Capital theory and depreciation (1998)
Holland, Kevin, Rhys, Huw, Tippett, Mark
Our concern in the present paper is with an empirical evaluation of the relevance of published depreciation numbers. We report results of an attempt to assess the correspondence between the...
Mean Reversion and the Distribution of United Kingdom Stock Index Returns
Our purpose here is to develop the Pearson Type IV distribution as a candidate for modelling the evolution of short period stock index returns. Here, early work by Praetz (1972 and 1978) and...
The Garman-Ohlson Structural System
The Garman-Ohlson structural model assumes the evolution of corporate earnings, dividends and book values are generated by a simultaneous equation system which links financial statement information...
Systematic Risk and Empirical Research
We show here that risky asset returns generating processes stated in terms of factors which include both accounting and non-accounting based measures of risk (e.g. book to market ratios) imply, under...
The Components of Accounting Ratios as Co-integrated Variables
Geoffrey Whittington, Mark Tippett
Time series of accounting variables may often be non-stationary, i.e. they have a unit root, as in the common example of a random walk. This can lead to spurious results in time series regression...
An Aggregation Theorem for the Valuation of Equity Under Linear Information Dynamics
David Ashton, Terry Cooke, Mark Tippett
We state an Aggregation Theorem which shows that the recursion value of equity is functionally proportional to its adaptation value. Since the recursion value of equity is equal to its book value...
Double Entry Bookkeeping and the Distributional Properties of a Firm's Financial Ratios
David Ashton, Paul Dunmore, Mark Tippett
Our purpose here is to assess whether the innate properties of the double entry bookkeeping system are such that financial ratios, calculated from the balance sheet summary measures implied by it,...
A Modified 'Square Root' Process for Determining the Value of the Option to (Dis)invest
Abstract: We determine optimal investment criteria for a capital project whose cash flows evolve in terms of a 'modified square root' process. The modified square root process has properties...
A Modified 'Square Root' Process for Determining the Value of the Option to (Dis)invest
Abstract: We determine optimal investment criteria for a capital project whose cash flows evolve in terms of a 'modified square root' process. The modified square root process has properties...
The Garman-Ohlson Structural System
The Garman-Ohlson structural model assumes the evolution of corporate earnings, dividends and book values are generated by a simultaneous equation system which links financial statement information...
An Aggregation Theorem for the Valuation of Equity Under Linear Information Dynamics
David Ashton, Terry Cooke, Mark Tippett
We state an Aggregation Theorem which shows that the recursion value of equity is functionally proportional to its adaptation value. Since the recursion value of equity is equal to its book value...
Double Entry Bookkeeping and the Distributional Properties of a Firm's Financial Ratios
David Ashton, Paul Dunmore, Mark Tippett
Our purpose here is to assess whether the innate properties of the double entry bookkeeping system are such that financial ratios, calculated from the balance sheet summary measures implied by it,...