摘要:

This paper examines the published accounts of the four main UK clearing banks during the 1980s and investigates some of the economic factors with which the banks had to contend. A particular focus concerns less developed country (LDC) debt, provisions against losses on the clearing banks’ LDC debt portfolios and factors which might influence the timing of provisions. We find a significant and positive association between share returns and future changes in cash flow plus adjustment for exit price changes, and suggest that this measure may be more closely associated with market expectations than changes in reported profi

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00356.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

This paper develops a model which explicitly incorporates the impact of the payment of dividends on the underlying stock into the valuation of both American and European calls and puts. Unlike earlier models, what we call the Dividend Adjustment Merton (DAM) model neither assumes arbitrary continuous dividends nor uses ad hoc methods to adjust for discrete dividend payments. Instead, it assumes the existence of a Miller and Modigliani (1961) valuation neutral dividend policy and adjusts Merton's constant proportional dividend model to incorporate any known schedule of discrete cash dividends of this type. The DAM model produces results which are equal to or superior to those of the separate models now used to value American calls (the Roll‐Geske‐Whaley model) and American puts (the Geske‐Johnson model) on dividend paying stocks. It has the virtue of being internally consistent in that the same model can be used to value both calls and puts. In developing the DAM model, the paper clarifies the role of dividends and dividend policy in determining option values. It also produces significantly tightened boundary conditions for option v

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00357.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

In 1979 the Ecu was established as a currency basket including the currencies of the nine EC‐member countries at that time. Its composition was modified in 1984 and again in 1989 by increasing the number of currencies in the basket to 10 and 12 respectively. The results of our analysis show that the Ecu has become consistently less variable with each change in its composition, when expressed in terms of the Greek drachma, Italian lira, Portuguese escudo, Spanish peseta, and to a lesser extent the British pound. However, the Ecu has become consistently less stable with respect to the German mark and the Dutch guilder. The results were mixed for the Belgian/Luxembourg franc, French franc, Irish punt and Danish kron

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00358.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

The notion that prices impound a wide array of information, including market expectations, has led to earnings forecast models conditioned on prices. Yet, presumably, analysts’ forecasts capture both public information and certain private information not previously impounded in prices. Accordingly, price‐based models are seemingly an inefficient, and less effective, source of expecta‐tions. This article investigates this hypothesis using financial analysts', price‐based, and naive forecasts. Results indicate that analysts’ forecasts (1) are at least as accurate as price‐based and naive models, and (2) yield better expectations for market tests relating returns and earnings. These inferences are robust across different information environments. The evidence suggests that analysts either possess private information or are more effective information processo

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00359.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

This study investigates the information content of the initial public announce‐ment of an audit qualification for a sample of American firms traded over‐the‐counter. These firms have smaller predisclosure information sets than New York Stock Exchange (NYSE) and American Stock Exchange (ASE) firms. The results of research focusing on NYSE and ASE firms cannot, therefore, be extended to the over‐the‐counter (OTC) market. When the qualification is not confined to a ‘bad news’ scenario, a significant market reaction to the announcement is found, indicating that audit qualification announcements for OTC firms do, indeed, have inform

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00360.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

This paper examines the underpricing of IPOs of financial institutions over the period 1983 to 1987. Based on a sample of 185 banks and savings and loan associations (including S&L conversions) and a control sample of 1,361 industrial firms, results indicate that in general IPOs of financial institutions are significantly less underpriced than those of the non‐financial institutions. In particular, the IPOs of non‐S&L conversion financial institutions are less underpriced than the IPOs of non‐financial institu

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00361.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

This study examines the structural characteristics of UK building societies. The analysis views societies as multi‐product firms which produce both mortgage and non‐mortgage products. A two output, three input hybrid translog cost function is employed to obtain econometric measures of overall and augmented economies of scale; input‐specific and augmented input‐specific economies of scale; product‐specific scale economies; and economies of scope. The empirical analysis offers three key insights into the industry. First, there is evidence of significant augmented economies of scale for both national and regional societies. Second, only national societies are able to reap input‐specific economies of scale through the use of capital. Third, for regional and local societies, cost inefficiencies actually emerge in their production of mortgage and non‐mort

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00362.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

The most obvious explanation for the closed‐end fund puzzle, the existence of managerial contribution (i.e., managerial performance less managerial fees), has been called into disrepute because of the inability of researchers to consistently document a negative relationship between such benefits and discounts. We present a model which shows that it is possible to account for some of the stylized facts without abandoning market efficiency and rationality. It is suggested that when one takes into consideration the impact of managerial contribution on the probability of open‐ending, a negative relationship between managerial contribution and discounts actually may res

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00363.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

This study examines stock price dynamics of contagion effects in overlapping markets using an exponential ARCH (Autoregressive Conditional Hetero‐scedastic) model. Specifically, the stock price dynamics among the oil and oil‐related industries of the US are examined to see how stock price movements in one industry affect those of the related industries. The results suggest that when the amount of price innovations is larger than the expected amount, volatility of stock returns will be affected. The results further show that this influence comes from the oil‐service industry and spreads to the oil industry and the gas industry. That is, inter‐industry contagion effects do exist. In addition, when the firms of the oil industry are grouped into three size categories ‐ large, medium and small ‐ the results indicate that the source of contagion is from the large and the small oil firms. The influence of their price innovations spread to medium‐sized oil firms, the oil‐service industry and the gas industry. That is, the inter‐industry and intra‐industry contagion effects e

ISSN:0306-686X    

DOI:10.1111/j.1468-5957.1994.tb00364.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY