Consistent estimation of conditional conservatism

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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.identifier.bibliographicCitation SSRN working paper series, march 2011
dc.identifier.uri http://hdl.handle.net/10016/13793
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.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.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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 workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.type.version submittedVersion
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