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# 经济代写|行为经济学代写Behavioural Finance代考|FIN650 The AGR Metric

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## 经济代写|行为经济学代写Behavioural Finance代考|The AGR Metric

A firm’s AGR score measures the overall risk that the firm engages in fraudulent or misleading accounting and governance activities. Using publicly available information, MSCI’s objective is to discriminate between fraudulent and non-fraudulent firms. To do so, it ranks firms by their AGR scores and then groups them ranging from Very Aggressive (bottom 10\%) to Conservative (top 15\%), with the bulk of firms being classified as Aggressive (25\%) or Average (50\%).

Being proprietary, the exact algorithm by which a firm’s AGR score is calculated is not publicly available. However, in general, the following five risk categories are considered: (i) corporate governance, (ii) high risk events, (iii) revenue recognition, (iv) expense recognition, and (v) asset-liability valuation. Within each of these risk categories, multiple issues (or “games”) are tabulated. There can be as many as twenty-five issues per category. For example, issues within the revenue recognition category include high operating revenues, large accounts receivables, large inventory, and small unearned revenues. Each issue, in turn, is measured by one or more metrics. For example, corporate governance metrics include the percentage of board directors who are officers, incentive compensation over total compensation for both the firm’s CEO and CFO, and the ratio of CFO to CEO total compensation.

These metrics are the fundamental ingredients of an AGR score. In particular, firms that exhibit extreme values in these measures are hypothesized to be at higher risk of fraudulent accounting and governance activities. To that end, each metric is examined for unusual behavior according to (i) an industry comparison (number of interquartile ranges from the industry median), (ii) it’s one year change (percentage change from previous year), as well as (iii) it’s volatility (variance over the previous eight quarters). Only if a firm’s particular metric exhibits unusual behavior, defined to be in the corresponding extreme $20 \%$ of all observed values, is that metric included in a firm’s AGR score.

## 经济代写|行为经济学代写Behavioural Finance代考|Data and Descriptive Statistics

We rely on a comprehensive database of AGR scores that ranks approximately 8,300 firms during the January 1997 to December 2011 sample period. AGR scores are generally updated after the public release of new quarterly or yearly financial statements. Because of this, changes in AGR scores may occur at any point in calendar time. In our analyses, we rely on monthly observations and only update AGR scores at the end of the month following a score change. We apply this lag to ensure that our regression results are not subject to any potential look-ahead biases. Once a firm’s AGR score is updated, we retain this score until it is updated once again. We match our AGR dataset to the Center for Research in Security Prices (CRSP) dataset using a firm’s CUSIP number. Balance sheet and other fundamental data are collected from COMPUSTAT.

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