27 results on '"Alice Xie"'
Search Results
2. From equity to default correlation with taxes
- Author
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Yan Alice Xie, Howard Qi, and Sheen Liu
- Subjects
050208 finance ,education ,05 social sciences ,Equity (finance) ,Computer Science::Artificial Intelligence ,Quantitative Biology::Genomics ,Correlation ,Fixed income ,0502 economics and business ,Econometrics ,Economics ,Portfolio ,Default ,050207 economics ,Cluster analysis ,General Economics, Econometrics and Finance ,Finance - Abstract
For fixed income investment, the preponderant risk is the clustering of defaults in the portfolio. Accurate prediction of such clustering depends on the knowledge of default correlation. We develop...
- Published
- 2020
3. Executive compensation and capital structure
- Author
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Yan Alice Xie, Howard Qi, and Sheen Liu
- Subjects
Finance ,Economics and Econometrics ,050208 finance ,Executive compensation ,ComputingMilieux_THECOMPUTINGPROFESSION ,Capital structure ,business.industry ,media_common.quotation_subject ,05 social sciences ,Equity (finance) ,Monetary economics ,Incentive ,Cash ,0502 economics and business ,Economics ,ComputingMilieux_COMPUTERSANDSOCIETY ,050207 economics ,business ,media_common - Abstract
We examine the relation between capital structure decision and the incentive power of executive compensation that contains both cash and equity components. Our analytical model shows that executive...
- Published
- 2019
4. Default correlation: rating, industry ripple effect, and business cycle
- Author
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Howard Qi, Jian Shi, and Yan Alice Xie
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Economics and Econometrics ,050208 finance ,05 social sciences ,Ripple ,Correlation ,Bond portfolio ,0502 economics and business ,Default risk ,Econometrics ,Business cycle ,Economics ,Bond credit rating ,Default ,050207 economics - Abstract
For a well-diversified bond portfolio, default risk over the investment horizon is known as the major risk and the risk is largely from correlated defaults. While plenty of theoretical work about d...
- Published
- 2019
5. Do macroeconomic variables matter for pricing default risk?
- Author
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Yan, Alice Xie, Shi, Jian, and Wu, Chunchi
- Published
- 2008
- Full Text
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6. Addressing Stigma Through a Virtual Community for People Living with HIV: A Mixed Methods Study of the PositiveLinks Mobile Health Intervention
- Author
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Wendy F. Cohn, Claire DeBolt, Alice Xie, Alison Kosmacki, Ava Lena Waldman, Karen S. Ingersoll, Marika Grabowski, George Reynolds, Rebecca Dillingham, Tabor E. Flickinger, and Mark R. Conaway
- Subjects
Adult ,Male ,medicine.medical_specialty ,Social Psychology ,Social Stigma ,Stigma (botany) ,HIV Infections ,Pilot Projects ,Interpersonal communication ,Ambulatory Care Facilities ,Health intervention ,03 medical and health sciences ,0302 clinical medicine ,Quality of life (healthcare) ,Acquired immunodeficiency syndrome (AIDS) ,medicine ,Humans ,Mobile health ,030212 general & internal medicine ,Original Paper ,030505 public health ,Public health ,Public Health, Environmental and Occupational Health ,Smartphone app ,Middle Aged ,medicine.disease ,Mobile Applications ,Telemedicine ,Stigma ,Health psychology ,Infectious Diseases ,Quality of Life ,HIV/AIDS ,Female ,Smartphone ,0305 other medical science ,Psychology ,PositiveLinks ,Clinical psychology ,Intrapersonal communication - Abstract
Stigma has negative consequences for quality of life and HIV care outcomes. PositiveLinks is a mobile health intervention that includes a secure anonymous community message board (CMB). We investigated discussion of stigma and changes in stigma scores. Of 77 participants in our pilot, 63% were male, 49% Black, and 72% had incomes below the federal poverty level. Twenty-one percent of CMB posts (394/1834) contained stigma-related content including negative (experiencing stigma) and positive (overcoming stigma) posts addressing intrapersonal and interpersonal stigma. Higher baseline stigma was positively correlated with stress and negatively correlated with HIV care self-efficacy. 12-month data showed a trend toward more improved stigma scores for posters on the CMB versus non-posters (− 4.5 vs − 0.63) and for posters of stigma-related content versus other content (− 5.1 vs − 3.3). Preliminary evidence suggests that a supportive virtual community, accessed through a clinic-affiliated smartphone app, can help people living with HIV to address stigma.
- Published
- 2018
7. Cost of capital: spot rate or forward rate?
- Author
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Howard Qi and Yan Alice Xie
- Subjects
040101 forestry ,Economics and Econometrics ,Actuarial science ,050208 finance ,Spot contract ,Capital structure ,Weighted average cost of capital ,Financial economics ,05 social sciences ,04 agricultural and veterinary sciences ,Cost of capital ,Forward rate ,0502 economics and business ,Econometrics ,Economics ,0401 agriculture, forestry, and fisheries ,Valuation (finance) - Abstract
In this study, we intend to reveal some problems with the classic valuation method – the weighted average cost of capital (WACC) method. We first address a fundamental question about WACC, that is, should WACC be interpreted as a spot rate, a forward rate or any kind of average of either of them? We show that the nature of WACC is the expected forward rate. We next demonstrate that without understanding this nature, we may misinterpret the famous MM formula and MM Proposition II, as well as develop incorrect valuation framework. Our findings provide insightful implications to academia and practitioners for the proper interpretation and implementation of the WACC method.
- Published
- 2016
8. Dividend Policy, Personal Taxes and Optimal Capital Structure
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Yan Alice Xie and Sheen Liu
- Subjects
Capital structure ,Economics ,Dividend policy ,Monetary economics - Abstract
This paper puts forward a capital structure model that incorporates the impacts of dividend policy and personal taxes that are commonly ignored by the existing capital structure models. The results show that paying dividends can reduce the tax benefits from issuing debts, which explains why existing capital structure models commonly overestimate leverage ratios. The results further show that as dividend payout increases, leverage ratios and credit spreads increase too. By incorporating the impacts of dividend policy and personal taxes, the capital structure model established in this paper can generate wide range of leverage ratios and credit spreads, which are consistent with what are observed in the real world.
- Published
- 2020
9. On the Equivalent Annual Cost Method
- Author
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Dan Han, Howard Qi, and Alice Xie
- Abstract
The equivalent annual cost (EAC) method is a useful tool in asset pricing, lease financing and corporate investment. It deals with projects with different economic lives and has wide applications in many fields outside the finance or even business. However, the important EAC concept and its applications are not always very well understood even within the finance academia. There are a few misunderstandings surrounding 1this widely taught and practiced methodology as evidenced by our experience with finance professionals over the past decades and the lack of clarity in all the mainstream textbooks we have surveyed. One of them is the misconception that the EAC method requires infinite time horizon and infinite repetitions of the identical project or equipment. Given its importance and wide application, the finance profession has an obligation to serve well its gatekeeper role by not overlooking these misconceptions. Thus far, no one has raised and addressed these misconceptions. We fill in this void by explicitly revealing, explaining and addressing these misconceptions. Specifically, we argue that infinite horizon is a convenience but not a necessity by showing how the method can be used for projects or assets with finite horizons and what cautions one has to take. We also provide threads for future studies along this line. Our work makes a marginal contribution the finance theory, pedagogy and practice.
- Published
- 2014
10. Sovereign risk and its changing effects on bond duration during financial crisis
- Author
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Yan Alice Xie, Jot Yau, and Hei Wai Lee
- Subjects
Economics and Econometrics ,Credit default swap ,Financial economics ,Bond ,education ,Monetary economics ,Bond duration ,Sovereignty ,Financial crisis ,Economics ,Bond market ,Duration (project management) ,health care economics and organizations ,Finance ,Credit risk - Abstract
We examined the effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996 to 2011. We compared the sovereign risk-adjusted duration with the Macaulay duration for both investment- and speculative-grade US dollar-denominated sovereign bonds. We found that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for all ratings, and the ‘shortening’ effect is stronger for lower rated bonds, which generally intensified during the recent financial crisis. Results are robust when credit default swap (CDS) prices are used as a proxy for changes in sovereign risk. This study provides evidence for advocating the importance of adjusting the bond duration for sovereign risk. More important, this study provides a practical methodology for estimating a sovereign risk-adjusted duration measure for managing international bond portfolios.
