摘要:

AbstractResearchers consistently find that newly listed stocks underperform in the post‐listing period. It has been suggested that this anomalous finding may, in part, be explained away if the risk during this period is lower than at other times. Evidence is presented here that the riskiness of newly listed stocks undergoes a seasoning process. Instead of lower risk, riskiness is found to be greater immediately after listing than in later periods. This suggests that the post‐listing anomaly is actually worse than has been previously recogni

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00105.x

年代:1989

数据来源: WILEY

摘要:

AbstractThe premise of this paper is that in mergers the manageability of acquisitions significantly affects the wealth of shareholders of acquiring firms. Specifically, the relative size of partners as well as the industrial relatedness of the two firms are examined. The test period allows for the determination of announcement, interim, and consummation effects of the mergers on shareholder wealth. It is found that acquisitions of relatively large firms from unrelated industries lead to significant declines in the wealth of shareholders of acquiring firms, and that this result is most pronounced when the period is extended beyond the announcement through the effective dates.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00106.x

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, the effect of moral hazard on capital budgeting is examined. It is shown that moral hazard may change project rankings based on net present value under perfect information. It is also shown that in certain agency relationships moral hazard increases managerial contracting costs more for projects with slower paybacks, thus producing a bias in favor of projects with faster paybacks. This effect manifests itself only under specific conditions.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00107.x

年代:1989

数据来源: WILEY

摘要:

AbstractTraditional models of corporate interior optimum leverage rely on institutional schemes such as taxes, bankruptcy, and agency costs. Theories of leverage indifference in the presence of risky debt depend on various features of perfect and complete markets and on the assumption that all investors hold a uniform portfolio. In the model developed here, corporate interior optimum leverage is obtained as a result of a fundamental risk‐return trade‐off for investors who hold nonuniform portfolios of risky equity and debt claims in the absence of market mechanisms, forcing leverage indifference. The dynamic optimization solution accommodates bankruptcy costs and specialized institutional factors but does not rely on their prese

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00108.x

年代:1989

数据来源: WILEY

摘要:

AbstractIt is shown empirically that the cost of equity capital estimated from the dividend discount model and Tobin'sqare negatively related. The theoretical relationship between these variables is exploited to determine alternative estimates of the cost of equity capital and Macaulay's duration without having to estimate the growth rate g in the conventional manner. This new approach can readily be implemented for large firms reporting SFAS No. 33 data.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00109.x

年代:1989

数据来源: WILEY

摘要:

AbstractMost hedges placed in futures markets must be lifted before contract expiration, which necessitates incurring “basis risk.” The focus of this paper is on quantifying such risk as a function of the timing of a hedge, its duration, distance from contract expiration, hedge life, and other market‐observable variables. The development of basis‐risk profiles provides a hedger with estimates of hedging risks that reasonably can be expected before the actual placement of hedges, thus serving as a useful input in the hedging d

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00110.x

年代:1989

数据来源: WILEY

摘要:

AbstractMuch research has focused on the problem of selecting portfolios without the benefit of parametric measures of risk and return. In this paper, a Monte Carlo technique is used to isolate the extent and nature of the problems introduced by this practice. The technique is employed in the context of classical statistical methodology without permitting short sales. It is shown that using estimators of expected return and risk not only obscures parametric values, but also affects portfolio composition in the Markowitz framework. In this study, these two components of bias are isolated and measured.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00111.x

年代:1989

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00104.x

年代:1989

数据来源: WILEY