摘要:

Recent work in this and other journals has re‐examined the econometric pro‐cedures which are used to investigate the performance of fund managers. This has resulted in considerable refinement of the methodology used to assess whether fund managers can time the relative proportions of equity and fixed interest securities in their portfolios. In this paper the power of these refine‐ments is examined. It is shown that at the level of forecasting ability observed in market professionals, a statistically significant superior performance is unlikely to be found in ex‐post investigations of the performance of individual fund managers. It is argued though that this observed level of forecasting ability is still sufficient to produce a significant improvement in the returns on manage

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00398.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Despite concern expressed over ‘low‐balling’ or competitive price reduction in the market for audit services, the only empirical investigation of the relationship between initial audit fees, fee recovery and auditor change which has been carried out is by Simon and Francis (1988) using US cross‐sectional data, although Pong and Whittington (1994, forthcoming) examine the impact on first year fees. We investigate the impact of auditor change on cross‐sectional UK data for 1991 with the aim of discovering whether there is any evidence of price cutting and subsequent price recovery in a European, rather than a US context. We find that there is evidence of such a phenomenon, and investigate further to see whether this effect is robust with respect to the definition used of ‘auditor change’, and whether the effect varies according to whether the old auditor was a ‘Big Six’ or ‘non‐Big Six’ firm. We find that the largest reductions (controlling for auditor size) are experienced by firms changing to ‘Big Six’ firms. We further show that involuntary changes (by auditor acquisition) are associated with positive (although statistically insignificant) increases in fees, whereasvoluntary changesare associated with negative (andsignificant) feereductions. These effects are shown to be robust with respect to model specification. This suggests that fee reductions cannot be ascribed to economies of scale or scope, but is consistent with a ‘lo

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00399.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper models the audit as a cooperative game played by the auditor and auditee within a penalty regime imposed by a regulatory authority. The paper investigates the relationship between the penalties set by the regulator and the jointly agreed strategy of the auditor and auditee, and discusses how the penalty regime might be employed so as to induce a particular strategic outcome such as high effort levels on the part of the auditee and/or auditor.

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00400.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

In this paper we examine the degree of under‐pricing of two different types of unseasoned equity offerings (IPOs), namely MBO‐IPOs and non‐MBO‐IPOs. Since, MBO‐IPOs were previously subsidiaries or divisions of publicly listed companies which were taken private by a group of managers and then reverted back to public ownership; there should be a lower level of information asymmetry between the market on the one hand and the company and its underwriters on the other. Thus, if under‐pricing is mainly the result of uncertainty about the market value of the issuing firm, the information asymmetry hypothesis would predict that, compared with the non‐MBO‐IPOs, MBO‐IPOs should exhibit a significantly lower degree of under‐pricing. The results show that MBO‐IPOs are less under‐priced than non‐MBO‐IPOs. However, the difference is no

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00401.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques. Additionally, the paper examines the impact ofhedge duration and time to expiration on estimated hedge ratios and hedge ratio stability over time. It is shown that hedge ratios and hedging effectiveness increase with hedge duration, hedge ratios approach unity as expiration approaches and while hedge ratios vary over time they are stationar

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00402.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper reports the findings of a longitudinal study of capital budgeting practices within 100 large UK companies between 1975 and 1992. Such an approach enables a more meaningful comparison of changes in investment practices over time and helps to clarify the confusing picture built up from comparison of prior surveys with different research designs and often low response rates.

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00403.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper examines empirical evidence of predictability of long‐horizon real and excess stock returns in the UK using univariate as well as multivariate Variance Ratio tests. In order to estimate the sampling distribution of the test statistics, artificial histories ofstock returns are generated from their empirical distribution using the bootstrap method. This allows the construction of significance levels of the test statistic which are free from distributional assumptions. The empirical results indicate that there is no evidence of mean reversion in stock prices even if a wider information set to forecast stock returns is used and that the significance of historical Variance Ratio statistics has been overstated by previous studie

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00404.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Exchangeable calls are not convertible into the calling firm's common stock but into the common stock of a target firm in which the calling firm has an ownership position. In addition to reducing leverage, exchangeables change the asset composition of the calling firm through the divestiture of the calling firm's ownership stake in the target firm. In contrast to the evidence on convertible calls, our findings indicate that announcements of exchangeable debt calls are not associated with an abnormal capital loss for the calling firm shareholders. For target firms, announcements of exchangeable calls reduce shareholder wealth. A lower probability of takeover resulting from diffusion of ownership concentration of the target firm's common stock may contribute to this result.

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00405.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper amends the Hicks‐Macaulay‐Samuelson duration analysis to allow for uncertainty in asset cash flows. An asset's duration measure then becomes a random variable which may possess no central moments. We show, however, that a transformed version of the duration measure is normally distributed. This can be used to make probability assessments of the sensitivity ofthe present value of an asset's cash flow stream to interest rate moveme

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00406.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

The volatility of an asset is a primary input to the portfolio selection problem. Information about volatility is available from two sources, namely the share market and the option market. This paper examines the forecasting performance, over a three month investment horizon, of time series forecasts (from the share market) and option based implied volatilities. Three time series models, including GARCH, are used and twenty four implied volatility estimation models are employed. Using a data set of twelve UK companies, it is demonstrated that implied volatilities produce better individual forecasts than time series. However, more remarkably, forecasts combining implied volatilies and time series estimates significantly outperform both component forecasts.

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1996.tb00407.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY