Systematic risk and empirical research

Article Abstract:

Substantial research has been done on the apparently poor association between expected stock returns and typically employed accounting-based measures of asset betas. A study was therefore conducted to demonstrate that risky assets returns generating procedures which are defined in terms of factors that include accounting- and non-accounting-based measures suggest under relatively fair conditions that a certain asset pricing model beta is an adequate statistic. The study also aims to reconcile theory with practice.

Accounting Methods, Asset & Risk Management, Case studies, Risk assessment, Accounting and auditing, Profits, Accounting, Stock price forecasting, Assets (Accounting), Corporate profits

---

Double Entry Bookkeeping and the Distributional Properties of a Firm's Financial Ratios

Article Abstract:

Research indicates that ratios derived from balance sheet equity and debt distributional processes may evolve in distributional forms that include non-convergent moments. It is posited that this may significantly impact parameter estimation and discriminant and/or regression procedures used for financial distress and bankruptcy prediction.

Reporting & Disclosure, Methods, Comparative analysis, Financial statements, Accounting procedures, Bookkeeping

---

A binomial basis for the Cox, Ingersoll and Ross model of the term structure of interest rates

Article Abstract:

Research is presented concerning the formalization of the supply side and investor preferences which underscore the Cox, Ingersoll and Ross 'square root' model of interest rate term structures.

Interest Rates, Models, Statistics, Statistics (Data), Macroeconomics

Similar abstracts:

• Abstracts: External equity financing in agriculture via profit and loss sharing contracts: a proposed financial innovation
• Abstracts: Diversification in interstate banking: the search for related performance profiles between acquiring and acquired banking firms expanding across state lines
• Abstracts: Snip a bit off, tuck a bit in ... The long and the short of it
• Abstracts: Creative accounting and investment analysts response. Twenty-five years of the Taffler z-score model: does it really have predictive ability?
• Abstracts: Ownership structure, firm performance and top executive change: an analysis of UK firms. Social and environmental disclosure and corporate characteristics: a research note and extension

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.