Organizations & Markets eJournal最新文献

{"title":"Transpacific Industries - A Case Study in Profit Quality Through the Examination of Impairment Disclosures","authors":"T. Carlin, Nigel Finch, Guy B. Ford","doi":"10.2139/ssrn.1348311","DOIUrl":"https://doi.org/10.2139/ssrn.1348311","url":null,"abstract":"This paper examines the profit quality of a goodwill-intensive firm, Transpacific Industries Group Limited (ASX.TPI), by specifically focusing on critical judgments and disclosures relating to goodwill impairment. The term \"profit quality\" is synonymous with terms such as \"creative accounting\" and \"earnings management\" refers to the degree of agressiveness or conservatism in the underlying estimates of a firms accounting disclosure. By examining the impairment disclosures made in accordance with AASB 136 - Impairment of Assets, an assessment is made of the reasonableness of a variety or critical assumptions, such as CGU growth rates and discount rates. This assessment is useful in judging the robustness of the firm's impairment testing methodology and its ability to promptly recognise an impairment charge, should an impairment even occur. The paper catalogues ten issues relating to critical accounting judgements that ultimately undemine the profit quality of TP, and the paper concludes with the view that TPIs methodology and approach to impairment testing is disingenuous, suggesting that TPI is applying a degree of agressiveness to profit recognition.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116987195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Do Inventories Really Yield a Convenience? An Empirical Analysis of the Risk-Adjusted Spread","authors":"Katelijne A. E. Carbonez, Van Thi Tuong Nguyen, P. Sercu","doi":"10.2139/ssrn.1344391","DOIUrl":"https://doi.org/10.2139/ssrn.1344391","url":null,"abstract":"This paper considers four competing propositions to explain the convex relationship between inventories and the risk-adjusted spread called the 'Working curve': the convenience yield, the risk premium, data aggregation and the imbedded options value inherent to a futures contract. We use 70 years of weekly data from two different periods, 1/1885 to 12/1935 and 1/1985 to 12/2005, and we study contracts for storable agricultural commodities, namely wheat, corn and oats. The historical data are particularly interesting in this respect because they allow us to test quality aggregation issues, the role of location, and the potential impact of the imbedded options. The convenience yield hypothesis emerges as having the best explanatory power for the 'Working curve'. Although some of the other hypotheses predict a relationship between inventories and the risk-adjusted spread to some degree, the explanatory power is weak at best. For instance, the risk premium is often related to initial inventory levels but the result is not consistent across commodities and maturity months, the relationship is weak, and it does not subsume the strong negative-sloping/convex link with inventories that is present in the risk-adjusted spread. Similarly, we confirm empirically that data aggregation can indeed lead to a 'Working curve' even if the underlying disaggregated qualities show no such curve. Still, we also find a direct yield/inventory relation for the majority of disaggregated qualities, thus undermining the data aggregation hypothesis as the sole or major explanation. Finally, we show that also the imbedded option value is unlikely to explain the relationship between the risk-adjusted spread and inventories.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130779967","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is There Room for Growth? Debt, Growth Opportunities and the Deregulation of U.S. Electric Utilities","authors":"L. Bulan, P. Sanyal","doi":"10.2139/ssrn.867004","DOIUrl":"https://doi.org/10.2139/ssrn.867004","url":null,"abstract":"We investigate the impact of growth opportunities on the financing decisions of investor-owned electric utilities in the U.S. when the electricity sector was deregulated. We find that the relationship between leverage and growth opportunities can be positive or negative, depending on the nature of the growth opportunity. Despite these opposing effects on leverage ratios, we find that electric utilities are issuing new debt in response to the same growth opportunities. Our results highlight that financing choice is not a simple one-period decision but a dynamic occurrence and that conventional leverage regressions cannot fully capture this dynamic response.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125537548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals","authors":"Satoshi Kawanishi","doi":"10.2139/ssrn.1343308","DOIUrl":"https://doi.org/10.2139/ssrn.1343308","url":null,"abstract":"AbstractIn this paper, I study a noisy REE model of asset market with two types of costly private signals: a common signal with an identical error term and independent signals with dispersed error terms. Studying investors' endogenous information acquisition, I show that (i) investors observing the common signal and those observing the independent signals are likely to coexist in the equilibrium, (ii) at most, three equilibrium strategies can coexist, and (iii) when the equilibrium has three strategies, the evolutionary learning dynamics of investors can exhibit detours and cyclical oscillation.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125332947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analyzing Risks and Returns in Emerging Equity Markets","authors":"Peter Went","doi":"10.2139/ssrn.1343260","DOIUrl":"https://doi.org/10.2139/ssrn.1343260","url":null,"abstract":"This study applies an operations research technique, Data Envelopment Analysis (DEA) on emerging equity market returns. Sharpe and Treynor measures focus only one risk aspect of portfolio return and in reality investors consider several alternative risk measures outside the traditional mean-variance framework. DEA is a multivariate approach that can incorporate multiple risk characteristics that may be equally important for the investor's decision to allocate assets to emerging markets, the risk and performance relationships are explored in a multivariate framework.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133264574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Robust Optimization of the Equity Momentum Strategy","authors":"Arco van Oord, M. Martens, H. K. van Dijk","doi":"10.2139/ssrn.1342405","DOIUrl":"https://doi.org/10.2139/ssrn.1342405","url":null,"abstract":"Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time performance of the popular equity momentum strategy with robust optimization in an empirical application involving 1500-2500 US stocks over the period 1963-2006. We also show that popular procedures like Bayes-Stein estimated expected returns, shrinking the covariance matrix and adding weight constraints fail in such a practical case.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"IM-25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126607964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Corporate Law and the Rhetoric of Choice","authors":"K. Greenfield","doi":"10.1108/S0193-5895(2009)0000024008","DOIUrl":"https://doi.org/10.1108/S0193-5895(2009)0000024008","url":null,"abstract":"Rhetorically, the notion of choice has always been a powerful one in politics and law. This essay is intended to offer a note of caution about its use. Despite its progressive hue of individual freedom, the rhetoric of choice increasingly tends to be a notion used to defend and uphold existing matrices of economic and social power. This is because the rhetoric of choice is an excellent way to support exiting power relationships. The assertion that people acting within such power relationships are simply choosing their current situation undermines efforts to change those relationships. The powerful stay powerful; the weak stay weak. This is true in a number of areas, from discussions about school vouchers, to debates about tort reform, to the disagreements surrounding the regulation of pornography.The dependence on choice rhetoric also exists in corporate law, where the school of thought currently dominant in corporate law doctrine holds that the corporation is best seen as a voluntary arrangement among all the various stakeholders of the corporation. The rhetoric of choice is thus a powerful tool to fight against any reform of current relationships within the corporation that would embolden and empower stakeholders traditionally left out of the corporate power structure. Those involved with the corporation, whether shareholders, employees, or communities, have chosen their position, and thus should not complain when they do not receive more than what they explicitly contracted to receive. In this way, the notion of choice is used to bolster a view of corporate law that protects those already within the corporate power structure and excludes important stakeholders from corporate decision-making. The rhetoric of choice is used in the same way in corporate law discourse as it is used elsewhere by the right-to justify or bolster existing matrices of economic and social power.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"236 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133397874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Rapid Response to Questionable Trading - Moving Towards Better Enforcement of Australia's Securities Laws","authors":"Janet Austin","doi":"10.2139/SSRN.1338374","DOIUrl":"https://doi.org/10.2139/SSRN.1338374","url":null,"abstract":"The global financial crisis has acutely exposed the global nature of the markets for securities and their impact on the world economy. Yet despite some cross-fertilization, the regulation of those markets differs significantly. In the longer term it is likely that governments will now move towards the setting of more uniform securities laws and a more coordinated response to their enforcement. However in the short term can more be done to ensure that the Australian Securities and Investments Commission (ASIC) and the Australian Stock Exchange (ASX) improve their enforcement of Australia's securities laws, in particular the prohibitions against insider trading and market manipulation? ASIC has recently undertaken a review of its structure in an effort to become more market focused. The ASX has established a separate company to undertake supervision of its markets. However both ASIC and the ASX operate under existing laws and procedures that divide the supervision of regulating the markets between them. This article will consider whether changes are needed to both their enforcement tools and this division of regulation to prompt a quicker enforcement response and to respond to the challenges of a likely move towards worldwide harmonization of securities regulation.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115216833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Seismic Effects of the Bankruptcy Reform","authors":"Donald P. Morgan, Benjamin Iverson, M. Botsch","doi":"10.2139/ssrn.1310304","DOIUrl":"https://doi.org/10.2139/ssrn.1310304","url":null,"abstract":"We argue that the 2005 bankruptcy abuse reform (BAR) contributed to the surge in subprime foreclosures that followed its passage. Before BAR, distressed mortgagors could free up income by filing bankruptcy and having their unsecured debts discharged. BAR blocks that maneuver for better-off filers by way of a means test. We identify the effects of BAR using state home equity bankruptcy exemptions; filers in low-exemption states were not very protected before BAR, so they would be less affected by the reform. Difference-in-difference regressions confirm four predictions implied by that identification strategy. Our findings add to research trying to explain the surge in subprime foreclosures and to a broader literature on household bankruptcy demand and credit supply.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128708398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Pricing and Valuation on the Capital Markets: How to Clear the Fallout?","authors":"A. Artemenkov","doi":"10.2139/ssrn.1339994","DOIUrl":"https://doi.org/10.2139/ssrn.1339994","url":null,"abstract":"These ppt slides represent my presentation prepared for the National Seminar on Financial Markets: Concerns & Challenges (Ghaizerabad, India; Feb 21-22, 2009) and set off with the vision of social functions for the capital markets. In exploring this basic dimension, the slides lean on the Keynesian vision of capital markets in opposition to one espoused by the Modern Financial Economics where markets are conceptualized as efficient and 'fully reflecting all the relevant information'. The opinion expressed is that instead of taking care to act on long-term fundamental information investors have been treated, and eaten with pleasure, a short-termist diet of 'Snap and Musical chairs'. In regulatory terms, it means that some institutional arrangements upholding expectation-formation processes about the prospects of entities (mostly valuation and rating practices) have revealed themselves in unfavourable light, outlived their relevance and are in dire need of replacement by a new architecture and methodology for economic measurements, rating and valuation on capital markets. Following this view, some institutional and methodological features that can be weaven into the new system are suggested and briefly explored, including the proposal for creating a public network of industry-specific rating agencies. It is speculated that what would make for a prolonged crisis on the capital markets is the inevitable distrust toward the old architecture of micro-economic information and forecast providers and to anything that henceforward is likely to come from their analytical motions (whether sensible or not). With pre-crisis enthusiastic expectations gone out of the window, the vacuum of micro-economic expectations which was thus left is the place which regulators should look into and try to contain. This can't be done without looking at the situation anew by first embracing a proper new vision related to the market behavior and recognition of the serious danger implicit in the Modern Financial Economics paradigm. The edifice of the latter may collapse, as the enormous scale of liquidity effects and fallout from speculation may put paid to the infatuation with the building blocks of that paradigm. It is yet foolhardly to speculate on the replacement structure before the event, but any new theoretical view of 'capital ideas' should provide for their explicit linkage with the real economic sphere and direct incorporation of the policy for sustainable macroeconomic development. \"Macroeconomic foundations for micro-economic market behavior practices\" is a hackneyed shibboleth of vision for what capital markets theory and regulation needs but one which may well come to give fresh boost to the vigor of capital market activities.","PeriodicalId":201603,"journal":{"name":"Organizations & Markets eJournal","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132405415","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}