Although the consumption based asset pricing theory appears to be theoretically superior and more elegant than the beta pricing model, yet in practice the beta pricing model is more widely applied. Indeed, beta pricing models are one of the most widely adopted tools in financial analysis. They easily allow to handle systematic risk as priced in financial assets. However, accurately estimating b...

A large number of accounting studies have examined the occurrence of earnings management in various contexts. In most of these studies, the earnings management detection model is based on the linear regression model suggested by Jones (1991). A considerable problem with the Jones model is the requirement of long time series of financial statement data. An alternative to estimating the linear re...

The aim of the given paper is the development of an approach for parametric identification of Hammerstein systems with piecewise linear nonlinearities, i.e., when the saturation-like function with unknown slopes is followed by a linear part with unknown parameters. It is shown here that by a simple input data rearrangement and by a following data partition the problem of identification of a non...

The paper examines second stage DEA efficiency analyses, within the context of a censoring data generating process (DGP) and a fractional data DGP, when efficiency scores are treated as descriptive measures of the relative performance of units in the sample. It is argued that the efficiency scores are not generated by a censoring process but are fractional data. Tobit estimation in this situati...

In this chapter we discuss how to estimate the distribution of the market invariants from empirical observations. In Section 4.1 we define the concept of estimator, which is simply a function of current information that yields a number, the estimate. Such a general definition includes estimators that perform poorly, i.e. functions that yield an estimate which has little in common with the real ...

Recent developments in the econometric estimation of multi-output, multi-input distance functions have provided a promising new solution to the single-output restriction implicit in the standard production function. However, a suspicion that regressor endogeneity may introduce possible simultaneous equations bias has concerned some econometricians. In this paper we show that, under profit maxim...