In this paper firm parameter heterogeneity in cross section regression analysis in capital market research (CMR) is investigated. Using panel data for 30 large US firms over the period 1955 to 2004, a well-specified common form of dynamic model for each firm is identified. Average parameter...

The validity of ordinary least squares (OLS) estimates of relationships between accounting numbers and market value made in capital market research (CMR) using linear, additive models is questioned. Multiplicative models are argued to be more consistent with underlying economic theory for...

We provide a solution that may offer closure to the question of how to best measure the empirical relation between stock market values and accounting numbers. The models that dominate studies of the relevance of accounting numbers produce coefficient estimates that are hard to interpret and...

We measure the value relevance of Tier 1 capital, regulatory adjustments, and Tier 2 capital of U.S. banks for the returns to common shareholders. Our research design relies on parsimonious log- linear regression models that mitigate shortcomings of conventional research designs. Results for the...