On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk
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| Format: | Buch |
| Sprache: | English |
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Helsinki
Helsinki School of Economics
1990
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| Schriftenreihe: | Kauppakorkeakoulu <Helsinki>: Acta Academiae oeconomicae Helsingiensis / A
69 |
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| 245 | 1 | 0 | |a On the information content of accrual-based and cash-based accounting income numbers |b their ability to predict investment risk |
| 264 | 1 | |a Helsinki |b Helsinki School of Economics |c 1990 | |
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| 490 | 1 | |a Kauppakorkeakoulu <Helsinki>: Acta Academiae oeconomicae Helsingiensis / A |v 69 | |
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Datensatz im Suchindex
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| adam_text | iv
TABLE OF CONTENTS
1 INTRODUCTION 9
1.1 Portfolio theory and external accounting numbers of firms 9
1.2 Purpose and outline of the study 11
2 A REVIEW OF RISK ORIENTED ACCOUNTING LITERATURE 16
2.1 Classifications of risk oriented accounting studies 16
2.2 The accounting beta approach 21
2.2.1 Accounting index models 21
2.2.2 Accounting beta studies 23
3 THE EFFECT OF THE ACCRUAL DAMPENING ON THE ASSOCIATION OF ACCOUNTING BETAS
WITH MARKET RISK 28
3.1 On the relation between cash based and accrual based accounting
betas 28
3.2 Accounting betas and the total market risk 35
4 THE ACCOUNTING VARIABLES AND THE DATA SAMPLE 41
4.1 Cash based and accrual based accounting income variables 41
4.2 The data sample 48
4.3 Data adjustments 50
4.3.1 Treatment of outlier observations of the accounting variables 50
4.3.2 Adjustment of sudden shifts in the absolute variables (CSA and ASA) 53
5 METHODOLOGY 54
5.1 The measures of systematic risk 54
5.1.1 The accounting betas 54
5.1.1.1 Differences between the levels forms of cash based and
accrual based accounting index models 54
5.1.1.2 Two alternative model specifications 58
5.1.1.3 The estimation procedure of the accounting betas 60
5.1.2 The market beta 67
5.2 The market based correlation and prediction tests 69
5.2.1 Contemporaneous correlation tests 70
5.2.2 Interperiod correlation tests 71
5.2.3 Prediction tests 74
V
6 EMPIRICAL RESULTS 79
6.1 Accounting index model results 79
6.1.1 Descriptive statistics on the accounting index models 79
6.1.2 Contemporaneous and interperiod correlation between the
different accounting betas 87
6.2 Market based tests 91
6.2.1 Bayesian adjustment of the market and accounting betas 91
6.2.2 Contemporaneous correlation tests 92
6.2.3 Interperiod correlation tests 107
6.2.4 Prediction tests 115
6.2.4.1 Mean Square Error metric 115
6.2.4.2 Mean Error and Mean Absolute Error metrics 129
6.2.5 Summary and discussion on the market based tests 134
7 SUMMARY AND CONCLUSIONS 143
REFERENCES 149
APPENDICES 156
LIST OF TABLES
Table 4 1 The accounting income variables 42
Table 4 2 The firm/variable specific frequencies of adjusted outliers in the
accounting data 52
Table 5 1 The accounting betas introduced in the market based tests, their
notation, and the models and index variables used in their
estimation 66
Table 5 2 Contemporaneous correlation tests between the market and
accounting betas 71
Table 5 3 The estimation periods of predicted and predictor variables in
interperiod correlation and prediction tests 74
Table 6 1 Accounting index models: condensed descriptive statistics 80
Table 6 2 A pairwise comparison of the cash based and accrual based bayesian
adjusted accounting betas 86
vl
Table 6 3 Kendall s coefficient of concordance: the divergence in risk
rankings by the different accounting betas 89
Table 6 4 Contemporaneous (single security) product moment and rank
correlations between the market and accounting betas 95
Table 6 5 Contemporaneous product moment and rank correlations between the
market and accounting betas. Two security portfolios formed
according to the accounting betas 101
Table 6 6 Contemporaneous product moment and rank correlations between the
market and accounting betas. Two security portfolios formed
according to the market beta estimated from period 1970 85 102
Table 6 7 Contemporaneous product moment and rank correlations between the
market and accounting betas. Two security portfolios formed
according to the market beta estimated from period 1983 85 103
Table 6 8 Contemporaneous product moment and rank correlations between the
market and accounting betas. Three security portfolios formed
according to the market beta estimated from period 1970 85 104
Table 6 9 Interperiod product moment and rank correlations between the long
term market beta(s) and short and intermediate period accounting
betas 107
Table 6 10 interperiod product moment and rank correlations between the
short term market betas and accounting betas from three different
estimation periods 111
Table 6 11 Naive predictions uslng ^^ ^^ ^^ ^ ^
predictors: interperiod correlation tests 114
M.I. 6 12 Prediction tests with Mincer Zarnowit2 MSE decomposition.
