摘要:

Abstract:This paper applies the rationality concept and expectations hypothesis to test the information efficiency of the term structure of the New Zealand bank bill market. Weekly data is collected from June 1986 to November 1988. The sample period is partitioned into two subperiods by the sharemarket crash in October 1987.The empirical results suggest the presence of a time varying risk premium. This is reflected by the significantly positive volatility measure in the first subperiod and the significant interest rate level variable in both subperiods. The forecast errors correlate significantly with the growth in money supply and overseas interest rate variables. Factors other than market information inefficiency could be responsible for the significant correlation; namely the impact of the sharemarket crash on market perceptions about inflation expectations and the non‐simultaneous data problem in calculating the differential costs of borrowing.Despite the rejection of the joint hypothesis, forward rates are found to have information about future spot rates beyond that contained in past spot rates, and are able to predict interest rates at least 30 days ahea

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00160.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:The futures option contract on the Australian All Ordinaries Share Price Index is a relatively new hybrid security that ought to enhance the richness and potential efficiency of security markets. This paper considers the problems of valuing it using the theoretical price of a futures‐style option. It was found that there was little consistency between theoretical prices using a number of historical estimates and observed market prices, either intertemporally or between in‐the‐money or out‐of‐the‐money calls. Further, implied volatility was found to be a decaying function of time and, except at times of instability, did not predict the ex ante futures volatility as well as historic

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00161.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:This paper examines the association between the timeliness of the half‐yearly report for Australian firms and the abnormal stock price behaviour around the time of the announcement. The results support the overseas evidence that reports containing ‘good’ news are released earlier than reports containing ‘bad’ news. The abnormal returns are consistent with the direction and magnitude of the earnings and dividend information. We find no evidence to support the Kross and Schroeder [1984] conclusion that timeliness per se is associated with abnormal returns once appropriate control is made for earnings/dividend in

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00162.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:Contributing shares, which are only partly paid initially, entitle the holder to a pro‐rata call on the firm's assets. Subsequent payments, if and when made, convert the contributing share into a full ordinary share. This right to convert effectively may reside with different players in various cases. The valuation of contributing shares is developed in the three cases of a fixed obligation to convert, the option to convert is held by the firm and the option to convert is under the control of the contributing shareholders themselves, such as possibly when the contributing shares are held by board members. The valuation is given in closed form solutions for an indefinite life of the contributing shar

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00163.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:There have been a number of Australian studies which have investigated monthly equity return seasonality from 1958 to the mid‐1980s. This paper extends the Australian evidence on seasonality by examining equity returns between 1936 and 1957. The major finding of the study is that returns in January are consistently higher than returns in any other month, and that returns in February and June are consistently lower than returns in other months. There is also evidence that returns in July are higher, and in March are lower, than returns in other months. However, it is the January, February and June seasonals which are significant and these remain after taking account of seasonality in ex‐dividend d

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00164.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00165.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:This paper tests the zero‐beta CAPM with Australian equity returns, using the multivariate approach developed by Gibbons (1982). For the period 1958 to 1987, based on its asymptotic distribution, the likelihood ratio test (LRT) statistic indicates a strong rejection of the model when an equally weighted market index is used. However, small sample adjustments to the test suggested by Jobson and Korkie (1982) and by Shanken (1985) place the validity of this conclusion in some doubt. When a value weighted market index is used for the period 1974 to 1987, the tests reveal at least moderate support for the zero‐beta C

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00166.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

Abstract:This paper tests the Mean‐Variance efficiency of a value weighted Australian market portfolio using a multivariate cross‐sectional regression approach developed by Shanken (1985). This test methodology is sufficiently powerful to reject the null hypothesis that the market portfolio is ex ante Mean‐Variance efficient when test assets are constructed on the basis of size (market capitalisation). However, when test assets are constructed on the basis of industry classification the model is unable to reject the Mean‐Variance efficiency of the market portfolio. This test statistic provides some useful diagnostics which are examined in th

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00167.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00168.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

ISSN:0810-5391    

DOI:10.1111/j.1467-629X.1991.tb00169.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY