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Public Information Arrival, Thomas Berry, Keith Howe
Public Information Arrival, Thomas Berry, Keith Howe
Thomas D Berry
The authors develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. The authors find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next they relate their measure of public information to aggregate measures of intraday market activity. The authors' results suggest a positive, moderate relationship between public information and trading volume but an insignificant relationship with price volatility. Copyright 1994 by American …
Earnings Manipulation: A Report By Robert Lavine On The Business Ethics Research Of Kenneth Rosenzweig And Marilyn Fischer, Kenneth Yale Rosenzweig, Marilyn Fischer
Earnings Manipulation: A Report By Robert Lavine On The Business Ethics Research Of Kenneth Rosenzweig And Marilyn Fischer, Kenneth Yale Rosenzweig, Marilyn Fischer
Accounting Faculty Publications
This column by Robert LaVine in the Chartered Accountants Journal of New Zealand reports on the research of University of Dayton professors Kenneth Rosenzweig and Marilyn Fischer, "Is Managing Earnings Ethically Acceptable? Surveys Show Age and Seniority Affect Attitudes on Earnings Management," >>> published in the journal Management Accounting.
Report Earnings Accurately, Kenneth Yale Rosenzweig, Marilyn Fischer
Report Earnings Accurately, Kenneth Yale Rosenzweig, Marilyn Fischer
Accounting Faculty Publications
As authors of the March article, “Is Managing Earnings Ethically Acceptable?,” we wish to thank Alfred M. King for his letter in the April issue questioning some of the contentions in our article. In a time when corruption seems to be rampant in many aspects of our national life, it is important for accountants to discuss openly what are their ethical responsibilities, and what are the limits to those responsibilities. The credibility of accounting numbers is vital to our success as a profession and as individual accountants. There will be no demand for accounting service if accounting information is not …
Is Managing Earnings Ethically Acceptable? Surveys Show Age And Seniority Affect Attitudes On Earnings Management, Kenneth Yale Rosenzweig, Marilyn Fischer
Is Managing Earnings Ethically Acceptable? Surveys Show Age And Seniority Affect Attitudes On Earnings Management, Kenneth Yale Rosenzweig, Marilyn Fischer
Accounting Faculty Publications
Is managing earnings through accounting methods ethically acceptable? That's the question we recently asked a sample group of management accountants. The response to the survey was enlightening. Our survey was designed as a follow-up and extension of the research done by Bruns and Merchant and published in Management Accounting in August 1990. They found that managers disagreed considerably on whether earnings management is ethically acceptable. They also found that in general the respondents thought manipulating earnings via operating decisions was more ethically acceptable than manipulation by accounting methods. Bruns and Merchant were disturbed by these findings. They were concerned that …
Investor Views Of Audit Assurance: Recent Evidence Of The Expectation Gap, Marshall A. Geiger
Investor Views Of Audit Assurance: Recent Evidence Of The Expectation Gap, Marshall A. Geiger
Accounting Faculty Publications
Investors and financial statement users long have agreed on the usefulness of the audit in financial reporting. Over time, however, auditors have been expected to provide assurance in varying degrees and for different purposes. Differences in perception -- especially regarding assurances provided -- between users, preparers and auditors have been termed the "expectation gap. This article provides some startling evidence of the existence of such a gap in investor perceptions of the assurance provided by an audit.
Journal Of Actuarial Practice, Volume 2, No. 1, 1994, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 2, No. 1, 1994, Colin Ramsay , Editor
Journal of Actuarial Practice (1993-2006)
ARTICLES
Health Insurance Reform and its Effects on the Small Employer Market: A Review of H.R. 3626 • P. Anthony Hammond
An Introduction to Individual Disability Income Insurance • Mark J. Chartier
Cost Containment in Workers' Compensation: Evaluating Medical Fee Schedules • David L. Durbin and Barry I. Llewellyn
The Markov Chain Interest Rate Scenario Generator Revisited • Sarah L.M. Christiansen
Managing the Costs and Risks of Housing Finance: A New Role For Actuaries • Anthony Asher
Reconciling Two Rate Level Indications: A Chain Rule Approach • Cheng-Sheng Peter Wu
Tax Assistance to Qualified Retirement Savings Plans: Deferral or Waiver? …
Disenrollment Patterns Of Elderly In Managed Care And Fee For Service, Kenneth G. Manton, Dennis H. Tolley, Robert Newcomer, James C. Vertrees, Charlene Harrington
Disenrollment Patterns Of Elderly In Managed Care And Fee For Service, Kenneth G. Manton, Dennis H. Tolley, Robert Newcomer, James C. Vertrees, Charlene Harrington
Journal of Actuarial Practice (1993-2006)
As the trend to provide health care through managed care facilities increases, the need to examine ,vhy insured individuals voluntarily terminate managed care coverage grows. Voluntary termination of coverage, or dis enrollment, has both social and fiscal implications. Particularly among the elderly, patterns of disenrollment likely are related to self assessment of care needs and levels of health. In this paper we examine the patterns of dis enrollment among elderly enrollees as a function of health status and disability. We focus on disenrollment patterns from an experimental prepaid extended care facility, called a social HMO (S/HMO) and compare this pattern …
Modeling Insurance Cash Flows For Universal Life Policies, Robert E. Hoyt
Modeling Insurance Cash Flows For Universal Life Policies, Robert E. Hoyt
Journal of Actuarial Practice (1993-2006)
This paper develops a methodology that can be used by insurers to construct predictive models for their own insurance cash flows. The insurance cash flow components evaluated include premium flows, policy loans, and cash value surrenders. Also, the paper evaluates several hypotheses in the insurance literature that attempt to explain insurance cash flows. Though the results are theoretically consistent, they produce some interesting contrasts to findings of similar studies for whole life policies. For example, these results confirm that: (i) the credited rate strategy is important to policy performance; (ii) the emergency fund hypothesis appears to apply to policy loan …
A Statistical Approach To Ibnr Reserves, Bradford S. Gile
A Statistical Approach To Ibnr Reserves, Bradford S. Gile
Journal of Actuarial Practice (1993-2006)
This paper develops a three dimensional statistical approach to the estimation of the mean and the standard deviation of pure incurred but not reported (IBNR) reserves. This means that the time of occurrence, the reporting lag, and the claim severity are separately modeled. It is assumed that, beyond any fixed time t, the claim number development process is Poisson and that the severity of loss depends on the length of the reporting lag. Two key assumptions are made to simplify the estimation of model parameters: for a given reporting lag, (i) the conditional mean of the claim size is a …
Cost Containment In Workers' Compensation: Evaluating Medical Fee Schedules, David L. Durbin, Barry I. Llewellyn
Cost Containment In Workers' Compensation: Evaluating Medical Fee Schedules, David L. Durbin, Barry I. Llewellyn
Journal of Actuarial Practice (1993-2006)
Medical expenditures in workers' compensation programs have been subjected to few cost containment strategies. As workers' compensation costs have escalated, however, increasing attention is being given to the role of medical fee schedules in containing the prices of medical services. To this end, we develop a model for estimating the potential cost savings from implementing medical fee schedules. A market basket of medical services received by injured workers is constructed. This basket is used to estimate the parameters of the model. In addition, the basket is used to determine the impact of imposing a fee schedule linked to usual and …
The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen
The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen
Journal of Actuarial Practice (1993-2006)
This paper furthers the development of the Markov chain interest rate generator. Though the basic technique remains essentially unchanged, there are still many significant changes to the model. For example: (i) the long (key) rates are now are generated by a mean reversionary process; (ii) the number of shapes is increased from seven to 11; (iii) the limitation of changing by only two shape codes per year is removed; and (iv) the random walk matrix that determines the shapes is revised to be more realistic. An algorithm is developed to determine the shape code of the original yield curve, thus …
An Introduction To Individual Disability Income Insurance, Mark J. Chartier
An Introduction To Individual Disability Income Insurance, Mark J. Chartier
Journal of Actuarial Practice (1993-2006)
There are several actuarial software packages purporting to calculate expected benefit cash flows on disability income insurance policies. To the author's knowledge, however, there is no published text that explains how to perform these calculations. This paper is intended to fill this gap in the literature. It describes some of the more common techniques for pricing disability income insurance. Those techniques for which claim costs can be used and those for which the pricing actuary must project cash flows are identified.
Discussion Of Robert L. Brown's "Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver"*, Mark W. Campbell
Discussion Of Robert L. Brown's "Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver"*, Mark W. Campbell
Journal of Actuarial Practice (1993-2006)
In the paper entitled "Tax Assistance to Qualified Retirement Savings Plans: Deferral or Waiver," Robert L. Brown concludes that "the nontaxation of investment income on qualified funds until taken is a tax waiver or tax subsidy from the government to participants of qualified plans". I believe, however, that this conclusion is based on flawed assumptions pertaining to:
• The behavioral responses of taxpayers to the withdrawal of such tax assistance;
• The definition of an appropriate benchmark tax system against which to measure the cost of such tax assistance; and
• The appropriate basis of comparison of alternative government tax …
Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver?, Robert L. Brown
Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver?, Robert L. Brown
Journal of Actuarial Practice (1993-2006)
There exist significant tax incentives for retirement savings plans in Canada and the United States. Qualified employer and employee contributions, within limits, are tax deductible to the employer and nontaxable to the employee. Also, investment income is not taxed until taken. On the other hand, monies received from funds having such tax incentives are taxable in full as income to the recipient when taken. This paper analyzes the two tax advantages of qualified retirement savings plans: the tax deductibility of contributions and the nontaxation of investment income until it has been distributed. The algebraic analysis shows that the deductibility of …
Safety First And Ambiguity, Lawrence A. Berger, Howard Kunreuther
Safety First And Ambiguity, Lawrence A. Berger, Howard Kunreuther
Journal of Actuarial Practice (1993-2006)
There is considerable empirical evidence suggesting that ambiguity (i.e., parameter risk) impacts pricing decisions by actuaries and underwriters and their desire to provide coverage. Stone proposed a safety first model of choice that provides a possible explanation for this behavior. This paper analyzes Stone's proposed stability and survival constraints and compares the results with those predicted by expected utility theory. The analysis is motivated by insurers' increasing reluctance to provide coverage for certain specific risks such as earthquake damage insurance where the probability of loss is ambiguous. We show that such behavior is consistent with safety first but is difficult …
Managing The Costs And Risks Of Housing Finance: A New Role For Actuaries, Anthony Asher
Managing The Costs And Risks Of Housing Finance: A New Role For Actuaries, Anthony Asher
Journal of Actuarial Practice (1993-2006)
Housing finance is a nontraditional field where actuarial expertise could be applied fruitfully. The development of mortgage instruments requires the application of financial mathematics, while the evaluation and management of the financial risks to which borrowers and lenders are exposed require a knowledge of insurance principles. This paper splits the financial costs of home ownership into several components: those that arise from inflation, risk, administration, and the residual real interest charge. The risk component further is partitioned into life contingencies, economic contingencies, and various moral hazards. This analysis provides a basis for future financial innovation, highlights where government intervention may …
Reconciling Two Rate Level Indications: A Chain Rule Approach, Cheng-Sheng Peter Wu
Reconciling Two Rate Level Indications: A Chain Rule Approach, Cheng-Sheng Peter Wu
Journal of Actuarial Practice (1993-2006)
The problem considered is that of reconciling two rate level indications that are based on several common factors, but have been made at different review periods. A popular approach to this problem is the so-called sequential replacement method, which calculates the impact of each individual factor. Unfortunately, this method has a serious deficiency: the estimated impact of a factor depends upon the order of the replacement. To counteract this defect, a new approach, called the chain rule approach, is developed. Using this approach, an explicit formula is given for calculating the impact and the marginal impact of each factor.
Modal Premium Factors In Ordinary Life Insurance, James B. Ross, Criss G. Woodruff
Modal Premium Factors In Ordinary Life Insurance, James B. Ross, Criss G. Woodruff
Journal of Actuarial Practice (1993-2006)
For ordinary life policyholders who want to pay more frequently than annually, insurers construct schedules of modal premium factors that reflect additional charges for the costs of collection, forgone interest, and premiums uncollected or refunded in the year of death. Competition within the industry forces convergence of such schedules. On the other hand, if such factors for a given company reflect its own experience (in expense, interest, mortality, and persistency), the differences between companies will force schedules apart. Analysis of a large group of life insurers over the 1972-1982-1992 period shows that modal premium factors are dustered closely, that they …
Predicting Automobile Insurance Multi-Regional Base Pure Premiums, Edward Nissan, Iskandar S. Hamwi
Predicting Automobile Insurance Multi-Regional Base Pure Premiums, Edward Nissan, Iskandar S. Hamwi
Journal of Actuarial Practice (1993-2006)
Multi-regional insurance base premiums are customarily computed by a top-down method where national or state projections are adjusted to reflect regional differences. This paper proposes a methodology for a bottom-up projection. A weighing scheme that minimizes the variance of the estimator is suggested as a criterion to establish an overall multi-regional rate.
Journal Of Actuarial Practice, Volume 2, No.2, 1994, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 2, No.2, 1994, Colin Ramsay , Editor
Journal of Actuarial Practice (1993-2006)
ARTICLES
Disenrollment Patterns of Elderly in Managed Care and Fee for Service • Kenneth G. Manton, H. Dennis Tolley, Robert Newcomer, James C. Vertrees, and Charlene Harrington
Modeling Insurance Cash Flows for Universal Life Policies • Robert E. Hoyt
Modal Premium Factors in Ordinary Life Insurance • James B. Ross and Criss G. Woodruff
Predicting Automobile Insurance Multi-Regional Base Pure Premiums • Edward Nissan and Iskandar S. Hamwi
A Statistical Approach to IBNR Reserves • Bradford S. Gile
Safety First and Ambiguity • Lawrence A. Berger and Howard Kunreuther
Discussion of Robert L. Brown's "Tax Assistance to Qualified Retirement Savings …
Health Insurance Reform And Its Effects On The Small Employer Market: A Review Of H.R. 3626, Anthony P. Hammond
Health Insurance Reform And Its Effects On The Small Employer Market: A Review Of H.R. 3626, Anthony P. Hammond
Journal of Actuarial Practice (1993-2006)
This paper provides a detailed analysis of H.R. 3626, a bill that is intended to improve employers' and employees' access to health care. H.R. 3626 attempts to accomplish this through the use of guaranteed availability, community rating, and generous standard benefits. A migration model is used to analyze the impact of H.R. 3626. Using this model, it is shown that while improving the availability and affordability of health insurance, its rating restrictions increase premiums disproportionately for the majority of small employers. In addition, H.R. 3626 increases the number of uninsured small employers.
"Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver": Author's Reply To Previous The Discussion*, Robert L. Brown
"Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver": Author's Reply To Previous The Discussion*, Robert L. Brown
Journal of Actuarial Practice (1993-2006)
No abstract provided.
Controlling The Dark Side Of Relational Investing, Edward B. Rock
Controlling The Dark Side Of Relational Investing, Edward B. Rock
All Faculty Scholarship
No abstract provided.
Agency Costs, Charter Amendments And The Market For Corporate Control, Atreya Chakraborty
Agency Costs, Charter Amendments And The Market For Corporate Control, Atreya Chakraborty
Atreya Chakraborty
The merger wave of the 1 980s, coupled with the sophistication of investment Banks' financial engineers, brought about a bewildering array of takeover defenses: "poison pills", " classified boards", "fair price amendments", and the like. Surveys have documented steep growth in various defensive amendments adopted by firms in recent years. The Investors? Responsibility Research Centre (IRRC), in surveying 424 of the Fortune 500 firms in 1986, found that 143 had adopted poison pills, 158 had fair price amendments and 223 had board of directors divided into classes. Jarrell and Poulsen's (1987) research notes the same trend in a previous survey …
Intensity Of Takeover Defenses: The Empirical Evidence, Atreya Chakraborty
Intensity Of Takeover Defenses: The Empirical Evidence, Atreya Chakraborty
Atreya Chakraborty
This paper focuses on the construction of an index of the intensity of firms' antitakeover defenses. While many aspects of corporate behavior are qualitative in nature, an evaluation of a firm's stance and the underlying motives for its behavior often depend on the elements of a set of qualitative factors. The interactions between these factors are likely to have important implications. In this context, only a composite measure will capture these interactions and their implications for firms' actions. We focus on the creation of an ordinal measure of anti-takeover defenses and utilize the ordered probit estimation technique to relate the …