摘要:

AbstractThis paper examines the valuation and financial histories of 152 British firms that have two or more common share classes with differential voting rights outstanding at some time between 1955 and 1982. Over 16,000 monthly price pairs are examined, and on average, the superior voting (SV) shares market prices exceed those of the otherwise equivalent class of restricted voting (RV) shares by 13.3 percent. Liquidity factors, if anything, attenuate this result since RV shares trade much more frequently than SV shares. Forty‐three of the sample companies are acquired while they have multiple share classes outstanding, and a higher price is paid for the SV share class than for the RV share class in 37 cases. The SV share price premium is found to be positively related to insider holdings of SV shares and negatively related to insider holdings of RV share

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00791.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study investigates the relationship between over‐the‐counter dealers' adverse selection costs and alternative measures of the earnings release signal to evaluate the quality of the signal. The measure of the earnings release signal most associated with dealers' adverse selection costs is suggested as being the least noisy measure of the information impounded in security prices during earnings release periods. The results suggest that the seasonal Box‐Jenkins earnings expectation model known as the Brown‐Rozeff “premier” model generates the signal most consistent with the information impounded in security prices during earnings rele

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00792.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractAlthough there is considerable evidence of the importance of skewness and kurtosis in equity returns, much less attention has been paid to their determinants. Recent theoretical and empirical advances in the literature suggest that the information structure and other market characteristics affect the nature of return distributions. One such characteristic is the degree of institutional ownership in the stock. This study hypothesizes and documents a significant inverse relationship between the degree of institutional ownership and the standard deviation, skewness, and kurtosis of equity returns.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00793.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study examines the pattern of stock price behavior for a sample of 71 firms that moved from NASDAQ and NASDAQ/NMS to the American Stock Exchange (AMEX) between 1982 and 1987. The study tests the liquidity gains hypothesis, which states that investors expect liquidity gains for the less liquid over‐the‐counter stocks but not for their more liquid counterparts after their listing on the AMEX. The results support the hypothesis by showing a significant difference between the two groups of stocks on the day the AMEX announced approval of the listing. Thus, companies with low liquidity are the largest beneficiaries of listing. The evidence provides little support for the anomalous negative pattern of returns during the post‐listing period reported in previous st

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00794.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThe proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous testes of the proxy hypothesis have used actual values instead of forecasted values for the real activity variable. Using only forecasted variables, our results do not support the proxy hypothesis.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00795.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper examines the announcement effects of CreditWatch placement and reratings upon a sample of preferred stock issues that were placed on CreditWatch and later rerated or affirmed by Standard&Poor's. Results indicate that CreditWatch provides information to market participants and may have reduced the surprise associated with subsequent reratings. CreditWatch placement may be an erroneous signal, however, since nearly 50 percent of the issues placed for negative reasons were not downgraded, but affirmed, upon removal from Credit Watch.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00796.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractStudies of ex‐dividend day behavior have detected dividend‐clientele effects. The ratio of the ex‐day price drop to the dividend is typically less than unity and correlated with dividend yield. The tax‐clientele hypothesis attributes these effects to personal taxation. This study shows that, when studied separately, neither utilities nor nonutilities exhibit the correlation between yield and ex‐dividend day price drop predicted by the tax‐clientele hypothesis. Only by combining utility and nonutility data are the traditional correlations observed. Results are consistent with some sort of dividend‐clientele effect but are inconsistent with t

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00797.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractAn empirical model incorporating the Friedman inflation uncertainty hypothesis is evaluated on capital asset pricing in conjunction with the covariance effect of the Fisher inflation hypothesis. The Fisher‐Friedman capital asset pricing empirical model (FFCAPM) is compared to the capital asset pricing model (CAPM) and the Chen‐Boness (C‐B) model for explanatory power and significance over three periods. The FFCAPM performed better than the two competing models in explaining the variation in equity returns. The Friedman hypotheses of a positive economy‐wide inflation adjustment and a negative inflation uncertainty impact are supported. A firm‐specific inflation response of Fisher inflation covariance was also supported. These results indicate that empirical support for the Fisher effect may be limited given the normal testing procedure of simply adding an inflation term as in previou

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00798.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study examines the effects of the Argentinean debt rescheduling announcement on the equity return levels of several large U.S. commercial banks. The empirical evidence suggests that the equity prices of sample banks immediately reflected the relevant information associated with the announcement. However, the market was unable to discriminate among banks on the basis of exposure to Argentinean loans.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00799.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper analyzes the impact of issue costs on firm investment and dividend policies within the context of the two‐period Fisher model. Consistent with its pedagogical tone, the paper illustrates graphically the loss in value stemming from a high dividend payout by a firm subject to issue costs in its external financing. Two components compose the overall loss in value. The “substitution effect” results from a shift in the investment opportunity set, while the “wealth effect” stems from the loss in value owing to issue costs. The paper suggests that the firm, when increasing its dividend payout, must weigh the marginal loss in firm value against the offsetting benefits, which may take the form of reduced monitor

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb00800.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY