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“Price-Levels” Regressions: “Scale-Effect” or “Distribution Effect”
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Journal Article
“Price-Levels” Regressions: “Scale-Effect” or “Distribution Effect”
2011
Overview
Easton and Sommers (ES) (2003) document the existence of an overwhelming influence of large firms in ‘price-levels’ regressions on US data (as do Akbar and Stark (2003) on UK data). They refer to this overwhelming influence as the ‘scale effect’. ES argue that the scale effect is caused by non-linearlities in the relationship between market value and the accounting variables. But non-linearities are only one possibility. We posit that the scale effect documented by ES is a pure econometric phenomenon. Typical variables used in Market-based Accounting Research (i.e. market value, book value, total assets, positive earnings, losses...) follow distributions that are very strong skewed, that is, distributions with a single, long tail. We argue that the scale effect is related to the presence of this large tail. When we apply a logarithmic transformation (as recommended by the literature in the case of highly skewed distributions, tending to restore normality), the ‘scale effect’ disappears.Easton y Sommers (ES) (2003) demuestran que las observaciones de mayor tamaño (empresas grandes) sesgan, de manera recurrente, los resultados de las regresiones preciomagnitudes contables, para una muestra de datos norteamericanos. Akbar y Stark (2003) hallan los mismos resultados en el mercado del Reino Unido. ES (2003) argumentan que este efecto se debe a una relación no lineal entre las variables del estudio. Sin embargo, esa es sólo una posibilidad. Nosotros defendemos que el efecto escala que encuentran ES (2003) es un efecto puramente econométrico. Las variables comúnmente utilizadas en la investigación contable orientada hacia el mercados de capitales (por ejemplo, precio, fondos propios, beneficios, etc.) siguen distribuciones fuertemente asimétricas, esto es, distribuciones con una única cola muy alargada. A nuestro juicio, el efecto escala está relacionado con esta característica econométrica. Una vez aplicada una transformación logarítmica (tal y como recomienda la literatura en el caso de distribuciones asimétricas para restablecer normalidad), el efecto escala desaparece.
Publisher
Universidad de Murcia
