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Stationarity Testing Under Endogenous Smooth Deterministic Components: Some Asymptotic Results 内源性光滑确定性分量下的平稳性检验:一些渐近结果
ERN: Hypothesis Testing (Topic) Pub Date : 2007-07-30 DOI: 10.2139/ssrn.1084864
M. Landajo, M. J. Presno
{"title":"Stationarity Testing Under Endogenous Smooth Deterministic Components: Some Asymptotic Results","authors":"M. Landajo, M. J. Presno","doi":"10.2139/ssrn.1084864","DOIUrl":"https://doi.org/10.2139/ssrn.1084864","url":null,"abstract":"Stationarity testing for time series which include a smooth trend with unknown parameters is considered in this paper. A pseudo-Lagrange Multiplier stationarity test is proposed and its asymptotic null distribution is obtained. The distribution depends on the unknown parameters of the model. Bootstrap techniques permit this problem to be circumvented, and the limiting percentiles of the statistic may be estimated consistently. The proposed procedure can be implemented without computer simulations. The theoretical proposal is complemented with a simulation study which allows us to check the performance of the test in finite samples. The paper ends with an empirical application.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116077955","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
Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets 通货膨胀目标制和汇率制度;金融市场的证据
ERN: Hypothesis Testing (Topic) Pub Date : 2006-12-01 DOI: 10.1093/ROF/RFP004
M. Brenner, M. Sokoler
{"title":"Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets","authors":"M. Brenner, M. Sokoler","doi":"10.1093/ROF/RFP004","DOIUrl":"https://doi.org/10.1093/ROF/RFP004","url":null,"abstract":"Inflation targeting is gaining popularity as a framework for conducting monetary policy. At the same time many countries employ some sort of foreign exchange intervention policy assuming that these two policies can coexist. This paper attempts to show that both policies are not sustainable. Israel is a classic test case. We test our hypothesis using information from the financial markets. The results support the hypothesis that both policies cannot be sustained in the long run. The conclusion is that a credible monetary policy aimed at inflation targets should be conducted in a free floating exchange rate regime. Copyright 2010, Oxford University Press.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114068840","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: 30
The Classification and Market Pricing of the Cash Flows and Accruals on Trading Positions 交易头寸现金流量和应计项目的分类与市场定价
ERN: Hypothesis Testing (Topic) Pub Date : 2005-06-01 DOI: 10.2139/ssrn.741206
Stephen G. Ryan, X. Jenny Tucker, Paul Zarowin
{"title":"The Classification and Market Pricing of the Cash Flows and Accruals on Trading Positions","authors":"Stephen G. Ryan, X. Jenny Tucker, Paul Zarowin","doi":"10.2139/ssrn.741206","DOIUrl":"https://doi.org/10.2139/ssrn.741206","url":null,"abstract":"We investigate whether the market prices the change in net trading assets as an operating or non-operating activity or some mixture of the two, and whether this market pricing is consistent with the (fundamental) association of the change in net trading assets with future cash flows from operations. Our investigation is motivated by the observation that despite the classification of the cash flows on trading positions as operating under FAS 102 trading is economically a hybrid operating/non-operating activity. Reflecting this hybrid nature, we hypothesize and find that the change in net trading assets has a less positive association with returns and future CFO than do the pure operating components of cash flows and accruals, and that it has a more positive association with returns and future CFO than do the pure non-operating components of cash flows. To the best of our knowledge, our paper is the first to propose and test hypotheses about the valuation implications of such hybrid cash flows and accruals.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130352094","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: 8
Trends in Earnings Management and Informativeness of Earnings Announcements in the Pre- and Post-Sarbanes Oxley Periods 萨班斯-奥克斯利法案前后盈余管理和盈余公告信息的趋势
ERN: Hypothesis Testing (Topic) Pub Date : 2005-02-01 DOI: 10.2139/ssrn.658782
D. Cohen, Aiyesha Dey, Thomas Z Lys
{"title":"Trends in Earnings Management and Informativeness of Earnings Announcements in the Pre- and Post-Sarbanes Oxley Periods","authors":"D. Cohen, Aiyesha Dey, Thomas Z Lys","doi":"10.2139/ssrn.658782","DOIUrl":"https://doi.org/10.2139/ssrn.658782","url":null,"abstract":"We document that firms' management of accounting earnings increased steadily from 1987 until the passage of the Sarbanes Oxley Act (SOX), with a significant increase during the period prior to SOX, followed by a significant decline after passage of SOX. However, the increase in earnings management preceding SOX was primarily in poorly performing industries. We also show that the informativeness of earnings increased steadily over time, and there was no significant change in earnings informativeness following the passage of SOX. Further, we find that earnings management increased the absolute informativeness of earnings, but reduced the informativeness for a given earnings surprise, as well as reduced the abnormal return for a given amount of earnings surprise. Finally, the evidence supports the hypothesis that the opportunistic behavior of managers, primarily related to the fraction of compensation derived from options, was significantly associated with earnings management in the period preceding SOX.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132658300","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: 199
Gatekeepers of Venture Growth: A Diana Project Report on the Role and Participation of Women in the Venture Capital Industry 风险增长的守门人:戴安娜项目关于妇女在风险投资行业中的作用和参与的报告
ERN: Hypothesis Testing (Topic) Pub Date : 2004-10-01 DOI: 10.2139/SSRN.1260385
C. Brush, N. Carter, E. Gatewood, P. Greene, M. Hart
{"title":"Gatekeepers of Venture Growth: A Diana Project Report on the Role and Participation of Women in the Venture Capital Industry","authors":"C. Brush, N. Carter, E. Gatewood, P. Greene, M. Hart","doi":"10.2139/SSRN.1260385","DOIUrl":"https://doi.org/10.2139/SSRN.1260385","url":null,"abstract":"Women have received a disproportionately low share of available venture capital in the United States. This study provides the first overview of women decision makers in the venture capital industry. Data from Pratt's Guide to Venture Capital Sources for 1995 and 2000 was analyzed to identify the numbers and characteristics of women in management positions. In addition, high-profile women venture capitalists were interviewed.The study tested the hypothesis that the presence of more women in decision-making roles in the venture capital industry would provide greater access to capital for women entrepreneurs. Three key points were considered: (1) whether highly visible, experienced women venture capitalists exist in the venture capital industry; (2) whether such women venture capitalists influence decision making in their firms; and (3) whether such women venture capitalists increase the flow of women-led deals to their firms.Results indicate that the venture capital industry is overwhelmingly male; that pre-existing relationships provide an important link between entrepreneurs and venture capitalists; and that women venture capitalists do not give preferential treatment to women, although 70 percent are in partnerships that have closed deals with women-led companies. It appears that the presence of more women venture capitalists would lead to the following: increased network connections between venture capitalists and women entrepreneurs; increased numbers of proposals to women venture capitalists; a greater likelihood that firms will invest in women-owned firms; an increase in women's access to capital; and a more powerful voice for women in the country's entrepreneurial progress.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126537268","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: 119
An Improved Approach to Computing Implied Volatility 一种计算隐含波动率的改进方法
ERN: Hypothesis Testing (Topic) Pub Date : 2001-08-01 DOI: 10.2139/ssrn.1336730
D. Chambers, Sanjay K. Nawalkha
{"title":"An Improved Approach to Computing Implied Volatility","authors":"D. Chambers, Sanjay K. Nawalkha","doi":"10.2139/ssrn.1336730","DOIUrl":"https://doi.org/10.2139/ssrn.1336730","url":null,"abstract":"A well-known problem in finance is the absence of a closed form solution for volatility in common option pricing models. Several approaches have been developed to provide closed form approximations to volatility. This paper examines Chance's (1993, 1996) model, Corrado and Miller's (1996) model and Bharadia, Christofides and Salkin's (1996) model for approximating implied volatility. We develop a simplified extension of Chance's model that has greater accuracy than previous models. Our tests indicate dramatically improved results.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116641427","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: 40
Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I 单变量平稳过程谱中零点的检验:第1部分
ERN: Hypothesis Testing (Topic) Pub Date : 1999-12-01 DOI: 10.2139/ssrn.1734311
Renaud Lacroix
{"title":"Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I","authors":"Renaud Lacroix","doi":"10.2139/ssrn.1734311","DOIUrl":"https://doi.org/10.2139/ssrn.1734311","url":null,"abstract":"It is well-known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies. In particular, we investigate the power properties of the tests from both theoretical and empirical approach.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126129012","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: 130
Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II 单变量平稳过程谱中零点的检验:第二部分
ERN: Hypothesis Testing (Topic) Pub Date : 1999-12-01 DOI: 10.2139/ssrn.1734309
Renaud Lacroix
{"title":"Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II","authors":"Renaud Lacroix","doi":"10.2139/ssrn.1734309","DOIUrl":"https://doi.org/10.2139/ssrn.1734309","url":null,"abstract":"It is well known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests exploit the asymptotic behavior of the periodogram for some well-chosen sequence of frequencies. In particular, we investigate the power properties of the tests from both theoretical and empirical approach. We first derive the limiting properties of the tests under a sequence of local alternatives. Then, we use Monte Carlo experiments to study the size and power of the tests for two particular ARMA models. The distribution of the statistics in finite sample is also investigated.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127064932","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: 108
Measuring input productivity gains from information technology 衡量信息技术带来的投入生产率收益
ERN: Hypothesis Testing (Topic) Pub Date : 1989-01-01 DOI: 10.1145/1017359.1017370
R. Banker, R. Kauffman, Richard R Morey
{"title":"Measuring input productivity gains from information technology","authors":"R. Banker, R. Kauffman, Richard R Morey","doi":"10.1145/1017359.1017370","DOIUrl":"https://doi.org/10.1145/1017359.1017370","url":null,"abstract":"This paper proposes a new method to measure the input productivity gains from information technology in complex managerial environments. The method employs a production function which maps output and relating moderating variables in the managerial environment into input resource consumption, with a random inefficiency component which can be affected by IT deployment. Sample hypotheses and a sketch of the F-tests used to identify reductions in input inefficiency are presented, and then illustrated for a new information technology which has recently been deployed in fast food restaurants.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1989-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125804475","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: 5
Corporate Culture and Shareholder Value in Banking Industry 企业文化与银行业股东价值
ERN: Hypothesis Testing (Topic) Pub Date : 1900-01-01 DOI: 10.2139/ssrn.1343674
A. Carretta, Vincenzo Farina, Franco Fiordelisi, Paola Schwizer
{"title":"Corporate Culture and Shareholder Value in Banking Industry","authors":"A. Carretta, Vincenzo Farina, Franco Fiordelisi, Paola Schwizer","doi":"10.2139/ssrn.1343674","DOIUrl":"https://doi.org/10.2139/ssrn.1343674","url":null,"abstract":"This paper analyses the casual relationship between corporate culture and shareholder value using a sample of large banks in the French, German, Italian and U.K. banking systems over the 2000 to 2003 period. Firstly, we measure shareholder value using an Economic Value Added estimated through a procedure tailored to account for banking peculiarities. Secondly, we measure corporate culture using language as its particular artifact and developing a cultural survey based on the application of a text-analysis model to a corpus of reference texts produced by the sample of banks. We posit six hypotheses regarding the relationship between corporate culture and bank profits and shareholder value. Our results noticeably show that bank profits and shareholder value benefit from different orientations of banking corporate culture.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128213753","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: 9
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