Discussion of 'The time-series properties of the components of clean surplus earnings: UK evidence.' (comment on John O'Hanlon in this issue, p. 159)(Special Issue: Selected Papers from the Conference on Empirical Research in Business Finance and Accounting, May 1995)

Article Abstract:

Operating income is modeled as a first order autoregressive process since it is aggregated in various ways, while noise processes represent the non-operating components of clean surplus income and clean surplus income as a whole. Clean surplus income components are deflated by beginning book value to increase the likelihood that they follow one of six simple time-series processes. However, the determinants of the time-series processes for the clean surplus income components can be incorporated into the analysis of the means of the disaggregated components of clean surplus accounting rate of return, while the time series and valuation analyses can be related in more concrete ways.

Profits, Corporate profits, Time-series analysis, Time series analysis

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Term premium determinants, return enhancement and interest rate predictability

Article Abstract:

Term premium is the gap between a forward rate and a corresponding expected future spot rate and can also stand as the anticipated holding period return net of the short rate of interest. Empirical studies on term premium revealed that it is positively correlated with the current level of interest rates and the forwards-spot spread. Furthermore, its identification methodology may improve the investors' returns on their fixed income portfolios.

Interest rates, Financial markets

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