摘要:

This study develops a contingent claims model for valuing the implicit market value of the pension claim associated with defined benefit pension plans. In this model, the firm issues pension, debt, and equity claims. These claims have joint access to two underlying portfolios: corporate and pension. The changes in the market values of these two portfolios are assumed to follow a joint lognormal diffusion process. By imposing terminal boundary conditions implied by Employment Retirement Income Security Act (ERISA) rules and the pension insurance provisions of the Pension Benefit Guaranty Corporation (PBGC) on the partial differential equation, a solution for the pension value is obtained. This quasi‐market measure of the value of the pension claim may be represented by a portfolio consisting of four components: (1) a risk‐free discount bond with face value equal to promised pension benefits; (2) a short put on pension assets with exercise price equal to pension benefits; (3) a long call on 30 percent of corporate assets with exercise price equal to the face value of secured corporate debt; and (4) a short call on 30 percent of corporate assets with a stochastic exercise price which depends on the terminal value of the pension fund. A numerical example using 1992 and 1993 financial statement data from six major U.S. corporations is provided. This example illustrates the usefulness of the model's prediction and the potential effect of theoretical pension values on corporate debt‐equity r

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01424.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Order release occurs when orders are released to the shop floor for processing. An order release mechanism (ORM) selectively releases orders to improve shop management and performance. This paper focuses on the question of how to select and develop better ORMs, providing guidelines for practice. We develop a number of propositions on how an ORM should be established and the impact of implementing an ORM. To test the validity of these propositions, we consider three real different automated manufacturing systems. For each system, ORMs are developed and implemented in simulation models. Analysis of the experimental results suggests that some propositions are true under all situations, whereas the degree of validity of others is dependent on variables like system type, and the levels of other design variables. We conjecture that all the propositions can be accepted when the volume of production is high. We use the analysis and the propositions to generate guidelines for practice and areas for future research.

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01425.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

An auditor gives a going concern uncertainty opinion when the client company is at risk of failure or exhibits other signs of distress that threaten its ability to continue as a going concern. The decision to issue a going concern opinion is an unstructured task that requires the use of the auditor's judgment. In cases where judgment is required, the auditor may benefit from the use of statistical analysis or other forms of decision models to support the final decision. This study uses the generalized reduced gradient (GRG2) optimizer for neural network learning, a backpropagation neural network, and a logit model to predict which firms would receive audit reports reflecting a going concern uncertainty modification. The GRG2 optimizer has previously been used as a more efficient optimizer for solving business problems. The neural network model formulated using GRG2 has the highest prediction accuracy of 95 percent. It performs best when tested with a small number of variables on a group of data sets, each containing 70 observations. While the logit procedure fails to converge when using our eight variable model, the GRG2 based neural network analysis provides consistent results using either eight or four variable models. The GRG2 based neural network is proposed as a robust alternative model for auditors to support their assessment of going concern uncertainty affecting the client company.

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01426.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

A number of recent studies have compared the performance of neural networks (NNs) to a variety of statistical techniques for the classification problem in discriminant analysis. The empirical results of these comparative studies indicate that while NNs often outperform the more traditional statistical approaches to classification, this is not always the case. Thus, decision makers interested in solving classification problems are left in a quandary as to what tool to use on a particular data set. We present a new approach to solving classification problems by combining the predictions of a well‐known statistical tool with those of an NN to create composite predictions that are more accurate than either of the individual techniques used in isolatio

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01427.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Financial analysts provide information to support investment analysis and decisions for an ever increasing number of firms. As part of their services they also produce earnings forecasts for covered firms. While there has been much research investigating the determinants of financial analyst earnings forecast superiority for large, widely‐followed firms, little research has focused on smaller firms. Until recently, these smaller firms have been largely ignored. This study focuses exclusively on small firms and provides evidence of differing behavior for such firms compared to results previously reported for large firms. Errors in quarterly earnings per share forecasts of small firms obtained from a univariate time‐series model are also examined. Regression results indicate that time‐series model parameters possess information content with respect to forecast accuracy for analyst‐covered firms only. These results are obtained after controlling for firm size, model adequacy, and industry, quarter, and year effects. This suggests that analysts are more likely to cover small firms for which they are able to decipher information correlated with that impounded in the “shocks” in the quarterly earnings time series as captured by the time‐series mod

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01428.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

The identification and location of materials losses in nuclear facilities is an important issue. Many complexities arise in monitoring such losses. These complexities include the dependency among materials balance observations and the influence of errors (outliers) on parameter estimates of various monitoring methods. The proposed Joint Estimation procedure is superior to standard methods (control chart and CUSUM) and to methods that build in correlation (ARMA control chart, ARMA CUSUM, and the Generalized M procedure) in the detection of nuclear materials losses. The Joint Estimation procedure is robust to the influence of outliers, is flexible in accommodating a range of dependencies among observations, and provides information on the type of loss. Further, the procedure is reliable in that it yields a probability of false alarms and a probability of detecting losses closer to specifications.

ISSN:0011-7315    

DOI:10.1111/j.1540-5915.1995.tb01429.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY