摘要:

AbstractCapital asset pricing model (CAPM) and alternative arbitrage pricing theory (APT) methodologies are used to estimate the cost of capital for a sample of electric utilities. The statistical factors APT method is found to produce significantly different estimates depending on the number of factors specified and the set of firms factor analyzed. The use of macroeconomic factors is explored, and it is shown that this methodology has advantages over the statistical factors APT and the market model.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00656.x

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper reports the results of twelve experimental markets designed to investigate whether a costly private information system decreases the propensity of price bubbles to form. A private information system is hypothesized to decrease traders' subjective uncertainty about the behavior of other traders by reinforcing common expectations for all traders. Results show that private information does not eliminate price bubbles, but asset prices converge toward the rational expectations predictions with trader experience. The price of private information is related to the expected gains derived from asset trading.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00657.x

年代:1991

数据来源: WILEY

摘要:

AbstractContrary to economic theory, there is international evidence that common stock returns and inflation are negatively related. This negative relationship is examined in this paper and the applicability of the risk premium hypothesis is tested. According to this hypothesis, an increase in unanticipated inflation causes the market risk premium to rise, which in turn lowers current stock prices. A model is developed and the effect of uncertain inflation on the market risk premium across four countries is tested empirically. Results indicate that the market risk premium is positively related to uncertain inflation.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00658.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper the put‐call parity implied riskless rate of borrowing and lending is re‐examined. Using a rigorous model, it is shown that, given the level of an observable proxy of the risk‐free rate of lending (T‐bill rates, for example), the put‐call parity provides an opportunity to borrow at rates substantially below the market rate of lending. This is especially true when high interest rates prevail. The major conclusion is either that American option prices may invalidate the parity, or that option markets are not as frictionless as one m

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00659.x

年代:1991

数据来源: WILEY

摘要:

AbstractThe manager of a depository institution is shown to exhibit risk‐taking behavior under the current insurance arrangement. Perfect monitoring or risk‐based deposit insurance would eliminate this incentive if information were symmetric between bank managers and the insuring agency. Absent symmetric information, it is shown that a recently suggested scheme, where insurers collect insurance premiums based on projected and actual risk levels, does not control the risk‐taking incentive. The only way to control this incentive through insurance rates is to levy a relatively high premium, which is not actuarially

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00660.x

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper extends the risk‐neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk‐neutrality model consistently overestimates the default probability but that the magnitude of this overestimate is generally small and statistically insignific

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00661.x

年代:1991

数据来源: WILEY

摘要:

AbstractResearch on the impact of marginal tax changes on bondholder wealth focuses on changes along a given tax schedule. In this paper the valuation consequences of changing the tax schedule are analyzed. Although previous researchers show that the price of all discount bonds falls if the marginal ordinary income tax rate increases along a tax schedule, it is found that this result holds only under specific conditions when the tax schedule changes. Various comparative statics are discussed.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00662.x

年代:1991

数据来源: WILEY

摘要:

AbstractThe ratio of price changes to dividends is sometimes used to assess personal tax rates and detect tax clientele for dividends. It is suggested here that the model is unable to detect possible tax effects, given the sample sizes available to most researchers.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00663.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper prior work on earnings‐price (E/P) and standardized unexpected earnings (SUE) anomalies is re‐examined and extended. A relation between excess returns and E/P is tested controlling for SUE. Results suggest that both anomalies are still present in the data, and that the E/P effect exists independently of the most recent earnings surpr

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00664.x

年代:1991

数据来源: WILEY

摘要:

AbstractPublished statistics on short sales of stock are used by investors as a technical indicator of market timing. Research on this topic is mixed. Findings in this article rely on causality tests that use white noise residuals generated from time‐series analysis of short sales. Results indicate that specialists' short sales lead short sales of other investors, but these other investors are unable to take advantage of the information because a time lag exists in the published dat

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00665.x

年代:1991

数据来源: WILEY