摘要:

ABSTRACTThis paper provides additional evidence on the usefulness of duration as a strategy tool by developing a two‐factor duration model and by using a reasonably reliable database to compare empirically the relative performance of maturity, one‐factor duration, and two‐factor duration matching strategies in immunizing portfolios of default‐free and option‐free bonds against interest rate risk. The results suggest that, on average, duration models, even for arbitrarily assumed simple stochastic processes, are more accurate than maturity models and that increased accuracy may be achieved by increasing the length of the planning period and the number of factors in

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00761.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis study examines security price reactions to the adoption of new‐issue dividend reinvestment plans. The sample is broken down into three subsamples: nonutilities, utilities adopting plans prior to May 1981, and utilities adopting plans after July 1981. For the nonutility corporations, no significant market reaction is observed. The utilities adopting prior to the change in the tax law experience a negative reaction the day following registration for the plan. Corporations adopting after July 1981, whose dividends receive preferential tax treatment, experience abnormal returns significantly greater than those of the utilities without preferential tax treatmen

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00762.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the impact of mergers on the alphas and betas of actual merged firms compared to those of the homemade mergers an investor could have created by buying proportional shares of the two firms. The results provide some evidence of merger synergy. Where alpha and beta shifts were observed, the evidence did not indicate that either the relative size of target firms or concurrent capital structure changes were related to these shifts as current theory suggests. There is weak evidence that nonconglomerate mergers were more frequently synergistic.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00763.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTUsing Eurocurrency deposit interest rates, currency exchange rates, and inflation rates in a mean‐variance portfolio analysis, the authors develop portfolios of interest‐bearing deposits in London banks denominated in various currencies. These easily constructed multicurrency portfolios are shown to provide better risk‐return positions than comparable single currency hol

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00764.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThe objectives of this study are to determine (1) when the stock market first perceives the impending bankruptcy of a potentially bankrupt firm and (2) what firm‐specific factors explain the interval between the perception time and the eventual date of bankruptcy (i.e., market lead time). A computational methodology based on the Hillmer‐Yu technique is used to determine the month in which a structural change in the mean and variance of monthly stock return occurs for a potentially bankrupt firm. This parametric change month or the “market perception time” is computed for a sample of 47 industrial firms. The range of market lead times cautions against the common assumption of a uniform event period in event studies. The lead time interval (for both the mean and variance of monthly market return) of poteintially bankrupt firms is found to be positively related to the firm's earnings per share at the time of stock market perception of eventual bankruptcy. Neither the firm's asset size nor systematic risk appear to be significant indicators of lead time interval. Also, change in investment at market perception time is positively related to percentage change in the market lead times. This suggests that innovations in the investment variable are a source of new information to the security market in assesing the probability of future bankruptcy of

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00765.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThrough the examination of one commodity contract, soybeans, and one financial contract, U.S. Treasury bonds, the authors test to determine (1) whether mean rates of return during trading times differ from mean rates of return during nontrading times; (2) whether mean returns during trading times and nontrading times differ by day of the week; (3) whether trading time returns differ significantly from previous nontrading time returns; and (4) the extent to which trading and previous nontrading returns are correlated. In addition, the authors empirically examine a possible explanation for the results obtained.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00766.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper utilizes an event study methodology to investigate the effects of deregulation on carriers' shareholders. This methodology compares the expected returns during a time period surrounding a particular event with actual returns during the same time period. These differences are referred to as prediction errors. The study investigates the prediction errors associated with individual trucking firms, as well as those associated with groups composed of regional carriers, national carriers, and the aggregate sample of firms used in the study. The results suggest that the passage of the Motor Carrier Reform Act on July 1, 1980, halted a serious 18‐month downward trend in the aggregate sample's cumulative prediction error. Nearly all firms showed significant gains in the 18 months subsequent to deregulation. Using two control groups, the authors show that a large portion of this gain from the industry sample can be explained by lower and more stable fuel prices and a sharp upturn in the economy. The results also indicate that due to deregulation, the large regional trucking firms were able to outperform the small regional firms and the national firms in the more favorable economic environment present after deregulatio

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00767.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTIn this note, the author identifies a correspondence relationship between the Baumol‐Tobin (BT) and Miller‐Orr (MO) optimal cash balance frameworks and specifies the conditions under which both models imply the same level of optimal cash balances. Realistic applications of these models will concern net cash flows that exhibit behavior somewhere between the two extremes of BT entirely deterministic and MO completely random. The author demonstrates that if the correspondence relationship is satisfied, either the BT or the MO cash balance model can be employed since both models imply the same result. One conjecture open for empirical verification is that cash balance models perform more (less) adequately for groups of firms that satisfy (violate) the correspondence relations

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00768.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTIn this paper, the author points out that over a decade ago E. Norman Bailey identified the marginal‐efficiency‐of‐capital (MEC) function as erroneous and argued that revisions in capital budgeting theory and teaching were necessary. The author develops more fully the arguments against the function and offers the theoretically correct MEC function. The development of the correct MEC function is a straightforward application of basic price theory; however, this application requires that the capital of the firm be viewed as a collection of complementary resources, in addition to its role as an income‐producing inv

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00769.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis note demonstrates that a statistical error (e.g., due to pricing error) made in valuing an investment fund at the time of an intra‐period contribution leads to an error in calculating the period's total return, even if the fund was valued correctly at the beginning and end of the period. On average, even if the valuation error is distributed randomly with mean zero, the fund's performance will be biase

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00770.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY