摘要:

AbstractThis paper examines the merits of alternative systems for allocating capital within a firm. A budget system, whereby top management limits divisional investment, even without full knowledge of the divisions' investment opportunities, can make economic sense. The budget system can be useful when there are externalities among the investments of different divisions and when division managers' estimates of projects' NPVs are subject to unpredictable errors. The budget system is weak, however, in terms of its use of division managers' expertise. As a result, most firms use budgets as only one part of their capital allocation system.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00490.x

年代:1987

数据来源: WILEY

摘要:

AbstractA particular duration measure may correspond to many different stochastic processes that generate fluctuations in the term structure of interest rates. There does not exist a one‐to‐one correspondence between the duration measure and an underlying stochastic process. In particular, durations derived from disequilibrium processes also correspond to equilibrium processes. Furthermore, it is shown that multi‐factor discrete models of bond returns may also correspond to multi‐duration models of bond

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00491.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper explores the risk structure of interest rates. The focus is on whether yields on industrial bonds indicate that market participants base their evaluations of a bond issue's default risk on agency ratings or on publicly available financial statistics. Using a non‐linear least squares procedure, the yield‐to‐maturity is related to Moody's rating, Standard and Poor's (S&P) rating, and accounting measures of creditworthiness such as coverage and leverage. Market yields are found to be significantly correlated with both the ratings and a set of readily available financial accounting statistics. These results indicate (1) that market participants base their evaluations of an issue's creditworthiness on more than the agencies' ratings and (2) that the ratings bring some information to the market above and beyond that contained in the set of accounting variables. The paper also asks whether the market views Moody's and Standard and Poor's ratings as equally reliable measures of risk or whether the market attaches more weight to one agency's ratings than the other. Finally, the hypothesis that the market pays more attention to the accounting measures and less to the ratings if the rating has not been reviewed recently is t

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00492.x

年代:1987

数据来源: WILEY

摘要:

AbstractIn public utility rate hearings, there are extensive arguments concerning the most appropriate model of the return‐generating function. Bower, Bower, and Logue (1984) suggest that the APT is superior to the CAPM, but their results have troublesome ranking differences between the two models when applied to returns from electric versus natural gas utilities. The purposes of this paper are to develop forward estimates of the parameters for both of these models applied to five different utility portfolios of electric and natural gas companies at a point in time, and to test whether these estimates are valid during a subsequent or future period. Also, forecasting errors for each model are compared to determine which model is best and to ascertain if there are any ranking conflicts. There are no ranking conflicts with the models as the market model consistently underestimates the actual return. Thus, the analysis suggests that the arbitrage model is a superior representation of the return‐generating process of these utilit

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00493.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe 1983 default of the Washington Public Power Supply System (WPPSS) was the largest municipal default. Some writers contend that the default affected the entire municipal bond market. This study examines the effect of key WPPSS‐related events on the general municipal market, tax‐exempt public power district bonds, and WPPSS bonds, respectively. The results show that although certain events significantly affected all WPPSS bonds, these events did not affect the general municipal bond market or non‐WPPSS public power bonds. The use of a standard event‐time methodology with daily bond prices (as opposed to monthly yields) appears to provide a more powerful test of the effect of a municipal crisis on the tax‐exempt bo

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00494.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe theoretical difficulties of the expected value‐variance (E‐V) criterion are well known. A number of recent research efforts test the criterion's effectiveness in a publicly traded securities environment. In contrast, this research explores the performance of the E‐V criterion using firm‐specific, nontradeable investments such as those made by small firms. The empirical example in the study is a small family proprietorship with limited investment opportunities in agricultural production activities. Results indicate the E‐V criterion performs well in selecting nontradeable investments that maximize expected utility. These results are consistent with results of earlier research dealing with tradeable s

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00495.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis study analyzes the standard method of testing for first order stochastic dominance from a statistical viewpoint and applies a boundary crossing algorithm to approximate the resulting error probabilities. Error probabilities can be estimated even when the two distributions are not equal. This approach, which is useful when large sample simulations are not feasible, helps clarify some of the unusual results obtained by Kroll and Levy in an earlier study.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00496.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe study provides empirical tests and comparison of mixed diffusion‐jump processes and finite mixtures of normal processes as models of stock price behavior. For weekly returns, both specifications have significantly higher descriptive validity than a stationary normal distribution, and, in most cases, mixed diffusion‐jump processes are empirically superior to finite normal mixtures. The distribution of monthly returns, however, can be safely assumed to be approximately nor

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00497.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00498.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00489.x

年代:1987

数据来源: WILEY