摘要:

AbstractThis paper explores the economic nature of return factors by incorporating a multifactor return generating process into the traditional CAPM. It attempts to remedy the arbitrage pricing theory, which is not capable of assigning proper economic meanings to return factors. There are at least three significant factors associated with general production, investment, financial, and employment variables. These economic factors explain the risk‐return relationship as well as those obtained by the arbitrage pricing theor

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00481.x

年代:1987

数据来源: WILEY

摘要:

AbstractA stock's relative price ratio, defined as the ratio of the current price to the average of the highest and lowest prices over some holding period, is shown to be a better predictor of future stock returns than firm size. The price ratio has an even stronger January seasonality than does firm size. After controlling for price ratio variations, firm size has no significant relationship to return. The abnormal returns for the price ratio effect are consistent with those predicted by optimal tax selling considerations.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00482.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe typical methodology for estimating an Arbitrage Pricing Model is inadequate with respect to two issues. First, the statistical tests used to determine the sufficient number of factors are inappropriate and may actually overstate the relevant number of factors. Second, the methodology fails to determine whether the estimated model satisfies equilibrium conditions. A simple test that corrects both deficiencies is developed in this paper.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00483.x

年代:1987

数据来源: WILEY

摘要:

AbstractBoth Samuelson's maturity hypothesis and the Anderson‐Danthine state variable hypothesis are tested in this study of the variance of Treasury‐bond futures prices. Both maturity and the quarterly refunding of Treasury debt have statistically and economically significant effects on futures price variance. The evidence for a monotonic maturity effect is highly statistically significant and robust to changes in model specification. The quarterly refunding is less statistically significant, and it is not clear whether the greatest effect is in the auction week or two weeks thereafter. Economically, these two predictable effects are of greater importance than a change in the discount r

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00484.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe impact of random early termination on the interest rate elasticity and the related implications of hedging a mortgage security are examined. The common approach to computing duration using average mortgage life is shown to be biased and insufficient. Because the prepayment distributions of mortgages tend to have wide dispersions, substantial errors result from using average mortgage life. These results are also applicable to other financial obligations subject to prepayment.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00485.x

年代:1987

数据来源: WILEY

摘要:

AbstractA minimum norm quadratic (MINQU‐) type of OLS estimator is derived. The estimator is used to test if the betas of the single factor market (SFM) model are random for a sample of utilities for two contiguous periods. The estimated betas for individual utilities vary considerably over time. The statistical significance of such nonstationarity depends on both the utilities and period studied. The relative reduction in the mean square error (MSE) from using a GLS (and not OLS) estimator of beta, when beta is purely random, can be substantial for some utilities but is modest on averag

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00486.x

年代:1987

数据来源: WILEY

摘要:

AbstractAn empirical analysis of the market pricing of net operating loss carryforwards (NOLs) and the ability for tax considerations to contribute to mergers and the substantial merger premiums often observed by target firms is presented. The restrictive anti‐merger tax‐transfer provisions of Section 382 of the Tax Reform Act of 1976 (TRA) serve as the legislative vehicle through which performance differentials of NOL and non‐NOL firms are measured. The results of the study are consistent with the hypothesis that NOLs are at least partially priced in the absence of a merger, a fact that suggests that tax‐motivated mergers may be more myth than reality. Since the anti‐merger tax‐transfer penalties contained within the Tax Reform Act of 1986 merely represent incremental increases over those of the TRA, the results of the study remain relevant in the current legislative

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00487.x

年代:1987

数据来源: WILEY

摘要:

AbstractProduct market concepts from industrial organization economics are integrated with financial valuation models of the firm to investigate relationships among systematic risk, capital intensity, and product market power. The theory of the firm facing uncertain input and output prices is extended to provide empirical models. Empirical results coincide with hypotheses derived from the theoretical model and pose questions about traditional single period hypotheses found in the finance literature.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00488.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00480.x

年代:1987

数据来源: WILEY