摘要:

ABSTRACTIn this paper, we show that estimating the correlation structure of domestic share prices via the Overall Mean method cannot be considered universally superior to estimation at the Full Historical level for all countries. Specifically, the Japanese data show that the Full Historical Model outperforms the Overall Mean Model in forecasting accuracy, while the opposite is true with the U.S. data. We derive a Composite Model that analytically explains this contrasting result. The Industry Mean Model, which allows for efficient ex ante portfolio selection via a simple algorithm, is likely to be the best forecasting model applicable to both the U.S. and Japanese stock markets.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01277.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTPricing models for options on default‐free coupon bonds are developed and tested under the assumption that the bond prices, rather than interest rates, are the underlying stochastic factors. Under the assumption that coupon bond prices, excluding accrued interest, follow a generalized Brownian bridge process, preference‐free, continuous‐time pricing models are developed for European put and call options, and a discrete‐time model is developed for American puts and calls. The empirical validity of the models is assessed using a six‐moth sample of daily closi

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01278.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the over‐the‐counter (OTC) market activities for stocks temporarily suspended by the New York Stock Exchange (NYSE). Unlike previous studies, we use transaction‐to‐transaction data on the NASDAQ during NYSE trading halts to investigate the price adjustment process between market equilibria. The evidence indicates that while being halted by the NYSE, the same stocks have exhibited significantly greater volatility in the OTC market. Since the volatile price movement is mainly random and provides no arbitraging opportunities for the OTC market traders, we do not find support for the proposal that trading halts should be mandatory for all trading lo

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01279.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper develops a varying parameter econometric model that estimates the cost of equity ofindividualutility firms from 1971 to 1985. The equity costs estimated in this framework can be analyzed in terms of their statistical precision. The paper also examines, theoretically and empirically, the relationship between the econometric estimates of the equity risk premiums and the risk‐free interest rates. The data do not support the hypothesis that risk premiums are independent of interest rates. Also, the relationship appears to vary over time. These results invalidate the risk premium approach in which equity costs are estimated by adding a constant, historical average risk premium to the prevailing interest rate

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01280.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper investigates the role of insider trading as an explanation for the observed pre‐announcement price run‐ups for takeover targets. We hypothesize that if insider trading is a significant contributor to such price run‐ups, then observed run‐ups should be smaller for takeovers occurring after May 1986 (the beginning of the “insider trading scandal”) relative to those occurring prior to May 1986. The evidence suggests that insider trading is not, on average, a significant contributor to pre‐announcement

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01281.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThe wide range of reported abnormal returns to target‐firm shareholders has recently encouraged several researchers to investigate the determinants of the magnitude of these returns. This paper extends the work of these authors by presenting and testing a model of the premium paid to target‐firm shareholders in completed corporate acquisitions. The model examines the premium as opposed to the more traditional abnormal return to focus on those factors that might be considered by a bidding‐firm's management in the formulation of its offering price. The study also contributes to the corporate control literature by examining a larger data set than previous studies (748 acquisitions that occurred between 1964 and 1983), by examining variables that have not been examined in previous studies, and by examining interactions between vari

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01282.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTPast studies on the impact of bond rating changes have focused on bonds or stocks and the information content of rating change announcements. This paper examines both bonds and stocks and investigates the wealth redistribution effect as well as the existence of information content. The results imply that information content of “bad’ news dominates firm downgradings, while the wealth redistribution effect dominates firm upgradings. Furthermore, this study attributes the lack of information content for bond upgradings to the offsetting effects of wealth redistribution and information cont

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01283.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis study provides new and efficient estimates of scale economies in banking. Recent criticism of the incorrect specification of homogeneity restrictions on the translog cost functions is addressed, and correct estimations are provided. The results indicate that such misspecifications do affect measures of scale economies. The study covers 1980 to 1983 for unit and branch banks. The estimation is further enhanced by introducing factor share equations invoking Shephard's lemma and using an iterative Zellner procedure. The results fail to indicate scale economies for the overall sample. Some evidence of small degrees of scale economies is observed in parts of the sample.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01284.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper is the first to provide evidence on the pricing of initial public offerings of master limited partnerships (MLPs). A sample of fifty MLP offerings from January 1983 through July 1987 is analyzed. No significant underpricing (or overpricing) is found for the sample taken as a whole, although some slight overpricing is found for certain industry subsamples. These findings are in sharp contrast to the pervasive evidence from previous studies that document significantly positive initial returns for common stock initial offerings.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb01285.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY