-----Original Message-----
From: 	"John D. Martin" <J_Martin@baylor.edu>@ENRON [mailto:IMCEANOTES-+22John+20D+2E+20Martin+22+20+3CJ+5FMartin+40baylor+2Eedu+3E+40ENRON@ENRON.com] 
Sent:	Tuesday, August 28, 2001 8:15 AM
To:	Kaminski, Vince J
Subject:	Second paper looks interesting

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>Subject:      FEN CapMkts-Asset WPS Vol. 4, No. 36, 08/27/2001
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>                      Working Paper Series
>                 Vol. 4,  No. 36: August 27, 2001
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>T A B L E   of   C O N T E N T S
>_________________________________________________________________
>
>
>"Trading Turkey's External and Internal Risks: A Value at Risk
> Analysis"
>     KURT DEW
>        Isik University
>
>
>"Regime Jumps in Electricity Prices"
>     RONALD HUISMAN
>        Erasmus University
>     RONALD MAHIEU
>        Erasmus University
>
>
>"Labor Income and Predictable Stock Returns"
>     TANO SANTOS
>        Graduate School of Business, University of Chicago
>     PIETRO VERONESI
>        University of Chicago
>        Graduate School of Business
>
>
>"Earnings Quality and Stock Returns"
>     KONAN CHAN
>        National Taiwan University
>     LOUIS K.C. CHAN
>        University of Illinois at Urbana-Champaign
>     NARASIMHAN JEGADEESH
>        University of Illinois at Urbana-Champaign
>     JOSEF LAKONISHOK
>        University of Illinois at Urbana-Champaign
>        National Bureau of Economic Research (NBER)
>
>
>"Opinion-Producing Agents: Career Concerns and Exaggeration"
>     ERIC ZITZEWITZ
>        Stanford University
>
>
>"The Idiosyncratic Nature of Sibling ADRs Issued by Mexican
> Firms: A Clinical Study"
>     J. MICHAEL PINEGAR
>        Brigham Young University
>     RAVI RAVICHANDRAN
>        Northern Arizona University
>        College of Business Administration
>
>
>"Comparing the Quality of Three Earnings Measures"
>     LAWRENCE D. BROWN
>        Georgia State University
>     KUMAR N. SIVAKUMAR
>        Georgia State University
>
>
>"The Timing of Initial Public Offerings: A Real Option Approach"
>     JASON DRAHO
>        Yale University
>
>
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>W O R K I N G   P A P E R   A B S T R A C T S
>_________________________________________________________________
>
>"Trading Turkey's External and Internal Risks: A Value at Risk
> Analysis"
>
>      BY:  KURT DEW
>              Isik University
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=271891
>
>    Date:  June 1, 2001
>
> Contact:  KURT DEW
>   Email:  Mailto:kdew@isikun.edu.tr
>  Postal:  Isik University
>           Department of Administrative Sciences
>           Buyukdere Caddesi
>           Ayasaga
>           Maslak, Istanbul 80670   TURKEY
>   Phone:  +90 212 286-2960
>     Fax:  +90 212 286-7775
>
>ABSTRACT:
> In earlier work we showed we could not reject the hypothesis
> that returns to investments in Turkey's stock market were
> positive functions of risk generated by the World outside Turkey
> and by risks unique to Turkey. We found statistical evidence of
> Turkey's internal risks producing substantial returns and
> changes in returns over time. This article carries the analysis
> further by bringing our earlier results into a more concrete
> environment, asking whether these risks can be profitably
> managed as a practical matter. In particular we consider results
> of two strategies in trading cross-market portfolios. We examine
> a long position in the ISE Dollar Return Index, offset by a
> short position in the S&P 500 Composite Total Returns Index. In
> this analysis we verify profitability directly by computing
> actual profit produced by an implementable trading strategy. We
> identify our two portfolio management strategies using
> Value-at-Risk-inspired measures of risk and return. We also
> examine the importance of secondary issues in portfolio
> management, such as identification of buy and sell signals and
> selection of a trading position.
>
> We examine two issues determining the performance of a trading
> position in this cross-market portfolio. First, are there
> predictable and substantial periods of time when it is good to
> be long Turkey and short the Rest of the World and the reverse?
> Second, how important is it to monitor the time path of the
> risks unique to Turkey's Financial Markets in comparing returns
> in Turkish and World Markets? Our answers are first, Yes and
> second, Very.
