In order to apply asset-liabilitymanagement techniques to property-liability insurers, the sensitivity of liabilities to interest rate changes, or duration, must be calculated. The current approach is to use the Macaulay or modified duration calculations, both of which presume that the cash flows are invariant with respect to interest rate changes. Based on the structure of liabilities for prop...

This paper investigates the difference between two widely used measures of accruals and their differential impact on accrual strategy returns. The two measures are accruals computed using consecutive changes in the balance sheet items and accruals computed as earnings minus cash flows from operating activities, both from the cash flow statement. Our investigations reveal that the difference bet...

This paper examines if markets populated by short-horizon investors tend to have the prices come unhooked from their fundamental values or cash flows. For prices to be near the fundamental value in a market populated with short-horizon investors, the investors must induct backward from future cash flows to the present values. We argue that investors’ ability to backward induct depends criticall...

Casella for invaluable guidance during my program. I would also like to thank Professors Peter Wilson, Vic Bernard and Tom Stober for their willingness to answer questions and offer advice. Financial support from the Arthur Andersen Foundation, the Social Sciences and Humanities Research Council of Canada, and the UW/SSHRC grant program during various stages of this work was greatly appreciated...

This note introduces an estimation technique based on the first order conditions from dynamic models of interacting agents. The examples of particular interest to us are all dynamic models of oligopolistic industries. The technique itself has at least two virtues; i)it is easy to implement, and ii) it is logically consistent with the underlying model (and hence can be used to analyze the model’...