摘要:

AbstractThis paper develops a new methodology for evaluating the impact of economic events on bond yields. Term structure information and implicit forward rates are used to generate expected bond yields, and the difference between actual and expected yields is interpreted as the information effect of the event. The methodology is applied to two studies of municipal default: the New York City default and the more recent Washington Public Power Supply System (WPPSS) default. The analysis provides evidence that the New York City default did have a significant impact on the interest cost of municipal financing in general. In the case of WPPSS, however, there is no indication of a significant default impact.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00390.x

年代:1985

数据来源: WILEY

摘要:

AbstractIn his 1976 presidential address to the American Finance Association, Miller shows that the equilibrium marginal personal tax rate on riskless bond income is equal to the marginal corporate tax rate. In the presence of risk, he and, subsequently, others suggest that the theoretical equilibrium occurs when the personal tax rate is less than the corporate tax rate. This study investigates empirically these relationships by examining the yield ratio of nontaxable to taxable debt at various risk levels. Both the riskless and risk propositions are confirmed.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00391.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper uses a model in which prepayment rates on large pools of mortgages are a function of the differential between the prevailing market rate for mortgages and the contract rate at which the mortgages were originally issued. The empirical part of the paper shows a significant inverse relationship between the interest‐rate differential and prepayment rates. The relationship is most elastic whenever the current market rate for mortgages is between one and three percent below the contract rate of the pool. For a given interest‐rate differential, the estimated prepayment rate generally decreases and the elasticity increases as the contract rate ri

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00392.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper examines intra‐trading‐day and overnight returns constructed from a transactions data base. Day‐of‐the‐week effects are examined for firms classified by level of thin trading. Results indicate that thin trading masks day‐of‐the‐week effects. Day‐of‐the‐week effects are much more pronounced for actively traded stocks. The importance of controlling for thin trading in studies where segmentation of returns into distinct periods is important is illustrated through an examination of day‐of‐the‐week effects f

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00393.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis study determines the impact of a new issue of common stock on security holder wealth and the magnitude attributable to transaction costs, tax shield dilution, wealth transfers, and informational content. The empirical results indicate that shareholders of firms announcing new equity issues experience significant, abnormal, negative returns.The per share transaction cost accounts for 22.6 percent of the observed abnormal return. The tax shield dilution effect accounts for 7.8 percent. No evidence of a wealth transfer effect is found. Thus, approximately 70 percent of the abnormal return can be attributed to new unfavorable information that becomes available to the market.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00394.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis study uses an experimental approach to analyze variables hypothesized to influence specialists' behavior in establishing opening prices on the New York Stock Exchange. Participants in this study are actual NYSE specialists. A factorial design is employed, and data are analyzed using the analysis of variance model. Current demand and supply data are shown to have the most significant impact on specialists' decisions, with limit order book information and inventory position also proving to be significant and consistent for specialists participating in the study.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00395.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper examines the returns accruing to the bank holding company (BHC) stockholders when an acquisition is initiated by the BHC. There is a significant, positive abnormal return to these shareholders when the acquisition is announced. The magnitude of this return does not depend on the relative size of the acquired firm. Further, the regulatory environment for these BHC acquisitions introduces uncertainty about the eventual outcome of the review process. Upon approval from the Federal Reserve Board (FRB), the BHC stockholders earn an additional, significantly positive abnormal return.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00396.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis research applies an entirely new approach to examining the efficiency of futures markets for Treasury bills and avoids many shortcomings of previous studies that rely on comparing yields on spot versus futures market positions. Efficiency is examined by comparing the consistency of yields within the futures market itself since, at one time, the International Monetary Market (IMM) traded futures contracts for both three‐month and one‐year bills. The results indicate a remarkably large average annual yield differential of 32 basis points when the yields on the one‐year contract are compared to the appropriate corresponding strip of three‐month contracts. Possible explanations such as low volume, market thinness, transaction costs, strategy interdependence, serial correlation among differences, and daily resettlement (the Cox, Ingersoll, and Ross effect) are unsuccessful in explaining this pricing

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00397.x

年代:1985

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00389.x

年代:1985

数据来源: WILEY