>
> Keywords: Risk Targeting, Turkey, GARCH-M, heteroscedasticity,
> Historical simulation, Value at Risk, Portfolio Management, Risk
> Management
>
>
>JEL Classification: G11, G15
>______________________________
>
>"Regime Jumps in Electricity Prices"
>
>      BY:  RONALD HUISMAN
>              Erasmus University
>           RONALD MAHIEU
>              Erasmus University
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=271910
>
>    Date:  June 2001
>
> Contact:  RONALD HUISMAN
>   Email:  Mailto:r.huisman@fbk.eur.nl
>  Postal:  Erasmus University
>           Rotterdam School of Management
>           P.O. Box 1738
>           3000 DR Rotterdam,   THE NETHERLANDS
>   Phone:  +31 10 408 2790
>     Fax:  +31 10 408 9017
> Co-Auth:  RONALD MAHIEU
>   Email:  Mailto:r.mahieu@fbk.eur.nl
>  Postal:  Erasmus University
>           3000 DR Rotterdam,   THE NETHERLANDS
>
>ABSTRACT:
> Electricity prices are known to be very volatile and subject to
> frequent jumps due to system breakdown, demand shocks, and
> inelastic supply. As many international electricity markets are
> in some state of deregulation, more and more participants in
> these markets are exposed to these stylised facts. Appropriate
> pricing, portfolio, and risk management models should
> incorporate these facts. Authors have introduced stochastic jump
> processes to deal with the jumps, but we argue and show that
> this specification might lead to problems with identifying the
> true mean-reversion within the process. Instead, we propose
> using a regime jump model that disentangles mean-reversion from
> jump behaviour. This model resembles more closely the true price
> path of electricity prices.
>
> Keywords: Electricity prices, mean-reversion, jump modelling,
> energy finance
>
>______________________________
>
>"Labor Income and Predictable Stock Returns"
>
>      BY:  TANO SANTOS
>              Graduate School of Business, University of Chicago
>           PIETRO VERONESI
>              University of Chicago
>              Graduate School of Business
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=272118
>
>Paper ID:  NBER Working Paper W8309
>    Date:  June 2001
>
> Contact:  TANO SANTOS
>   Email:  Mailto:jesus.santos@gsb.uchicago.edu
>  Postal:  Graduate School of Business, University of Chicago
>           1101 East 58th Street
>           Chicago, IL 60637  USA
>   Phone:  773-834-0769
>     Fax:  773-702-0458
> Co-Auth:  PIETRO VERONESI
>   Email:  Mailto:pietro.veronesi@gsb.uchicago.edu
>  Postal:  University of Chicago
>           Graduate School of Business
>           1101 East 58th Street
>           Chicago, IL 60637  USA
>
>Paper Requests:
> Full-Text downloads are available from SSRN Online for $5.
>
>ABSTRACT:
> We propose and test a novel economic mechanism that generates
> stock return predictability on both the time series and the
> cross section. In our model, investors' income has two sources,
> wages and dividends, that grow stochastically over time. As a
> consequence, the fraction of total income produced by wages
> changes over time de-pending on economic conditions. We show
> that as this fraction fluctuates, the risk premium that
> investors require to hold stocks varies as well. We test the
> main implications of the model and find substantial support for
> it. A regression of stock returns on lagged values of the labor
> income to consumption ratio produces statistically significant
> coefficients and adjusted R2 's that are larger than those
> generated when using the dividend price ratio. Tests of the
> cross sectional implication find considerable improvements on
> the performance of both the conditional CAPM and CCAPM when
> compared to their unconditional counterparts.
>
>
>JEL Classification: G1
>______________________________
>
>"Earnings Quality and Stock Returns"
>
>      BY:  KONAN CHAN
>              National Taiwan University
>           LOUIS K.C. CHAN
>              University of Illinois at Urbana-Champaign
>           NARASIMHAN JEGADEESH
>              University of Illinois at Urbana-Champaign
>           JOSEF LAKONISHOK
>              University of Illinois at Urbana-Champaign
>              National Bureau of Economic Research (NBER)
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=272119
>
>Paper ID:  NBER Working Paper W8308
>    Date:  June 2001
>
> Contact:  LOUIS K.C. CHAN
>   Email:  Mailto:l-chan2@ux6.cso.uiuc.edu
>  Postal:  University of Illinois at Urbana-Champaign
>           Department of Finance
>           113 Commerce West, MC 706
>           1206 South Sixth Street
>           Champaign, IL 61820  USA
>   Phone:  217-333-6391
>     Fax:  217-244-3102
> Co-Auth:  KONAN CHAN
>   Email:  Mailto:kchan@mba.ntu.edu.tw
>  Postal:  National Taiwan University
>           Department of Finance
>           6F, 50, Lane 144, Keelung Road
>           Section 4
>           Taipei, Taiwan 106   ROC
> Co-Auth:  NARASIMHAN JEGADEESH
>   Email:  Mailto:jegadees@cba.uiuc.edu
>  Postal:  University of Illinois at Urbana-Champaign
>           College of Business
>           Champaign, IL 61820  USA
> Co-Auth:  JOSEF LAKONISHOK
>   Email:  Mailto:lakonish@ux1.cso.uiuc.edu
>  Postal:  University of Illinois at Urbana-Champaign
>           Department of Finance
>           340 Commerce West, MC 706
>           1206 South Sixth Street
>           Champaign, IL 61820  USA
>
>Paper Requests:
> Full-Text downloads are available from SSRN Online for $5.
>
>ABSTRACT:
> An exclusive focus on bottom-line income misses important
> information about the quality of earnings. Accruals (the
> difference between accounting earnings and cash flow) are
> reliably, negatively associated with future stock returns.
> Earnings increases that are accompanied by high accruals,
> suggesting low-quality earnings, are associated with poor future
> returns. We explore various hypotheses - earnings manipulation,
> extrapolative biases about future growth, and under-reaction to
> business conditions - to explain accruals' predictive power.
> Distinctions between the hypotheses are based on evidence from
> operating performance, the behavior of individual accrual items,
> and discretionary versus nondiscretionary components of
> accruals.
>
>
>JEL Classification: G12, G14, M41, M43
>______________________________
>
>"Opinion-Producing Agents: Career Concerns and Exaggeration"
>
>      BY:  ERIC ZITZEWITZ
>              Stanford University
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=272172
>
>           Other Electronic Document Delivery:
>           http://web.mit.edu/ericz/Public/chapter2.pdf
>           SSRN only offers technical support for papers
>           downloaded from the SSRN Electronic Paper Collection
>           location. When URLs wrap, you must copy and paste
>           them into your browser eliminating all spaces.
>
>    Date:  June 2001
>
> Contact:  ERIC ZITZEWITZ
>   Email:  Mailto:zitzewitz_eric@gsb.stanford.edu
>  Postal:  Stanford University
>           Stanford, CA 94305-5015  USA
>
>ABSTRACT:
> This paper models the incentives created by career concerns for
> opinion-producing agents. We find that career concerns can
> create an incentive for exaggeration or anti-herding, since
> high-ability agents will have opinions that are more different
> from the consensus on average and potential clients will learn
> more quickly about how different an agent's opinions are from
> the consensus on average that about whether or not they are
> exaggerating. The model predicts that agents should exaggerate
> more when they are under-rated by their clients, when the
> realizations of the variables they are forecasting are expected
> to be especially noisy, and when they expect to make fewer
> future forecasts. We find that these predictions are consistent
> with the empirical data on equity analyst's earnings forecasts.
>
> Keywords: Herding, Career Concerns, Reputation, Learning
>
>
>JEL Classification: D8, G0, M4
>______________________________
>
>"The Idiosyncratic Nature of Sibling ADRs Issued by Mexican
> Firms: A Clinical Study"
>
>      BY:  J. MICHAEL PINEGAR
>              Brigham Young University
>           RAVI RAVICHANDRAN
>              Northern Arizona University
>              College of Business Administration
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=272175
>
>    Date:  May 2001
>
> Contact:  J. MICHAEL PINEGAR
>   Email:  Mailto:jmp5@email.byu.edu
>  Postal:  Brigham Young University
>           Provo, UT 84602  USA
>   Phone:  801-378-3088
>     Fax:  801-378-5984
> Co-Auth:  RAVI RAVICHANDRAN
>   Email:  Mailto:Ravi.Ravichandran@nau.edu
>  Postal:  Northern Arizona University
>           College of Business Administration
>           PO Box 15066
>           Flagstaff, AZ 86011  USA
>
>ABSTRACT:
> We examine the relative prices of "sibling" American Depositary
> Receipts (ADRs). These ADRs are issued by the same foreign firms
> against shares with different voting rights. Though superior and
> inferior voting siblings begin their US trading experience at
> nearly equal values, relative prices of Mexican and non-Mexican
> sibling ADRs quickly move in opposite directions. Superior
> voting ADRs command a median premium for non-Mexican firms, but
> a median discount for Mexican issuers. The Mexican evidence
> represents an extreme exception to the inverse relation between
> the voting premium documented in other countries and the degree
> of legal protection enjoyed by outside shareholders. This
> apparent anomaly cannot be explained by differences in cash flow
> rights, total or systematic risk, liquidity, voting control of
> major blockholders, or ownership restrictions. Despite voting
> premiums and discounts, neither sibling in most pairs appears to
> have been an attractive investment for US investors.
