摘要:

AbstractSize and book‐to‐market equity are shown to transcend beta in explaining stock returns. One possible explanation of the book‐to‐market equity effect is overreaction. We investigate the effect of size, book‐to‐market equity, prior returns, and beta on stock returns. We find significant reversals in January consistent with overreaction. We find a strong positive relation between returns and prior returns for February through December. Both patterns are distinct from either a size or book‐to‐market equity effect. Book‐to‐market equity is significantly related to returns, with some evidence of a stronge

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00557.x

年代:1995

数据来源: WILEY

摘要:

AbstractWe estimate speeds of adjustment of individual stock prices to private information using daily data. We use a model in which private information gives rise to return variance and private information decays linearly over time. We find that, on average, about 85 percent to 88 percent of private information is incorporated into prices within one trading day, with variation depending upon the stock's trading volume and whether the stock is listed on an exchange. The findings support strong form market efficiency.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00558.x

年代:1995

数据来源: WILEY

摘要:

AbstractWe examine stock price reactions to announced calls of in‐the‐money warrants and find a significant average devaluation in excess of 4 percent, consistent with the recent literature. We test theoretical predictions based on asymmetric information, agency costs, and corporate control in a cross‐sectional model of announcement‐period returns and find support for voting rights and ownership dilution as an explanation. We find evidence of some price recovery after the call announcement; however, further evidence of a liquidity‐based explanation

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00559.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we test the joint implications for the intertemporal behavior of stock prices and dividends expressed in the Lintner dividend model and the present value model of stock prices. We use macro data corresponding to quarterly S&P 500 index prices and dividends for January 1930–December 1990. The methodology used is the error correction model (ECM), which allows testing for long‐term and short‐term relations between the two variables. Results from the ECM indicate that a long‐term equilibrium relation exists between dividends and stock prices, and that an error correction mechanism is at work when a disequilibrium exits between the two variables. Stock prices and dividends also influence each other in the short term. Finally, the results show that dividends and stock prices exhibit a contemporaneous causal r

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00560.x

年代:1995

数据来源: WILEY

摘要:

AbstractA crucial element in the National Market System is the trading of NYSE‐listed stocks in several satellite marketplaces. An analytical description of this off‐board trading shows that the relative extent of trading in satellites varies considerably among stocks, among marketplaces, among trades of different sizes, and over time. A multivariate econometric model shows that cross‐sectional differences among stocks in off‐board trading correlates with certain descriptive characteristics of those stocks, but these differences mostly are endogenous with the competition between the satellites and the NYSE for trading

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00561.x

年代:1995

数据来源: WILEY

摘要:

AbstractUsing a large panel of industrial Compustat firms from 1971 to 1988, we find long‐term external financing to be positively related to the period's capital expenditures on growth opportunities, but negatively related to beginning‐of‐the‐period financial slack, broadly defined. These findings support the view that firms tend to match long‐term sources of financing with long‐lived assets, and short‐term debt with short‐lived assets. Our results also reinforce the belief that firms prefer internal to external financing. We find no evidence that firms favor financing capital expenditures with short‐term debt, either permanent

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00562.x

年代:1995

数据来源: WILEY

摘要:

AbstractBy employing the vector error correction model (VECM) in a system of seven equations, we find that the Japanese stock market is cointegrated with a group of six macroeconomic variables. The signs of the long‐term elasticity coefficients of the macroeconomic variables on stock prices generally support the hypothesized equilibrium relations. Our findings are robust to different combinations of macroeconomic variables in six‐dimension systems and two subperiods. Also, the VECM consistently outperforms the vector autoregressive model in forecasting abil

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00563.x

年代:1995

数据来源: WILEY

摘要:

AbstractPrevious studies propose that the time between trades is a measure of the existence of information and a manifestation of the demand and supply of liquidity. I find evidence that the time between trades is a measure of the existence of information. However, the evidence does not imply that liquidity constraints are an unimportant determinant of price changes. Further investigation indicates that price changes are partially related to liquidity constraints, when the liquidity constraint is measured by the availability of multiple counterparties. Finally, I find some evidence that information about trades, not necessarily related to information about the underlying asset, also affects price changes.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00564.x

年代:1995

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00556.x

年代:1995

数据来源: WILEY