摘要:

AbstractThis paper compares the ability of four valuation models — the Pure Diffusion model of Black‐Scholes‐Merton, the Absolute Diffusion and Pure Jump models of Cox‐Ross, and the mixed Jump‐Diffusion model of Merton — to explain the observed behavior of market prices of foreign currency options. The empirical tests are based on a comparison of the pattern of implied volatilities obtained from option market prices and the Black‐Scholes‐Merton model with those expected theoretically if exchange rates follow the four stochastic processes specified above. The results of the comparison show that the pattern of implied volatilities is most consistent with the mixed Jump

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00501.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper proposes a multiperiod certainty equivalent model of present valuation that takes a dynamic approach to valuation, as opposed to a recursive approach employed traditionally in financial economics. Assuming a flat basic, or riskless, yield curve and risk‐averse investors, the model is used to examine the potential effects of default risk on the shape of the yield curve. The shape of the yield curve is shown to be directly related to the level and time pattern of default probabilitie

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00502.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis study examines the wealth effects of interstate bank mergers to both the acquired and acquiring firms' shareholders. While the overall results are consistent with the findings of research on nonfinancial mergers — that acquired firms' shareholders gain and acquiring firms' shareholders break even — there is evidence that the acquiring banks cannot be considered a homogeneous group. Specifically, banks involved in relatively large acquisitions earn positive and statistically significant abnormal returns and significantly outperform those involved in relatively smaller mergers. The results suggest there are differential opportunities for gain from interstate mergers, dependent upon the relative size of the acquisition and the degree to which it expands the geographic market served by the b

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00503.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis study examines the risk‐adjusted stock returns realized by shareholders of firms acquired through leveraged buyouts to assess the economic gains associated with this type of acquisition. Stockholders of firms acquired through leveraged buyouts realize significant positive abnormal returns as a result of the buyout announcement. The findings support the notion of value creation in leveraged buyout

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00504.x

年代:1987

数据来源: WILEY

摘要:

AbstractCorporate spinoffs and divestitures cause positive revaluation of the firm by the market. This paper examines a particular kind of spinoff, one of mineral interests into a royalty trust. Royalty trusts are associated with abnormal returns that come from positive market revalution and from special tax incentives inherent to trusts.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00505.x

年代:1987

数据来源: WILEY

摘要:

AbstractA contingent claims model for corporate bonds is tested on newly issued bonds of firms with very simple capital structures. Two default risk measures derived from the model — firm return standard deviation (σ) and leverage (D/V) — explain approximately 78 percent of the variation in the agency ratings on the bonds, based on a probit analysis. Model yield premiums explain almost 60 percent of the variation in market yield premiums. In both analyses, however, firm size is a significant additional variable, suggesting that the contingent claims model is not robust to changes in scale. The assumption of nonstochastic interest rates also appears to be an important misspecification. Institutional restrictions on investments in speculative grade bonds, however, do not affect market yield premiums on such bonds, and thus do not appear to represent a serious misspecifica

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00506.x

年代:1987

数据来源: WILEY

摘要:

AbstractIn an inflation‐non‐indexed progressive tax system, inflation results in a “bracket‐creep” effect that reduces the demand for corporate debt while the tax‐deductibility of nominal interest makes the use of debt financing cheaper. The interactive effect of inflation and differential dividend and capital gains taxes on the value of a levered firm is analyzed in this paper. Under a non‐indexed progressive tax system, inflation decreases the value of the unlevered firm but the effect of inflation on the firm's debt‐to‐asset ratio is theoretically indeterminate. The gain from leverage is also derived and compared with other

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00507.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper investigates the intervalling‐thinness effect in the Hong Kong stock market and compares the results with previous studies of United States and French data. The approach follows the three pass technique of Cohen, Hawawini, Maier, Schwartz, and Whitcomb. Various functional forms of an intervalling bias decay function are analyzed, both in the aggregate and for individual stocks. Careful modeling of the flattening of the beta profile at a finite interval value leads to robust estimated asymptotic beta

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00508.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00509.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00510.x

年代:1987

数据来源: WILEY