. Les résultats peuvent êtres généralisés puisqu'une méthode de ce genre n'exige pas la formulation d'hypothèses relatives à l'attitude du décideur à l'egard du risque. Cette affirmation est étayée par les auteurs qui montrent que certains modèles décisionnels bien connus dans la documentation existante peuvent être dérivés des résultats obtenus sous forme de cas précis. Les auteurs montrent également comment l'analyse coût-volume-profit peut être étendue au cas où les flux monétaires de l'entreprise dépendent de variables macroéconomiques. De façon précise, ils appliquent à l'analyse coût-volume-profit la méthode des créances conditionnelles à un état proposée par Banz et Miller pour établir le budget des investissements, et ils relient la méthode d'évaluation de l'option à la formule de Banz et Miller. Les auteurs proposent un exemple numérique dans lequel ils recourent aux prix de l'état de Banz-Miller.     

Arbitration Decisions in Subcontracting Disputes

This study examines factors underlying arbitrators' decisions in disputes involving subcontracting. A framework devised by Dash (1963) is used to code arbitration decisions according to the issues arbitrators raised in reaching their conclusions. In addition, external factors such as geographical location, background of the arbitrator, industry, and when the decision occurred are evaluated. The results of logit analyses indicate that Dash's framework explains much of the variance in the arbitrators' decisions. External factors are unrelated to the decisions.     

Housing and the Macroeconomy: Inflation and the Financial Accelerator

Three themes connecting housing and the macroeconomy are discussed. First, evidence is presented for the property market as one of the drivers of U.S. consumer price inflation. Second, key drivers of house prices are explained to account for the remarkable diversity of international experience. Finally, three potential links between housing, credit, and the financial accelerator are discussed. These are the consumption channel, the investment channel, and feedback between bad loans and risk‐spreads via the financial system—and how institutional differences between countries can explain the presence, absence and magnitudes of these linkages.     

通向独董之路

毋庸质疑,CFO是独董最合适的人选,经过30年的发展,中国CFO开始出现群体性崛起,使CFO成为独董有了现实的基础。但理论的逻辑与现实的路径毕竟还存在实操上的差距,CFO如何真正通向独董之路,我们翻译了一篇关于英国的独董方面的文章,希望对CFO有所帮助。