Predicted variable: J17085A (long term market beta) 117
Table 6 13 Prediction tests with Mincer Zarnowitz MSE decomposition. Predic
ted variable: B7072 118
Table 6 14 Prediction tests with Mincer Zarnowitz MSE decomposition. Predic
ted variable: B8687 120
Table 6 15 Prediction tests with Mincer Zarnowitz MSE decomposition. Predic
ted variable: B8587 124
vii
Table 6 16 Prediction tests with Mlncer Zarnowltz MSE decomposition. Predic¬
ted variable: B8487 125
Table 6 17 Prediction tests with Mincer Zarnowitz MSE decomposition. Predic¬
ted variable: B8387 126
Table 6 18 Prediction tests: Mean Error (ME) and Mean Absolute Error (MAE)
statistics. Predicted variable: B8687 130
Table 6 19 Prediction tests: Mean Error (ME) and Mean Absolute Error (MAE)
statistics. Predicted variable: B8387 130
Table 6 18a The Wilcoxon signed ranks test of equality of medians of the
accounting betas and the market beta (B8687) 133
Table 6 20 Condensed summary on the market based results 136
Table 6 21 Kendall s coefficient of concordance (W): the divergence in risk
rankings by different bayesian adjusted accounting betas (within
the same accounting system) and the market beta of period 1970 85
137
LIST OF FIGURES
Figure 2 1 A simple classification of different risk prediction approaches
20
Figure 2 2 A classification of Index model studies 21
Figure 5 1 A serial accounting filter model 55
Figure 5 2 The prediction realization diagram 76
Please note that, when tables and equations are referred to in the
text, the first digit of the reference number (i.e. the chapter
indicator) will only be used when the table or equation in question
is located in another chapter.
viii
LIST OF APPENDICES
Appendix 2 1 A review of studies on instrumental prediction of risk
156
Appendix 2 2 A review of some important accounting beta studies 159
Appendix 4 1 The exact definitions of the accounting variables used
in the study 164
Appendix 4 2 The sample selection procedure 166
Appendix 5 1 R2 statistics on the trend regressions 173
Appendix 6 1 Statistical properties of the accounting index models
174
Appendix 6 2 Correlations between the different accounting betas 180
Appendix 6 3 Contemporaneous product moment correlations between
annual market betas (estimated from period 1970 85) and
accounting betas 187
Appendix 6 4 Exploitation of prior period cross sectional association
of the accounting betas with the market beta in
predicting future market risk 188
Appendix 6 5 Firm specific statistics on the market model
regressions. Estimation period: 1970 85 192
|
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| id | DE-604.BV008954538 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-23T12:54:55Z |
| institution | BVB |
| isbn | 9517008406 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-005909405 |
| oclc_num | 23178472 |
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| owner_facet | DE-N2 DE-523 |
| physical | 192 S. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Helsinki School of Economics |
| record_format | marc |
| series2 | Kauppakorkeakoulu <Helsinki>: Acta Academiae oeconomicae Helsingiensis / A |
| spellingShingle | Niskanen, Jyrki On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk Accounting Investments Risk Einnahmen- und Ausgabenrechnung (DE-588)4127624-3 gnd Information (DE-588)4026899-8 gnd Periodenerfolgsrechnung (DE-588)4173776-3 gnd Investitionsrisiko (DE-588)4475258-1 gnd |
| subject_GND | (DE-588)4127624-3 (DE-588)4026899-8 (DE-588)4173776-3 (DE-588)4475258-1 |
| title | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_auth | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_exact_search | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_full | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_fullStr | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_full_unstemmed | On the information content of accrual-based and cash-based accounting income numbers their ability to predict investment risk |
| title_short | On the information content of accrual-based and cash-based accounting income numbers |
| title_sort | on the information content of accrual based and cash based accounting income numbers their ability to predict investment risk |
| title_sub | their ability to predict investment risk |
| topic | Accounting Investments Risk Einnahmen- und Ausgabenrechnung (DE-588)4127624-3 gnd Information (DE-588)4026899-8 gnd Periodenerfolgsrechnung (DE-588)4173776-3 gnd Investitionsrisiko (DE-588)4475258-1 gnd |
| topic_facet | Accounting Investments Risk Einnahmen- und Ausgabenrechnung Information Periodenerfolgsrechnung Investitionsrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005909405&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV008914862 |
| work_keys_str_mv | AT niskanenjyrki ontheinformationcontentofaccrualbasedandcashbasedaccountingincomenumberstheirabilitytopredictinvestmentrisk |