摘要:

ABSTRACTExpectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that this does not necessarily carry over to the constant risk premium interpretation of the theory. I present a general equilibrium example in which different types of risk premium are constant through time and dependent only on maturity. Furthermore, I argue that differences among expectations theories are second‐order effects of bond yield variability. I develop an approximate linearized framework for analysis of the term structure in which these differences disappear, and I test its accuracy in practice using data from the CRSP government bond tape

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04498.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThe Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00p.m.when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00p.m.and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00p.m., the short has the option of settling the contract at a favorable 2:00p.m.price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6‐hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exe

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04499.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper provides an equilibrium model in which expected real returns on common stocks are negatively related to expected inflation and money growth. It is shown that the fall in real wealth associated with an increase in expected inflation decreases the real rate of interest and the expected real rate of return of the market portfolio. The expected real rate of return of the market portfolio falls less, for a given increase in expected inflation, when the increase in expected inflation is caused by an increase in money growth rather than by a worsening of the investment opportunity set. The model has empirical implications for the effect of a change in expected inflation on the cross‐sectional distribution of asset returns and can help to understand why assets whose return covaries positively with expected inflation may have lower expected returns. The model also agrees with explanations advanced by Fama [5] and Geske and Roll [10]for the negative relation between stock returns and inflatio

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04500.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThe ownership of pension assets in a defined benefit pension plan is an unresolved issue in corporate finance. The issue is important because it defines the appropriate investment policy for a pension fund. In this paper, we summarize the ownership debate in the form of two mutually exclusive theories. We then focus on a recently popular event in pension finance, excess asset reversions. Our paper demonstrates the valuation effects associated with this event in a stochastic dominance framework. Under certain conditions, a reversion constitutes an expropriation of wealth from the participants and beneficiaries of the plan to the firm. Using data provided by the Pension Benefit Guaranty Corporation and the Center for Research in Security Prices tape, we examine the returns to the shareholders of 58 companies which conducted excess asset reversions between 1980 and 1984. Our results show that large abnormal returns accrued to these shareholders around the time of the reversion. These findings have implications both for the appropriate investment policy of pension funds and for public policy with respect to plan terminations.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04501.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThe present value equation in finance is shown to be equivalent to the Laplace transformation in mathematics. Based on this observation, the list of known analytic solutions for the present value problem is increased from a handful to more than one hundred. General properties of the Laplace transform are examined as well in light of the newly discovered significance for finance.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04502.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04503.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04504.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04505.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTA lower bound on the distribution function of the likelihood ratio test of portfolio efficiency is derived. An empirical application demonstrates that the bound may sometimes be used to infer rejection of the null hypothesis without appeal to asymptotic statistical approximations. A procedure for incorporating partial information about the zero‐beta intercept, in the multivariate framework, is also developed and applie

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04506.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper tests the effectiveness of techniques proposed by: Scholes‐Williams; Dimson; Fowler, Rorke, and Jog; and Cohen, Hawawini, Maier, Schwartz, and Whitcomb to control for bias in beta estimates from thin trading and price adjustment delays. Each technique produces beta estimates that reduce the amount of this bias, but the amount of reduction in the best case is only 29

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04507.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY