Indiana University Kelley School of Business Research Paper Series最新文献_第4页

No Place Like Home: Familiarity in Mutual Fund Manager Portfolio Choice 没有比家更好的地方:共同基金经理投资组合选择的熟悉程度

Indiana University Kelley School of Business Research Paper Series Pub Date : 2012-04-22 DOI: 10.2139/ssrn.1844464

V. Pool, Noah Stoffman, Scott E. Yonker

引用次数: 233

Business Cycles and Regime-Shift Risk 商业周期和政权转移风险

Indiana University Kelley School of Business Research Paper Series Pub Date : 2011-12-01 DOI: 10.2139/ssrn.1991694

Wei Yang

引用次数: 7

Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims 资产定价模型的实证评价:或有债权中的套利和定价误差

Indiana University Kelley School of Business Research Paper Series Pub Date : 2011-11-01 DOI: 10.2139/ssrn.941701

Zhenyu Wang, Xiaoyan Zhang

引用次数: 9

Three Years or Six to Audit? Substance and Procedure in Intermountain 三年还是六年?山间的物质和程序

Indiana University Kelley School of Business Research Paper Series Pub Date : 2011-09-23 DOI: 10.2139/SSRN.1989064

E. Rasmusen

{"title":"Three Years or Six to Audit? Substance and Procedure in Intermountain","authors":"E. Rasmusen","doi":"10.2139/SSRN.1989064","DOIUrl":"https://doi.org/10.2139/SSRN.1989064","url":null,"abstract":"In the 2011 Intermountain case the IRS wished to interpret “omits from gross income” to mean “reports but understates gross income” and extend the period for audit of understated capital gains from three years to six. It took that position without notice-and-comment and in the context of the hot pursuit of a particular tax shelter. After losing in tax court special review, with all 13 Tax Court judges concurring, the IRS made the motions of going through notice-and-comment to get Chevron deference on appeal. Neither the IRS nor anybody else seems to have paid much attention to why Congress might choose one statute of limitations over another. Rather than looking at costs and benefits, the lawyers have been looking at the meaning of words and at how much deference is owed to unargued assertions. There exist obvious reasons why Congress would choose a shorter audit time for understatements than for omissions, however, reasons which are crucial to the interpretation of the statute and whose neglect bears heavily on the question of whether the IRS has devoted more resources to study, used more expertise, listened more to outside comment, and been equally as impartial as the courts. The case provides good reason for not providing even Chevron’s level of deference to Treasury interpretations of statutes, much less to expand Chevron deference to interpretation adopted to win particular lawsuits.","PeriodicalId":412480,"journal":{"name":"Indiana University Kelley School of Business Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123974937","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}

引用次数: 0

The Breakdown of Standard Microstructure Techniques: And What to Do About it 标准微结构技术的失效及其对策

Indiana University Kelley School of Business Research Paper Series Pub Date : 2011-08-17 DOI: 10.2139/ssrn.1911491

C. Holden, Stacey Jacobsen

{"title":"The Breakdown of Standard Microstructure Techniques: And What to Do About it","authors":"C. Holden, Stacey Jacobsen","doi":"10.2139/ssrn.1911491","DOIUrl":"https://doi.org/10.2139/ssrn.1911491","url":null,"abstract":"U.S. equity markets have explosively increased their trade and quote frequency and the decline of the dominance of the NYSE has increased the importance of National Best Bid and Offer (NBBO) quotes. We address three methodology issues that arise in the computation of the NBBO: (1) millisecond versus second timestamps, (2) withdrawn quotes, and (3) cancelled quotes. We find that each of these three issues is a significant and independent source of distortion in measures of market quality. We find that the potential cost per year of poor routing decisions based on these distortions is $8.4 Billion. These distortions and costs are so massive that standard microstructure techniques essentially fail. We test fourteen different methods for calculating the NBBO based on different combinations of three data clean-up techniques, two alternative quote sources, and three quote timing techniques. We conclude that the first best solution is to use the Complete DTAQ NBBO, found by combining the NBBO and Quotes files in the Daily Trade And Quote (DTAQ) database, because this is the only way to avoid major distortions on most performance criteria and the only way to use the full sample. If a researcher is financially constrained to using only the Monthly Trade And Quote (MTAQ) database, then the second best solution is to use two clean-up techniques (Withdrawn Quotes and exclude the remaining NBBO Crossed and Locked observations) and use Interpolated Time as the quote timing technique. Looking to the future, we anticipate the ultimate demise of the NBBO and propose to replace it with a Relative Best Bid and Offer (RBBO) that is different for each market center.","PeriodicalId":412480,"journal":{"name":"Indiana University Kelley School of Business Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125714415","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}

引用次数: 11

Comparison Sites 比较网站

Indiana University Kelley School of Business Research Paper Series Pub Date : 2011-07-01 DOI: 10.2139/ssrn.1947292

J. Moraga-González, M. Wildenbeest

{"title":"Comparison Sites","authors":"J. Moraga-González, M. Wildenbeest","doi":"10.2139/ssrn.1947292","DOIUrl":"https://doi.org/10.2139/ssrn.1947292","url":null,"abstract":"Web search technologies are fundamental tools for navigating the Internet. One particular type of search technology is \"shopbots\", or comparison sites. The emergence of Internet shopbots and their implications for price competition and market efficiency are the focus of this paper. We develop a simple model where a price comparison site tries to attract (possibly vertically and horizontally differentiated) online retailers, on the one hand, and consumers, on the other. Analysis of the model reveals that differentiation among the products of the retailers and their ability to price discriminate between on- and off-comparison-site consumers play a critical role. When products are homogeneous, if online retailers cannot charge different on- and off-the-comparison-site prices, then the comparison site has incentives to charge fees so high that some firms are excluded, which generates price dispersion and an inefficient outcome. By contrast, when on- and off-comparison-site prices can be different, the comparison site attracts all the players to the platform and the allocation is efficient. A similar result obtains when products are horizontally differentiated. In that case, the comparison site becomes an aggregator of product information and no matter whether firms can price discriminate or not, the comparison site attracts all the players to the platform and an efficient outcome ensues. We argue that the lack of vertical product differentiation may also be critical for this efficiency result. In fact, we show that when quality differences are large, the comparison site may find it profitable to charge fees that effectively exclude low quality producers, thereby inducing an inefficient outcome.","PeriodicalId":412480,"journal":{"name":"Indiana University Kelley School of Business Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122147227","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}

引用次数: 16

Investment Based Valuation and Managerial Expectations 基于投资的估值和管理预期

Indiana University Kelley School of Business Research Paper Series Pub Date : 2010-11-01 DOI: 10.2139/ssrn.1563502

Ryan D. Israelsen

引用次数: 19

Penny Wise, Dollar Foolish: The Left-Digit Effect in Security Trading 一分明智，一元愚蠢:证券交易中的左数字效应

Indiana University Kelley School of Business Research Paper Series Pub Date : 2010-02-22 DOI: 10.2139/ssrn.1303700

Utpal Bhattacharya, C. Holden, Stacey Jacobsen

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引用次数: 5

The Influence of Materiality and Voluntary Incentives on Companies’ Decisions to Announce Accounting Restatements Through 8-K And/Or Amended Filings 重要性和自愿激励对公司通过8-K和/或修订文件宣布会计重述的决定的影响

Indiana University Kelley School of Business Research Paper Series Pub Date : 2009-07-02 DOI: 10.2139/ssrn.1429050

Marlene A. Plumlee, T. Yohn

{"title":"The Influence of Materiality and Voluntary Incentives on Companies’ Decisions to Announce Accounting Restatements Through 8-K And/Or Amended Filings","authors":"Marlene A. Plumlee, T. Yohn","doi":"10.2139/ssrn.1429050","DOIUrl":"https://doi.org/10.2139/ssrn.1429050","url":null,"abstract":"Many companies fail to announce restatements in 8-K reports and/or in amended financial statement filings (10-K/As). This lack of disclosure leads some to question whether companies are intentionally attempting to hide restatements from shareholders or whether, given the conservative nature of auditors and regulators, the lack of disclosure is due to the immaterial nature of some restatements. This study examines the relative importance of quantitative and qualitative materiality factors and voluntary incentive factors in explaining companies’ decisions to file 8-K and/or amended reports for restatements. We find that the decision to file an 8-K report is primarily driven by materiality factors, although voluntary incentives provide incremental explanatory power even after controlling for the materiality of the restatement. In addition, in 2004 the SEC clarified that restatements are required to be announced via 8-K reports. Our findings suggest that this rule change appears to have decreased the importance of voluntary incentive factors in the 8-K filing decision. In contrast, we document that materiality factors explain much less and voluntary incentives explain much more of the amended filing decision than the 8-K decision. After the SEC’s 8-K rule change, we find a decrease in the importance of both the materiality and voluntary incentive factors in the amended report decision and a decrease in amended filings. This might suggest that the SEC’s clarification of the requirements for filing 8-K reports left companies unclear as to the requirements for filing amended reports.","PeriodicalId":412480,"journal":{"name":"Indiana University Kelley School of Business Research Paper Series","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125889124","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}

引用次数: 2

Going Public to Acquire? The Acquisition Motive in IPOs 上市收购?ipo中的收购动机

Indiana University Kelley School of Business Research Paper Series Pub Date : 2008-06-30 DOI: 10.2139/ssrn.1153508

Uğur Çelikyurt, Merih Sevilir, Anil Shivdasani

引用次数: 228