Search

Background: Public–private partnerships (PPP) are often how health improvement programs are implemented in low-and-middle-income countries (LMICs). We therefore aimed to systematically review the literature about the aim and impacts of quality improvement (QI) approaches in PPP in LMICs. Methods: We searched SCOPUS and grey literature for studies published before March 2022. One reviewer screened abstracts and full-text studies for inclusion. The study characteristics, setting, design, outcomes, and lessons learned were abstracted using a standard tool and reviewed in detail by a second author. Results: We identified 9,457 citations, of which 144 met the inclusion criteria and underwent full-text abstraction. We identified five key themes for successful QI projects in LMICs: 1) leadership support and alignment with overarching priorities, 2) local ownership and engagement of frontline teams, 3) shared authentic learning across teams, 4) resilience in managing external challenges, and 5) robust data and data visualization to track progress. We found great heterogeneity in QI tools, study designs, participants, and outcome measures. Most studies had diffuse aims and poor descriptions of the intervention components and their follow-up. Few papers formally reported on actual deployment of private-sector capital, and either provided insufficient information or did not follow the formal PPP model, which involves capital investment for a explicit return on investment. Few studies discussed the response to their findings and the organizational willingness to change. Conclusions: Many of the same factors that impact the success of QI in healthcare in high-income countries are relevant for PPP in LMICs. Vague descriptions of the structure and financial arrangements of the PPPs, and the roles of public and private entities made it difficult to draw meaningful conclusions about the impacts of the organizational governance on the outcomes of QI programs in LMICs. While we found many articles in the published literature on PPP-funded QI partnerships in LMICs, there is a dire need for research that more clearly describes the intervention details, implementation challenges, contextual factors, leadership and organizational structures. These details are needed to better align incentives to support the kinds of collaboration needed for guiding accountability in advancing global health. More ownership and power needs to be shifted to local leaders and researchers to improve research equity and sustainability. [ABSTRACT FROM AUTHOR]

Return on investment (ROI) has long been accepted as a primary tool for decision‐making for capital investments and even choices among competing operational budget lines. Applying ROI to investments intended to prevent or mitigate future risks and hazards can be very difficult, as benefits are typically arduous to define and calculate while risk probabilities can be very small. This paper uses examples from recent research concerning law enforcement, airport security, and airport resiliency to illustrate the feasibility of computing ROI and resiliency ROI (RROI) for such investments and to suggest methodology to approach these computations. [ABSTRACT FROM AUTHOR]

Purpose: This study aims to investigate the growing use of financial metrics (such as return on investment [ROI]) to measure performance and evaluate human capital (HC) investments. Design/methodology/approach: The research employed an embedded case study approach, examining how one ROI approach was applied to evaluating HC investments, across three sectors (corporate, public health and international development). Findings: Three major findings emerged in this study: First, interpretations of ROI can lead to ambiguity during implementation. ROI is interpreted trichotomously – metaphorically, as a desire for value; literally, as a metric; and procedurally, as a method for planning and evaluating HC investments. Second, understanding, measuring and tracking the domains of people performance (cognitive, affective and psychomotor) is vital to evaluating the impact of HC investments because this is where the change in behavior occurs. Third, although the logic model measures the change in process following an intervention (input-activity-output-outcome-impact), other approaches measure the change in behavior of people in the intervention (people performance). Practical implications: These findings provide clarity for practitioners about challenges when applying ROI. Originality/value: This is the first study to explore how the ROI financial metric is applied in a new domain by first examining its interpretation. It elucidates the use of ROI in practice, as well as the different purposes of key ROI approaches. [ABSTRACT FROM AUTHOR]

The prior literature links cash holdings and returns (Simutin (2010), Palazzo (2012)). Using two signals of aggregate-funding availability, I find that the positive association between cash and returns only exists during constrained funding environments. In unconstrained periods, there is no association between cash and returns. The relation in constrained environments does not appear to be related to capital expenditures, expected return, or distress risk but is more prevalent in firms undertaking research and development (R&D) expenditures. This suggests that the association between cash and returns is more consistent with expanding (or maintaining) future growth opportunities rather than being attributable to differences in capital expenditures or risk. [ABSTRACT FROM AUTHOR]

Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Background: Since 2003, the government of Ethiopia has trained and deployed more than 42,000 Health Extension Workers across the country to provide primary healthcare services. However, no research has assessed the return on investments into human resources for health in this setting. This study aims to fill this gap by analyzing the return on investment within the context of the Ethiopian Health Extension Program. Methods: We collected data on associated costs and benefits attributed to the Health Extension Program from primary and secondary sources. Primary sources included patient exit interviews, surveys with Health Extension Workers and other health professionals, key informant interviews, and focus groups conducted in the following regions: Amhara, Oromia, Tigray, and the Southern Nations Nationalities and Peoples' Region. Secondary sources consisted of financial and administrative reports gathered from the Ministry of Health and its subsidiaries, as well as data accessed through the Lives Saved Tool. A long-run return on investment analysis was conducted considering program costs (personnel, recurrent, and capital investments) in comparison to benefits gained through improved productivity, equity, empowerment, and employment. Findings: Between 2008–2017, Health Extension Workers saved 50,700 maternal and child lives. Much of the benefits were accrued by low income, less educated, and rural women who had limited access to services at higher level health centers and hospitals. Regional return ranged from $1.27 to $6.64, with an overall return on investment in the range of $1.59 to $3.71. Conclusion: While evidence of return on investments are limited, results from the Health Extension Program in Ethiopia show promise for similar large, sustainable system redesigns. However, this evidence needs to be contextualized and adapted in different settings to inform policy and practice. The Ethiopian Health Extension Program can serve as a model for other nations of a large-scale human resources for health program containing strong economic benefits and long-term sustainability through successful government integration. [ABSTRACT FROM AUTHOR]

The authors propose a new real estate investment class, moderate income rental housing (MIRH). Drawing on multifamily total return performance data from the National Council of Real Estate Fiduciaries (NCREIF), they classify multifamily properties as MIRH or above-MIRH according to whether they offer housing costs affordable to tenants earning less than 80% of median income. MIRH assets are found to offer comparable and favorable return and risk characteristics relative to above-MIRH assets and other investment alternatives. This basic finding is robust nationally, across 11 metros that provide sufficient data coverage, and across three vintage-year cohorts beginning in 2005, 2010, and 2015. Counterintuitively, MIRH assets typically exhibit slightly lower occupancy levels but higher capital expenditures and higher earnings yields over the analysis period (2005 to 2021). A new MIRH asset class aligns with rising interest in ESG investment, as it has posted compelling performance metrics while also providing an affordable rent. [ABSTRACT FROM AUTHOR]

Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Despite regulators' allegations that digital technology giants misuse their market power to earn abnormal profits, there is a dearth of systematic work on (1) whether digital-tech firms in general, and tech giants in particular, earn excess profits or (2) whether their abnormal profitability, if any, is due to market power. We use two alternative measures of economic profitability in addition to accounting rate of return (ARR): internal rate of return (IRR), which equates current investments to their long-term payback, and return on invested capital (ROIC), whose numerator (profits) and denominator (invested capital) are adjusted for capitalized intangibles. Inferences based on IRRs differ from those based on ARRs and ROICs. IRRs show that the digital-tech sector is now the best-performing sector, and its gap between profitability and cost of capital has increased over time. We are unable to separate the contribution of market power and innovation to digital tech's high IRRs. JEL Classifications: D43; L1; M21; M41. [ABSTRACT FROM AUTHOR]

We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long‐term fundamental value, traders also trade on perceived short‐term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short‐term speculation dampens price fluctuations and generates time‐series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume. [ABSTRACT FROM AUTHOR]

In this article, we combine narrative disclosures in the Management Discussion and Analysis (MD&A) Section of 10-K reports with financial variables to generate explicit firm-level forecasts of 1-year-ahead return on equity (ROE). Testing our forecasts out-of-sample, we find that models enhanced with MD&A disclosures are more accurate than models using quantitative financial variables alone. We also find that text-enhanced models are as good as or better than analyst consensus forecasts for small firms and firms with low analyst following. We provide evidence on the informativeness of the MD&A section across different firm characteristics. We find that firms with large changes in future performance, negative future performance, high investor scrutiny, high distress risk, high positive accruals, and high value relevance of earnings have more informative MD&A disclosures, whereas younger firms and firms facing greater market risk and litigation exposure have less informative MD&As. Our results are robust to alternative empirical choices regarding benchmarks and specifications. Overall, our inferences are consistent with MD&A disclosures positively contributing to firms' information environments. [ABSTRACT FROM AUTHOR]

