Our purpose here is to develop the Pearson Type IV distribution as a candidate for modelling the evolution of short period stock index returns. Here, early work by <link rid="b43 b44">Praetz (1972 and 1978)</link> and <link rid="b5">Blattberg and Gonedes (1974)</link> has shown that the scaled '"t"' distribution, which is a particular...

Time series of accounting variables may often be non-stationary, i.e. they have a unit root, as in the common example of a random walk. This can lead to spurious results in time series regression analysis which uses such variables. The problem is overcome if the variables are co-integrated. This...

<heading id="h1" level="3" format="inline" implicit="no">Abstract: </heading>We determine optimal investment criteria for a capital project whose cash flows evolve in terms of a 'modified square root' process. The modified square root process has properties similar to the <link rid="b5">Cox, Ingersoll and Ross (1985)</link>'square root' process but in addition, encompasses the...

Our purpose here is to assess whether the innate properties of the double entry bookkeeping system are such that financial ratios, calculated from the balance sheet summary measures implied by it, will be generated by distributional forms with non-convergent moments. Our analysis begins with a...

The Garman-Ohlson structural model assumes the evolution of corporate earnings, dividends and book values are generated by a simultaneous equation system which links financial statement information to underlying equity value. However, little is known about the consistency of empirical outcomes...

We state an Aggregation Theorem which shows that the recursion value of equity is functionally proportional to its adaptation value. Since the recursion value of equity is equal to its book value plus the expected present value of its abnormal earnings, it follows that the adaptation value of...

We show here that risky asset returns generating processes stated in terms of factors which include both accounting and non-accounting based measures of risk (e.g. book to market ratios) imply, under fairly standard regularity conditions, that the Sharpe-Lintner-Black asset pricing model beta is...