摘要:

AbstractThis paper contains a review and synthesis of the theoretical research that has examined the corporate determinats of systematic risk (beta). By delineating the underlying assumptions and by using a consistent notation to summarize the research results, this review is designed to facilitate the beta assessment efforts of financial managers, investment analysts, and academic researchers.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00337.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThe observed pricing of when‐issued securities would seem to violate the law of one price in financial economics. Generally, when‐issued shares sell at a premium over the original shares during the short time when both are traded. This paper examines whether this observed premium could be due to a nonsynchronous trading problem, to the intensity of trading, to the exchange on which the shares are traded, to whether the shares are traded pre‐or‐post ‐negotiable commissions, or to the nature of the demand for when‐issued relative to the price setting of the specialist. Results indicate that most orders for when‐issued securities are buys, that these orders typically take place at the specialist's ask price, and that accounting for this trading mechanism explains the positive premium on when‐is

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00338.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThe variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one‐half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different of the change do not appear to be strongly related to the trading frequency of the stoc

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00339.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this “intervaling effect” on log returns is shown to be incorrect, and the correct effects are derived. While Hawawini only considered log returns, we also derived the intervaling effect on the skewness and kurtosis of “simple” returns. Our results show that the length of differencing interval has very different effects on log and simple returns, but in both cases the effects on the returns' skewness and kurtosis are substantial and also quite tractable. These results also enable us to reconcile some of the contradictory results published earlier on the intervaling

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00340.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractRecent Canadian data on large insider transactions showed that abnormal gains accrued to directors and bank directors during a stock market upturn. During a stock market downturn, beneficial owners, senior officers, and bank directors were compensated by more than the risk‐adjusted rates of return from sales of stocks of their own companies. Since Baesel and Stein's early study, abnormal gains persisted in spite of the introduction of stiffer penalties on insider tradin

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00341.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractDiversification of banks and bank holding companies into nonbank product lines may reduce the risk to banking returns or cash flows provided appropriate portfolio conditions are satisfied. This study of bank and nonbank financial‐service firms and nonfinancial corporations over the 1966–1985 period finds evidence consistent with the proposition that individual banking firm risk may be reduced through selected product‐line diversification, particularly in the insurance and data processing fields. Moreover, there is evidence of less cash‐flow sensitivity of selected nonbank product lines to exogenous economic and financial‐market variables compared to banking firms. While public policy continues to insulate banking firms from most nonbank product and service lines, the potential benefits of risk reduction suggest that a careful review of current policy

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00342.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractRecent studies find that stock price reacts only to unanticipated changes in the money supply. These studies assume a joint hypothesis of rationality and efficiency in their tests. This paper formulates a model in which stock price depends both upon anticipated and unanticipated money supply forecasts. From this model, an econometric model that separates the hypotheses of rationality and efficiency is estimated. The results show that investors rationally incorporate forecasts of the weekly current money announcement into stock price during the pre‐October 6, 1979, sample period. However, efficiency with respect to money information cannot be corroborated in this period. Cross‐equation restrictions implied by rationality are rejected during the post‐October 6, 1979, period. In this period, efficiency again cannot be corroborated. Alternative money prediction specifications indicate the robustness of these re

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00343.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractA beta regression model is proposed where the coefficients follow a general class of stationary stochastic processes. The procedure identifies the process and estimates the parameters of the model simultaneously from the information contained in the return series. The returns of each of the Dow Jones 30 securities are examined. Betas of 5 of the securities are nonstationary and do not appear to follow a particular form of nonstationarity. Conclusions of many earlier studies may be suspect since they are based on procedures tailored to adoption of a specific form of beta nonstationarity and, thereby, based on an erroneous a priori assumption regarding such form. The ordinary least squares model is also found to be quite robust, providing reliable beta and intercept estimates not materially different from the more complex procedure with 25 of the return series.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00344.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper reexamines the regression tendencies of beta. We show that common assertions in the literature about regression tendencies go well beyond the facts established by Blume. We analyze betas during the 1926–1985 period and examine the tendencies of betas to change. Extreme betas do tend to move toward the mean. However, betas near the mean in one period tend to move away from the mean. As a result, the distribution of betas is approximately stationary over tim

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00345.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY