摘要:

AbstractThe partial takedown phenomenon associated with bank loan commitments is examined in a dynamic context in which banks adjust commitment prices to client takedown behavior. The optimal takedown is an increasing function of client riskiness and a decreasing function of the time the client plans to remain with its present bank and the cost of switching to a new bank. Since the bank's learning is cumulative, the longer a client remains with its bank the smaller is the commitment price adjustment resulting from an aberrant takedown. The enhanced commitment price certainty, obtained with longevity of the client relationship, helps to explain client reluctance to switch banks. Since the optimal takedown is an increasing function of client riskiness under adaptive pricing, such pricing may serve the added purpose of providing information on client risk.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00410.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper presents empirical results regarding the suitability of the Black model for the pricing of options on stock index futures. Whaley's technique is used to present empirical evidence regarding the pricing biases of the model. Information provided by the implied volatilities suggests that model refinements should address the changing volatility issue.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00411.x

年代:1985

数据来源: WILEY

摘要:

AbstractTests of a hedge and a rational boundary of the efficiency of the currency option market are conducted in this study. These tests use transactions data and account for the effects of currency and option bid/ask spreads, synchronization of option prices and underlying exchange rates, market depth, execution lags, and transaction costs. Currency options, unlike domestic stock options, exhibit continuous dividends. The nature of the option and of the data set employed makes the immediate exercise lower bound test one of the purest tests of market efficiency to date. Results reported here indicate no ability to earn abnormal economic or riskless arbitrage profit for the period when these tests are conducted.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00412.x

年代:1985

数据来源: WILEY

摘要:

AbstractThe relative importance of various finance and related journals to research published in major finance journals is determined by noting the frequency that all other journals are cited inthe Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, andJournal of Money, Credit and Bankingduring the period 1980 to mid−1985. Journals are ranked on the basis of their actual number of citations, citations per article, and citations per 10,000 words published annually. Results give an objective criterion for evaluating the relative impact on the major finance literature of writing in alternative journals. The list of journals developed with the citations methodology differs markedly, on the whole, from the list ranked by Coe and Weinstock (1983) who simply surveyed department chairpersons. Journals that are common to both lists, however, are ranked very much alike, indicating that chairpersons may rank journals they think to include in a subjective list in a way that is consistent with the citations criterio

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00413.x

年代:1985

数据来源: WILEY

摘要:

AbstractNew estimates of the term structures of interest rates for the inter‐war period are constructed using a McCulloch‐type bond pricing model. The new estimates are compared to the Durand Basic Yields. The Basic Yields are found to be poor estimates: being oversmoothed, wiping out humped term structures, and emasculating the liquidity premium. In contrast, the new estimates appear to behave very much like post‐war term structures: exhibiting humps at cyclic peaks and evidence of a liquidity pr

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00414.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper addresses the problem of bond rating discrepancies and their effect on bond rating prediction models. Both Moody's and Standard&Poor's now use modified ratings. Results of this study indicate that the two agencies disagree 58 percent of the time and that Moody's rates bonds significantly lower than S&P. In addition, the classification rates of the multiple discriminant analysis models decrease approximately 24 percentage points when the modified ratings are used.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00415.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper examines the equity return behavior of firms whose preferred stock ratings have been changed by Standard and Poor's. The evidence indicates that the market anticipates the re‐ratings by approximately 40 days for the complete sample. However, the downgrades for the utility subsample do not experience any downward drift before or after the re‐rating. In general, these results support the previous findings of Pinches and Singleton (1978) and Weinstein (19

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00416.x

年代:1985

数据来源: WILEY

摘要:

AbstractFinancial leverage as reported by a consolidated financial statement may differ substantially from leverage for the parent company. To assess the financial risk for the parent (not the consolidated entity), employing consolidated data is hazardous; the problem is magnified by the fact that virtually all firms report only consolidated data. Consolidated leverage almost always equals or exceeds parent leverage for a wholly owned subsidiary, and many firms reporting only consolidated data have betas significantly greater than otherwise comparable firms that report both consolidated and parent company information.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00417.x

年代:1985

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00418.x

年代:1985

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00409.x

年代:1985

数据来源: WILEY