摘要:

AbstractConventional event study methodologies that require a stationary return generating process are generally not applicable to option studies because options are known to have constantly changing risk‐reward characteristics over time. Nevertheless, this paper attempts to analyze call price behavior in response to earnings and dividend surprises using the mean‐adjusted return method and the cumulative sum method; both methods assume stationarity. With proper risk‐neutralizing modifications along with careful specification of the test design, we were able to overcome the difficulty of such time‐dependent methodologies. The empirical results show the robustness of the method across calls of different maturities and exercise

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00346.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper empirically investigates Ross's cash flow beta theory of capital structure. Ross hypothesizes that, for firms of similar cash flow variance, there will be an inverse relationship between financial leverage and cash flow beta. This paper provides empirical support for Ross's theory, though the extent of the support depends upon the sample period and the leverage specification.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00347.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractIn a market setting with perfect information, a consumer recognizes that he can influence the state‐contingent returns, and hence the pric, of his risky debt by the decision variables that determine the collateral and promised payments. This paper examines the effect of bankruptcy laws on the feasible consumption opportunities of borrowers and lenders in order to determine the necessary requirements for the bilateral debt market to be perfectly competitiv

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00348.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThe study considers a broad range of accounting information and ratios for a group of small and large companies from 1965 through 1980. It seeks to answer the following questions: Are the financial ratios of small companies significantly different from those of larger companies? Are these differences commensurate with relative stock market performance? What are the implications for investors who may wish to invest in small companies, either individually or through mutual funds specializing in the stock of small companies?

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00349.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractDeposit interest rate deregulation and financial service innovation have led to dramatic changes in large banks' deposit composition. This paper presentes a statistical cost analysis of changes in unit costs faced by banks under comprehensive financial deregulation. The results of this paper show that the unit cost of retail deposits‐demand and passbook savings deposits‐has increased relative to wholesale deposits‐federal funds, certificates of deposit, and money market time deposits. We show, contrary to conventional wisdom, that changes in unit costs have been caused by processing costs rather than by interest exp

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00350.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976–1983 period to determine whether banks' exposure to interest rate risk increased as a result of increased interest rate volatility and financial deregulation. The major findings are that banks changed their risk management strategies after 1979 and that total exposure to interest rate risk remained quite smal

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00351.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper attempts to reconcile the conflicting results reported in prior interest rate sensitivity studies that utilized the stock returns of financial institutions. By analyzing the interest rate elasticities during different interest rate cycles and adjusting for different monetary policy regimes, this paper suggests that sample period effects rather than methodological differences account for the conflicts presented in previous studies. More specifically, the empirical results indicate some asymmetrical interest rate sensitivities during various interest rate cycles. For example, the stock returns of savings and loan institutions were found to be more sensitive to falling interest rates. On the other hand, the stock returns of banks appeared to be more responsive to rising interest rates. Consequently, any attempt to employ models utilizing aggregated data either for policy making or to construct portfolio strategies will result in time aggregation bias and misguided decision making.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00352.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractBecause of severe technical difficulties, the U.S. government was unable to repay investors in Treasury bills (T‐bills) in late April through early May, 1979. This incident led to a 60 basis point increase in T‐bill rates at the initial occurrence of the default. Unlike other information effects of that era, such as Henry Kaufman's predictions or Paul Volcker's “Saturday night special,” this increase in rates was not offset by a subsequent decrease in rates after the Treasury cured the default. The default apparently warned investors that Treasury issues were not completely riskless, which translates into a $12 billion annual increase in federal interest payments as a result of the 60 basis point permanent increase in interes

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00353.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, it is shown that the early resolution of uncertainty improves the welfare of an investor who has utility defined over his intertemporal consumption. This result arises because the early resolution of uncertainty permits the investor the additional flexibility of rearranging his initial consumption. In contrast, if the investor has utility for terminal wealth, there is no effect on his portfolio behavior from the early resolution of uncertainty.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00354.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, the relationship between the investment performances of equity securities and their price–earnings ratios is examined using an approach similar to the one employed by Basu in a 1977 paper. From the tests, we conclude that, from 1979 through 1984, there were some moderate excess rates of return earned by selecting stocks based on their price–earnings ratios but that these excess rates were not obtained from investing in low price–earnings s

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00355.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY