Maurice L. Hirsch, Jr., Disaggregated Probabilistic Accounting Information: The Effect of Sequential Events on Expected Value Maximization Decisions, Journal of Accounting Research, Vol. 16, No. 2 (Autumn, 1978), pp. 254-269

Journal Article Optimal Saving and Risk in Continuous Time Get access Lucien Foldes Lucien Foldes London School of Economics Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 45, Issue 1, February 1978, Pages 39–65, https://doi.org/10.2307/2297082 Published: 01 February 1978

Evaluating investments by discounting anticipated future benefits at an exogenously determined risk-adjusted discount rate (hereafter referred to as the RADR approach) is well accepted in the canon of finance. If benefits (D) are to be received for T periods and if k, the discount rate, is constant over each of the t periods, then the discrete time net present value (NPV) is de-fined as: T t (1) NPV = E D /(l + k). t=0 A positive NPV characterizes a desirable investment. A frequently offered criticism of the RADR approach centers on the fact that both risk and timing considerations are treated in the denominator of equation (1). The certainty equivalent (CE) method has been suggested as a way of distinguishing between the two effects. In computation of the CE-NPV, riskless benefits that are equal in utility to the risky projected benefits

Rodney L. Roenfeldt, Gary L. Griepentrog, Christopher C. Pflaum, Further Evidence on the Stationarity of Beta Coefficients, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 1 (Mar., 1978), pp. 117-121

Sidney Davidson, Roman L. Weil, Income Tax Implications of Various Methods of Accounting for Changing Prices, Journal of Accounting Research, Vol. 16, Studies on Changes in General and Specific Prices: Empirical Research and Public Policy Issues (1978), pp. 154-233

Numerous studies observe abnormal returns after the announcement of quarterly earnings. Ball (1978) suggests those returns are not evidence of market inefficiency, but instead are due to deficiencies in the capital asset-pricing model. This paper tests whether abnormal returns are observed when steps are taken to reduce the effect of deficiencies in the capital asset-pricing model. Significant abnormal returns are observed, but do not cover the transactions costs unless one can avoid direct transactions costs (e.g., a broker). The paper also investigates whether those abnormal returns can be attributed to a deficiency in the capital asset-pricing model. The conclusion is they cannot.

The paper presents a valuation formula for default free bonds for a certain class of tastes when the instantaneously riskfree rate of interest follows a geometric Wiener process. Properties of the resulting term structure of interest rates are studied, and an application of the analysis to the pricing of Treasury Bills is proposed.

I. Introduction, 697. — II. To cheat or not to cheat, 698. — III. The inhibited supply curve, 701. — IV. Conclusion, 702.