Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a...

For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major...

Accounting for intangible assets is the object of an intense debate between advocates of increasing the mandatory requirements and partisans of the current voluntary disclosure system. We provide empirical evidence allowing to discriminate between these two competing cases. Examining disclosure...

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

This study investigates the extent to which three key summary accounting income figures, namely operating income, net income and comprehensive income, provide value-relevant information to investors in Germany, France, Italy, Spain and the UK. Using a large sample over the pre-IAS-compliance...

In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau , where T is a deterministic constant and is a jump time of the underlying asset price process. We rst formulate this problem as a stochastic control problem and relate it to a system of BSDEs with jumps....

The cost of equity capital is traditionally considered as an increasing function of the estimation risk – the risk of error regarding the distribution of a firm’s future cash flows (FCF). Under international GAAPs, IAS 36 “Impairment of assets” -based information disclosure conveys...

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...