Optimal Financial Reporting and Equity Returns: Evidence from Commercial Banks

Undated

25 Pages Posted: 30 Nov 2001

See all articles by Craig E. Lefanowicz

Craig E. Lefanowicz

University of Virginia - McIntire School of Commerce

Malcolm McLelland

McLelland + Palazzi | Financial economics

Multiple version iconThere are 2 versions of this paper

Abstract

This study develops a hypothesis from asset pricing theory and optimization theory that in a diversified portfolio of equity securities there is no linear relationship between equilibrium equity returns and financial reporting variables subject to managerial discretion, only a nonlinear relationship. Alternatively stated, this study presents theory and evidence suggesting that linear conditional mean effects of discretionary financial reporting variables on equity returns for an industry portfolio of firms are zero, while the nonlinear conditional mean effects are nonzero.

Keywords: Commercial banks; Financial reporting; Accounting discretion; Equity returns

JEL Classification: M41, M43, G11, G12, G21

Suggested Citation

Lefanowicz, Craig E. and McLelland, Malcolm, Optimal Financial Reporting and Equity Returns: Evidence from Commercial Banks. Undated, Available at SSRN: https://ssrn.com/abstract=291050 or http://dx.doi.org/10.2139/ssrn.291050

Craig E. Lefanowicz

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States
434-924-6356 (Phone)

Malcolm McLelland (Contact Author)

McLelland + Palazzi | Financial economics ( email )

Rua Padre Carvalho 408
Pinheiros
Sao Paulo, Sao Paulo 05427-020
Brazil

HOME PAGE: http://www.mclelland-palazzi.com.br

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
272
Abstract Views
2,074
rank
126,940
PlumX Metrics