- Published
- 2014
11. Inferring Default Correlation from Equity Return Correlation
- Author
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Sheen Liu, Howard Qi, Yan Alice Xie, and Jian Shi
- Subjects
Correlation ,Actuarial science ,Accounting ,Financial crisis ,Econometrics ,Equity (finance) ,General Economics, Econometrics and Finance ,Hybrid model ,Unobservable ,Structural framework ,Mathematics ,Financial correlation - Abstract
This paper presents a new approach for estimating default correlation by linking default correlation to equity return correlation while preserving the fundamental relation between default and asset correlations in the structural framework. Our hybrid model thus overcomes a long-standing empirical difficulty that default correlation estimation relies on the unobservable asset process. The empirical analysis shows that our hybrid model demonstrates a considerable improvement over the existing structural model of Zhou (2001) for the sample periods of 1970-1993 and 1990-2010. We also illustrate the difference between the two models in predicting default correlations over the period of the 2008 financial crisis.
- Published
- 2013
12. The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets
- Author
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Yan Alice Xie, Hei Wai Lee, and Jot Yau
- Subjects
Bond duration ,Interest rate risk ,Economics and Econometrics ,Bond ,Economics ,Bond market ,Bond credit rating ,Financial system ,Hedge (finance) ,Maturity (finance) ,Finance ,Credit risk - Abstract
This paper examines the effect of sovereign risk on bond duration. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated Asian sovereign bonds with their Macaulay duration for both investment grade bonds and speculative grade bonds. We find that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for all bonds, regardless of their bond rating and their maturity. Further, the “shortening” effect of sovereign risk on duration gets stronger as bond rating deteriorates and in recessionary conditions. Our findings provide strong support for the importance of adjusting for sovereign risk when bond portfolio managers apply the popular duration measure to hedge interest rate risk.
- Published
- 2011
13. CREDIT RISK MODELS: AN ANALYSIS OF DEFAULT CORRELATION
- Author
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Howard Qi, Yan Alice Xie, and Sheen Liu
- Subjects
Credit risk model, default correlation, model risk, financial crisis ,jel:G31 ,jel:G01 ,jel:G21 - Abstract
This paper examines one of the major problems in credit risk models widely used in the financial industry to forecast future defaults and bankruptcies. We find that even after proper calibration, a representative credit risk model can severely underestimate default correlation. We further find that a likely reason for the underestimation of default correlation is the problematic common practice in the financial industry of using observable equity correlation as a proxy for unobservable asset correlation when the model is applied to predict default correlation. However, our results show that this proxy in common practice is not valid.
- Published
- 2010
14. JOB SECURITY AND PERSONAL INVESTMENT PORTFOLIO
- Author
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Yan Alice Xie and Howard Qi
- Subjects
jel:G23 ,Job security, personal portfolio, human capital ,jel:G11 - Abstract
This paper incorporates human capital into the well-established portfolio theory by allowing for job security in personal portfolio choice. Our model predicts that young people hold more cash to hedge against risk associated with human capital (layoff risk). As people age, layoff risk decreases, and consequently, they invest in more risky assets – stocks in their portfolios. However, as people approach retirement, their human capital diminishes, and they become more risk averse. Hence, they hold more cash again. Our model provides a plausible explanation for the observed investment behavior of people who reveal humped shape stock holdings over the life cycle. Our results suggest that financial advisors should take into account different levels of job security when giving financial advice to different individuals.
- Published
- 2010
15. The effects of default and call risk on bond duration
- Author
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Sheen Liu, Bing Anderson, Chunchi Wu, and Yan Alice Xie
- Subjects
Bond duration ,Economics and Econometrics ,Actuarial science ,Bond ,Default risk ,Economics ,Bond credit rating ,Duration (project management) ,Empirical evidence ,Finance - Abstract
This paper examines the effects of default risk, call risk, and their interactions on bond duration. We find that call risk decreases durations of default-free bonds, while default risk alone generally decreases durations for risky bonds with only a few exceptions. The joint effect of default and call risk always results in shorter durations for corporate bonds. Controlling for the effect of default risk, call risk has a negative effect on duration, which diminishes as bond ratings decline. Finally, the effect of call risk on duration depends on bond characteristics. Empirical evidence shows that the effect of call risk is smaller for discount bonds and for deep-discount fallen angels.
- Published
- 2009
16. Incorporating real-options analysis into the accounting curriculum
- Author
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Yan Alice Xie, David E. Stout, Howard Qi, and Sheen Liu
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medicine.medical_specialty ,business.industry ,Core competency ,Accounting ,Comparison of management accounting and financial accounting ,Positive accounting ,Education ,Capital budgeting ,Project appraisal ,Management accounting ,Economics ,medicine ,Financial accounting ,business ,Curriculum - Abstract
In this paper, we argue that accounting curricula should be expanded to cover the topic of real options. Our argument relies on reference to the [American Institute of Certified Public Accountants (AICPA) (1999) ( Core Competency Framework , New York, NY: AICPA Accessed 21.08.08], the framework for curriculum change espoused by [Arya, A., Fellingham, J. C., & Schroeder, D. A. (2003). An academic curriculum proposal. Issues in Accounting Education , 18 (1) 29–35], a global study of core competencies for management accountants [International Federation of Accountants (IFAC), (2002). Competency profiles for management accounting practice and practitioners. New York, NY: International Federation of Accountants], a global capital-budgeting “best practices statement” [International Federation of Accountants (IFAC), (2008). International good practice guidance: Project appraisal using discounted cash flow . New York, NY: International Federation of Accountants], current specifications of the CMA exam [Institute of Management Accountants (IMA), (2008). Certified management accountant (CMA) learning outcome statements (effective 07/01/04), updated 07/2008 . Accessed 29.10.08.], and elements of the Albrecht and Sack report [Albrecht, W. S., & Sack, R. J. (2000). Accounting education: Charting the course through a perilous future . Accounting education series, Vol. 16. Sarasota, FL: American Accounting Association]. We make special reference to the linkage of the topic of real options to two broad educational goals: decision-modeling and risk analysis. Existing resources that accounting faculty can use to incorporate real options into the curriculum are limited. As a response, we provide an extended example that accounting educators can use to cover the topic of real options. This example uses a set of binomial trees (one for cash inflows and another for cash outflows). The step-by-step approach presented in this paper allows students without a technical/mathematical background to extend discounted-cash-flow (DCF) decision models (e.g., NPV) to incorporate real options that are embedded in proposed investment projects.
- Published
- 2008
17. Do macroeconomic variables matter for pricing default risk?
- Author
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Alice Xie Yan, Chunchi Wu, and Jian Shi
- Subjects
Economics and Econometrics ,Financial economics ,media_common.quotation_subject ,Bond ,Aggregate (data warehouse) ,Interest rate ,Term (time) ,Corporate bond ,Order (exchange) ,Principal component analysis ,Economics ,Econometrics ,Finance ,Affine term structure model ,media_common - Abstract
Using a popular three-factor term structure model that accounts for the correlation between default and interest rates to fit corporate bond yields, we uncover missing factors in the model. The principal component analysis indicates that the model residuals of bonds across different ratings and maturities are driven by some common factors. Further analysis shows that residuals exhibit significant negative correlation with the concurrent and lagged monthly returns of S&P 500. Our results suggest that the term structure model of corporate bonds should incorporate aggregate economic factors in order to better explain the term structure of corporate bond yields.
