摘要:

AbstractThis paper shows that the components of uncertainty about nominal interest rates, real‐rate uncertainty and inflation uncertainty, have different effects on the liquidity premium. An increase in inflation uncertainty should increase the equilibrium liquidity premium because investors reduce the effect of inflation uncertainty on the riskiness of their portfolios by holding more short‐term bonds. In contrast, an investor can reduce the effects of uncertainty about future ex‐ante real rates on portfolio return by matching more closely the maturity dates of the bonds held with the date on which the portfolio is to be liquidated for consumption purposes. Thus, the effect of an increase in real‐rate uncertainty on the equilibrium liquidity premium is ambiguous, depending on the relative magnitudes of long‐term and short‐term saving and the proportions of short‐term and long‐term bonds issued by

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00391.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe primary purpose of this paper is to consider both qualitatively and quantitatively the effects of refunding transaction costs and interest rate uncertainty on optimal refunding strategies and the market value of corporate debt. A dynamic model of corporate bond refunding with transaction costs is developed that simultaneously solves for the optimal refunding strategy, the value of the refunding call option, the value of the bond liability to the firm, and the market (investor) value of the fixed‐rate contract. We provide examples in which the price of the callable bond does exceed the call price, and we examine whether or not typical levels of refunding costs are sufficient to explain the magnitude and duration of frequently observed premiums on callable corporate bond

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00392.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper derives estimators that measure the impact of foregoing an opportunity to call convertible debt and the call announcement effect on the value of the firm. The results indicate that positive abnormal returns are associated with foregoing a call, and returns are negative upon the announcement of the call. These results are consistent with Harris and Raviv's hypothesis that managers with favorable information delay their calls and will call the debt if and only if their information is unfavorable.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00393.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractTo date, little attention has been devoted to the relationship between the transactions of corporate insiders in the periods preceding corporate dissolutions and the form of dissolution taken. This study examines the transactions of corporate insiders preceding two forms of dissolution: bankruptcy and voluntary liquidation. The evidence suggests that prior to voluntary liquidations corporate insiders have been heavy net purchasers of their firms' shares. In contrast, heavy selling by corporate insiders was observed for a sample of firms that filed for bankruptcy.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00394.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis research investigates common equity price reactions to announcements of limited partnerships (LPs) in which parent firms retain general partnership interests. On average, prices react positively to these announcements, which suggests that creating LPs is a marginally effective method of separately financing investment projects. This study provides evidence that the systematic variation in prediction errors across announcements is positively related to the percent ownership retained in the LP by the parent, which suggests that ownership retention signals information about the value of the LP, the costs of controlling the LP, and the amount of external financing needed for the LP.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00395.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe value to investors of the information provided by the Value Line Investment Service has been the subject of discussion for many years. This paper examines the information content of the recommendations made by the Value Line Special Situations Service to buy (sell) specific stock issues. The advice given by Value Line generates significant abnormal returns to shareholders near its release date. However, when the price response over longer periods is considered, the effect of the recommendations appears to be transitory. Further, there appears to be no difference in the overall price response between listed and over‐the‐counter securit

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00396.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper employs the optimality conditions for expected utility and mean‐variance portfolio problems to examine the ambiguities associated with the security market line criterion both at a point in time and through time. At a point in time, we show that the security market line criterion can be irrelevant, even in meanvariance economies. In a multiperiod setting, we show that the analysis of performance based on portfolio choice is inconsistent with the analysis based on return generating models. Empirical work suggests that the inconsistency can lead to dramatically different estimates of a security's required retur

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00397.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. Our results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00398.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY