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

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.

Since dynamic regression equations are often obtained from rational distributed lag models and include several lagged values of the dependent variable as regressors, high order serial correlation in the disturbances is frequently a more plausible alternative to the assumption of serial independence than the usual first order autoregressive error model. The purpose of this paper is to examine the problem of testing against general autoregressive and moving average error processes. The Lagrange multiplier approach is adopted and it is shown that the test against the nth order autoregressive error model is exactly the same as the test against the nth order moving average alternative. Some comments are made on the treatment of serial correlation.