Asset Management

In this paper, we develop an approach for filtering state variables in the setting of continuous-time jump-diffusion models. Our method computes the filtering distribution of latent state variables conditional only on discretely observed observations in a manner consistent with the underlying continuous-time process. The algorithm is a combination of particle filtering methods and the "filling-in-the-missing-data" estimators which have recently become popular. We provide simulation evidence to verify that our method provides accurate inference.

As more firms adopt a customer asset management approach to their business, it has become increasingly important to understand how customer management efforts relate to the financial performance of the firm. Of specific interest to shareholders is the relationship between traditional financial measures and customer-centric measures. The customer-centric measure that has received the most attention is customer lifetime value (CLV).

I focus on the valuation of the shares of a firm that has intangible assets. As most firms have some form of intangible asset that is not on the balance sheet, my talk deals with the general principles of vaulation when balance sheets are imperfect.

In this study we investigate the valuation implications of managerial actions undertaken by 57 Internet firms engaged in Business-to-Business (B2B) e-commerce.

We examine the valuation performance of a comprehensive list of value drivers and find that multiples derived from forward earnings explain stock prices remarkably well: pricing errors are within 15 percent of stock prices for about half our sample. In terms of relative performance, the following general rankings are observed consistently each year: forward earnings measures are followed by historical earnings measures, cash flow measures and book value of equity are tied for third, and sales performs the worst.

This paper studies the economic benefits of return predictability by analyzing the impact of market and volatility timing on the performance of optimal portfolio rules. Using a model with time-varying expected returns and volatility, we form optimal portfolios sequentially and generate out-of-sample portfolio returns. We are careful to account for estimation risk and parameter learning.

The financial press and accounting regulators (e.g., the Securities and Exchange Commission and Financial Accounting Standards Board) have expressed concern about pressures on Internet firms to report high levels of revenue. This study verifies the association between market capitalization and revenue, and examines economic factors that potentially influence Internet company managers' decisions to adopt allegedly aggressive revenue-recognition policies. Specifically, we examine factors hypothesized to influence the reporting of advertising barter revenue and grossed-up sales levels.

Articles in the financial press suggest that institutional investors are overly focused on current profitability, which suggests that as institutional ownership increases, stock prices reflect less current period information that is predictive of future period earnings. On the other hand, institutional investors are often characterized in academic research as sophisticated investors and sophisticated investors should be better able to use current-period information to predict future earnings compared with other owners.