We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their return expectations for banks in accordance with the Modigliani–Miller conservation‐of‐risk principle. Hence, increased capital requirements are not made socially costly based on a notion that market pricing violates risk conservation. Equity can nevertheless still be privately costly for banks because of reduced subsidies. [ABSTRACT FROM AUTHOR]

Purpose: This study investigates the effect of investment in intellectual capital and its components on the performance of Brazilian companies listed on the Brasil, Bolsa, Balcão (B3) exchange. More specifically, we examine whether a positive relationship exists between the proxies for intellectual, structural, human, and invested capital and firms' return on assets and equity. Originality/value: This study differs from those of Richieri (2007), Turra et al. (2015), and Brizolla and Turra (2015) by using panel data and static and dynamic econometric regression models to analyze firms' performance. It also differs from Nadeem et al. (2018) by using return on equity and return on assets to measure performance. Design/methodology/approach: We estimated two equations employing static estimators (static OLS and fixed effect) and dynamic estimators (dynamic OLS and GMM), as proposed by Nadeem et al. (2018). We performed strict exogeneity tests to ascertain the need to use dynamic models. Thus, the first equation analyzed the effect of intellectual capital on future performance (measured by ROA and ROE). In contrast, the second equation investigated the impact of structural, invested, and human capital on these same performance indicators. Findings: The results indicate a positive effect of investment in intellectual capital on the performance of Brazilian companies. In addition, all components of intellectual capital are significant in increasing returns on assets and equity. [ABSTRACT FROM AUTHOR]

We propose a new multi-factor model for international stock returns that includes size, value, and momentum factor portfolios and that builds them in a partial-segmentation capital market framework. Accounting for externalities driven by the incomplete accessibility to stocks and stock markets, our model not only captures strong common variation in international stock returns but also achieves low pricing errors and rejection rates relative to pure segmentation and pure integration models. This partial-segmentation approach is evaluated using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over 2 decades and for a wide variety of test assets. [ABSTRACT FROM PUBLISHER]

Purpose: This paper aims to offer evidence-based findings on the under-researched role of finance in the sales and operations planning (S&OP) process, aiming to guide academics and practitioners towards successful S&OP implementations. Design/methodology/approach: The research builds upon a multiple case study, embracing five Latin American subsidiaries of four global manufacturing corporations from the consumer goods, chemical and pharmaceutical industries. Following an exploratory approach, the case study results are analysed in within- and cross-case analyses. Findings: The research findings are synthesised into a framework, demonstrating relevant benefits from the engagement of finance along the S&OP process and the implications of its interactions with traditional S&OP functions as sales, marketing and operations. The paper shows how finance adds value in supporting the process, enabling decisions on costs, margins, capital expenditures and return on investments. Finance strengthens S&OP when assessing demand- and supply-related risks and facilitates comparing the functional business areas' plans to budget. While finance participation is highlighted as necessary for supporting successful S&OP implementations, it also receives valuable inputs in return, characterising a two-way communication role that benefits the entire organisation. Originality/value: This is the first research paper focusing on empirically exploring the role of finance within S&OP, going beyond initial insights from practice and academia. It provides practitioners and scholars with an in-depth, evidence-based view of finance's integration along the S&OP process. [ABSTRACT FROM AUTHOR]

A promising feedstock for large‐scale production of sustainable jet biofuel is the inedible oilseed Brassica carinata (referred to simply as "carinata"), but transitioning to large‐scale fuel production entails significant economic uncertainty and requires substantial up‐front capital requirements for biorefinery construction. Furthermore, for carinata and other feedstocks attempting to compete within the established fossil jet fuel market, historically volatile aviation fuel prices affect the economic feasibility and return of biorefinery investments. In this study, we assess the impact of jet fuel price volatility on the return on investment in a carinata biorefinery employing a real options analysis (ROA). The key advantage of ROA over traditional net present value (NPV) analysis is that it simultaneously assesses the optimal timing for investments and the impact of jet fuel price dynamics on the likelihood of positive economic returns from investments in processing plants. Given the nonstationary nature of jet fuel prices and the presence of structural breaks, the price series are modeled as a geometric Brownian motion. Taking into account the volatility of jet fuel price, the ROA price threshold for a profitable investment is 45% greater than the NPV threshold. The ROA model identifies the necessary market conditions for a profitable investment and highlights the importance of considering market price dynamics before making substantial capital investments in a carinata biorefinery. [ABSTRACT FROM AUTHOR]

Commercial real estate investors prefer coastal, gateway, markets for liquidity, demand density, and durable returns. Yet, these areas are more vulnerable to the effects of climate change from more intense and frequent weather events such as hurricanes and typhoons as well as to gradual changes such as sea-level rise. Recognition is growing of the risks that these events pose to investment performance, but little is known about how this risk has impacted property values and returns when an event such as a hurricane occurs. This is the first study to analyze the impact on property values and returns from hurricanes causing the most significant damage by value over the past 30-plus years throughout the nation. Using individual property data from the National Council of Real Estate Investment Fiduciaries database, we find a significant impact on the value and rates of return, after accounting for any additional capital expenditures for repairs, for properties that are in areas impacted by a hurricane, relative to areas that were not impacted by a hurricane. These impacts vary by property type and can last for several years after the hurricane hit land in the area. [ABSTRACT FROM AUTHOR]

The 20-25 years economic life for hydrocarbon pipelines in the investment decision model is at wide variance with historical statistical records of more than 90-percent world-wide. Opinions diverge, from service type to the product quality, and materials resilience as basis for this premise. While, financial experts consider time to fully depreciate a capital investment, irrespective of the rate of returns, engineers consider operational availability and reliability duration. The risk is that actual residue values of pipelines worldwide are erroneously omitted in every project's economics Cash-flow computation, thus eroding the investment decision quality. Statistics showed that more than 60-percent of pipelines worldwide have already exceeded the 25 years economic life, while more than 40-percent have operated more than 30-years and above. This theoretical appraisal identified a gap in the economic model in handling multi-criteria risk management uncertainties like hedging, weighting, etc., and highlighted the exigency to craft and assign numeric residue values for pipelines in the investment Cash-flow models. [ABSTRACT FROM AUTHOR]

Civil nuclear reactors are used for the production of electrical energy. In the nuclear industry vendors propose several nuclear reactor designs with a size from 35–45 MWe up to 1600–1700 MWe. The choice of the right design is a multidimensional problem since a utility has to include not only financial factors as levelised cost of electricity (LCOE) and internal rate of return (IRR), but also the so called “external factors” like the required spinning reserve, the impact on local industry and the social acceptability. Therefore it is necessary to balance advantages and disadvantages of each design during the entire life cycle of the plant, usually 40–60 years. In the scientific literature there are several techniques for solving this multidimensional problem. Unfortunately it does not seem possible to apply these methodologies as they are, since the problem is too complex and it is difficult to provide consistent and trustworthy expert judgments. This paper fills the gap, proposing a two-step framework to choosing the best nuclear reactor at the pre-feasibility study phase. The paper shows in detail how to use the methodology, comparing the choice of a small-medium reactor (SMR) with a large reactor (LR), characterised, according to the International Atomic Energy Agency (2006), by an electrical output respectively lower and higher than 700 MWe. [ABSTRACT FROM PUBLISHER]

Copyright of Revista Biológico Agropecuaria Tuxpan is the property of Revista Biologico Agropecuaria Tuxpan and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The real rate of return to capital plays a vital part in the economy in evaluating the contribution of capital investment to the economic growth. As it is also a key variable in estimating the economic opportunity cost of capital for use as the economic discount rate in investment decision-making. The objective of this study is to estimate the economic real rates of return to reproducible and remunerative capital of the EAC economies. The results indicate that the real rates of return to reproducible capital over the period 1999–2016 have averaged 10.70% in Kenya and Rwanda, while it averaged 12.05% and 9.86% in Tanzania and Uganda, respectively. With regard to the marginal rates of return to remunerative capital, the results suggest that EAC countries have averaged 16.28%, 16.21%, 15.07% and 14.49% in Tanzania, Rwanda, Kenya and Uganda, respectively, over the same period. [ABSTRACT FROM AUTHOR]

