Sample-dependent results using accounting and market data: some evidence

Article Abstract:

Accounting and price relational studies often refer to either the COMPUSTAT or PDE data bases for their raw research data; however, use of these data bases may introduce certain biases into the research, such as look-ahead or ex-post-selection biases. The extent of such bias introduction caused by the use of the COMPUSTAT and PDE data bases is examined by comparisons to other data bases that purportedly do not suffer from such biases. This research indicates that rates of returns on portfolios vary according to the data base used during the investment selection process, and that different conclusions can be reached when performing the same examination on different data bases. Possible solutions to the ready-made bias problems are discussed.

Analysis, Price indexes

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Do LBO supermarkets charge more? An empirical analysis of the effects of LBOs on supermarket pricing

Article Abstract:

This article examines changes in supermarket prices in local markets following supermarket leveraged buyouts (LBOs). I find that prices rise following LBOs in local markets in which the LBO firm's rivals are also highly leveraged and that LBO firms have higher prices than their less leveraged rivals, suggesting that LBOs create incentives to raise prices. However, I also find that prices fall following LBOs in local markets in which rival firms have low leverage and are concentrated. These price drops are associated with LBO firms exiting the local market, suggesting that rivals attempt to "prey" on LBO chains. (Reprinted by permission of the publisher.)

Supermarkets and Other Grocery (except Convenience) Stores, Grocery stores, Supermarkets, Prices and rates, Leveraged buyouts

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Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy

Article Abstract:

The no-arbitrage martingale analysis is used to study the effect on asset prices of changes in the rate of information flow. The analysis is first used to develop some simple tools for asset pricing in a continuous-time setting. These tools are then applied to determine the effect of information on prices and price volatility, to extend Samuelson's theorem on prices fluctuating randomly, and to study the impact on prices of the resolution of uncertainty. The conditions under which uncertainty resolution is irrelevant for asset pricing are shown to be similar to those which support the MM irrelevance theorems. (Reprinted by permission of the publisher.)

Information management

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