拉斯维加斯9888

标题:Asset Returns with Earning Management

演讲人:Bo Sun (University of Virginia)

功夫：3月17日周二10:00-11:30am

地址:拉斯维加斯9888新楼217教室

提要：The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic revelations of the firm’s underlying profitability. The return process generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering, asymmetric volatility, and excessive idiosyncratic volatility.

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