The reduction in capex (capital expenditures) and opex (operating expenses) for distribution utilities is very important under market conditions. Utilities want to extend the life of existing equipment such as circuit breakers and transformers for deferring investment. They operate distribution transformers over its useful life to maximize the return on their investment. The studies on the distribution feeder reconfiguration have been brought up because distribution utilities have made increased investments in smart distribution systems. In this study, the life extension of the existing transformers is considered as an objective together with other economical ones such as loss minimization in the reconfiguration process. In the proposed approach, the problem is handled as a load balancing problem considering life extension of transformers over a time period using quasi-static time-series simulations, and the problem is solved under operating constraints such as current carrying capacities of feeders to find optimum system topology. [ABSTRACT FROM AUTHOR]

Any business entity is based on labour, nature, capital and entrepreneurial ability in order to achieve the proposed objectives. The vast majority of the company assets are usually consumed over a longer or shorter period of time, passing on their value to manufactured/traded goods, services provided or works performed. The dynamic environment in which companies carry out their activity and the continuous desire to develop/expand with the purpose of increasing their economic performance/minimize risks, determine them to identify and select new investment opportunities. The article focuses on emphasizing the role and use of the accounting information in substantiating direct investment decisions. [ABSTRACT FROM AUTHOR]

It is well documented that accounting measures of investment, such as working capital and capital expenditures, negatively predict future stock returns. The earnings fixation hypothesis suggests that investors overestimate and overvalue the persistence of the accrual component of earnings. Another stream of the literature argues that since accruals capture growth, the accruals anomaly can be explained by the investment anomaly, which finds that firms that grow their assets tend to have lower future returns. As empirical proxies for accruals and investment are either positively correlated or interchangeably used, it is difficult to distinguish between the competing hypotheses in empirical tests. This study contributes to the debate by identifying two special economic settings in which the two explanations offer diverging predictions. First, investment in research and development (R&D) represents an investment expenditure that reduces earnings but is not subject to accrual accounting. Thus, the earnings fixation hypothesis predicts a positive relation between increases in R&D investments and future returns, whereas the investment anomaly predicts a negative relation. Second, firms operating with negative working capital have working capital accruals that are negatively correlated with other forms of investment and growth. Therefore, while the earnings fixation hypothesis still predicts a negative relation between accruals and future returns in this setting, the investment explanation predicts a positive relation. For both sets of tests, the empirical evidence supports the earnings fixation hypothesis for the accruals anomaly and is inconsistent with the notion that the investment anomaly subsumes earnings fixation in explaining future stock returns. [ABSTRACT FROM AUTHOR]

Through the interaction between financial constraints and R&D, I study two asset-pricing puzzles: mixed evidence on the financial constraints–return relation and the positive R&D-return relation. Unlike capital investment, R&D is more inflexible. A financially constrained R&D-intensive firm is more likely to suspend/discontinue R&D projects. Therefore, R&D-intensive firms' risk increases with their financial constraints. Conversely, constrained firms' risk increases with their R&D intensity. I find a robust empirical relation between financial constraints and stock returns, primarily among R&D-intensive firms. Moreover, R&D predicts returns only among financially constrained firms. This evidence suggests that financial constraints potentially drive the positive R&D-return relation. [ABSTRACT FROM PUBLISHER]

We study how competition in the product market affects the link between firms' real investment decisions and their asset return dynamics. In our model, assets in place and growth options have different sensitivities to market wide uncertainty. The strategic behavior of market participants influences the relative importance of these components of firm value. We show that the relationship between the degree of competition and assets' expected rates of return varies with product market demand. When demand is low, firms in more competitive industries earn higher returns, whereas when demand is high firms in more concentrated industries earn higher returns. [ABSTRACT FROM AUTHOR]

We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross-section of returns (i.e., book-to-market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross-section of U.S. stock returns. [ABSTRACT FROM AUTHOR]

This article interprets the well-known value effect through the implications of standard Q-theory. An investment growth factor, defined as the difference in returns between low-investment stocks and high-investment stocks, contains information similar to the Fama and French (1993) value factor (HML), and can explain the value effect about as well as HML. In the cross-section, portfolios of firms with low investment growth rates (IGRs) or low investment-to-capital ratios have significantly higher average returns than those with high IGRs or high investment-to-capital ratios. The value effect largely disappears after controlling for investment, and the investment effect is robust against controls for the marginal product of capital. These results are consistent with the predictions of a standard Q-theory model with a stochastic discount factor. [ABSTRACT FROM AUTHOR]

To avert risk, today's companies perform business with little capital investment. They invest only on the core activities which gain higher profit and outsource non-critical production activities to their partner companies (subcontractors or sourcing companies). Hence, a customer order is normally completed by a collaborative production network formed by the partner companies. However, co-ordinating those loosely and distributed companies to meet the uncertain demands from the final customers is not simple. This research suggests an order confirmation mechanism that allows synchronizing the available capacities over the supply network. The mechanism is developed based on a factory agent system and a design of three protocols: (1) protocol for normal condition, (2) protocol for abnormal condition, and (3) protocol for cancellation. Based on the protocols, messages and procedures are designed. The design is also deployed on a distributed computing environment to illustrate the feasibility and applicability. [ABSTRACT FROM AUTHOR]

We examine stock price reaction to voluntary disclosure of innovation strategy by high-tech firms and its relation with insider stock transactions before the disclosure. We find that, despite the qualitative and subjective nature of strategy-related disclosure, there is positive stock price reaction to the disclosure. The evidence suggests that investors view the disclosure as credible good news. We also find that the disclosure is associated with more positive stock price reaction when it is preceded by insider purchase transactions. This evidence is consistent with insider purchase enhancing the credibility of the disclosure. The credibility-enhancing effect is found to be stronger for firms with higher degrees of information asymmetry (younger firms, firms with lower analyst following, loss firms, and firms with higher research and development (R&D) intensity). Our evidence also indicates that predisclosure insider purchase is associated with greater future abnormal returns, suggesting that managers are privy to good news shortly before the disclosure. [ABSTRACT FROM AUTHOR]

This paper tests the expectations hypothesis (EH) using U.S. monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from one month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power by introducing economic variables as conditioning information and by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While the conventional bivariate procedure provides mixed results, the more powerful testing procedures suggest rejection of the EH throughout the maturity spectrum examined. [ABSTRACT FROM AUTHOR]

Using the information asymmetries theory of underpricing, we investigate the role of innovation in the underpricing of initial public offerings (IPOs). We develop and test a model in which patents reduce information asymmetries in industries where the link between patents and inventive returns is transparent, thereby reducing underpricing. Conversely, patents reflect increased information asymmetries and underpricing in industries where the link is not transparent. We examine these relationships in a sample of 1,413 IPOs and find strong support for our hypotheses. In so doing, we make an important theoretical contribution by showing that the IPO market contextualizes firm information. [ABSTRACT FROM AUTHOR]

This article shows how the market coskewness model of Rubinstein (1973) and Kraus and Litzenberger (1976) is altered when a nonredundant call option is optimally traded. Owing to the option's nonredundancy, the economy's stochastic discount factor (SDF) depends not only on the market return and the square of the market return but also on the option return, the square of the option return, and the product of the market and option returns. This leads to an asset pricing model in which the expected return on any risky asset depends explicitly on the asset's coskewness with option returns. The empirical results show that the option coskewness model outperforms several competing benchmark models. Furthermore, option coskewness captures some of the same risks as the Fama-French factors small minus big (SMB) and high minus low (HML). These results suggest that the factors that drive the pricing or nonredundant options are also important for pricing risky equities. [ABSTRACT FROM AUTHOR]

The book-to-market effect is often interpreted as evidence of high expected returns on stocks of "distressed" firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the "intangible" return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good proxy for the intangible return. Also, a composite equity issuance measure, which is related to intangible returns, independently forecasts returns. [ABSTRACT FROM AUTHOR]

Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the cross section of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment-growth options results in changes in both valuation and expected stock returns. [ABSTRACT FROM AUTHOR]

Under the 1996-98 security regulations in China, the accounting rate of return on equity (ROE) has to be greater than 10 percent for three "consecutive" years for a firm to qualify for stock rights offers. Despite declining economic conditions during this period, the percentage of firms reporting ROE between 10 and 11 percent is about "three" times that for 1994-95. This unique regulatory environment provides a natural experimental setting for the empirical assessment of earnings-management behavior and its consequences. This study examines whether listed Chinese firms manage earnings to meet regulatory benchmarks and whether regulators and investors consider the quality of earnings in their respective regulatory and investment decisions. On the basis of a sample of listed Chinese firms from 1996 to 1998. we observe that managers execute transactions involving below-the-line items and use income-increasing accounting accruals to meet regulatory ROE targets for stock rights offerings. The firms that apply for, but fail to receive, regulatory approval manage earnings more significantly than do firms that receive approval and pair-matched control firms. Our market study also suggests that investors differentiate the quality of earnings and put less value on earnings suspected of a greater degree of management. Overall, our results imply that the regulatory bodies and investors to some extent make rational adjustments for the quality of earnings. [ABSTRACT FROM AUTHOR]

We explore whether pioneering advantages exist for early-mover acquirers in industry acquisition waves by examining both combined (target and acquirer) and acquirer stock returns. Combined abnormal returns are higher for acquisitions that occur at the beginning of acquisition waves. However, for acquirers' returns, only strategic pioneers--those acting in manners consistent with having superior information--capture significant advantages. Specifically, early-mover acquirers who realize superior stock returns are those that conduct acquisitions in related industries, during industry expansionary phases, and finance their acquisitions as financial theory suggests they should when they possess an informational advantage--with cash. Our findings extend the first-mover literature to corporate practices and link these practices to acquisition returns. [ABSTRACT FROM AUTHOR]

We investigate the claim that hedge funds offer investors a superior risk-return tradeoff. We do so using a continuous-time version of Dybvig's (1988a), (1988b) payoff distribution pricing model. The evaluation model, which does not require any assumptions with regard to the return distribution of the funds to be evaluated, is applied to the monthly returns of 77 hedge funds and 13 hedge fund indices from May 1990-April 2000. The results show that, as a stand-alone investment, hedge funds do not offer a superior risk-return profile. We find 12 indices and 72 individual funds to be inefficient, with the average efficiency loss amounting to 2.76% per annum for indices and 6.42% for individual funds. Part of the inefficiency cost of individual funds can be diversified away. Funds of funds, however, are not the preferred vehicle for this as their performance appears to suffer badly from their double fee structure. Looking at hedge funds in a portfolio context results in a marked improvement in the evaluation outcomes. Seven of the 12 hedge fund indices and 58 of the 72 individual funds classified as inefficient on a stand-alone basis are capable of producing an efficient payoff profile when mixed with the S&P 500. The best results are obtained when 10%-20% of the portfolio value is invested in hedge funds. [ABSTRACT FROM AUTHOR]

We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change the portfolio influence her risk attitude in markets. In line with the prediction of myopic loss aversion (Benartzi and Thaler (1995)), we find that more information and more flexibility result in less risk taking. Market prices of risky assets are significantly higher if feedback frequency and decision flexibility are reduced. This result supports the findings from individual decision making, and shows that market interactions do not eliminate such behavior or its consequences for prices. [ABSTRACT FROM AUTHOR]

We use estimates of the Black--Scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolios to stock price to test the relationship between managers' risk preferences and hedging activities. We find that as the sensitivity of managers' stock and stock option portfolios to stock price increases, firms tend to hedge more. However, as the sensitivity of managers' stock option portfolios to stock return volatility increases, firms tend to hedge less. [ABSTRACT FROM AUTHOR]

This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a long-horizon investor. Uncertainty about the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment horizon. There is substantial market timing in the optimal hedge demands, which is caused by stochastic covariance between stock return and dynamic learning. The opportunity cost of ignoring predictability or learning is found to be quite substantial. [ABSTRACT FROM AUTHOR]