摘要:

AbstractThis paper provides a dynamic analysis of the bond refunding problem in an efficient market setting with corporate taxes and transaction costs. A new methodology is developed to analyze the optimal exercise problem in the presence of imperfections. This analysis enables prediction of the effect of changes in corporate tax laws on the refunding decision. It also explains the empirical observation that bonds are often called when the bond price is below the call price.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00667.x

年代:1991

数据来源: WILEY

摘要:

AbstractPrevious research identifies a causal relationship between returns and trading volume. But volume has two components: number of trades and number of shares per trade. In this paper the relationship between each of these volume components and returns is examined and the number of trades is found to be the dominant component. Results show that return activity in a period is associated with the level of trading frequency in a subsequent period and also with the number of shares in a subsequent period. This is consistent with small traders reacting to returns while professional traders largely ignore previous returns in their trading.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00668.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this study the impact of option listings on bid‐ask spreads for over‐the‐counter stocks is examined. Option listings are hypothesized to impact spreads by affecting the inventory‐holding cost and/or the informed risk component of spreads. Univariate tests reveal that the commencement of options trading is accompanied by a statistically significant decline in percentage spreads. In addition, it is found that there is a significant rise in the average daily stock trading volume in the post‐option‐listing period, while there is no significant change in variance of the underlying stock returns in the short term. Regression results indicate that some stocks experience a decline in spreads even after controlling for changes in inventory‐holding costs. The univariate and regression results taken in conjunction indicate a favorable impact of option listings on both the inventory‐holding cost and informed‐trading risk components of spread determinants. The combined evidence suggests that initiation of options trading enhances the overall liquidity of the

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00669.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper a time‐varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest rate behavior, thereby increasing the forecasting accuracy of the future spot rates. With the constant expectations hypothesis rejected, the forecasting accuracy is substantially increase

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00670.x

年代:1991

数据来源: WILEY

摘要:

AbstractAuction rate preferred stock (ARPS) is often regarded as an alternative to other near‐cash instruments such as commercial paper while the dividend exclusion for ARPS offers tax advantages to corporate purchasers. The mean default risk premium for ARPS, relative to commercial paper, is estimated at 83 basis points during stable financial markets. This default premium appears to surge during unstable equity markets, having jumped by 192 basis points in November 1987. Lower‐rated ARPS shows even larger changes, with yields 40–50 basis points above yields on high‐rated ARPS, adjusted for the normal risk premium differential. The perceived risk change of ARPS underscores how quickly market participants re‐evaluate default risk, and even the importance of the priority order among debt and equity claimants. Findings suggest ARPS and commercial paper are not an acceptable substitute for commercial paper during times of unsettled equit

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00671.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper a search model of a financial market, generalized to include costly contracting, is employed to demonstrate that: (i) relative cost efficiency for an intermediary is not sufficient to explain a role for intermediation services, and (ii) eroding market imperfections do not produce hypothesized effects on “reintermediation” from traditional depository‐type intermediaries to brokerage‐type intermediaries and on “disintermediation” from indirect financing to direct financing under a set of justifiable

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00672.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this study benchmark error is tested for as a source of the small firm effect by comparing the results from ordinary least squares and instrumental variable methods. Although the instrument is not perfect, results show that benchmark error could be a cause of the overall (all months) small firm effect. Results from the instrumental variable method indicate that large January abnormal returns are still present, but that they are offset by negative non‐January abnormal returns. As a result, the instrumental variable results show that there is no longer a significant overall “effect,” merely a seasonal effect. It is also found that the results are not sensitive to the choice of the market

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00673.x

年代:1991

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00674.x

年代:1991

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00666.x

年代:1991

数据来源: WILEY