Advances in Quantitative Analysis of Finance and Accounting, by Cheng-Few Lee PDF

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By Cheng-Few Lee

ISBN-10: 9812700218

ISBN-13: 9789812700216

ISBN-10: 9812772820

ISBN-13: 9789812772824

"Advances in Quantitative research of Finance and Accounting" is an annual booklet to disseminate advancements within the quantitative research of finance and accounting. The e-book is a discussion board for statistical and quantitative analyses of matters in finance and accounting in addition to purposes of quantitative ways to difficulties in monetary administration, monetary accounting, and company administration. the target is to advertise interplay among educational study in finance and accounting and utilized study within the monetary group and the accounting occupation. The papers during this quantity disguise a variety of issues together with profits administration, administration repayment, choice idea and alertness, debt administration and rate of interest idea, and portfolio diversification.

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Extra info for Advances in Quantitative Analysis of Finance and Accounting, Volume 4

Example text

72) suggest that the call option is also very important in determining the market value of these firms, as expected. 51) and significantly contributes to valuation. 25). Both of these results are consistent with predictions. 5. Comparison of results from Model 1 to results from Models 2-4 The values of the various coefficients and R2 obtained from fitting the three sub-samples to Model 1 and separately to Models 2-4 are summarized in comparative format in Table 8. A comparison of the results from Models 1 and 2 for the low efficiency firms shows that Model 2 has the same explanatory power as Model 1 even though it has an additional explanatory variable.

Therefore, we designate their coefficients with a to distinguish them from ours. Also Collins, Pincus, and Xie (1999) use the book value (BV) at time t — 1 rather than time t as in our models. 32 A. William Richardson, Raafat R. Roubi & Hemantha S. B. Herath Table 15. Estimated coefficients of Model 1 for loss firms derived from empirical results of Collins, Pincus, and Xie, (1999). Collins etal. 31 Current Study 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 Mean Notes Collins et al. 's model: Pt = a + B'Xt + y'BV,-\ + e,.

The behavior here parallels that observed by Collins, Pincus, and Xie (1999) in that book value appears to be a correlated omitted variable in Model 3, leading to an upward bias in the coefficient of earnings (y). A comparison of the results of Models 1 and 4 for the growth firms shows that Model 4 also has a noticeably lower explanatory power than does Model 1, even though it has two terms in place of the book value in Model 1. In addition, the coefficients (a) and (y) differ between the two models, suggesting that Model 4 is also not well specified.

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Advances in Quantitative Analysis of Finance and Accounting, Volume 4 by Cheng-Few Lee

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