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Connecting Book Rate of Return to Risk and Return: The Information Conveyed by Conservative Accounting

时间:2018-06-28

Accounting Seminar2018-15

Topic:Connecting Book Rate of Return to Risk and Return: The Information Conveyed by Conservative Accounting

Speaker:Stephen H. Penman,Graduate School of Business,Columbia University

Time:Wednesday, July 4th, 10:00-11:30 a.m

Place:Room 217, Guanghua Building 2

Abstract:

This paper investigates how the book rate of return relates to risk and the expected return for equity investing and documents the role of conservative accounting in making the connection. In contrast to asset pricing research where the book rate of return is viewed as positively associated with risk and expected stock returns, the paper demonstrates the opposite: With the effect of conservative accounting, a lower book rate of return indicates higher risk and a higher expected return. The empirical analysis indicates that the market prices equities accordingly.

Introduction:

Stephen Penman is the George O. May Professor in the Graduate School of Business, Columbia University. He is also co-director of the Center for Excellence in Accounting and Security Analysis at Columbia Business School.

Prior to his appointment at Columbia in 1999 he was the L.H. Penney Professor in the Walter A. Haas School of Business at the University of California at Berkeley. He joined Berkeley in 1977. From 1990-95 he served as Chair of the Professional Accounting Program and Chairman of the Accounting Faculty at Berkeley, and initiated and chaired Berkeley’s Annual Conference on Financial Reporting.

Penman has served as a Visiting Professor at Bocconi University and the London Business School, as the Jan Wallander Visiting Professor at the Stockholm School of Economics, and in the Cheng Tsang Mun Chair Visiting Professorship at Singapore Management University. He has also been a visitor at Beijing University and the Swedish Institute for Financial Research. He is an Honorary Professor at the City University of Hong Kong.

Professor Penman received a first-class honors degree in Commerce from the University of Queensland, Australia, and M.B.A. and Ph.D. degrees from the University of Chicago. His research deals with the valuation of equity and the role of accounting information in security analysis. He has published widely in finance and accounting journals and has conducted seminars on fundamental analysis and equity evaluation for academic and professional audiences.

In 1991 Penman was awarded the Notable Contribution to Accounting Literature Award by the American Accounting Association and the American Institute of Certified Public Accountants, and in 2002 was awarded the American Accounting Association and Deloitte & Touche Wildman Medal for his book,Financial Statement Analysis and Security Valuation, published by McGraw-Hill/Irwin and now in its 5th edition. In 1997 he was awarded the Institute for Quantitative Investment Research (INQUIRE) Prize in the U.K. In 2005 he was awarded the Geewax Terker & Co Prize in Investment Research, and in 2011 the Roger F. Murray prize from The Institute for Quantitative Research in Finance (Q-Group). In 2009 he received an honorary doctorate from the Stockholm School of Economics. His book,Accounting for Value, was published by Columbia University Press in January, 2011.

Stephen Penman is an editor of theReview of Accounting Studiesand served as managing editor from 2002-2006. He is Chief Investment Advisor to Segesta Advisors AG in Zurich and serves on the advisory board of Boston Harbor Investment Management. He also serves on the Board of Directors of UBS Financial Services Inc. Hedge Fund Solutions and is chair of its audit committee.

Your participation is warmly welcomed!

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