[In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.]

Wilfrid W. Csaplar, Jr., Edward Tower; Trade and Industrial Policy Under Oligopoly: Comment, The Quarterly Journal of Economics, Volume 103, Issue 3, 1 August 1

Abstract Reviews the book "Fraudulent and Questionable Financial Reporting: A Corporate Perspective," by Kenneth A. Merchant.

Abstract ABSTRACT: The purpose of this paper is to assess via simulation the effectiveness of various analytical review procedures when used in combination with a partitioned approach to dollar unit sampling for tests of account details. Seven analytical review procedures based on regression analysis were applied to two sets of simulated accounting data which were seeded with different patterns of known overstatement errors. Audit sample sizes for dollar unit sampling and achieved audit detection risk were then computed based on the analytical review outcomes. There were three major findings in this study. First, regression based analytical review increased audit effectiveness relative to an audit strategy that did not use analytical review. Second, the use of monthly data greatly increased the effectiveness of analytical review. Finally, regression based analytical review models were very efficient in detecting potentially material misstatements.

[The purpose of this paper is to assess via simulation the effectiveness of various analytical review procedures when used in combination with a partitioned approach to dollar unit sampling for tests of account details. Seven analytical review procedures based on regression analysis were applied to two sets of simulated accounting data which were seeded with different patterns of known overstatement errors. Audit sample sizes for dollar unit sampling and achieved audit detection risk were then computed based on the analytical review outcomes. There were three major findings in this study. First, regression based analytical review increased audit effectiveness relative to an audit strategy that did not use analytical review. Second, the use of monthly data greatly increased the effectiveness of analytical review. Finally, regression based analytical review models were very efficient in detecting potentially material misstatements.]

Abstract. This paper reports the results of an empirical investigation of auditor judgment involving the assessment of audit risk and planning of an audit strategy. The study focuses on whether methodological techniques used for conducting research affect decision behavior; in particular, whether silent versus think‐aloud elicitations of auditor responses lead to different responses. Auditors performed the experimental tasks under two methods of eliciting responses: they responded to half of the cases silently, and to the other half while thinking aloud into a tape recorder. Comparisons of the silent and aloud responses suggest a systematic influence exerted by method of eliciting responses, but one which varies depending on the subjects' positions in the firm and the particular judgment being made. Résumé. Il est question dans le présent article des résultats d'une étude empirique des jugements portés par le vérificateur sur l'évaluation du risque lié à la vérification et la planification d'une stratégie de vérification. L'étude traite des répercussions des techniques méthodologiques utilisées dans le cadre de la recherche sur le comportement décisionnel; elle vise en particulier à déterminer si les réponses des vérificateurs diffèrent selon le mode d'expression, en silence ou à voix haute. Dans le cadre de cette étude, les vérificateurs participants ont accompli les tâches expérimentales en communiquant leurs réponses selon deux modes d'expression: en silence pour la moitié des cas et à voix haute pour l'autre moitié, avec enregistrement sur bande. La comparaison des deux séries donne lieu de croire que le mode de communication des réponses exerce une influence systématique, mais une influence variable selon le poste occupé par le sujet au sein du cabinet et selon le jugement précis qu'il porte.

Dissatisfaction occasionally has been expressed with traditional measures of duration for immunization on conceptual grounds. However, more elegant duration measures have not been found to be superior to the traditional ones in empirical tests of immunization efficacy. Under the assumption that the term structure of continuously compounded interest rates can be expressed as a polynomial, Chambers and Carleton (1981) demonstrate that the finite and noninstantaneous return of a default-free bond can be expressed as a vector product of a duration vector and a shift vector. This study derives immunization strategies from the model and tests them. The results of the portfolio tests indicate that the traditional duration approach of Macaulay provides enhanced immunization relative to maturity approaches or naive approaches. However, the duration vector approach produces further improvements.

Undoubtedly, the greatest surprise in telephone industry deregulation has been the absence of deregulation, for the industry continues to be almost as highly regulated today as twenty years ago. Entry has been greatly liberalized in the equipment and most services markets, AT&T has been broken up, but the most important intrastate and interstate telephone services continue to be subject to formal rate regulation. Competitive entry has made this regulation more difficult, not politically less compelling. The major event in the telephone industry has not been deregulation, but divestiture. In 1984, AT&T was divested of its operating companies as the result of an historic 1982 antitrust decree. In this paper, I summarize some of the early effects of divestiture, including: (i) the virulence of the politics to keep the uneconomic subsidies that invited competitive entry in the first place, (ii) the preliminary evidence that AT&T is losing by winning and not vice versa, (iii) the new competition in equipment markets that may turn out to be more important than the recent developments in services competition, (iv) the misplaced concerns about the loss of system efficiency and service quality due to divestiture, and (v) the plight of the divested regional Bell holding companies (RBOCs).