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Confirming Dividend Changes and the Non-Monotonic Investor Revision of Earnings Persistence

Author: Christian Müller

Publisher: Springer Science & Business Media

Published: 2013-12-30

Total Pages: 157

ISBN-13: 365804473X

The stylized facts that firms pay and investors react to dividends disregard dividend neutrality. Taking on the perspective that informational asymmetries are the central determinant for dividend value relevance, Christian Müller assumes that firm’s dividend decision conveys useful information to investors. He shows that investors use dividend changes to revise their a priori expectations about the persistence of a current earnings change. While his theoretical and empirical analyses generally imply that dividend changes constitute informative, but imperfect information signals, he further identifies situations in which they are substantial to investors. Christian Müller’s research comprehensively examines the informational role of dividend policy and provides new insights to the corresponding Bayesian investor learning process.

Confirming Dividend Changes and the Non-Monotonic Investor Revision of Earnings Persistence

Author: Christian Mueller

Publisher: Springer Gabler

Published: 2014-01-02

Total Pages: 137

ISBN-13: 9783658044749

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Heterogeneity and Persistence in Returns to Wealth

Author: Andreas Fagereng

Publisher: International Monetary Fund

Published: 2018-07-27

Total Pages: 69

ISBN-13: 1484370066

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We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.

A History of the Theory of Investments

Author: Mark Rubinstein

Publisher: John Wiley & Sons

Published: 2011-09-02

Total Pages: 393

ISBN-13: 1118161092

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"This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player." -- Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, Univ. of Pennsylvania; and retired partner, Goldman Sachs A History of the Theory of Investments is about ideas -- where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contributors to some of investment's most influential ideas and models.

International Macroeconomics in the Wake of the Global Financial Crisis

Author: Laurent Ferrara

Publisher: Springer

Published: 2018-06-13

Total Pages: 298

ISBN-13: 3319790757

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This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Financial Statement Analysis and Earnings Forecasting

Author: Steven J. Monahan

Publisher: Foundations and Trends (R) in Accounting

Published: 2018-07-17

Total Pages: 124

ISBN-13: 9781680834505

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Financial Statement Analysis and Earnings Forecasting is the process of analyzing historical financial statement data for the purpose of developing forecasts of future earnings. This process is important because it is central to the valuation of companies and the securities they issue. After a short introduction, Section 2 delves into the question "Why earnings"? Focusing on dividend policy irrelevance, the author describes key analytical results that imply that expected earnings are the fundamental determinant of both equity and enterprise value. Section 3 examines the issues involved in selecting the earnings metric to forecast. Once an earnings metric has been chosen, the next question to ask is "How useful are historical accounting numbers for developing forecasts of that metric?" Sections 4 through 8 focus on this question. Section 4 discusses the general role of econometric modeling. Section 5 reviews time-series models. Section 6 examines the choices a researcher makes when using panel-data approaches and the author describes the advantages of these approaches. Section 7 reviews the role of accounting measurement in determining the usefulness of historical accounting numbers for developing forecasts of future earnings. Section 8 examines approaches for forecasting the higher moments of future earnings and section 9 provides a summary.

Social Science Research

Author: Anol Bhattacherjee

Publisher: CreateSpace

Published: 2012-04-01

Total Pages: 156

ISBN-13: 9781475146127

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This book is designed to introduce doctoral and graduate students to the process of conducting scientific research in the social sciences, business, education, public health, and related disciplines. It is a one-stop, comprehensive, and compact source for foundational concepts in behavioral research, and can serve as a stand-alone text or as a supplement to research readings in any doctoral seminar or research methods class. This book is currently used as a research text at universities on six continents and will shortly be available in nine different languages.

Earnings, Earnings Growth and Value

Author: James A. Ohlson

Publisher: Now Publishers Inc

Published: 2006

Total Pages: 90

ISBN-13: 1933019425

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Earnings, Earnings Growth and Value presents a model of earnings and dividends leading up to the core principle that growth in earnings explains the price to forward-earnings ratio. This model is referred to as the OJ (Ohlson and Jeuttner-Nauroth) model. The OJ model takes into account two growth measures of earnings -- the near term and the long term -- to explain the price to forward-earnings ratio. Further, the model allows for a broad set of dividend policies. Earnings, Earnings Growth and Value starts from the basics and derives the valuation formula which shows how value depends on earnings and their growth. Some of the topics developed here are include dividend policy irrelevancy (DPI), how one extends the model to incorporate an underlying information dynamic, accounting rules and their influence on the model, and ways in which the model can be extended to reflect operating vs. financial activities. Earnings, Earnings Growth and Value should be required reading for researchers in accounting and finance with an interest in accounting theory, equity valuation and financial accounting.

International Evidence on the Effects of Having No Capital Gains Taxes

Author: Fraser Institute (Vancouver, B.C.)

Publisher: The Fraser Institute

Published: 2001

Total Pages: 36

ISBN-13: 0889751897

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Empirical Asset Pricing

Author: Wayne Ferson

Publisher: MIT Press

Published: 2019-03-12

Total Pages: 497

ISBN-13: 0262039370

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An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.