By Cheng-Few Lee
"Advances in Quantitative research of Finance and Accounting" is an annual e-book 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 tips on how to difficulties in monetary administration, monetary accounting, and enterprise administration. the target is to advertise interplay among educational study in finance and accounting and utilized learn within the monetary group and the accounting occupation. The papers during this quantity hide a variety of subject matters together with profits administration, administration reimbursement, choice conception 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
We performed a further analysis by fitting Model 5 to sub-samples based on deciles. The results are presented in Table 13. The coefficients for all regressions lu Rees (1997) looked only into the direction of the difference. He has not tested for a significant difference between regression coefficients. 26 A. William Richardson, Raafat R. Roubi & Hemantha S. B. Herath Table 13. Estimated regression coefficients (t-statistics are listed below the coefficients) for Model 5: Full sample split into deciles on profitability (q).
The use of accounting profitability for stratification has shown that this is an important consideration. However, other bases for sample stratification might be more useful and merit theoretical consideration. From our study, it is also clear that further theoretical study of the impact of the bias of accounting measures on firm valuation models would be useful. Finally, the development of models that go beyond linear terms in earnings and book value may be useful in resolving some of the apparently anomalous behavior that we observed.
2) where P, is now the ex-dividend price; dt, the dividends per share; Pt + dt, the cum dividend price; yt-\, the beginning year book value per share; and et is the noise term. The models in Collins, Pincus, and Xie, (1999) are expressed in terms of earnings for the year and beginning of the year book value, whereas Note that Collins, Pincus, and Xie (1999) have interchanged the notation for the coefficients f} and y in their model relative to the usage in our models. Therefore, we designate their coefficients with a to distinguish them from ours.