>
>
>JEL Classification: G12, G15, G34
>______________________________
>
>"Comparing the Quality of Three Earnings Measures"
>
>      BY:  LAWRENCE D. BROWN
>              Georgia State University
>           KUMAR N. SIVAKUMAR
>              Georgia State University
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=272180
>
>    Date:  May 2001
>
> Contact:  KUMAR N. SIVAKUMAR
>   Email:  Mailto:ksivakumar@gsu.edu
>  Postal:  Georgia State University
>           Atlanta, GA 30302  USA
>   Phone:  404-651-4486
> Co-Auth:  LAWRENCE D. BROWN
>   Email:  Mailto:accldb@langate.gsu.edu
>  Postal:  Georgia State University
>           College of Business Administration
>           5th Floor
>           35 Broad Street
>           Atlanta, GA 30303  USA
>
>ABSTRACT:
> We use data during 1989-97 to compare the quality of three
> quarterly earnings measures: 'The Street', a pro-forma operating
> income proxy obtained from firms' earnings releases and two
> earnings measures obtained from 10-Q and 10-K reports: EPS from
> operations and EPS before extraordinary items and discontinued
> operations. Three techniques are used to assess quality:
> predictive ability, valuation relevance and information content.
> Predictive ability is examined by determining which measure is
> the most accurate predictor of future quarterly earnings four
> quarters hence. We assess valuation relevance by identifying
> which earnings measure has the most explanatory power and the
> highest earnings multiplier. We determine information content by
> finding which measure has the most explanatory power and
> generates the highest earnings response coefficient. Based on
> our three techniques to assess earnings quality, we find that a
> timely pro-forma operating income measure released by managers
> ('The Street') is of higher quality than either EPS from
> operations or EPS before extraordinary items and discontinued
> operations. Regulators are concerned that users of financial
> statements are misled by pro-forma earnings releases, and that
> they should rely instead on information in financial reports.
> Our findings suggest that users of financial information can
> obtain higher quality earnings measures using pro-forma
> operating income numbers released by managers than they can by
> perusing less timely 10-Q and 10-K filings with the Securities
> and Exchange Commission.
>
>
>JEL Classification: M41, G12
>______________________________
>
>"The Timing of Initial Public Offerings: A Real Option Approach"
>
>      BY:  JASON DRAHO
>              Yale University
>
>Document:  Available from the SSRN Electronic Paper Collection:
>           http://papers.ssrn.com/paper.taf?abstract_id=271351
>
>    Date:  December 20, 2000
>
> Contact:  JASON DRAHO
>   Email:  Mailto:jason.draho@yale.edu
>  Postal:  Yale University
>           New Haven, CT 06520-8200  USA
>   Phone:  203-432-3595
>
>ABSTRACT:
> This paper analyzes the timing of IPOs by treating the
> going-public decision as a real option. Investors value the
> private firm using publicly observed market prices of firms from
> the same industry. With stochastically evolving market values
> firm insiders want to leave open the option of taking the firm
> public later, after a positive price shock. Going public
> exercises this option, which must be viewed as a cost of
> undertaking an IPO. Optimal exercising of the option dictates
> that IPOs should only occur after price run-ups. Firms never go
> public in a down market because the value of waiting is too
> great. These incentives can lead to clustering of IPOs near
> market peaks. The results generalize to seasoned issues. Each
> equity offering is for a unique fraction of the total ownership
> claim for the firm and is associated with its own timing option.
> Each equity issue is independent of all the others, and
> therefore the timing of an offering is unaffected by subsequent
> issues. Each equity issue is likely to follow an abnormal price
> increase.
>
> Keywords: IPO, real option, timing
>
>
>JEL Classification: G32, G12
>
>
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>CAPITAL MARKETS: ASSET PRICING AND VALUATION
>
>EDWARD I. ALTMAN
>  Editor, Journal of Banking and Finance; Max L. Heine Professor
>  of Finance Vice Director, NYU Salomon Center
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>  Professor of Finance, University of Rochester, William E. Simon
>  Graduate School of Business Administration
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>  Editor, Real Estate Economics; Professor of Finance and Ross
>  Professor of Real Estate Finance at the University of Michigan
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>  Editor, Journal of Risk and Insurance; Harry J. Loman Professor
>  of Insurance and Risk Management, Wharton School, University of
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>DOUGLAS W. DIAMOND
>  Editor, Journal of Business; Theodore O. Yntema Professor of
>  Finance, University of Chicago, School of Business
>
>EUGENE F. FAMA
>  Advisory Editor, Journal of Financial Economics; Robert R.
>  McCormick Distinguished Service Professor of Finance,
>  University of Chicago, School of Business
>
>STEPHEN FIGLEWSKI
>  Editor, Journal of Derivatives; Professor of Finance, New York
>  University, School of Business
>
>KENNETH R. FRENCH
>  Advisory Editor, Journal of Financial Economics; NTU Professor
>  of Finance, Sloan School of Management, MIT
>
>STUART GREENBAUM
>  Founding Editor, Journal of Financial Intermediation; Dean,
>  Washington University, St. Louis
>
>CAMPBELL R. HARVEY
>  J. Paul Sticht Professor of International Business, Duke
>  University, Fuqua School of Business
>
>MICHAEL C. JENSEN
>  Managing Director, Organizational Strategy Practice; Monitor
>  Company; Professor of Organizational Strategy, Monitor
>  University; Jesse Isidor Straus Professor of Business
>  Administration Emeritus, Harvard Business School; Chairman,
>  SSEP, Inc.
>
>JONATHAN M. KARPOFF
>  Editor, Journal of Financial and Quantitative Analysis;
>  Professor of Finance, University of Washington
>
>KENNETH LEHN
>  Editor, Journal of Corporate Finance; Professor of Business
>  Administration, University of Pittsburgh, Katz Graduate School
>  of Business
>
>STANLEY PLISKA
>  Editor, Mathematical Finance; CBA Distinguished Professor of
>  Finance, University of Illinois at Chicago
>
>CHARLES I. PLOSSER
>  Editor, Journal of Monetary Economics and Carnegie-Rochester
>  Conference Series on Public Policy; Dean and John M. Olin
>  Distinguished Professor of Economics and Public Policy,
>  University of Rochester, School of Business
>
>KATHERINE SCHIPPER
>  L. Palmer Fox Professor of Business Administration,
>  Fuqua School of Business, Duke University
>
>ALAN SCHWARTZ
>  Editor, Journal of Law, Economics and Organization; Sterling
>  Professor of Law, Yale Law School, Professor, Yale School of
>  Management
>
>G. WILLIAM SCHWERT
>  Managing Editor, Journal of Financial Economics; Distinguished
>  University Professor of Finance and Statistics, University of
>  Rochester, Simon School of Business
>
>WILLIAM F. SHARPE
>  The STANCO 25 Prof. of Finance, Graduate School of Business,
>  Stanford Business School; Past President, American Finance
>  Association; 1990 Nobel Laureate in Economic Sciences
>
>RENE M. STULZ
>  Everett D. Reese Chair of Banking and Monetary Economics, Ohio
>  State University College of Business
>
>ROSS L. WATTS
>  Editor, Journal of Accounting and Economics; William H. Meckling
>  Professor in Business Administration, University of Rochester,
>  School of Business
>
>__________________________________________________________________
>
>
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>                         Copyright 2001
>                SSEP, Inc., all rights reserved.
>_________________________________________________________________
>
John D. Martin
Carr P. Collins Chair in Finance
Finance Department
Baylor University
PO Box 98004
Waco, TX 76798
254-710-4473 (Office)
254-710-1092 (Fax)
J_Martin@Baylor.edu
web:    http://hsb.baylor.edu/html/martinj/home.html