- Published
- 2008
18. DURATION, DEFAULT RISK, AND THE TERM STRUCTURE OF INTEREST RATES
- Author
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Chunchi Wu, Sheen Liu, and Yan Alice Xie
- Subjects
Actuarial science ,Bond ,media_common.quotation_subject ,Risk-free interest rate ,Immunization (finance) ,Interest rate ,Interest rate risk ,Accounting ,Economics ,Default risk ,Yield curve ,Duration (project management) ,Finance ,media_common - Abstract
We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default-free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that in most cases duration for defaultable bonds is much shorter than for their default-free counterparts because of the negative relation between default risk and interest rates. Results suggest that the duration measure must be adjusted for the effects of default risk and stochastic interest rates to achieve an effective bond portfolio immunization.
- Published
- 2005
19. Managing Risk in Sovereign Bond Portfolios: The Impact of Sovereign and Call Risks on Duration
- Author
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Hei Wai Lee, Yan Alice Xie, and Jot Yau
- Subjects
Interest rate risk ,Fixed income ,Sovereignty ,Financial economics ,Bond ,Business ,Monetary economics ,Duration (project management) ,Proxy (statistics) ,Callable bond ,Credit risk - Abstract
The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for U.S. dollar-denominated investment-grade callable sovereign bonds. Further, the “shortening” effect of sovereign and call risks on duration is generally stronger among bonds of lower ratings. Similar results are obtained when CDS prices are used as a proxy for changes in sovereign risk. Results from this study emphasize the importance of considering the joint effect of sovereign and call risks in managing the interest rate risk exposure in fixed income investments.
- Published
- 2014
20. A Structural Approach for Predicting Default Correlation
- Author
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Sheen Liu, Jian Shi, Howard Qi, and Yan Alice Xie
- Subjects
Correlation ,Fixed income ,Actuarial science ,business.industry ,Working capital ,Equity (finance) ,Econometrics ,business ,Affine term structure model ,Risk management ,Credit risk ,Financial correlation - Abstract
Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two firms by directly simulating the calibrate model based on the observed equity data (1990-2010) for various ratings. Using our empirical default correlation estimation as the benchmark, our investigation sheds more light on the structural approach in predicting default correlation. The results show that our approach outperforms the previous Zhou’s model, thereby our approach is not only theoretical improvement, but also has an empirical advantage.
- Published
- 2012
21. Effects of Sovereign Risk on Duration: Evidence from European and Latin American Sovereign Bond Markets
- Author
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Jot Yau, Yan Alice Xie, and Hei Wai Lee
- Subjects
Interest rate risk ,Bond duration ,Financial economics ,Bond ,Financial crisis ,Economics ,Bond market ,Bond credit rating ,Monetary economics ,Maturity (finance) ,Credit risk - Abstract
We examine effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996-2011. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated sovereign bonds with their Macaulay duration for both investment- and speculative-grade bonds. We find that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for all bonds, regardless of the bond rating and maturity. Further, the “shortening” effect of sovereign risk on duration is generally stronger among bonds of lower ratings. During the recent global financial crisis, the “shortening” effect was dampened for quality sovereign bonds. But the sovereign risk effect on duration was intensified for BBB and BB rated bonds, reflecting investors’ perception of increasing likelihood of default by issuing nations. Results are robust when CDS prices are used as a proxy for changes in sovereign risk. Moreover, the regional analysis shows that sovereign risk shortens duration much less for sovereign bonds issued by the EU and Latin American countries than for non-EU member counterparts. Our study demonstrates the importance of, and provides a practical guide for, bond portfolio managers to account for sovereign risk in managing interest rate risk exposure in their investments.
- Published
- 2012
22. Underwriter Choice and Earnings Management of Initial Public Offerings
- Author
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Yan Alice Xie, Jian Zhou, and Hei Wai Lee
- Published
- 2008
23. Underwriter Reputation and Earnings Management by IPO Firms
- Author
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Yan Alice Xie, Jian Zhou, and Hei Wai Lee
- Published
- 2006
24. EFFECTIVE INCOME TAX RATES BY STRUCTURAL MODELS OF BANKRUPTCY.
- Author
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Han, Dan, Qi, Howard, and Yan Alice Xie
- Subjects
CORPORATE taxes ,CORPORATE bankruptcy ,INCOME tax rates & tables ,VALUATION of corporations ,BANKRUPTCY - Abstract
The taxation treatment of corporations has been one of the central issues regarding firm valuation. The statutory income tax rates differ significantly by states. The system of tax codes is further complicated by a variety of exemptions, deferrals and potential loopholes. Many types of institutional investors enjoy different degrees of beneficial tax treatments. All these factors make the "true tax rates" an elusive factor in valuing a firm or project regardless of how theoretically accurate the valuation formula might be. Therefore, a meaningful task is to reasonably estimate the effective corporate income tax rate. But this task becomes more challenging due to the interaction of tax shields and capital structure policies. The results are interesting in making economic sense and also in pointing out the direction of improvements in structural modeling of default. [ABSTRACT FROM AUTHOR]
- Published
- 2017
25. Role Of Underwriters In Restraining Earnings Management In Initial Public Offerings
- Author
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Jian Zhou, Yan Alice Xie, and Hei Wai Lee
- Subjects
business.industry ,media_common.quotation_subject ,Accounting ,Venture capital ,Investment banking ,Earnings management ,Issuer ,Sarbanes–Oxley Act ,Business ,Business and International Management ,Initial public offering ,Reputation ,media_common ,Underwriting - Abstract
We investigate the relationship between underwriter reputation and earnings management of IPO firms over the period of 1991-2005. We find that IPO firms engage in less earnings management if they are underwritten by prestigious investment bankers. Furthermore, the role of prestigious underwriters in restraining earnings management of IPO issuers do not change during the Internet Bubble period or after the passage of the Sarbanes-Oxley Act (SOX). The findings support the certification role of underwriters in the IPO process. We also document that firms going public in the post-SOX period engage in less earnings management compared to firms going public in the pre-SOX period. Further findings suggest that the changing objectives of venture capitalists may explain the reduction in the level of earnings management of IPO firms following the passage of SOX.
- Published
- 2012
26. EQUIVALENT, INCIDENTAL AND INCREMENTAL CASH FLOWS.
- Author
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Howard Qi and Yan Alice Xie
- Subjects
CASH & cash equivalents ,CASH flow ,ASSET sales & prices ,MATHEMATICAL equivalence ,DIRECT costing ,MATHEMATICAL models - Abstract
The equivalent annuity cash flow (EACF) method is an interesting concept in asset pricing and corporate finance. It is normally believed that the EACF applies in cases where the cash flows of certain pattern repeat themselves perpetually. However, the authors of this study clarify that this is not a necessary condition of the equivalent annuity cash flow method. The method's simple appearance belies several subtleties that could easily invalidate the method without causing any alarm. This study explains how to apply this methodology to finite horizons, especially when the projects have different economic lives, and how the issues of incidental and incremental cash flows may arise and be correctly handled in the EACF framework. A search of the literature suggests that this is the first study to address these issues. Given the importance of the EACF methodology to both theorists and practitioners, the authors make a marginal yet important contribution to the literature in clarifying the EACF concept and methodology. [ABSTRACT FROM AUTHOR]
- Published
- 2015
27. Improving Capital Budgeting Decisions: With Real Options.
- Author
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Stout, David E., Yan Alice Xie, and Howard Qi
- Subjects
- *
ACCOUNTANTS , *DISCOUNTED cash flow , *PURCHASING , *AUTOMOBILE leasing & renting , *MANAGEMENT , *HYBRID electric vehicles , *INCOME tax deductions , *TAX credits , *CAPITAL budget - Abstract
In this article we provide accounting practitioners with a primer on how to supplement traditional discounted cash flow (DCF) analysis with real options. We use an example of a rental car company that is considering the purchase of a new car for its rental fleet. Management is trying to decide whether to buy a conventional gasoline-engine automobile or a hybrid vehicle. Within this decision context we illustrate the embedded options the company should consider given uncertainty of a new energy bill offering income-tax credits for the purchase of commercially operated hybrid vehicles. Our step-by-step approach shows how to incorporate these real options formally into the capital budgeting process. [ABSTRACT FROM AUTHOR]
- Published
- 2008
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