Use of Derivatives as Hedging Instruments and Market Pricing of Earnings

We investigate the risk relevance of the standard deviation of three performance measures: net income, comprehensive income, and a constructed measure of full-fair-value income for a sample of 202 U.S. commercial banks from 1996 to 2004. We find that, for the average sample bank, the volatility of full-fair-value income is more than three times that of comprehensive income and more than five times that of net income. We find that the incremental volatility in full-fair-value income (beyond the volatility of net income and comprehensive income) is positively related to marketmodel beta, the standard deviation in stock returns, and long-term interest-rate beta. Further, we predict and find that the incremental volatility in full-fair-value income (1) negatively moderates the relation between abnormal earnings and banks' share prices and (2) positively affects the expected return implicit in bank share prices. Our findings suggest full-fair-value income volatility reflects elements of risk that are not captured by volatility in net income or comprehensive income, and relates more closely to capital-market pricing of that risk than either net-income volatility or comprehensiveincome volatility.

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Analysis on application level based on ordinal logistic regression and best of advanced manufacturing technologies (AMT) selection based on fuzzy-TOPSIS integration approach

Journal of Intelligent & Fuzzy Systems ◽

10.3233/jifs-189663 ◽

2021 ◽

pp. 1-11

Author(s):

Guilian Wang ◽

Liyan Zhang ◽

Jing Guo

Keyword(s):

Logistic Regression ◽

Organizational Factors ◽

Fuzzy Topsis ◽

Ordinal Logistic Regression ◽

Industrial Robots ◽

Policy Implications ◽

Market Pricing ◽

Factors Affecting ◽

Pricing Power ◽

The Core Competence

This paper try to fully reveal the key factors affecting the the level of AMT application in micro- and small enterprises (MSEs) from its organizational factors by ordinal logistic regression. The results show that MSEs have a relatively high level of AMT application as a whole due to the maturity and cost reduction of basic technologies such as artificial intelligence, digital manufacturing and industrial robots. In this paper we propose manufacturing world analysis at Application using Logistic Regression and best AMT selection using Fuzzy-TOPSIS Integration approach.Considering the influence mechanism of each factor, the important factors that affect the application level of AMT are the enterprise’s market pricing power, the main production types, technical, market and management capabilities, organization development incentives and the interaction with external stakeholders. Based on the results above, the following policy implications are proposed: further expanding the customized production in MSEs to gradually improve the market pricing power, expanding the core competence of enterprises, enhancing the employee autonomy, and strengthening the interaction with industry organizations.

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The market pricing of disability income insurance for individuals

Financial Services Review ◽

10.1016/1057-0810(95)90006-3 ◽

1995 ◽

Vol 4 (2) ◽

pp. 109-122 ◽

Cited By ~ 2

Author(s):

L Cox

Keyword(s):

Market Pricing ◽

Income Insurance ◽

Disability Income

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Information risk, stock returns, and asset pricing: Evidence from China

Accounting Research Journal ◽

10.1108/arj-04-2015-0057 ◽

2017 ◽

Vol 30 (4) ◽

pp. 379-394 ◽

Cited By ~ 1

Author(s):

Raheel Safdar ◽

Chen Yan

Keyword(s):

Stock Returns ◽

Factor Model ◽

Empirical Literature ◽

Firm Level ◽

Cross Sectional ◽

Market Pricing ◽

Content Type ◽

Information Risk ◽

Accruals Quality ◽

Three Factor

Purpose This study aims to investigate information risk in relation to stock returns of a firm and whether information risk is priced in China. Design/methodology/approach The authors used accruals quality (AQ) as their measure of information risk and performed Fama-Macbeth regressions to investigate association of AQ with future realized stock returns. Moreover, two-stage cross-sectional regression analysis was performed, both at firm level and at portfolio level, to test if the AQ factor is priced in China in addition to existing factors in the Fama French three-factor model. Findings The authors found poor AQ being associated with higher future realized stock returns. Moreover, they found evidence of market pricing of AQ in addition to existing factors in the Fama French three-factor model. Further, subsample analysis revealed that investors value AQ more in non-state owned enterprises than in state owned enterprises. Research limitations/implications The study sample comprises A-shares only and the generalization of the findings is limited by the peculiar institutional and economic setup in China. Originality/value This study contributes to market-based accounting literature by providing further insight into how and if investors value information risk, and it seeks to fill gap in empirical literature by providing evidence from the Chinese capital market.

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