摘要:

AbstractPrevious researchers have documented an empirical correlation between returns and trading volume in some financial markets. In this paper, an explanation is proposed based on the notion that short positions are more costly than long positions in these markets. The hypothesis is consistent with previous findings and with futures markets data, in which the costs of assuming short and long positions are symmetric and in which the correlation between returns and volume is not significant.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00080.x

年代:1988

数据来源: WILEY

摘要:

AbstractIn this research, the yield volatility of coupon‐taxable discount bonds is analyzed. The relationship of before‐tax yield changes on discounts as compared with changes in new, par issue (market) yields is developed in the form of a net yield factor (NYF). Also, the behavior of the NYF as dependent upon parameters such as maturity, coupon, market yield, and tax rates is examined. Then, the incorporation and impact of the NYF on price volatility are shown. Finally, results of empirical tests are reported, which validate the usefulness of NYFs in the measurement of yield volatility for discount bo

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00081.x

年代:1988

数据来源: WILEY

摘要:

AbstractAn adaptation of the Cox‐Ross/Emanuel‐MacBeth call option valuation model for constant elasticity of variance diffusion processes is tested here against an adaptation of the Black‐Scholes call option valuation model for the pricing of call currency options. Synchronized transactions data supplied by the Philadelphia Exchange are used. A maximum likelihood estimation procedure indicates a significant association between currency return variances and exchange rate levels. The constant elasticity of variance model exhibits significantly superior pricing accuracy for predictive intervals of three or fewer trading

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00082.x

年代:1988

数据来源: WILEY

摘要:

AbstractHere, the relationship between Value Line rankings and option implied standard deviations is investigated. Each Value Line ranking (safety, price stability, timeliness, and earnings predictability) is significantly related to option implied standard deviations for a sample of 62 companies with Value Line timeliness rankings of 1, 2, 4, and 5 and with a total of 1,217 call options traded over a 3‐day period. The index for price stability would be most valuable to investors for assessing future risk since only this index has a significant association with residual implied volatility, i.e., those unexplained by historical volatilit

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00083.x

年代:1988

数据来源: WILEY

摘要:

AbstractIn this study, the performance of portfolios selected from among Value Line rank one stocks is compared with portfolios consisting of randomly selected New York Stock Exchange and American Stock Exchange stocks. Results indicate that before considering transactions costs, active traders who invest in Value Line rank one stocks can earn positive excess returns. However, after considering transaction costs, neither active traders nor passive investors in rank one stocks can earn returns that are statistically greater than returns achieved by portfolios of randomly selected stocks. These results are not sensitive to variations in portfolio size.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00084.x

年代:1988

数据来源: WILEY

摘要:

AbstractTested here is the hypothesis that portfolios selected from among ex‐post efficient assets will attain better results ex‐ante than by following the naive strategy of holding an equally weighted portfolio of all the assets. The tests are conducted using the returns of the one hundred mutual funds that were continuously in operation from 1959 to 1980. Ex‐post efficient funds are identified using nine investment decision rules (Stochastic Dominance and Mean‐Variance rules with and without riskless asset and the Geometric Mean rule). Ex‐ante performance is assessed in terms of terminal wealth and expected utility. Results indicate that over the twenty‐two years tested, significantly better performance could be attained ex‐ante by investing in mutual funds selected by ex‐post efficiency analysis using the distribution‐free Second‐ and Third‐Degree Stochastic Dominance tests with Riskless Asset as well as by the more traditional Mean‐Variance test with Riskless Asset. Excess returns from using ex‐post information exceed the substantial transaction costs inc

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00085.x

年代:1988

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to integrate the multiproduct theory of the firm into financial theories. The relationship between economies of scope and synergy in conglomerate mergers is formally established in the context of the Capital Asset Pricing Model. It also is shown that a competitive market for corporate control would compete these benefits away.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00086.x

年代:1988

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00079.x

年代:1988

数据来源: WILEY