摘要:

ABSTRACTThis paper utilizes standard cumulative residual analysis to study the response of stock prices to completely unanticipated events—fatal commercial airline crashes. Results indicate that the immediate negative reaction to fatal airline crashes is significant for only one full trading day after the event occurs. Hence, the market appears to assimilate the new information rapidly, even if the crash occurs in a remote geographic location. The paper also considers market response after the initial reaction period by assuming that the actual cumulative average residuals are drawn from the same distribution as the pre‐crash base period and by calculating the probabilities that observed changes would occur. Results provide no evidence that underreaction or overreaction appeared in the initial response period. The hypothesis of complete, immediate adjustment is also supported by a repetition of the analysis on the subsample of airplane crashes where the greatest potential loss occ

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01258.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper investigates the question of optimal portfolio liquidity in a personal financial planning framework. The difficulties encountered in answering this question are discussed, liquidity is defined, and a variety of motives for maintaining liquidity are examined in depth. The major thrust of the paper is the development of a theoretical model of liquidity needs, which is then simplified in a stepwise manner through the inclusion of cash substitutes, need interdependence, and other devices. It is concluded that a significantly reduced liquidity needs model is hypothetically possible, permitting the planner to think in terms of substantially smaller client cash balances.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01259.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTFinancial models usually proceed “as if” aggregation across heterogeneous financial intermediaries suppresses little information. The presumption is that the relevant set of relative yields remains essentially constant over time across intermediaries. Drawing on the fact that objective functions differ across intermediaries, we present theoretical evidence and data that question standard practice and suggest proceeding “as if” such differences exist and

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01260.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis study examines the relationship between corporate diversification and financial performance. The use of a stock market based measure of diversification allowed a much larger database than in previous studies and overcame the subjective nature of measuring internal diversification. Because previous researchers found that firm size affected performance, size was controlled in this analysis. The authors conclude that there is no statistically significant relationship between the degree of internal diversification and financial performance.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01261.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper investigates the impact of the presence of Treasury bill (T‐bill) futures market contracts on the primary auction price of deliverable T‐bills. Of the 52 weekly three‐ and six‐month T‐bill auctions, only four are deliverable against the T‐bill futures market contract. This unique ability to deliver may command a premium price in the primary market. The results of this study support this hypothesis with regard to the six‐month auction but are inconclusive with regard to the three‐month auction. Furthermore, there is some evidence that the 1983 rule change making the one‐year T‐bill a deliverable instrument reduced the size of the premium in the six

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01262.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper presents empirical test results of alternative hypotheses regarding differences in returns to shareholders of bidding firms that choose different payment methods (cash or securities). The evidence is consistent with the payment method signaling hypothesis, which asserts that when management of the bidding firm believes its own stock to be overvalued (undervalued), securities (cash) will be the preferred payment method. The results are not consistent with either the overpayment hypothesis or the present value/hubris hypothesis. The findings also explain the conflicting results reported in prior work on gains to bidding firms.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01263.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis study reports evidence on the wealth effects of bidders and targets involved in Canadian corporate acquisitions. It then examines whether wealth changes at the announcement time are consistent with the hypothesis that the payment method is a surrogate signal for bidder management's beliefs regarding the value of its firm. The findings support the value‐maximizing hypothesis and indicate a stronger performance for both bidders and targets in cash takeovers than in acquisitions involving an exchange of securities—in accordance with the existence of asymmetric information and the tax effect resulting from the payment met

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01264.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis study provides an empirical test of the informational efficiency of the stock market by exploring the stock price and volume patterns exhibited by Chrysler, Ford, and General Motors around the time of announcement of severe automotive recall campaigns. Because information concerning automotive recalls is released to the public via two distinct methods, which differ only with respect to the number of market participants notified of the recall campaigns, a differential performance analysis of stock returns and trading volume around both events provides evidence of the degree of informational aggregation in the stock market for three closely followed U.S. firms. The results of the study fail to support the definitional notion of informational efficiency with respect to the first public release date of severe recalls, as the vast majority of the stock market's response to recall announcements does not occur until the information is reported to all market participants. Further, tests of differential trading volume around the announcements suggest that some members of the financial community may be trading securities on the basis of the information contained in the first public announcement.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb01265.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY