摘要:

AbstractRisk exposure is a central issue in the continuing debate over the wisdom of allowing bank holding comapanies to expand into nonbank activities. This paper examines the relation between bank holding company (BHC) risk and the composition of nonbank assets. The empirical evidence indicates that risk is negatively associated with the mix of BHC assets in permissible nonbank subsidiaries. The negative association between BHC risk and the mix of permissible nonbank activities appears to have positive implications for future deregulation.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01296.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThe optimal gap of a depository institution is derived using a market value optimization model. The gap is estimated using portfolios of returns on rate‐sensitive assets and liabilities and is found to be not significantly different from zero. The estimate is compared to the average gap position of a sample of banks. It is found that the average gap position of a sample of banks is “too positive.” This suggests that banks are not showing risk minimization behavior in the positioning of th

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01297.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractIn creating shareholder value, one objective of management is to increase the speed of cash inflows and reduce the speed of cash outflows. To accomplish this task, management must understand the relationships that cause accounts receivable and accounts payable to change. The paper expands a receivable monitoring model by Gentry and De La Garza to incorporate the causes of changes in payables. Several examples are developed to show the operation of the model. The three primary contributions of the paper are (a) developing algorithms that measure the causes of changes in payables, plus an interpretation for each set of conditions; (b) showing that a present value approach to monitoring payables is superior to a recommended accounting approach based on variance analysis; (c) finally, presenting an approach for ranking the performance of payable and receivable strategies.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01298.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study empirically tests rational pricing conditions applicable to American gold spot and futures options. A number of ancillary pricing relations also are tested. Transactions data supplied by the Montreal Stock Exchange and the New York Commodity Exchange are used in these tests. Arbitrage trading strategies designed to exploit violations of these conditions also are provided. The results indicate potential intermarket inefficiency: a substantial number of violations of a condition applicable to call options are found, and most of these violations are sufficient in magnitude to cover the relevant transaction costs of arbitrage.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01299.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractWhether or not trading with technical analysis is profitable is a controversial topic. This study seeks to add to our knowledge about this controversy by providing a comprehensive test of the profitability of technical trading systems. Trading is simulated for 23 trading systems on 30 futures markets for 11 years. All but two trading systems had significant gross returns. Thus, the results strongly reject the random walk model and suggest that disequilibrium models more appropriately describe daily futures prices. Although returns were less than expected by many users of these systems, several systems did generate returns significantly above transaction costs. The result for net returns are not conclusive, but they suggest there may be causes of disequilibrium beyond transaction costs. No conclusion is made about market efficiency since possible causes of disequilibrium beyond transaction costs exist.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01300.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study uses the discrete‐time option pricing model for the evaluation of the firm's inventory decision under demand uncertainty. The paper establishes the following optimal inventory decision implications: the optimal order quantity is positively related to the product selling price, product salvage value, interest rate, and the size of the outstanding orders; and negatively related to the product cost. The effect of demand uncertainty on the optimal order quantity is shown to be ambiguous. This study also shows that the maximum present value of profit from the contingent claims approach can be substantially different from that of the modified standard newsboy proble

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01301.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThe purposes of this study are to measure the wealth effects of international joint ventures on the U.S. firms' shareholders and to determine whether these effects are related to the economics status of the partner's home country. The results indicate that overall investor reactions to joint ventures with foreign firms are negative and that only joint ventures with firms from lesser developed countries have nonnegative effects on shareholders' wealth. These findings are in contrast with previous reports of positive stock price reactions to both dimestic and international joint ventures.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01302.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper develops a dividend discount model that will allow as many growth stages as desired. The model is directly applicable to most common stocks in that quarterly dividends are assumed and you need not be on a dividen payment date. The equation is easily programmed into a computer and is computationally very fast. The Newton‐Rhapson algorithm is suggested as a means for estimating the required rate of retur

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01303.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis note provides a correction to Taylor's 1988 work on the valuation of semiannual coupon bonds between interest payment dates. It shows that the discrepancy in values between Taylor's model and the standard Wall Street pricing formula is much smaller than indicated by Taylor and is unlikely to generate opportunities for arbitrage profits.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01304.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY