The Department of Banking and Financial Management announces the upcoming seminar with Prof. Dimos Andronoudis, London School of Economics.
Dimos Andronoudis will present:
CONSERVATIVE ACCOUNTING AND RISK: THE CASE OF RESEARCH & DEVELOPMENT
Prior research argues that the positive relation between current R&D activity and future returns is evidence of mispricing, a compensation for risk inherent in R&D or a transformation of the value/growth anomaly. This paper contributes to this debate
by taking into account the link between R&D activity, equity duration and systematic risk. This link motivates use of the Campbell and Vuolteenaho (2004) intertemporal asset pricing model (ICAPM) which accommodatesstochastic discount rates and in-vestors’ intertemporal preferences. Our results support a risk based explanation; R&D intensive rms are exposed to higher discount rate risk. Hedge portfolio analysis shows that the mispricing explanation is not economically signicant based on the ICAPM.
Time and Place: December 22, 2016
Place: Room 013
More upcoming Seminars 2016:
January 12, 2016, Maria Marchica, Manchester Business School
The seminar is part of the 2016-2017 Fall Semester’s Weekly Seminar Series of the Department of Banking and Financial Management, University of Piraeus