摘要:

AbstractCatastrophe theory (CT) is a mathematical theory that attempts to describe a system exhibiting discontinuous behavior under continuous stimuli. Although CT has been used to describe corporate bankruptcy, this is an application that has not been tested. This paper reviews CT and provides such a test. We construct a time series of stock returns on companies that have filed for Chapter 11. Under certain, frequently occurring conditions, CT would predict a structural shift in firm stock returns as the data of filing is approached. Results confirm that such a shift does occur and in a way consistent with the CT prediction. Our findings both support the use of CT to describe corporate bankruptcy and raise questions about some techniques frequently used to study bankruptcies.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00374.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe tax and inflation effects on the abandonment and replacement policies are examined for capital assets. The tax effect is shown to defer abandonment for some classes of assets while the asset duration is shortened for others depending on the characteristic of the marginal rates of return of extending asset life. Moreover, inflation may increase or decrease the asset duration depending on the rates of inflation growth of asset nominal cash flows and abandonment value and depending on the relative benefit of asset abandonment. In addition, the Fisher hypothesis of constant real returns relative to anticipated inflation is also examined in the case of asset abandonment and replacement. The results derived for a single cycle of replacement carry over to the replacement policy in an infinite cycle of replacement.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00375.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe basis between a futures contract and its underlying instrument is an important measure of the cost of using the futures contract to hedge. In a cross‐hedge, the relative size of the basis of alternative hedging vehicles often plays a decisive role in the selection of the optimal hedging vehicle. After adjusting hedge ratios for basis risk, a genuine risk‐cost trade‐off is seen in hedging 90‐day certificates of deposit with either the Treasury bill contract or the Eurodollar contract. The Eurodollar contract was not uniformly superior as generally b

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00376.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractIn this study, we investigate the return behavior of bond investment company initial public offerings (IPOs). Samples of these IPOs collected for the periods 1973–1976 and 1986–1987 exhibited negative returns to investors. The findings are in contrast to those usually reported for IPOs but are consistent with those recently reported for equity investment company I

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00377.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractDirect costs of bankruptcy are measured for a sample of firms in the trucking industry that petitioned for bankruptcy protection from 1970 to 1985. Average direct bankruptcy costs represent 9.12 percent of the book value of total assets as of the year before filing. These costs are large compared with those reported in prior studies: 3.39 percent of book value of assets for retail firms, 4.31 percent for industrials, and .53 percent for railroads. We also find evidence of substantial economies of scale in bankruptcy costs in the trucking sample.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00378.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper investigates the seasoning process of yield spreads between newly issued and seasoned 30‐year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. We attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bond

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00379.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractA substantial body of literature on security market anomalies has evolved since the articulation of the efficient markets hypothesis. These anomalies include the size, January, and weekend effects. The evidence of such anomalies has been based upon returns computed from closing prices. Although readily available, analysis of closing prices may not reflect returns obtainable by public traders utilizing market orders to execute trades. We have demonstrated elsewhere that returns computed from closing prices are biased upward compared with returns that would have resulted from using market orders. This study reexamines the evidence on two market anomalies using returns generated in a manner more consistent with the actual returns available to actual market participants.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00380.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe interaction of interest rates and corporate earnings over the economic cycle generates stock price movements. These movements are captured in the present valuation context. Superior returns are observed when long‐term asset allocation techniques are applied to the mode

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00381.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY