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1. |
Earnings Surprise, Market Efficiency, and Expectations |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 475-502
John C. Alexander,
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摘要:
AbstractThe examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies.
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01328.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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2. |
Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 503-530
Seungmook Choi,
Mark E. Wohar,
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摘要:
AbstractThis study examines whether or not the volatility of stock index returns forecasted by a GARCH‐M specification is consistent with the implied volatility observed in options markets. Recent data for the New York Stock Exchange Composite Index and Standard&Poor's 500 Index and their options are employed. The patterns of the term structure of implied volatility are compared with those of volatility estimates obtained from the GARCH process. The results indicate that the GARCH process appears to partially explain the variation of implied volatilities and the term structure of implied volatilitie
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01329.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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3. |
Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 531-552
Shahriar Khaksari,
Edward L. Bubnys,
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摘要:
AbstractThis study uses risk‐adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day‐of‐the‐week, the month‐of‐the‐year, and the day‐of‐the‐month effects. Using the nonparametric Kruskal‐Wallis test, we find more evidence of day‐of‐the‐week and day‐of‐the‐month effects in futures index price behavior than in their underlying spot indexes. The January effect is found to be more pronounced for spot indexes than for stock index futures contracts. It is also more pronounced in the smaller firm synthetic index. Our results tend to disagree
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01330.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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4. |
Deviations from Purchasing Power Parity |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 553-570
Hung‐Gay Fung,
Wai‐Chung Lo,
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摘要:
AbstractThis study uses univariate and multivariate unit root tests to analyze the random walk behavior of real exchange rates for the period 1979–1989. The univariate test fails to reject the random walk model, but the multivariate test indicates that part of the real exchange rates is predictable, a result supporting purchasing power parity. Further analysis of the random walk component in real exchange rates shows that it is quite persistent: for all currencies it takes about five to eight years for this shock to diminish to half its siz
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01331.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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5. |
Risk Premia in Foreign Currency Futures |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 571-587
Christina Y. Liu,
Jia He,
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摘要:
AbstractThis paper tests the uncorrelatedness of increments of daily foreign currency futures prices and derives implications for risk premia based on a heteroscedasticity‐robust variance ratio test. There is evidence suggesting the existence of a time‐varying risk premia. Moreover, the results suggest that currency futures price is not an unbiased predictor of currency spot price on corresponding maturity date of currency futures contract. The paper also applies a heteroscedasticity‐adjusted Box‐Pierce Q test to the same data set for com
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01332.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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6. |
Price/Book Value Ratios and Equity Returns on the Tokyo Stock Exchange: Empirical Evidence of an Anomalous Regularity |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 589-605
Raj Aggarwal,
Takato Hiraki,
Ramesh P. Rao,
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摘要:
AbstractThis study examines the relationship between accounting data and financial market data for securities listed on the Tokyo Stock Exchange. We document, for the first time for a non‐U.S. market, a significant price to book value ratio effect; i.e., Japanese equities with low price to book value ratios earn higher returns than those with high price to book value ratios, and this price to book value effect is stronger in January and June and for smaller firms. One implication of the international pervasiveness of these empirical regularities is that explanations for these effects that are based on unique institutional or accounting procedures are unlikely to be sufficien
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01333.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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7. |
Testing Beta Stationarity across Bond Rating Changes |
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Financial Review,
Volume 27,
Issue 4,
1992,
Page 607-618
C. Michael Impson,
Imre Karafiath,
John Glascock,
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摘要:
AbstractIn this paper we examine the relationship between bond re‐ratings and changes in systematic risk. Using both time series and cross‐sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta. Further, the increase in beta is positively correlated with firm size. There is no evidence that movement within or across rating categories, the number of grades changed, or a change across the investment grade category have a differential impact on the change in b
ISSN:0732-8516
DOI:10.1111/j.1540-6288.1992.tb01334.x
出版商:Blackwell Publishing Ltd
年代:1992
数据来源: WILEY
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