Departamento de Economía Financiera y Contabilidad
URI permanente para esta comunidadhttps://hdl.handle.net/10953/28
En esta Comunidad se recogen los documentos generados por el Departamento de Economía Financiera y Contabilidad y que cumplen los requisitos de Copyright para su difusión en acceso abierto.
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Examinando Departamento de Economía Financiera y Contabilidad por Autor "Cano Rodríguez, Manuel"
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Ítem A review of research on the negative accounting relationship between risk and return: Bowman's paradox(Elsevier, 2002-02) Núñez Nickel, Manuel; Cano Rodríguez, ManuelA cornerstone in finance theory continues to be the positive relationship between risk and return in spite of Fama and French (The Journal of Finance 47(2) (1992) 427–65) and several later papers finding no relationship between the two variables. Twelve years earlier, Bowman (Sloan Management Review 1980, pp. 17–31) studied the same relationship from organization theory, achieving similar results with accounting data, and developing a whole research stream known as “Bowman's paradox”. This stream has contributed to some curious and interesting ideas that could also be applied to other different streams: new risk measures, managerial goal selection, response to the decline in the organization, diversification strategy on risk and return, among others. Similar to the financial stream, a number of researchers have tried to study this issue from the strategic management perspective. Their inconclusive results have generated a considerable controversy, keeping this research stream alive. In this work, we describe and explore this phenomenon from “Bowman's paradox”, theoretical explanations, criticisms and future orientations.Ítem Overcoming the Lack of Identification in Bowman’s Paradox Tests: Heteroskedastic Behavior of Returns(Emerald, 2005-10) Núñez Nickel, Manuel; Cano Rodríguez, ManuelTo date, the validity of the empirical tests that employ the mean‐variance approach for testing the risk‐return relationship in the research stream named Bowman’s paradox is inherently unverifiable, and the results cannot be generalized. However, this problem can be solved by developing an econometric model with two fundamental characteristics: first, the use of a time‐series model for each firm, avoiding the traditional cross‐sectional analysis; and, second, the estimation of a model with a single variable (firm’s rate of return), whose expectation and variance are mathematically related according to behavioral theories, forming a heteroskedastic model similar to GARCH (generalized autoregressive conditional heteroskedasticity). The application of this methodology for Bowman’s paradox is new, and its main advantage is that it solves the previous criticism of the lack of identification. With this model, we achieve results that agree with behavioral theories and show that these theories can also be carried out with market measures.