This paper examines the implications of payout horizon for the prices of aggregate cashflows. The interaction of two long-run forces — a long-run risk in consumption and aggregate dividends, and a cointegration relationship between consumption and aggregate dividends — leads to non-monotonic relationships between a payout’s horizon and its cash flow risks, discount rate risks, and risk premia. ...

While financial statements are the primary source of information about a firm, they tend to be under earnings management practices, namely avoid paying tax. Therefore, we aim examine whether taxes still affect earning persistence in an era prevalent digital information. For that purpose, use book–tax differences considering deductible temporary and taxable differences. In addition, analyze whic...

This study aims to determine the effect of current ratio and earning per share on stock prices in Automotive Component sub-sector companies listed Indonesia exchange. The sample this was carried out using purposive sampling method. data analysis technique is use quantitative descriptive research methods. method determining purpose sampling, result simultaneously have an influence prices. Curren...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

This study documents the asset pricing mechanism of Sharīʿah compliant securities listed on the Karachi Stock Exchange. We select the CAPM market model to test for the impact in variations of stock returns on a sample of Sharīʿah-compliant companies on ten years monthly data (2001-10). We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Sharīʿah-complia...

In recent years many banks have withdrawn from the FRS, and the primary reason given is that they must hold a larger share of their assets in non-earning form as members than if they were nonmembers.1 The FRS has proposed to reduce member bank reserve requirements as a means of making membership more attractive. State bank regulators, however, might wish to counter this action in order to keep ...

Bivariate probit analysis was used to assess the efficacy of a South African microlender’s loan screening process. This micro-lender grants short-term cash loans to individuals who are employed and earning a fixed salary. Loan applicants with more stable incomes, who are contactable via telephone or post, who are employed in less risky business sectors, who have more disposable income relative ...

We construct empirical proxies for cash-flow timing and matching problems and provide evidence on the ability of this accrual generating factor to explain accruals. Researchers lament our meager understanding of the process that spawns accruals (Owens et al., 2013, Ball, 2013, McNichols, 2000). Our aim is to map the explanatory power boundaries demarcated by our current knowledge of the role of...