2013 UTS Early Career Accounting Researcher Consortium - Accounting Discipline Group Announcement

"Accounting, Risk, and Asset Pricing"

- Professor Stephen Penman
- George O. May Professor in the Graduate School of Business
- Columbia University, USA

Monday 4th & Tuesday 5th February 2013

Registrations are now open to attend the 2013 UTS Early Career Accounting Researcher Consortium conducted by Professor Stephen Penman, Columbia University. The Consortium is open to all researchers and PhD students. There will be a special session on both days of the Consortium to allow selected emerging researchers and students to present their work-in-progress.

OVERVIEW: Professor Penman's research is concerned with the valuation of equity and the role of accounting information in security analysis. Published widely in finance and accounting journals, he has conducted seminars on fundamental analysis and equity evaluation for academic and professional audiences. Professor Penman has been awarded numerous awards; in 1991 he was awarded the notable Contribution to Accounting Literature Award by the American Accounting Association and the American Institute of Certified Public Accountants. In 2002 he was awarded the American Accounting Association and Deloitte & Touche Wildman Medal for his book, Financial Statement Analysis and Security Valuation. He is managing editor of the Review of Accounting Studies and is on the editorial board of the Schmalenbach Business Review.

Though both are concerned with valuation, asset pricing research in finance and valuation research in accounting have dealt with different issues. Accounting research largely deals with the "numerator problem" in valuation, that is, the modelling of expectations to be discounted to present value and developing the financial statement analysis to inform about those expectations. Asset pricing has focused on the "denominator problem", the discount rate at which expectations are converted to a (present) value. There are exceptions for example, work in accounting on the implied cost of capital but we do seem to work in different silos.

This workshop will cover recent research that attempts to find common ground, to synthesize asset pricing and accounting-based valuation. A particular focus will be on the question of how accounting reports inform about risk and the discount rate and how this understanding is the key to placing asset pricing and accounting-based valuation on the same platform. With this focus, we gain an understating of the book-to-price effect and the size premium in stock returns, so prominent in asset pricing but largely a mystery. We develop an understanding of the so-called anomalies in asset pricing, many of them involving accounting numbers, and are able to reconcile these anomalies to the rational pricing of risk. We show empirically that financial reports convey both "cash-flow news" and "discount-rate news". We see a path to identifying operating risk separate from financing risk. Though in its early stage, the research shows promise for the development of an accounting-based asset pricing model that incorporates both the "numerator issue" and the "denominator issue". While focusing on the research, the workshop will also deal with the implications for active investing.

REGISTRATION/FURTHER INFORMATION: There is no charge for attending the Consortium; however attendees are responsible for their own travel and accommodation costs. Morning/afternoon tea and lunch will be provided on the day. The Consortium will be held at the Graduate School of Business, Quay Street, Block B, Haymarket. The Graduate School of Business is close to the Darling Harbour and Chinatown precincts, where a wide range of hotel accommodation is available. Places are limited and anyone wishing to attend should register as soon as possible at the UTS Accounting Website: http://www.business.uts.edu/accounting/research/summerschool.html

For further enquiries please contact Katt Robertson via email at katt.robertson@uts.edu.au or phone: (02) 9514 3560.