摘要:

AbstractThis paper examines empirically whether management is acting in the best interests of non‐participating shareholders when it engages in a targeted share repurchase. Over the full purchase‐to‐repurchase period, non‐participating shareholders earn significantly positive abnormal returns, providing additional evidence that shareholders benefit from the initial investment that leads to the share repurchase. On the repurchase date, however, shareholders experience a significant decrease in their wealth position that cannot be attributed solely to a wealth transfer from the non‐participating to the participating shareholders. Consequently, one cannot generalize about management's intentions for a targeted share r

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00071.x

年代:1988

数据来源: WILEY

摘要:

AbstractThe tax‐timing options associated with opportunities to trade corporate securities are examined. The availability of such options to both the firm and its securityholders is shown to create incentives for, and thereby to add to the possible explanation of, three empirically observed financial phenomena: (1) the existence of complex corporate capital structures; (2) the presence of debt in those capital structures; and (3) corporate spin‐offs as vehicles to increase the total market value of a firm's assets. A set of symmetrical arguments also offers a reason to expect at least one negative effect on shareholder wealth from mergers of publicly traded compan

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00072.x

年代:1988

数据来源: WILEY

摘要:

AbstractHere, the relation between stock price reactions to announced dividend changes and the yields of the underlying securities is examined. A significant positive (negative) relationship is detected between announcement date returns and yield for dividend increases (decreases) even after controlling for the magnitude of the dividend change. Price reactions associated with dividend increases vary directly with the change in yield and, on average, low‐yielding companies do not experience abnormal returns when they increase their dividends. Implied in these results is that the information conveyed through dividend changes varies with the yield of the underlying security and the market response is a function of factors beyond the pure information effec

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00073.x

年代:1988

数据来源: WILEY

摘要:

AbstractIn this paper, stock prices for savings institutions that have converted to the stock form of organization are examined. Event‐study methodology is used to focus on the returns to initial shareholders in the period immediately following initial trading. The results of the study indicate significant positive returns in savings institution conversions in the first several trading days, suggesting a one‐time wealth transfer from depositors not exercising their rights to initial shareholders. The results also provide support for the efficiency of the market as the market price adjusts quickly in the first two days of trading after the public offering. Given the FHLBB's objectives, there appears to be little cause for regulatory concern although initial returns are signific

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00074.x

年代:1988

数据来源: WILEY

摘要:

AbstractSecurity credit regulations are administered by the Federal Reserve Board of Governors (Fed) as a result of the Securities Exchange Act of 1934. These regulations extend to individual over‐the‐counter (OTC) firms via the 1969 Amendment to that Act. Apart from catastrophe prevention, five objectives for extending these regulations to OTC stocks are articulated by the Fed. This paper provides empirical evidence on the efficacy of three of the objectives. The evidence suggests the Fed has been successful in pursuing its objecti

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00075.x

年代:1988

数据来源: WILEY

摘要:

AbstractThe amount and timing of unscheduled principal amortization determines the ex‐post yield to holders of mortgage‐backed securities. In this paper, the relationship between pool characteristics and the early return of principal is addressed. Empirical results are based on actual terminations from June 1985 to June 1986 on a sample of all GNMA pools. The relative termination experience of pools with loan rates close to the refinancing rate faced by the underlying borrower is examined in detail. The impact of pool age and size is also considered. Unscheduled termination depends on the refinancing rate, as well as the specific characteristics of a p

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00076.x

年代:1988

数据来源: WILEY

摘要:

AbstractTwo major problems faced by portfolio managers are estimating the risk and return characteristics of individual securities and combining individual security risk and return estimates into optimal portfolios. The second problem is investigated in this paper by using the simple ranking criteria suggested by Elton, Gruber, and Padberg (EGP). The empirical results indicate that the EGP procedure is effective in estimating Markowitz efficient portfolios and can be an effective screening procedure for large numbers of securities.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00077.x

年代:1988

数据来源: WILEY

摘要:

AbstractThis paper provides empirical evidence that expected inflation has a cross‐sectional impact on common stock returns. The study differs from others in that (a) the relation between stock returns and expected inflation is investigated in a two‐factor asset pricing model, where the factors are the return on an equally weighted stock portfolio and the expected rate of inflation; (b) the estimation of the expected rate of inflation is based on the rational expectations hypothesis of Muth; and (c) a non‐linear seemingly unrelated regression technique is employed to determine consistent and asymptotically efficient estimates. The joint hypothesis of the two‐factor asset pricing model and rational expectations is not rejected in this study. It is found that the return on common stocks is significantly affected by expected inflation. Also stocks whose returns are positively correlated with expected inflation have lower expected

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00078.x

年代:1988

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00070.x

年代:1988

数据来源: WILEY