Consistent estimation of conditional conservatism

Cano Rodríguez, Manuel; Núñez-Nickel, Manuel

Publication:
Consistent estimation of conditional conservatism

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Cano Rodríguez, Manuel
dc.contributor.author	Núñez-Nickel, Manuel
dc.date.accessioned	2012-03-09T17:58:36Z
dc.date.available	2012-03-09T17:58:36Z
dc.date.issued	2011-03
dc.description.abstract	In this paper, we demonstrate analytically that Basu model estimates are affected by two biases, except if very restrictive conditions are met: an aggregation bias produced by the absence of the book-to-market ratio in Basu model, and (2) an aggregation problem produced by the use of total market returns instead of separating the good news and bad news of the period. To solve this problem, we propose an alternative econometric model that is robust to both biases. The empirical results obtained using archival data demonstrate the advantages of robustness of our alternative econometric model compared to Basu model: it controls the omitted variable bias, is robust to the aggregation effect, its estimates are less influenced by the extreme values of market returns, and it presents a higher explanatory power.
dc.description.sponsorship	This research is funded by the SEJ2007-65782-C02-02ECON and the ECO2010- 22105-C03-03 (subprogram ECON) research projects of the Spanish Ministry of Science and Education, and the INFOINNOVA research project of the Community of Madrid.
dc.format.mimetype	application/pdf
dc.identifier.bibliographicCitation	SSRN working paper series, march 2011
dc.identifier.uri	https://hdl.handle.net/10016/13793
dc.language.iso	eng
dc.publisher	Social Science Research Network
dc.relation.ispartofseries	SSRN working paper series
dc.relation.isversionof	http://hdl.handle.net/10016/9621
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa
dc.subject.other	Accounting conservatism
dc.subject.other	Consitional conservatism
dc.subject.other	Unconditional conservatism
dc.subject.other	Basu model
dc.subject.other	Aggregation effect
dc.subject.other	Omitted variable bias
dc.title	Consistent estimation of conditional conservatism
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication