Systematic risk and empirical research

Article Abstract:

Substantial research has been done on the apparently poor association between expected stock returns and typically employed accounting-based measures of asset betas. A study was therefore conducted to demonstrate that risky assets returns generating procedures which are defined in terms of factors that include accounting- and non-accounting-based measures suggest under relatively fair conditions that a certain asset pricing model beta is an adequate statistic. The study also aims to reconcile theory with practice.

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Double Entry Bookkeeping and the Distributional Properties of a Firm's Financial Ratios

Article Abstract:

Research indicates that ratios derived from balance sheet equity and debt distributional processes may evolve in distributional forms that include non-convergent moments. It is posited that this may significantly impact parameter estimation and discriminant and/or regression procedures used for financial distress and bankruptcy prediction.

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A binomial basis for the Cox, Ingersoll and Ross model of the term structure of interest rates

Article Abstract:

Research is presented concerning the formalization of the supply side and investor preferences which underscore the Cox, Ingersoll and Ross 'square root' model of interest rate term structures.

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