|
on Accounting and Auditing |
| By: | Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong |
| Abstract: | Past research has shown that the level of operating accruals is a negative cross-sectional predictor of stock returns. This paper examines whether the accrual anomaly extends to the aggregate stock market. In contrast with cross-sectional findings, there is no indication that aggregate operating accruals is a negative time series predictor of stock market returns; the relation is strongly positive for the market portfolio and also for several sector and industry portfolios. In addition, innovations in accruals are negatively contemporaneously associated with market returns, suggesting that changes in accruals contain information about changes in discount rates, or that firms manage earnings in response to market-wide undervaluation. |
| Keywords: | accruals; return predictability; stock market returns; market efficiency; asset pricing; anomalies; accounting; earnings fixation |
| JEL: | M41 G12 G14 |
| Date: | 2007–09–23 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:5197&r=acc |
| By: | Brülhart, Marius; Jametti, Mario |
| Abstract: | We study the impact of tax competition on equilibrium taxes and welfare, focusing on the jurisdictional fragmentation of federations. In a representative-agent model of fiscal federalism, fragmentation among jurisdictions with benevolent tax-setting authorities unambiguously reduces welfare. If, however, tax-setting authorities pursue revenue maximization, fragmentation, by pushing down equilibrium tax rates, may under certain conditions increase citizen welfare. We exploit the highly decentralized and heterogeneous Swiss fiscal system as a laboratory for the estimation of these effects. While for purely direct-democratic jurisdictions (which we associate with benevolent tax setting) we find that tax rates increase in fragmentation, fragmentation has a moderating effect on the tax rates of jurisdictions with some degree of delegated government. Our results thereby support the view that tax competition can be second-best welfare enhancing by constraining the scope for public-sector revenue maximization. |
| Keywords: | direct democracy; fiscal federalism; government preferences; optimal taxation; tax competition |
| JEL: | D7 H2 H7 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:6512&r=acc |
| By: | Frej Ohlsson, Lena (Department of Economics, School of Business, Economics and Law, Göteborg University) |
| Abstract: | This study covers the relation between the political and accounting implications of the Stability and Growth Pact, which entered into force in 1996. It describes the underlying legal framework and accounting rules and the role of the European Commission and Eurostat in this respect. Additionally, a complete description of the work in the context of the excessive deficit procedure is provided, including the provision of data by Member States, the validation process by Eurostat, the procedures in case of disagreements and the main methodological decisions taken by Eurostat in recent years. Furthermore, the implementation of the statistical framework and rules by the Member States is analysed in detail. Apart from a general chapter on the concept and use of creative accounting, a range of case studies are presented, based on the national accounts framework ESA95. The countries included in the study are Portugal, Italy, France, Germany and Sweden. A separate chapter is devoted to Greece, due to the importance and consequence of the case. The results of the analysis in the case studies show not only the complexity of the statistical framework as such and its implementation, but also the political influence. Finally, as an outcome of the developments in some countries, and in particular in Germany and France in 2003, as well as the Greek tragedy, the SGP was revised. The content and outcome of this revision are also covered.<p> |
| Keywords: | Stability and Growth Pact; SGP; excessive deficit; creative accounting; Eurostat; European Union |
| JEL: | E01 E62 E63 |
| Date: | 2007–10–03 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:gunwpe:0268&r=acc |
| By: | Hou, Kewei; Hirshleifer, David; Teoh, Siew Hong |
| Abstract: | We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French (1993). In time series regressions, a model that includes the Fama-French factors and the additional accrual factor captures the accrual anomaly in average returns. However, further time series and cross-sectional tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings favor a behavioral explanation for the accrual anomaly. |
| Keywords: | Capital markets; accruals; market efficiency; behavioral finance; limited attention |
| JEL: | M41 G12 G14 G11 |
| Date: | 2007–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:5173&r=acc |