This study evaluated the relationship between market-to-book ratio and Tobin’s Q and accounting conservatism. An important factor in adopting conservative approaches is the increased competitive pressures. Nevertheless, conservative approach reduces expectations of future performance of the businesses. This study used the data from companies listed in TSE during 2008 to 2013. Basu’s model was u...

In this paper we develop a continuous-time general equilibrium model in a representative exchange economy with incomplete information. We show, in a multiple assets setting, that state uncertainty risk is priced and commands additional (state-dependent) premium. It is affected by both the investor’s estimate of the state of the economy, as well as the uncertainty about her estimation. Moreover,...

This paper shows that differences in industry concentration help explain the crosssection of average stock returns. Firms in concentrated industries earn lower returns, even after controlling for size, book-to-market and momentum. The premium for industry concentration exhibits systematic business cycle variation. In addition, the premium on book-to-market is higher in more concentrated industr...

Over two thousand books and articles make a very good point: Charles de Gaulle based his domestic and foreign policies on a fundamental, unchanging vision of France’s geopolitical position in the world. Andrew Moravcsik summarily dismisses this literature for its “tendency to engage in imaginative biographical reconstruction” and argues instead that “the overwhelming preponderance of direct evi...

This paper studies the excess returns on stocks, associated to various company fundamentals on a panel of US stocks from 1979 to 2008. The returns premia are measured using a random coefficient panel data model on the individual stock level. We show that the HML and SMB factors in the Fama and French model probably have no particular economic meaning as sources of systematic risk other than bei...

The NYSE has opened the limit-order book to off-exchange traders during trading hours. In this paper, we address the welfare implications of the recent change in market structure. We model a market similar to the single-price auction that the exchange uses to open the trading day. We consider two different environments. In the first, only the specialist can see the limit order book, while in th...

and his coauthors begin from the observation that it is difficult to distinguish that specification from an alternative one in which the drift in log consumption growth is itself a highly persistent covariance stationary process with low conditional volatility but high unconditional volatility. Thus, the drift itself is almost but not quite a random walk. The high unconditional volatility of th...

We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at...