Analyses of the distribution of security market model prediction errors for daily returns data

Article Abstract:

The (one-factor) market model is used in accounting studies to demonstrate how the prices of securities are affected by firm-specific events. Recently daily return data has begun to be used in market model studies so that powerful statistical tests can be used. However, the shift from the use of monthly returns data to the use of daily returns has encountered two problems: nonsynchronous trading and nonnormality of the data. The market model is elaborated and the abnormal returns are compared to theoretical student-t distribution thereby demonstrating the size and direction of the abnormalities obtained with the usual statistical tests. It is found that the least squares method of estimating market model parameters attains results as accurate as special application models and that the significance levels of prediction errors are considerable overstated.

Models, Stocks

---

Measuring the impact of the safe harbor lease law on security prices

Article Abstract:

The safe harbor lease law shows that company behavior can be altered through decisions on tax policy. Congress enacted safe harbor provisions with its Economic Recovery Tax Act of 1981. The Tax Equity and Fiscal Responsibility Act of 1982 repealed that same law, however, amid charges of ineffectiveness and excessive expense. The purpose of the law had been to help companies with current operating losses to make asset purchases. That target was apparently reached, because at least 60% of all New York Stock Exchange firms that had loss carry-overs disclosed entered into lease transactions when the law permitted them to do so. Research results support the US Treasury Department in its view that selling firms gain from safe harbor lease transactions.

Prices and rates, Securities prices, Safe harbor (Taxation)

---

Evidence on income measurement properties of ASR No. 190 and SFAS No. 33 data

Article Abstract:

Research has examined the association between security returns or levels of market value and current cost accounting data as reported under the Securities and Exchange Commission's Accounting Series Release No. 190 (ASR 190) and Statement of Financial Accounting Standards No. 33 (SFAS 33). Cross-section regressions of security returns were estimated on historical cost net income and holding gains. The coefficients on the ASR 190 - SFAS 33 variables were found to be statistically significant at conventional levels. This finding contradicts previous research findings.

Research, United States. Securities and Exchange Commission, Cost accounting

Similar abstracts:

• Abstracts: Analysis of the Korean beef market: a study of hotel buyers' perspectives of beef imports from three major sources
• Abstracts: Is the European capital market ready for the single currency? Guidance on triangulation
• Abstracts: The behavior of secondary market prices of LDC syndicated loans. Why do underwriters charge low underwriting fees for initial public offerings in Taiwan?
• Abstracts: High concept, low blow. A comparative analysis of the market model and the multiple-factor market model. Total factor productivity - a misleading concept
• Abstracts: Predictability of short-term interest rates: a multifactor model for the term structure. USPS may raise rates

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