摘要:

AbstractThis article introduces the concept of intrinsic uncertainty, which occurs in the absence of common knowledge, and its relation to the standard homogeneous beliefs assumption of finance theory. When individuals in an informed environment have homogeneous beliefs (common priors), they objectively agree; however, they can agree without knowing they agree. With homogeneous beliefs, individuals still face intrinsic uncertainty over unknown beliefs of others. If two people have homogeneous beliefs and their informed posteriors for an event E are common knowledge, then—contrary to the widely held view—these posteriors may be unequal. The two people can agree to disagree. Consensus over the probabilities of the possible states requires an agreed common‐knowledge priors assum

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00521.x

年代:1989

数据来源: WILEY

摘要:

AbstractThe “divergence of opinion” hypothesis suggests predictable pricing effects in markets where assumptions of homogeneous investor expectations and unrestricted short selling do not hold. Direct tests of the hypothesis in traditional financial markets do not exist apparently because of the severity of several requirements, including that measurement of divergent ex‐ante expectations be unambiguously paired with associated ex‐post results. This and remaining conditions are met in direct tests of the hypothesis in a pricing arena where divergence of opinion influences are likely to be present: racetrack betting. Results provide no statistically significant support for the divergence of opinion hyp

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00522.x

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, effects on the measured abnormal performance of test portfolios are compared against market proxies having the same or different rebalancing policies. Results show that the common practice of comparing buy‐and‐hold test portfolios with equally weighted market proxies produces lower Jensen [7] alphas and lower alphat‐values. Comparing buy‐and‐hold test portfolios with value‐weighted market proxies produces higher portfolio betas and alphas, but lower alphat‐values. Finally, comparing buy‐and‐hold test portfolios with buy‐and‐hold market proxies produces the most powerful tests of

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00523.x

年代:1989

数据来源: WILEY

摘要:

AbstractIn this study, financial implications of differential voting right/multiple ordinary share class capitalizations are examined using data from British dual‐class firms. Positive wealth effects are observed after announcements of plans to issue restricted voting (RV) shares, and also after announcements of RV share enfranchisement plans. The two share classes are usually created through large, noncash stock dividends or recapitalizations and, although corporate insiders hold about three times as large a fraction of superior voting (SV) shares, their RV shareholdings average a nontrivial 10.1 percent. Finally, compensation is usually paid to SV shareholders when RV shares are enfranchise

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00524.x

年代:1989

数据来源: WILEY

摘要:

AbstractRecent studies document abnormal stock returns at stock split announcements. Three hypotheses related to expected future earnings—the trading range, attention, and signaling hypotheses—have been offered as explanations. Evidence has also been provided that splitting firms have greater postannouncement earnings growth than control nonsplitting firms. Using earnings expectation data from the Institutional Brokers Estimate System, significantly greater forecast revisions are found in this study for split firms than for control nonsplit firms. The difference is significantly related to abnormal stock returns of splitting fi

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00525.x

年代:1989

数据来源: WILEY

摘要:

AbstractSeveral researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00526.x

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper the meaning of the January effect is clarified. The early literature indicates that differing views on the existence of such an effect were based on different data sets, various time periods, and different measurement tools. A model is formulated to test the January effect hypothesis with seven assets from 1871 to 1986, including tests performed for subperiods corresponding to different monetary regimes. The hypothesis tests incorporate an unbiased estimator to avoid the biases caused by heteroscedasticity and autocorrelation. Findings suggest that asset return behavior differs among assets and regimes.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00527.x

年代:1989

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00528.x

年代:1989

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00520.x

年代:1989

数据来源: WILEY